SEC Info - American Beacon Funds - ‘N-Q’ for 3/31/05

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American Beacon Funds – ‘N-Q’ for 3/31/05

On: Friday, 5/27/05, at 4:16pm ET · Effective: 5/27/05 · For: 3/31/05 · Accession #: 809593-5-11 · File #: 811-04984

  As Of                Filer                Filing    For·On·As Docs:Size

 5/27/05  American Beacon Funds             N-Q         3/31/05    2:223K

Quarterly Schedule of Portfolio Holdings of a Management Investment Company — Form N-Q
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-Q         Schedules of Investments for March 31, 2005          127±   627K 
 2: EX-99.CERT  Certifications                                         2     14K

N-Q — Schedules of Investments for March 31, 2005
Document Table of Contents

Page	(sequential)	\|	(alphabetic)	Top
			Alternative Formats (Word, et al.) Controls and Procedures Exhibits Schedules of Investments
1	1st Page - Filing Submission
2	Item 1. Schedules of Investments
79	Item 2. Controls and Procedures
"	Item 3. Exhibits

N-Q 1st “Page” of 79 TOC ↑Top Previous Next ↓Bottom Just 1st
 
United States     
Securities and Exchange Commission    
Washington, DC 20549    

FORM N-Q    

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF 
REGISTERED MANAGEMENT INVESTMENT COMPANY  

Investment Company Act file number: 811-04984 

AMERICAN BEACON FUNDS 
(Exact name of registrant as specified in charter)

4151 Amon Carter Boulevard, MD 2450 
Fort Worth, Texas 76155 
(Address of principal executive offices) (Zip code) 

WILLIAM F. QUINN, PRESIDENT 
4151 Amon Carter Boulevard, MD 2450 
Fort Worth, Texas 76155 
(Name and address of agent for service) 

Registrant's telephone number, including area code: (817) 967-3509  

Date of fiscal year end: December 31, 2005

Date of reporting period: March 31, 2005  

N-Q 2nd “Page” of 79 TOC 1st Previous Next ↓Bottom Just 2nd
ITEM 1. SCHEDULES OF INVESTMENTS.                                               

The American Beacon International Equity Index Fund invests all of its          
investable assets in the Master International Index Series of the               
Quantitative Master Series Trust.  The Schedule of Investments for the Master   
International Index Series for the fiscal quarter ended March 31, 2005 is       
provided below.                                                                 

MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                           SHARES                                                         
   COUNTRY                     INDUSTRY*                    HELD              COMMON STOCKS                       VALUE   
----------------  -------------------------------------    ------  ------------------------------------------  -----------
                                                                                                                          
AUSTRALIA - 4.9%  Airlines - 0.0%                          32,603  Qantas Airways Ltd.                         $    89,530
                                                                                                               -----------
                  Beverages - 0.2%                         26,064  Coca-Cola Amatil Ltd.                           172,988
                                                           86,856  Foster's Group Ltd.                             344,672
                                                           39,610  Southcorp Ltd.                                  129,609
                                                                                                               -----------
                                                                                                                   647,269
                                                                                                               -----------
                  Biotechnology - 0.1%                     11,970  CSL Ltd.                                        316,486
                                                                                                               -----------
                  Capital Markets - 0.1%                    7,912  Australian Wealth Management Ltd. (a)             6,365
                                                            8,347  Macquarie Bank Ltd.                             310,121
                                                                                                               -----------
                                                                                                                   316,486
                                                                                                               -----------
                  Chemicals - 0.0%                         13,503  Orica Ltd.                                      190,626
                                                                                                               -----------
                  Commercial Banks - 1.3%                  74,528  Australia & New Zealand Banking Group Ltd.    1,188,768
                                                           57,581  Commonwealth Bank of Australia                1,557,182
                                                           62,947  National Australia Bank Ltd.                  1,380,438
                                                           72,176  Westpac Banking Corp.                         1,062,479
                                                                                                               -----------
                                                                                                                 5,188,867
                                                                                                               -----------
                  Commercial Services & Supplies - 0.1%    53,780  Brambles Industries Ltd.                        330,732
                                                                                                               -----------
                  Construction & Engineering - 0.0%         7,743  Leighton Holdings Ltd.                           61,094
                                                                                                               -----------
                  Construction                             19,286  Boral Ltd.                                       91,004
                  Materials - 0.1%                         36,728  CSR Ltd.                                         69,891
                                                            3,992  James Hardie Industries NV                       18,497
                                                           41,326  Rinker Group Ltd.                               345,252
                                                                                                               -----------
                                                                                                                   524,644
                                                                                                               -----------
                  Containers & Packaging - 0.1%            41,043  Amcor Ltd.                                      227,322
                                                                                                               -----------
                  Diversified Financial Services - 0.1%     1,250  Australian Stock Exchange Ltd.                   19,590
                                                           23,405  Suncorp-Metway Ltd.                             351,779
                                                                                                               -----------
                                                                                                                   371,369
                                                                                                               -----------
                  Diversified Telecommunication            82,749  Telstra Corp. Ltd.                              325,814
                                                                                                               -----------
                  Services - 0.1%                                                                                         
                  Food & Staples                           60,420  Coles Myer Ltd.                                 439,804
                  Retailing - 0.2%                         39,456  Woolworths Ltd.                                 489,866
                                                                                                               -----------
                                                                                                                   929,670
                                                                                                               -----------
                  Gas Utilities - 0.1%                     20,590  Australian Gas Light Co., Ltd.                  226,169
                                                                                                               -----------
                  Health Care Equipment & Supplies - 0.0%   7,344  Ansell Ltd.                                      55,901
                                                                                                               -----------
                  Health Care Providers & Services - 0.0%  40,746  Mayne Group Ltd.                                121,664
                                                            2,368  Sonic Healthcare Ltd.                            22,073
                                                                                                               -----------
                                                                                                                   143,737
                                                                                                               -----------
                  Hotels, Restaurants & Leisure - 0.1%      4,629  Aristocrat Leisure Ltd.                          36,452
                                                           23,453  TABCORP Holdings Ltd.                           305,331
                                                                                                               -----------
                                                                                                                   341,783
                                                                                                               -----------
                  IT Services - 0.0%                       11,639  Computershare Ltd.                               50,509
                                                                                                               -----------
                  Industrial Conglomerates - 0.1%          15,471  Wesfarmers Ltd.                                 475,593
                                                                                                               -----------
                  Insurance - 0.4%                         75,906  AMP Ltd.                                        415,717
                                                           45,366  AXA Asia Pacific Holdings Ltd.                  147,390
                                                           69,692  Insurance Australia Group Ltd.                  341,791
                                                           27,875  QBE Insurance Group Ltd.                        321,073
                                                                                                               -----------
                                                                                                                 1,225,971
                                                                                                               -----------
                  Media - 0.1%                             73,935  John Fairfax Holdings Ltd.                      239,065
                                                            6,114  Publishing & Broadcasting Ltd.                   72,787
                                                                                                               -----------
                                                                                                                   311,852
                                                                                                               -----------

1 

N-Q 3rd “Page” of 79 TOC 1st Previous Next ↓Bottom Just 3rd
MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005               (IN U.S. DOLLARS)    

                                                        [Enlarge/Download Table]

                                                           SHARES                                                        
   COUNTRY                     INDUSTRY*                    HELD               COMMON STOCKS                     VALUE   
----------------  -------------------------------------    -------  ----------------------------------------  -----------
                                                                                                                         
                  Metals & Mining - 0.9%                    52,998  Alumina Ltd.                              $   241,470
                                                           149,463  BHP Billiton Ltd.                           2,066,080
                                                            18,416  BlueScope Steel Ltd.                          123,938
                                                            11,751  Newcrest Mining Ltd.                          158,257
                                                            23,360  OneSteel Ltd.                                  46,802
                                                             9,750  Rio Tinto Ltd.                                340,451
                                                            66,447  WMC Resources Ltd.                            409,659
                                                                                                              -----------
                                                                                                                3,386,657
                                                                                                              -----------
                  Oil & Gas - 0.2%                          24,197  Origin Energy Ltd.                            133,457
                                                            34,877  Santos Ltd.                                   242,812
                                                            13,785  Woodside Petroleum Ltd.                       259,121
                                                                                                              -----------
                                                                                                                  635,390
                                                                                                              -----------
                  Paper & Forest Products - 0.0%             5,300  PaperlinX Ltd.                                 16,809
                                                                                                              -----------
                  Real Estate - 0.5%                       109,739  CFS Gandel Retail Trust                       134,973
                                                             3,613  CFS Gandel Retail Trust (a)                     4,304
                                                            14,559  Centro Properties Group                        58,338
                                                            79,688  General Property Trust                        218,832
                                                            31,118  Investa Property Group                         50,068
                                                            18,025  Lend Lease Corp., Ltd.                        175,685
                                                            18,980  Macquire Goodman Group                         55,792
                                                            46,448  Mirvac Group                                  158,451
                                                            60,690  Stockland                                     274,169
                                                             2,030  Stockland (a)                                   9,076
                                                            65,327  Westfield Group                               818,141
                                                                                                              -----------
                                                                                                                1,957,829
                                                                                                              -----------
                  Road & Rail - 0.0%                        15,996  Toll Holdings Ltd.                            172,985
                                                                                                              -----------
                  Transportation Infrastructure - 0.1%     102,562  Macquarie Infrastructure Group                285,613
                                                            16,500  Patrick Corp. Ltd.                             75,050
                                                            10,811  Transurban Group                               59,042
                                                                                                              -----------
                                                                                                                  419,705
                                                                                                              -----------
                                                                    TOTAL COMMON STOCKS IN AUSTRALIA           18,940,799
                                                                                                              -----------
AUSTRIA - 0.4%    Building Products - 0.1%                   3,535  Wienerberger AG                               161,304
                                                                                                              -----------
                  Commercial Banks - 0.1%                    1,063  Bank Austria Creditanstalt AG                 104,996
                                                             7,239  Erste Bank der Oesterreichischen                     
                                                                      Sparkassen AG                               379,618
                                                                                                              -----------
                                                                                                                  484,614
                                                                                                              -----------
                  Construction Materials - 0.0%                 53  RHI AG                                          1,643
                                                                                                              -----------
                  Containers & Packaging - 0.0%                568  Mayr-Melnhof Karton AG                         90,533
                                                                                                              -----------
                  Diversified Telecommunication             12,468  Telekom Austria AG                            244,680
                                                                                                              -----------
                  Services - 0.1%                                                                                        
                  Electric Utilities - 0.0%                     47  Verbund - Oesterreichische                           
                                                                    Elektrizitaetswirtschafts AG                         
                                                                                                                   10,690
                                                                                                              -----------
                  Metals & Mining - 0.0%                       906  Boehler-Uddeholm AG                           123,941
                                                                                                              -----------
                  Oil & Gas - 0.0%                             447  OMV AG                                        142,389
                                                                                                              -----------
                  Real Estate - 0.0%                         4,408  IMMOFINANZ Immobilien Anlagen AG (a)           40,274
                                                                                                              -----------
                  Trading Companies & Distributors - 0.1%  105,980  Hagemeyer NV - Registered Shares              269,964
                                                                                                              -----------
                  Transportation Infrastructure - 0.0%       1,169  Flughafen Wien AG                              78,714
                                                                                                              -----------
                                                                    TOTAL COMMON STOCKS IN AUSTRIA              1,648,746
                                                                                                              -----------
BELGIUM - 1.5%    Beverages - 0.0%                           5,910  InBev NV                                      207,461
                                                                                                              -----------
                  Chemicals - 0.1%                           2,818  Solvay SA                                     336,758
                                                                                                              -----------
                  Commercial Banks - 0.4%                   24,491  Dexia                                         584,074
                                                                                                              -----------
                                                             8,657  KBC Bancassurance Holding                     731,880
                                                                                                              -----------
                                                                                                                1,315,954
                                                                                                              -----------

2 

N-Q 4th “Page” of 79 TOC 1st Previous Next ↓Bottom Just 4th
MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                             SHARES                                                    
   COUNTRY                     INDUSTRY*                      HELD             COMMON STOCKS                   VALUE   
----------------  -----------------------------------------  ------  -------------------------------------  -----------
                                                                                                                       
                  Construction & Engineering - 0.0%           4,785  Suez SA (a)                            $        62
                                                                                                            -----------
                  Distributors - 0.0%                           222  D'ieteren SA                                52,280
                                                                                                            -----------
                  Diversified Financial Services - 0.5%      52,108  Fortis                                   1,488,529
                                                              3,292  Groupe Bruxelles Lambert SA                300,988
                                                                                                            -----------
                                                                                                              1,789,517
                                                                                                            -----------
                  Diversified Telecommunication               7,914  Belgacom SA (a)                            328,104
                                                                                                            -----------
                  Services - 0.1%                                                                                      
                  Electric Utilities - 0.1%                   1,034  Electrabel                                 465,101
                                                                                                            -----------
                  Electrical Equipment - 0.0%                 1,022  Bekaert SA                                  86,136
                                                                                                            -----------
                  Electronic Equipment & Instruments - 0.0%     520  Barco NV                                    42,374
                                                                                                            -----------
                  Food & Staples                              1,003  Colruyt SA                                 156,165
                  Retailing - 0.1%                              932  Delhaize Group                              64,016
                                                                950  Delhaize Group (b)                          65,218
                                                                                                            -----------
                                                                                                                285,399
                                                                                                            -----------
                  Health Care Equipment & Supplies - 0.0%     1,608  Omega Pharma SA                             83,133
                                                                                                            -----------
                  Leisure Equipment & Products - 0.0%         2,040  AGFA-Gevaert NV                             71,558
                                                                                                            -----------
                  Marine - 0.0%                               1,790  CMB CIE MARITIME BELGE                      68,349
                                                                                                            -----------
                  Metals & Mining - 0.1%                      1,724  Umicore                                    175,438
                                                                 52  Umicore (a)                                      9
                                                                                                            -----------
                                                                                                                175,447
                                                                                                            -----------
                  Oil & Gas - 0.0%                            1,790  Euronav Sa                                  59,555
                                                                                                            -----------
                  Pharmaceuticals - 0.1%                      4,095  UCB SA                                     198,672
                                                                                                            -----------
                  Wireless Telecommunication                    900  Mobistar SA (a)                             79,246
                                                                                                            -----------
                  Services - 0.0%                                                                                      
                                                                     TOTAL COMMON STOCKS IN BELGIUM           5,645,106
                                                                                                            -----------
BERMUDA - 0.0%    Oil & Gas - 0.0%                              529  Ship Finance International Ltd.             10,745
                                                                                                            -----------
                  Textiles, Apparel & Luxury Goods - 0.0%    21,785  Yue Yuen Industrial Holdings                62,009
                                                                                                            -----------
                                                                     TOTAL COMMON STOCKS IN BERMUDA              72,754
                                                                                                            -----------
DENMARK - 0.8%    Beverages - 0.0%                              356  Carlsberg A/S                               17,700
                                                                                                            -----------
                  Chemicals - 0.0%                            2,267  Novozymes A/S Class B                      111,527
                                                                                                            -----------
                  Commercial Banks - 0.1%                    16,440  Danske Bank A/S                            478,240
                                                                                                            -----------
                  Commercial Services & Supplies - 0.1%       2,439  ISS A/S                                    198,704
                                                                                                            -----------
                  Construction & Engineering - 0.0%           1,417  FLS Industries A/S Class B                  26,203
                                                                                                            -----------
                  Diversified Telecommunication               9,331  TDC A/S                                    394,340
                                                                                                            -----------
                  Services - 0.1%                                                                                      
                  Electrical Equipment - 0.0%                 3,995  Vestas Wind Systems A/S (a)                 57,846
                                                                                                            -----------
                  Food Products - 0.1%                        2,482  Danisco A/S                                168,434
                                                              2,039  East Asiatic Co., Ltd. A/S                 116,139
                                                                                                            -----------
                                                                                                                284,573
                                                                                                            -----------
                  Health Care Equipment &                       186  Coloplast AS Class B                         9,702
                  Supplies - 0.1%                             5,043  GN Store Nord                               58,065
                                                              1,530  William Demant Holding (a)                  76,604
                                                                                                            -----------
                                                                                                                144,371
                                                                                                            -----------
                  Household Durables - 0.0%                     464  Bang & Olufsen A/S Class B                  31,164
                                                                                                            -----------

3 

N-Q 5th “Page” of 79 TOC 1st Previous Next ↓Bottom Just 5th
MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                         SHARES                                                       
   COUNTRY                     INDUSTRY*                  HELD               COMMON STOCKS                    VALUE   
----------------  -------------------------------------  ------   ----------------------------------------  ----------
                                                                                                                      
                  Insurance - 0.0%                           907  Topdanmark A/S (a)                        $   67,722
                                                                                                            ----------
                  Machinery - 0.0%                           820  NKT Holding A/S                               28,467
                                                                                                            ----------
                  Marine - 0.1%                               44  AP Moller - Maersk A/S                       410,663
                                                                                                            ----------
                  Pharmaceuticals - 0.2%                   3,519  H Lundbeck A/S                                85,639
                                                          12,015  Novo-Nordisk A/S B                           670,737
                                                                                                            ----------
                                                                                                               756,376
                                                                                                            ----------
                  Road & Rail - 0.0%                       1,730  DSV A/S                                      132,341
                                                                                                            ----------
                                                                  TOTAL COMMON STOCKS IN DENMARK             3,140,237
                                                                                                            ----------
FINLAND - 1.5%    Auto Components - 0.0%                     671  Nokian Renkaat Oyj                           108,397
                                                                                                            ----------
                  Communications                         189,546  Nokia Oyj                                  2,946,260
                  Equipment - 0.8%                         1,270  Nokia Oyj (b)                                 19,596
                                                                                                            ----------
                                                                                                             2,965,856
                                                                                                            ----------
                  Diversified Telecommunication            5,791  Elisa Corp.                                   98,594
                  Services - 0.1%                         36,201  TeliaSonera AB                               216,894
                                                                                                            ----------
                                                                                                               315,488
                                                                                                            ----------
                  Electric Utilities - 0.1%               13,948  Fortum Oyj                                   272,275
                                                                                                            ----------
                  IT Services - 0.0%                       4,144  Tietoenator Oyj                              142,022
                                                                                                            ----------
                  Insurance - 0.1%                         6,594  Pohjola Group Plc Class D (d)                 79,785
                                                          22,588  Sampo Oyj                                    328,792
                                                                                                            ----------
                                                                                                               408,577
                                                                                                            ----------
                  Leisure Equipment & Products - 0.0%      5,904  Amer Sports Corp.                            106,273
                                                                                                            ----------
                  Machinery - 0.1%                         2,211  Kone Oyj B Shares (a)                        172,325
                                                           7,142  Metso Oyj                                    128,278
                                                             231  Wartsila Oyj                                   6,124
                                                                                                            ----------
                                                                                                               306,727
                                                                                                            ----------
                  Metals & Mining - 0.0%                     447  Outokumpu Oyj                                  8,011
                                                           8,196  Rautaruukki Oyj                              110,567
                                                                                                            ----------
                                                                                                               118,578
                                                                                                            ----------
                  Paper & Forest Products - 0.3%          25,249  Stora Enso Oyj Class R                       355,384
                                                          25,415  UPM-Kymmene Oyj                              564,822
                                                                                                            ----------
                                                                                                               920,206
                                                                                                            ----------
                                                                  TOTAL COMMON STOCKS IN FINLAND             5,664,399
                                                                                                            ----------
FRANCE - 9.4%     Aerospace & Defense - 0.2%              10,187  European Aeronautic Defense and Space               
                                                                    Co. (a)                                    305,303
                                                           5,085  Sagem SA                                     114,661
                                                           2,183  Societe Nationale d'Etude et de                     
                                                                    Construction de Moteurs d'Avion                   
                                                                    (SNECMA) (a)                                56,629
                                                           4,303  Thales SA                                    179,907
                                                           1,003  Zodiac SA                                     46,654
                                                                                                            ----------
                                                                                                               703,154
                                                                                                            ----------
                  Airlines - 0.0%                          3,419  Air France-KLM                                61,631
                                                                                                            ----------
                  Auto Components - 0.2%                   6,148  Compagnie Generale des Etablissements               
                                                                    Michelin                                   405,104
                                                           3,351  Valeo SA                                     149,555
                                                                                                            ----------
                                                                                                               554,659
                                                                                                            ----------
                  Automobiles - 0.3%                       7,721  Peugeot SA                                   491,895
                                                           8,205  Renault SA                                   734,722
                                                                                                            ----------
                                                                                                             1,226,617
                                                                                                            ----------
                  Beverages - 0.1%                         2,193  Pernod-Ricard                                306,958
                                                                                                            ----------
                  Building Products - 0.2%                11,877  Cie de Saint-Gobain                          725,487
                                                                                                            ----------
                  Chemicals - 0.2%                         4,738  Air Liquide                                  873,781
                                                                                                            ----------
                  Commercial Banks - 1.2%                 32,112  BNP Paribas                                2,280,777
                                                          26,219  Credit Agricole SA                           714,562
                                                          14,492  Societe Generale                           1,509,583
                                                                                                            ----------
                                                                                                             4,504,922
                                                                                                            ----------

4 

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                   SHARES                                                
COUNTRY                INDUSTRY*                    HELD             COMMON STOCKS               VALUE   
-------  -------------------------------------    --------  --------------------------------  -----------
                                                                                                         
         Commercial Services & Supplies - 0.0%       1,954  Societe BIC SA                    $   111,154
                                                                                              -----------
         Communications Equipment - 0.2%            56,865  Alcatel SA (a)                        691,745
                                                                                              -----------
         Construction & Engineering - 0.1%           3,647  Vinci SA                              527,067
                                                                                              -----------
         Construction                                1,192  Imerys SA                              90,317
         Materials - 0.2%                            8,160  Lafarge SA                            792,202
                                                                                              -----------
                                                                                                  882,519
                                                                                              -----------
         Diversified Telecommunication              60,331  France Telecom SA                   1,811,247
         Services - 0.5%                                                                                 
                                                                                              -----------
         Electrical Equipment - 0.2%               207,044  Alstom                                177,595
                                                     9,721  Schneider Electric SA                 763,717
                                                                                              -----------
                                                                                                  941,312
                                                                                              -----------
         Energy Equipment & Services - 0.0%          1,218  Technip SA                            204,203
                                                                                              -----------
         Food & Staples Retailing - 0.4%            24,708  Carrefour SA                        1,314,652
                                                     1,834  Casino Guichard Perrachon SA (a)      154,573
                                                                                              -----------
                                                                                                1,469,225
                                                                                              -----------
         Food Products - 0.3%                       11,304  Groupe Danone                       1,127,550
                                                                                              -----------
         Health Care Equipment & Supplies - 0.1%     5,173  Cie Generale d'Optique Essilor        374,811
                                                            International SA                  -----------

         Hotels, Restaurants & Leisure - 0.2%       10,544  Accor SA                              517,443
                                                     5,111  Sodexho Alliance SA                   170,779
                                                                                              -----------
                                                                                                  688,222
                                                                                              -----------
         Household Durables - 0.1%                  11,782  Thomson                               318,499
                                                                                              -----------
         IT Services - 0.1%                          2,452  Atos Origin (a)                       166,188
                                                     6,898  Cap Gemini SA (a)                     241,157
                                                                                              -----------
                                                                                                  407,345
                                                                                              -----------
         Insurance - 0.4%                           56,124  AXA                                 1,498,945
                                                       775  CNP Assurances (a)                     55,045
                                                                                              -----------
                                                                                                1,553,990
                                                                                              -----------
         Media - 0.5%                                6,788  Lagardere S.C.A.                      515,205
                                                     4,855  Publicis Groupe                       149,416
                                                     3,105  Societe Television Francaise 1         98,464
                                                    35,853  Vivendi Universal SA                1,101,069
                                                     6,053  Vivendi Universal SA (b)              185,222
                                                                                              -----------
                                                                                                2,049,376
                                                                                              -----------
         Metals & Mining - 0.1%                     20,145  Arcelor                               461,578
                                                                                              -----------
         Multi-Utilities & Unregulated              35,418  Suez SA                               955,601
         Power - 0.3%                               10,377  Veolia Environnement                  368,989
                                                                                              -----------
                                                                                                1,324,590
                                                                                              -----------
         Multiline Retail - 0.1%                     2,713  Pinault-Printemps-Redoute             290,890
                                                                                              -----------
         Oil & Gas - 1.4%                           23,559  Total SA                            5,526,616
                                                     4,140  Total SA                                   54
                                                                                              -----------
                                                                                                5,526,670
                                                                                              -----------
         Personal Products - 0.3%                   11,713  L'Oreal SA                            940,005
                                                                                              -----------
         Pharmaceuticals - 0.9%                     39,904  Sanofi-Aventis                      3,373,564
                                                                                              -----------
         Real Estate - 0.1%                          1,180  Gecina SA                             135,109
                                                     1,537  Klepierre                             138,531
                                                     1,964  Unibail                               233,427
                                                                                              -----------
                                                                                                  507,067
                                                                                              -----------
         Semiconductors & Semiconductor             26,568  STMicroelectronics NV                 443,352
         Equipment - 0.1%                                                                     -----------

 5

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                           SHARES                                                    
   COUNTRY                    INDUSTRY*                     HELD               COMMON STOCKS                VALUE    
--------------  ----------------------------------------  --------  -----------------------------------  ------------
                                                                                                                     
                Software - 0.1%                              2,821  Business Objects SA (a)              $     75,709
                                                             2,849  Dassault Systemes SA                      134,778
                                                                                                         ------------
                                                                                                              210,487
                                                                                                         ------------
                Textiles, Apparel & Luxury Goods - 0.2%        189  Hermes International                       38,147
                                                             9,557  LVMH Moet Hennessy Louis Vuitton SA       716,676
                                                                                                         ------------
                                                                                                              754,823
                                                                                                         ------------
                Transportation Infrastructure - 0.0%         2,314  Autoroutes du Sud de la France            117,679
                                                                                                         ------------
                Wireless Telecommunication                  10,321  Bouygues                                  410,189
                Services - 0.1%                                                                                      
                                                                                                         ------------
                                                                    TOTAL COMMON STOCKS IN FRANCE          36,476,368
                                                                                                         ------------
GERMANY - 6.5%  Air Freight & Logistics - 0.1%              20,802  Deutsche Post AG                          509,074
                                                                                                         ------------
                Airlines - 0.1%                             14,866  Deutsche Lufthansa AG                     214,844
                                                                                                         ------------
                Auto Components - 0.1%                       6,765  Continental AG                            526,032
                                                                                                         ------------
                Automobiles - 0.5%                          34,188  DaimlerChrysler AG                      1,534,248
                                                             9,403  Volkswagen AG                             448,740
                                                                                                         ------------
                                                                                                            1,982,988
                                                                                                         ------------
                Biotechnology - 0.0%                         4,938  Qiagen NV (a)                              58,657
                                                                                                         ------------
                Capital Markets - 0.4%                      19,477  Deutsche Bank AG Registered Shares      1,684,594
                                                             3,609  MLP AG                                     52,580
                                                                                                         ------------
                                                                                                            1,737,174
                                                                                                         ------------
                Chemicals - 0.7%                            20,456  BASF AG                                 1,453,965
                                                            29,143  Bayer AG                                  964,691
                                                                 1  Lanxess (a)                                    14
                                                             3,872  Linde AG                                  266,708
                                                                                                         ------------
                                                                                                            2,685,378
                                                                                                         ------------
                Commercial Banks - 0.3%                     28,262  Bayerische Hypo-und Vereinsbank AG        693,107
                                                            18,868  Commerzbank AG                            410,494
                                                            15,198  Depfa Bank Plc                            240,975
                                                                                                         ------------
                                                                                                            1,344,576
                                                                                                         ------------
                Construction Materials - 0.0%                2,446  HeidelbergCement AG                       154,274
                                                               188  HeidelbergCement AG (a)                    11,723
                                                                                                         ------------
                                                                                                              165,997
                                                                                                         ------------
                Diversified Financial Services - 0.1%        5,690  Deutsche Boerse AG                        428,909
                                                                                                         ------------
                Diversified Telecommunication              111,729  Deutsche Telekom AG                     2,236,206
                Services - 0.6%                                                                                      
                                                                                                         ------------
                Electric Utilities - 0.5%                   25,052  E.ON AG                                 2,155,063
                                                                                                         ------------
                Electronic Equipment & Instruments - 0.0%    2,386  Epcos AG (a)                               33,056
                                                                                                         ------------
                Food & Staples Retailing - 0.1%              6,372  Metro AG                                  342,931
                                                                                                         ------------
                Health Care Providers & Services - 0.1%      1,654  Celesio AG                                135,576
                                                             1,747  Fresenius Medical Care AG                 141,792
                                                                                                         ------------
                                                                                                              277,368
                                                                                                         ------------
                Hotels, Restaurants & Leisure - 0.1%         8,795  TUI AG                                    232,837

                                                                                                         ------------
                Industrial Conglomerates - 0.7%             31,495  Siemens AG                              2,498,921
                                                               860  Siemens AG (b)                             67,992
                                                                                                         ------------
                                                                                                            2,566,913
                                                                                                         ------------
                Insurance - 0.7%                            12,242  Allianz AG Registered Shares            1,558,411
                                                             8,375  Muenchener Rueckversicherungs AG                 
                                                                    Registered Shares                                
                                                                                                            1,011,609
                                                                                                         ------------
                                                                                                            2,570,020
                                                                                                         ------------

6 

N-Q 8th “Page” of 79 TOC 1st Previous Next ↓Bottom Just 8th
MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                             SHARES                                                           
   COUNTRY                       INDUSTRY*                    HELD                  COMMON STOCKS                    VALUE    
--------------    ----------------------------------------  --------  ------------------------------------------  ------------
                                                                                                                              
                   Machinery - 0.1%                            6,297  MAN AG                                      $    282,344
                                                                                                                  ------------
                   Metals & Mining - 0.1%                     13,676  ThyssenKrupp AG                                  282,428
                                                                                                                  ------------
                   Multi-Utilities & Unregulated              19,392  RWE AG                                         1,175,708
                   Power - 0.3%                                                                                               
                                                                                                                  ------------
                   Personal Products - 0.0%                      572  Beiersdorf AG                                     64,007
                                                                                                                  ------------
                   Pharmaceuticals - 0.2%                      3,250  Altana AG                                        207,180
                                                               2,378  Merck KGaA                                       169,981
                                                               8,225  Schering AG                                      546,880
                                                                                                                  ------------
                                                                                                                       924,041
                                                                                                                  ------------
                   Semiconductors & Semiconductor             27,466  Infineon Technologies AG (a)                     264,151
                   Equipment - 0.1%                                                                                           
                                                                                                                  ------------
                   Software - 0.3%                             8,504  SAP AG                                         1,373,898
                                                                                                                  ------------
                   Specialty Retail - 0.0%                     1,160  Douglas Holding AG                                42,680
                                                                                                                  ------------
                   Textiles, Apparel & Luxury Goods - 0.2%     2,478  Adidas-Salomon AG                                394,257
                                                                 913  Puma AG Rudolf Dassler Sport                     229,164
                                                                                                                  ------------
                                                                                                                       623,421
                                                                                                                  ------------
                   Thrifts & Mortgage Finance - 0.1%           5,764  Hypo Real Estate Holding AG                      240,841
                                                                                                                  ------------
                                                                      TOTAL COMMON STOCKS IN GERMANY                25,341,542
                                                                                                                  ------------
GREECE - 0.5%      Beverages - 0.0%                            5,327  Coca Cola Hellenic Bottling Co. SA (a)           133,618
                                                                                                                  ------------
                   Commercial Banks - 0.3%                     9,625  Alpha Bank AE                                    324,986
                                                               8,873  EFG Eurobank Ergasias SA                         275,609
                                                               1,938  Emporiki Bank of Greece SA                        51,331
                                                              13,209  National Bank of Greece SA                       448,746
                                                               3,787  Piraeus Bank SA                                   68,708
                                                                                                                  ------------
                                                                                                                     1,169,380
                                                                                                                  ------------
                   Communications Equipment - 0.0%            13,744  Intracom SA                                       69,663
                                                                                                                  ------------
                   Construction & Engineering - 0.0%           9,858  Technical Olympic SA                              58,166
                                                                                                                  ------------
                   Construction Materials - 0.0%               2,682  Titan Cement Co. SA                               89,581
                                                                                                                  ------------
                   Diversified Telecommunication               6,542  Hellenic Telecommunications                      115,121
                   Services - 0.0%                                    Organization SA                             ------------

                   Electric Utilities - 0.1%                   5,616  Public Power Corp.                               162,180
                                                                                                                  ------------
                   Hotels, Restaurants & Leisure - 0.1%        6,153  OPAP SA                                          180,246
                                                                                                                  ------------
                   Metals & Mining - 0.0%                      4,057  Viohalco, Hellenic Copper and                           
                                                                      Aluminum Industry SA                              32,163
                                                                                                                  ------------
                   Wireless Telecommunication                  6,600  Cosmote Mobile Telecommunications SA             116,142
                   Services - 0.0%                                                                                            
                                                                                                                  ------------
                                                                      TOTAL COMMON STOCKS IN GREECE                  2,126,260
                                                                                                                  ------------
HONG KONG - 1.3%   Airlines - 0.0%                             2,263  Cathay Pacific Airways Ltd.                        4,265
                                                                                                                  ------------
                   Commercial Banks - 0.2%                    81,400  BOC Hong Kong Holdings Ltd.                      149,768
                                                              29,739  Bank of East Asia Ltd.                            85,602
                                                              26,153  Hang Seng Bank Ltd.                              347,059
                                                                                                                  ------------
                                                                                                                       582,429
                                                                                                                  ------------
                   Distributors - 0.0%                        52,719  Li & Fung Ltd.                                    95,984
                                                                                                                  ------------
                   Diversified Financial Services - 0.0%      20,000  Hong Kong Exchanges and Clearing Ltd.             51,671
                                                                                                                  ------------
                   Diversified Telecommunication              71,195  PCCW Ltd.                                         39,936
                   Services - 0.0%                                                                                            
                                                                                                                  ------------
                   Electric Utilities - 0.2%                  64,187  CLP Holdings Ltd.                                365,403
                                                              56,000  HongKong Electric Holdings                       249,149
                                                                                                                  ------------
                                                                                                                       614,552
                                                                                                                  ------------

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                           SHARES                                                            
   COUNTRY                   INDUSTRY*                      HELD                  COMMON STOCKS                      VALUE   
--------------  ----------------------------------------  --------    ------------------------------------------  -----------
                                                                                                                             
                Electrical Equipment - 0.0%                 94,328    Johnson Electric Holdings Ltd.              $    85,265
                                                                                                                  -----------
                Gas Utilities - 0.1%                       104,240    Hong Kong & China Gas                           205,156
                                                                                                                  -----------
                Hotels, Restaurants & Leisure - 0.0%        24,990    Shangri-La Asia Ltd. (d)                         36,527
                                                                                                                  -----------
                Household Durables - 0.0%                   16,560    Techtronic Industries Co.                        36,626
                                                                                                                  -----------
                Industrial Conglomerates - 0.2%             97,989    Hutchison Whampoa Ltd.                          832,348
                                                                                                                  -----------
                Media - 0.0%                                34,025    SCMP Group Ltd.                                  15,160
                                                                                                                  -----------
                Real Estate - 0.5%                          73,735    Cheung Kong Holdings Ltd.                       654,689
                                                            12,000    Hang Lung Properties Ltd.                        17,386
                                                            32,491    Henderson Land Development Co., Ltd.            144,555
                                                            47,890    New World Development Ltd.                       46,973
                                                            48,421    Sino Land Co.                                    43,769
                                                            59,324    Sun Hung Kai Properties Ltd.                    538,144
                                                            37,577    Swire Pacific Ltd. Class A                      297,509
                                                            56,107    Wharf Holdings Ltd.                             177,327
                                                                                                                  -----------
                                                                                                                    1,920,352
                                                                                                                  -----------
                Road & Rail - 0.0%                          24,500    MTR Corp.                                        37,695
                                                                                                                  -----------
                Semiconductors & Semiconductor               5,004    ASM Pacific Technology                           21,557
                Equipment - 0.0%                                                                                             
                                                                                                                  -----------
                Specialty Retail - 0.1%                     52,000    Esprit Holdings Ltd.                            355,030
                                                           132,394    Giordano International Ltd.                      89,968
                                                                                                                  -----------
                                                                                                                      444,998
                                                                                                                  -----------
                Textiles, Apparel & Luxury Goods - 0.0%     65,353    Texwinca Holdings Ltd.                           54,884
                                                                                                                  -----------
                Transportation Infrastructure - 0.0%        18,465    Hopewell Holdings                                43,562
                                                                                                                  -----------
                Wireless Telecommunication                  47,000    Hutchison Telecommunications                     44,895
                Services - 0.0%                                       International Ltd. (a)                                 
                                                                                                                  -----------
                                                                      TOTAL COMMON STOCKS IN HONG KONG              5,167,862
                                                                                                                  -----------
IRELAND - 0.8%  Airlines - 0.1%                             27,680    Ryanair Holdings Plc (a)                        217,644
                                                                                                                  -----------
                Commercial Banks - 0.4%                     35,621    Allied Irish Banks Plc                          747,660
                                                            47,958    Bank of Ireland                                 759,444
                                                                                                                  -----------
                                                                                                                    1,507,104
                                                                                                                  -----------
                Construction Materials - 0.1 %              21,256   CRH Plc                                          558,644
                                                                                                                  -----------

                Food Products - 0.1%                        22,780    Greencore Group Plc                              93,556
                                                             4,710    Kerry Group Plc                                 113,551
                                                                                                                  -----------
                                                                                                                      207,107
                Household Durables - 0.0%                    79,638    Waterford Wedgewood Plc (a)                      4,347
                                                              6,958    Waterford Wedgewood                                380
                                                                                                                  -----------
                                                                                                                        4,727
                                                                                                                  -----------
                Industrial Conglomerates - 0.0%              3,189    DCC Plc                                          73,981
                                                                                                                  -----------
                Insurance - 0.1%                            12,684    Irish Life & Permanent Plc                      227,984
                                                                                                                  -----------
                Media - 0.0%                                21,817    Independent News & Media Plc                     72,304
                                                                                                                  -----------
                Pharmaceuticals - 0.0%                      15,345    Elan Corp. Plc (a)                               47,863
                                                                                                                  -----------
                Trading Companies & Distributors - 0.0%      2,786    Grafton Group Plc                                33,130
                                                                                                                  -----------
                                                                      TOTAL COMMON STOCKS IN IRELAND                2,950,488
                                                                                                                  -----------
ITALY - 4.1%    Aerospace & Defense - 0.1%                 312,371    Finmeccanica SpA                                317,470
                                                                                                                  -----------
                Automobiles - 0.1%                          28,432    Fiat SpA                                        207,298
                                                                                                                  -----------
                Capital Markets - 0.1%                      10,234    Banca Fideuram SpA                               52,457
                                                            22,588    Mediobanca SpA                                  393,934
                                                            17,230    Mediolanum SpA                                  117,966
                                                                                                                  -----------
                                                                                                                      564,357

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                         SHARES                                                      
COUNTRY        INDUSTRY*                                  HELD    COMMON STOCKS                              VALUE   
-------------  ------------------------------------     --------  ---------------------------------------  ----------
                                                                                                                     
               Commercial Banks - 1.2%                    11,662  Banca Antonveneta SpA                    $  379,215
                                                         128,054  Banca Intesa SpA                            652,386
                                                          36,404  Banca Intesa SpA (RNC)                      167,722
                                                          52,096  Banca Monte dei Paschi di Siena SpA         175,833
                                                          50,880  Banca Nazionale del Lavoro SpA (a)          164,323
                                                          16,065  Banca Popolare di Milano SCRL               153,981
                                                          16,381  Banche Popolari Unite Scrl                  344,784
                                                          13,238  Banco Popolare di Verona e Novara Scrl      247,800
                                                          72,957  Capitalia SpA                               381,739
                                                          53,193  Sanpaolo IMI SpA                            835,185
                                                         179,778  UniCredito Italiano SpA                   1,058,658
                                                                                                           ----------
                                                                                                            4,561,626
                                                                                                           ----------
               Construction Materials - 0.0%               5,565  Italcementi SpA                              93,806
                                                                                                           ----------
               Diversified Financial Services - 0.0%       4,347  FinecoGroup SpA                              38,474
                                                                                                           ----------
               Diversified Telecommunication             317,467  Telecom Italia SpA                        1,206,840
               Services - 0.5%                           258,085  Telecom Italia SpA (RNC)                    809,367
                                                                                                           ----------
                                                                                                            2,016,207
                                                                                                           ----------
               Electric Utilities - 0.4%                 158,015  Enel SpA                                  1,515,994
                                                          21,454  Terna SpA                                    57,243
                                                                                                           ----------
                                                                                                            1,573,237
                                                                                                           ----------
               Gas Utilities - 0.1%                       45,149  Snam Rete Gas SpA                           252,080
                                                                                                           ----------
               Hotels, Restaurants & Leisure - 0.0%        4,473  Autogrill SpA                                67,086
                                                                                                           ----------
               Industrial Conglomerates - 0.0%           119,974  Pirelli & C SpA                             149,687
                                                                                                           ----------
               Insurance - 0.5%                           23,052  Alleanza Assicurazioni SpA                  301,692
                                                          39,307  Assicurazioni Generali SpA                1,272,022
                                                          11,651  Riunione Adriatica di Sicurta SpA           274,846
                                                                                                           ----------
                                                                                                            1,848,560
                                                                                                           ----------
               Internet Software & Services - 0.0%       170,961  Telecom Italia Media SpA (a)                 95,763
                                                           2,170  Tiscali SpA (a)                               7,725
                                                                                                           ----------
                                                                                                              103,488
                                                                                                           ----------
               Media - 0.1%                                5,198  Arnoldo Mondadori Editore SpA                55,679
                                                          13,547  Gruppo Editoriale L'Espresso SpA             84,986
                                                          18,663  Mediaset SpA                                269,234
                                                         171,874  Seat Pagine Gialle SpA                       71,815
                                                                                                           ----------
                                                                                                              481,714
                                                                                                           ----------
               Multi-Utilities & Unregulated              16,589  Edison SpA (a)                               33,914
               Power - 0.0%                                                                                          
                                                                                                           ----------
               Multiline Retail - 0.0%                     5,245  Rinascente SPA (a)                            3,408
                                                           5,245  Rozzano                                           0
                                                                                                           ----------
                                                                                                                3,408
                                                                                                           ----------
               Oil & Gas - 0.8%                          101,164  ENI SpA                                   2,634,808
                                                           1,875  ENI SpA (b)                                 244,050
                                                                                                           ----------
                                                                                                            2,878,858
                                                                                                           ----------
               Textiles, Apparel & Luxury Goods - 0.0%     5,296  Benetton Group SpA                           51,354
                                                           9,894  Bulgari SpA                                 117,914
                                                           4,858  Luxottica Group SpA                          99,946
                                                                                                           ----------
                                                                                                              269,214
                                                                                                           ----------
               Transportation Infrastructure - 0.1%       10,018  Autostrade SpA                              260,163
                                                                                                           ----------
               Wireless Telecommunication                 52,198  TIM SpA                                     350,049
               Services - 0.1%                                                                                       
                                                                                                           ----------
                                                                  TOTAL COMMON STOCKS IN ITALY             16,070,696
                                                                                                           ----------

