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American Beacon Funds – ‘N-Q’ for 9/30/05

On:  Tuesday, 11/29/05, at 1:24pm ET   ·   Effective:  11/29/05   ·   For:  9/30/05   ·   Accession #:  809593-5-29   ·   File #:  811-04984

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

11/29/05  American Beacon Funds             N-Q         9/30/05    2:227K

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         Schedule of Investments for September 30, 2005        88    653K 
 2: EX-99.CERT  Miscellaneous Exhibit                                  2     14K 


N-Q   —   Schedule of Investments for September 30, 2005
Document Table of Contents

Page (sequential) | (alphabetic) Top
 
11st Page   -   Filing Submission
2Item 1. Schedules of Investments
88Item 2. Controls and Procedures
"Item 3. Exhibits
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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: September 30, 2005
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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 September 30, 2005 is provided below. MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF September 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ AUSTRALIA - 4.8% AIRLINES - 0.0% 33,641 Qantas Airways Ltd. $ 86,575 ---------- BEVERAGES - 0.1% 26,064 Coca-Cola Amatil Ltd. 157,439 86,856 Foster's Group Ltd. 386,690 ---------- 544,129 ---------- BIOTECHNOLOGY - 0.1% 11,970 CSL Ltd. 351,010 ---------- CAPITAL MARKETS - 0.1% 11,468 Macquarie Bank Ltd. 659,881 ---------- CHEMICALS - 0.0% 13,503 Orica Ltd. 216,543 ---------- COMMERCIAL BANKS - 1.2% 74,757 Australia & New Zealand Banking Group Ltd. 1,370,117 51,438 Commonwealth Bank of Australia 1,508,769 64,791 National Australia Bank Ltd. 1,635,237 81,489 Westpac Banking Corp. 1,313,034 ---------- 5,827,157 ---------- COMMERCIAL SERVICES & SUPPLIES - 0.1% 53,780 Brambles Industries Ltd. 363,872 ---------- CONSTRUCTION & ENGINEERING - 0.0% 7,743 Leighton Holdings Ltd. 84,259 ---------- CONSTRUCTION MATERIALS - 0.2% 19,286 Boral Ltd. 118,853 36,728 CSR Ltd. 86,947 3,992 James Hardie Industries NV 27,284 41,326 Rinker Group Ltd. 523,242 ---------- 756,326 ---------- CONTAINERS & PACKAGING - 0.1% 41,043 Amcor Ltd. 210,308 ---------- DISTRIBUTORS - 0.0% 65,581 Pacific Brands Ltd. 142,731 ---------- DIVERSIFIED FINANCIAL SERVICES - 0.1% 1,250 Australian Stock Exchange Ltd. 25,888 23,490 Challenger Financial Services Group Ltd. 71,932 16,417 SFE Corp. Ltd. 157,212 23,405 Suncorp-Metway Ltd. 352,281 ---------- 607,313 ---------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.1% 112,683 Telstra Corp. Ltd. 350,225 ---------- FOOD & STAPLES RETAILING - 0.2% 60,420 Coles Myer Ltd. 473,394 45,738 Woolworths Ltd. 580,847 ---------- 1,054,241 ---------- HEALTH CARE EQUIPMENT & SUPPLIES - 0.0% 7,344 Ansell Ltd. 63,261 ---------- HEALTH CARE PROVIDERS & SERVICES - 0.0% 40,746 Mayne Group Ltd. 167,402 2,368 Sonic Healthcare Ltd. 28,029 ---------- 195,431 ---------- HOTELS, RESTAURANTS & LEISURE - 0.1% 4,629 Aristocrat Leisure Ltd. 41,889 23,453 TABCORP Holdings Ltd. 308,946 14,689 UNiTAB Ltd. 146,946 ---------- 497,781 ---------- IT SERVICES - 0.0% 11,639 Computershare Ltd. 58,662 ---------- INDUSTRIAL CONGLOMERATES - 0.1% 15,471 Wesfarmers Ltd. 474,349 ---------- INSURANCE - 0.3% 75,906 AMP Ltd. 431,264 45,366 AXA Asia Pacific Holdings Ltd. 168,369 69,692 Insurance Australia Group Ltd. 290,583 28,433 QBE Insurance Group Ltd. 405,596 ---------- 1,295,812 ---------- 1
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ MEDIA - 0.1% 73,935 John Fairfax Holdings Ltd. $ 256,895 6,114 Publishing & Broadcasting Ltd. 76,944 ----------- 333,839 ----------- METALS & MINING - 0.9% 52,998 Alumina Ltd. 247,284 152,378 BHP Billiton Ltd. 2,589,088 18,416 BlueScope Steel Ltd. 134,446 30,834 Iluka Resources Ltd. 206,502 14,132 Newcrest Mining Ltd. 226,414 23,360 OneSteel Ltd. 67,966 15,304 Rio Tinto Ltd. 691,163 ----------- 4,162,863 ----------- MULTI-UTILITIES - 0.1% 20,590 Australian Gas Light Co., Ltd. 233,023 ----------- OIL, GAS & CONSUMABLE FUELS - 0.2% 11,923 Caltex Australia Ltd. 186,835 24,197 Origin Energy Ltd. 135,075 34,877 Santos Ltd. 333,189 15,563 Woodside Petroleum Ltd. 427,849 ----------- 1,082,948 ----------- PAPER & FOREST PRODUCTS - 0.0% 5,300 PaperlinX Ltd. 12,790 ----------- REAL ESTATE - 0.5% 113,352 CFS Gandel Retail Trust 156,243 3,633 CFS Gandel Retail Trust (a) 4,897 14,559 Centro Properties Group/New 66,708 57,330 Commonwealth Property Office Fund 55,382 79,688 General Property Trust 237,330 86,729 ING Industrial Fund 156,304 31,118 Investa Property Group 49,665 18,422 Lend Lease Corp., Ltd. 196,952 21,221 Macquire Goodman Group 68,711 46,448 Mirvac Group 143,299 62,720 Stockland 295,040 2,060 Stockland/New (a) 9,628 71,700 Westfield Group 919,863 ----------- 2,360,022 ----------- ROAD & RAIL - 0.1% 16,182 Toll Holdings Ltd. 171,777 ----------- TRANSPORTATION INFRASTRUCTURE - 0.1% 102,562 Macquarie Infrastructure Group 314,069 16,500 Patrick Corp. Ltd. 86,816 10,811 Transurban Group 59,442 ----------- 460,327 ----------- TOTAL COMMON STOCKS IN AUSTRALIA 22,657,455 ----------- AUSTRIA - 0.5% BUILDING PRODUCTS - 0.0% 3,535 Wienerberger AG 139,750 ----------- COMMERCIAL BANKS - 0.1% 1,063 Bank Austria Creditanstalt AG 119,176 7,239 Erste Bank der Oesterreichischen Sparkassen AG 388,382 ----------- 507,558 ----------- CONSTRUCTION MATERIALS - 0.0% 53 RHI AG (a) 1,583 ----------- CONTAINERS & PACKAGING - 0.0% 568 Mayr-Melnhof Karton AG 82,862 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.1% 19,827 Telekom Austria AG 395,617 ----------- ELECTRIC UTILITIES - 0.0% 47 Verbund - Oesterreichische Elektrizitaetswirtschafts AG 16,546 ----------- MACHINERY - 0.0% 1,316 Andritz AG 131,659 ----------- METALS & MINING - 0.1% 906 Boehler-Uddeholm AG 152,913 ----------- OIL, GAS & CONSUMABLE FUELS - 0.1% 4,470 OMV AG 266,283 ----------- 2
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ REAL ESTATE - 0.0% 5,877 IMMOFINANZ Immobilien Anlagen AG (a) $ 57,110 ---------- TRADING COMPANIES & DISTRIBUTORS - 0.1% 105,980 Hagemeyer NV - Registered Shares 313,048 ---------- TRANSPORTATION INFRASTRUCTURE - 0.0% 1,169 Flughafen Wien AG 78,926 ---------- TOTAL COMMON STOCKS IN AUSTRIA 2,143,855 ---------- BELGIUM - 1.3% BEVERAGES - 0.1% 5,910 InBev NV 234,496 ---------- CHEMICALS - 0.1% 2,818 Solvay SA 328,709 1,724 Umicore 188,627 52 Umicore (a) 7 ---------- 517,343 ---------- COMMERCIAL BANKS - 0.3% 25,528 Dexia 576,468 10,019 KBC Bancassurance Holding 814,150 ---------- 1,390,618 ---------- CONSTRUCTION & ENGINEERING - 0.0% 4,785 Suez SA (a) 58 ---------- DISTRIBUTORS - 0.0% 222 D'ieteren SA 53,129 ---------- DIVERSIFIED FINANCIAL SERVICES - 0.4% 55,909 Fortis 1,626,520 3,292 Groupe Bruxelles Lambert SA 322,481 ---------- 1,949,001 ---------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.1% 9,883 Belgacom SA 336,134 ---------- ELECTRIC UTILITIES - 0.1% 1,263 Electrabel 634,979 ---------- ELECTRICAL EQUIPMENT - 0.0% 1,022 Bekaert SA 83,849 ---------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.0% 520 Barco NV 40,249 ---------- FOOD & STAPLES RETAILING - 0.1% 1,003 Colruyt SA 130,842 1,314 Delhaize Group 77,975 950 Delhaize Group (b) 56,193 ---------- 265,010 ---------- HEALTH CARE EQUIPMENT & SUPPLIES - 0.0% 1,608 Omega Pharma SA 91,079 ---------- LEISURE EQUIPMENT & PRODUCTS - 0.0% 2,040 AGFA-Gevaert NV 49,313 ---------- MARINE - 0.0% 1,790 CMB-Cie Maritime Belge 62,434 ---------- OIL, GAS & CONSUMABLE FUELS - 0.0% 1,790 Euronav Sa 58,916 ---------- PHARMACEUTICALS - 0.1% 4,095 UCB SA 216,839 ---------- WIRELESS TELECOMMUNICATION SERVICES - 0.0% 900 Mobistar SA 74,220 ---------- TOTAL COMMON STOCKS IN BELGIUM 6,057,667 ---------- BERMUDA - 0.0% TEXTILES, APPAREL & LUXURY GOODS - 0.0% 21,785 Yue Yuen Industrial Holdings 59,814 ---------- TOTAL COMMON STOCKS IN BERMUDA 59,814 ---------- DENMARK - 0.8% BEVERAGES - 0.0% 356 Carlsberg A/S 20,878 ---------- CHEMICALS - 0.0% 2,267 Novozymes A/S Class B 117,201 ---------- COMMERCIAL BANKS - 0.1% 17,488 Danske Bank A/S 536,814 ---------- CONSTRUCTION & ENGINEERING - 0.0% 1,417 FLS Industries A/S Class B 39,605 ---------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.1% 11,049 TDC A/S 596,211 ---------- ELECTRICAL EQUIPMENT - 0.0% 5,696 Vestas Wind Systems A/S (a) 138,036 ---------- 3
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ FOOD PRODUCTS - 0.1% 2,482 Danisco A/S $ 167,814 2,039 East Asiatic Co., Ltd. A/S 151,697 ---------- 319,511 ---------- HEALTH CARE EQUIPMENT & SUPPLIES - 0.1% 186 Coloplast A/S Class B 11,359 5,043 GN Store Nord 66,809 1,530 William Demant Holding (a) 71,931 ---------- 150,099 ---------- HOUSEHOLD DURABLES - 0.0% 464 Bang & Olufsen A/S Class B 40,105 ---------- INSURANCE - 0.0% 907 Topdanmark A/S (a) 72,388 ---------- MACHINERY - 0.0% 820 NKT Holding A/S 34,908 ---------- MARINE - 0.1% 51 AP Moller - Maersk A/S 522,384 ---------- PHARMACEUTICALS - 0.2% 3,519 H Lundbeck A/S 89,685 13,315 Novo-Nordisk A/S B 660,404 ---------- 750,089 ---------- ROAD & RAIL - 0.1% 1,730 DSV A/S 184,468 ---------- TOTAL COMMON STOCKS IN DENMARK 3,522,697 ---------- FINLAND - 1.4% AUTO COMPONENTS - 0.0% 6,710 Nokian Renkaat Oyj 159,452 ---------- COMMUNICATIONS EQUIPMENT - 0.7% 184,005 Nokia Oyj 3,092,521 1,270 Nokia Oyj (b) 21,476 ---------- 3,113,997 ---------- DIVERSIFIED TELECOMMUNICATION SERVICES - 5,791 Elisa Corp. 100,400 0.1% 34,753 TeliaSonera AB 165,504 ---------- 265,904 ---------- ELECTRIC UTILITIES - 0.1% 23,140 Fortum Oyj 465,908 ---------- IT SERVICES - 0.0% 6,175 Tietoenator Oyj 208,084 ---------- INSURANCE - 0.1% 6,594 Pohjola Group Plc Class D 106,133 22,588 Sampo Oyj 359,478 ---------- 465,611 ---------- LEISURE EQUIPMENT & PRODUCTS - 0.0% 5,904 Amer Sports Corp. 113,036 ---------- MACHINERY - 0.1% 2,211 Cargotec Corp. Class B (a) 66,855 2,211 Kone Oyj Class B (a) 150,611 9,256 Metso Oyj 235,576 231 Wartsila Oyj 7,380 ---------- 460,422 ---------- METALS & MINING - 0.0% 447 Outokumpu Oyj 5,982 8,196 Rautaruukki Oyj 184,685 ---------- 190,667 ---------- OIL, GAS & CONSUMABLE FUELS - 0.1% 7,259 Neste Oil Oyj (a) 269,818 ---------- PAPER & FOREST PRODUCTS - 0.2% 33,345 Stora Enso Oyj Class R 459,914 30,054 UPM-Kymmene Oyj 603,305 ---------- 1,063,219 ---------- TOTAL COMMON STOCKS IN FINLAND 6,776,118 ---------- FRANCE - 9.0% AEROSPACE & DEFENSE - 0.2% 10,187 European Aeronautic Defense and Space Co. 362,317 7,590 Sagem SA 164,349 4,303 Thales SA 200,409 2,174 Zodiac SA 128,695 ---------- 855,770 ---------- AIRLINES - 0.0% 3,419 Air France-KLM 57,339 ---------- AUTO COMPONENTS - 0.1% 6,148 Compagnie Generale des Etablissements Michelin 362,314 4,494 Valeo SA 187,361 ---------- 549,675 ---------- 4
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ AUTOMOBILES - 0.3% 7,721 Peugeot SA $ 525,947 8,205 Renault SA 779,516 ----------- 1,305,463 ----------- BEVERAGES - 0.1% 3,726 Pernod-Ricard 659,910 ----------- BUILDING PRODUCTS - 0.2% 12,487 Cie de Saint-Gobain 720,528 ----------- CHEMICALS - 0.2% 4,953 Air Liquide 913,650 ----------- COMMERCIAL BANKS - 1.1% 34,066 BNP Paribas 2,597,777 22,519 Credit Agricole SA 662,459 15,863 Societe Generale 1,815,936 ----------- 5,076,172 ----------- COMMERCIAL SERVICES & SUPPLIES - 0.0% 1,954 Societe BIC SA 115,954 ----------- COMMUNICATIONS EQUIPMENT - 0.2% 56,865 Alcatel SA (a) 759,635 ----------- CONSTRUCTION & ENGINEERING - 0.1% 7,294 Vinci SA 630,090 ----------- CONSTRUCTION MATERIALS - 0.2% 1,192 Imerys SA 88,743 9,192 Lafarge SA 811,225 ----------- 899,968 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.5% 74,744 France Telecom SA 2,151,944 ----------- ELECTRICAL EQUIPMENT - 0.2% 7,246 Alstom (a) 345,077 9,721 Schneider Electric SA 770,010 ----------- 1,115,087 ----------- ENERGY EQUIPMENT & SERVICES - 0.1% 4,872 Technip SA 289,232 FOOD & STAPLES RETAILING - 0.3% 26,539 Carrefour SA 1,224,833 1,910 Casino Guichard Perrachon SA 135,864 ----------- 1,360,697 ----------- FOOD PRODUCTS - 0.3% 11,304 Groupe Danone 1,221,807 ----------- HEALTH CARE EQUIPMENT & SUPPLIES - 0.1% 5,173 Cie Generale d'Optique Essilor International SA 429,716 ----------- HOTELS, RESTAURANTS & 10,544 Accor SA 534,173 LEISURE - 0.2% 5,111 Sodexho Alliance SA 193,550 ----------- 727,723 ----------- HOUSEHOLD DURABLES - 0.1% 11,782 Thomson 245,745 ----------- IT SERVICES - 0.1% 2,452 Atos Origin (a) 173,975 8,123 Cap Gemini SA (a) 317,113 ----------- 491,088 ----------- INSURANCE - 0.4% 66,599 AXA 1,833,936 775 CNP Assurances 52,138 52,526 SCOR 107,657 ----------- 1,993,731 ----------- MEDIA - 0.5% 6,788 Lagardere S.C.A. 483,261 2,124 PagesJaunes Groupe SA 58,130 4,855 Publicis Groupe 154,998 3,105 Societe Television Francaise 1 82,620 40,712 Vivendi Universal SA 1,333,130 6,053 Vivendi Universal SA (b) 198,115 ----------- 2,310,254 ----------- METALS & MINING - 0.1% 24,838 Arcelor 582,747 ----------- MULTI-UTILITIES - 0.4% 42,707 Suez SA 1,238,324 12,051 Veolia Environnement 510,122 ----------- 1,748,446 ----------- 5
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ MULTILINE RETAIL - 0.1% 2,713 Pinault-Printemps-Redoute $ 285,551 ----------- OFFICE ELECTRONICS - 0.0% 1,925 Neopost SA 187,178 ----------- OIL, GAS & CONSUMABLE FUELS - 1.4% 24,776 Total SA 6,783,731 4,140 Total SA (a) 50 ----------- 6,783,781 ----------- PERSONAL PRODUCTS - 0.2% 13,565 L'Oreal SA 1,054,054 ----------- PHARMACEUTICALS - 0.8% 45,455 Sanofi-Aventis 3,767,685 ----------- REAL ESTATE - 0.1% 535 Gecina SA 63,212 1,537 Klepierre 154,732 1,964 Unibail 286,041 ----------- 503,985 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.1% 28,134 STMicroelectronics NV 485,391 ----------- SOFTWARE - 0.0% 2,821 Business Objects SA (a) 97,102 2,849 Dassault Systemes SA 147,700 ----------- 244,802 ----------- TEXTILES, APPAREL & LUXURY GOODS - 0.2% 189 Hermes International 44,776 10,625 LVMH Moet Hennessy Louis Vuitton SA 878,766 ----------- 923,542 ----------- TRANSPORTATION INFRASTRUCTURE - 0.0% 2,314 Autoroutes du Sud de la France 134,332 ----------- WIRELESS TELECOMMUNICATION SERVICES - 0.1% 10,321 Bouygues 481,190 ----------- TOTAL COMMON STOCKS IN FRANCE 42,063,862 ----------- GERMANY - 6.2% AIR FREIGHT & LOGISTICS - 0.2% 33,577 Deutsche Post AG 787,780 ----------- AIRLINES - 0.0% 14,866 Deutsche Lufthansa AG 197,692 ----------- AUTO COMPONENTS - 0.1% 7,622 Continental AG 627,639 ----------- AUTOMOBILES - 0.6% 41,217 DaimlerChrysler AG 2,193,456 9,403 Volkswagen AG 580,439 ----------- 2,773,895 ----------- BIOTECHNOLOGY - 0.0% 4,938 Qiagen NV (a) 64,000 ----------- CAPITAL MARKETS - 0.5% 23,327 Deutsche Bank AG Registered Shares 2,188,620 3,609 MLP AG 75,667 ----------- 2,264,287 ----------- CHEMICALS - 0.7% 22,046 BASF AG 1,661,231 32,758 Bayer AG 1,204,190 3,872 Linde AG 286,165 ----------- 3,151,586 ----------- COMMERCIAL BANKS - 0.3% 28,262 Bayerische Hypo-und Vereinsbank AG (a) 798,695 18,868 Commerzbank AG 516,383 ----------- 1,315,078 ----------- DIVERSIFIED FINANCIAL SERVICES - 0.1% 6,409 Deutsche Boerse AG 614,296 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.4% 116,148 Deutsche Telekom AG 2,120,107 ----------- ELECTRIC UTILITIES - 0.5% 25,987 E.ON AG 2,394,640 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.0% 2,386 Epcos AG (a) 31,269 ----------- FOOD & STAPLES RETAILING - 0.1% 6,372 Metro AG 314,747 ----------- HEALTH CARE PROVIDERS & SERVICES - 0.1% 1,654 Celesio AG 145,273 1,747 Fresenius Medical Care AG 159,550 ----------- 304,823 ----------- 6
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ HOTELS, RESTAURANTS & LEISURE - 0.0% 12,313 TUI AG $ 263,056 ----------- INDUSTRIAL CONGLOMERATES - 0.6% 33,194 Siemens AG 2,565,298 860 Siemens AG (b) 66,504 ----------- 2,631,802 ----------- INSURANCE - 0.6% 15,372 Allianz AG Registered Shares 2,082,021 8,375 Muenchener Rueckversicherungs AG Registered Shares 959,243 ----------- 3,041,264 ----------- MACHINERY - 0.1% 8,694 MAN AG 447,367 ----------- METALS & MINING - 0.1% 13,676 ThyssenKrupp AG 286,404 ----------- MULTI-UTILITIES - 0.3% 19,392 RWE AG 1,287,064 ----------- PERSONAL PRODUCTS - 0.0% 572 Beiersdorf AG 65,860 ----------- PHARMACEUTICALS - 0.2% 4,588 Altana AG 257,658 2,378 Merck KGaA 200,778 9,424 Schering AG 597,642 ----------- 1,056,078 ----------- REAL ESTATE - 0.0% 2,589 IVG Immobilien AG 53,376 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.1% 30,054 Infineon Technologies AG (a) 296,398 ----------- SOFTWARE - 0.3% 9,286 SAP AG 1,609,933 ----------- SPECIALTY RETAIL - 0.0% 1,160 Douglas Holding AG 44,194 ----------- TEXTILES, APPAREL & LUXURY GOODS - 0.2% 2,776 Adidas-Salomon AG 483,891 1,129 Puma AG Rudolf Dassler Sport 307,313 ----------- 791,204 ----------- THRIFTS & MORTGAGE FINANCE - 0.1% 5,764 Hypo Real Estate Holding AG 292,290 ----------- TOTAL COMMON STOCKS IN GERMANY 29,128,129 ----------- GREECE - 0.6% BEVERAGES - 0.0% 5,327 Coca-Cola Hellenic Bottling Co. SA 155,167 ----------- COMMERCIAL BANKS - 0.3% 13,229 Alpha Bank AE 374,813 8,873 EFG Eurobank Ergasias SA 274,503 2,325 Emporiki Bank of Greece SA 68,116 15,426 National Bank of Greece SA 614,860 3,787 Piraeus Bank SA 79,536 ----------- 1,411,828 ----------- COMMUNICATIONS EQUIPMENT - 0.0% 13,744 Intracom SA 96,108 ----------- CONSTRUCTION & ENGINEERING - 0.0% 9,858 Technical Olympic SA 66,795 ----------- CONSTRUCTION MATERIALS - 0.0% 2,682 Titan Cement Co. SA 89,246 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.1% 6,542 Hellenic Telecommunications Organization SA (a) 130,772 ----------- ELECTRIC UTILITIES - 0.0% 5,616 Public Power Corp. 123,637 ----------- HOTELS, RESTAURANTS & LEISURE - 0.1% 8,653 OPAP SA 269,158 ----------- METALS & MINING - 0.0% 4,057 Viohalco, Hellenic Copper and Aluminum Industry SA 27,880 ----------- WIRELESS TELECOMMUNICATION SERVICES - 0.1% 11,074 Cosmote Mobile Telecommunications SA 218,962 ----------- TOTAL COMMON STOCKS IN GREECE 2,589,553 ----------- 7
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ HONG KONG - 1.3% AIRLINES - 0.0% 2,263 Cathay Pacific Airways Ltd. $ 4,026 ---------- COMMERCIAL BANKS - 0.1% 100,400 BOC Hong Kong Holdings Ltd. 201,247 29,739 Bank of East Asia Ltd. 87,019 26,153 Hang Seng Bank Ltd. 351,617 ---------- 639,883 ---------- DISTRIBUTORS - 0.0% 52,719 Li & Fung Ltd. 121,982 ---------- DIVERSIFIED FINANCIAL SERVICES - 0.0% 20,000 Hong Kong Exchanges and Clearing Ltd. 68,448 ---------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.0% 71,195 PCCW Ltd. 46,345 ---------- ELECTRIC UTILITIES - 0.2% 71,187 CLP Holdings Ltd. 424,401 56,000 HongKong Electric Holdings 279,359 ---------- 703,760 ---------- ELECTRICAL EQUIPMENT - 0.0% 94,328 Johnson Electric Holdings Ltd. 90,586 ---------- GAS UTILITIES - 0.1% 104,240 Hong Kong & China Gas 214,990 ---------- HOTELS, RESTAURANTS & LEISURE - 0.0% 24,990 Shangri-La Asia Ltd. 40,427 ---------- HOUSEHOLD DURABLES - 0.0% 16,560 Techtronic Industries Co. 42,373 ---------- INDUSTRIAL CONGLOMERATES - 0.2% 98,176 Hutchison Whampoa Ltd. 1,015,581 ---------- MEDIA - 0.0% 34,025 SCMP Group Ltd. 12,719 ---------- REAL ESTATE - 0.6% 76,735 Cheung Kong Holdings Ltd. 866,487 12,000 Hang Lung Properties Ltd. 19,103 32,491 Henderson Land Development Co., Ltd. 162,293 48,484 New World Development Ltd. 63,747 48,421 Sino Land Co. 58,983 68,324 Sun Hung Kai Properties Ltd. 707,658 48,077 Swire Pacific Ltd. Class A 442,796 56,107 Wharf Holdings Ltd. 218,780 ---------- 2,539,847 ---------- ROAD & RAIL - 0.0% 