 9

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                      SHARES                                                      
COUNTRY        INDUSTRY*                               HELD    COMMON STOCKS                              VALUE   
-------------  ------------------------------------  --------  ---------------------------------------  ----------
                                                                                                                  
JAPAN - 20.4%  Air Freight & Logistics - 0.1%          23,000  Yamato Transport Co., Ltd.               $  329,862
                                                                                                        ----------
               Airlines - 0.0%                         28,000  Japan Airlines Corp.                         81,937
                                                                                                        ----------
               Auto Components - 0.4%                   9,900  Aisin Seiki Co., Ltd.                       225,841
                                                       25,000  Bridgestone Corp.                           460,686
                                                       20,600  Denso Corp.                                 514,230
                                                        1,000  NGK Spark Plug Co., Ltd.                     10,368
                                                        4,000  NOK Corp.                                    95,550
                                                       12,000  Sanden Corp.                                 60,247
                                                        7,000  Stanley Electric Co., Ltd.                  106,283
                                                        1,000  Toyoda Gosei Co., Ltd.                       18,100
                                                        8,000  Toyota Industries Corp.                     225,879
                                                                                                        ----------
                                                                                                         1,717,184
                                                                                                        ----------
               Automobiles - 1.8%                      32,400  Honda Motor Co., Ltd.                     1,626,664
                                                      100,700  Nissan Motor Co., Ltd.                    1,034,679
                                                      118,100  Toyota Motor Corp.                        4,405,563
                                                        9,000  Yamaha Motor Co., Ltd.                      154,404
                                                                                                        ----------
                                                                                                         7,221,310
                                                                                                        ----------
               Beverages - 0.1%                         9,000  Asahi Breweries Ltd.                        116,875
                                                       25,000  Kirin Brewery Co., Ltd.                     244,250
                                                       27,000  Sapporo Holdings Ltd. (d)                   126,720
                                                       13,000  Takara Holdings, Inc.                        91,277
                                                                                                        ----------
                                                                                                           579,122
                                                                                                        ----------
               Building Products - 0.3%                28,000  Asahi Glass Co., Ltd.                       295,811
                                                        2,000  Central Glass Co., Ltd.                      12,734
                                                       12,000  Daikin Industries Ltd.                      302,917
                                                       11,000  JS Group Corp.                              202,393
                                                       24,000  Nippon Sheet Glass Co., Ltd.                101,870
                                                        9,000  Toto Ltd.                                    77,412
                                                                                                        ----------
                                                                                                           993,137
                                                                                                        ----------
               Capital Markets - 0.4%                  43,000  Daiwa Securities Group, Inc.                283,826
                                                        1,100  Jafco Co., Ltd. (a)                          69,213
                                                       56,000  Nikko Cordial Corp.                         280,628
                                                       76,000  Nomura Holdings, Inc.                     1,065,819
                                                                                                        ----------
                                                                                                         1,699,486
                                                                                                        ----------
               Chemicals - 0.9%                        53,000  Asahi Kasei Corp.                           261,631
                                                        3,000  Daicel Chemical Industries Ltd.              16,548
                                                       30,000  Dainippon Ink and Chemicals, Inc.            82,180
                                                        3,000  Denki Kagaku Kogyo Kabushiki Kaisha          10,883
                                                        2,500  Hitachi Chemical Co., Ltd.                   44,783
                                                       11,000  Ishihara Sangyo Kaisha Ltd.                  25,505
                                                        4,000  JSR Corp.                                    79,095
                                                       13,000  Kaneka Corp.                                143,904
                                                       25,000  Kuraray Co., Ltd.                           223,682
                                                       42,000  Mitsubishi Chemical Corp.                   134,293
                                                       18,000  Mitsubishi Gas Chemical Co., Inc.            84,648
                                                       49,000  Mitsubishi Rayon Co., Ltd.                  181,414
                                                       13,000  Mitsui Chemicals, Inc.                       72,803
                                                       12,000  Nissan Chemical Industries Ltd.             103,777
                                                        7,910  Nitto Denko Corp.                           415,615
                                                       14,900  Shin-Etsu Chemical Co., Ltd.                565,576
                                                       18,000  Showa Denko KK                               47,289
                                                       14,000  Sumitomo Bakelite Co., Ltd.                  87,565
                                                       54,000  Sumitomo Chemical Co., Ltd.                 267,577
                                                       52,000  Teijin Ltd.                                 222,663
                                                       49,000  Toray Industries, Inc.                      220,353
                                                       38,000  Tosoh Corp.                                 188,295
                                                       57,000  Ube Industries Ltd.                         117,773
                                                                                                        ----------
                                                                                                         3,597,852
                                                                                                        ----------

10

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                SHARES                                                       
COUNTRY  INDUSTRY*                               HELD    COMMON STOCKS                               VALUE   
-------  ------------------------------------  --------  ---------------------------------------  -----------
                                                                                                             
         Commercial Banks - 2.0%                 12,000  The 77 Bank Ltd.                         $    87,173
                                                 31,000  The Bank of Fukuoka Ltd.                     195,054
                                                 41,000  The Bank of Yokohama Ltd. (a)                250,692
                                                 31,000  The Chiba Bank Ltd.                          201,141
                                                 13,000  The Gunma Bank Ltd.                           75,234
                                                 46,000  Hokuhoku Financial Group, Inc.               139,772
                                                 23,000  The Joyo Bank Ltd.                           124,074
                                                    179  Mitsubishi Tokyo Financial Group, Inc.     1,556,376
                                                 23,000  Mitsui Trust Holdings, Inc.                  229,226
                                                    308  Mizuho Financial Group, Inc.               1,459,948
                                                154,000  Resona Holdings, Inc. (a)                    309,555
                                                 69,000  Shinsei Bank Ltd.                            393,512
                                                 26,000  The Shizuoka Bank Ltd.                       263,257
                                                    169  Sumitomo Mitsui Financial Group, Inc.      1,147,102
                                                 48,000  The Sumitomo Trust & Banking Co., Ltd.       313,687
                                                  4,000  Suruga Bank Ltd.                              35,639
                                                    160  UFJ Holdings, Inc.                           843,680
                                                                                                  -----------
                                                                                                    7,625,122
                                                                                                  -----------
         Commercial Services &                    2,000  Benesse Corp.                                 68,063
         Supplies - 0.3%                         26,000  Dai Nippon Printing Co., Ltd.                425,150
                                                  5,000  Kokuyo Co., Ltd.                              63,902
                                                    500  Meitec Corp.                                  17,483
                                                 12,000  Secom Co., Ltd.                              500,374
                                                 15,000  Toppan Printing Co., Ltd.                    164,641
                                                                                                  -----------
                                                                                                    1,239,613
                                                                                                  -----------
         Computers & Peripherals - 0.4%          84,000  Fujitsu Ltd.                                 505,759
                                                 72,000  NEC Corp.                                    436,200
                                                  4,300  Seiko Epson Corp.                            160,004
                                                151,000  Toshiba Corp.                                632,461
                                                                                                  -----------
                                                                                                    1,734,424
                                                                                                  -----------
         Construction &                           9,457  COMSYS Holdings Corp.                         79,486
         Engineering - 0.2%                       3,000  JGC Corp.                                     32,816
                                                 46,000  Kajima Corp.                                 190,520
                                                  9,000  Kinden Corp.                                  70,596
                                                 14,000  Nishimatsu Construction Co., Ltd.             53,141
                                                 25,000  Obayashi Corp.                               154,497
                                                 16,000  Shimizu Corp.                                 82,124
                                                 54,000  Taisei Corp.                                 202,954
                                                  3,000  Toda Corp.                                    14,809
                                                                                                  -----------
                                                                                                      880,943
                                                                                                  -----------
         Construction Materials - 0.1%           34,000  Sumitomo Osaka Cement Co., Ltd.               89,323
                                                 47,000  Taiheiyo Cement Corp.                        132,264
                                                                                                  -----------
                                                                                                      221,587
                                                                                                  -----------
         Consumer Finance - 0.5%                  3,100  Acom Co., Ltd.                               210,125
                                                    500  Aeon Credit Service Co., Ltd.                 33,844
                                                  1,850  Aiful Corp.                                  148,401
                                                    925  Aiful Corp. (a)                               72,644
                                                  8,200  Credit Saison Co., Ltd.                      295,924
                                                  4,100  ORIX Corp.                                   524,000
                                                  3,550  Promise Co., Ltd.                            243,283
                                                  5,620  Takefuji Corp.                               379,361
                                                                                                  -----------
                                                                                                    1,907,582
                                                                                                  -----------
         Containers & Packaging - 0.0%            5,000  Toyo Seikan Kaisha Ltd.                       93,072
                                                                                                  -----------
         Diversified Telecommunication              239  Nippon Telegraph & Telephone Corp.         1,047,971
         Services - 0.3%                                                                                     
                                                                                                  -----------

11

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                   SHARES                                                       
COUNTRY  INDUSTRY*                                  HELD    COMMON STOCKS                               VALUE   
-------  ------------------------------------     --------  ---------------------------------------  -----------
                                                                                                                
         Electric Utilities - 0.9%                  25,100  Chubu Electric Power Co., Inc.           $   604,268
                                                     7,800  Electric Power Development Co.               240,651
                                                     6,000  Hokkaido Electric Power Co., Inc.            122,289
                                                    28,200  The Kansai Electric Power Co., Inc.          566,847
                                                    16,400  Kyushu Electric Power Co., Inc.              349,589
                                                    17,600  Tohoku Electric Power Co., Inc.              326,956
                                                    52,100  The Tokyo Electric Power Co., Inc.         1,266,455
                                                                                                     -----------
                                                                                                       3,477,055
                                                                                                     -----------
         Electrical Equipment - 0.3%                21,000  Fujikura Ltd.                                 92,277
                                                    30,000  Furukawa Electric Co., Ltd.                  137,715
                                                    13,873  Matsushita Electric Works Ltd.               119,716
                                                    68,000  Mitsubishi Electric Corp.                    352,842
                                                    29,000  Sumitomo Electric Industries Ltd.            309,359
                                                     3,000  Ushio, Inc.                                   57,498
                                                                                                     -----------
                                                                                                       1,069,407
                                                                                                     -----------
         Electronic Equipment &                     12,000  Alps Electric Co., Ltd.                      191,511
         Instruments - 1.1%                          4,000  Citizen Watch Co., Ltd.                       38,482
                                                    15,000  Dainippon Screen Manufacturing Co., Ltd.     101,673
                                                     1,500  Hirose Electric Co., Ltd.                    153,562
                                                   129,000  Hitachi Ltd.                                 803,235
                                                     4,200  Hoya Corp.                                   463,351
                                                       900  Keyence Corp.                                209,013
                                                     7,500  Kyocera Corp.                                536,415
                                                     1,200  Mabuchi Motor Co., Ltd.                       72,251
                                                     8,400  Murata Manufacturing Co., Ltd.               451,571
                                                     1,900  Nidec Corp.                                  237,145
                                                    33,000  Oki Electric Industry Co., Ltd.              139,454
                                                    10,000  Omron Corp.                                  218,773
                                                     6,200  TDK Corp.                                    425,467
                                                     3,000  Yokogawa Electric Corp.                       40,726
                                                                                                     -----------
                                                                                                       4,082,629
                                                                                                     -----------
         Food & Staples                             23,000  Aeon Co., Ltd.                               389,426
         Retailing - 0.5%                            3,900  FamilyMart Co., Ltd.                         115,221
                                                    15,000  Ito-Yokado Co., Ltd.                         600,224
                                                     2,400  Lawson, Inc.                                  88,407
                                                     3,200  Matsumotokiyoshi Co., Ltd. (d)                95,138
                                                    14,000  Seven-Eleven Japan Co., Ltd.                 410,995
                                                     4,000  UNY Co., Ltd.                                 48,168
                                                                                                     -----------
                                                                                                       1,747,579
                                                                                                     -----------
         Food Products - 0.2%                       32,000  Ajinomoto Co., Inc.                          391,324
                                                     3,000  Kikkoman Corp.                                30,151
                                                     1,000  Nichirei Corp.                                 3,805
                                                     2,000  Nippon Meat Packers, Inc.                     25,411
                                                    11,000  Nisshin Seifun Group, Inc.                   117,240
                                                     5,300  Nissin Food Products Co., Ltd.               138,991
                                                    18,000  Snow Brand Milk Products Co., Ltd. (a)        59,574
                                                     3,000  Yakult Honsha Co., Ltd.                       57,919
                                                     7,000  Yamazaki Baking Co., Ltd.                     66,230
                                                                                                     -----------
                                                                                                         890,645
                                                                                                     -----------
         Gas Utilities - 0.2%                       86,000  Osaka Gas Co., Ltd.                          265,333
                                                    93,000  Tokyo Gas Co., Ltd.                          375,617
                                                                                                     -----------
                                                                                                         640,950
                                                                                                     -----------
         Health Care Equipment &                     6,000  Olympus Corp.                                140,239
         Supplies - 0.1%                             5,600  Terumo Corp.                                 169,110
                                                                                                     -----------
                                                                                                         309,349
                                                                                                     -----------
         Health Care Providers & Services - 0.0%       200  Nichii Gakkan Co.                              6,040
                                                     1,000  Suzuken Co., Ltd.                             24,682
                                                                                                     -----------
                                                                                                          30,722
                                                                                                     -----------

12

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                SHARES                                                        
COUNTRY  INDUSTRY*                               HELD    COMMON STOCKS                               VALUE    
-------  ------------------------------------  --------  ---------------------------------------  ----------- 
                                                                                                              
         Hotels, Restaurants & Leisure - 0.0%     1,900  Oriental Land Co., Ltd.                  $   124,346 
                                                  2,000  Skylark Co., Ltd.                             33,826 
                                                                                                  ----------- 
                                                                                                      158,172 
                                                                                                  ----------- 
         Household Durables - 1.1%                2,000  Casio Computer Co., Ltd.                      26,458 
                                                  2,000  Daito Trust Construction Co., Ltd.            84,144 
                                                 13,000  Daiwa House Industry Co., Ltd.               149,738 
                                                  1,000  Makita Corp.                                  18,306 
                                                 88,000  Matsushita Electric Industrial Co., Ltd.   1,299,925 
                                                  7,800  Pioneer Corp.                                140,671 
                                                 41,000  Sanyo Electric Co., Ltd.                     128,029 
                                                 20,000  Sekisui Chemical Co., Ltd.                   145,662 
                                                 12,000  Sekisui House Ltd.                           128,459 
                                                 43,000  Sharp Corp.                                  652,076 
                                                 38,400  Sony Corp.                                 1,532,984 
                                                                                                  ----------- 
                                                                                                    4,306,452 
                                                                                                  ----------- 
         Household Products - 0.2%               24,000  Kao Corp.                                    553,104 
                                                  2,400  Uni-Charm Corp.                              107,928 
                                                                                                  ----------- 
                                                                                                      661,032 
                                                                                                  ----------- 
         IT Services - 0.2%                       3,100  CSK Corp.                                    129,263 
                                                    400  Itochu Techno-Science Corp.                   12,977 
                                                     47  NET One Systems Co., Ltd.                    120,840 
                                                     57  NTT Data Corp.                               197,176 
                                                  1,500  Nomura Research Institute Ltd.               140,239 
                                                    100  Obic Co., Ltd.                                19,559 
                                                    400  TIS, Inc.                                     15,669 
                                                                                                  ----------- 
                                                                                                      635,723 
                                                                                                  ----------- 
         Insurance - 0.6%                            61  Millea Holdings, Inc.                        889,678 
                                                 63,000  Mitsui Sumitomo Insurance Co., Ltd.          578,992 
                                                 29,000  Sompo Japan Insurance, Inc.                  303,394 
                                                  7,250  T&D Holdings, Inc.                           369,414 
                                                                                                  ----------- 
                                                                                                    2,141,478 
                                                                                                  ----------- 
         Internet & Catalog Retail - 0.0%           130  Rakuten, Inc.                                113,641 
                                                                                                  ----------- 
         Internet Software &                     10,200  Softbank Corp. (a)                           421,503 
         Services - 0.2%                             62  Yahoo! Japan Corp.                           146,073 
                                                     62  Yahoo! Japan Corp. (a)                       145,494 
                                                                                                  ----------- 
                                                                                                      713,070 
                                                                                                  ----------- 
         Leisure Equipment &                      2,100  Bandai Co., Ltd.                              42,703 
         Products - 0.3%                         22,000  Fuji Photo Film Co., Ltd.                    806,283 
                                                  6,000  Nikon Corp.                                   69,166 
                                                  1,400  Sankyo Co., Ltd. (Gunma)                      67,932 
                                                  2,732  Sega Sammy Holdings, Inc.                    166,536 
                                                  3,500  Shimano, Inc.                                117,801 
                                                  6,600  Yamaha Corp.                                  95,458 
                                                                                                  ------------
                                                                                                    1,365,879 
         Machinery - 0.7%                        20,000  Amada Co., Ltd.                              123,411 
                                                 22,000  Ebara Corp. (d)                               97,700 
                                                  7,300  Fanuc Ltd.                                   457,956 
                                                  5,000  Hino Motors Ltd.                              31,507 
                                                 92,000  Ishikawajima-Harima Heavy                            
                                                         Industries Co., Ltd.                         148,803 
                                                 26,000  Kawasaki Heavy Industries Ltd.                44,970 
                                                 39,000  Komatsu Ltd.                                 293,886 
                                                  8,000  Koyo Seiko Co., Ltd. (d)                     108,527 
                                                 47,000  Kubota Corp.                                 251,346 
                                                  3,000  Kurita Water Industries Ltd.                  47,289 
                                                 25,000  Minebea Co., Ltd.                            107,517 

13

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                        SHARES                                                         
COUNTRY             INDUSTRY*            HELD                  COMMON STOCKS                   VALUE   
-------  ----------------------------  -------  ------------------------------------------  -----------
                                                                                                       
                                        88,000  Mitsubishi Heavy Industries Ltd.            $   234,480
                                        50,000  Mitsui Engineering & Shipbuilding Co., Ltd.      94,895
                                         3,000  NGK Insulators Ltd.                              29,871
                                        14,000  NSK Ltd.                                         72,251
                                        15,000  NTN Corp.                                        83,442
                                         1,400  SMC Corp.                                       158,770
                                        32,000  Sumitomo Heavy Industries Ltd.                  126,253
                                         3,700  THK Co., Ltd.                                    74,892
                                         9,000  Takuma Co., Ltd.                                 75,056
                                                                                            -----------
                                                                                              2,662,822
                                                                                            -----------
         Marine - 0.2%                  29,000  Kawasaki Kisen Kaisha Ltd.                      200,636
                                        50,000  Mitsui OSK Lines Ltd.                           322,083
                                        49,000  Nippon Yusen Kabushiki Kaisha                   295,942
                                                                                            -----------
                                                                                                818,661
                                                                                            -----------
         Media - 0.1%                      600  Asatsu-DK, Inc.                                  19,241
                                            33  Dentsu, Inc.                                     90,398
                                             1  Fuji Television Network, Inc.                     2,365
                                         5,000  Toho Co., Ltd.                                   81,900
                                         4,000  Tokyo Broadcasting System, Inc.                  78,160
                                                                                            -----------
                                                                                                272,064
                                                                                            -----------
         Metals & Mining - 0.6%          7,000  Dowa Mining Co., Ltd.                            47,317
                                        24,100  JFE Holdings, Inc.                              673,700
                                        54,000  Kobe Steel Ltd.                                  95,419
                                        10,000  Mitsubishi Materials Corp.                       23,934
                                        22,000  Mitsui Mining & Smelting Co., Ltd.               97,700
                                       277,000  Nippon Steel Corp.                              701,823
                                        40,000  Nisshin Steel Co., Ltd.                         105,086
                                       152,000  Sumitomo Metal Industries Ltd.                  274,271
                                        32,000  Sumitomo Metal Mining Co., Ltd.                 241,436
                                                                                            -----------
                                                                                              2,260,686
                                                                                            -----------
         Multiline Retail - 0.1%         9,000  Daimaru, Inc.                                    80,357
                                         6,000  Hankyu Department Stores                         46,896
                                         1,000  Isetan Co., Ltd.                                 13,061
                                         7,000  Marui Co., Ltd.                                  94,306
                                        16,000  Mitsukoshi Ltd.                                  83,770
                                         1,800  Ryohin Keikaku Co., Ltd.                         89,192
                                         4,000  Takashimaya Co., Ltd.                            41,062
                                                                                            -----------
                                                                                                448,644
                                                                                            -----------
         Office Electronics - 0.7%      34,000  Canon, Inc.                                   1,827,786
                                        26,000  Konica Minolta Holdings, Inc.                   263,500
                                        30,000  Ricoh Co., Ltd.                                 516,081
                                                                                            -----------
                                                                                              2,607,367
                                                                                            -----------
         Oil & Gas - 0.2%               21,000  Nippon Mining Holdings, Inc.                    115,641
                                        66,000  Nippon Oil Corp.                                469,577
                                         6,000  Showa Shell Sekiyu KK                            58,340
                                        17,000  Teikoku Oil Co., Ltd.                           124,289
                                        10,000  TonenGeneral Sekiyu KK                          102,749
                                                                                            -----------
                                                                                                870,596
                                                                                            -----------
         Paper & Forest Products -          39  Nippon Paper Group, Inc.                        180,488
         0.1%                           31,000  OJI Paper Co., Ltd.                             174,476
                                                                                            -----------
                                                                                                354,964
                                                                                            -----------
         Personal Products - 0.0%        1,700  Aderans Co., Ltd.                                36,158
                                        10,000  Shiseido Co., Ltd. (d)                          132,292
                                                                                            -----------
                                                                                                168,450
                                                                                            -----------

14

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                   SHARES                                                               
COUNTRY  INDUSTRY*                                  HELD    COMMON STOCKS                                    VALUE      
-------  ----------------------------------------  -------  -----------------------------------------  -----------------
                                                                                                                        
         Pharmaceuticals - 1.1%                     17,300  Chugai Pharmaceutical Co., Ltd.            $         266,390
                                                    14,100  Daiichi Pharmaceutical Co., Ltd.                     330,881
                                                    10,000  Eisai Co., Ltd.                                      340,314
                                                    16,000  Fujisawa Pharmaceutical Co., Ltd.                    385,535
                                                    11,000  Kaken Pharmaceutical Co., Ltd.                        76,103
                                                    11,000  Kyowa Hakko Kogyo Co., Ltd.                           84,433
                                                    11,300  Sankyo Co., Ltd.                                     238,762
                                                    18,000  Shionogi & Co., Ltd.                                 248,729
                                                     7,000  Taisho Pharmaceutical Co., Ltd.                      149,215
                                                    38,000  Takeda Pharmaceutical Co., Ltd.                    1,815,445
                                                    13,300  Yamanouchi Pharmaceutical Co., Ltd.                  451,374
                                                                                                       -----------------
                                                                                                               4,387,181
                                                                                                       -----------------
         Real Estate - 0.4%                             14  Japan Real Estate Investment Corp. (d)               114,529
                                                        13  Japan Retail Fund Investment Corp.                   103,553
                                                     2,300  Leopalace21 Corp.                                     38,018
                                                    45,000  Mitsubishi Estate Co., Ltd.                          524,215
                                                    37,000  Mitsui Fudosan Co., Ltd.                             435,518
                                                        16  Nippon Building Fund, Inc.                           137,023
                                                    20,000  Sumitomo Realty & Development Co., Ltd.              241,960
                                                    26,000  Tokyu Land Corp.                                     109,630
                                                                                                       -----------------
                                                                                                               1,704,446
                                                                                                       -----------------
         Road & Rail - 0.7%                             41  Central Japan Railway Co.                            351,889
                                                       163  East Japan Railway Co.                               877,786
                                                    15,000  Keihin Electric Express Railway Co., Ltd.             92,979
                                                    19,000  Keio Electric Railway Co., Ltd.                      112,977
                                                    72,000  Kintetsu Corp. (d)                                   245,026
                                                    37,000  Nippon Express Co., Ltd.                             195,101
                                                    25,000  Odakyu Electric Railway Co., Ltd.                    153,095
                                                    42,000  Tobu Railway Co., Ltd.                               170,026
                                                    41,000  Tokyu Corp.                                          214,276
                                                        87  West Japan Railway Co.                               355,451
                                                                                                       -----------------
                                                                                                               2,768,606
                                                                                                       -----------------
         Semiconductors & Semiconductor              3,500  Advantest Corp.                                      268,979
         Equipment - 0.3%                            1,200  NEC Electronics Corp.                                 56,096
                                                     4,000  Rohm Co., Ltd.                                       387,061
                                                     8,000  Sanken Electric Co., Ltd.                            105,011
                                                     7,800  Tokyo Electron Ltd.                                  445,568
                                                                                                       -----------------
                                                                                                               1,262,715
                                                                                                       -----------------
         Software - 0.3%                             5,700  Capcom Co., Ltd.                                      55,796
                                                     3,600  Konami Corp.                                          80,105
                                                     9,000  Namco Ltd.                                           117,212
                                                     4,500  Nintendo Co., Ltd.                                   492,240
                                                       900  Oracle Corp. Japan                                    41,735
                                                     5,500  Trend Micro, Inc.                                    237,051
                                                                                                       -----------------
                                                                                                               1,024,139
                                                                                                       -----------------
         Specialty Retail - 0.1%                     2,800  Aoyama Trading Co., Ltd.                              75,785
                                                     1,300  Autobacs Seven Co., Ltd.                              42,053
                                                     2,400  Fast Retailing Co., Ltd.                             145,624
                                                       600  Shimachu Co., Ltd.                                    15,707
                                                       600  Shimamura Co., Ltd.                                   46,055
                                                       700  USS Co., Ltd.                                         54,319
                                                     4,200  Yamada Denki Co., Ltd. (d)                           220,681
                                                                                                       -----------------
                                                                                                                 600,224
                                                                                                       -----------------
         Textiles, Apparel & Luxury Goods - 0.1%     1,000  Nisshinbo Industries, Inc.                             8,162
                                                     8,000  Onward Kashiyama Co., Ltd.                           118,399
                                                     2,000  Toyobo Co., Ltd.                                       4,880
                                                     5,000  Wacoal Corp.                                          66,520
                                                     1,600  World Co., Ltd.                                       58,040
                                                                                                       -----------------
                                                                                                                 256,001
                                                                                                       -----------------

15

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                             SHARES                                                         
COUNTRY             INDUSTRY*                                 HELD    COMMON STOCKS                                VALUE    
-------             ---------------------------------------  -------  --------------------------------------  --------------
                                                                                                                            
                    Tobacco - 0.1%                                45  Japan Tobacco, Inc.                     $      500,654
                    Trading Companies &                       53,000  Itochu Corp.                                   267,577
                    Distributors - 0.5%                       80,000  Marubeni Corp.                                 257,292
                                                              40,000  Mitsubishi Corp.                               519,447
                                                              47,000  Mitsui & Co., Ltd.                             434,583
                                                              23,100  Sojitz Holdings Corp. (a)                      114,031
                                                              38,000  Sumitomo Corp.                                 326,496
                                                                                                              --------------
                                                                                                                   1,919,426
                                                                                                              --------------
                    Transportation                             2,000  Kamigumi Co., Ltd.                              16,754
                    Infrastructure - 0.0%                      8,000  Mitsubishi Logistics Corp.                      90,726
                                                                                                              --------------
                                                                                                                     107,480
                                                                                                              --------------
                    Wireless Telecommunication                   810  NTT DoCoMo, Inc.                             1,363,126
                    Services - 0.4%                                                                                         
                                                                                                              --------------
                                                                      TOTAL COMMON STOCKS IN JAPAN                79,672,239
                                                                                                              --------------
NETHERLANDS - 4.8%  Air Freight & Logistics -                 17,341  TNT NV                                         494,691
                    0.1%                                                                                                    
                                                                                                              --------------
                    Beverages - 0.1%                          10,499  Heineken NV                                    364,731
                                                                                                              --------------
                    Chemicals - 0.2%                          11,211  Akzo Nobel NV                                  513,167
                                                               3,975  DSM NV                                         280,777
                                                                                                              --------------
                                                                                                                     793,944
                                                                                                              --------------
                    Commercial Banks - 0.4%                   66,225  ABN AMRO Holding NV                          1,647,362
                                                                                                              --------------
                    Commercial Services &                      1,086  Randstad Holdings NV (a)                        48,468
                    Supplies - 0.0%                            7,896  Vedior NV                                      140,795
                                                                                                              --------------
                                                                                                                     189,263
                                                                                                              --------------
                    Diversified Financial Services - 0.7%      6,281  Euronext NV                                    224,077
                                                              78,678  ING Groep NV CVA                             2,382,509
                                                                                                              --------------
                                                                                                                   2,606,586
                                                                                                              --------------
                    Diversified Telecommunication            103,699  Royal KPN NV                                   929,927
                    Services - 0.2%                                                                                         
                                                                                                              --------------
                    Energy Equipment & Services - 0.0%           228  IHC Caland NV                                   14,520
                                                                                                              --------------

                    Food & Staples Retailing - 0.2%           67,517  Koninklijke Ahold NV (a)                       566,854
                                                                                                              --------------
                    Food Products - 0.5%                       6,433  Royal Numico NV (a)                            263,861
                                                              24,092  Unilever NV                                  1,643,832
                                                                                                              --------------
                                                                                                                   1,907,693
                                                                                                              --------------
                    Household Durables - 0.4%                 59,025  Koninklijke Philips Electronics NV           1,630,122
                                                                                                              --------------
                    IT Services - 0.0%                        14,185  Getronics NV                                    33,000
                                                                                                              --------------
                    Insurance - 0.2%                          60,535  Aegon NV                                       818,997
                                                                                                              --------------
                    Media - 0.3%                              34,981  Reed Elsevier NV                               528,734
                                                              10,501  VNU NV                                         307,071
                                                               8,647  Wolters Kluwer NV                              158,344
                                                                                                              --------------
                                                                                                                     994,149
                                                                                                              --------------
                    Office Electronics - 0.0%                    194  OCE NV                                           3,109
                                                                                                              --------------
                    Oil & Gas - 1.3%                          86,346  Royal Dutch Petroleum Co.                    5,175,553
                    Real Estate - 0.1%                         1,655  Corio NV                                        92,769
                                                               1,648  Rodamco Europe NV                              123,583
                                                                 332  Wereldhave NV                                   34,087
                                                                                                              --------------
                                                                                                                     250,439
                                                                                                              --------------
                    Semiconductors & Semiconductor            22,427  ASML Holding NV (a)                            379,788
                    Equipment - 0.1%                                                                                        
                                                                                                              --------------
                    Trading Companies & Distributors - 0.0%   30,280  Hagemeyer NV (a)                                77,132
                                                                                                              --------------
                                                                      TOTAL COMMON STOCKS IN THE NETHERLANDS      18,877,860
                                                                                                              --------------

16

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                        SHARES                                                          
COUNTRY          INDUSTRY*                               HELD   COMMON STOCKS                                   VALUE   
---------------  -------------------------------------  ------  ------------------------------------------  ------------
                                                                                                                        
NEW ZEALAND -    Construction Materials - 0.0%          20,926  Fletcher Building Ltd.                      $     99,064
0.2%                                                                                                                    
                                                                                                            ------------
                 Diversified Telecommunication          68,034  Telecom Corp. of New Zealand Ltd. (d)            293,940
                 Services - 0.1%                                                                                        
                                                                                                            ------------
                 Electric Utilities - 0.1%              22,289  Contact Energy Ltd.                              103,291
                                                                                                            ------------
                 Health Care Equipment &                45,575  Fisher & Paykel Healthcare Corp.                  97,153
                 Supplies - 0.0%                                                                                        
                                                                                                            ------------
                 Household Durables - 0.0%              30,232  Fisher & Paykel Appliances Holdings Ltd.          64,015
                                                                                                            ------------
                 Insurance - 0.0%                        9,996  Tower Ltd. (a)                                    12,614
                                                                                                            ------------
                 Multiline Retail - 0.0%                16,257  Warehouse Group Ltd.                              46,014
                                                                                                            ------------
                 Paper & Forest                          5,644  Carter Holt Harvey Ltd.                            7,927
                 Products - 0.0%                           574  Tenon Ltd.                                         1,715
                                                                                                            ------------
                                                                                                                   9,642
                                                                                                            ------------
                 Transportation Infrastructure - 0.0%   16,200  Auckland International Airport Ltd.               93,553
                                                                                                            ------------
                                                                TOTAL COMMON STOCKS IN NEW ZEALAND               819,286
                                                                                                            ------------
NORWAY - 0.7%    Airlines - 0.0%                         2,392  SAS AB (a)                                        23,960
                                                                                                            ------------
                 Chemicals - 0.1%                        8,336  Yara International ASA                           127,065
                                                                                                            ------------
                 Commercial Banks - 0.1%                19,915  DNB NOR ASA                                      204,215
                                                                                                            ------------
                 Commercial Services & Supplies - 0.0%   2,598  Tomra Systems ASA                                 11,644
                                                                                                            ------------
                 Communications Equipment - 0.0%         9,463  Tandberg ASA                                      99,285
                                                                                                            ------------
                 Diversified Telecommunication             913  Telenor ASA                                        8,242
                 Services - 0.1%                         8,900  Telenor ASA (b)                                  244,750
                                                                                                            ------------
                                                                                                                 252,992
                                                                                                            ------------
                 Energy Equipment &                      3,691  Smedvig ASA Class A (d)                           69,560
                 Services - 0.0%                         7,800  Stolt Offshore SA (a)                             60,405
                                                                                                            ------------
                                                                                                                 129,965
                                                                                                            ------------
                 Food Products - 0.1%                    8,570  Orkla ASA                                        314,874
                                                                                                            ------------
                 Insurance - 0.0%                        8,611  Storebrand ASA                                    78,413
                                                                                                            ------------
                 Media - 0.0%                            3,568  Schibsted ASA                                     94,082
                                                                                                            ------------
                 Oil & Gas - 0.3%                        3,444  Frontline Ltd.                                   165,262
                                                         7,859  Norsk Hydro ASA                                  650,934
                                                           542  Ship Finance International Ltd.                   10,647
                                                        25,330  Statoil ASA                                      433,238
                                                                                                            ------------
                                                                                                               1,260,081
                                                                                                            ------------
                 Paper & Forest Products - 0.0%          3,089  Norske Skogindustrier ASA                         61,884
                                                                                                            ------------
                                                                TOTAL COMMON STOCKS IN NORWAY                  2,658,460
PORTUGAL - 0.3%  Commercial Banks - 0.1%                25,668  Banco BPI SA                                     105,082
                                                        88,715  Banco Comercial Portugues SA                            
                                                                Registered Shares                                242,126
                                                         6,793  Banco Espirito Santo SA Registered Shares        118,302
                                                                                                            ------------
                                                                                                                 465,510
                                                                                                            ------------
                 Construction Materials - 0.0%          15,305  Cimpor Cimentos de Portugal SA (a)                86,128
                                                                                                            ------------
                 Diversified Telecommunication          32,349  Portugal Telecom SGPS SA Registered Shares       380,062
                 Services - 0.1%                                                                                        
                                                                                                            ------------
                 Electric Utilities - 0.1%              57,220  Energias de Portugal SA (d)                      159,886
                                                                                                            ------------
                 Food & Staples                          4,098  Jeronimo Martins                                  62,580
                 Retailing - 0.0%                                                                                       
                                                                                                            ------------
                 Industrial Conglomerates - 0.0%        38,364  Sonae SGPS SA                                     57,837
                                                                                                            ------------

17

N-Q 19th “Page” of 79 TOC 1st Previous Next ↓Bottom Just 19th
MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                                 SHARES                                                             
COUNTRY              INDUSTRY*                                    HELD   COMMON STOCKS                                      VALUE   
-------------------  -----------------------------------------  -------  ---------------------------------------------  ------------
                                                                                                                                    
                     Media - 0.0%                                 2,349  PT Multimedia Servicos de Telecomunicacoes e               
                                                                         Multimedia SGPS SA                             $    58,768 
                                                                                                                        ------------
                     Transportation Infrastructure - 0.0%         7,477  Brisa-Auto Estradas de Portugal SA                         
                                                                         Private Shares                                      63,261 
                                                                                                                        ------------
                                                                         TOTAL COMMON STOCKS IN PORTUGAL                  1,334,032 
                                                                                                                        ------------
SINGAPORE - 0.8%     Aerospace & Defense - 0.0%                  56,213  Singapore Technologies Engineering Ltd.             87,252 
                                                                                                                        ------------
                     Air Freight & Logistics - 0.0%             138,954  Singapore Post Ltd.                                 72,034 

                                                                                                                        ------------
                     Airlines - 0.1%                             17,582  Singapore Airlines Ltd.                            126,857 
                                                                                                                        ------------
                     Commercial Banks - 0.3%                     58,109  DBS Group Holdings Ltd.                            524,965 
                                                                 36,598  Oversea-Chinese Banking Corp.                      306,222 
                                                                 54,572  United Overseas Bank Ltd.                          476,467 
                                                                                                                        ------------
                                                                                                                          1,307,654 
                                                                                                                        ------------
                     Computers & Peripherals - 0.0%               5,907  Creative Technology Ltd.                            56,946 
                                                                                                                        ------------
                     Distributors - 0.0%                          3,331  Jardine Cycle & Carriage Ltd.                       23,630 
                                                                                                                        ------------
                     Diversified Financial Services - 0.1%       82,000  Singapore Exchange Ltd.                            104,408 

                     Diversified Telecommunication              266,803  Singapore Telecommunications Ltd.                  412,507 
                     Services - 0.1%                                                                                                
                                                                                                                        ------------
                     Electronic Equipment & Instruments - 0.0%    5,000  Venture Corp. Ltd.                                  40,320 
                                                                                                                        ------------

                     Health Care Providers & Services - 0.0%     83,000  Parkway Holdings Ltd.                               82,029 
                                                                                                                        ------------
                     Hotels, Restaurants & Leisure - 0.0%         2,631  Overseas Union Enterprise Ltd.                      13,001 
                                                                                                                        ------------
                     Industrial Conglomerates - 0.1%              3,836  Fraser and Neave Ltd.                               35,353 
                                                                  1,766  Haw Par Corp. Ltd.                                   5,621 
                                                                 25,914  Keppel Corp. Ltd.                                  171,262 
                                                                 24,154  SembCorp Industries Ltd.                            28,411 
                                                                                                                        ------------
                                                                                                                            240,647 
                                                                                                                        ------------
                     Machinery - 0.0%                           107,427  SembCorp Marine Ltd.                               125,710 
                                                                                                                        ------------
                     Media - 0.0%                                36,116  Singapore Press Holdings Ltd.                       99,854 
                                                                                                                        ------------
                     Real Estate - 0.1%                         126,833  CapitaLand Ltd. (d)                                180,718 
                                                                 29,535  City Developments Ltd.                             115,504 
                                                                                                                        ------------
                                                                                                                            296,222 
                                                                                                                        ------------
                     Road & Rail - 0.0%                         104,816  ComfortDelgro Corp. Ltd.                           106,132 
                                                                                                                        ------------
                     Semiconductors & Semiconductor              89,002  Chartered Semiconductor Manufacturing Ltd.(a)       53,424 
                     Equipment - 0.0%                             1,120  Chartered Semiconductor Manufacturing                      
                                                                         Ltd.(a)(b)(d)                                              
                                                                                                                              6,877 
                                                                                                                        ------------
                                                                                                                             60,301 
                                                                                                                        ------------
                     Transportation Infrastructure - 0.0%        43,000  SembCorp Logistics Ltd.                             42,497 
                                                                                                                        ------------
                                                                         TOTAL COMMON STOCKS IN SINGAPORE                 3,298,001 
                                                                                                                        ------------
SOUTH AFRICA - 0.1%  Beverages - 0.1%                            35,782  SABMiller Plc                                      560,182 
                                                                                                                        ------------
                                                                         TOTAL COMMON STOCKS IN SOUTH AFRICA                560,182 
                                                                                                                        ------------
SPAIN - 3.9%         Airlines - 0.0%                             31,929  Iberia Lineas Aereas de Espana                     107,061 
                                                                                                                        ------------
                     Biotechnology - 0.0%                         6,228  Zeltia SA (d)                                       52,288 
                                                                                                                        ------------
                     Commercial Banks - 1.5%                    131,467  Banco Bilbao Vizcaya Argentaria SA               2,146,009 
                                                                  7,614  Banco Popular Espanol SA                           493,786 
                                                                246,308  Banco Santander Central Hispano SA               3,005,864 
                                                                                                                        ------------
                                                                                                                          5,645,659 
                                                                                                                        ------------
                     Construction &                              13,307  ACS Actividades de Construccion y Servicios,               
                                                                         SA                                                 330,323 
                     Engineering - 0.2%                             446  Acciona SA                                          40,343 
                                                                  2,428  Fomento de Construcciones y Contratas SA           124,423 
                                                                  3,360  Grupo Ferrovial SA                                 190,786 
                                                                  5,086  Sacyr Vallehermoso SA (d)                           91,416 
                                                                                                                        ------------
                                                                                                                            777,291 
                                                                                                                        ------------

18

N-Q 20th “Page” of 79 TOC 1st Previous Next ↓Bottom Just 20th
MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                         SHARES                                                           
COUNTRY        INDUSTRY*                                  HELD   COMMON STOCKS                                  VALUE     
-------------  ---------------------------------------  -------  ----------------------------------------  ---------------
                                                                                                                          
               Diversified Telecommunication            182,280  Telefonica SA                             $     3,183,930
               Services - 0.8%                            1,081  Telefonica SA (b)                                  56,180
                                                                                                           ---------------
                                                                                                                 3,240,110
                                                                                                           ---------------
               Electric Utilities - 0.6%                 43,823  Endesa SA                                         988,159
                                                         35,281  Iberdrola SA                                      925,310
                                                          8,894  Union Fenosa SA                                   264,818
                                                                                                           ---------------
                                                                                                                 2,178,287
                                                                                                           ---------------
               Electrical Equipment - 0.0%                  738  Gamesa Corp. Tecnologica SA                         9,831
                                                                                                           ---------------
               Gas Utilities - 0.1%                       7,543  Gas Natural SDG SA                                217,436
                                                                                                           ---------------
               Hotels, Restaurants & Leisure - 0.0%       7,812  NH Hoteles SA                                     100,716
                                                                                                           ---------------
               IT Services - 0.1%                        13,126  Amadeus Global Travel Distribution SA A           124,191
                                                          8,650  Indra Sistemas SA                                 155,588
                                                                                                           ---------------
                                                                                                                   279,779
                                                                                                           ---------------
               Insurance - 0.0%                           8,309  Corp Mapfre SA                                    128,289
                                                                                                           ---------------
               Media - 0.0%                               1,688  Antena 3 de Television SA                         138,100
                                                            628  Sogecable SA (a)                                   25,212
                                                                                                           ---------------
                                                                                                                   163,312
                                                                                                           ---------------
               Metals & Mining - 0.1%                    10,980  Acerinox SA (d)                                   180,517
                                                                                                           ---------------
               Oil & Gas - 0.3%                          38,713  Repsol YPF SA                                   1,027,396
                                                                                                           ---------------
               Real Estate - 0.0%                         1,764  Metrovacesa SA (a)                                 94,569
                                                                                                           ---------------
               Specialty Retail - 0.1%                    7,341  Inditex SA (d)                                    220,104
                                                                                                           ---------------
               Tobacco - 0.1%                            11,957  Altadis SA                                        490,283
                                                                                                           ---------------
               Transportation                             5,353  Abertis Infraestructuras SA                       121,261
               Infrastructure - 0.0%                      6,800  Cintra Concesiones de Infraestructuras                   
                                                                 de Transporte SA                                   73,352
                                                                                                           ---------------
                                                                                                                   194,613
                                                                                                           ---------------
               Water Utilities - 0.0%                     3,530  Sociedad General de Aguas de Barcelona                   
                                                                 SA Class A                                         76,570
                                                                                                           ---------------
                                                                 TOTAL COMMON STOCKS IN SPAIN                   15,184,111
                                                                                                           ---------------
SWEDEN - 2.3%  Airlines - 0.0%                            1,680  SAS AB (a)                                         16,999
                                                                                                           ---------------
               Auto Components - 0.0%                     6,944  Trelleborg AB Class B                             120,775
                                                                                                           ---------------
               Building Products - 0.1%                  18,498  Assa Abloy AB B                                   262,636
                                                                                                           ---------------
               Commercial Banks - 0.4%                   80,944  Nordea Bank AB                                    821,714
                                                         24,798  Skandinaviska Enskilda Banken AB Class A          471,793
                                                         19,957  Svenska Handelsbanken Class A                     473,197
                                                                                                           ---------------
                                                                                                                 1,766,704
                                                                                                           ---------------
               Commercial Services & Supplies - 0.1%     14,465  Securitas AB                                      232,074
                                                                                                           ---------------
               Communications                           618,398  Telefonaktiebolaget LM Ericsson                 1,747,234
               Equipment - 0.5%                           1,407  Telefonaktiebolaget LM Ericsson (b)                39,677
                                                                                                           ---------------
                                                                                                                 1,786,911
                                                                                                           ---------------
               Construction & Engineering - 0.1%         17,922  Skanska AB Class B                                217,562
                                                                                                           ---------------
               Diversified Financial                          1  Ainax AB                                               42
               Services - 0.0%                            1,010  OMX AB                                             11,974
                                                                                                           ---------------
                                                                                                                    12,016
                                                                                                           ---------------
               Diversified Telecommunication              6,322  Tele2 AB Class B (d)                              209,590
               Services - 0.1%                           40,346  TeliaSonera AB                                    240,591
                                                                                                           ---------------
                                                                                                                   450,181
                                                                                                           ---------------
               Health Care Equipment & Supplies - 0.0%    2,151  Getinge AB Class B                                 32,220
                                                                                                           ---------------

19

N-Q 21st “Page” of 79 TOC 1st Previous Next ↓Bottom Just 21st
MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                               SHARES                                                          
COUNTRY             INDUSTRY*                                   HELD   COMMON STOCKS                                VALUE      
------------------  -----------------------------------------  ------  --------------------------------------  ----------------
                                                                                                                               
                    Health Care Providers &                     4,167  Gambro AB Class A                       $         57,093
                    Services - 0.0%                             3,981  Gambro AB Class B                                 54,262
                                                                                                               ----------------
                                                                                                                        111,355
                                                                                                               ----------------
                    Household Durables - 0.1%                  15,168  Electrolux AB Series B                           354,262
                                                                                                               ----------------
                    IT Services - 0.0%                          4,275  WM-data AB Class B                                10,622
                                                                                                               ----------------
                    Insurance - 0.1%                           55,968  Skandia Forsakrings AB                           285,275
                                                                                                               ----------------
                    Machinery - 0.5%                            5,967  Alfa Laval AB                                     98,275
                                                                4,654  Atlas Copco AB Class A                           223,674
                                                                2,672  Atlas Copco AB Class B                           117,416
                                                                5,301  SKF AB Class B                                   248,748
                                                               10,360  Sandvik AB                                       432,451
                                                                3,295  Scania AB Class B                                140,816
                                                                3,880  Volvo AB Class A                                 166,368
                                                               10,995  Volvo AB Class B                                 487,838
                                                                                                               ----------------
                                                                                                                      1,915,586
                                                                                                               ----------------
                    Media - 0.0%                                5,496  Eniro AB                                          65,157
                                                                2,810  Modern Times Group AB Class B (a)                 85,379
                                                                                                               ----------------
                                                                                                                        150,536
                                                                                                               ----------------
                    Paper & Forest                                277  Billerud AB                                        4,090
                    Products - 0.1%                               945  Holmen AB Class B                                 29,853
                                                               10,718  Svenska Cellulosa AB Class B                     405,547
                                                                                                               ----------------
                                                                                                                        439,490
                                                                                                               ----------------
                    Specialty Retail - 0.2%                    22,049  Hennes & Mauritz AB B Shares                     760,721
                                                                                                               ----------------
                    Tobacco - 0.0%                             17,627  Swedish Match AB                                 216,483
                                                                                                               ----------------
                                                                       TOTAL COMMON STOCKS IN SWEDEN                  9,142,408
                                                                                                               ----------------
SWITZERLAND - 6.8%  Biotechnology - 0.1%                          355  Serono SA                                        258,528
                                                                                                               ----------------
                    Building Products - 0.0%                       90  Geberit AG Registered Shares                      66,146
                                                                                                               ----------------
                    Capital Markets - 1.5%                     50,370  Credit Suisse Group                            2,170,064
                                                               45,338  UBS AG Registered Shares                       3,841,881
                                                                                                               ----------------
                                                                                                                      6,011,945
                                                                                                               ----------------
                    Chemicals - 0.3%                            3,446  Ciba Specialty Chemicals AG                             
                                                                       Registered Shares                                223,777
                                                               10,389  Clariant AG                                      179,992
                                                                  198  Givaudan                                         127,581
                                                                2,482  Lonza Group AG Registered Shares                 152,431
                                                                5,443  Syngenta AG                                      570,376
                                                                                                               ----------------
                                                                                                                      1,254,157
                                                                                                               ----------------
                    Commercial Services &                       4,763  Adecco SA Registered Shares                      262,546
                    Supplies - 0.1%                               218  SGS SA                                           157,661
                                                                                                               ----------------
                                                                                                                        420,207
                                                                                                               ----------------
                    Computers & Peripherals - 0.0%              2,235  Logitech International SA                               
                                                                       Registered Shares (a)                            136,418
                                                                                                               ----------------
                    Construction Materials - 0.1%               7,704  Holcim Ltd.                                      475,400
                                                                                                               ----------------
                    Diversified Telecommunication               1,364  Swisscom AG                                      501,816
                    Services - 0.1%                                                                                            
                                                                                                               ----------------
                    Electrical Equipment - 0.1%                72,722  ABB Ltd. (a)                                     453,330
                                                                                                               ----------------
                    Electronic Equipment & Instruments - 0.0%   2,650  Kudelski SA                                       95,937
                                                                                                               ----------------
                    Food Products - 1.2%                       17,202  Nestle SA Registered Shares                    4,723,009
                                                                                                               ----------------
                    Health Care Equipment &                       850  Nobel Biocare Holding AG                         179,535
                    Supplies - 0.2%                             2,889  Phonak Holding AG Registered Shares               99,863
                                                                  207  Straumann Holding AG Registered Shares            44,981
                                                                2,128  Synthes, Inc.                                    237,456
                                                                                                               ----------------
                                                                                                                        561,835
                                                                                                               ----------------

20

N-Q 22nd “Page” of 79 TOC 1st Previous Next ↓Bottom Just 22nd
MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                                SHARES                                                      
COUNTRY                 INDUSTRY*                                HELD    COMMON STOCKS                             VALUE    
----------------------  ------------------------------------  ---------  ------------------------------------  -------------
                                                                                                                            
                        Hotels, Restaurants & Leisure - 0.0%         35  Kuoni Reisen Holding AG Registered                 
                                                                         Shares (a)                            $      15,534
                                                                                                               -------------
                        Insurance - 0.6%                         15,311  Swiss Reinsurance Registered Shares       1,100,249
                                                                  6,096  Zurich Financial Services AG (a)          1,073,538
                                                                                                               -------------
                                                                                                                   2,173,787
                                                                                                               -------------
                        Machinery - 0.0%                             40  Schindler Holding AG Participation                 
                                                                         Certificates                                 14,867
                                                                    282  Sulzer AG                                   121,847
                                                                                                               -------------
                                                                                                                     136,714
                                                                                                               -------------
                        Pharmaceuticals - 2.1%                  100,596  Novartis AG Registered Shares             4,709,503
                                                                 31,367  Roche Holding AG                          3,373,814
                                                                                                               -------------
                                                                                                                   8,083,317
                                                                                                               -------------
                        Semiconductors & Semiconductor            1,719  Micronas Semiconductor Holding AG                  
                        Equipment - 0.1%                                 Registered Shares (a)                        71,968
                                                                    880  Unaxis Holding AG (a)                       124,037
                                                                                                               -------------
                                                                                                                     196,005
                                                                                                               -------------
                        Textiles, Apparel &                      20,262  Compagnie Financiere Richemont AG           638,341
                        Luxury Goods - 0.3%                       1,575  Swatch Group AG B                           217,241
                                                                  2,276  Swatch Group AG Registered Shares            63,588
                                                                                                               -------------
                                                                                                                     919,170
                                                                                                               -------------
                                                                         TOTAL COMMON STOCKS IN SWITZERLAND       26,483,255
                                                                                                               -------------
UNITED KINGDOM - 24.3%  Aerospace & Defense - 0.3%              140,882  BAE Systems Plc                             690,820
                                                                  3,528  Cobham Plc                                   93,132
                                                                  5,374  Meggitt Plc                                  26,732
                                                                 69,733  Rolls-Royce Group Plc                       321,514
                                                              3,486,650  Rolls-Royce Group Plc B Shares                6,753
                                                                                                               -------------
                                                                                                                   1,138,951
                                                                                                               -------------
                        Air Freight & Logistics -                16,194  Exel  Plc                                   259,491
                        0.1%                                                                                                
                                                                                                               -------------
                        Airlines - 0.0%                          29,636  British Airways Plc (a)                     147,841
                                                                                                               -------------
                        Auto Components - 0.0%                   26,018  GKN Plc                                     124,753
                                                                                                               -------------
                        Automobiles - 0.0%                        1,025  TI Automotive Ltd. A  (a)                         0
                                                                                                               -------------
                        Beverages - 0.5%                        128,092  Diageo Plc                                1,805,647
                                                                 29,507  Scottish & Newcastle Plc                    256,760
                                                                                                               -------------
                                                                                                                   2,062,407
                                                                                                               -------------
                        Building Products - 0.1%                 19,884  BPB Plc                                     186,550
                                                                 53,235  Pilkington Plc                              119,203
                                                                                                               -------------
                                                                                                                     305,753
                                                                                                               -------------
                        Capital Markets - 0.3%                   27,983  3i Group Plc                                355,069
                                                                 26,671  Amvescap Plc                                168,202
                                                                  2,797  Close Brothers Group Plc                     40,961
                                                                 12,596  ICAP Plc                                     65,335
                                                                 13,031  Man Group Plc                               338,327
                                                                  4,105  Schroders Plc                                54,841
                                                                                                               -------------
                                                                                                                   1,022,735
                                                                                                               -------------
                        Chemicals - 0.3%                         25,167  BOC Group Plc                               484,593
                                                                 55,975  Imperial Chemical Industries Plc            282,937
                                                                  8,117  Johnson Matthey Plc                         151,692
                                                                                                               -------------
                                                                                                                     919,222
                                                                                                               -------------
                        Commercial Banks - 5.0%                 272,955  Barclays Plc                              2,790,360
                                                                166,745  HBOS Plc                                  2,599,434
                                                                475,176  HSBC Holdings Plc                         7,515,397
                                                                227,472  Lloyds TSB Group Plc                      2,054,602
                                                                  2,530  Lloyds TSB Group Plc (b)(d)                  91,763
                                                                134,825  Royal Bank of Scotland Group Plc          4,290,268
                                                                                                               -------------
                                                                                                                  19,341,824

21

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                        SHARES                                                   
COUNTRY       INDUSTRY*                                  HELD   COMMON STOCKS                         VALUE      
------------  ---------------------------------------  -------  -------------                   -----------------
                                                                                                                 
              Commercial Services &                     44,302  Brambles Industries Plc         $         253,652
              Supplies - 0.3%                           27,643  Bunzl Plc                                 270,052
                                                        24,611  Capita Group Plc                          174,859
                                                         3,209  DX Services Plc                            23,406
                                                        26,991  Group 4 Securicor Plc                      69,873
                                                        64,193  Hays Plc                                  161,329
                                                         1,493  Intertek Group Plc                         21,822
                                                        67,222  Rentokil Initial Plc                      205,778
                                                         2,405  Serco Group Plc                            11,100
                                                                                                -----------------
                                                                                                        1,191,871
                                                                                                -----------------
              Communications Equipment - 0.0%            5,298  Marconi Corp. Plc (a)                      53,960
                                                                                                -----------------
              Construction &                            12,050  Amec Plc                                   72,636
              Engineering - 0.1%                        24,840  Balfour Beatty Plc                        146,681
                                                                                                -----------------
                                                                                                          219,317
                                                                                                -----------------
              Construction Materials - 0.1%             39,289  Hanson Plc                                371,575
                                                                                                -----------------
              Consumer Finance - 0.1%                    7,713  Cattles Plc                                49,262
                                                        14,009  Provident Financial Plc                   187,418
                                                                                                -----------------
                                                                                                          236,680
                                                                                                -----------------
              Containers & Packaging - 0.1%             20,343  Rexam Plc                                 182,495
                                                                                                -----------------
              Distributors - 0.0%                        1,845  Inchcape Plc                               69,099
                                                                                                -----------------
              Diversified Financial Services - 0.0%     16,913  London Stock Exchange Plc                 145,014
                                                                                                -----------------
              Diversified Telecommunication                900  BT Group Plc                               35,046
              Services - 0.4%                          353,190  BT Group Plc                            1,371,488
                                                       117,864  Cable & Wireless Plc                      287,862
                                                                                                -----------------
                                                                                                        1,694,396
                                                                                                -----------------
              Electric Utilities - 0.3%                 36,320  Scottish & Southern Energy Plc            604,979
                                                        77,881  Scottish Power Plc                        601,903
                                                           993  Scottish Power Plc (b)                     30,982
                                                                                                -----------------
                                                                                                        1,237,864
                                                                                                -----------------
              Electrical Equipment - 0.0%               21,146  Kidde Plc                                  66,729
                                                                                                -----------------
              Electronic Equipment &                    18,858  Electrocomponents Plc                      88,195
              Instruments - 0.0%                         4,902  Premier Farnell Plc                        15,724
                                                                                                -----------------
                                                                                                          103,919
                                                                                                -----------------
              Food & Staples                            35,359  Boots Group Plc                           416,590
              Retailing - 0.7%                          56,272  J Sainsbury Plc                           307,566
                                                       329,601  Tesco Plc                               1,971,216
                                                                                                -----------------
                                                                                                        2,695,372
                                                                                                -----------------
              Food Products - 0.6%                      84,858  Cadbury Schweppes Plc                     850,648
                                                        24,308  Tate & Lyle Plc                           244,132
                                                       114,603  Unilever Plc                            1,132,582
                                                                                                -----------------
                                                                                                        2,227,362
                                                                                                -----------------
              Gas Utilities - 0.2%                     185,730  Centrica Plc                              809,833
                                                                                                -----------------
              Health Care Equipment &                    3,902  SSL International Plc                      22,322
              Supplies - 0.1%                           46,673  Smith & Nephew Plc                        438,764
                                                                                                -----------------
                                                                                                          461,086
                                                                                                -----------------
              Health Care Providers & Services - 0.0%    6,950  Alliance Unichem Plc                      101,582
                                                                                                -----------------

22

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                 SHARES                                                          
COUNTRY       INDUSTRY*                           HELD   COMMON STOCKS                                VALUE      
------------  --------------------------------  -------  ------------------------------------  ------------------
                                                                                                                 
              Hotels, Restaurants &               6,155  Carnival Plc                          $          337,984
              Leisure - 0.6%                     99,210  Compass Group Plc                                452,735
                                                 13,810  Enterprise Inns Plc                              201,196
                                                 68,118  Hilton Group Plc                                 387,436
                                                 30,242  Intercontinental Hotels Group Plc                352,874
                                                 30,006  Mitchells & Butlers Plc                          195,330
                                                  6,594  Punch Taverns Plc                                 85,725
                                                 21,215  Rank Group Plc                                   109,741
                                                 11,009  Whitbread Plc                                    193,777
                                                 22,125  William Hill Plc                                 230,360
                                                                                               ------------------
                                                                                                        2,547,158
                                                                                               ------------------
              Household Durables - 0.2%           9,646  Barratt Developments  Plc                        120,208
                                                    788  Bellway Plc                                       13,103
                                                  2,907  Berkeley Group Holdings Plc                       44,521
                                                 10,998  Persimmon Plc                                    157,007
                                                 38,566  Taylor Woodrow Plc                               222,996
                                                 20,870  Wimpey George Plc                                173,519
                                                                                               ------------------
                                                                                                          731,354
                                                                                               ------------------
              Household Products - 0.2%          25,996  Reckitt Benckiser Plc                            826,237
                                                                                               ------------------
              IT Services - 0.0%                 30,199  LogicaCMG Plc                                    101,004
                                                                                               ------------------
              Industrial Conglomerates - 0.2%    26,012  Smiths Group Plc                                 418,534
                                                 34,739  Tomkins Plc                                      173,462
                                                                                               ------------------
                                                                                                          591,996
                                                                                               ------------------
              Insurance - 0.8%                   98,263  Aviva Plc                                      1,179,059
                                                 70,102  Friends Provident Plc                            234,795
                                                233,606  Legal & General Group Plc                        499,913
                                                100,061  Prudential Plc                                   956,725
                                                106,903  Royal & Sun Alliance Insurance Group             158,574
                                                                                               ------------------
                                                                                                        3,029,066
                                                                                               ------------------
              Internet & Catalog Retail - 0.2%   43,084  GUS Plc                                          741,663
                                                                                               ------------------
              Machinery - 0.0%                    9,108  FKI Plc                                           18,286
                                                 11,268  IMI Plc                                           87,404
                                                206,804  Invensys Plc                                      60,571
                                                                                               ------------------
                                                                                                          166,261
                                                                                               ------------------
              Media - 1.0%                       82,068  Aegis Group Plc                                  158,178
                                                 44,353  British Sky Broadcasting Plc                     486,516
                                                 11,034  Daily Mail & General Trust                       150,120
                                                 42,821  EMI Group Plc                                    191,162
                                                  9,612  Emap Plc                                         150,752
                                                 39,399  Pearson Plc                                      480,194
                                                 58,890  Reed Elsevier Plc                                610,366
                                                 66,782  Reuters Group Plc                                514,863
                                                 11,407  Trinity Mirror Plc                               151,099
                                                 19,282  United Business Media Plc                        193,837
                                                 57,654  WPP Group Plc                                    656,385
                                                 25,811  Yell Group Plc                                   230,695
                                                                                               ------------------
                                                                                                        3,974,167
                                                                                               ------------------
              Metals & Mining - 1.1%             60,228  Anglo American Plc                             1,428,283
                                                104,765  BHP Billiton Plc                               1,407,530
                                                194,761  Corus Group Plc (a)                              198,732
                                                 44,288  Rio Tinto Plc Registered Shares                1,431,885
                                                                                               ------------------
                                                                                                        4,466,430
                                                                                               ------------------

23

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                         SHARES                                                            
COUNTRY       INDUSTRY*                                   HELD    COMMON STOCKS                                   VALUE    
------------  ---------------------------------------  ---------  -----------------------------------------  --------------
                                                                                                                           
              Multi-Utilities & Unregulated               84,659  International Power Plc                    $      286,751
              Power - 0.5%                               127,980  National Grid Transco Plc                       1,185,582
                                                          27,711  United Utilities Plc                              330,410
                                                           8,249  United Utilities Plc Class A                       70,221
                                                                                                             --------------
                                                                                                                  1,872,964
                                                                                                             --------------
              Multiline Retail - 0.2%                     83,957  Marks & Spencer Group Plc                         548,915
                                                          12,766  Next Plc                                          384,034
                                                                                                             --------------
                                                                                                                    932,949
                                                                                                             --------------
              Oil & Gas - 3.7%                           165,136  BG Group Plc                                    1,283,275
                                                         892,206  BP Plc                                          9,247,274
                                                           3,849  BP Plc (b)                                        240,178
                                                         409,130  Shell Transport & Trading Co. Plc               3,672,205
                                                                                                             --------------
                                                                                                                 14,442,932
                                                                                                             --------------
              Pharmaceuticals - 2.1%                      70,251  AstraZeneca Plc                                 2,769,101
                                                         248,134  GlaxoSmithKline Plc                             5,687,469
                                                             800  GlaxoSmithKline Plc (b)                            36,736
                                                                                                             --------------
                                                                                                                  8,493,306
                                                                                                             --------------
              Real Estate - 0.4%                          26,131  British Land Co. Plc                              396,994
                                                          11,899  Hammerson Plc                                     186,958
                                                          20,624  Land Securities Group Plc                         503,899
                                                           9,912  Liberty International Plc                         180,462
                                                          18,432  Slough Estates Plc                                169,793
                                                                                                             --------------
                                                                                                                  1,438,106
                                                                                                             --------------
              Road & Rail - 0.1%                          16,203  Firstgroup Plc                                    105,094
                                                           2,119  National Express Group Plc                         36,137
                                                          33,050  Stagecoach Group Plc                               69,009
                                                                                                             --------------
                                                                                                                    210,240
                                                                                                             --------------
              Semiconductors & Semiconductor              84,638  ARM Holdings Plc                                  168,329
              Equipment - 0.1%                                                                                             
                                                                                                             --------------
              Software - 0.1%                             21,437  Misys Plc                                          89,724
                                                          66,142  Sage Group Plc                                    251,527
                                                                                                             --------------
                                                                                                                    341,251
                                                                                                             --------------
              Specialty Retail - 0.3%                     72,099  Dixons Group Plc                                  208,105
                                                           3,700  HMV Group Plc                                      17,496
                                                          32,023  Kesa Electricals Plc                              182,894
                                                         112,691  Kingfisher Plc                                    614,870
                                                          24,999  MFI Furniture Plc                                  55,269
                                                          79,661  Signet Group Plc                                  161,818
                                                                                                             --------------
                                                                                                                  1,240,452
                                                                                                             --------------
              Tobacco - 0.5%                              68,270  British American Tobacco Plc                    1,203,604
                                                          29,513  Imperial Tobacco Group Plc                        774,618
                                                                                                             --------------
                                                                                                                  1,978,222
                                                                                                             --------------
              Trading Companies & Distributors - 0.2%     29,669  Wolseley Plc                                      621,176
                                                                                                             --------------
              Transportation                              11,911  Associated British Ports Holdings Plc             108,147
              Infrastructure - 0.2%                       54,029  BAA Plc                                           595,717
                                                          12,221  BBA Group Plc                                      69,683
                                                          29,716  The Peninsular and Oriental                              
                                                                  Steam Navigation Co.                              162,559
                                                                                                             --------------
                                                                                                                    936,106
                                                                                                             --------------
              Water Utilities - 0.1%                      15,133  Kelda Group Plc                                   171,001
                                                          12,768  Severn Trent Plc                                  220,758
                                                                                                             --------------
                                                                                                                    391,759
                                                                                                             --------------
              Wireless Telecommunication               2,673,925  Vodafone Group Plc                              7,099,005
              Services - 1.9%                             12,490  Vodafone Group Plc (b)                            331,734
                                                                                                             --------------
                                                                                                                  7,430,739
                                                                                                             --------------
                                                                  TOTAL COMMON STOCKS IN THE UNITED KINGDOM      94,864,998
                                                                                                             --------------

24

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                   (IN U.S. DOLLARS)

                                                        [Enlarge/Download Table]

                                                                SHARES                                                            
COUNTRY                       INDUSTRY*                          HELD                   COMMON STOCKS                     VALUE   
-------                       ---------                         ------                  -------------                     -----   
                                                                                                                                  
UNITED STATES -   Diversified Financial Services - 0.1%            2,000  iShares MSCI EAFE Index Fund                $    317,700
0.1%                                                                                                                  ------------
                  Media - 0.0%                                     1,520  News Corp. Class A                                25,718
                                                                                                                      ------------
                                                                          TOTAL COMMON STOCKS IN THE UNITED STATES         343,418
                                                                                                                      ------------
                                                                          TOTAL INVESTMENTS IN COMMON STOCKS                      
                                                                          (COST - $323,559,853) - 96.4%                376,483,507
                                                                                                                      ------------

                                                                          PREFERRED STOCKS                                        
GERMANY - 0.3%    Automobiles - 0.1%                                 428  Porsche AG, .73%                                 311,499
                                                                   5,476  Volkswagen AG, 4.35%                             197,991
                                                                                                                      ------------
                                                                                                                           509,490
                                                                                                                      ------------
                  Chemicals - 0.1%                                 2,828  Henkel KGaA, 1.75%                               256,359
                                                                                                                      ------------
                  Health Care Providers &                            542  Fresenius Medical Care AG, 2.30%                  31,311
                                                                                                                      ------------
                  Services - 0.0%                                                                                                 

                  Media - 0.0%                                     5,512  ProSieben SAT.1 Media AG, 2.24%                  103,586
                                                                                                                      ------------
                  Multi-Utilities & Unregulated                    2,033  RWE AG, 3.50%                                    107,854
                                                                                                                      ------------
                  Power - 0.1%                                                                                                    
                                                                          TOTAL INVESTMENTS IN PREFERRED STOCKS                   
                                                                          (COST - $818,761) - 0.3%                       1,008,600
                                                                                                                      ------------

                                                                          WARRANTS (c)                                            
FRANCE - 0.0%     Food & Staples Retailing - 0.0%                    133  Casino Guichard Perrachon SA                            
                                                                          (expires 12/15/2005)                                   7
                                                                                                                      ------------
                                                                          TOTAL WARRANTS IN FRANCE                               7
                                                                                                                      ------------
SINGAPORE - 0.0%  Real Estate - 0.0%                               5,953  City Developments Ltd. (expires 5/10/2006)        14,438
                                                                                                                      ------------
                                                                          TOTAL WARRANTS IN SINGAPORE                       14,438
                                                                                                                      ------------
                                                                          TOTAL INVESTMENTS IN WARRANTS                           
                                                                          (COST - $10,862) - 0.0%                           14,445
                                                                                                                      ------------
                                                                BENEFICIAL                                                        
                                                                INTEREST  SHORT-TERM SECURITIES                                   
                                                         USD  659,568.00  Merrill Lynch Liquidity Series, LLC                     
                                                                          Cash Sweep Series I (e)                          659,568
                                                                                                                      ------------
                                                                          TOTAL INVESTMENTS IN SHORT-TERM SECURITIES              
                                                                          (COST - $659,568) - 0.2%                         659,568
                                                                                                                      ------------
                                                                          TOTAL INVESTMENTS                                       
                                                                          (COST - $325,049,044 **)  - 96.9%            378,166,120
                                                                          OTHER ASSETS LESS LIABILITIES - 3.1%          12,237,172
                                                                                                                      ------------
                                                                          NET ASSETS - 100.0%                         $390,403,292
                                                                                                                      ============

25

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

     *     For Series compliance purposes, "Industry" means any one or more of
   the industry sub-classifications used by one or more widely
     recognized market indexes or ratings group indexes, and/or as
        defined by Series' management. This definition may not apply for
purposes of this report, which may combine such industry
sub-classifications for reporting ease.                 

    **    The cost and unrealized appreciation (depreciation) of investments
          as of March 31, 2005, as computed for federal income tax purposes,
were as follows:                                        

                                                                [Download Table]
                                                        
Aggregate cost ........................   $ 327,966,329 
                                          ============= 
Gross unrealized appreciation .........   $  58,551,502 

Gross unrealized depreciation .........      (8,351,711)
                                          ------------- 
Net unrealized appreciation . .........   $  50,199,791 
                                          ============= 

(a)   Non-income producing security.                                

(b)   Depositary Receipts.                                          

   (c)   Warrants entitle the Series to purchase a predetermined number of
         shares of common stock and are non-income producing. The purchase
          price and number of shares are subject to adjustment under certain
conditions until the expiration date.                   

(d)   Security, or a portion of security, is on loan.               

      (e)   Investments in companies considered to be an affiliate of the Series
        (such companies are defined as "Affiliated Companies" in Section
       2(a)(3) of the Investment Company Act of 1940) were as follows:

                                                                [Download Table]

                                             NET         INTEREST
              AFFILIATE                   ACTIVITY        INCOME 
------------------------------------    ------------     --------
                                                                 
Merrill Lynch Liquidity Series, LLC                              
   Cash Sweep Series I                  $ (2,101,339)    $ 72,065

Financial futures contracts purchased as of March 31, 2005 were as follows:     

                                                        [Enlarge/Download Table]

NUMBER OF                                          EXPIRATION       FACE             UNREALIZED            
CONTRACTS            ISSUE              EXCHANGE      DATE          VALUE      APPRECIATION (DEPRECIATION) 
---------   -------------------------  ----------  -----------  -------------  --------------------------- 
                                                                                                           
  70        DJ Euro Stoxx 50                Eurex    June 2005  $   2,738,355                    $  (6,368)
  25        FTSE 100 Index Future           LIFFE    June 2005  $   2,320,487                          189 
  11        Hang Seng Index Future      Hong Kong   April 2005  $   9,559,634                       (9,603)
   1        Ibex 35 Plus Index Future  Spanish Op   April 2006  $     120,205                          (65)
  16        SPI 200 Index Future           Sydney    June 2005  $   1,301,351                      (24,373)
  35        OMX Stock Index Future            OMX   April 2005  $     377,103                          939 
  38        Topix Index Future              Tokyo    June 2005  $   4,211,950                      (17,952)
                                                                               --------------------------- 
TOTAL UNREALIZED DEPRECIATION - NET                                                              $ (57,233)
                                                                               =========================== 

Forward foreign exchange contracts as of March 31, 2005 were as follows:        

                                                                [Download Table]

FOREIGN CURRENCY         SETTLEMENT          UNREALIZED   
PURCHASED                   DATE            DEPRECIATION  
--------------------     ----------        -------------- 
                                                          
AUD        2,245,000     April 2005        $      (27,104)
CHF        3,230,000     April 2005               (44,656)
EUR       11,060,000     April 2005              (215,941)
GBP        4,215,000     April 2005              (125,565)
JPY      920,500,000     April 2005              (159,705)
SEK        9,055,000     April 2005               (37,363)
                                           -------------- 
TOTAL UNREALIZED DEPRECIATION ON FORWARD                  
FOREIGN EXCHANGE CONTRACTS -                              
NET (USD COMMITMENT - $37,292,628)         $     (610,334)
                                           ============== 

26

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MASTER INTERNATIONAL INDEX SERIES                                               
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

Forward foreign exchange contracts as of March 31, 2005 were as follows         
(concluded):                                                                    

                                                                [Download Table]

FOREIGN CURRENCY                          SETTLEMENT            UNREALIZED  
SOLD                                        DATE               APPRECIATION 
----------------                         -----------           -------------
                                                                            
AUD             2,245,000                April 2005                 $ 23,554
CHF             3,145,000                April 2005                   33,609
EUR             9,945,000                April 2005                  183,009
GBP             4,215,000                April 2005                   37,738
JPY               885,500                April 2005                  128,401
SEK             9,055,000                April 2005                   30,892
                                                               -------------
TOTAL UNREALIZED APPRECIATION ON FORWARD                                    
FOREIGN EXCHANGE CONTRACTS -                                                
NET (USD COMMITMENT - $37,271,280)                                 $ 437,203
                                                               =============

CURRENCY ABBREVIATIONS:                                                         

                                                                [Download Table]
                             
AUD         Australian Dollar
CHF         Swiss Franc      
EUR         Euro             
GBP         Sterling Pound   
JPY         Japanese Yen     
SEK         Swedish Krona    
USD         U.S. Dollar      

27

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The American Beacon Money Market Fund invests all of its investable assets in   
the American Beacon Master Money Market Portfolio.  The Schedule of             
Investments for the American Beacon Master Money Market Portfolio for the       
fiscal quarter ended March 31, 2005 is provided below.                          

AMERICAN BEACON MASTER MONEY MARKET PORTFOLIO                                   
SCHEDULE OF INVESTMENTS (UNAUDITED)                                             
March 31, 2005                                                                  
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                                                         PAR AMOUNT          VALUE   
                                                                        ------------     ------------
                                                                            (DOLLARS IN THOUSANDS)   
                                                                                                     
REPURCHASE AGREEMENTS (NOTE B) - 7.68%                                                               
Barclays Capital, Incorporated, 2.90%, Due 4/1/2005                     $    135,000     $    135,000
Goldman Sachs, 2.85%, Due 4/1/2005                                           310,450          310,450
                                                                                         ------------
       TOTAL REPURCHASE AGREEMENTS                                                            445,450
                                                                                         ------------

EURODOLLAR TIME DEPOSITS - 12.98%                                                                    
ING Bank, 2.875%, Due 4/1/2005                                               250,000          250,000
National City Bank, 2.813%, Due 4/1/2005                                      52,350           52,350
Societe Generale, 2.875%, Due 4/1/2005                                       225,000          225,000
UBS AG, 2.813%, Due 4/1/2005                                                 225,000          225,000
                                                                                         ------------
       TOTAL EURODOLLAR TIME DEPOSITS                                                         752,350
                                                                                         ------------

VARIABLE RATE CERTIFICATES OF DEPOSIT AND BANK NOTES (NOTE D) - 31.78%                               
Barclays Bank, 2.99%, Due 9/29/2005                                           50,000           49,979
Bayerische Landesbank, 2.76%, Due 5/9/2005                                    75,000           75,003
BNP Paribas,                                                                                         
  2.78%, Due 8/23/2005                                                        72,000           71,983
  2.645%, Due 1/30/2006                                                       88,000           87,967
Canadian Imperial Bank, 2.94%, Due 6/15/2005                                 100,000           99,993
Credit Lyonnais, 2.915%, Due 9/12/2005                                        97,000           96,971
Credit Suisse First Boston Corporation,                                                              
  2.81%, Due 11/10/2005                                                       45,000           45,004
  3.10%, Due 11/10/2005                                                       55,000           55,007
  3.11%, Due 12/29/2005                                                       20,400           20,406
Fifth Third Bank, 2.71%, Due 11/14/2005                                      197,000          196,932
ForeningsSparbanken AB,                                                                              
  3.00%, Due 6/22/2005                                                        75,000           74,994
  2.67%, Due 7/29/2005                                                        75,000           74,990
National City Bank, 2.74%, Due 5/9/2005                                       50,000           50,001
Societe Generale, 2.645%, Due 1/30/2006                                       50,000           49,965
SouthTrust Bank,                                                                                     
  2.73%, Due 8/12/2005                                                       150,000          149,986
  2.95%, Due 12/14/2005                                                       40,000           39,992
SunTrust Bank, 2.56%, Due 10/3/2005                                           62,230           62,239
Toronto Dominion Bank, 2.89%, Due 9/12/2005                                  100,000           99,969
UBS AG, 2.63%, Due 1/30/2006                                                  50,000           49,964
Unicredito Italiano, 2.988%, Due 12/19/2005                                  266,000          265,910
US Bank, NA, 3.025%, Due 12/29/2005                                          125,000          124,977
                                                                                         ------------
       TOTAL VARIABLE RATE CERTIFICATES OF DEPOSIT AND BANK NOTES                           1,842,232
                                                                                         ------------

VARIABLE RATE PROMISSORY NOTES (NOTE D) - 5.17%                                                      
Goldman Sachs Group, 2.83%, Due 2/9/2006                                     300,000          300,000
                                                                                         ------------
       TOTAL VARIABLE RATE PROMISSORY NOTES                                                   300,000
                                                                                         ------------

VARIABLE RATE FUNDING AGREEMENTS (NOTES A AND D) - 2.59%                                             
Metropolitan Life Insurance Company, 5.97%, Due 12/1/2005                    150,000          150,000
                                                                                         ------------
       TOTAL VARIABLE RATE FUNDING AGREEMENTS                                                 150,000
                                                                                         ------------

 Page 1 of 3

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AMERICAN BEACON MASTER MONEY MARKET PORTFOLIO                                   
SCHEDULE OF INVESTMENTS (UNAUDITED)                                             
March 31, 2005                                                                  
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                                                   PAR AMOUNT          VALUE   
                                                                  ------------     ------------
                                                                      (DOLLARS IN THOUSANDS)   
                                                                                               
VARIABLE RATE MEDIUM-TERM NOTES (NOTE D) - 39.56%                                              
American Honda Finance Corporation,                                                            
  2.69%, Due 4/11/2005, 144A (Note C)                                   60,000           60,002
  2.66%, Due 10/7/2005                                                  25,000           25,012
  3.02%, Due 2/6/2006                                                   13,000           13,030
  2.734%, Due 2/13/2006                                                 25,000           25,000
  2.90%, Due 2/21/2006, 144A (Note C)                                   35,000           35,024
  2.91%, Due 3/7/2006                                                   25,000           25,000
BANK ONE Corporation, 2.93%, Due 10/31/2005                             10,000           10,013
Bayerische Landesbank Girozentrale, 2.992%, Due 2/1/2006                24,000           24,059
Caterpillar Financial Services, 2.854%, Due 8/15/2005                   71,000           71,023
Citigroup Global Markets Holdings, Incorporated,                                               
  3.05%, Due 12/12/2005                                                 18,000           18,010
  3.03%, Due 3/16/2006                                                  50,000           50,021
Credit Suisse First Boston Corporation, 2.814%, Due 4/5/2005            45,000           45,001
General Electric Capital Corporation,                                                          
  2.95%, Due 2/3/2006                                                   97,544           97,735
  2.97%, Due 2/6/2006                                                   25,750           25,805
  2.93%, Due 4/17/2006                                                 180,000          180,000
General Electric Company, 2.743%, Due 10/24/2005                        43,975           43,994
HBOS plc, 144A (Note C)                                                                        
  2.65%, Due 1/12/2006                                                 105,300          105,341
  2.73%, Due 1/26/2006                                                  23,000           23,012
Household Finance Corporation, 2.92%, Due 8/18/2005                    211,250          211,347
Merrill Lynch & Company, Incorporated, 3.08%, Due 3/17/2006             45,000           45,036
Monumental Global Funding II, 144A (Note C)                                                    
  2.70%, Due 7/1/2005                                                  102,000          102,040
  2.60%, Due 7/6/2005                                                   65,700           65,708
Morgan Stanley Group, Incorporated, 3.37%, Due 3/27/2006               284,100          284,936
Paccar Financial Corporation,                                                                  
  2.63%, Due 4/15/2005                                                  35,000           35,000
  2.55%, Due 7/11/2005                                                  50,000           49,998
  2.97%, Due 9/16/2005                                                  40,000           39,996
Salomon Smith Barney Holdings, Incorporated, 2.64%, Due 4/1/2005       100,000          100,000
Toyota Motor Credit Corporation,                                                               
  2.98%, Due 6/22/2005                                                  41,500           41,497
  2.57%, Due 10/7/2005                                                  70,000           70,005
  2.79%, Due 11/18/2005                                                 50,000           50,002
US Bancorp, 3.17%, Due 9/16/2005                                        20,000           20,016
US Bank NA, 2.924%, Due 3/8/2006                                        30,000           29,999
Wells Fargo and Company,                                                                       
  3.12%, Due 9/29/2005                                                  76,450           76,472
  3.03%, Due 3/3/2006                                                   44,500           44,560
  2.78%, Due 4/13/2006, 144A (Note C)                                  150,000          150,000
                                                                                   ------------
       TOTAL VARIABLE RATE MEDIUM-TERM NOTES                                          2,293,694
                                                                                   ------------

 Page 2 of 3

N-Q 31st “Page” of 79 TOC 1st Previous Next ↓Bottom Just 31st
AMERICAN BEACON MASTER MONEY MARKET PORTFOLIO                                   
SCHEDULE OF INVESTMENTS (UNAUDITED)                                             
March 31, 2005                                                                  
--------------------------------------------------------------------------------

                                                                [Download Table]

                                               PAR AMOUNT          VALUE   
                                              ------------     ------------
                                                  (DOLLARS IN THOUSANDS)   
                                                                           
                                                               ------------
TOTAL INVESTMENTS - 99.76% (Cost $5,783,726)                      5,783,726
                                                               ------------

OTHER ASSETS, NET OF LIABILITIES - 0.24%                             13,886
                                                               ------------

TOTAL NET ASSETS - 100%                                        $  5,797,612
                                                               ============

Based on the cost of investments of $5,783,726 for federal income tax purposes  
at March 31, 2005, there was no unrealized appreciation or depreciation of      
investments.                                                                    

(A)      Obligation is subject to an unconditional put back to the issuer with  
ninety calendar days notice.                                  