24,500 MTR Corp. 51,320 ---------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.0% 5,004 ASM Pacific Technology 24,350 ---------- SPECIALTY RETAIL - 0.1% 52,000 Esprit Holdings Ltd. 388,773 132,394 Giordano International Ltd. 91,303 ---------- 480,076 ---------- TEXTILES, APPAREL & LUXURY GOODS - 0.0% 65,353 Texwinca Holdings Ltd. 44,648 ---------- TRANSPORTATION INFRASTRUCTURE - 0.0% 18,465 Hopewell Holdings 48,675 ---------- WIRELESS TELECOMMUNICATION SERVICES - 0.0% 47,000 Hutchison Telecommunications International Ltd. (a) 68,158 ---------- TOTAL COMMON STOCKS IN HONG KONG 6,258,194 ---------- IRELAND - 0.8% AIRLINES - 0.1% 27,680 Ryanair Holdings Plc (a) 226,932 ---------- COMMERCIAL BANKS - 0.4% 39,526 Allied Irish Banks Plc 843,483 47,958 Bank of Ireland 758,762 15,198 Depfa Bank Plc 244,618 ---------- 1,846,863 ---------- CONSTRUCTION MATERIALS - 0.2% 936 CRH Plc 25,447 26,953 CRH Plc 732,781 ---------- 758,228 ---------- FOOD PRODUCTS - 0.0% 22,780 Greencore Group Plc 99,147 4,710 Kerry Group Plc 110,449 ---------- 209,596 ---------- 8
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ HOUSEHOLD DURABLES - 0.0% 61,080 Waterford Wedgewood $ 4,639 ---------- INDUSTRIAL CONGLOMERATES - 0.0% 3,189 DCC Plc 64,208 ---------- INSURANCE - 0.1% 12,684 Irish Life & Permanent Plc 230,916 ---------- MEDIA - 0.0% 21,817 Independent News & Media Plc 63,918 ---------- PHARMACEUTICALS - 0.0% 15,345 Elan Corp. Plc (a) 138,755 ---------- TRADING COMPANIES & DISTRIBUTORS - 0.0% 2,786 Grafton Group Plc 28,215 ---------- TOTAL COMMON STOCKS IN IRELAND 3,572,270 ---------- ITALY - 3.5% AEROSPACE & DEFENSE - 0.1% 15,618 Finmeccanica SpA 311,181 ---------- AUTOMOBILES - 0.1% 38,723 Fiat SpA (a) 346,926 ---------- CAPITAL MARKETS - 0.1% 10,234 Banca Fideuram SpA 58,793 22,588 Mediobanca SpA 445,807 17,230 Mediolanum SpA 118,595 ---------- 623,195 ---------- COMMERCIAL BANKS - 1.0% 7,027 Banca Antonveneta SpA 221,884 132,677 Banca Intesa SpA 620,171 36,404 Banca Intesa SpA (RNC) 158,927 52,096 Banca Monte dei Paschi di Siena SpA 232,144 85,292 Banca Nazionale del Lavoro SpA (a) 274,562 16,065 Banca Popolare di Milano Scrl 165,118 16,381 Banche Popolari Unite Scrl 333,573 13,238 Banco Popolare di Verona e Novara Scrl 250,514 72,957 Capitalia SpA 400,220 53,193 Sanpaolo IMI SpA 828,842 179,778 UniCredito Italiano SpA 1,016,552 ---------- 4,502,507 ---------- CONSTRUCTION MATERIALS - 0.0% 5,565 Italcementi SpA 87,357 ---------- DIVERSIFIED FINANCIAL SERVICES - 0.0% 4,347 FinecoGroup SpA 39,595 ---------- DIVERSIFIED TELECOMMUNICATION SERVICES - 444,028 Telecom Italia SpA 1,448,633 0.5% 258,085 Telecom Italia SpA (RNC) 720,334 ---------- 2,168,967 ---------- ELECTRIC UTILITIES - 0.3% 167,101 Enel SpA 1,443,697 21,454 Terna SpA 55,534 ---------- 1,499,231 ---------- GAS UTILITIES - 0.0% 45,149 Snam Rete Gas SpA 264,276 ---------- HOTELS, RESTAURANTS & LEISURE - 0.0% 4,473 Autogrill SpA 63,312 ---------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.0% 16,589 Edison SpA (a) 37,101 ---------- INDUSTRIAL CONGLOMERATES - 0.0% 119,974 Pirelli & C SpA 127,650 ---------- INSURANCE - 0.4% 23,052 Alleanza Assicurazioni SpA 285,402 40,590 Assicurazioni Generali SpA 1,284,113 16,268 Riunione Adriatica di Sicurta SpA 371,322 ---------- 1,940,837 ---------- INTERNET SOFTWARE & SERVICES - 0.0% 47,194 Telecom Italia Media SpA (a) 31,010 2,170 Tiscali SpA (a) 7,527 ---------- 38,537 ---------- MEDIA - 0.1% 5,198 Arnoldo Mondadori Editore SpA 52,235 13,547 Gruppo Editoriale L'Espresso SpA 76,863 26,201 Mediaset SpA 310,995 171,874 Seat Pagine Gialle SpA (a) 85,084 ---------- 525,177 ---------- 9
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ MULTILINE RETAIL - 0.0% 5,245 Rinascente SpA (a) $ 3,162 5,245 Rozzano 0 ----------- 3,162 ----------- OIL, GAS & CONSUMABLE FUELS - 0.7% 101,171 ENI SpA 3,014,040 1,875 ENI SpA (b) 277,688 ----------- 3,291,728 ----------- TEXTILES, APPAREL & LUXURY GOODS - 0.1% 5,296 Benetton Group SpA 56,955 9,894 Bulgari SpA 111,617 4,858 Luxottica Group SpA 121,182 ----------- 289,754 ----------- TRANSPORTATION INFRASTRUCTURE - 0.1% 17,309 Autostrade SpA 446,170 ----------- TOTAL COMMON STOCKS IN ITALY 16,606,663 ----------- JAPAN - 21.7% AIR FREIGHT & LOGISTICS - 0.1% 23,000 Yamato Transport Co., Ltd. 378,666 ----------- AIRLINES - 0.0% 28,000 Japan Airlines Corp. 74,360 ----------- AUTO COMPONENTS - 0.5% 9,900 Aisin Seiki Co., Ltd. 281,260 26,000 Bridgestone Corp. 557,438 20,600 Denso Corp. 597,971 1,000 NGK Spark Plug Co., Ltd. 14,514 7,000 NOK Corp. 208,752 29,000 Sanden Corp. 132,028 7,000 Stanley Electric Co., Ltd. 106,167 1,000 Toyoda Gosei Co., Ltd. 19,058 8,000 Toyota Industries Corp. 266,102 ----------- 2,183,290 ----------- AUTOMOBILES - 1.9% 32,400 Honda Motor Co., Ltd. 1,835,257 89,500 Nissan Motor Co., Ltd. 1,023,399 126,200 Toyota Motor Corp. 5,790,012 9,000 Yamaha Motor Co., Ltd. 186,210 ----------- 8,834,878 ----------- BEVERAGES - 0.1% 9,000 Asahi Breweries Ltd. 114,108 25,000 Kirin Brewery Co., Ltd. 275,719 27,000 Sapporo Holdings Ltd. 141,742 13,000 Takara Holdings, Inc. 82,010 ----------- 613,579 ----------- BUILDING PRODUCTS - 0.3% 36,000 Asahi Glass Co., Ltd. 378,295 2,000 Central Glass Co., Ltd. 11,505 12,000 Daikin Industries Ltd. 321,863 11,000 JS Group Corp. 187,604 24,000 Nippon Sheet Glass Co., Ltd. 108,205 30,000 Sanwa Shutter Corp. 180,519 9,000 Toto Ltd. 71,466 ----------- 1,259,457 ----------- CAPITAL MARKETS - 0.5% 43,000 Daiwa Securities Group, Inc. 336,518 1,100 Jafco Co., Ltd. 72,110 28,000 Nikko Cordial Corp. 324,369 90,000 Nomura Holdings, Inc. 1,398,359 ----------- 2,131,356 ----------- CHEMICALS - 1.0% 53,000 Asahi Kasei Corp. 289,924 3,000 Daicel Chemical Industries Ltd. 19,455 30,000 Dainippon Ink and Chemicals, Inc. 98,729 3,000 Denki Kagaku Kogyo Kabushiki Kaisha 10,826 2,500 Hitachi Chemical Co., Ltd. 52,276 10
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ 63,000 Ishihara Sangyo Kaisha Ltd. $ 132,848 4,000 JSR Corp. 83,289 13,000 Kaneka Corp. 169,869 25,000 Kuraray Co., Ltd. 221,899 42,000 Mitsubishi Chemical Corp. 142,126 18,000 Mitsubishi Gas Chemical Co., Inc. 120,381 49,000 Mitsubishi Rayon Co., Ltd. 219,622 13,000 Mitsui Chemicals, Inc. 76,848 31,000 Nippon Kayaku Co., Ltd. 243,700 12,000 Nissan Chemical Industries Ltd. 150,662 7,910 Nitto Denko Corp. 445,958 19,500 Shin-Etsu Chemical Co., Ltd. 851,641 18,000 Showa Denko KK 57,650 14,000 Sumitomo Bakelite Co., Ltd. 96,100 54,000 Sumitomo Chemical Co., Ltd. 334,463 52,000 Teijin Ltd. 303,723 49,000 Toray Industries, Inc. 261,126 38,000 Tosoh Corp. 161,938 57,000 Ube Industries Ltd. 153,891 ----------- 4,698,944 ----------- COMMERCIAL BANKS - 2.5% 12,000 The 77 Bank Ltd. 88,301 31,000 The Bank of Fukuoka Ltd. 223,734 41,000 The Bank of Yokohama Ltd. 312,908 31,000 The Chiba Bank Ltd. 252,453 13,000 The Gunma Bank Ltd. 83,501 46,000 Hokuhoku Financial Group, Inc. 173,707 23,000 The Joyo Bank Ltd. 140,427 202 Mitsubishi Tokyo Financial Group, Inc. 2,655,550 23,000 Mitsui Trust Holdings, Inc. 319,005 367 Mizuho Financial Group, Inc. 2,337,868 223 Resona Holdings, Inc. (a) 576,487 69,000 Shinsei Bank Ltd. 435,283 26,000 The Shizuoka Bank Ltd. 268,167 189 Sumitomo Mitsui Financial Group, Inc. 1,784,277 48,000 The Sumitomo Trust & Banking Co., Ltd. 395,553 4,000 Suruga Bank Ltd. 44,115 176 UFJ Holdings, Inc. 1,434,523 ----------- 11,525,859 ----------- COMMERCIAL SERVICES & SUPPLIES - 0.3% 26,000 Dai Nippon Printing Co., Ltd. 419,799 5,000 Kokuyo Co., Ltd. 69,172 500 Meitec Corp. 16,014 12,000 Secom Co., Ltd. 578,084 15,000 Toppan Printing Co., Ltd. 158,417 ----------- 1,241,486 ----------- COMMUNICATIONS EQUIPMENT - 0.0% 8,000 Uniden Corp. 117,311 ----------- COMPUTERS & PERIPHERALS - 0.4% 84,000 Fujitsu Ltd. 554,367 13,000 Mitsumi Electric Company, Ltd. 132,133 84,000 NEC Corp. 455,797 4,300 Seiko Epson Corp. 110,782 151,000 Toshiba Corp. 666,137 ----------- 1,919,216 ----------- 11
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ CONSTRUCTION & ENGINEERING - 0.4% 9,457 COMSYS Holdings Corp. $ 109,639 15,000 Chiyoda Corp. 276,601 16,000 JGC Corp. 292,924 46,000 Kajima Corp. 219,164 9,000 Kinden Corp. 77,819 41,000 Nishimatsu Construction Co., Ltd. 171,828 25,000 Obayashi Corp. 172,931 15,000 Okumura Corp. 91,980 16,000 Shimizu Corp. 104,888 54,000 Taisei Corp. 222,499 3,000 Toda Corp. 15,167 ---------- 1,755,440 ---------- CONSTRUCTION MATERIALS - 0.1% 34,000 Sumitomo Osaka Cement Co., Ltd. 108,594 47,000 Taiheiyo Cement Corp. 175,825 ---------- 284,419 ---------- CONSUMER FINANCE - 0.5% 3,100 Acom Co., Ltd. 225,375 500 Aeon Credit Service Co., Ltd. 36,395 2,750 Aiful Corp. 230,744 8,200 Credit Saison Co., Ltd. 360,296 4,100 ORIX Corp. 741,574 3,550 Promise Co., Ltd. 263,415 5,620 Takefuji Corp. 438,830 ---------- 2,296,629 ---------- CONTAINERS & PACKAGING - 0.0% 5,000 Toyo Seikan Kaisha Ltd. 74,378 ---------- DIVERSIFIED CONSUMER SERVICES - 0.0% 2,000 Benesse Corp. 75,349 ---------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.3% 239 Nippon Telegraph & Telephone Corp. 1,176,654 ---------- ELECTRIC UTILITIES - 0.8% 26,500 Chubu Electric Power Co., Inc. 647,653 6,000 Hokkaido Electric Power Co., Inc. 127,845 28,200 The Kansai Electric Power Co., Inc. 623,266 16,400 Kyushu Electric Power Co., Inc. 365,361 17,600 Tohoku Electric Power Co., Inc. 392,095 57,300 The Tokyo Electric Power Co., Inc. 1,450,953 ---------- 3,607,173 ---------- ELECTRICAL EQUIPMENT - 0.3% 21,000 Fujikura Ltd. 128,957 30,000 Furukawa Electric Co., Ltd. 152,197 13,873 Matsushita Electric Works Ltd. 138,069 68,000 Mitsubishi Electric Corp. 436,174 29,000 Sumitomo Electric Industries Ltd. 391,477 3,000 Ushio, Inc. 61,011 ---------- 1,307,885 ---------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.9% 12,000 Alps Electric Co., Ltd. 195,130 19,000 Anritsu Corp. 102,762 4,000 Citizen Watch Co., Ltd. 32,645 15,000 Dainippon Screen Manufacturing Co., Ltd. 98,068 1,500 Hirose Electric Co., Ltd. 175,093 129,000 Hitachi Ltd. 818,343 4,200 Hoya Corp. 139,704 12,600 Hoya Corp. (a) 429,116 1,000 Keyence Corp. 251,809 8,900 Kyocera Corp. 620,346 1,200 Mabuchi Motor Co., Ltd. 59,291 12