(B)      Collateral held at Bank of New York for Barclays, 4.50% - 6.50%, Due   
     8/1/2014 - 3/1/2035, Total Value - $137,700; and for Goldman Sachs,
4.50% - 8.00%, Due 2/1/2013 - 9/1/2034 Total Value - $316,658.

(C)      Security exempt from registration under Rule 144A of the Securities Act
     of 1933. These securities may be resold in transactions exempt from
         registration, normally to qualified institutional buyers. At the period
         end, the value of these securities amounted to $541,127 or 9.33% of net
assets.                                                       

(D)      The coupon rate shown on floating or adjustable rate securities        
   represents the rate at period end. The due date on these types of
securities reflects the final maturity date.                  

(E)      Rates associated with money market securities represent discount rate  
at time of purchase.                                          

 Page 3 of 3

N-Q 32nd “Page” of 79 TOC 1st Previous Next ↓Bottom Just 32nd
The American Beacon Municipal Money Market Fund invests all of its investable   
assets in the American Beacon Master Municipal Money Market Portfolio.  The     
Schedule of Investments for the American Beacon Master Municipal Money Market   
Portfolio for the fiscal quarter ended March 31, 2005 is provided below.        

AMERICAN BEACON MASTER MUNICIPAL MONEY MARKET PORTFOLIO                         
SCHEDULE OF INVESTMENTS (UNAUDITED)                                             
March 31, 2005                                                                  
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                                                 Par / Shares        Value    
                                                                 ------------     ------------
                                                                    (dollars in thousands)    
                                                                                              
MUNICIPAL OBLIGATIONS (NOTE A) -- 91.74%                                                      
DAILY RESET -- 7.35%                                                                          
NEW MEXICO - 4.65%                                                                            
City of Farmington, New Mexico, Pollution Control Revenue                                     
  Bonds, Series 1994C (Arizona Public Service Co)                                             
  2.24%, Due 9/1/2024, LOC Barclays Bank plc                     $      1,900     $      1,900
                                                                                  ------------
  TOTAL NEW MEXICO                                                                       1,900
                                                                                  ------------

NEW YORK - 2.70%                                                                              
New York City Municipal Water Finance Authority, Water and                                    
  Sewer Revenue Bonds, Series 1993C Adjustable Rate                                           
  Fiscal Bonds, 2.10%, Due 6/15/2022, Bond Insurance -                                        
  Financial Guaranty Insurance Company                                  1,100            1,100
                                                                                  ------------
  TOTAL NEW YORK                                                                         1,100
                                                                                  ------------
    TOTAL DAILY RESET                                                                    3,000
                                                                                  ------------

WEEKLY RESET -- 84.39%                                                                        
ALABAMA -- 5.15%                                                                              
Industrial Development Board of the City of Mobile                                            
  Alabama, Variable Rate Demand Dock and Wharf Revenue                                        
  Refunding Bonds, Series 1999A (Holnam, Inc. Project),                                       
  2.28%, Due 6/1/2032, LOC Bayerische Landesbank                        2,100            2,100
                                                                                  ------------
    TOTAL ALABAMA                                                                        2,100
                                                                                  ------------

ARIZONA -- 4.05%                                                                              
Industrial Development Authority of the City of Mesa,                                         
  Arizona-Variable Rate Revenue Bonds-Series 199B                                             
  (Discovery Health Systems), 1.99%, Due 1/1/2029, LOC MBIA             1,650            1,650
                                                                                  ------------
    TOTAL ARIZONA                                                                        1,650
                                                                                  ------------

COLORADO -- 8.09%                                                                             
  Moffat County, Colorado Pollution Control Revenue Bonds,                                    
  Series 1984 (Ute Electric Company Project), Bond Insurance-                                 
  Ambac Assurance Corporation, 2.32%, Due 7/1/2010, SPA                                       
  Societe Generale                                                      3,300            3,300
                                                                                  ------------
    TOTAL COLORADO                                                                       3,300
                                                                                  ------------

FLORIDA -- 4.49%                                                                              
Alachua County, Florida Housing Financial Authority,                                          
  Multifamily Housing Revenue Bonds, Series 2001 (University                                  
  Cove Apartment Project), 2.33%, Due 6/15/2034, LOC SouthTrust                               
  Bank, NA                                                              1,830            1,830
                                                                                  ------------
    TOTAL FLORIDA                                                                        1,830
                                                                                  ------------

ILLINOIS -- 7.04%                                                                             
Solid Waste Disposal Facility Revenue Bonds for the County                                    
  of Lake, Illinois, Series 1996 (Countryside                                                 
  Landfill Inc. Project), 2.37%, Due 4/1/2021, LOC JP                                         
  Morgan Chase Bank                                                     1,070            1,070
Village of Richton Park, Illinois-Industrial Development                                      
  Revenue Bonds-Series 1997 (Avatar Corporation                                               
  Project), 2.19%, Due 4/1/2027, LOC Fifth Third Bank                   1,800            1,800
                                                                                  ------------
    TOTAL ILLINOIS                                                                       2,870
                                                                                  ------------

INDIANA -- 4.12%                                                                              
Fort Wayne, Indiana Industrial Economic Development                                           
  Revenue Bonds, Series 1989 (ND-Tech Corporation                                             
  Project), 2.35%, Due 7/1/2009, LOC Societe Generale                   1,000            1,000
City of Garrett, Indiana, Variable Rate Economic                                              
  Development Revenue Bonds, Series 1991 (Group Dekko Int'l                                   
  Project), 2.05%, Due 12/1/2011, LOC Bank One                            680              680
                                                                                  ------------
    TOTAL INDIANA                                                                        1,680
                                                                                  ------------

KENTUCKY - 7.09%                                                                              
Carroll County, Kentucky Solid Waste Disposal Revenue                                         
  Bonds, Series 2001 (North American Stainless, L.P.),                                        
  2.01%, Due 5/1/2031, LOC Fifth Third Bank                             1,100            1,100
County of Breckinridge, Kentucky Association of Counties                                      
  Leasing Trust, Lease Program Revenue Bonds,                                                 
  Series 2001A, 2.00%, Due 2/1/2031, LOC US Bank                        1,790            1,790
                                                                                  ------------
  TOTAL KENTUCKY                                                                         2,890
                                                                                  ------------

LOUISIANA -- 3.90%                                                                            
Calcasieu Parish Public Trust Authority, Waste Disposal                                       
  Revenue Bonds, Series 1997 (WPT Corporation Project),                                       
  2.38%, Due 12/1/2027, LOC JP Morgan Chase Bank                        1,589            1,589
                                                                                  ------------
    TOTAL LOUISIANA                                                                      1,589
                                                                                  ------------

MARYLAND - 4.12%                                                                              
Montgomery County, Maryland Variable Rate Housing Revenue                                     
  Bonds, Series 1997, Issue I (The Grand),                                                    
  2.01%, Due 6/1/2030, LOC Federal National Mortgage                                          
  Association                                                           1,680            1,680
                                                                                  ------------
  TOTAL MARYLAND                                                                         1,680
                                                                                  ------------

MICHIGAN - 8.85%                                                                              
Michigan Higher Education Student Loan Authority, Student                                     
  Loan Revenue Bonds, Series XII-X, Bond Insurance -                                          
  Ambac Assurance Corporation, 2.03%, Due 9/1/2031, SPA                                       
  Lloyds TSB                                                            1,000            1,000
Michigan State Hospital Finance Authority, Hospital                                           
  Equipment Loan Program Bonds, Series A,                                                     
  2.01%, Due 12/1/2023, LOC National City Bank NA                         775              775
Michigan State Housing Development Authority Variable Rate                                    
  Limited Obligation Multifamily Housing Revenue Refunding                                    
  Bonds, 2.03%, Due 6/1/2018, LOC Bank of New York                      1,835            1,835
                                                                                  ------------

 Page 1 of 2

N-Q 33rd “Page” of 79 TOC 1st Previous Next ↓Bottom Just 33rd
AMERICAN BEACON MASTER MUNICIPAL MONEY MARKET PORTFOLIO                         
SCHEDULE OF INVESTMENTS (UNAUDITED)                                             
March 31, 2005                                                                  
--------------------------------------------------------------------------------

                                                        [Enlarge/Download Table]

                                                              Par / Shares        Value    
                                                              ------------     ------------
                                                                 (dollars in thousands)    
                                                                                           
  TOTAL MICHIGAN                                                                      3,610
                                                                               ------------

NEVADA - 2.45%                                                                             
Nevada Housing Divison-Variable Rate Demand Multi-Unit                                     
  Housing Revenue Bonds-Series 2004                                                        
  (Sundance Village Apartments), 2.00%, Due 10/1/2035, LOC                                 
  Citibank                                                           1,000            1,000
                                                                               ------------
  TOTAL NEVADA                                                                        1,000
                                                                               ------------

OHIO - 4.17%                                                                               
Ohio Water Development Authority, Environmental                                            
  Improvement Revenue Bonds, Series 2000B (Waste Management,                               
  Incorporated Project), 2.35%, Due 7/1/2020, LOC Fleet                                    
  National Bank                                                      1,700            1,700
                                                                               ------------
  TOTAL OHIO                                                                          1,700
                                                                               ------------

PENNSYLVANIA -- 7.19%                                                                      
Berks County Industrial Development Authority                                              
  Manufacturing Facilities Revenue Bonds, Series 1995                                      
  (Grafika Commerial Printing Inc.), 2.39%, Due 9/1/2010,                                  
  LOC First Union National Bank                                      1,035            1,035
Chartiers Valley, Pennsylvania Industrial and Commercial                                   
  Development Authority Commercial                                                         
  Development Bonds (William Penn Plaza Project), 2.2%,                                    
  Due 12/1/2016, LOC PNC Bank, NA                                      900              900
Delaware Valley, Pennsylvania Regional Finance Authority                                   
  (Bucks, Chester, Delaware and Montgomery                                                 
  Counties)-Local Government Revenue Bonds-Series 1986                                     
  (Bi-Modal Multi-Term Format/Mode 1 Bonds),                                               
  1.98%, Due 8/1/2016, LOC Toronto Dominion Bank                     1,000            1,000
                                                                               ------------
  TOTAL PENNSYLVANIA                                                                  2,935
                                                                               ------------

TENNESSEE -- 0.10%                                                                         
Public Building Authority of the County of Montgomery,                                     
  Tennessee, Adjustable Rate Pooled Financing                                              
  Revenue Bonds, Series 2002, 2.30%, Due 4/1/2032, LOC                                     
  Bank of America                                                       40               40
                                                                               ------------
   TOTAL TENNESSEE                                                                       40
                                                                               ------------

TEXAS -- 10.76%                                                                            
Brazos Harbor Industrial Development Corporation Solid                                     
  Waste Disposal Revenue Bonds, Series 2002                                                
  (Republic Waste Services of Texas, Ltd. Project),                                        
  2.35%, Due 12/1/2024, LOC Bank of America Corporation              1,500            1,500
City of Midlothian, Texas Industrial Development                                           
  Corporation, Environmental Facilities Revenue Bonds,                                     
  Series 1999 (Holnam Texas Limited Partnership Project)                                   
  2.03%, Due 9/1/2031, LOC Bank One                                  1,200            1,200
Gulf Coast Waste Disposal Authority (Texas), Enviromental                                  
  Facilities Revenue Bonds, Series 2002 (Waste                                             
  Corporation of Texas, L.P. Project), 2.33%, Due                                          
  9/1/2022, LOC - Wells Fargo Texas                                  1,690            1,690
                                                                               ------------
   TOTAL TEXAS                                                                        4,390
                                                                               ------------

UTAH - 2.82%                                                                               
Morgan County, Utah Solid Waste Disposal Revenue Bonds,                                    
  Series 1996 (Holman, Inc. Project),                                                      
  2.05%, Due 8/1/2031, LOC Wachovia Bank, NA                         1,150            1,150
                                                                               ------------
   TOTAL UTAH                                                                         1,150
                                                                               ------------
  TOTAL WEEKLY RESET                                                                 34,414
                                                                               ------------
  TOTAL MUNICIPAL OBLIGATIONS                                                        37,414
                                                                               ------------

OTHER INVESTMENTS -- 8.10%                                                                 
Dreyfus Municipal Cash Management Plus, Inc.                           536                1
Federated Municipal Obligations Fund                             1,654,440            1,654
BlackRock Provident MuniCash Fund                                1,653,706            1,654
                                                                               ------------
TOTAL OTHER INVESTMENTS                                                               3,309
                                                                               ------------

TOTAL INVESTMENTS -- 99.84% (COST $40,723)                                           40,723
                                                                               ------------

OTHER ASSETS, NET OF LIABILITIES -- 0.16%                                                67
                                                                               ------------

TOTAL NET ASSETS -- 100%                                                       $     40,790
                                                                               ============

Based on the cost of investments of $40,723 for federal income tax purposes at  
March 31, 2005, there was no unrealized appreciation or depreciation of         
investments.                                                                    

(A)      Rates associated with money market securities represent yield to       
maturity or yield to next reset date.                         

Page 2 of 2 

N-Q 34th “Page” of 79 TOC 1st Previous Next ↓Bottom Just 34th
The American Beacon S&P 500 Index Fund invests all of its investable assets     
in the State Street Equity 500 Index Portfolio of the State Street Master       
Funds.  The Schedule of Investments for the State Street Equity 500 Index       
Portfolio for the fiscal quarter ended March 31, 2005 is provided below.        

STATE STREET EQUITY 500 INDEX PORTFOLIO                                         
PORTFOLIO OF INVESTMENTS                                                        
MARCH 31, 2005 (UNAUDITED)                                                      

                                                                [Download Table]

                                             MARKET 
                                              VALUE 
                                SHARES        (000) 
                              ---------      -------
                                                    
COMMON STOCKS -- 97.67%                             
CONSUMER DISCRETIONARY -- 10.90%                    
AutoNation, Inc. (a)             63,100      $ 1,195
AutoZone, Inc. (a)               18,587        1,593
Bed Bath & Beyond, Inc. (a)      71,814        2,624
Best Buy Co., Inc.               76,621        4,138
Big Lots, Inc. (a)               28,738          345
Black & Decker Corp.             19,233        1,519
Brunswick Corp.                  22,929        1,074
Carnival Corp. (b)              129,319        6,700
Centex Corp.                     29,676        1,700
Circuit City Stores, Inc.        48,139          773
Clear Channel                                       
  Communications, Inc.          130,065        4,483
Coach, Inc. (a)                  46,700        2,645
Comcast Corp. (a)               539,767       18,233
Cooper Tire & Rubber Co. (b)     18,137          333
Dana Corp.                       36,349          465
Darden Restaurants, Inc.         37,510        1,151
Delphi Corp.                    133,967          600
Dillard's, Inc. Class A (b)      19,453          523
Dollar General Corp. (b)         78,215        1,714
Dow Jones & Co., Inc.            19,526          730
Eastman Kodak Co. (b)            68,437        2,228
eBay, Inc. (a)                  296,120       11,033
Family Dollar Stores, Inc.       40,068        1,216
Federated Department Stores,                        
  Inc.                           40,376        2,570
Ford Motor Co.                  446,755        5,062
Fortune Brands, Inc.             34,366        2,771
Gannett Co., Inc.                61,138        4,835
Gap, Inc.                       182,030        3,976
General Motors Corp. (b)        135,273        3,976
Genuine Parts Co.                41,693        1,813
Goodyear Tire & Rubber Co.                          
  (a) (b)                        43,242          577
Harley-                                             
Davidson, Inc. (b)               70,138        4,051
Harrah's                                            
 Entertainment, Inc.(b)          26,733        1,726
Hasbro, Inc.                     42,787          875
Hilton Hotels Corp.              92,143        2,059
Home Depot, Inc.                535,557       20,480
International Game                                  
  Technology                     82,252        2,193
Interpublic Group of Cos.,                          
  Inc. (a)                      100,977        1,240
JC Penney & Co., Inc.            68,188        3,540
Johnson Controls, Inc.           45,396        2,531
Jones Apparel Group, Inc.        29,379          984
KB HOME                          11,031        1,296
Knight-Ridder, Inc.              18,391        1,237
Kohl's Corp. (a)                 82,410        4,255
Leggett & Platt, Inc. (b)        45,554        1,316
Limited Brands (b)               96,969        2,356
Liz Claiborne, Inc.              25,941        1,041
Lowe's Cos., Inc.               189,023       10,791
Marriot International, Inc.                         
  Class A                        49,839        3,332
Mattel, Inc.                     99,045        2,115
May Department Stores Co.        69,667        2,579
Maytag Corp. (b)                 19,329          270
McDonald's Corp.                311,353        9,696
McGraw-Hill, Inc.                46,513        4,058
Meredith Corp. (b)               11,947          559
New York Times Co. Class A       34,745        1,271
Newell Rubbermaid, Inc. (b)      65,621        1,440
NIKE, Inc. Class B               56,613        4,716
Nordstrom, Inc.                  32,538        1,802
Office Depot, Inc. (a)           74,470        1,652
OfficeMax, Inc. (b)              22,319          748
Omnicom Group, Inc.              44,517        3,941
Pulte Homes, Inc.                29,936        2,204
RadioShack Corp. (b)             37,853          927
Reebok International, Ltd.       14,471          641
Reynolds American, Inc. (b)      29,140        2,348
Sears Holdings Corp. (a) (b)     24,952        3,323
Sherwin-Williams Co.             33,770        1,486
Snap-On, Inc.                    14,348          456
Stanley Works                    19,732          893
Staples, Inc.                   118,850        3,735
Starbucks Corp. (a)              97,526        5,038
Starwood Hotels & Resorts                           
  Worldwide, Inc. Class B        51,812        3,110
Target Corp.                    218,957       10,952
Tiffany & Co.                    34,768        1,200
Time Warner, Inc. (a)         1,121,047       19,674
TJX Cos., Inc. (b)              115,013        2,833
Toys "R" Us, Inc. (a)            51,369        1,323
Tribune Co.                      75,855        3,024
Univision Communications,                           
  Inc. Class A (a)               77,118        2,135
V.F. Corp.                       26,488        1,567
Viacom, Inc. Class B            416,397       14,503
Visteon Corp. (b)                30,453          174
Walt Disney Co.                 500,073       14,367
Wendy's International, Inc.      27,167        1,061
Whirlpool Corp.                  15,866        1,075
Yum! Brands, Inc.                70,522        3,654
                                             -------
                                             294,448
                                             -------
CONSUMER STAPLES -- 10.01%                          
Alberto Culver Co. Class B       21,658        1,037
Albertson's, Inc. (b)            87,813        1,813
Altria Group, Inc.              503,964       32,954
Anheuser-Busch Cos., Inc.       188,567        8,936
Archer-Daniels-Midland Co.      157,267        3,866
Avon Products, Inc.             113,348        4,867
Brown-Forman Corp. Class B       23,182        1,269
Campbell Soup Co.                81,483        2,365
Clorox Co.                       36,310        2,287
Coca-Cola Co.                   552,335       23,016
Coca-Cola Enterprises, Inc.      89,000        1,826
Colgate-Palmolive Co.           128,235        6,690
ConAgra Foods, Inc.             122,746        3,317

1 

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STATE STREET EQUITY 500 INDEX PORTFOLIO                                         
PORTFOLIO OF INVESTMENTS - (CONTINUED)                                          
MARCH 31, 2005 (UNAUDITED)                                                      

                                                                [Download Table]

                                                     MARKET 
                                                     VALUE  
                                         SHARES      (000)  
                                       ---------    --------
                                                            
CONSUMER STAPLES -- (CONTINUED)                             
Costco Wholesale Corp.                   115,251    $  5,092
CVS Corp.                                 97,592       5,135
General Mills, Inc.                       90,064       4,427
Gillette Co.                             242,344      12,234
H.J. Heinz Co.                            83,420       3,073
Hershey Foods Corp.                       54,208       3,277
Kellogg Co.                               86,829       3,757
Kimberly-Clark Corp.                     116,364       7,649
Kroger Co. (a)                           176,422       2,828
McCormick & Co., Inc.                     32,900       1,133
Molson Coors Brewing Co.,                                   
  Class B (b)                             19,644       1,516
Pepsi Bottling Group, Inc.                50,453       1,405
PepsiCo, Inc.                            409,310      21,706
Procter & Gamble Co.                     614,522      32,570
Safeway, Inc. (a)                        106,793       1,979
Sara Lee Corp.                           192,617       4,268
SuperValu, Inc.                           32,060       1,069
Sysco Corp.                              153,081       5,480
UST Corp.                                 39,447       2,039
Wal-Mart Stores, Inc.                    826,628      41,422
Walgreen Co.                             249,810      11,097
Wrigley Wm., Jr. Co.                      48,516       3,181
                                                    --------
                                                     270,580
                                                    --------
ENERGY -- 8.25%                                             
Amerada Hess Corp. (b)                    22,202       2,136
Anadarko Petroleum Corp.                  59,254       4,509
Apache Corp.                              79,630       4,876
Ashland, Inc.                             16,980       1,146
Baker Hughes, Inc.                        82,480       3,669
BJ Services Co.                           38,555       2,000
Burlington Resources, Inc.                93,856       4,699
ChevronTexaco Corp.                      512,794      29,901
ConocoPhillips                           169,741      18,305
Devon Energy Corp.                       116,222       5,550
EOG Resources, Inc.                       56,568       2,757
ExxonMobil Corp.                       1,558,002      92,857
Halliburton Co.                          123,086       5,323
Kerr-McGee Corp.                          40,536       3,175
Marathon Oil Corp.                        84,634       3,971
Nabors Industries, Ltd. (a)               35,715       2,112
National Oilwell Varco, Inc.                                
  (a)                                     40,000       1,868
Noble Corp.                               32,323       1,817
Occidental Petroleum Corp.                97,523       6,941
Rowan Cos., Inc.                          25,639         767
Schlumberger, Ltd.                       144,307      10,171
Sunoco, Inc.                              17,028       1,763
Transocean, Inc. (a)                      76,795       3,952
Unocal Corp.                              66,888       4,126
Valero Energy Corp.                       62,600       4,587
                                                    --------
                                                     222,978
                                                    --------
FINANCIALS -- 19.31%                                        
ACE, Ltd.                                 67,855       2,800
AFLAC, Inc.                              120,816       4,502
Allstate Corp.                           165,707       8,958
Ambac Financial Group, Inc.               25,947       1,940
American Express Co.                     286,473      14,716
American International                                      
  Group, Inc.                            634,283      35,146
AmSouth Bancorp                           84,719       2,198
AON Corp.                                 75,523       1,725
Apartment Investment &                                      
  Management Co. Class A                  22,600         841
Archstone-Smith Trust                     46,700       1,593
Bank of America Corp.                    989,100      43,619
Bank of New York Co., Inc.               189,979       5,519
BB&T Corp.                               132,218       5,167
Bear Stearns Cos., Inc.                   27,399       2,737
Capital One Financial Corp.               60,915       4,555
Charles Schwab Corp.                     285,293       2,998
Chubb Corp.                               45,739       3,626
Cincinnati Financial Corp.                40,100       1,749
CIT Group, Inc.                           50,200       1,908
Citigroup, Inc.                        1,274,971      57,297
Comerica, Inc.                            40,732       2,244
Compass Bancshares, Inc. (b)              29,300       1,330
Countrywide Financial Corp.              138,986       4,512
E*Trade Financial Corp. (a)               88,800       1,066
Equity Office Properties                                    
  Trust                                   96,241       2,900
Equity Residential                        67,507       2,174
Fannie Mae                               236,529      12,879
Federal Home Loan Mortgage                                  
  Corp                                   168,246      10,633
 Federated Investors, Inc.                                  
  Class B                                 25,600         725
Fifth Third Bancorp (b)                  128,000       5,501
First Horizon National Corp.                                
  (b)                                     29,417       1,200
Franklin Resources, Inc.                  49,044       3,367
Golden West Financial Corp.                                 
(b)                                       69,822       4,224
Goldman Sachs Group, Inc.                109,300      12,022
Hartford Financial                                          
Services Group, Inc.                      72,188       4,949
Huntington Bancshares, Inc.               55,154       1,318
J.P. Morgan Chase & Co.                  865,819      29,957
Janus Capital Group, Inc. (b)             56,319         786
Jefferson-Pilot Corp.                     32,560       1,597
KeyCorp                                   97,009       3,148
Lehman Brothers Holdings,                                   
  Inc                                     67,818       6,386
Lincoln National Corp.                    41,631       1,879
Loews Corp.                               39,714       2,921
M & T Bank Corp.                          24,600       2,511
Marsh & McLennan Cos., Inc.              126,536       3,849
Marshall & Ilsley Corp.                   52,292       2,183
MBIA, Inc.                                33,558       1,754
MBNA Corp.                               311,802       7,655
Mellon Financial Corp.                   101,123       2,886
Merrill Lynch & Co., Inc.                227,427      12,872

2 

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STATE STREET EQUITY 500 INDEX PORTFOLIO                                         
PORTFOLIO OF INVESTMENTS - (CONTINUED)                                          
MARCH 31, 2005 (UNAUDITED)                                                      

                                                                [Download Table]

                                                     MARKET 
                                                     VALUE  
                                        SHARES       (000)  
                                       ---------    --------
                                                            
FINANCIALS -- (CONTINUED)                                   
MetLife, Inc.                            177,607    $  6,944
MGIC Investment Corp. (b)                 23,062       1,422
Moody's Corp.                             35,265       2,852
Morgan Stanley                           271,643      15,552
National City Corp.                      146,391       4,904
North Fork Bancorp, Inc.                 112,335       3,116
Northern Trust Corp.                      52,340       2,274
Plum Creek Timber Co., Inc.               43,780       1,563
PNC Financial Services                                      
  Group, Inc.                             67,447       3,472
Principal Financial Group, Inc            73,250       2,819
Progressive Corp.                         48,847       4,482
ProLogis                                  43,900       1,629
Providian Financial Corp. (a)             69,973       1,201
Prudential Financial, Inc.               128,500       7,376
Regions Financial Corp.                  110,909       3,593
SAFECO Corp. (b)                          30,264       1,474
Simon Property Group, Inc.                52,763       3,196
SLM Corp.                                104,842       5,225
Sovereign Bancorp, Inc.                   91,100       2,019
St. Paul Travelers Cos., Inc             163,325       5,999
State Street Corp. (b) (c)                79,625       3,481
SunTrust Banks, Inc.                      83,372       6,009
Synovus Financial Corp.                   73,904       2,059
T. Rowe Price Group, Inc.                 30,590       1,816
Torchmark Corp.                           25,876       1,351
U.S. Bancorp                             452,861      13,051
UnumProvident Corp. (b)                   70,835       1,206
Wachovia Corp.                           386,886      19,696
Washington Mutual, Inc.                  213,913       8,450
Wells Fargo Co.                          413,411      24,722
XL Capital, Ltd. Class A                  33,132       2,398
Zions Bancorp                             21,419       1,478
                                                    --------
                                                     521,851
                                                    --------
HEALTH CARE -- 12.55%                                       
Abbott Laboratories                      380,467      17,737
Aetna, Inc.                               70,664       5,296
Allergan, Inc.                            31,291       2,174
AmerisourceBergen Corp.                   27,216       1,559
Amgen, Inc. (a)                          305,675      17,793
Applera Corp. - Applied                                     
  Biosystems Group                        47,567         939
Bausch & Lomb, Inc.                       12,825         940
Baxter International, Inc.               151,226       5,139
Becton, Dickinson & Co.                   60,929       3,559
Biogen Idec, Inc. (a)                     79,773       2,753
Biomet, Inc.                              60,441       2,194
Boston Scientific Corp. (a)              186,996       5,477
Bristol-Myers Squibb Co.                 477,817      12,165
C.R. Bard, Inc.                           24,994       1,702
Cardinal Health, Inc.                    105,766       5,902
Caremark Rx, Inc. (a)                    111,508       4,436
Chiron Corp. (a)                          37,744       1,323
CIGNA Corp.                               32,389       2,892
Eli Lilly & Co.                          276,697      14,416
Express Scripts, Inc. (a)                 18,100       1,578
Forest Laboratories, Inc. (a)             87,906       3,248
Genzyme Corp. (a)                         59,205       3,389
Gilead Sciences, Inc. (a)                104,100       3,727
Guidant Corp.                             79,364       5,865
HCA, Inc. (b)                            100,559       5,387
Health Management                                           
  Associates, Inc. Class A                58,098       1,521
Hospira, Inc. (a)                         37,336       1,205
Humana, Inc. (a)                          38,025       1,215
IMS Health, Inc.                          55,281       1,348
Johnson & Johnson                        725,546      48,728
King Pharmaceuticals, Inc.(a)             57,632         479
Laboratory Corp. of America                                 
  Holdings (a)                            33,000       1,591
Manor Care, Inc.                          21,251         773
McKesson Corp.                            70,131       2,647
Medco Health Solutions, Inc.                                
  (a)                                     67,172       3,330
MedImmune, Inc. (a) (b)                   59,465       1,416
Medtronic, Inc.                          295,302      15,046
Merck & Co., Inc.                        538,903      17,444
Millipore Corp. (a)                       11,828         513
Mylan Laboratories Inc. (b)               64,200       1,138
Pfizer, Inc.                           1,820,374      47,821
Quest Diagnostics Inc.                    24,200       2,544
Schering-Plough Corp.                    359,924       6,533
St. Jude Medical, Inc. (a)                88,094       3,171
Stryker Corp.                             96,308       4,296
Tenet Healthcare Corp. (a)               111,409       1,285
UnitedHealth Group, Inc.                 155,984      14,878
Watson Pharmaceuticals, Inc.                                
  (a) (b)                                 26,103         802
Wellpoint, Inc. (a)                       74,689       9,362
Wyeth                                    326,531      13,773
Zimmer Holdings, Inc. (a)                 60,220       4,686
                                                    --------
                                                     339,135
                                                    --------
INDUSTRIALS -- 11.65%                                       
3M Co.                                   188,584      16,160
Allied Waste Industries,                                    
  Inc. (a) (b)                            75,867         555
American Power Conversion                                   
  Corp                                    45,667       1,192
American Standard Cos., Inc.              45,221       2,102
Apollo Group, Inc. (a)                    43,275       3,205
Avery Dennison Corp.                      26,370       1,633
Boeing Co.                               203,145      11,876
Burlington Northern Santa Fe                                
  Corp                                    92,350       4,980
Caterpillar, Inc.                         84,085       7,689
Cendant Corp.                            257,422       5,287
Cintas Corp.                              40,982       1,693
Cooper Industries, Ltd.                   21,921       1,568
CSX Corp.                                 51,324       2,138

3 

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STATE STREET EQUITY 500 INDEX PORTFOLIO                                         
PORTFOLIO OF INVESTMENTS - (CONTINUED)                                          
MARCH 31, 2005 (UNAUDITED)                                                      

                                                                [Download Table]

                                                               MARKET 
                                                                VALUE 
                                                   SHARES       (000) 
                                                 ---------     -------
                                                                      
INDUSTRIALS -- (CONTINUED)                                            
Cummins, Inc. (b)                                   10,873     $   765
Danaher Corp.                                       68,126       3,639
Deere & Co.                                         59,241       3,977
Delta Air Lines, Inc. (a) (b)                       33,193         134
Dover Corp.                                         48,513       1,833
Eaton Corp.                                         36,278       2,373
Emerson Electric Co.                               102,335       6,645
Equifax, Inc.                                       32,269         990
FedEx Corp.                                         73,946       6,947
Fluor Corp.                                         20,006       1,109
General Dynamics Corp.                              48,806       5,225
General Electric Co. (d)                         2,586,223      93,259
Goodrich Co.                                        28,355       1,086
H&R Block, Inc. (b)                                 39,310       1,988
Honeywell International, Inc.                      205,342       7,641
Illinois Tool Works, Inc.                           67,464       6,040
Ingersoll-Rand Co. Class A                          42,250       3,365
ITT Industries, Inc.                                22,002       1,985
L-3 Communications Holdings, Inc.                   27,500       1,953
Lockheed Martin Corp.                               98,671       6,025
Masco Corp.                                        106,974       3,709
Monster Worldwide, Inc. (a)                         28,392         796
Navistar International Corp. (a)                    16,880         614
Norfolk Southern Corp.                              97,661       3,618
Northrop Grumman Corp.                              88,278       4,765
PACCAR, Inc.                                        41,470       3,002
Pall Corp. (b)                                      29,474         799
Parker-Hannifin Corp.                               28,523       1,738
Pitney Bowes, Inc.                                  55,039       2,483
R.R. Donnelley & Sons Co.                           52,460       1,659
Raytheon Co.                                       108,514       4,200
Robert Half International, Inc.                     41,414       1,117
Rockwell Automation, Inc.                           43,920       2,488
Rockwell Collins, Inc.                              42,119       2,004
Ryder Systems, Inc.                                 15,380         641
Southwest Airlines Co.                             182,140       2,594
Textron, Inc.                                       32,775       2,446
Tyco International, Ltd.                           491,348      16,608
Union Pacific Corp.                                 63,640       4,436
United Parcel Service, Inc. Class B                273,000      19,858
United Technologies Corp.                          125,157      12,723
W.W. Grainger, Inc.                                 21,709       1,352
Waste Management, Inc.                             137,379       3,963
                                                               -------
                                                               314,670
                                                               -------
INFORMATION TECHNOLOGY -- 15.35%                                      
ADC Telecommunications, Inc. (a) (b)               193,027         384
Adobe Systems, Inc.                                 59,371       3,988
Advanced Micro Devices, Inc. (a)                    92,084       1,484
Affiliated Computer Services, Inc. (a)              30,700       1,634
Agilent Technologies, Inc. (a)                     115,927       2,574
Altera Corp. (a)                                    88,878       1,758
Analog Devices, Inc.                                89,661       3,240
Andrew Corp. (a) (b)                                38,427         450
Apple Computer, Inc. (a)                           200,292       8,346
Applied Materials, Inc. (a)                        405,361       6,587
Applied Micro Circuits Corp. (a)                    75,042         247
Autodesk, Inc.                                      54,730       1,629
Automatic Data Processing, Inc.                    142,238       6,394
Avaya, Inc. (a)                                    117,115       1,368
BMC Software, Inc. (a)                              52,936         794
Broadcom Corp. (a)                                  78,546       2,350
CIENA Corp. (a) (b)                                138,988         239
Cisco Systems, Inc. (a)                          1,575,159      28,180
Citrix Systems, Inc. (a) (b)                        40,553         966
Computer Associates International, Inc.            138,244       3,746
Computer Sciences Corp. (a)                         45,182       2,072
Compuware Corp. (a)                                 92,657         667
Comverse Technology, Inc. (a)                       47,138       1,189
Convergys Corp. (a)                                 35,005         523
Corning, Inc. (a)                                  336,785       3,748
Dell, Inc. (a)                                     599,591      23,036
Electronic Arts, Inc. (a)                           75,100       3,889
Electronic Data Systems Corp.                      122,686       2,536
EMC Corp. (a)                                      590,341       7,273
First Data Corp.                                   198,104       7,787
Fiserv, Inc. (a)                                    46,647       1,857
Fisher Scientific International, Inc. (a)           28,000       1,594
Freescale Semiconductor, Inc. (a)                   98,008       1,691
Gateway, Inc. (a)                                   91,465         369
Hewlett-Packard Co.                                707,219      15,516
Intel Corp.                                      1,519,403      35,296
International Business Machines Corp.              398,318      36,398
Intuit, Inc. (a)                                    44,751       1,959
Jabil Circuit, Inc. (a)                             48,013       1,369
JDS Uniphase Corp. (a)                             344,319         575
KLA-Tencor Corp. (a)                                46,664       2,147
Lexmark International Group, Inc. Class A (a)       30,802       2,463
Linear Technology Corp.                             73,275       2,807
LSI Logic Corp. (a) (b)                             93,535         523
Lucent Technologies, Inc. (a) (b)                1,055,072       2,901
Maxim Integrated Products, Inc.                     77,656       3,174
Mercury Interactive Corp. (a)                       20,148         955
Micron Technology, Inc. (a)                        146,132       1,511
Microsoft Corp. (d)                              2,468,904      59,673
Molex, Inc.                                         45,010       1,186
Motorola, Inc.                                     600,398       8,988

4 

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STATE STREET EQUITY 500 INDEX PORTFOLIO                                         
PORTFOLIO OF INVESTMENTS - (CONTINUED)                                          
MARCH 31, 2005 (UNAUDITED)                                                      

                                                                [Download Table]

                                                                  MARKET 
                                                                   VALUE 
                                                      SHARES      (000)  
                                                    ---------    --------
                                                                         
INFORMATION TECHNOLOGY -- (CONTINUED)                                    
National Semiconductor Corp.                           85,518    $  1,762
NCR Corp. (a)                                          44,484       1,501
Network Appliance, Inc. (a)                            89,367       2,472
News Corp. Class A                                    703,900      11,910
Novell, Inc. (a) (b)                                   90,942         542
Novellus Systems, Inc. (a)                             33,669         900
NVIDIA Corp. (a)                                       39,651         942
Oracle Corp. (a)                                    1,097,538      13,697
Parametric Technology Corp. (a)                        64,241         359
Paychex, Inc.                                          90,227       2,961
PerkinElmer, Inc.                                      31,257         645
PMC-Sierra, Inc. (a) (b)                               42,524         374
QLogic Corp. (a)                                       22,045         893
QUALCOMM, Inc.                                        401,878      14,729
Sabre Holdings Corp. Class A (b)                       32,324         707
Sanmina-SCI Corp. (a)                                 124,358         649
Scientific-Atlanta, Inc.                               36,568       1,032
Siebel Systems, Inc. (a)                              121,958       1,113
Solectron Corp. (a)                                   231,714         804
Sun Microsystems, Inc. (a)                            824,188       3,330
SunGard Data Systems, Inc. (a)                         68,950       2,379
Symantec Corp. (a)                                    170,600       3,639
Symbol Technologies, Inc.                              57,485         833
Tektronix, Inc.                                        21,529         528
Tellabs, Inc. (a)                                     110,275         805
Teradyne, Inc. (a)                                     47,092         688
Texas Instruments, Inc.                               421,103      10,734
Thermo Electron Corp. (a)                              38,429         972
Unisys Corp. (a)                                       80,179         566
VERITAS Software Corp. (a)                            100,783       2,340
Waters Corp. (a)                                       28,857       1,033
Xerox Corp. (a)                                       233,642       3,540
Xilinx, Inc.                                           83,104       2,429
Yahoo!, Inc. (a)                                      319,080      10,817
                                                                 --------
                                                                  414,655
                                                                 --------
MATERIALS -- 3.16%                                                       
Air Products & Chemicals, Inc.                         54,289       3,436
Alcoa, Inc.                                           212,646       6,462
Allegheny Technologies, Inc.                           22,829         550
Ball Corp.                                             26,870       1,115
Bemis Co., Inc.                                        25,528         794
Dow Chemical Co.                                      233,099      11,620
E.I. Du Pont de Nemours & Co.                         243,639      12,484
Eastman Chemical Co.                                   18,562       1,095
Ecolab, Inc.                                           55,726       1,842
Engelhard Corp.                                        29,230         878
Freeport-McMoRan Copper & Gold, Inc. Class B           42,614       1,688
Georgia-Pacific Group                                  61,640       2,188
Great Lakes Chemical Corp.                             12,503         402
Hercules, Inc. (a)                                     27,298         395
International Flavors & Fragrances, Inc.               22,504         889
International Paper Co. (b)                           119,656       4,402
Louisiana-Pacific Corp.                                26,259         660
MeadWestvaco Corp.                                     48,388       1,540
Monsanto Co.                                           64,946       4,189
Newmont Mining Corp.                                  106,342       4,493
Nucor Corp. (b)                                        38,004       2,188
Pactiv Corp. (a)                                       35,464         828
Phelps Dodge Corp.                                     22,805       2,320
PPG Industries, Inc.                                   42,290       3,025
Praxair, Inc.                                          77,520       3,710
Rohm & Haas Co.                                        48,696       2,337
Sealed Air Corp. (a)                                   20,236       1,051
Sigma-Aldrich Corp.                                    16,493       1,010
Temple-Inland, Inc.                                    13,414         973
United States Steel Corp.                              27,102       1,378
Vulcan Materials Co.                                   24,396       1,386
Weyerhaeuser Co.                                       59,224       4,057
                                                                 --------
                                                                   85,385
                                                                 --------
TELECOMMUNICATION SERVICES -- 3.05%                                      
ALLTEL Corp.                                           72,898       3,998
AT&T Corp.                                            195,247       3,661
BellSouth Corp.                                       447,928      11,776
CenturyTel, Inc.                                       32,108       1,054
Citizens Communications Co.                            80,077       1,036
Nextel Communications, Inc. Class A (a)               276,236       7,851
Qwest Communications International, Inc. (a) (b)      433,422       1,604
SBC Communications, Inc.                              806,004      19,094
Sprint Corp. (Fon Group)                              362,223       8,241
Verizon Communications, Inc.                          675,298      23,973
                                                                 --------
                                                                   82,288
                                                                 --------
UTILITIES -- 3.44%                                                       
AES Corp. (a)                                         154,814       2,536
Allegheny Energy, Inc. (a) (b)                         32,799         678
Ameren Corp.                                           46,542       2,281
American Electric Power Co., Inc. (b)                  94,454       3,217
Calpine Corp. (a) (b)                                 127,552         357
CenterPoint Energy, Inc.                               73,493         884
Cinergy Corp.                                          46,658       1,891
CMS Energy Corp. (a) (b)                               46,505         606
Consolidated Edison, Inc.                              57,722       2,435
Constellation Energy Group, Inc.                       42,003       2,172
Dominion Resources, Inc.                               83,687       6,229
DTE Energy Co. (b)                                     41,546       1,889
Duke Energy Corp.                                     228,577       6,402
Dynegy Inc. Class A (a) (b)                            92,330         361
Edison International                                   77,762       2,700
El Paso Corp.                                         153,194       1,621
Entergy Corp.                                          53,743       3,797
Exelon Corp.                                          163,078       7,484

5 

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STATE STREET EQUITY 500 INDEX PORTFOLIO                                         
PORTFOLIO OF INVESTMENTS - (CONTINUED)                                          
MARCH 31, 2005 (UNAUDITED)                                                      

                                                                [Download Table]

                                                      MARKET 
                                                      VALUE  
                                           SHARES     (000)  
                                           -------  ---------
                                                             
UTILITIES -- (CONTINUED)                                     
FirstEnergy Corp.                           78,712  $   3,303
FPL Group, Inc.                             96,778      3,886
KeySpan Corp.                               38,306      1,493
Kinder Morgan, Inc.                         29,538      2,236
Nicor, Inc. (b)                             10,913        405
NiSource, Inc.                              64,567      1,471
Peoples Energy Corp.                         9,031        379
PG&E Corp. (a)                              89,523      3,053
Pinnacle West Capital Corp. (b)             21,881        930
PPL Corp.                                   45,168      2,439
Progress Energy, Inc. (b)                   59,008      2,475
Public Service Enterprise Group, Inc.       56,722      3,085
Sempra Energy (b)                           58,089      2,314
Southern Co.                               181,258      5,769
TECO Energy, Inc. (b)                       47,676        748
TXU Corp. (b)                               57,548      4,582
Williams Cos., Inc.                        139,137      2,617
Xcel Energy, Inc. (b)                       95,597      1,642
XTO Energy, Inc.                            82,800      2,719
                                                    ---------
                                                       93,086
                                                    ---------
TOTAL COMMON STOCKS                                          
(Cost $2,088,945,642)                               2,639,076
                                                    ---------

                                                                [Download Table]

                                                PAR          
                                               AMOUNT        
                                               (000)         
                                              -------        
                                                             
U.S. GOVERNMENT SECURITIES -- 0.16%                          
United States Treasury Bill                                  
2.68% due 06/09/05(d) (e)                     $ 4,299   4,277
                                                        -----

TOTAL U.S. GOVERNMENT SECURITIES                             
(Cost $4,276,917)                                       4,277
                                                        -----

                                                                [Download Table]

                                                        SHARES            
                                                         (000)            
                                                        ------            
                                                                          
MONEY MARKET FUNDS -- 5.74%                                               
AIM Short Term Investment Prime Portfolio               61,775     $61,775
Federated Money Market Obligations Trust                   490         490

                                                                [Download Table]

                                                                   MARKET   
                                                    SHARES         VALUE    
                                                     (000)          (000)   
                                                    -------      ---------- 
                                                                            
State Street Navigator Securities Lending                                   
 Prime Portfolio (c) (f)                             92,889      $   92,889 
                                                                 ---------- 
TOTAL MONEY MARKET FUNDS                                                    
(Cost $155,153,818)                                                 155,154 
                                                                 ---------- 
TOTAL INVESTMENTS -- 103.57%                                                
(identified cost $2,248,376,377) (g) (h) (i)                      2,798,507 

LIABILITIES IN EXCESS OF ASSETS -- (3.57)%                          (96,589)
                                                                 ---------- 

NET ASSETS -- 100.00%                                            $2,701,918 
                                                                 ========== 

(a) Non-income producing security.                                              

(b) All or a portion of these securities were on loan at March 31, 2005.        

(c) Affiliated issuer. See table below for more information.                    

AFFILIATED ISSUER TABLE                                                         

                                                        [Enlarge/Download Table]

                           NUMBER OF     SHARES PURCHASED        SHARES SOLD        NUMBER OF      INCOME EARNED                    
        SECURITY          SHARES HELD  FOR THE THREE MONTHS  FOR THE THREE MONTHS  SHARES HELD  FOR THE THREE MONTHS  REALIZED GAIN 
       DESCRIPTION        AT 12/31/04     ENDED 03/31/05        ENDED 03/31/05     AT 03/31/05     ENDED 03/31/05     ON SHARES SOLD
------------------------  -----------  --------------------  --------------------  -----------  --------------------  --------------
                                                                                                                                    
State Street Corp.             79,225             1,700                 1,300           79,625         $13,536           $  5,115   

State Street Navigator                                                                                                              
Securities Lending Prime                                                                                                            
Portfolio                  98,441,667       304,752,988           310,305,920       92,888,735         $11,846                 --   

(d) Security held as collateral in relation to initial margin requirements on   
futures contracts.                                                              

(e) Rate represents annualized yield at date of purchase.                       

(f) Security represents investment made with cash collateral received from      
securities loaned.                                                              

(g) Cost of investments shown approximates cost for federal income tax purposes.
Gross unrealized appreciation and gross unrealized depreciation of investments  
at March 31, 2005 was $734,812,182 and $184,681,594, respectively, resulting in 
net unrealized appreciation of investments of $550,130,588.                     

(h) Includes $90,592,477 of investments in securities on loan, at value. The    
custodian held cash and cash equivalents as collateral for securities loaned of 
$92,888,735.                                                                    

6 

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STATE STREET EQUITY 500 INDEX PORTFOLIO                                         
PORTFOLIO OF INVESTMENTS - (CONTINUED)                                          
MARCH 31, 2005 (UNAUDITED)                                                      

(i) Security valuation: The Porfolio's investments are valued each business day 
by independent pricing services. Equity securities for which market quotations  
are available are valued at the last sale price or official closing price       
(closing bid price if no sale has occurred) on the primary market or exchange on
which they trade. Investments in other mutual funds are valued at the net asset 
value per share. Fixed-income securities and options are valued on the basis of 
the closing bid price. Money market instruments maturing within 60 days of the  
valuation date are valued at amortized cost, a method by which each money market
instrument is initially valued at cost, and thereafter a constant accretion or  
amortization of any discount or premium is recorded until maturity of the       
security. The Portfolio may value securities for which market quotations are not
readily available at "fair value," as determined in good faith pursuant to      
procedures established by the Board of Trustees.                                

                                                                [Download Table]

                                               Number      Unrealized  
                                                of        Depreciation 
                                             Contracts       (000)     
                                             ---------    ------------ 
                                                                       
SCHEDULE OF FUTURES                                                    
 CONTRACTS                                                             
S&P 500 Financial Futures                                              
Contracts (long) Expiration                                            
Date 06/2005                                       344    $     (1,431)
                                                          ------------ 

Total unrealized depreciation                                          
on open futures contracts                                              
purchased                                                 $     (1,431)
                                                          ============ 

For information on the Portfolio's other significant accounting policies, please
refer to the Portfolio's most recent annual financial statements.               

7 

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The American Beacon Small Cap Index Fund invests all of its investable assets   
in the Master Small Cap Index Series of the Quantitative Master Series Trust.   
The Schedule of Investments for the Master Small Cap Index Series for the       
fiscal quarter ended March 31, 2005 is provided below.                          

MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                       SHARES                                                        
 INDUSTRY*                              HELD   COMMON STOCKS                                 VALUE   
-------------------------------------  ------  ------------------------------------------  ----------
                                                                                                     
Advertising Agencies - 0.7%             3,400  24/7 Real Media, Inc. (d)                   $   11,050
                                       10,235  Advo, Inc.                                     383,300
                                       14,800  aQuantive, Inc. (d)                            163,836
                                       15,600  Catalina Marketing Corp.                       404,040
                                          800  Greenfield Online, Inc. (d)                     15,720
                                        7,133  RH Donnelley Corp. (d)                         414,356
                                       16,400  Valassis Communications, Inc. (d)              573,344
                                       25,800  Valueclick, Inc. (d)                           273,738
                                        6,800  Ventiv Health, Inc. (d)                        156,400
                                                                                           ----------
                                                                                            2,395,784
                                                                                           ----------
Aerospace - 0.5%                        6,434  Curtiss-Wright Corp.                           366,738
                                        2,200  Ducommun, Inc. (d)                              44,000
                                        6,426  Heico Corp.                                    129,163
                                        1,700  MTC Technologies, Inc. (d)                      55,250
                                        8,809  Moog, Inc. Class A (d)                         398,167
                                       16,035  Orbital Sciences Corp. (d)                     155,219
                                       10,934  Teledyne Technologies, Inc. (d)                342,234
                                        3,900  United Industrial Corp.                        115,518
                                                                                           ----------
                                                                                            1,606,289
                                                                                           ----------
Agriculture Fishing & Ranching - 0.1%   1,200  Alico, Inc.                                     63,240
                                       12,978  Delta & Pine Land Co.                          350,406
                                                                                           ----------
                                                                                              413,646
                                                                                           ----------
Air Transport - 0.8%                   12,168  AAR Corp. (d)                                  165,484
                                       25,820  Airtran Holdings, Inc. (d)                     233,671
                                        8,399  Alaska Air Group, Inc. (d)                     247,266
                                       11,200  America West Holdings Corp. Class B (b)(d)      60,816
                                        7,200  Aviall, Inc. (d)                               201,600
                                       20,600  Continental Airlines, Inc. Class B (b)(d)      248,024
                                       36,300  Delta Air Lines, Inc. (b)(d)                   147,015
                                       10,495  EGL, Inc. (d)                                  239,286
                                        9,600  ExpressJet Holdings, Inc. (d)                  109,536
                                        3,923  FLYi, Inc. (b)(d)                                4,982
                                       12,055  Frontier Airlines, Inc. (d)                    126,336
                                       10,556  Mesa Air Group, Inc. (b)(d)                     73,892
                                       22,400  Northwest Airlines Corp. (b)(d)                149,856
                                        7,185  Offshore Logistics, Inc. (d)                   239,404
                                        4,400  Pinnacle Airlines Corp. (d)                     46,728
                                       20,200  Skywest, Inc.                                  375,518
                                                                                           ----------
                                                                                            2,669,414
                                                                                           ----------
Aluminum - 0.1%                         9,600  Aleris International, Inc. (d)                 239,520
                                        5,902  Century Aluminum Co. (d)                       178,595
                                                                                           ----------
                                                                                              418,115
                                                                                           ----------
Auto Parts: After Market - 0.2%         1,843  Aftermarket Technology Corp. (d)                30,409
                                        5,000  Keystone Automotive Industries, Inc. (d)       115,800
                                        3,200  Sports Resorts International, Inc. (d)           8,064
                                        3,300  Standard Motor Products, Inc.                   38,610
                                        6,899  Superior Industries International (b)          182,203
                                        6,600  TBC Corp. (d)                                  183,876
                                                                                           ----------
                                                                                              558,962
                                                                                           ----------
Auto Parts: Original Equipment - 0.3%  21,800  ArvinMeritor, Inc.                             337,246
                                       12,278  Collins & Aikman Corp. (d)                      15,102
                                       14,500  Hayes Lemmerz International, Inc. (d)           75,400
                                        3,300  Noble International Ltd.                        74,778
                                        2,273  Sauer-Danfoss, Inc.                             51,438
                                        3,787  Stoneridge, Inc. (d)                            46,239
                                          800  Strattec Security Corp. (d)                     42,864
                                       13,400  Tenneco Automotive, Inc. (d)                   166,964
                                       37,500  Visteon Corp.                                  214,125
                                                                                           ----------
                                                                                            1,024,156
                                                                                           ----------

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                     SHARES                                                    
INDUSTRY*                             HELD   COMMON STOCKS                              VALUE  
-----------------------------------  ------  ---------------------------------------  ---------
                                                                                               
Auto Trucks & Parts - 0.1%            1,550  Commercial Vehicle Group, Inc. (d)       $  31,000
                                      7,994  Modine Manufacturing Co.                   234,464
                                      9,445  Wabash National Corp.                      230,458
                                                                                      ---------
                                                                                        495,922
                                                                                      ---------
Banks: New York City - 0.0%             500  Signature Bank (d)                          13,255
                                                                                      ---------
Banks: Outside New York City - 7.3%   3,640  1st Source Corp.                            77,641
                                      3,600  ABC Bancorp                                 60,804
                                      3,621  Alabama National Bancorporation            224,103
                                      8,318  Amcore Financial, Inc.                     234,983
                                      4,950  AmericanWest Bancorp (d)                    95,386
                                      2,626  Arrow Financial Corp.                       71,506
                                      1,200  BancTrust Financial Group, Inc.             24,024
                                        945  Bancfirst Corp.                             65,224
                                      4,715  The Bancorp Inc. (d)                        66,010
                                     23,600  Bancorpsouth, Inc.                         487,104
                                      4,086  Bank of Granite Corp.                       75,550
                                      3,000  Bank of the Ozarks, Inc.                    95,250
                                      3,113  Banner Corp.                                83,958
                                      7,393  Boston Private Financial Holdings, Inc.    175,584
                                      2,200  Bryn Mawr Bank Corp.                        44,924
                                     13,960  CVB Financial Corp.                        253,234
                                      1,600  Camden National Corp.                       56,560
                                      2,577  Capital City Bank Group, Inc.              104,394
                                      1,500  Capital Corp. of the West                   69,720
                                        600  Capital Crossing Bank (d)                   19,740
                                      2,300  Capitol Bancorp Ltd.                        69,575
                                      5,500  Cascade Bancorp                            106,205
                                     14,444  Cathay General Bancorp                     454,986
                                      3,200  Center Financial Corp.                      56,416
                                      3,482  Central Coast Bancorp (d)                   58,393
                                      9,848  Central Pacific Financial Corp.            331,385
                                      2,200  Century Bancorp, Inc. Class A               63,074
                                      7,648  Chemical Financial Corp.                   248,598
                                     13,982  Chittenden Corp.                           364,511
                                     13,500  Citizens Banking Corp.                     396,360
                                      2,299  City Bank                                   73,545
                                      6,293  City Holding Co.                           185,864
                                      1,800  Clifton Savings Bancorp, Inc.               20,160
                                      3,926  CoBiz, Inc.                                 76,086
                                      1,800  Columbia Bancorp                            57,348
                                      6,341  Columbia Banking System, Inc.              150,599
                                      8,300  Community Bank System, Inc.                190,153
                                      3,177  Community Banks, Inc.                       79,393
                                      3,623  Community Trust Bancorp, Inc.              104,379
                                      4,752  Corus Bankshares, Inc.                     226,623
                                     15,596  East-West Bancorp, Inc.                    575,804
                                      1,400  EuroBancshares, Inc. (d)                    23,674
                                      1,900  FNB Corporation                             48,982
                                      1,885  Farmers Capital Bank Corp.                  62,997
                                      1,700  Financial Institutions, Inc.                33,677
                                     11,400  First BanCorp.                             481,650
                                      3,036  First Bancorp.                              68,735
                                      4,014  First Busey Corp.                           77,671
                                      9,523  First Charter Corp.                        215,125
                                      1,847  First Citizens BancShares, Inc. Class A    270,364
                                     21,240  First Commonwealth Financial Corp.         290,988
                                      4,400  First Community Bancorp, Inc.              194,920
                                      2,894  First Community Bancshares, Inc.            81,235
                                     10,087  First Financial Bancorp                    184,088
                                      4,165  First Financial Bankshares, Inc.           185,884

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                                [Download Table]

            SHARES                                                       
INDUSTRY*    HELD    COMMON STOCKS                                VALUE  
---------   ------   ----------------------------------------   ---------
                                                                         
             4,344   First Financial Corp.                      $ 128,365
             5,546   First Merchants Corp.                        143,641
            15,600   First Midwest Bancorp, Inc.                  506,688
             1,150   First Oak Brook Bancshares, Inc.              33,684
               600   The First of Long Island Corp.                25,194
             6,800   First State Bancorporation                   115,430
             5,400   Franklin Bank Corp. (d)                       93,150
             4,741   Frontier Financial Corp.                     179,684
             1,000   GB&T Bancshares, Inc.                         21,660
             2,035   German American Bancorp                       31,543
             7,075   Glacier Bancorp, Inc.                        215,788
            12,422   Gold Banc Corp., Inc.                        174,281
            16,000   Greater Bay Bancorp                          390,560
             8,454   Hancock Holding Co.                          274,755
             8,304   Hanmi Financial Corp.                        137,431
             8,360   Harleysville National Corp.                  177,650
             3,000   Heartland Financial USA, Inc.                 59,580
             4,845   Independent Bank Corp. - Maine               140,505
             7,081   Independent Bank Corp. - Michigan            203,720
             4,974   Integra Bank Corp.                           110,124
             5,100   Interchange Financial Services Corp.          87,975
             5,448   Irwin Financial Corp.                        125,413
             3,998   Lakeland Bancorp, Inc.                        62,249
             1,700   Lakeland Financial Corp.                      65,365
             5,950   MB Financial, Inc.                           227,885
             3,477   MBT Financial Corp.                           65,611
             2,677   Macatawa Bank Corp.                           89,880
             4,256   Main Street Banks, Inc.                      112,699
             2,966   MainSource Financial Group, Inc.              65,193
             2,380   Mercantile Bank Corp.                         97,294
                 1   Mercantile Bankshares Corp.                       51
             7,750   Mid-State Bancshares                         206,150
             3,580   Midwest Banc Holdings, Inc.                   71,278
             2,129   NBC Capital Corp.                             51,479
            10,013   NBT Bancorp, Inc.                            224,391
             7,300   Nara Bancorp, Inc.                           102,565
             9,162   National Penn Bancshares, Inc.               225,110
             1,031   Oak Hill Financial, Inc.                      34,703
            22,295   Old National Bancorp                         452,589
             4,176   Old Second Bancorp, Inc.                     126,011
             2,541   Omega Financial Corp.                         75,684
             6,218   Oriental Financial Group                     145,626
            15,062   Pacific Capital Bancorp                      448,546
             4,415   Park National Corp.                          496,688
             2,198   Peapack Gladstone Financial Corp.             59,346
             1,761   Pennrock Financial Services Corp.             61,494
             4,510   Peoples Bancorp, Inc.                        121,319
             2,432   Peoples Holding Co.                           75,635
             6,300   Piper Jaffray Cos. (d)                       230,517
             1,050   Placer Sierra Bancshares                      24,119
             6,296   PrivateBancorp, Inc.                         197,757
             5,200   Prosperity Bancshares, Inc.                  137,748
            11,224   Provident Bankshares Corp.                   369,943
             9,711   R-G Financial Corp. Class B                  302,692
            23,309   Republic Bancorp, Inc.                       315,604
             2,608   Republic Bancorp, Inc. Class A                57,941
             5,501   Riggs National Corp. (d)                     105,014
             1,344   Royal Bancshares of Pennsylvania Class A      30,522
             7,863   S&T Bancorp, Inc.                            278,350
             2,446   SCBT Financial Corp.                          73,453

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                     SHARES                                                         
INDUSTRY*                             HELD   COMMON STOCKS                                 VALUE    
-----------------------------------  ------  -----------------------------------------  ------------
                                                                                                    
                                      2,800  SY Bancorp, Inc.                           $     61,600
                                      4,814  Sandy Spring Bancorp, Inc.                      155,588
                                      1,603  Santander BanCorp                                42,207
                                      3,558  Seacoast Banking Corp. of Florida                70,021
                                        700  Security Bank Corp.                              28,833
                                     11,000  Silicon Valley Bancshares (d)                   484,660
                                      4,400  Simmons First National Corp. Class A            109,208
                                        900  Smithtown Bancorp, Inc.                          25,164
                                      2,000  Southern Community Financial Corp.               18,800
                                      2,976  Southside Bancshares, Inc.                       62,014
                                      4,800  Southwest Bancorp, Inc.                          88,560
                                     20,104  Southwest Bancorp of Texas, Inc.                368,908
                                      2,168  State Bancorp, Inc.                              56,390
                                      1,800  State Financial Services Corp. Class A           66,510
                                     15,176  Sterling Bancshares, Inc.                       215,499
                                      6,962  Sterling Financial Corp.                        181,151
                                      3,400  Suffolk Bancorp                                 112,302
                                      3,388  Sun Bancorp, Inc. (d)                            77,534
                                     13,016  Susquehanna Bancshares, Inc.                    317,330
                                        200  Taylor Capital Group, Inc.                        6,530
                                      8,261  Texas Capital Bancshares, Inc. (d)              173,481
                                     13,976  Texas Regional Bancshares, Inc. Class A         420,817
                                      2,782  Tompkins Trustco, Inc.                          118,374
                                      3,400  Trico Bancshares                                 71,230
                                     24,661  TrustCo Bank Corp                               283,355
                                     14,327  Trustmark Corp.                                 415,483
                                      4,976  UMB Financial Corp.                             283,234
                                      3,530  USB Holding Co., Inc.                            78,331
                                     15,250  Umpqua Holdings Corp.                           356,088
                                      2,400  Union Bankshares Corp.                           76,848
                                     12,800  United Bankshares, Inc.                         424,192
                                      8,700  United Community Banks, Inc.                    206,451
                                      1,900  Univest Corp. of Pennsylvania                    75,639
                                      7,219  Unizan Financial Corp.                          187,694
                                      3,450  Virginia Commerce Bancorp (b)(d)                 93,288
                                      2,200  Virginia Financial Group, Inc.                   72,369
                                      4,200  Washington Trust Bancorp, Inc.                  115,416
                                      6,263  WesBanco, Inc.                                  172,295
                                      3,990  West Bancorporation, Inc.                        67,990
                                      4,700  West Coast Bancorp                              111,860
                                     10,583  Westamerica Bancorporation                      547,882
                                      1,920  Western Sierra Bancorp (d)                       65,530
                                      6,000  Wilshire Bancorp, Inc.                           78,240
                                      6,700  Wintrust Financial Corp.                        315,503
                                      3,700  Yardville National Bancorp                      120,694
                                                                                        ------------
                                                                                          25,241,561
                                                                                        ------------
Beverage: Brewers (Wineries) - 0.0%   2,500  Boston Beer Co., Inc. Class A (d)                54,750
                                                                                        ------------
Beverage: Soft Drinks - 0.1%            987  Coca-Cola Bottling Co.                           51,630
                                      1,710  Farmer Bros Co.                                  40,955
                                      2,600  Hansen Natural Corp. (d)                        155,662
                                      2,290  National Beverage Corp. (d)                      18,664
                                      3,600  Peet's Coffee & Tea, Inc. (d)                    88,740
                                                                                        ------------
                                                                                             355,651
                                                                                        ------------
Biotechnology Research &             26,100  Abgenix, Inc. (d)                               182,700
Production - 2.0%                     8,285  Accelrys, Inc. (d)                               49,130
                                      5,600  Aksys Ltd. (b)(d)                                17,752
                                      9,687  Albany Molecular Research, Inc. (d)              99,582
                                      8,380  Alexion Pharmaceuticals, Inc. (d)               181,552
                                      9,913  Antigenics, Inc. (b)(d)                          66,417
                                     22,300  Applera Corp. - Celera Genomics Group (d)       228,575

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                                [Download Table]

            SHARES                                                      
INDUSTRY*    HELD    COMMON STOCKS                               VALUE  
---------   ------   ---------------------------------------   ---------
                                                                        
            17,519   Ariad Pharmaceuticals, Inc. (d)           $  98,106
             5,800   Array Biopharma, Inc. (d)                    40,658
             6,620   Arthrocare Corp. (d)                        188,670
            22,700   Avant Immunotherapeutics, Inc. (d)           37,001
            18,900   Axonyx, Inc. (d)                             23,247
               900   Barrier Therapeutics, Inc. (d)               13,941
             4,200   Bioenvision, Inc. (d)                        24,150
             3,400   CancerVax Corp. (b)(d)                       22,406
            13,924   Cell Genesys, Inc. (b)(d)                    63,076
            19,031   Cell Therapeutics, Inc. (b)(d)               68,321
             7,100   Ciphergen Biosystems, Inc. (d)               19,667
            18,457   Corixa Corp. (d)                             56,663
            15,467   Cubist Pharmaceuticals, Inc. (d)            164,260
            13,100   CuraGen Corp. (b)(d)                         54,496
             9,700   Curis, Inc. (d)                              34,726
             9,100   Cypress Bioscience, Inc. (d)                 82,537
             1,300   Cytokinetics, Inc. (d)                        8,528
            15,900   deCODE genetics, Inc. (d)                    90,630
             4,324   Digene Corp. (d)                             89,723
            14,500   Discovery Laboratories, Inc. (d)             81,635
             7,178   Diversa Corp. (d)                            35,746
             5,500   Dov Pharmaceutical, Inc. (d)                 75,240
            10,300   Dyax Corp. (d)                               33,166
            17,696   Encysive Pharmaceuticals, Inc. (d)          180,853
            13,600   Enzon Pharmaceuticals, Inc. (d)             138,584
            19,218   Exelixis, Inc. (d)                          130,298
             1,900   Genencor International, Inc. (d)             36,537
            29,957   Genta, Inc. (d)                              33,851
            16,129   Geron Corp. (b)(d)                           98,548
            43,200   Human Genome Sciences, Inc. (d)             398,304
            14,009   Immunomedics, Inc. (b)(d)                    34,042
            22,224   Incyte Corp. (d)                            151,790
            11,200   Inkine Pharmaceutical Co. (d)                34,384
             6,900   Integra LifeSciences Holdings Corp. (d)     243,018
             9,214   InterMune, Inc. (d)                         101,354
             9,300   Isolagen, Inc. (b)(d)                        58,497
             2,100   Kensey Nash Corp. (d)                        56,868
             5,600   Keryx Biopharmaceuticals, Inc. (d)           74,816
             5,700   Kosan Biosciences, Inc. (d)                  23,370
            18,605   Lexicon Genetics, Inc. (d)                   95,072
             1,950   MannKind Corp. (b)(d)                        27,749
               300   Marshall Edwards, Inc. (d)                    2,502
            11,400   Maxim Pharmaceuticals, Inc. (b)(d)           20,064
             6,901   Maxygen, Inc. (d)                            59,211
             2,300   Myogen, Inc. (d)                             18,147
             9,400   Myriad Genetics, Inc. (d)                   172,866
            12,923   NPS Pharmaceuticals, Inc. (d)               163,088
            19,054   Nabi Biopharmaceuticals (d)                 237,794
            13,900   Nanogen, Inc. (b)(d)                         48,372
             5,600   Neurogen Corp. (d)                           39,648
             7,000   Northfield Laboratories, Inc. (d)            78,750
            10,800   Nuvelo, Inc. (d)                             70,200
            16,200   Oscient Pharmaceuticals Corp. (d)            37,908
            13,000   Palatin Technologies, Inc. (d)               30,420
            38,355   Peregrine Pharmaceuticals, Inc. (b)(d)       57,149
            24,200   Pharmos Corp. (d)                            14,762
             3,600   Progenics Pharmaceuticals, Inc. (d)          60,516
             7,700   Regeneration Technologies, Inc. (d)          79,387
             4,170   Rigel Pharmaceuticals, Inc. (d)              66,887
             7,800   Seattle Genetics, Inc. (d)                   40,092

5 

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                      SHARES                                                               
INDUSTRY*                              HELD    COMMON STOCKS                                       VALUE   
------------------------------------  ---------------------------------------------------------  ----------
                                                                                                           
                                      10,472   Serologicals Corp. (d)                            $  255,936
                                       8,245   Tanox, Inc. (d)                                       79,152
                                      15,832   Telik, Inc. (d)                                      238,747
                                       4,800   Third Wave Technologies, Inc. (d)                     27,648
                                      10,240   Transkaryotic Therapies, Inc. (d)                    255,642
                                       5,638   Trimeris, Inc. (d)                                    63,484
                                      16,206   Vicuron Pharmaceuticals, Inc. (d)                    255,407
                                      17,600   Vion Pharmaceuticals, Inc. (d)                        50,160
                                       5,000   Zymogenetics, Inc. (d)                                76,300
                                                                                                 ----------
                                                                                                  6,750,475
                                                                                                 ----------
Building Materials - 0.5%              2,500   Ameron International Corp.                            90,000
                                       5,000   Building Material Holding Corp.                      222,400
                                       6,012   LSI Industries, Inc.                                  67,515
                                       6,368   NCI Building Systems, Inc. (d)                       245,805
                                      10,932   Simpson Manufacturing Co., Inc.                      337,799
                                       7,345   Texas Industries, Inc.                               394,794
                                       3,309   Trex Co., Inc. (d)                                   146,953
                                       6,165   Watsco, Inc.                                         259,547
                                                                                                 ----------
                                                                                                  1,764,813
                                                                                                 ----------
Building: Air Conditioning - 0.2%     14,635   Lennox International, Inc.                           320,799
                                      12,038   York International Corp.                             471,649
                                                                                                 ----------
                                                                                                    792,448
                                                                                                 ----------
Building: Cement - 0.1%                5,878   Eagle Materials, Inc.                                475,765
                                       3,200   U.S. Concrete, Inc. (d)                               20,064
                                                                                                 ----------
                                                                                                    495,829
                                                                                                 ----------
Building: Heating & Plumbing - 0.1%    1,800   Aaon, Inc. (d)                                        29,628
                                      24,150   Jacuzzi Brands, Inc. (d)                             235,704
                                                                                                 ----------
                                                                                                    265,332
                                                                                                 ----------
Building: Miscellaneous - 0.1%         9,300   Comfort Systems USA, Inc. (d)                         72,075
                                       3,300   Drew Industries, Inc. (d)                            124,245
                                       8,447   Griffon Corp. (d)                                    180,850
                                                                                                 ----------
                                                                                                    377,170
                                                                                                 ----------
Building: Roofing & Wallboard - 0.2%   7,451   ElkCorp                                              286,565
                                      10,800   USG Corp. (b)(d)                                     358,128
                                                                                                 ----------
                                                                                                    644,693
                                                                                                 ----------
Cable Television Services - 0.1%      89,300   Charter Communications, Inc. Class A (b)(d)          142,880
                                       5,698   Crown Media Holdings, Inc. Class A (d)                51,339
                                      17,500   Insight Communications Company, Inc. Class A (d)     207,375
                                      17,994   Tivo, Inc. (b)(d)                                     93,029
                                                                                                 ----------
                                                                                                    494,623
                                                                                                 ----------
Casinos & Gambling - 1.0%             17,800   Alliance Gaming Corp. (b)(d)                         170,702
                                       4,500   Ameristar Casinos, Inc.                              246,060
                                       7,825   Argosy Gaming Co. (d)                                359,324
                                      10,791   Aztar Corp. (d)                                      308,191
                                      10,715   Boyd Gaming Corp.                                    558,787
                                       1,632   Churchill Downs, Inc.                                 64,611
                                       2,815   Dover Downs Gaming & Entertainment, Inc.              35,047
                                       1,400   Empire Resorts, Inc. (b)(d)                           10,122
                                       5,375   Isle of Capri Casinos, Inc. (d)                      142,653
                                       6,900   Lakes Entertainment, Inc. (d)                        124,200
                                       8,800   MTR Gaming Group, Inc. (d)                           109,120
                                      11,700   Magna Entertainment Corp. Class A (d)                 71,838
                                       9,000   Multimedia Games, Inc. (b)(d)                         69,840
                                         800   Nevada Gold & Casinos, Inc. (d)                       10,240
                                      12,364   Pinnacle Entertainment, Inc. (d)                     206,479
                                      18,400   Scientific Games Corp. Class A (d)                   420,440
                                      12,000   Shuffle Master, Inc. (b)(d)                          347,520
                                       6,412   WMS Industries, Inc. (b)(d)                          180,562
                                                                                                 ----------
                                                                                                  3,435,736
                                                                                                 ----------

6 

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                   SHARES                                                           
INDUSTRY*                           HELD   COMMON STOCKS                                    VALUE   
--------------------------------   ------  --------------------------------------------  -----------
                                                                                                    
Chemicals - 2.0%                   10,125  Aceto Corp.                                   $    75,127
                                   18,400  Airgas, Inc.                                      439,576
                                   10,800  Albemarle Corp.                                   392,688
                                    1,200  American Vanguard Corp.                            53,844
                                    6,456  Arch Chemicals, Inc.                              183,802
                                    7,100  Cabot Microelectronics Corp. (d)                  222,798
                                   11,201  Calgon Carbon Corp.                                95,657
                                    7,385  Cambrex Corp.                                     157,301
                                   37,960  Crompton Corp.                                    554,216
                                   11,600  Cytec Industries, Inc.                            629,300
                                    2,700  EnerSys (d)                                        35,370
                                    5,464  Energy Conversion Devices, Inc. (b)(d)            124,197
                                    7,900  Exide Technologies (d)                            101,910
                                   11,100  FMC Corp. (d)                                     593,295
                                    8,837  Georgia Gulf Corp.                                406,325
                                   14,700  Great Lakes Chemical Corp.                        472,164
                                   36,100  Hercules, Inc. (d)                                522,728
                                    8,267  MacDermid, Inc.                                   268,678
                                    3,641  Medis Technologies Ltd. (b)(d)                     52,212
                                    2,534  NL Industries (d)                                  58,535
                                    4,200  NewMarket Corp. (d)                                78,120
                                      900  Nuco2, Inc. (d)                                    23,670
                                    9,500  OM Group, Inc. (d)                                288,990
                                    2,400  Octel Corp.                                        44,472
                                   10,595  Omnova Solutions, Inc. (d)                         56,895
                                   29,767  PolyOne Corp. (d)                                 264,331
                                    2,700  Quaker Chemical Corp.                              55,458
                                   11,206  Schulman A, Inc.                                  195,209
                                    1,655  Stepan Co.                                         38,909
                                    3,600  Ultralife Batteries, Inc. (d)                      61,632
                                   15,300  Valence Technology, Inc. (b)(d)                    46,512
                                   22,100  WR Grace & Co. (d)                                188,292
                                    1,850  Westlake Chemical Corp.                            59,848
                                                                                         -----------
                                                                                           6,842,061
                                                                                         -----------
Coal - 0.1%                         7,500  Foundation Coal Holdings, Inc.                    176,325
                                                                                         -----------
Commercial Information             10,458  Arbitron, Inc. (d)                                448,648
Services - 0.4%                   124,900  CMGI, Inc. (d)                                    259,792
                                    8,561  infoUSA, Inc. (d)                                  89,976
                                    5,700  LECG Corp. (d)                                    111,720
                                   31,600  Looksmart (d)                                      28,124
                                    3,100  Neoforma, Inc. (b)(d)                              24,645
                                    7,474  ProQuest Co. (d)                                  270,185
                                    6,053  Sourcecorp (d)                                    121,907
                                                                                         -----------
                                                                                           1,354,997
                                                                                         -----------
Communications & Media - 0.0%      12,800  Entravision Communications Corp. Class A (d)      113,536
                                                                                         -----------
Communications Technology - 1.7%   11,900  Airspan Networks, Inc. (d)                         60,809
                                    7,422  Anaren, Inc. (d)                                   90,028
                                    9,172  Anixter International, Inc. (d)                   331,567
                                   13,500  Aspect Communications Corp. (d)                   140,535
                                    1,400  Atheros Communications Inc. (d)                    14,378
                                   19,278  Avanex Corp. (d)                                   25,061
                                    3,159  Bel Fuse, Inc.                                     95,718
                                    4,988  Black Box Corp.                                   186,601
                                   12,550  Broadwing Corp. (b)(d)                             51,957
                                   79,400  Brocade Communications Systems, Inc. (d)          470,048
                                   17,300  CSG Systems International (d)                     281,817
                                    7,200  Captaris, Inc. (d)                                 29,160
                                    8,100  Carrier Access Corp. (d)                           48,276
                                    1,672  Catapult Communications Corp. (d)                  35,697
                                   16,988  CommScope, Inc. (d)                               254,140

7 

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                              SHARES                                                       
INDUSTRY*                      HELD   COMMON STOCKS                                VALUE   
----------------------------  ------  ----------------------------------------  -----------
                                                                                           
                               5,150  Comtech Telecommunications Corp. (d)      $   268,315
                                   8  CycleLogic, Inc. (d)                                0
                               5,000  Digi International, Inc. (d)                   68,600
                               9,300  Ditech Communications Corp. (d)               115,971
                              44,300  Eagle Broadband, Inc. (d)                      15,062
                               9,013  Echelon Corp. (d)                              61,649
                              67,500  Enterasys Networks, Inc. (d)                   94,500
                              20,200  Entrust, Inc. (d)                              75,750
                              34,600  Extreme Networks (d)                          203,794
                              50,500  Finisar Corp. (b)(d)                           63,125
                              24,296  Harmonic, Inc. (d)                            232,270
                               6,377  Inter-Tel, Inc.                               156,237
                              11,100  InterVoice, Inc. (d)                          124,653
                               6,629  Ixia (d)                                      117,930
                               5,500  j2 Global Communications, Inc. (d)            188,705
                               6,700  KVH Industries, Inc. (b)(d)                    61,037
                              12,500  NMS Communications Corp. (d)                   53,625
                              17,080  Net2Phone, Inc. (d)                            27,499
                               5,500  Netgear, Inc. (d)                              82,995
                               9,900  Network Equipment Technologies, Inc. (d)       55,737
                               5,700  Novatel Wireless, Inc. (d)                     61,275
                              32,619  Oplink Communications, Inc. (d)                51,212
                               5,583  Optical Communication Products, Inc. (d)        9,714
                               9,400  Paradyne Networks Corp. (d)                    19,646
                               9,500  Redback Networks, Inc. (d)                     56,810
                              21,840  Remec, Inc. (d)                               115,315
                               7,608  Seachange International, Inc. (d)              98,524
                              13,188  Secure Computing Corp. (d)                    113,021
                               6,110  Standard Microsystems Corp. (d)               106,070
                              29,471  Stratex Networks, Inc. (d)                     54,227
                              53,300  Sycamore Networks, Inc. (d)                   189,748
                               7,680  Talx Corp.                                    139,469
                              15,400  Tekelec (d)                                   245,476
                              80,300  Terremark Worldwide, Inc. (d)                  52,195
                               2,640  Ulticom, Inc. (d)                              29,383
                              35,500  Verso Technologies, Inc. (d)                   12,070
                               6,501  Viasat, Inc. (d)                              121,504
                              15,300  WJ Communications (d)                          36,414
                               9,731  WebEx Communications, Inc. (b)(d)             210,092
                              16,200  Westell Technologies, Inc. Class A (d)         89,262
                              14,975  Zhone Technologies, Inc. (d)                   37,737
                                                                                -----------
                                                                                  6,032,410
                                                                                -----------
Computer Services Software &  10,400  @Road Inc. (d)                                 42,640
Systems - 4.6%                14,000  ActivCard Corp. (d)                            88,900
                              11,800  Actuate Corp. (d)                              28,320
                              16,802  Agile Software Corp. (d)                      122,318
                               6,500  Altiris, Inc. (d)                             155,025
                                 600  Ansoft Corp. (d)                               16,188
                              11,900  answerthink, Inc. (d)                          49,147
                              10,432  Ansys, Inc. (d)                               356,878
                               7,600  Anteon International Corp. (d)                295,868
                              19,580  Ariba, Inc. (d)                               151,940
                              18,495  Ascential Software Corp. (d)                  342,712
                              12,897  AsiaInfo Holdings, Inc. (d)                    64,743
                              16,308  Aspen Technology, Inc. (d)                     92,629
                               7,900  Authentidate Holding Corp. (d)                 31,521
                               1,600  Blackboard, Inc.                               27,904
                               3,600  Blue Coat Systems, Inc. (d)                    84,600
                              26,867  Borland Software Corp. (d)                    218,160
                               9,016  CACI International, Inc. Class A (d)          497,954

8 

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                                [Download Table]

            SHARES                                                      
INDUSTRY*    HELD    COMMON STOCKS                               VALUE  
------------------------------------------------------------------------
                                                                        