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ 8,400 Murata Manufacturing Co., Ltd. $ 469,137 1,900 Nidec Corp. 113,155 33,000 Oki Electric Industry Co., Ltd. 112,388 10,000 Omron Corp. 243,956 6,200 TDK Corp. 442,545 3,000 Yokogawa Electric Corp. 46,903 ---------- 4,350,391 ---------- FOOD & STAPLES RETAILING - 0.5% 32,000 Aeon Co., Ltd. 643,727 3,900 FamilyMart Co., Ltd. 117,337 2,400 Lawson, Inc. 90,630 3,200 Matsumotokiyoshi Co., Ltd. 104,182 40,600 Seven & I Holdings Co., Ltd. 1,346,886 4,000 UNY Co., Ltd. 52,867 ---------- 2,355,629 ---------- FOOD PRODUCTS - 0.2% 32,000 Ajinomoto Co., Inc. 337,110 4,700 Ariake Japan Co., Ltd. 107,610 3,000 Kikkoman Corp. 28,851 40,000 Nichirei Corp. 164,461 2,000 Nippon Meat Packers, Inc. 21,669 12,100 Nisshin Seifun Group, Inc. 117,755 5,300 Nissin Food Products Co., Ltd. 138,182 3,000 Yakult Honsha Co., Ltd. 76,098 7,000 Yamazaki Baking Co., Ltd. 61,391 ---------- 1,053,127 ---------- GAS UTILITIES - 0.1% 86,000 Osaka Gas Co., Ltd. 301,235 93,000 Tokyo Gas Co., Ltd. 378,269 ---------- 679,504 ---------- HEALTH CARE EQUIPMENT & SUPPLIES - 0.1% 6,000 Olympus Corp. 133,139 5,600 Terumo Corp. 180,342 ---------- 313,481 ---------- HEALTH CARE PROVIDERS & SERVICES - 0.0% 200 Nichii Gakkan Co. 4,888 1,000 Suzuken Co., Ltd. 28,939 ---------- 33,827 ---------- HOTELS, RESTAURANTS & LEISURE - 0.0% 1,900 Oriental Land Co., Ltd. 108,797 2,000 Skylark Co., Ltd. 29,522 ---------- 138,319 ---------- HOUSEHOLD DURABLES - 1.0% 2,000 Casio Computer Co., Ltd. 29,098 2,000 Daito Trust Construction Co., Ltd. 87,701 13,000 Daiwa House Industry Co., Ltd. 170,328 1,000 Makita Corp. 20,293 97,000 Matsushita Electric Industrial Co., Ltd. 1,645,765 11,800 Pioneer Corp. 168,244 41,000 Sanyo Electric Co., Ltd. 101,288 20,000 Sekisui Chemical Co., Ltd. 142,756 24,000 Sekisui House Ltd. 294,547 43,000 Sharp Corp. 623,716 46,200 Sony Corp. 1,520,434 ---------- 4,804,170 ---------- HOUSEHOLD PRODUCTS - 0.2% 28,000 Kao Corp. 690,489 2,400 Uni-Charm Corp. 103,759 ---------- 794,248 ---------- 13
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ IT SERVICES - 0.1% 3,100 CSK Holdings Corp. $ 136,757 400 Itochu Techno-Science Corp. 14,011 47 NET One Systems Co., Ltd. 92,474 57 NTT Data Corp. 220,275 1,500 Nomura Research Institute Ltd. 173,372 100 Obic Co., Ltd. 17,028 400 TIS, Inc. 8,329 ---------- 662,246 ---------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.1% 7,800 Electric Power Development Co. 260,826 ---------- INSURANCE - 0.6% 64 Millea Holdings, Inc. 1,027,704 70,000 Mitsui Sumitomo Insurance Co., Ltd. 811,541 29,000 Sompo Japan Insurance, Inc. 384,569 7,250 T&D Holdings, Inc. 432,416 ---------- 2,656,230 ---------- INTERNET & CATALOG RETAIL - 0.0% 130 Rakuten, Inc. 99,559 ---------- INTERNET SOFTWARE & SERVICES - 0.2% 201 eAccess Ltd. 151,628 12,000 Softbank Corp. 667,020 124 Yahoo! Japan Corp. 147,697 124 Yahoo! Japan Corp. (a) 145,509 ---------- 1,111,854 ---------- LEISURE EQUIPMENT & PRODUCTS - 0.3% 24,000 Fuji Photo Film Co., Ltd. 791,953 12,150 Namco Bandai Holdings, Inc. 202,607 6,000 Nikon Corp. 75,807 1,400 Sankyo Co., Ltd. (Gunma) 73,866 2,732 Sega Sammy Holdings, Inc. 106,060 2,732 Sega Sammy Holdings, Inc. (a) 107,988 3,500 Shimano, Inc. 94,494 6,600 Yamaha Corp. 114,426 ---------- 1,567,201 ---------- MACHINERY - 0.8% 20,000 Amada Co., Ltd. 159,696 15,000 Amano Corp. 232,927 22,000 Ebara Corp. 93,753 8,200 Fanuc Ltd. 664,161 5,000 Hino Motors Ltd. 33,969 92,000 Ishikawajima-Harima Heavy Industries Co., Ltd. 185,883 26,000 Kawasaki Heavy Industries Ltd. 65,837 39,000 Komatsu Ltd. 531,975 8,000 Koyo Seiko Co., Ltd. (f) 120,840 47,000 Kubota Corp. 325,940 3,000 Kurita Water Industries Ltd. 54,526 25,000 Minebea Co., Ltd. 103,229 101,000 Mitsubishi Heavy Industries Ltd. 358,232 50,000 Mitsui Engineering & Shipbuilding Co., Ltd. 119,111 3,000 NGK Insulators Ltd. 38,195 14,000 NSK Ltd. 77,325 15,000 NTN Corp. 89,862 1,900 Nidec Corp. 111,814 1,400 SMC Corp. 186,642 32,000 Sumitomo Heavy Industries Ltd. 227,281 3,700 THK Co., Ltd. 92,386 9,000 Takuma Co., Ltd. 71,228 ---------- 3,944,812 ---------- 14