            24,900   Chordiant Software, Inc. (d)              $  41,583
            16,402   Ciber, Inc. (d)                             119,243
             6,100   Concord Communications, Inc. (d)             61,732
             8,000   Concur Technologies, Inc. (d)                64,960
             2,000   Constellation 3D, Inc. (d)                        0
             4,900   Covansys Corp. (d)                           73,084
            11,964   Dendrite International, Inc. (d)            167,975
             5,137   Digimarc Corp. (d)                           31,593
            10,300   Digital River, Inc. (d)                     320,948
            15,607   Digitas, Inc. (d)                           157,631
             6,600   eCollege.com, Inc. (d)                       85,404
            16,639   Electronics for Imaging (d)                 296,840
             5,930   Embarcadero Technologies, Inc. (d)           39,079
            12,900   Epicor Software Corp. (d)                   168,990
            24,380   E.piphany, Inc. (d)                          86,549
             4,245   EPIQ Systems, Inc. (d)                       55,100
             3,900   Equinix, Inc. (b)(d)                        165,126
            11,419   F5 Networks, Inc. (d)                       576,545
            19,479   Gartner, Inc. Class A (d)                   186,414
            11,606   Hyperion Solutions Corp. (d)                511,941
             4,300   iGate Corp. (d)                              16,039
             3,800   Infocrossing, Inc. (d)                       60,192
            25,500   Informatica Corp. (d)                       210,885
            14,300   Internet Capital Group, Inc. (d)            100,386
            12,500   Internet Security Systems (d)               228,750
             1,500   Intervideo, Inc. (d)                         16,500
            14,425   Interwoven, Inc. (d)                        112,371
             9,908   JDA Software Group, Inc. (d)                139,108
             6,300   Jupitermedia Corp. (d)                       97,713
             1,300   Kanbay International, Inc. (d)               26,598
            16,058   Keane, Inc. (d)                             209,236
             4,438   Keynote Systems, Inc. (d)                    52,679
               300   Kintera, Inc. (d)                             1,590
            15,200   Lawson Software, Inc. (d)                    89,680
            15,000   Lionbridge Technologies (d)                  85,350
             7,400   MAPICS, Inc. (d)                             94,202
             5,974   MRO Software, Inc. (d)                       83,815
            15,800   Macrovision Corp. (d)                       360,082
             8,200   Magma Design Automation, Inc. (d)            97,334
             9,139   Manhattan Associates, Inc. (d)              186,161
             6,400   Mantech International Corp. Class A (d)     147,648
            22,500   Manugistics Group, Inc. (d)                  37,800
             8,000   Mapinfo Corp. (d)                            96,320
            15,997   Matrixone, Inc. (d)                          76,306
            23,300   Mentor Graphics Corp. (d)                   319,210
             7,556   Mercury Computer Systems, Inc. (d)          208,394
             2,400   Merge Technologies, Inc. (d)                 41,976
            26,500   Micromuse, Inc. (d)                         120,045
             3,700   MicroStrategy, Inc. Class A (d)             200,799
             9,998   Micros Systems, Inc. (d)                    367,027
            17,774   NetIQ Corp. (d)                             203,157
             5,185   Netscout Systems, Inc. (d)                   23,073
             4,800   Open Solutions, Inc. (d)                     95,184
            19,933   Openwave Systems, Inc. (d)                  242,983
             3,600   Opnet Technologies, Inc. (d)                 30,096
            17,000   Opsware, Inc. (d)                            87,720
             6,926   PC-Tel, Inc. (d)                             50,975
             3,300   PDF Solutions, Inc. (d)                      46,200
            10,507   Packeteer, Inc. (d)                         161,703
             4,557   PalmSource, Inc. (d)                         41,195

9 

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                            SHARES                                                                
INDUSTRY*                    HELD   COMMON STOCKS                                        VALUE    
--------------------------  ------  ------------------------------------------------  ------------
                                                                                                  
                            85,200  Parametric Technology Corp. (d)                   $    476,268
                             2,077  Pec Solutions, Inc. (d)                                 26,129
                             1,400  Pegasystems, Inc. (d)                                    7,532
                            21,791  Pinnacle Systems, Inc. (d)                             121,812
                            11,008  Progress Software Corp. (d)                            288,630
                             3,500  QAD, Inc.                                               28,945
                            14,900  Quest Software, Inc. (d)                               206,216
                            33,200  RealNetworks, Inc. (d)                                 191,896
                            19,400  Retek, Inc. (d)                                        217,668
                               600  SI International, Inc. (d)                              16,578
                             3,789  SPSS, Inc. (d)                                          65,891
                             3,500  SRA International, Inc. Class A (d)                    210,875
                             5,200  SS&C Technologies, Inc.                                118,560
                             7,761  SYKES Enterprises, Inc. (d)                             53,318
                               800  SYNNEX Corp. (d)                                        13,936
                             7,399  SafeNet, Inc. (d)                                      216,865
                             2,350  Salesforce.com, Inc. (d)                                35,227
                            26,592  Sapient Corp. (d)                                      195,318
                            25,995  ScanSoft, Inc. (d)                                      96,701
                            15,127  Seebeyond Technology Corp. (d)                          47,801
                             8,997  Serena Software, Inc. (d)                              213,769
                            19,841  SonicWALL, Inc. (d)                                    100,991
                               800  Staktek Holdings, Inc. (d)                               3,168
                             5,800  Stellent, Inc. (d)                                      48,778
                            14,400  SupportSoft, Inc. (d)                                   76,032
                             1,583  Syntel, Inc.                                            28,019
                             5,400  Tier Technologies, Inc. Class B (d)                     39,798
                            12,885  Transaction Systems Architects, Inc. Class A (d)       298,288
                             8,708  Trizetto Group (d)                                      81,071
                            11,800  Tumbleweed Communications Corp. (d)                     32,568
                            11,200  Tyler Technologies, Inc. (d)                            85,232
                             6,500  Ultimate Software Group, Inc. (d)                      103,870
                             3,100  Verint Systems, Inc. (d)                               108,314
                             9,567  Verity, Inc. (d)                                        90,408
                            92,800  Vignette Corp. (d)                                     121,568
                            12,662  WatchGuard Technologies (d)                             40,898
                            17,220  webMethods, Inc. (d)                                    94,366
                             7,151  Websense, Inc. (d)                                     384,724
                            23,200  Wind River Systems, Inc. (d)                           349,856
                             7,800  Witness Systems, Inc. (d)                              136,890
                            46,200  Xybernaut Corp. (b)(d)                                  19,404
                             9,100  Zix Corp. (b)(d)                                        34,034
                            13,308  Zoran Corp. (d)                                        137,738
                                                                                      ------------
                                                                                        16,010,616
                                                                                      ------------
Computer Technology - 1.6%  38,200  Adaptec, Inc. (d)                                      182,978
                            22,034  Advanced Digital Information Corp. (d)                 180,678
                            27,600  Cray, Inc. (d)                                          70,380
                             4,300  Cyberguard Corp. (d)                                    35,432
                            14,000  Dot Hill Systems Corp. (d)                              83,300
                            25,400  Emulex Corp. (d)                                       478,536
                             9,809  FalconStor Software, Inc. (b)(d)                        58,560
                            12,882  Filenet Corp. (d)                                      293,452
                            68,800  Gateway, Inc. (d)                                      277,264
                             7,417  Hutchinson Technology, Inc. (d)                        257,963
                            10,500  Imation Corp.                                          364,875
                            15,566  InFocus Corp. (d)                                       89,349
                            11,796  Intergraph Corp. (d)                                   339,843
                            19,303  Iomega Corp. (d)                                        82,810

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                             SHARES                                                      
INDUSTRY*                     HELD   COMMON STOCKS                               VALUE   
---------------------------  ------  ----------------------------------------  ----------
                                                                                         
                              9,600  Komag, Inc. (d)                           $  214,560
                             24,674  Lexar Media, Inc. (b)(d)                     122,877
                             37,000  McData Corp. (d)                             139,490
                              6,100  Mobility Electronics, Inc. (d)                42,639
                              4,300  Overland Storage, Inc. (d)                    63,124
                             12,794  PalmOne, Inc. (b)(d)                         324,712
                             25,200  Perot Systems Corp. Class A (d)              338,688
                             53,000  Quantum Corp. (d)                            154,230
                             20,662  RSA Security, Inc. (d)                       327,493
                              6,242  Radisys Corp. (d)                             88,387
                             37,247  Safeguard Scientifics, Inc. (d)               52,891
                             81,207  Silicon Graphics, Inc. (b)(d)                 96,636
                              1,200  SimpleTech, Inc. (d)                           4,728
                              3,600  Stratasys, Inc. (d)                          101,988
                              7,500  Synaptics, Inc. (d)                          174,000
                              5,900  Trident Microsystems, Inc. (d)               104,312
                             15,709  UNOVA, Inc. (d)                              324,391
                                                                               ----------
                                                                                5,470,566
                                                                               ----------
Construction - 0.3%           4,600  Brookfield Homes Corp.                       194,166
                              4,818  EMCOR Group, Inc. (d)                        225,579
                             10,171  Granite Construction, Inc.                   267,192
                              3,800  Perini Corp. (d)                              52,402
                              7,000  Washington Group International, Inc. (d)     314,930
                                                                               ----------
                                                                                1,054,269
                                                                               ----------
Consumer Electronics - 1.0%  14,267  Alloy, Inc. (d)                               83,889
                              4,553  Atari Inc. (d)                                14,387
                             41,000  CNET Networks, Inc. (d)                      387,040
                              4,700  Digital Theater Systems, Inc. (d)             85,117
                             35,100  DoubleClick, Inc. (d)                        270,270
                             38,700  Earthlink, Inc. (d)                          348,300
                              8,000  FindWhat.com (d)                              82,960
                              9,900  Infospace, Inc. (d)                          404,217
                             62,700  Internap Network Services Corp. (d)           36,993
                             12,600  Ipass, Inc. (d)                               77,112
                              5,800  iVillage, Inc. (d)                            35,322
                              2,400  Lifeline Systems, Inc. (d)                    72,768
                             14,374  Midway Games, Inc. (b)(d)                    147,477
                              9,500  NIC, Inc. (d)                                 45,315
                              8,100  Navarre Corp. (d)                             64,395
                              7,200  PLATO Learning, Inc. (d)                      56,160
                              8,100  Sohu.com, Inc. (b)(d)                        142,398
                             11,825  THQ, Inc. (d)                                332,756
                             13,214  Take-Two Interactive Software, Inc. (d)      516,667
                             16,650  United Online, Inc. (d)                      174,326
                              4,286  Universal Electronics, Inc. (d)               72,348
                                                                               ----------
                                                                                3,450,217
                                                                               ----------
Consumer Products - 1.2%     19,700  American Greetings Class A                   501,956
                              9,400  Blyth, Inc.                                  299,296
                              1,891  CSS Industries, Inc.                          69,116
                              8,500  Jarden Corp. (d)                             389,980
                              2,700  Mannatech, Inc.                               52,785
                              9,873  Matthews International Corp. Class A         323,439
                              9,163  Nautilus, Inc.                               217,713
                              7,400  Oakley, Inc.                                  94,868
                              9,876  Playtex Products, Inc. (d)                    88,884
                              5,800  RC2 Corp. (d)                                197,200
                             11,491  The Topps Co., Inc.                          105,832
                              6,998  Toro Co.                                     619,323
                             16,274  Tupperware Corp.                             331,339

11

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                       SHARES                                                   
INDUSTRY*                               HELD   COMMON STOCKS                            VALUE   
-------------------------------------  ------  ------------------------------------  -----------
                                                                                                
                                        4,100  USANA Health Sciences, Inc. (d)       $   193,930
                                        1,500  Water Pik Technologies, Inc. (d)           29,550
                                       14,083  Yankee Candle Co., Inc.                   446,431
                                                                                     -----------
                                                                                       3,961,642
                                                                                     -----------
Containers & Packaging: Metals &        1,600  Anchor Glass Container Corp.                3,584
Glass - 0.6%                           11,200  Aptargroup, Inc.                          582,176
                                       52,169  Crown Holdings, Inc. (d)                  811,750
                                        3,975  Greif, Inc.                               276,978
                                        5,371  Mobile Mini, Inc. (d)                     217,042
                                        3,300  Silgan Holdings, Inc.                     214,434
                                                                                     -----------
                                                                                       2,105,964
                                                                                     -----------
Containers & Packaging: Paper &        19,100  Graphic Packaging Corp. (d)                84,231
Plastic - 0.1%                          7,852  Myers Industries, Inc.                    110,792
                                                                                     -----------
                                                                                         195,023
                                                                                     -----------
Copper - 0.1%                          10,882  Mueller Industries, Inc.                  306,328
                                                                                     -----------
Cosmetics - 0.2%                        7,893  Elizabeth Arden, Inc. (d)                 187,380
                                        1,700  Inter Parfums, Inc.                        24,480
                                       17,426  Nu Skin Enterprises, Inc. Class A         392,259
                                       42,883  Revlon, Inc. Class A (d)                  123,503
                                                                                     -----------
                                                                                         727,622
                                                                                     -----------
Diversified Financial Services - 0.7%   2,100  Arbinet-Thexchange Inc. (d)                40,005
                                       36,800  The BISYS Group, Inc. (d)                 577,024
                                        4,550  CB Richard Ellis Group, Inc. (d)          159,205
                                        8,100  Euronet Worldwide, Inc. (d)               231,255
                                       13,600  F.N.B. Corporation                        260,440
                                        1,900  GFI Group, Inc. (d)                        50,977
                                        3,000  Greenhill & Co., Inc.                     107,400
                                        3,400  Intersections, Inc. (d)                    49,470
                                       10,308  Jones Lang LaSalle, Inc. (d)              480,868
                                        6,900  Kearny Financial Corp. (d)                 76,728
                                        6,500  optionsXpress Holdings, Inc. (d)          105,235
                                        4,900  Rewards Network, Inc. (d)                  20,384
                                        9,500  USI Holdings Corp. (d)                    111,910
                                       12,800  Wright Express (d)                        218,880
                                                                                     -----------
                                                                                       2,489,781
                                                                                     -----------
Diversified Materials &                14,160  Acuity Brands, Inc.                       382,320
Processing - 0.7%                       8,316  Armor Holdings, Inc. (d)                  308,440
                                        4,957  Barnes Group, Inc.                        134,682
                                       11,094  Brady Corp.                               358,891
                                        8,755  Clarcor, Inc.                             454,910
                                        6,962  Hexcel Corp. (d)                          107,981
                                       21,914  Olin Corp.                                488,682
                                        8,445  Tredegar Corp.                            142,383
                                        5,620  Valhi, Inc.                               110,433
                                                                                     -----------
                                                                                       2,488,722
                                                                                     -----------
Diversified Production - 0.2%          18,252  Thomas & Betts Corp. (b)(d)               589,540
                                                                                     -----------
Drug & Grocery Store Chains - 0.5%        432  Arden Group, Inc. Class A                  30,663
                                       17,207  Casey's General Stores, Inc.              309,210
                                        8,231  Great Atlantic & Pacific Tea Co. (d)      122,642
                                        5,664  Ingles Markets, Inc. Class A               75,444
                                        9,383  Longs Drug Stores Corp.                   321,086
                                        4,577  Nash Finch Co.                            173,880
                                        9,342  Pathmark Stores, Inc. (d)                  58,948
                                       10,769  Ruddick Corp.                             249,302
                                        3,929  Smart & Final, Inc. (d)                    47,777
                                        3,500  Weis Markets, Inc.                        129,045
                                        8,829  Wild Oats Markets, Inc. (b)(d)             93,852
                                                                                     -----------
                                                                                       1,611,849

12

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                SHARES                                                         
INDUSTRY*                        HELD   COMMON STOCKS                                  VALUE   
------------------------------  ------  -------------------------------------------  ----------
                                                                                               
Drugs & Pharmaceuticals - 2.3%   4,700  Able Laboratories, Inc. (d)                  $  110,262
                                13,100  Adolor Corp. (d)                                130,214
                                   800  Advancis Pharmaceutical Corp. (d)                 2,960
                                27,400  Alkermes, Inc. (d)                              284,412
                                11,025  Alpharma, Inc. Class A                          135,828
                                12,500  Atherogenics Inc. (b)(d)                        163,625
                                 4,000  Bentley Pharmaceuticals, Inc. (d)                29,440
                                 7,700  BioCryst Pharmaceuticals, Inc. (d)               35,497
                                23,748  BioMarin Pharmaceuticals, Inc. (d)              122,302
                                 5,810  Bone Care International, Inc. (d)               150,711
                                 3,100  Bradley Pharmaceuticals, Inc. (d)                29,636
                                11,200  CV Therapeutics, Inc. (d)                       228,032
                                 1,300  Caraco Pharmaceutical Laboratories Ltd. (d)      10,634
                                 6,100  Chattem, Inc. (d)                               271,267
                                10,902  Connetics Corp. (d)                             275,712
                                 2,500  Conor Medsystems, Inc. (d)                       40,725
                                   700  Corgentech, Inc. (d)                              1,624
                                 6,700  Cytogen Corp. (d)                                38,793
                                18,000  Dendreon Corp. (d)                               98,100
                                 3,800  Depomed, Inc. (b)(d)                             14,972
                                10,100  Durect Corp. (b)(d)                              36,764
                                 4,600  Dusa Pharmaceuticals, Inc. (d)                   40,158
                                 7,695  Enzo Biochem, Inc. (d)                          110,962
                                 8,200  First Horizon Pharmaceutical Corp. (d)          138,416
                                   300  GTx, Inc. (d)                                     2,730
                                12,400  Genaera Corp. (d)                                28,892
                                22,400  Genelabs Technologies (d)                        13,440
                                15,436  Guilford Pharmaceuticals, Inc. (d)               35,503
                                 6,100  Hollis-Eden Pharmaceuticals (b)(d)               42,975
                                13,127  Immunogen, Inc. (d)                              68,654
                                16,400  Impax Laboratories, Inc. (d)                    262,400
                                15,888  Indevus Pharmaceuticals, Inc. (d)                44,169
                                12,800  Inspire Pharmaceuticals, Inc. (d)               104,448
                                17,189  Isis Pharmaceuticals, Inc. (d)                   66,521
                                   800  Ista Pharmaceuticals, Inc. (d)                    7,904
                                10,900  KV Pharmaceutical Co. Class A (d)               252,880
                                 3,666  Kos Pharmaceuticals, Inc. (d)                   152,799
                                 1,900  Lannett Co., Inc. (d)                            11,970
                                23,116  Ligand Pharmaceuticals, Inc. Class B (d)        132,455
                                33,100  Medarex, Inc. (d)                               236,003
                                14,827  Medicines Co. (d)                               335,980
                                 7,245  Neopharm, Inc. (d)                               56,294
                                 4,600  Neose Technologies, Inc. (d)                     11,868
                                   100  NitroMed, Inc. (d)                                1,731
                                 8,331  Noven Pharmaceuticals, Inc. (d)                 141,294
                                10,100  Onyx Pharmaceuticals, Inc. (d)                  316,635
                                11,500  Pain Therapeutics, Inc. (d)                      58,420
                                10,200  Par Pharmaceutical Cos., Inc. (d)               341,088
                                 6,900  Penwest Pharmaceuticals Co. (d)                  85,284
                                19,615  Perrigo Co.                                     375,627
                                 4,700  Pharmacyclics, Inc. (d)                          37,741
                                 4,600  Pharmion Corp. (d)                              133,400
                                10,200  Pozen, Inc. (d)                                  53,142
                                17,317  Praecis Pharmaceuticals, Inc. (d)                18,183
                                 8,900  Prestige Brands Holdings, Inc. (d)              157,085
                                 8,900  Priority Healthcare Corp. (d)                   192,507
                                13,100  Quidel Corp. (d)                                 51,221
                                11,619  Regeneron Pharmaceuticals, Inc. (d)              59,373
                                   400  Renovis, Inc. (d)                                 3,228

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                        SHARES                                                        
INDUSTRY*                                HELD   COMMON STOCKS                                 VALUE   
--------------------------------------  ------  ------------------------------------------  ----------
                                                                                                      
                                         3,850  SFBC International, Inc. (d)                $  135,674
                                        12,500  Salix Pharmaceuticals Ltd. (d)                 206,125
                                         1,000  Santarus, Inc. (d)                               4,860
                                        14,400  Sciclone Pharmaceuticals, Inc. (d)              40,896
                                        14,682  SuperGen, Inc. (b)(d)                           71,355
                                         5,546  United Therapeutics Corp. (d)                  253,424
                                        29,100  Valeant Pharmaceuticals International          655,332
                                        26,900  Vertex Pharmaceuticals, Inc. (d)               251,784
                                        16,400  Zila, Inc. (d)                                  66,256
                                                                                            ----------
                                                                                             8,080,596
                                                                                            ----------
Education Services - 0.3%                8,804  Bright Horizons Family Solutions, Inc. (d)     297,047
                                         4,730  Learning Tree International, Inc. (d)           68,159
                                         2,700  Princeton Review, Inc. (d)                      14,877
                                         2,349  Renaissance Learning, Inc.                      40,215
                                         4,620  Strayer Education, Inc.                        523,538
                                         4,300  Universal Technical Institute, Inc. (d)        158,240
                                                                                            ----------
                                                                                             1,102,076
                                                                                            ----------
Electrical & Electronics - 0.3%         12,786  Benchmark Electronics, Inc. (d)                406,978
                                           700  Cherokee International Corp. (d)                 4,893
                                         1,400  LeCroy Corp. (d)                                23,982
                                         3,600  OSI Systems, Inc. (d)                           63,036
                                        13,198  Plexus Corp. (d)                               151,909
                                         8,532  Power Integrations, Inc. (d)                   178,233
                                        11,900  TTM Technologies, Inc. (d)                     124,474
                                         5,607  Universal Display Corp. (d)                     39,193
                                                                                            ----------
                                                                                               992,698
                                                                                            ----------
Electrical Equipment &                   5,281  AO Smith Corp.                                 152,462
Components - 0.8%                        6,700  American Superconductor Corp. (d)               66,866
                                        10,071  Baldor Electric Co.                            259,933
                                        11,208  CTS Corp.                                      145,704
                                         8,418  Cohu, Inc.                                     134,267
                                         6,400  DDi Corp. (b)(d)                                17,920
                                         4,360  Franklin Electric Co., Inc.                    164,503
                                        13,590  General Cable Corp. (d)                        164,031
                                         4,308  Genlyte Group, Inc. (d)                        387,591
                                         7,760  Littelfuse, Inc. (d)                           222,324
                                        10,500  MKS Instruments, Inc. (d)                      166,740
                                         2,031  Powell Industries, Inc. (d)                     37,614
                                        19,500  Power-One, Inc. (d)                             94,770
                                         6,500  Sonic Solutions, Inc. (b)(d)                    97,825
                                         4,600  Spatialight, Inc. (b)(d)                        22,954
                                        15,900  Taser International, Inc. (b)(d)               190,800
                                        12,361  Technitrol, Inc.                               184,426
                                         4,279  Triumph Group, Inc. (d)                        166,624
                                                                                            ----------
                                                                                             2,677,354
                                                                                            ----------
Electrical: Household Appliance - 0.0%   6,496  Applica, Inc. (d)                               32,869
                                         1,450  National Presto Industries, Inc.                58,435
                                                                                            ----------
                                                                                                91,304
                                                                                            ----------
Electronics - 0.4%                      21,912  Aeroflex, Inc. (d)                             204,438
                                        10,563  Agilysys, Inc.                                 207,668
                                         4,332  BEI Technologies, Inc.                         103,838
                                         5,300  California Micro Devices CP (d)                 26,765
                                         3,400  Cyberoptics Corp. (d)                           42,432
                                         4,399  Daktronics, Inc. (d)                            95,238
                                         3,400  EMS Technologies, Inc. (d)                      46,240
                                         7,372  II-VI, Inc. (d)                                128,568
                                        22,500  Kopin Corp. (d)                                 69,075
                                         4,900  LaserCard Corp. (b)(d)                          24,402
                                        35,566  MRV Communications, Inc. (b)(d)                114,878
                                        11,380  Methode Electronics, Inc.                      137,812

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                     SHARES                                                       
INDUSTRY*                             HELD   COMMON STOCKS                                VALUE   
-----------------------------------  ------  ----------------------------------------  -----------
                                                                                                  
                                      6,649  Park Electrochemical Corp.                $   134,709
                                      2,067  Supertex, Inc. (d)                             37,847
                                                                                       -----------
                                                                                         1,373,910
                                                                                       -----------
Electronics: Instruments Gauges &     4,000  Faro Technologies, Inc. (d)                    94,160
Meters - 0.2%                         7,782  Itron, Inc. (d)                               230,658
                                      3,801  Keithley Instruments, Inc.                     61,310
                                      2,500  Measurement Specialties, Inc. (d)              57,500
                                      3,700  Metrologic Instruments, Inc. (d)               83,176
                                      5,495  Zygo Corp. (d)                                 71,215
                                                                                       -----------
                                                                                           598,019
                                                                                       -----------
Electronics: Medical Systems - 0.8%   4,472  Analogic Corp.                                193,414
                                      4,800  Aspect Medical Systems, Inc. (d)              103,632
                                      5,687  Bruker BioSciences Corp. (d)                   20,018
                                     10,300  CTI Molecular Imaging, Inc. (d)               208,781
                                      6,400  Candela Corp. (d)                              57,088
                                     11,232  Cardiodynamics International Corp. (d)         32,797
                                      4,170  Datascope Corp.                               127,519
                                      1,000  E-Z-EM, Inc.                                   11,920
                                      7,600  EPIX Pharmaceuticals, Inc. (d)                 53,200
                                     15,350  eResearch Technology, Inc. (d)                180,823
                                      6,072  Haemonetics Corp. (d)                         255,996
                                      6,600  Hologic, Inc. (d)                             210,375
                                      6,900  Illumina, Inc. (d)                             55,752
                                     11,081  Intuitive Surgical, Inc. (d)                  503,853
                                      7,051  Luminex Corp. (d)                              53,094
                                      8,500  Microvision, Inc. (b)(d)                       49,555
                                      6,188  Possis Medical, Inc. (d)                       51,794
                                      2,400  Quality Systems, Inc.                         101,616
                                      7,132  TriPath Imaging, Inc. (b)(d)                   50,209
                                     15,086  Visx, Inc. (d)                                353,616
                                      8,000  Wilson Greatbatch Technologies, Inc. (d)      145,920
                                      2,961  Zoll Medical Corp. (d)                         66,711
                                                                                       -----------
                                                                                         2,887,683
                                                                                       -----------
Electronics: Semiconductors/          9,500  AMIS Holdings, Inc. (d)                       107,255
Components - 1.7%                     9,716  Actel Corp. (d)                               149,432
                                      9,541  Alliance Semiconductor Corp. (d)               23,757
                                     25,200  Cirrus Logic, Inc. (d)                        113,904
                                     10,283  DSP Group, Inc. (d)                           264,890
                                      2,350  Diodes, Inc. (d)                               63,756
                                     10,429  ESS Technology (d)                             54,961
                                     14,827  Exar Corp. (d)                                198,682
                                      3,173  Excel Technology, Inc. (d)                     77,992
                                      8,000  Formfactor, Inc. (d)                          181,120
                                     11,400  Genesis Microchip, Inc. (d)                   164,730
                                      5,693  IXYS Corp. (d)                                 65,128
                                     31,900  Integrated Device Technology, Inc. (d)        383,757
                                     11,138  Integrated Silicon Solutions, Inc. (d)         74,625
                                     36,900  Lattice Semiconductor Corp. (d)               198,153
                                     10,500  MIPS Technologies, Inc. (d)                   120,750
                                      7,600  Merix Corp. (d)                                85,196
                                     23,700  Micrel, Inc. (d)                              218,514
                                     19,490  Microsemi Corp. (d)                           317,492
                                     15,700  Microtune, Inc. (d)                            67,667
                                     33,000  Mindspeed Technologies, Inc. (b)(d)            73,590
                                      5,800  Monolithic System Technology, Inc. (d)         33,930
                                     40,100  ON Semiconductor Corp. (d)                    158,395
                                     17,300  Omnivision Technologies, Inc. (b)(d)          262,095
                                      7,300  PLX Technology, Inc. (d)                       76,650
                                      6,993  Pericom Semiconductor Corp. (d)                59,930

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                 SHARES                                                          
INDUSTRY*                         HELD                  COMMON STOCKS                    VALUE   
---------                       -------  -------------------------------------------  -----------
                                                                                                 
                                 12,564  Pixelworks, Inc. (d)                         $   102,397
                                  2,802  Planar Systems, Inc. (d)                          25,274
                                 60,500  RF Micro Devices, Inc. (d)                       315,810
                                  6,388  SBS Technologies, Inc. (d)                        71,226
                                  7,300  Sigmatel, Inc. (d)                               273,239
                                 23,776  Silicon Image, Inc. (d)                          239,187
                                 26,058  Silicon Storage Technology, Inc. (d)              96,936
                                  1,800  Siliconix, Inc. (d)                               63,504
                                  6,561  Sipex Corp. (d)                                   15,222
                                  2,300  Sirf Technology Holdings, Inc. (d)                25,668
                                 46,533  Skyworks Solutions, Inc. (d)                     295,485
                                  6,800  Tessera Technologies, Inc. (d)                   293,964
                                 47,000  Transmeta Corp. (d)                               43,710
                                  6,500  Tripath Technology, Inc. (d)                       5,785
                                 41,536  Triquint Semiconductor, Inc. (d)                 140,392
                                 71,900  Vitesse Semiconductor Corp. (d)                  192,692
                                                                                      -----------
                                                                                        5,796,842
                                                                                      -----------
Electronics: Technology - 0.9%   13,223  Checkpoint Systems, Inc. (d)                     223,204
                                 10,280  Coherent, Inc. (d)                               347,053
                                  4,752  Cubic Corp.                                       90,003
                                  7,374  DRS Technologies, Inc. (d)                       313,395
                                  5,726  EDO Corp.                                        172,066
                                  4,850  Herley Industries, Inc. (d)                       82,984
                                 30,430  Identix, Inc. (d)                                153,672
                                  2,800  Innovative Solutions & Support, Inc. (d)          88,900
                                  9,584  Intermagnetics General Corp. (d)                 233,275
                                 25,600  Kemet Corp. (d)                                  198,400
                                  2,400  Maxwell Technologies, Inc. (d)                    22,008
                                  3,700  Scansource, Inc. (d)                             191,771
                                  1,500  Sypris Solutions, Inc.                            16,080
                                 26,300  Titan Corp. (d)                                  477,608
                                 16,906  Trimble Navigation Ltd. (d)                      571,592
                                                                                      -----------
                                                                                        3,182,011
                                                                                      -----------
Energy Equipment - 0.1%          19,500  Capstone Turbine Corp. (d)                        30,225
                                  8,900  Global Power Equipment Group, Inc. (d)            85,262
                                 18,626  Plug Power, Inc. (b)(d)                          122,932
                                                                                      -----------
                                                                                          238,419
                                                                                      -----------
Energy Miscellaneous - 0.8%     137,100  Calpine Corp. (b)(d)                             383,880
                                 13,126  FuelCell Energy, Inc. (b)(d)                     130,997
                                  6,400  Holly Corp.                                      238,528
                                 11,900  KFX, Inc. (b)(d)                                 159,460
                                  7,400  Matrix Service Co. (b)(d)                         32,190
                                  5,058  Penn Virginia Corp.                              232,162
                                 12,100  Syntroleum Corp. (d)                             148,104
                                 20,965  Tesoro Corp. (d)                                 776,124
                                  7,291  Tetra Technologies, Inc. (d)                     207,356
                                 11,797  Veritas DGC, Inc. (d)                            353,438
                                                                                      -----------
                                                                                        2,662,239
                                                                                      -----------
Engineering & Contracting        14,402  Dycom Industries, Inc. (d)                       331,102
Services - 0.3%                     600  Infrasource Services, Inc. (d)                     7,200
                                  8,897  Integrated Electrical Services, Inc. (b)(d)       24,556
                                  2,200  Layne Christensen Co. (d)                         37,994
                                 25,600  Quanta Services, Inc. (d)                        195,328
                                  9,277  URS Corp. (d)                                    266,714
                                                                                      -----------
                                                                                          862,894
                                                                                      -----------
Entertainment - 0.3%              1,700  Carmike Cinemas, Inc.                             63,376
                                  4,740  Dover Motorsports, Inc.                           23,937
                                  8,855  Gaylord Entertainment Co. (d)                    357,742
                                 16,607  Hollywood Entertainment Corp. (d)                218,714
                                  3,372  Lodgenet Entertainment Corp. (d)                  63,528

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                       SHARES                                                             
INDUSTRY*                               HELD                    COMMON STOCKS                      VALUE  
---------                              -----   -----------------------------------------------  ----------
                                                                                                          
                                        9,615  Movie Gallery, Inc.                              $  275,758
                                        4,155  Speedway Motorsports, Inc.                          148,334
                                                                                                ----------
                                                                                                 1,151,389
                                                                                                ----------
Fertilizers - 0.2%                     38,300  The Mosaic Co. (d)                                  653,398
                                        9,700  Terra Industries, Inc. (b)(d)                        75,272
                                                                                                ----------
                                                                                                   728,670
                                                                                                ----------
Finance Companies - 0.1%                5,700  Accredited Home Lenders Holding Co. (d)             206,511
                                        1,600  Asta Funding, Inc.                                   33,872
                                        3,200  Circle Group Holdings, Inc. (d)                       2,304
                                        2,375  Ladenburg Thalmann Financial Services, Inc. (d)       1,615
                                        2,650  MortgageIT Holdings, Inc.                            42,268
                                        1,400  United PanAm Financial Corp. (d)                     28,546
                                        6,300  World Acceptance Corp. (d)                          160,776
                                                                                                ----------
                                                                                                   475,892
                                                                                                ----------
Finance: Small Loan - 0.1%             21,100  Advance America Cash Advance                        326,628
                                        1,750  Collegiate Funding Services LLC (d)                  27,265
                                        2,700  Encore Capital Group, Inc. (d)                       39,285
                                        1,200  Nelnet, Inc. Class A (d)                             38,196
                                                                                                ----------
                                                                                                   431,374
                                                                                                ----------
Financial Data Processing Services &    8,600  Advent Software, Inc. (d)                           156,348
Systems - 0.7%                            495  CCC Information Services Group (d)                   11,311
                                        4,900  Carreker Corp. (d)                                   27,489
                                        5,689  CompuCredit Corp. (d)                               151,441
                                       12,600  Corillian Corp. (d)                                  43,848
                                       11,100  Cybersource Corp. (d)                                57,165
                                       11,330  Digital Insight Corp. (d)                           185,812
                                       15,888  eFunds Corp. (d)                                    354,620
                                        9,523  eSpeed, Inc. Class A (d)                             87,612
                                       15,900  Hypercom Corp. (d)                                   75,207
                                        3,800  iPayment, Inc. (d)                                  160,360
                                        9,582  John H Harland Co.                                  329,238
                                       10,449  Kronos, Inc. (d)                                    534,048
                                       12,164  NDCHealth Corp.                                     194,381
                                       15,313  PRG-Schultz International, Inc. (d)                  76,718
                                       15,440  Portal Software, Inc. (d)                            37,365
                                          300  TNS, Inc. (d)                                         5,385
                                        5,700  TradeStation Group, Inc. (d)                         34,428
                                                                                                ----------
                                                                                                 2,522,776
                                                                                                ----------
Financial Information Services - 0.2%   9,950  Factset Research Systems, Inc.                      328,450
                                       35,100  Homestore, Inc. (d)                                  77,922
                                       10,300  Interactive Data Corp. (d)                          213,725
                                       24,022  S1 Corp. (d)                                        166,713
                                          400  Value Line, Inc.                                     15,600
                                                                                                ----------
                                                                                                   802,410
                                                                                                ----------
Financial Miscellaneous - 0.7%          3,900  ACE Cash Express, Inc. (d)                           88,725
                                        7,300  Advanta Corp. Class B                               167,900
                                          900  Asset Acceptance Capital Corp. (d)                   17,172
                                        9,419  Cash America International, Inc.                    206,559
                                          300  Enstar Group, Inc. (d)                               18,000
                                        2,500  Federal Agricultural Mortgage Corp. Class B          43,725
                                        5,567  Financial Federal Corp.                             196,905
                                        4,900  First Cash Financial Services, Inc. (d)             103,733
                                        5,400  Harris & Harris Group, Inc. (d)                      65,016
                                        5,499  LandAmerica Financial Group, Inc.                   275,115
                                        9,600  Metris Cos., Inc. (d)                               111,264
                                        3,800  Portfolio Recovery Associates, Inc. (d)             129,314
                                        3,900  Sanders Morris Harris Group, Inc.                    70,512
                                       13,936  Sotheby's Holdings Class A (d)                      236,355
                                        4,692  Sterling Bancorp                                    113,875
                                        5,322  Stewart Information Services Corp.                  199,681

17

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                       SHARES                                                               
INDUSTRY*                               HELD                     COMMON STOCKS                      VALUE   
---------                              ------  ------------------------------------------------  -----------
                                                                                                            
                                          933  Stifel Financial Corp. (d)                        $    20,339
                                        2,676  Triad Guaranty, Inc. (d)                              140,784
                                        2,291  WSFS Financial Corp.                                  120,415
                                                                                                 -----------
                                                                                                   2,325,389
                                                                                                 -----------
Foods - 0.8%                            3,634  American Italian Pasta Co. Class A                     99,571
                                        2,800  Cal-Maine Foods, Inc. (b)                              22,008
                                       11,200  Chiquita Brands International, Inc.                   299,936
                                       11,056  Flowers Foods, Inc.                                   311,890
                                        7,957  Hain Celestial Group, Inc. (d)                        148,318
                                        2,300  J&J Snack Foods Corp.                                 107,709
                                        1,000  John B. Sanfilippo & Son, Inc. (d)                     24,580
                                       10,100  Lance, Inc.                                           162,307
                                        3,100  M&F Worldwide Corp. (d)                                41,354
                                          963  Maui Land & Pineapple Co., Inc. (d)                    41,313
                                        5,300  Natures Sunshine Prods, Inc.                           91,001
                                        3,700  Nutraceutical International Corp. (d)                  58,682
                                       13,300  Performance Food Group Co. (d)                        368,144
                                          500  Provide Commerce, Inc. (d)                             14,440
                                       10,095  Ralcorp Holdings, Inc.                                477,998
                                        2,450  Sanderson Farms, Inc.                                 105,865
                                           12  Seaboard Corp.                                         12,876
                                       15,057  Sensient Technologies Corp.                           324,629
                                                                                                 -----------
                                                                                                   2,712,621
                                                                                                 -----------
Forest Products - 0.3%                  3,209  Deltic Timber Corp.                                   125,472
                                       16,521  Longview Fibre Co.                                    309,934
                                        4,844  Pope & Talbot, Inc.                                    85,158
                                        9,197  Potlatch Corp.                                        432,903
                                        5,734  Universal Forest Products, Inc.                       222,766
                                                                                                 -----------
                                                                                                   1,176,233
                                                                                                 -----------
Forms & Bulk Printing Services - 0.0%   4,500  Ennis, Inc.                                            76,140
                                        4,145  The Standard Register Co.                              51,605
                                                                                                 -----------
                                                                                                     127,745
                                                                                                 -----------
Funeral Parlors & Cemeteries - 0.1%    13,300  Alderwoods Group, Inc. (d)                            165,452
                                       32,824  Stewart Enterprises, Inc. Class A                     201,868
                                                                                                 -----------
                                                                                                     367,320
                                                                                                 -----------
Glass - 0.0%                           10,900  Apogee Enterprises, Inc.                              155,652
                                                                                                 -----------
Gold - 0.1%                            74,100  Coeur d'Alene Mines Corp. (d)                         271,947
                                        5,100  Royal Gold, Inc.                                       93,483
                                                                                                 -----------
                                                                                                     365,430
                                                                                                 -----------
Health Care Facilities - 0.9%          10,000  American Healthways, Inc. (d)                         330,200
                                       35,326  Beverly Enterprises, Inc. (d)                         437,336
                                        5,700  Genesis HealthCare Corp. (d)                          244,473
                                        7,900  Kindred Healthcare, Inc. (d)                          277,290
                                        5,850  LCA-Vision, Inc.                                      194,805
                                       11,000  LifePoint Hospitals, Inc. (d)                         482,240
                                        1,000  Medcath Corp. (d)                                      29,300
                                        2,100  National Healthcare Corp.                              71,841
                                        4,200  Psychiatric Solutions, Inc. (d)                       193,200
                                        4,000  Res-Care, Inc. (d)                                     50,040
                                        1,824  Specialty Laboratories, Inc. (d)                       17,419
                                        5,037  Sunrise Senior Living, Inc. (d)                       244,798
                                        9,800  United Surgical Partners International, Inc. (d)      448,546
                                                                                                 -----------
                                                                                                   3,021,488
                                                                                                 -----------
Health Care Management                 14,600  AMERIGROUP Corp. (d)                                  533,776
Services - 1.0%                         9,041  Allscripts Healthcare Solutions, Inc. (d)             129,286
                                       10,800  Amsurg Corp. (d)                                      273,240
                                       14,000  Centene Corp. (d)                                     419,860
                                        8,200  Cerner Corp. (b)(d)                                   430,582
                                        2,000  Computer Programs & Systems, Inc.                      56,160
                                        2,957  Corvel Corp. (d)                                       63,043

18

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                 SHARES                                                  
INDUSTRY*                         HELD               COMMON STOCKS                VALUE  
---------                        ------  ------------------------------------  ----------
                                                                                         
                                 11,331  Eclipsys Corp. (d)                    $  175,404
                                 17,097  Hooper Holmes, Inc.                       65,311
                                  2,800  Molina Healthcare, Inc. (d)              129,052
                                 16,900  OCA, Inc. (d)                             71,825
                                  5,900  Omnicell, Inc. (d)                        42,539
                                  7,000  Pediatrix Medical Group, Inc. (d)        480,130
                                  8,998  Per-Se Technologies, Inc. (d)            138,119
                                  7,126  Sierra Health Services (d)               454,924
                                  1,900  WellCare Health Plans, Inc. (d)           57,874
                                                                               ----------
                                                                                3,521,125
                                                                               ----------
Health Care Services - 0.6%       2,500  Alliance Imaging, Inc. (d)                23,875
                                  3,400  Amedisys, Inc. (d)                       102,850
                                 15,500  Apria Healthcare Group, Inc. (d)         497,550
                                  3,900  Bio-Reference Labs, Inc. (d)              54,288
                                      2  Dynacq Healthcare, Inc. (d)                   10
                                  5,912  Gentiva Health Services, Inc. (d)         95,656
                                  4,750  Healthcare Services Group                115,188
                                  6,027  IDX Systems Corp. (d)                    209,318
                                  5,500  LabOne, Inc. (d)                         189,640
                                  6,000  Matria Healthcare, Inc. (d)              184,260
                                 10,100  Odyssey HealthCare, Inc. (d)             118,776
                                 16,036  Province Healthcare Co. (d)              386,307
                                  1,300  Symbion, Inc. (d)                         27,781
                                  2,500  Symmetry Medical, Inc. (d)                47,550
                                  3,900  VistaCare, Inc. Class A (d)               79,833
                                                                               ----------
                                                                                2,132,882
                                                                               ----------
Homebuilding - 0.4%              12,051  Beazer Homes USA, Inc.                   600,863
                                  1,300  Dominion Homes, Inc. (d)                  22,009
                                  4,860  Levitt Corp. Class A                     124,610
                                  4,200  M/I Homes, Inc.                          205,506
                                  6,500  Meritage Homes Corp. (d)                 382,980
                                    700  Orleans Homebuilders, Inc.                12,873
                                  2,850  Technical Olympic USA, Inc.               86,070
                                  1,400  William Lyon Homes, Inc. (d)             107,380

                                                                               ----------
                                                                                1,542,291
                                                                               ----------
Hotel/Motel - 0.1%                6,600  Great Wolf Resorts, Inc. (d)             164,670
                                  5,979  Marcus Corp.                             122,570
                                                                               ----------
                                                                                  287,240
                                                                               ----------
Household Furnishings - 0.5%      3,300  American Woodmark Corp.                  119,724
                                  3,200  Bassett Furniture Industries, Inc.        63,040
                                 11,400  The Bombay Co, Inc. (d)                   60,420
                                  2,800  Department 56 (d)                         48,888
                                  9,800  Ethan Allen Interiors, Inc.              313,600
                                 15,300  Furniture Brands International, Inc.     333,693
                                  5,036  Haverty Furniture Cos., Inc.              76,799
                                    600  Hooker Furniture Corp.                    11,334
                                  5,200  Kirkland's, Inc. (d)                      57,512
                                 16,400  La-Z-Boy, Inc.                           228,452
                                  4,488  Libbey, Inc.                              94,248
                                  3,700  Lifetime Hoan Corp.                       57,313
                                 11,500  Select Comfort Corp. (d)                 235,060
                                  2,600  Stanley Furniture Co., Inc.              122,928
                                  4,000  Tempur-Pedic International, Inc. (d)      74,640
                                                                               ----------
                                                                                1,897,651
                                                                               ----------
Identification Control & Filter   6,812  Advanced Energy Industries, Inc. (d)      65,872
Devices - 1.0%                   12,967  Artesyn Technologies, Inc. (d)           112,943
                                 17,141  Asyst Technologies Inc. (d)               82,105
                                  6,894  C&D Technologies, Inc.                    69,285
                                  5,931  CUNO, Inc. (d)                           304,794
                                  4,066  ESCO Technologies, Inc. (d)              326,703

19

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                     SHARES                                                             
INDUSTRY*                             HELD                    COMMON STOCKS                     VALUE   
---------                            ------  -----------------------------------------------  ----------
                                                                                                        
                                      6,800  Flanders Corp. (d)                               $   76,704
                                     16,600  Flowserve Corp. (d)                                 429,442
                                      1,875  The Gorman-Rupp Co.                                  40,238
                                     15,821  IDEX Corp.                                          638,377
                                      7,500  Magnetek, Inc. (d)                                   39,975
                                      6,326  Mine Safety Appliances Co.                          245,069
                                     11,382  Paxar Corp. (d)                                     242,892
                                      8,300  RAE Systems, Inc. (d)                                25,481
                                      3,312  Robbins & Myers, Inc.                                72,897
                                      8,727  Veeco Instruments, Inc. (d)                         131,341
                                      5,796  Vicor Corp.                                          60,510
                                      9,200  Viisage Technology, Inc. (d)                         31,004
                                      7,736  Watts Water Technologies, Inc. Class A              252,271
                                      6,317  X-Rite, Inc.                                         95,008
                                                                                              ----------
                                                                                               3,342,911
                                                                                              ----------
Insurance: Life - 0.5%               11,500  AmerUs Group Co.                                    543,375
                                      3,300  American Equity Investment Life Holding Co.          42,207
                                      6,700  Ceres Group, Inc. (d)                                36,381
                                      8,008  Citizens, Inc. (d)                                   46,046
                                      8,570  Delphi Financial Group Class A                      368,510
                                      2,680  Great American Financial Resources, Inc.             45,399
                                      1,142  Kansas City Life Insurance Company                   55,296
                                        662  National Western Life Insurance Co. Class A (d)     113,162
                                     29,000  The Phoenix Cos., Inc.                              370,620
                                      6,493  Presidential Life Corp.                             105,706
                                      8,800  Universal American Financial Corp. (d)              152,240
                                                                                              ----------
                                                                                               1,878,942
                                                                                              ----------
Insurance: Multiline - 0.5%          10,040  Alfa Corp.                                          145,078
                                      3,186  CNA Surety Corp. (d)                                 43,330
                                      6,509  Crawford & Co. Class B                               46,539
                                        100  EMC Insurance Group, Inc.                             1,906
                                      3,425  FBL Financial Group, Inc. Class A                    95,900
                                      6,400  HealthExtras, Inc. (d)                              106,560
                                      8,606  Hilb Rogal & Hobbs Co.                              308,095
                                     15,268  Horace Mann Educators Corp.                         270,854
                                      1,440  Independence Holding Co.                             25,963
                                      2,397  Pico Holdings, Inc. (d)                              62,106
                                     12,639  UICI                                                306,496
                                      4,137  Zenith National Insurance Corp.                     214,545
                                                                                              ----------
                                                                                               1,627,372
                                                                                              ----------
Insurance: Property-Casualty - 1.3%   7,300  21st Century Insurance Group                        101,835
                                      1,550  Affirmative Insurance Holdings, Inc.                 22,862
                                      3,571  American Physicians Capital, Inc. (d)               122,378
                                      9,066  Argonaut Group, Inc. (d)                            192,380
                                      2,432  Baldwin & Lyons, Inc. Class B                        63,086
                                      3,300  Bristol West Holdings, Inc.                          51,150
                                      7,545  Commerce Group, Inc.                                467,639
                                     12,700  Danielson Holdings Corp. (d)                        219,075
                                      5,500  Direct General Corp.                                112,970
                                      2,533  Donegal Group, Inc. Class A                          46,031
                                      2,700  FPIC Insurance Group, Inc. (d)                       86,805
                                      5,662  Harleysville Group, Inc.                            112,447
                                      6,300  Infinity Property & Casualty Corp.                  196,938
                                      1,858  The Midland Company                                  58,546
                                      1,000  NYMAGIC, Inc.                                        23,700
                                      2,600  Navigators Group, Inc. (d)                           86,177
                                     19,115  Ohio Casualty Corp. (d)                             439,263
                                      8,406  PMA Capital Corp. Class A (d)                        67,248
                                      5,956  Philadelphia Consolidated Holding Co. (d)           461,769
                                      8,423  ProAssurance Corp. (d)                              332,709

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                        SHARES                                                    
INDUSTRY*                                HELD               COMMON STOCKS                  VALUE  
---------                               ------  --------------------------------------  ----------
                                                                                                  
                                         6,454  RLI Corp.                               $  267,518
                                         1,500  Safety Insurance Group, Inc.                46,440
                                         9,554  Selective Insurance Group                  441,681
                                         3,312  State Auto Financial Corp.                  88,165
                                         2,481  United America Indemnity, Ltd. (d)          46,742
                                         5,600  United Fire & Casualty Co.                 189,448
                                         8,800  Vesta Insurance Group, Inc.                 31,240
                                                                                        ----------
                                                                                         4,376,242
                                                                                        ----------
Investment Management                    7,550  Affiliated Managers Group (d)              468,326
Companies - 0.5%                        20,700  Apollo Investment Corp.                    347,346
                                         6,000  Calamos Asset Management, Inc. Class A     161,520
                                           500  Capital Southwest Corp.                     39,550
                                         1,500  Cohen & Steers, Inc.                        24,750
                                         1,696  Gabelli Asset Management, Inc. Class A      75,726
                                        12,800  MCG Capital Corp.                          196,928
                                        11,600  National Financial Partners Corp.          461,680
                                                                                        ----------
                                                                                         1,775,826
                                                                                        ----------
Jewelry Watches & Gemstones - 0.0%       4,600  Movado Group, Inc.                          85,100
                                                                                        ----------
Leisure Time - 0.7%                      5,700  Action Performance Cos., Inc.               75,411
                                        22,600  Callaway Golf Co.                          289,280
                                         1,400  Escalade, Inc.                              19,082
                                        11,000  K2, Inc. (d)                               151,250
                                         2,200  Life Time Fitness, Inc. (d)                 59,356
                                        21,356  Penn National Gaming, Inc. (d)             627,439
                                        17,913  SCP Pool Corp.                             570,708
                                        24,800  Six Flags, Inc. (d)                        102,176
                                         2,100  Steinway Musical Instruments (d)            62,916
                                         6,678  Sturm Ruger & Co., Inc.                     46,279
                                         5,956  Vail Resorts, Inc. (d)                     150,389
                                         5,200  West Marine, Inc. (d)                      110,552
                                                                                        ----------
                                                                                         2,264,838
                                                                                        ----------
Machine Tools - 0.1%                    10,992  Lincoln Electric Holdings, Inc.            330,639
                                                                                        ----------
Machinery & Engineering - 0.1%           7,960  Applied Industrial Technologies, Inc.      216,512
                                                                                        ----------
Machinery: Agricultural - 0.0%           3,813  Lindsay Manufacturing Co.                   72,752
                                                                                        ----------
Machinery: Construction &                2,600  ASV, Inc. (d)                              103,077
Handling - 0.5%                          4,517  Astec Industries, Inc. (d)                  99,600
                                         9,211  Manitowoc Co.                              372,032
                                         1,387  NACCO Industries, Inc. Class A             141,391
                                        10,524  Stewart & Stevenson Services               240,894
                                        15,043  Terex Corp. (d)                            651,362
                                                                                        ----------
                                                                                         1,608,356
                                                                                        ----------
Machinery: Industrial/Specialty - 1.0%   8,200  Actuant Corp. Class A (d)                  368,344
                                         6,700  EnPro Industries, Inc. (d)                 184,250
                                        12,500  FSI International, Inc. (d)                 52,875
                                         7,057  Gardner Denver, Inc. (d)                   278,822
                                        24,600  Joy Global, Inc.                           862,476
                                         3,270  Kadant, Inc. (d)                            60,659
                                        11,303  Kennametal, Inc.                           536,779
                                         2,000  Middleby Corp.                              98,800
                                        16,334  Milacron, Inc. (d)                          49,819
                                         9,310  Nordson Corp.                              342,794
                                         6,028  Tecumseh Products Co. Class A              238,769
                                         2,637  Tennant Co.                                102,026
                                         3,799  Thomas Industries, Inc.                    150,592
                                         2,993  Woodward Governor Co.                      214,598
                                                                                        ----------
                                                                                         3,541,603
                                                                                        ----------
Machinery: Oil Well Equipment &          4,168  CARBO Ceramics, Inc.                       292,385
Services - 1.5%                         12,737  Cal Dive International, Inc. (d)           576,986
                                         1,688  Dril-Quip, Inc. (d)                         51,889
                                        29,800  Global Industries Ltd. (d)                 280,120

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                              SHARES                                                         
INDUSTRY*                      HELD                COMMON STOCKS                     VALUE   
---------                     ------  -----------------------------------------   -----------
                                                                                             
                               4,117  Gulf Island Fabrication, Inc.               $    96,585
                              23,200  Hanover Compressor Co. (d)                      280,024
                              14,700  Helmerich & Payne, Inc.                         583,443
                               1,900  Hornbeck Offshore Services, Inc. (d)             47,614
                               4,949  Hydril (d)                                      289,071
                              19,846  Input/Output, Inc. (d)                          128,007
                              41,500  Key Energy Services, Inc. (d)                   476,005
                               2,200  Lufkin Industries, Inc.                         106,238
                              27,020  Newpark Resources (d)                           159,148
                               8,404  Oceaneering International, Inc. (d)             315,150
                               7,400  Oil States International, Inc. (d)              152,070
                              30,281  Parker Drilling Co. (d)                         174,116
                               4,800  RPC, Inc.                                        72,912
                               5,808  SEACOR Holdings, Inc. (d)                       370,260
                              14,705  Superior Energy Services (d)                    252,926
                               4,326  Universal Compression Holdings, Inc. (d)        163,826
                               9,457  W-H Energy Services, Inc. (d)                   226,306
                                                                                  -----------
                                                                                    5,095,081
                                                                                  -----------
Machinery: Specialty - 0.4%    5,100  Applied Films Corp. (d)                         117,912
                               2,100  Bucyrus International, Inc.                      82,026
                               4,100  Cascade Corp.                                   143,500
                               6,925  Engineered Support Systems, Inc.                370,626
                               9,861  Helix Technology Corp.                          152,550
                              16,798  JLG Industries, Inc.                            361,997
                               4,941  Semitool, Inc. (d)                               50,398
                                                                                  -----------
                                                                                    1,279,009
                                                                                  -----------
Manufactured Housing - 0.1%   22,627  Champion Enterprises, Inc. (d)                  212,694
                               4,205  Palm Harbor Homes, Inc. (b)(d)                   68,373
                               1,501  Skyline Corp.                                    57,773
                                                                                  -----------
                                                                                      338,840
                                                                                  -----------
Manufacturing - 0.2%          16,859  Federal Signal Corp.                            255,751
                              10,564  Rayovac Corp. (d)                               439,462
                               3,931  Standex International Corp.                     107,316
                                                                                  -----------
                                                                                      802,529
                                                                                  -----------
Medical & Dental Instruments & 4,700  Abaxis, Inc. (d)                                 41,595
Supplies - 2.9%                3,600  Abiomed, Inc. (d)                                38,088
                              10,300  Advanced Medical Optics, Inc. (b)(d)            372,963
                               5,550  Advanced Neuromodulation Systems, Inc. (d)      148,795
                              16,200  Align Technology, Inc. (d)                      101,088
                              17,800  American Medical Systems Holdings, Inc. (d)     305,804
                               2,900  Animas Corp. (b)(d)                              58,609
                               5,808  Arrow International, Inc.                       199,505
                               5,200  Bio-Rad Laboratories, Inc. Class A (d)          253,292
                               8,600  Biolase Technology, Inc. (b)                     73,100
                               4,049  Biosite, Inc. (b)(d)                            210,669
                              22,600  Cardiac Science, Inc. (b)(d)                     25,990
                              13,300  Cepheid, Inc. (d)                               128,611
                               2,313  Closure Medical Corp. (d)                        61,757
                               7,400  Conceptus, Inc. (d)                              57,720
                               9,228  Conmed Corp. (d)                                277,947
                               4,469  Cyberonics, Inc. (d)                            197,396
                               4,900  DJ Orthopedics, Inc. (d)                        122,745
                               6,900  Diagnostic Products Corp.                       333,270
                               7,400  Encore Medical Corp. (d)                         39,812
                               1,600  Exactech, Inc. (d)                               27,152
                               4,700  I-Flow Corp. (d)                                 74,401
                               3,250  ICU Medical, Inc. (b)(d)                        115,375
                              15,262  Immucor, Inc. (d)                               460,760
                               8,922  Invacare Corp.                                  398,189
                               3,940  Inverness Medical Innovations, Inc. (d)          92,590


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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                                [Download Table]

                        SHARES                                                    
INDUSTRY*                HELD                COMMON STOCKS                 VALUE  
---------               ------  --------------------------------------  ----------
                                                                                  
                         6,900  Kyphon, Inc. (d)                        $  173,673
                         2,678  Landauer, Inc.                             127,312
                         6,100  Laserscope (d)                             193,614
                        11,100  Lifecell Corp. (d)                          98,790
                         4,200  Medical Action Industries, Inc.             79,380
                        14,244  Mentor Corp.                               457,232
                         7,810  Merit Medical Systems, Inc. (d)             93,642
                        10,600  Microtek Medical Holdings, Inc. (d)         37,948
                         4,837  Molecular Devices Corp. (d)                 91,903
                         4,200  NuVasive, Inc. (d)                          54,264
                        15,359  OraSure Technologies, Inc. (d)             113,042
                        14,000  Orthologic Corp. (d)                        70,840
                        16,600  Orthovita, Inc. (d)                         56,440
                        12,598  Owens & Minor, Inc.                        342,036
                        23,473  PSS World Medical, Inc. (d)                266,888
                         2,700  Palomar Medical Technologies, Inc. (d)      72,819
                         8,614  PolyMedica Corp.                           273,581
                         9,000  Sonic Innovations, Inc. (d)                 50,220
                         4,915  SonoSite, Inc. (d)                         127,692
                        20,500  Steris Corp. (d)                           517,625
                         5,483  SurModics, Inc. (b)(d)                     174,963
                        12,000  Sybron Dental Specialties, Inc. (d)        430,800
                        13,929  Techne Corp. (d)                           559,667
                        10,700  ThermoGenesis Corp. (d)                     52,965
                        11,947  Thoratec Corp. (d)                         145,992
                         5,900  Urologix, Inc. (d)                          27,081
                         9,160  Ventana Medical Systems (d)                343,134
                         9,400  Viasys Healthcare, Inc. (d)                179,352
                         1,724  Vital Signs, Inc.                           68,770
                         8,676  West Pharmaceutical Services, Inc.         207,356
                         7,300  Wright Medical Group, Inc. (d)             175,200
                           600  Young Innovations, Inc.                     21,990
                                                                        ----------
                                                                         9,903,434
                                                                        ----------
Medical Services - 0.3%  4,300  America Service Group, Inc. (d)             95,159
                           856  Angiodynamics, Inc. (d)                     15,664
                         9,300  Hanger Orthopedic Group, Inc. (d)           55,335
                         7,500  Magellan Health Services, Inc. (d)         255,375
                         4,781  Option Care, Inc.                           98,441
                         9,997  Parexel International Corp. (d)            234,930
                           700  Proxymed, Inc. (d)                           6,083
                         6,095  RehabCare Group, Inc. (d)                  174,987
                                                                        ----------
                                                                           935,974
                                                                        ----------
Metal Fabricating - 1.1% 3,500  CIRCOR International, Inc.                  86,275
                        18,556  Commercial Metals Co.                      628,863
                         5,250  Encore Wire Corp. (d)                       53,550
                         9,426  Kaydon Corp.                               295,976
                         9,358  Lone Star Technologies (d)                 368,986
                        13,863  Maverick Tube Corp. (d)                    450,686
                         7,100  Metals USA, Inc. (d)                       139,089
                         5,565  NN, Inc.                                    68,561
                         4,655  NS Group, Inc. (d)                         146,214
                         2,556  Penn Engineering & Manufacturing Corp.      46,136
                         8,607  Quanex Corp.                               458,925
                         6,613  RTI International Metals, Inc. (d)         154,744
                         8,647  Reliance Steel & Aluminum Co.              345,966
                         5,893  Ryerson Tull, Inc.                          74,664
                        18,000  The Shaw Group, Inc. (d)                   392,400
                         4,158  Valmont Industries, Inc.                    92,807
                                                                        ----------
                                                                         3,803,842
                                                                        ----------

23

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                        SHARES                                                       
INDUSTRY*                                HELD                COMMON STOCKS                    VALUE  
---------                               ------  -----------------------------------------  ----------
                                                                                                     
Metals & Minerals                        6,573  AMCOL International Corp.                  $  123,309
Miscellaneous - 0.6%                     9,400  Alpha Natural Resources, Inc. (d)             269,498
                                         5,511  Brush Engineered Materials, Inc. (d)          104,874
                                         6,318  Cleveland-Cliffs, Inc.                        460,393
                                         3,300  Compass Minerals International, Inc.           83,985
                                        30,244  GrafTech International Ltd. (d)               172,088
                                        36,800  Hecla Mining Co. (d)                          201,664
                                         6,353  Minerals Technologies, Inc.                   417,900
                                        12,064  Stillwater Mining Co. (d)                     118,830
                                         1,000  Titanium Metals Corp. (d)                      36,000
                                                                                           ----------
                                                                                            1,988,541
                                                                                           ----------
Milling: Fruit &                        22,478  Corn Products International, Inc.             584,203
Grain Processing - 0.2%                  3,800  MGP Ingredients, Inc.                          31,692
                                                                                           ----------
                                                                                              615,895
                                                                                           ----------
Miscellaneous Health Care - 0.1%        11,800  NeighborCare, Inc. (d)                        345,150
                                                                                           ----------
Miscellaneous Materials &                6,750  Ceradyne, Inc. (d)                            150,998
Commodities - 0.2%                       9,379  Symyx Technologies (d)                        206,807
                                         6,489  WD-40 Co.                                     210,828
                                                                                           ----------
                                                                                              568,633
                                                                                           ----------
Miscellaneous Materials &                8,838  Insituform Technologies, Inc. Class A (d)     128,239
Processing - 0.3%                        4,700  Metal Management, Inc.                        120,696
                                         5,455  Rogers Corp. (d)                              218,200
                                        26,459  USEC, Inc.                                    430,753
                                                                                           ----------
                                                                                              897,888
                                                                                           ----------
Miscellaneous Producer Durables - 0.0%  11,600  BE Aerospace, Inc. (d)                        139,200
                                                                                           ----------
Multi - Sector Companies - 0.5%         14,671  GenCorp, Inc.                                 293,420
                                         7,294  Kaman Corp. Class A                            90,810
                                         8,199  Lancaster Colony Corp.                        348,867
                                         5,200  Raven Industries, Inc.                        106,184
                                         1,465  Sequa Corp. Class A (d)                        75,960
                                        12,050  Trinity Industries, Inc.                      339,449
                                         8,202  Walter Industries, Inc.                       348,995
                                                                                           ----------
                                                                                            1,603,685
                                                                                           ----------
Office Furniture & Business              1,000  General Binding Corp. (d)                      21,000
Equipment - 0.1%                         5,124  Imagistics International, Inc. (d)            178,981
                                         7,374  Kimball International, Inc. Class B           106,923
                                         4,000  Knoll, Inc.                                    66,720
                                        10,640  Presstek, Inc. (d)                             82,141
                                         3,400  Transact Technologies, Inc. (d)                34,034
                                                                                           ----------
                                                                                              489,799
                                                                                           ----------
Offshore Drilling - 0.1%                 2,927  Atwood Oceanics, Inc. (d)                     194,763
                                                                                           ----------
Oil: Crude Producers - 3.4%              1,700  Atlas America, Inc. (b)(d)                     61,489
                                         4,901  Berry Petroleum Co. Class A                   252,156
                                         4,100  Bill Barrett Corp. (d)                        118,531
                                        11,600  Brigham Exploration Co. (d)                   107,068
                                        10,474  Cabot Oil & Gas Corp. Class A                 577,641
                                         6,000  Callon Petroleum Co. (d)                       93,240
                                         8,300  Cheniere Energy, Inc. (d)                     535,433
                                        12,900  Cimarex Energy Co. (b)(d)                     503,100
                                         2,400  Clayton Williams Energy, Inc. (d)              62,160
                                        10,457  Comstock Resources, Inc. (d)                  300,534
                                        16,670  Denbury Resources, Inc. (d)                   587,284
                                         5,700  Edge Petroleum Corp. (d)                       94,392
                                         6,200  Encore Acquisition Co. (d)                    256,060
                                         8,000  Energy Partners Ltd. (d)                      207,760
                                         9,300  FX Energy, Inc. (d)                           106,392
                                        14,700  Forest Oil Corp. (d)                          595,350
                                         9,815  Frontier Oil Corp.                            355,892
                                        61,743  Grey Wolf, Inc.                               406,269

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                     SHARES                                                      
INDUSTRY*                             HELD                COMMON STOCKS                   VALUE  
---------                            ------  ---------------------------------------  -----------
                                                                                                 
                                     11,600  Harvest Natural Resources, Inc. (d)      $   137,924
                                      3,283  Houston Exploration Co. (d)                  186,967
                                     26,972  Magnum Hunter Resources, Inc. (d)            434,519
                                      4,200  McMoRan Exploration Co. (b)(d)                84,420
                                     18,911  Meridian Resource Corp. (d)                   97,581
                                      5,100  Petroleum Development Corp. (d)              192,219
                                     25,290  Plains Exploration & Production Co. (d)      882,621
                                      9,420  Quicksilver Resources, Inc. (b)(d)           459,037
                                     25,437  Range Resources Corp.                        594,208
                                      7,220  Remington Oil & Gas Corp. (d)                227,574
                                      4,549  Resource America, Inc. Class A               159,420
                                      6,887  Spinnaker Exploration Co. (d)                244,695
                                      9,526  St. Mary Land & Exploration Co.              476,776
                                      6,378  Stone Energy Corp. (d)                       309,779
                                      8,917  Swift Energy Co. (d)                         253,599
                                      4,500  Todco Class A (d)                            116,280
                                     11,508  Unit Corp. (d)                               519,816
                                     17,683  Vintage Petroleum, Inc.                      556,307
                                      4,000  W&T Offshore, Inc.                            83,040
                                      5,400  Warren Resources, Inc. (d)                    57,942
                                      6,800  Whiting Petroleum Corp. (d)                  277,304
                                                                                      -----------
                                                                                       11,572,779
                                                                                      -----------
Oil: Integrated Domestic - 0.2%       6,900  Delta Petroleum Corp. (d)                     99,981
                                      4,500  Giant Industries, Inc. (d)                   115,650
                                     15,200  KCS Energy, Inc. (d)                         233,472
                                     16,100  Mission Resources Corp. (d)                  113,988
                                                                                      -----------
                                                                                          563,091
                                                                                      -----------
Paints & Coatings - 0.2%             13,676  Ferro Corp.                                  257,382
                                      9,540  HB Fuller Co.                                276,660
                                      1,794  Kronos Worldwide, Inc.                        76,259
                                                                                      -----------
                                                                                          610,301
                                                                                      -----------
Paper - 0.3%                          8,026  Albany International Corp. Class A           247,842
                                      7,398  Buckeye Technologies, Inc. (d)                79,898
                                     11,074  Caraustar Industries, Inc. (d)               142,855
                                      5,092  Chesapeake Corp.                             107,034
                                      9,401  Glatfelter                                   138,665
                                      7,580  Rock-Tenn Co. Class A                        100,814
                                     14,642  Wausau-Mosinee Paper Corp.                   207,038
                                                                                      -----------
                                                                                        1,024,146
                                                                                      -----------
Plastics - 0.0%                       7,654  Spartech Corp.                               151,932
                                                                                      -----------
Pollution Control & Environmental    16,300  Darling International, Inc. (d)               65,037
Services - 0.2%                       3,400  Duratek, Inc. (d)                             67,830
                                     13,246  Headwaters, Inc. (d)                         434,734
                                      2,800  TRC Cos., Inc. (d)                            41,160
                                                                                      -----------
                                                                                          608,761
                                                                                      -----------
Power Transmission Equipment - 0.1%   8,151  Regal-Beloit Corp.                           234,667
                                      3,711  Woodhead Industries, Inc.                     50,470
                                                                                      -----------
                                                                                          285,137
                                                                                      -----------
Printing & Copying Services - 0.1%    4,200  American Reprographics Co. (d)                60,270
                                     10,882  Bowne & Co., Inc.                            163,665
                                      2,400  Schawk, Inc.                                  43,800
                                                                                      -----------
                                                                                          267,735
                                                                                      -----------
Production Technology                 2,200  ADE Corp. (d)                                 48,840
Equipment - 1.3%                     10,857  ATMI, Inc. (d)                               271,859
                                      4,200  August Technology Corp. (d)                   49,224
                                     31,300  Axcelis Technologies, Inc. (d)               228,490
                                     14,988  Brooks Automation, Inc. (d)                  227,518
                                     13,656  Cognex Corp.                                 339,761
                                     27,768  Credence Systems Corp. (d)                   219,645
                                     10,700  Cymer, Inc. (d)                              286,439

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                  SHARES                                                                 
INDUSTRY*                          HELD                       COMMON STOCKS                       VALUE  
---------                         ------  ---------------------------------------------------  ----------
                                                                                                         
                                   5,731  Dionex Corp. (d)                                     $  312,340
                                   5,508  Dupont Photomasks, Inc. (d)                             146,898
                                  10,061  Electro Scientific Industries, Inc. (d)                 195,083
                                  13,300  Entegris, Inc. (d)                                      131,537
                                   7,490  Esterline Technologies Corp. (d)                        258,780
                                   7,255  FEI Co. (d)                                             167,953
                                   3,200  Intevac, Inc. (d)                                        30,176
                                  17,656  Kulicke & Soffa Industries, Inc. (d)                    111,056
                                  16,603  LTX Corp. (d)                                            73,717
                                   7,700  MTS Systems Corp.                                       223,531
                                  11,099  Mattson Technology, Inc. (d)                             88,126
                                  12,100  Mykrolis Corp. (d)                                      173,030
                                   6,162  Photon Dynamics, Inc. (d)                               117,448
                                   9,979  Photronics, Inc. (d)                                    180,620
                                   5,100  Rofin-Sinar Technologies, Inc. (d)                      163,914
                                   4,273  Rudolph Technologies, Inc. (d)                           64,351
                                   6,990  Ultratech, Inc. (d)                                     102,054
                                  11,042  Varian Semiconductor Equipment Associates, Inc. (d)     419,706
                                                                                               ----------
                                                                                                4,632,096
                                                                                               ----------
Publishing: Miscellaneous - 0.6%   4,381  Advanced Marketing Services                              26,286
                                   8,494  Banta Corp.                                             363,543
                                   3,400  Consolidated Graphics, Inc. (d)                         178,840
                                   1,300  Courier Corp.                                            68,172
                                   2,782  Martha Stewart Living Omnimedia Class A (b)(d)           62,845
                                   4,207  Playboy Enterprises, Inc. Class B (d)                    54,270
                                  43,300  Primedia, Inc. (d)                                      188,355
                                  31,100  The Reader's Digest Association, Inc. Class A           538,341
                                   9,660  Scholastic Corp. (d)                                    356,357
                                   3,100  Thomas Nelson, Inc.                                      73,315
                                                                                               ----------
                                                                                                1,910,324
                                                                                               ----------
Publishing: Newspapers - 0.2%     19,429  Hollinger International, Inc. Class A                   211,776
                                   8,100  Journal Communications, Inc. Class A                    134,055
                                  12,233  Journal Register Co. (d)                                204,291
                                   2,255  Pulitzer, Inc.                                          143,711
                                                                                               ----------
                                                                                                  693,833
                                                                                               ----------
Radio & TV Broadcasters - 0.5%     1,633  Beasley Broadcasting Group, Inc. Class A (d)             29,035
                                  14,900  Cumulus Media, Inc. Class A (d)                         212,325
                                  17,400  Emmis Communications Corp. Class A (d)                  334,428
                                   1,500  Fisher Communications, Inc. (d)                          77,565
                                  13,100  Gray Television, Inc.                                   189,557
                                   5,054  Liberty Corp.                                           204,940
                                   8,400  Lin TV Corp. Class A (d)                                142,212
                                   5,900  Nexstar Broadcasting Group, Inc. Class A (d)             41,595
                                  20,268  Paxson Communications Corp. (d)                          13,985
                                  10,171  Regent Communications, Inc. (d)                          54,415
                                   5,033  Saga Communications, Inc. Class A (d)                    81,031
                                   2,883  Salem Communications Corp. Class A (d)                   59,390
                                  13,964  Sinclair Broadcast Group, Inc. Class A                  112,131
                                  14,584  Spanish Broadcasting System Class A (d)                 149,632
                                   1,168  World Wrestling Entertainment, Inc.                      14,016
                                   7,108  Young Broadcasting, Inc. Class A (d)                     61,413
                                                                                               ----------
                                                                                                1,777,670
                                                                                               ----------
Railroad Equipment - 0.1%            500  Greenbrier Cos., Inc.                                    17,545
                                  12,739  Westinghouse Air Brake Technologies Corp.               261,022
                                                                                               ----------
                                                                                                  278,567
                                                                                               ----------
Railroads - 0.3%                   5,281  Florida East Coast Industries                           224,337
                                   5,550  Genesee & Wyoming, Inc. Class A (d)                     143,801
                                  20,976  Kansas City Southern (d)                                403,998
                                   8,902  RailAmerica, Inc. (d)                                   111,097
                                                                                               ----------
                                                                                                  883,233
                                                                                               ----------

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                               SHARES                                                     
INDUSTRY*                       HELD                COMMON STOCKS                  VALUE  
---------                      ------  ---------------------------------------  ----------
                                                                                          
Real Estate - 0.5%              1,500  Avatar Holdings, Inc. (b)(d)             $   70,275
                                3,800  Bluegreen Corp. (d)                          48,830
                                1,700  Consolidated-Tomoka Land Co.                 97,291
                               18,200  ECC Capital Corp.                           109,200
                                6,000  Education Realty Trust, Inc.                 99,780
                               15,500  Fieldstone Investment Corp.                 230,485
                                3,700  First Acceptance Corp. (d)                   39,220
                                1,300  Reading International, Inc. Class A           9,165
                               20,500  Spirit Finance Corp.                        222,630
                                8,000  Sunterra Corp. (b)(d)                       120,640
                                  375  Tarragon Corp. (d)                            7,571
                                1,915  Tejon Ranch Co. (d)                          85,409
                               10,000  Trammell Crow Co. (d)                       205,700
                                9,900  WCI Communities, Inc. (d)                   297,792
                                                                                ----------
                                                                                 1,643,988
                                                                                ----------
Real Estate Investment Trusts   7,740  AMLI Residential Properties Trust           211,999
(REIT) - 6.6%                  12,400  Aames Investment Corp.                      101,680
                               10,201  Acadia Realty Trust                         164,032
                                6,100  Affordable Residential Communities           77,165
                                  567  Alexander's, Inc. (d)                       136,931
                                6,156  Alexandria Real Estate Equities, Inc.       396,323
                                2,150  American Campus Communities, Inc.            45,150
                               37,000  American Financial Realty Trust             541,310
                               10,197  American Home Mortgage Investment Corp.     292,042
                               16,300  Anthracite Capital, Inc.                    181,582
                               14,300  Anworth Mortgage Asset Corp.                136,565
                                2,400  Arbor Realty Trust, Inc.                     59,400
                                7,900  Ashford Hospitality Trust, Inc.              80,580
                                5,899  Bedford Property Investors                  128,775
                                4,650  BioMed Realty Trust, Inc.                    95,790
                               12,347  Brandywine Realty Trust                     350,655
                                9,748  CRT Properties, Inc.                        212,311
                               12,850  Capital Automotive REIT                     425,592
                               10,100  Capital Lease Funding, Inc.                 111,605
                                  700  Capital Trust, Inc.                          23,226
                                7,600  Capstead Mortgage Corp.                      64,980
                               18,200  CarrAmerica Realty Corp.                    574,210
                                7,900  Cedar Shopping Centers, Inc.                112,496
                                5,806  Colonial Properties Trust                   223,008
                               15,775  Commercial Net Lease Realty                 291,049
                               15,803  Cornerstone Realty Income Trust, Inc.       156,766
                                9,900  Corporate Office Properties Trust           262,152
                                3,400  Correctional Properties Trust                85,850
                               11,000  Cousins Properties, Inc.                    284,570
                                6,427  Eastgroup Properties                        242,298
                                8,680  Entertainment Properties Trust              359,612
                               15,740  Equity Inns, Inc.                           173,612
                                6,194  Equity Lifestyle Properties, Inc.           218,339
                                9,300  Equity One, Inc.                            191,487
                                6,695  Essex Property Trust, Inc.                  461,553
                                3,850  Extra Space Storage, Inc.                    51,975
                               15,870  FelCor Lodging Trust, Inc. (d)              197,264
                               13,900  First Industrial Realty Trust, Inc.         525,837
                                9,100  GMH Communities Trust                       106,561
                                9,382  Gables Residential Trust                    312,421
                                5,400  Getty Realty Corp.                          137,970
                               10,439  Glenborough Realty Trust, Inc.              199,594
                               11,356  Glimcher Realty Trust                       269,137
                                1,700  Global Signal, Inc.                          50,932
                                9,500  Government Properties Trust, Inc.            94,620

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                      SHARES                                                        
INDUSTRY*                              HELD                COMMON STOCKS                    VALUE   
---------                             ------  -----------------------------------------  -----------
                                                                                                    
                                       1,750  Gramercy Capital Corp.                     $    34,125
                                      14,600  Healthcare Realty Trust, Inc.                  532,024
                                       7,800  Heritage Property Investment Trust             231,504
                                       8,200  Highland Hospitality Corp.                      84,870
                                      16,700  Highwoods Properties, Inc.                     447,894
                                      10,220  Home Properties, Inc.                          396,536
                                       6,500  HomeBanc Corp.                                  57,460
                                      23,100  IMPAC Mortgage Holdings, Inc.                  443,058
                                      12,792  Innkeepers USA Trust                           165,145
                                      13,700  Investors Real Estate Trust                    127,821
                                       8,878  Kilroy Realty Corp.                            363,199
                                       3,200  Kite Realty Group Trust                         46,080
                                       7,800  Kramont Realty Trust                           182,520
                                       4,500  LTC Properties, Inc.                            78,075
                                      57,500  La Quinta Corp. (d)                            488,750
                                       9,020  LaSalle Hotel Properties                       262,031
                                      14,642  Lexington Corporate Properties Trust           321,245
                                       9,400  Luminent Mortgage Capital, Inc.                103,212
                                      26,100  MFA Mortgage Investments, Inc.                 198,621
                                       9,900  Maguire Properties, Inc.                       236,412
                                      24,458  Meristar Hospitality Corp. (d)                 171,206
                                       5,529  Mid-America Apartment Communities, Inc.        201,809
                                       4,500  Mission West Properties                         47,700
                                       6,929  National Health Investors, Inc.                180,015
                                      21,359  Nationwide Health Properties, Inc.             431,665
                                      14,550  New Century Financial Corp.                    681,231
                                      11,100  Newcastle Investment Corp.                     328,560
                                       8,400  Novastar Financial, Inc.                       302,484
                                      15,600  Omega Healthcare Investors, Inc.               171,288
                                       6,000  Origen Financial, Inc.                          41,460
                                       4,308  PS Business Parks, Inc.                        173,612
                                       3,604  Parkway Properties, Inc.                       168,307
                                       9,832  Pennsylvania Real Estate Investment Trust      396,426
                                      13,086  Post Properties, Inc.                          406,189
                                      13,050  Prentiss Properties Trust                      445,788
                                       8,800  RAIT Investment Trust                          236,016
                                       5,400  Ramco-Gershenson Properties                    146,610
                                      26,400  Realty, Income Corp.                           604,032
                                       5,895  Redwood Trust, Inc.                            301,706
                                       4,522  Saul Centers, Inc.                             144,704
                                      14,600  Saxon Capital Inc.                             250,390
                                      16,414  Senior Housing Properties Trust                273,786
                                       4,604  Sovran Self Storage, Inc.                      182,457
                                       3,500  Strategic Hotel Capital, Inc.                   51,450
                                       5,343  Sun Communities, Inc.                          191,279
                                       7,100  Sunstone Hotel Investors, Inc.                 152,295
                                      10,122  Tanger Factory Outlet Centers, Inc.            222,684
                                      15,608  Taubman Centers, Inc.                          432,966
                                       6,763  The Town & Country Trust                       178,881
                                       9,200  Trustreet Properties, Inc.                     141,588
                                       8,400  U-Store-It Trust                               146,160
                                       3,627  Universal Health Realty Income Trust           102,463
                                       5,700  Urstadt Biddle Properties, Inc. Class A         86,925
                                      12,765  Washington Real Estate Investment Trust        366,994
                                       7,055  Winston Hotels, Inc.                            82,544
                                                                                         -----------
                                                                                          22,665,258
                                                                                         -----------
Recreational Vehicles & Boats - 0.3%   5,743  Arctic Cat, Inc.                               155,405
                                       4,307  Coachmen Industries, Inc.                       58,575
                                      17,299  Fleetwood Enterprises, Inc. (b)(d)             150,501
                                       2,175  Marine Products Corp.                           36,562

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                            SHARES                                                      
INDUSTRY*                    HELD                COMMON STOCKS                   VALUE  
---------                   ------  ----------------------------------------  ----------
                                                                                        
                             8,924  Monaco Coach Corp.                        $  144,123
                            11,984  Thor Industries, Inc.                        358,441
                             7,890  Winnebago Industries                         249,324
                                                                              ----------
                                                                               1,152,931
                                                                              ----------
Rental & Leasing Services:   3,753  Electro Rent Corp. (d)                        50,365
Commercial - 0.3%           15,700  GATX Corp.                                   521,083
                             2,900  Marlin Business Services, Inc. (d)            59,102
                             4,410  McGrath Rentcorp                             103,106
                            13,600  United Rentals, Inc. (d)                     274,856
                                                                              ----------
                                                                               1,008,512
                                                                              ----------
Rental & Leasing Services:  11,593  Aaron Rents, Inc.                            231,860
Consumer - 0.2%              2,200  Amerco, Inc. (d)                             101,860
                             8,195  Dollar Thrifty Automotive Group (d)          268,632
                             8,178  Rent-Way, Inc. (d)                            67,060
                             4,558  WESCO International, Inc. (d)                127,624
                                                                              ----------
                                                                                 797,036
                                                                              ----------
Restaurants - 1.8%           3,300  BJ's Restaurants, Inc. (d)                    63,987
                            12,480  Bob Evans Farms, Inc.                        292,656
                               625  Buffalo Wild Wings, Inc. (d)                  23,644
                            14,700  CBRL Group, Inc.                             607,110
                            11,650  CEC Entertainment, Inc. (d)                  426,390
                            16,300  CKE Restaurants, Inc.                        258,355
                             6,300  California Pizza Kitchen, Inc. (d)           147,672
                             4,100  Cosi, Inc. (d)                                27,880
                             3,400  Dave & Buster's, Inc. (d)                     63,580
                             4,350  Domino's Pizza, Inc.                          81,302
                             6,248  Ihop Corp.                                   297,905
                            11,818  Jack in the Box, Inc. (d)                    438,448
                            15,300  Krispy Kreme Doughnuts, Inc. (b)(d)          116,739
                             6,696  Landry's Restaurants, Inc.                   193,648
                             4,954  Lone Star Steakhouse & Saloon                143,195
                             8,684  O'Charleys, Inc. (d)                         188,790
                             7,408  PF Chang's China Bistro, Inc. (d)            442,998
                             8,000  Panera Bread Co. Class A (d)                 452,240
                             4,548  Papa John's International, Inc. (d)          157,907
                            10,577  Rare Hospitality International, Inc. (d)     326,618
                             4,000  Red Robin Gourmet Burgers, Inc. (d)          203,640
                            15,000  Ryan's Restaurant Group, Inc. (d)            217,950
                            19,914  Sonic Corp. (d)                              665,128
                             7,028  The Steak N Shake Co. (d)                    135,992
                            11,550  Triarc Cos.                                  159,737
                                                                              ----------
                                                                               6,133,511
                                                                              ----------
Retail - 4.1%                1,700  1-800 Contacts, Inc. (d)                      35,479
                             7,324  1-800-FLOWERS.COM, Inc. Class A (d)           55,443
                            15,400  99 Cents Only Stores (d)                     202,818
                             4,600  AC Moore Arts & Crafts, Inc. (d)             122,636
                            17,350  Aeropostale, Inc. (d)                        568,212
                             1,900  America's Car Mart, Inc. (d)                  66,614
                             2,600  Asbury Automotive Group, Inc. (d)             40,040
                             3,915  Bebe Stores, Inc.                            132,914
                             5,600  Big 5 Sporting Goods Corp.                   138,320
                             1,900  Blair Corp.                                   62,643
                             1,900  Blue Nile, Inc. (d)                           52,535
                             3,000  BlueLinx Holdings, Inc.                       40,530
                             3,700  The Bon-Ton Stores, Inc.                      66,933
                             6,650  Brookstone, Inc. (d)                         107,863
                             5,979  Brown Shoe Co., Inc.                         204,900
                             1,249  The Buckle, Inc.                              43,603
                             5,592  Burlington Coat Factory Warehouse Corp.      160,490
                            13,934  CSK Auto Corp. (d)                           245,935

29

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                                [Download Table]

             SHARES                                                       
INDUSTRY*     HELD                 COMMON STOCKS                   VALUE  
---------    ------   ----------------------------------------   ---------
                                                                          
              4,450   Cache, Inc. (d)                            $  60,298
              9,800   Casual Male Retail Group, Inc. (b)(d)         63,602
              6,397   The Cato Corp. Class A                       206,303
              5,400   Central Garden and Pet Co. (d)               236,844
              4,400   Charlotte Russe Holding, Inc. (d)             56,848
             36,040   Charming Shoppes (d)                         293,005
              4,585   Childrens Place (d)                          218,934
             12,328   Christopher & Banks Corp.                    216,973
             11,745   Coldwater Creek, Inc. (d)                    217,048
                600   Conn's, Inc. (d)                              11,280
              6,776   Cost Plus, Inc. (d)                          182,139
                500   DEB Shops, Inc.                               14,110
              9,700   Dick's Sporting Goods, Inc. (d)              356,281
              6,845   Dress Barn, Inc. (d)                         124,716
             10,300   Drugstore.Com (d)                             26,574
              3,931   Electronics Boutique Holdings Corp. (d)      168,915
              4,200   FTD Group, Inc. (d)                           50,904
             13,535   Fred's, Inc.                                 232,396
              5,000   GSI Commerce, Inc. (d)                        67,650
             11,700   GameStop Corp. Class B (d)                   260,910
                 16   Gander Mountain Co. (d)                          210
              7,038   Genesco, Inc. (d)                            200,020
              7,800   Global Imaging Systems, Inc. (d)             276,588
              6,100   Goody's Family Clothing, Inc.                 55,083
              5,532   Group 1 Automotive, Inc. (d)                 145,492
              6,939   Guitar Center, Inc. (d)                      380,465
              9,458   Gymboree Corp. (d)                           118,603
             14,181   Hot Topic, Inc. (d)                          309,855
              8,200   Hancock Fabrics, Inc.                         61,008
              7,761   Handleman Co.                                147,149
              8,450   Hibbett Sporting Goods, Inc. (d)             253,838
             16,298   Insight Enterprises, Inc. (d)                286,193
              4,000   Interline Brands Inc. (d)                     76,440
              6,862   The J. Jill Group, Inc. (d)                   94,421
              2,387   Jos A. Bank Clothiers, Inc. (b)(d)            69,939
              6,005   Jo-Ann Stores, Inc. (d)                      168,680
              1,647   Lawson Products                               77,080
             13,318   Linens 'N Things, Inc. (d)                   330,686
              4,600   Lithia Motors, Inc. Class A                  117,806
              3,000   MarineMax, Inc. (d)                           93,540
             10,761   Men's Wearhouse, Inc. (d)                    454,222
              3,700   Overstock.com, Inc. (b)(d)                   159,063
              1,259   PC Connection, Inc. (d)                        7,390
              3,400   PC Mall, Inc. (d)                             42,228
             17,910   PEP Boys-Manny Moe & Jack                    314,858
              2,800   The Pantry, Inc. (d)                          86,716
              3,500   Party City Corp. (d)                          51,240
             20,100   Payless Shoesource, Inc. (d)                 317,379
              5,400   PetMed Express, Inc. (d)                      40,014
              7,416   Priceline.com, Inc. (b)(d)                   186,883
             11,700   Restoration Hardware, Inc. (d)                66,690
              2,300   Retail Ventures, Inc. (d)                     20,953
                100   Rush Enterprises, Inc. Class B                 1,686
              3,047   Russ Berrie & Co., Inc.                       58,350
              7,054   School Specialty, Inc. (d)                   276,235
              2,600   Sharper Image Corp. (d)                       43,186
              9,098   ShopKo Stores, Inc. (d)                      202,158
              8,600   Sonic Automotive, Inc.                       195,306
              6,926   The Sports Authority, Inc. (d)               190,465
              5,200   Stage Stores, Inc. (d)                       199,628

30

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                                [Download Table]

                        SHARES                                                 
      INDUSTRY*          HELD             COMMON STOCKS                VALUE   
----------------------  ------  -----------------------------------  ----------
                                                                               
                         5,203  Stamps.com, Inc. (d)                 $   86,370
                         6,824  Stein Mart, Inc. (d)                    153,540
                        10,666  Too, Inc. (d)                           263,130
                        10,600  Tractor Supply Co. (d)                  462,690
                         9,530  Trans World Entertainment (d)           140,377
                         7,490  Tuesday Morning Corp. (d)               216,236
                         5,531  United Auto Group, Inc.                 153,928
                        12,980  United Natural Foods, Inc. (d)          371,617
                         6,056  Valuevision Media, Inc. Class A (d)      74,913
                        17,400  Zale Corp. (d)                          517,128
                                                                     ----------
                                                                     14,031,313
                                                                     ----------
Savings & Loan - 2.1%    6,737  Anchor Bancorp Wisconsin, Inc.          189,377
                           750  BFC Financial Corp. (d)                   7,088
                        21,738  Bank Mutual Corp.                       256,943
                        15,342  BankAtlantic Bancorp, Inc. Class A      266,951
                         9,573  Bankunited Financial Corp. Class A      257,131
                         1,600  Berkshire Hills Bancorp, Inc.            54,000
                         1,900  Beverly Hills Bancorp, Inc.              20,368
                        18,787  Brookline Bancorp, Inc.                 279,926
                           500  Charter Financial Corp.                  16,685
                         1,900  Citizens First Bancorp, Inc.             42,446
                         4,275  Coastal Financial Corp.                  64,211
                        12,926  Commercial Capital Bancorp, Inc.        263,044
                        14,127  Commercial Federal Corp.                390,612
                        11,749  Dime Community Bancshares               178,585
                         5,900  Downey Financial Corp.                  363,027
                         6,622  Fidelity Bankshares, Inc.               152,174
                         4,026  First Financial Holdings, Inc.          111,842
                         3,240  First Indiana Corp.                      78,408
                        40,753  First Niagara Financial Group, Inc.     538,347
                         3,000  First Place Financial Corp.              54,900
                         6,450  First Republic Bank                     208,787
                         5,600  FirstFed Financial Corp. (d)            285,656
                         8,350  Flagstar Bancorp, Inc.                  163,243
                         5,175  Flushing Financial Corp.                 94,185
                         3,078  Great Southern Bancorp, Inc.             99,943
                         7,017  Harbor Florida Bancshares, Inc.         239,280
                         3,200  Horizon Financial Corp.                  60,096
                         2,500  IBERIABANK Corp.                        140,650
                         1,800  ITLA Capital Corp. (d)                   89,928
                         8,100  KNBT Bancorp, Inc.                      123,930
                         8,660  MAF Bancorp, Inc.                       359,736
                           300  NASB Financial, Inc.                     11,775
                        17,911  Netbank, Inc.                           151,885
                         4,667  Northwest Bancorp, Inc.                  99,920
                         2,896  OceanFirst Financial Corp.               66,521
                        11,665  Ocwen Financial Corp. (b)(d)             94,137
                         7,111  PFF Bancorp, Inc.                       196,264
                         6,228  Partners Trust Financial Group, Inc.     66,017
                         2,800  Pennfed Financial Services, Inc.         41,552
                         9,989  Provident Bancorp, Inc.                 122,265
                         1,550  Provident Financial Holdings, Inc.       46,097
                        21,761  Provident Financial Services, Inc.      372,111
                         8,069  Sterling Financial Corp.                288,063
                         7,200  TierOne Corp.                           169,200
                         8,261  United Community Financial Corp.         91,614
                           400  Westfield Financial, Inc.                10,000
                                                                     ----------
                                                                      7,278,920
                                                                     ----------
Scientific Equipment &   7,176  BioVeris Corp. (d)                       37,889
Suppliers - 0.2%        13,035  Newport Corp. (d)                       188,877

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                             SHARES                                                           
         INDUSTRY*            HELD                   COMMON STOCKS                     VALUE  
---------------------------  ------  ----------------------------------------------  ---------
                                                                                              
                             10,735  Varian, Inc. (d)                                $ 406,749
                                                                                     ---------
                                                                                       633,515
                                                                                     ---------
Securities Brokerage &        2,250  Archipelago Holdings, Inc. (d)                     39,825
Services - 0.4%                 900  BKF Capital Group, Inc.                            36,009
                             15,345  CharterMac                                        329,918
                             15,500  Investment Technology Group, Inc. (d)             271,250
                             35,900  Knight Trading Group, Inc. Class A (d)            346,076
                             15,200  LaBranche & Co., Inc. (d)                         141,360
                              7,761  NCO Group, Inc. (d)                               151,728
                              4,804  SWS Group, Inc.                                    77,008
                                                                                     ---------
                                                                                     1,393,174
                                                                                     ---------
Services: Commercial - 2.7%   3,963  4Kids Entertainment, Inc. (d)                      87,622
                             12,070  ABM Industries, Inc.                              232,106
                              3,905  AMN Healthcare Services, Inc. (d)                  62,128
                              6,961  Administaff, Inc.                                 101,630
                              4,500  The Advisory Board Co. (d)                        196,650
                              3,400  Ambassadors Group, Inc.                           113,628
                              3,000  Angelica Corp.                                     84,000
                             13,700  Autobytel, Inc. (d)                                69,048
                              3,801  CDI Corp.                                          84,116
                              6,478  Casella Waste Systems, Inc. (d)                    85,704
                              5,685  Central Parking Corp.                              97,668
                             19,253  Century Business Services, Inc. (d)                78,937
                              2,500  Charles River Associates, Inc. (d)                123,375
                              3,486  Chemed Corp.                                      266,609
                              4,900  Clark, Inc.                                        75,852
                              7,692  Coinstar, Inc. (d)                                163,070
                              4,400  Cornell Cos., Inc. (d)                             55,440
                             11,994  Corrections Corp. of America (d)                  462,968
                              5,650  CoStar Group, Inc. (d)                            208,203
                              8,100  Cross Country Healthcare, Inc. (d)                135,756
                              6,700  DiamondCluster International, Inc. Class A (d)    107,870
                              3,302  Exponent, Inc. (d)                                 78,885
                             13,041  FTI Consulting, Inc. (d)                          269,166
                              2,400  First Advantage Corp. Class A (d)                  50,400
                              4,481  Forrester Research, Inc. (d)                       63,092
                              6,277  G&K Services, Inc. Class A                        252,900
                              2,600  Gartner, Inc. Class B (d)                          24,310
                              3,200  The Geo Group, Inc. (d)                            91,456
                              7,000  Gevity HR, Inc.                                   133,840
                              2,800  Greg Manning Auctions, Inc. (b)                    28,196
                             15,900  Harris Interactive, Inc. (d)                       73,299
                              5,158  Heidrick & Struggles International, Inc. (d)      189,660
                              8,000  Hudson Highland Group, Inc. (d)                   136,720
                              2,865  Insurance Auto Auctions, Inc. (d)                  79,790
                             12,900  Jackson Hewitt Tax Service, Inc.                  269,868
                              5,768  Kelly Services, Inc. Class A                      166,061
                              5,800  Kforce, Inc. (d)                                   63,742
                             11,168  Korn/Ferry International (d)                      212,527
                             14,222  Labor Ready, Inc. (d)                             265,240
                              5,404  MAXIMUS, Inc.                                     180,980
                             32,105  MPS Group, Inc. (d)                               337,424
                              3,700  Medical Staffing Network Holdings, Inc. (d)        24,457
                              5,742  Midas, Inc. (d)                                   131,090
                              2,900  Monro Muffler, Inc. (d)                            74,849
                             15,123  Navigant Consulting, Inc. (d)                     411,799
                              4,811  Navigant International, Inc. (d)                   65,718
                              3,717  Netratings, Inc. (d)                               56,684
                              2,721  PDI, Inc. (d)                                      55,781
                              8,839  Pegasus Solutions, Inc. (d)                       104,477

32

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                     SHARES                                                     
            INDUSTRY*                 HELD                 COMMON STOCKS                 VALUE  
-----------------------------------  ------  ----------------------------------------  ---------
                                                                                                
                                      3,860  Pre-Paid Legal Services, Inc. (b)         $ 130,622
                                     13,532  Resources Connection, Inc. (d)              283,225
                                      9,402  Rollins, Inc.                               174,877
                                     17,800  Sitel Corp. (d)                              34,888
                                      8,200  Source Interlink Cos., Inc. (d)              92,250
                                     21,029  Spherion Corp. (d)                          157,507
                                      3,340  Startek, Inc.                                56,112
                                     12,289  TeleTech Holdings, Inc. (d)                 158,774
                                     18,531  Tetra Tech, Inc. (d)                        233,861
                                        700  Travelzoo, Inc. (b)(d)                       34,804
                                      2,800  Unifirst Corp.                              111,720
                                      2,400  Vertrue, Inc. (b)(d)                         85,056
                                      1,659  Volt Information Sciences, Inc. (d)          40,065
                                     14,918  Waste Connections, Inc. (d)                 518,401
                                      9,825  Watson Wyatt & Co. Holdings                 267,240
                                     14,113  Wireless Facilities, Inc. (d)                88,206
                                      7,400  World Fuel Services Corp.                   233,100
                                                                                       ---------
                                                                                       9,485,499
                                                                                       ---------
Shipping - 0.4%                      13,192  Alexander & Baldwin, Inc.                   543,510
                                      4,300  Gulfmark Offshore, Inc. (d)                 111,413
                                      7,030  Kirby Corp. (d)                             295,471
                                      8,698  Overseas Shipholding Group                  547,191
                                      1,800  Seabulk International, Inc. (d)              37,422
                                                                                       ---------
                                                                                       1,535,007
                                                                                       ---------
Shoes - 0.4%                          2,200  Deckers Outdoor Corp. (b)(d)                 78,628
                                      9,966  Finish Line Class A                         230,713
                                      6,996  K-Swiss, Inc. Class A                       231,078
                                      1,492  Kenneth Cole Productions, Inc. Class A       43,477
                                      2,200  Shoe Carnival, Inc.                          38,500
                                      6,455  Skechers U.S.A., Inc. Class A (d)            99,923
                                      4,012  Steven Madden Ltd. (d)                       66,960
                                     12,935  Stride Rite Corp.                           172,036
                                        150  Weyco Group, Inc.                             6,567
                                     20,508  Wolverine World Wide, Inc.                  439,486
                                                                                       ---------
                                                                                       1,407,368
                                                                                       ---------
Steel - 0.8%                         34,827  AK Steel Holding Corp. (d)                  385,186
                                     28,900  Allegheny Technologies, Inc.                696,779
                                      7,326  Carpenter Technology                        435,238
                                      7,834  Gibraltar Industries, Inc.                  171,878
                                     10,400  Oregon Steel Mills, Inc. (d)                239,200
                                      6,050  Schnitzer Steel Industries, Inc. Class A    204,067
                                     10,897  Steel Dynamics, Inc.                        375,402
                                      4,400  Steel Technologies, Inc.                    105,556
                                      1,100  Wheeling-Pittsburgh Corp. (d)                34,155
                                                                                       ---------
                                                                                       2,647,461
                                                                                       ---------
Synthetic Fibers - 0.0%               9,918  Wellman, Inc.                               143,414
                                                                                       ---------
Telecommunications Equipment - 0.5%   3,800  Applied Signal Technology, Inc.              87,020
                                     25,400  Arris Group, Inc. (d)                       175,514
                                      6,985  Audiovox Corp. Class A (d)                   88,989
                                     16,061  Belden CDT, Inc.                            356,715
                                     14,834  C-COR, Inc. (d)                              90,191
                                      1,200  INTAC International (d)                      15,300
                                     17,100  Interdigital Communications Corp. (d)       261,972
                                      5,700  Mastec, Inc. (d)                             46,797
                                     31,877  Powerwave Technologies, Inc. (d)            246,728
                                     16,600  SBA Communications Corp. Class A (d)        152,056
                                      6,380  Spectralink Corp.                            90,086
                                     13,700  Symmetricom, Inc. (d)                       151,933
                                     21,476  Terayon Corp. (d)                            66,146
                                                                                       ---------
                                                                                       1,829,447
                                                                                       ---------

33

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                       SHARES                                                      
            INDUSTRY*                   HELD                  COMMON STOCKS                 VALUE  
-------------------------------------  ------  -----------------------------------------  ---------
                                                                                                   
Textile Products - 0.0%                 7,200  DHB Industries, Inc. (d)                   $  63,360
                                       14,221  Interface, Inc. Class A (d)                   96,987
                                                                                          ---------
                                                                                            160,347
                                                                                          ---------
Textiles Apparel Manufacturers - 0.6%   2,300  Carter's, Inc. (d)                            91,425
                                        2,200  Cherokee, Inc.                                73,656
                                        3,585  Guess ?, Inc. (d)                             49,115
                                        4,200  Hartmarx Corp. (d)                            40,068
                                        8,482  Kellwood Co.                                 244,197
                                        3,702  Oshkosh B'Gosh, Inc. Class A                 112,911
                                        4,942  Oxford Industries, Inc.                      180,828
                                        2,900  Perry Ellis International, Inc. (d)           65,076
                                        7,854  Phillips-Van Heusen                          209,231
                                       18,250  Quiksilver, Inc. (d)                         529,798
                                       10,817  Russell Corp.                                195,571
                                       12,800  The Warnaco Group, Inc. (d)                  307,712
                                                                                          ---------
                                                                                          2,099,588
                                                                                          ---------
Tires & Rubber - 0.3%                   3,474  Bandag, Inc.                                 163,209
                                       19,700  Cooper Tire & Rubber Co.                     361,692
                                       50,100  The Goodyear Tire & Rubber Co. (b)(d)        668,835
                                                                                          ---------
                                                                                          1,193,736
                                                                                          ---------
Tobacco - 0.3%                         14,955  DIMON, Inc.                                   93,469
                                        5,820  Schweitzer-Mauduit International, Inc.       195,261
                                        3,100  Standard Commercial Corp.                     57,660
                                       11,800  Star Scientific, Inc. (b)(d)                  62,422
                                        7,856  Universal Corp.                              359,569
                                        9,894  Vector Group Ltd.                            152,170
                                                                                          ---------
                                                                                            920,551
                                                                                          ---------
Toys - 0.1%                             7,830  Jakks Pacific, Inc. (d)                      168,110
                                        7,300  Leapfrog Enterprises, Inc. (b)(d)             82,855
                                                                                          ---------
                                                                                            250,965
                                                                                          ---------
Transportation Miscellaneous - 0.4%     2,700  HUB Group, Inc. Class A (d)                  169,209
                                       30,800  Laidlaw International, Inc. (d)              640,640
                                       10,400  Pacer International, Inc. (d)                248,456
                                        2,900  Quixote Corp.                                 62,843
                                        6,081  SCS Transportation, Inc. (d)                 113,046
                                        1,900  U.S. Xpress Enterprises, Inc. Class A (d)     31,065
                                        1,700  Universal Truckload Services, Inc. (d)        35,870
                                                                                          ---------
                                                                                          1,301,129
                                                                                          ---------
Truckers - 1.0%                         6,041  Arkansas Best Corp.                          228,228
                                        6,200  Central Freight Lines, Inc. (d)               22,072
                                        2,900  Covenant Transport, Inc. Class A (d)          51,040
                                        6,288  Forward Air Corp.                            267,743
                                       15,880  Heartland Express, Inc.                      304,102
                                       11,175  Knight Transportation, Inc.                  275,687
                                       19,816  Landstar System, Inc. (d)                    648,974
                                        1,300  Marten Transport Ltd. (d)                     27,729
                                        5,050  Old Dominion Freight Line (d)                157,308
                                        7,800  Overnite Corp.                               249,522
                                        1,200  PAM Transportation Services (d)               20,640
                                        2,200  Quality Distribution, Inc. (d)                23,870
                                       14,000  Swift Transportation Co., Inc. (d)           309,960
                                        8,641  USF Corp.                                    417,015
                                       14,200  Werner Enterprises, Inc.                     275,906
                                                                                          ---------
                                                                                          3,279,796
                                                                                          ---------
Utilities: Cable TV & Radio - 0.0%     18,700  Mediacom Communications Corp. Class A (d)    122,298
                                                                                          ---------
Utilities: Electrical - 1.5%           16,275  Avista Corp.                                 284,813
                                        9,800  Black Hills Corp.                            324,086
                                        5,089  CH Energy Group, Inc.                        232,567
                                       62,400  CMS Energy Corp. (d)                         813,696
                                        3,903  Central Vermont Public Service Corp.          87,739

34

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                      SHARES                                                         
            INDUSTRY*                  HELD                 COMMON STOCKS                     VALUE  
------------------------------------  ------  --------------------------------------------  ---------
                                                                                                     
                                      15,367    Cleco Corp.                                 $ 327,317
                                      23,000    Duquesne Light Holdings, Inc.                 412,160
                                      14,808    El Paso Electric Co. (d)                      281,352
                                       9,668    The Empire District Electric Co.              224,878
                                      12,800    Idacorp, Inc.                                 363,136
                                       5,645    MGE Energy, Inc.                              187,132
                                       8,486    Otter Tail Corp.                              212,489
                                      19,878    PNM Resources, Inc.                           530,345
                                      36,477    Sierra Pacific Resources (b)(d)               392,128
                                       4,600    UIL Holdings Corp.                            232,990
                                      10,483    Unisource Energy Corp.                        324,659
                                                                                            ---------
                                                                                            5,231,487
                                                                                            ---------
Utilities: Gas Distributors - 1.8%    64,800  Aquila, Inc. (d)                                248,184
                                      19,338  Atmos Energy Corp.                              522,126
                                       5,322  Cascade Natural Gas Corp.                       106,227
                                      11,900  Energen Corp.                                   792,540
                                       3,400  EnergySouth, Inc.                                97,359
                                       6,348  The Laclede Group, Inc.                         185,362
                                       9,374  New Jersey Resources Corp.                      408,050
                                      13,400  Nicor, Inc.                                     497,006
                                       9,499  Northwest Natural Gas Co.                       343,579
                                      11,400  Peoples Energy Corp.                            477,888
                                      24,000  Piedmont Natural Gas Co.                        552,960
                                       4,666  South Jersey Industries, Inc.                   263,162
                                      20,582  Southern Union Co. (d)                          516,814
                                      10,590  Southwest Gas Corp.                             255,854
                                      11,224  Southwestern Energy Co. (d)                     637,074
                                      14,900  WGL Holdings, Inc.                              461,304
                                                                                            ---------
                                                                                            6,365,489
                                                                                            ---------
Utilities: Gas Pipelines - 0.0%        5,631  Transmontaigne, Inc. (d)                         45,048
                                                                                            ---------
Utilities: Telecommunications - 1.0%  31,019  Alamosa Holdings, Inc. (d)                      361,991
                                         400  Alaska Communications Systems Group, Inc.         4,020
                                       8,621  Boston Communications Group (d)                  61,382
                                       5,755  CT Communications, Inc.                          60,600
                                       1,626  Centennial Communications Corp. (d)              17,642
                                      74,800  Cincinnati Bell, Inc. (d)                       317,900
                                       6,733  Commonwealth Telephone Enterprises, Inc. (d)    317,394
                                       3,800  D&E Communications, Inc.                         34,694
                                      30,700  Dobson Communications Corp. Class A (d)          61,400
                                       8,000  FairPoint Communications, Inc.                  119,760
                                      15,039  General Communication Class A (d)               137,306
                                       4,292  Golden Telecom, Inc. (a)                        109,875
                                         900  ITC Deltacom, Inc. (d)                              711
                                       5,700  Intrado, Inc. (d)                                70,110
                                       6,200  Iowa Telecommunications Services, Inc.          120,900
                                       4,421  North Pittsburgh Systems, Inc.                   87,381
                                      17,500  Premiere Global Services, Inc. (d)              198,100
                                      14,389  Price Communications Corp. (d)                  251,808
                                      26,300  Primus Telecommunications GP (d)                 41,291
                                       1,300  Shenandoah Telecom Co.                           40,300
                                       4,500  SureWest Communications                         103,770
                                       5,600  Syniverse Holdings, Inc. (d)                     77,280
                                      11,433  Talk America Holdings, Inc. (d)                  73,743
                                      17,500  Time Warner Telecom, Inc. Class A (d)            69,475
                                       8,200  Triton PCS Holdings, Inc. Class A (d)            18,204
                                       7,520  USA Mobility, Inc. (d)                          243,648
                                      23,800  Ubiquitel, Inc. (d)                             159,460
                                       9,300  Valor Communications Group, Inc.                134,571
                                                                                            ---------
                                                                                            3,294,716
                                                                                            ---------

35

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MASTER SMALL CAP INDEX SERIES                                                   
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2005                                    

                                                        [Enlarge/Download Table]

                                        SHARES                                                                               
            INDUSTRY*                    HELD                             COMMON STOCKS                              VALUE   
--------------------------------------  ------  ----------------------------------------------------------------  -----------
                                                                                                                             
Utilities: Water & Sewer - 0.2%          4,985  American States Water Co.                                         $   126,120
                                         5,196  California Water Service Group                                        173,391
                                         2,489  Connecticut Water Service, Inc.                                        62,076
                                         3,282  Middlesex Water Co.                                                    59,568
                                         1,974  SJW Corp.                                                              69,347
                                         8,532  Southwest Water Co.                                                    88,989
                                                                                                                  -----------
                                                                                                                      579,491
                                                                                                                  -----------
Wholesale & International Trade - 0.0%   4,850  Central European Distribution Corp. (b)(d)                            161,457
                                                                                                                  -----------
Wholesalers - 0.2%                       6,300  Brightpoint, Inc. (d)                                                 117,999
                                         3,200  LKQ Corp. (d)                                                          64,224
                                        11,269  United Stationers, Inc. (d)                                           509,922
                                                                                                                  -----------
                                                                                                                      692,145
                                                                                                                  -----------
                                                TOTAL INVESTMENTS IN COMMON STOCKS (COST - $274,337,133) - 97.5%  336,409,273
                                                                                                                  ===========
                                                MUTUAL FUNDS                                                                 
Investment Management Companies - 0.0%   3,600  Gladstone Capital Corp.                                                76,392
                                                                                                                  -----------
                                                TOTAL INVESTMENTS IN MUTUAL FUNDS (COST - $74,033) - 0.0%              76,392
                                                                                                                  ===========

                                                        [Enlarge/Download Table]

                              BENEFICIAL                                                                                   
INDUSTRY*                      INTEREST                           OTHER INTERESTS (c)                                      
---------                    -------------  --------------------------------------------------------------                 
                                                                                                                           
Oil: Crude Producers - 0.0%  $         500  PetroCorp Inc. (Escrow Shares)                                               0 
                                                                                                            -------------- 
                                            TOTAL INVESTMENTS IN OTHER INTERESTS (COST - $0) - 0.0%                      0 
                                                                                                            ============== 
                                            SHORT-TERM SECURITIES                                                          
                             $  11,249,993  Merrill Lynch Liquidity Series, LLC Cash Sweep Series I (f)         11,249,993 
                                11,852,338  Merrill Lynch Liquidity Series, LLC Money Market Series (e)(f)      11,852,338 
                                                                                                            ============== 
                                            TOTAL INVESTMENTS IN SHORT-TERM SECURITIES                                     
                                            (COST - $23,102,331) - 6.7%                                         23,102,331 
                                                                                                            ============== 
                                            TOTAL INVESTMENTS  (COST - $297,513,497**)  - 104.2%               359,587,996 
                                            LIABILITIES IN EXCESS OF OTHER ASSETS - (4.2%)                     (14,430,604)
                                                                                                            -------------- 
                                            NET ASSETS - 100.0%                                             $  345,157,392 
                                                                                                            ============== 

*     For Series compliance purposes, "Industry" means any one or more of the   
     industry sub-classifications used by one or more widely recognized market
     indexes or ratings group indexes, and/or as defined by Series management.
This definition may not apply for purposes of this report, which may
combine such industry sub-classifications for reporting ease.       
**    The cost and unrealized appreciation (depreciation) of investments as of  
March 31, 2005, as computed for federal income tax purposes, were as
follows:                                                            

                                                                [Download Table]

                                               
Aggregate cost                 $   301,149,535 
                               ================
Gross unrealized appreciation  $    90,597,818 
Gross unrealized depreciation      (32,159,357)
                               --------------- 
Net unrealized appreciation    $    58,438,461 
                               =============== 

(a)   Depositary Receipts.                                                      

(b)   Security, or a portion of security, is on loan.                           

(c)   Other interests represent beneficial interest in liquidation trusts and   
other reorganization entities and are non-income producing.         

(d)   Non-income producing security.                                            

(e)   Security was purchased with the cash proceeds from securities loans.      

(f)   Investments in companies considered to be an affiliate of the Series (such
     companies are defined as "Affiliated Companies" in Section 2(a)(3) of the
Investment Company Act of 1940) were as follows:                    

                                                        [Enlarge/Download Table]

                                                            NET          INTEREST     
                        AFFILIATE                         ACTIVITY        INCOME      
-------------------------------------------------------  ------------  ---------------
                                                                                      
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I  $  2,260,403  $        73,812
Merrill Lynch Liquidity Series, LLC Money Market Series  $    199,950  $        53,925
                                                         ------------  ---------------

Financial futures contracts purchased as of March 31, 2005 were as follows:     

                                                                [Download Table]

NUMBER OF                      EXPIRATION     FACE        UNREALIZED   
CONTRACTS      ISSUE              DATE        VALUE      DEPRECIATION  
---------  ------------------  ----------  -----------  -------------- 
                                                                       
   28      Russell 2000 Index  June 2005   $ 8,751,256  $     (100,656)


36

N-Q 77th “Page” of 79 TOC 1st Previous Next ↓Bottom Just 77th
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND                    
SCHEDULE OF INVESTMENTS (UNAUDITED)                                             
March 31, 2005                                                                  
--------------------------------------------------------------------------------
in thousands, except share amounts                                              

                                                        [Enlarge/Download Table]

                                                               PAR/SHARES       VALUE   
                                                              ------------  ------------

                                                                                        
U.S. GOVERNMENT SPONSORED AGENCY INSTRUMENTS - 2.07%                                    
Federal Home Loan Bank, 4.491%, Due 2/20/2007                 $        100  $        105
Federal National Mortgage Association, 4.396%, Due 2/17/2009           100           100
Tennessee Valley Authority, 3.375%, Due 1/15/2007                      241           252
                                                                            ------------
     TOTAL U.S. GOVERNMENT SPONSORED AGENCY INSTRUMENTS                              457
                                                                            ------------

U.S. GOVERNMENT TREASURY OBLIGATIONS- 94.21%                                            
U.S. Inflation Protected Treasury Notes,                                                
  0.875%, Due 4/15/2010                                              1,676         1,639
  1.625%, Due 1/15/2015                                                539           531
  1.875%, Due 7/15/2013                                              2,544         2,588
  2.00%, Due 1/15/2014                                               2,348         2,403
  2.00%, Due 7/15/2014                                               2,443         2,496
  3.00%, Due 7/15/2012                                               2,588         2,848
  3.375%, Due 1/15/2007                                              1,866         1,958
  3.375%, Due 1/15/2012                                                446           500
  3.50%, Due 1/15/2011                                                 186           208
  3.625%, Due 1/15/2008                                              1,930         2,075
  3.875%, Due 1/15/2009                                              2,128         2,347
  4.00%, Due 2/15/2015                                               1,000           961
  4.25%, Due 1/15/2010                                                 215           245
                                                                            ------------
     TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS                                   20,799
                                                                            ------------

VARIABLE RATE CORPORATE OBLIGATIONS - 0.81%  (NOTE B)                                   
FINANCIAL - 0.81%                                                                       
Allstate Life Global Funding, 4.50%, Due 3/1/2010                      100            99
Lehman Brothers Holdings, Incorporated, 4.24%, Due 6/2/2009             80            80
                                                                            ------------
TOTAL FINANCIAL                                                                      179
                                                                            ------------
     TOTAL VARIABLE RATE CORPORATE OBLIGATIONS                                       179
                                                                            ------------

SHORT TERM INVESTMENTS - 1.05%                                                          
American Beacon Money Market Select Fund (Note A)                  231,651           232
                                                                            ------------
     TOTAL SHORT TERM INVESTMENTS                                                    232
                                                                            ------------

TOTAL INVESTMENTS - 98.14% (COST $21,710) (NOTE C)                                21,667
                                                                            ------------

OTHER ASSETS, NET OF LIABILITIES - 1.86%                                             411
                                                                            ------------

TOTAL NET ASSETS - 100%                                                     $     22,078
                                                                            ============

(A)      The Fund is affiliated by having the same investment advisor.          

(B)      Variable rate instrument. Interest rates change on specific dates (such
      as a coupon or interest payment date). The rate shown represents the
March 31, 2005 coupon rate.                                   

(C)      At March 31, 2005 the aggregate cost of investments for federal income 
tax purposes is $21,756 and the net unrealized depreciation of
investments based on that cost is $89 which is comprised of $2
 aggregate gross unrealized appreciation and $91 aggregate gross
unrealized depreciation.                                      

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The American Beacon U.S. Government Money Market Fund invests all of its        
investable assets in the American Beacon Master U.S. Government Money Market    
Portfolio.  The Schedule of Investments for the American Beacon Master U.S.     
Government Money Market Portfolio for the fiscal quarter ended March 31, 2005   
is provided below.                                                              

AMERICAN BEACON MASTER U.S. GOVERNMENT MONEY MARKET PORTFOLIO                   
SCHEDULE OF INVESTMENTS (UNAUDITED)                                             
March 31, 2005                                                                  
--------------------------------------------------------------------------------

                                                                [Download Table]

                                                       Par Amount         Value    
                                                      ------------     ------------
                                                          (dollars in thousands)   
                                                                                   
REPURCHASE AGREEMENTS (NOTE A) - 62.54%                                            
Bank of America, LLC, 2.89%, Due 4/1/2005             $     55,000     $     55,000
Barclays Capital, Incorporated, 2.90%, Due 4/1/2005         55,046           55,046
JPMorgan Securities, 2.86%, Due 4/1/2005                    42,000           42,000
                                                                       ------------
     TOTAL REPURCHASE AGREEMENTS                                            152,046
                                                                       ------------

U.S. GOVERNMENT AGENCY INSTRUMENTS - 37.38%                                        
Federal Home Loan Bank,                                                            
  Variable Rate Note, 2.76%, Due 7/26/2005 (Note C)         15,000           14,999
  Variable Rate Note, 2.631%, Due 8/2/2005 (Note C)         15,000           14,999
  Variable Rate Note, 2.447%, Due 10/5/2005 (Note C)         5,000            4,999
Federal Home Loan Mortgage Corporation,                                            
  Discount Note, 2.77%, Due 5/17/2005 (Note B)               5,685            5,665
  Discount Note, 2.98%, Due 6/28/2005 (Note B)              10,000            9,927
  Variable Rate Note, 1.085%, Due 9/9/2005 (Note C)          5,000            5,000
Federal National Mortgage Association,                                             
  Discount Note, 2.56%, Due 4/6/2005 (Note B)                2,900            2,899
  Discount Note, 2.60%, Due 4/15/2005 (Note B)               1,100            1,099
  Variable Rate Note, 2.43%, Due 10/3/2005 (Note C)         16,300           16,294
  Variable Rate Note, 2.64%, Due 12/9/2005 (Note C)         15,000           14,994
                                                                       ------------
     TOTAL U.S. GOVERNMENT AGENCY INSTRUMENTS                                90,875

                                                                       ------------
TOTAL INVESTMENTS - 99.92% (COST $242,921)                                  242,921
                                                                       ------------

OTHER ASSETS, NET OF LIABILITIES - 0.08%                                        195
                                                                       ------------

TOTAL NET ASSETS - 100%                                                $    243,116
                                                                       ============

Based on the cost of investments of $242,921 for federal income tax purposes at 
March 31, 2005, there was no unrealized appreciation or depreciation of         
investments.                                                                    

(A)      Collateral held at Bank of New York for Banc of America Securities,    
      LLC, 5.00% - 5.50%, Due 12/1/2034 - 3/1/2035, Total Value - $56,100;
     and Barclays, 4.60% - 5.50%, Due 3/1/2035 - 4/1/2035, Total Value -
     $56,147; and at JP Morgan Chase Bank for JP Morgan Securities, LLC,
5.00% - 5.50%, Due 7/1/2018-9/1/2019, Total Value - $42,661.  

(B)      Rates represent discount rate.                                         

(C)      The coupon rate shown on floating or adjustable rate securities        
   represents the rate at period end. The due date on these types of
securities reflects the final maturity date.                  

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N-Q Last “Page” of 79 TOC 1st Previous Next ↓Bottom Just 79th
ITEM 2. CONTROLS AND PROCEDURES.                                                

(a)    Based upon an evaluation within 90 days of the filing date of this       
   report, the principal executive and financial officers concluded that
the disclosure controls and procedures of the Trust are effective.

(b)    There were no changes in the Trust's internal control over financial     
reporting during the Trust's last fiscal quarter that materially  
   affected, or were reasonably likely to materially affect, the Trust's
internal control over financial reporting.                        

ITEM 3. EXHIBITS.                                                               

(a)    A separate certification for each principal executive officer and        
   principal financial officer of the Trust as required by Rule 30a-2(a)
under the Investment Company Act of 1940 is attached hereto as    
EX-99.CERT.                                                       

SIGNATURES                                                                      
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.          

AMERICAN BEACON FUNDS                                                           

By : /s/ William F. Quinn                                                       
--------------------                                                  
William F. Quinn                                                      
President                                                             

Date: May 27, 2005                                                              
------------                                                        

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/ William F. Quinn                                                       
--------------------                                                  
William F. Quinn                                                      
President                                                             

Date: May 27, 2005                                                              
------------                                                        

By: /s/ Rebecca L. Harris                                                       
---------------------                                                   
Rebecca L. Harris                                                       
Treasurer                                                               

Date: May 27, 2005                                                              
------------

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Dates Referenced Herein and Documents Incorporated by Reference

		Referenced-On Page
This ‘N-Q’ Filing	Date	First	Last	Other Filings

	12/31/05	1		24F-2NT, N-CSR, NSAR-B
Filed on / Effective on:	5/27/05	79
For Period End:	3/31/05	1	78
				List all Filings

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Filing Submission 0000809593-05-000011 – Alternative Formats (Word / Rich Text, HTML, Plain Text, et al.)

American Beacon Funds – ‘N-Q’ for 3/31/05

On: Friday, 5/27/05, at 4:16pm ET · Effective: 5/27/05 · For: 3/31/05 · Accession #: 809593-5-11 · File #: 811-04984

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Quarterly Schedule of Portfolio Holdings of a Management Investment Company — Form N-QFiling Table of Contents

N-Q — Schedules of Investments for March 31, 2005Document Table of Contents

Dates Referenced Herein and Documents Incorporated by Reference

Quarterly Schedule of Portfolio Holdings of a Management Investment Company — Form N-Q
Filing Table of Contents

N-Q — Schedules of Investments for March 31, 2005
Document Table of Contents