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ MARINE - 0.2% 29,000 Kawasaki Kisen Kaisha Ltd. $ 209,555 50,000 Mitsui OSK Lines Ltd. 400,124 49,000 Nippon Yusen Kabushiki Kaisha 329,001 ---------- 938,680 ---------- MEDIA - 0.1% 600 Asatsu-DK, Inc. 18,740 33 Dentsu, Inc. 93,753 64 Fuji Television Network, Inc. 143,427 5,000 Toho Co., Ltd. 79,407 4,000 Tokyo Broadcasting System, Inc. 92,995 ---------- 428,322 ---------- METALS & MINING - 0.8% 40,000 Daido Steel Co., Ltd. 257,632 7,000 Dowa Mining Co., Ltd. 58,797 27,600 JFE Holdings, Inc. 898,571 54,000 Kobe Steel Ltd. 164,373 10,000 Mitsubishi Materials Corp. 35,380 22,000 Mitsui Mining & Smelting Co., Ltd. 127,916 323,000 Nippon Steel Corp. 1,214,029 40,000 Nisshin Steel Co., Ltd. 138,345 208,000 Sumitomo Metal Industries Ltd. 730,404 32,000 Sumitomo Metal Mining Co., Ltd. 297,018 ---------- 3,922,465 ---------- MULTILINE RETAIL - 0.1% 9,000 Daimaru, Inc. 106,088 6,000 Hankyu Department Stores 47,380 1,000 Isetan Co., Ltd. 15,952 7,000 Marui Co., Ltd. 118,396 16,000 Mitsukoshi Ltd. 77,501 1,800 Ryohin Keikaku Co., Ltd. 116,093 4,000 Takashimaya Co., Ltd. 51,032 ---------- 532,442 ---------- OFFICE ELECTRONICS - 0.5% 31,900 Canon, Inc. 1,725,313 26,000 Konica Minolta Holdings, Inc. 236,739 37,000 Ricoh Co., Ltd. 578,798 ---------- 2,540,850 ---------- OIL, GAS & CONSUMABLE FUELS - 0.2% 21,000 Nippon Mining Holdings, Inc. 166,755 66,000 Nippon Oil Corp. 585,230 6,000 Showa Shell Sekiyu KK 82,266 17,000 Teikoku Oil Co., Ltd. 183,739 10,000 TonenGeneral Sekiyu KK 116,464 ---------- 1,134,454 ---------- PAPER & FOREST PRODUCTS - 0.1% 39 Nippon Paper Group, Inc. 141,424 31,000 OJI Paper Co., Ltd. 169,578 ---------- 311,002 ---------- PERSONAL PRODUCTS - 0.1% 6,100 Aderans Co., Ltd. 166,843 10,000 Shiseido Co., Ltd. 144,344 ---------- 311,187 ---------- PHARMACEUTICALS - 1.2% 27,600 Astellas Pharma Inc. 1,039,809 17,300 Chugai Pharmaceutical Co., Ltd. 330,461 31,442 Daiichi Sankyo Co. Ltd. 644,983 10,000 Eisai Co., Ltd. 427,916 11,000 Kaken Pharmaceutical Co., Ltd. 81,913 15
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ 11,000 Kyowa Hakko Kogyo Co., Ltd. $ 85,504 5,500 Santen Pharmaceutical Co., Ltd. 142,425 18,000 Shionogi & Co., Ltd. 245,368 7,000 Taisho Pharmaceutical Co., Ltd. 126,301 38,000 Takeda Pharmaceutical Co., Ltd. 2,266,455 ---------- 5,391,135 ---------- REAL ESTATE - 0.6% 27 Japan Prime Realty Investment Corp. 76,945 14 Japan Real Estate Investment Corp. (f) 113,023 13 Japan Retail Fund Investment Corp. 105,064 2,300 Leopalace21 Corp. 55,603 54,000 Mitsubishi Estate Co., Ltd. 742,298 41,000 Mitsui Fudosan Co., Ltd. 617,496 16 Nippon Building Fund, Inc. 136,792 24 Nomura Real Estate Office Fund, Inc. 177,025 24,000 Sumitomo Realty & Development Co., Ltd. 356,167 24,000 Tokyo Tatemono Co., Ltd. 195,659 26,000 Tokyu Land Corp. 168,149 ---------- 2,744,221 ---------- ROAD & RAIL - 0.7% 75 Central Japan Railway Co. 584,966 175 East Japan Railway Co. 1,000,529 15,000 Keihin Electric Express Railway Co., Ltd. 94,362 19,000 Keio Electric Railway Co., Ltd. 104,941 38,000 Keisei Electric Railway Co., Ltd. 208,876 72,000 Kintetsu Corp. (f) 243,939 37,000 Nippon Express Co., Ltd. 182,813 25,000 Odakyu Electric Railway Co., Ltd. 136,316 42,000 Tobu Railway Co., Ltd. 167,867 41,000 Tokyu Corp. 217,770 98 West Japan Railway Co. 370,937 ---------- 3,313,316 ---------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3,500 Advantest Corp. 271,749 - 0.3% 2,100 Elpida Memory, Inc. (a) 61,514 1,200 NEC Electronics Corp. 40,021 4,000 Rohm Co., Ltd. 347,627 8,000 Sanken Electric Co., Ltd. 91,971 9,200 Tokyo Electron Ltd. 489,465 ---------- 1,302,347 ---------- SOFTWARE - 0.2% 4,400 Fuji Soft ABC, Inc. 115,299 7,300 Hitachi Software Engineering Co., Ltd. 117,287 3,600 Konami Corp. 81,154 5,400 Nintendo Co., Ltd. 630,810 900 Oracle Corp. Japan 39,704 5,500 Trend Micro, Inc. 174,210 ---------- 1,158,464 ---------- SPECIALTY RETAIL - 0.2% 2,800 Aoyama Trading Co., Ltd. 79,054 4,500 Autobacs Seven Co., Ltd. 175,887 3,500 Fast Retailing Co., Ltd. 265,881 600 Shimachu Co., Ltd. 15,299 600 Shimamura Co., Ltd. 66,596 700 USS Co., Ltd. 49,779 4,200 Yamada Denki Co., Ltd. 319,799 ---------- 972,295 ---------- 16
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ TEXTILES, APPAREL & LUXURY GOODS - 0.1% 36,000 Gunze Ltd. $ 181,366 1,000 Nisshinbo Industries, Inc. 8,682 8,000 Onward Kashiyama Co., Ltd. 127,051 2,000 Toyobo Co., Ltd. 4,941 5,000 Wacoal Holdings Corp. 66,217 ------------ 388,257 ------------ TOBACCO - 0.2% 49 Japan Tobacco, Inc. 773,866 ------------ TRADING COMPANIES & DISTRIBUTORS - 0.6% 53,000 Itochu Corp. 365,211 80,000 Marubeni Corp. 372,684 58,000 Mitsubishi Corp. 1,146,286 47,000 Mitsui & Co., Ltd. 589,262 23,100 Sojitz Corp. (a) 131,866 38,000 Sumitomo Corp. 401,659 ------------ 3,006,968 ------------ TRANSPORTATION INFRASTRUCTURE - 0.0% 2,000 Kamigumi Co., Ltd. 15,970 8,000 Mitsubishi Logistics Corp. 94,512 ------------ 110,482 ------------ WIRELESS TELECOMMUNICATION SERVICES - 0.4% 115 KDDI Corp. 649,374 685 NTT DoCoMo, Inc. 1,220,840 ------------ 1,870,214 ------------ TOTAL COMMON STOCKS IN JAPAN 101,532,720 ------------ NETHERLANDS - 3.1% AIR FREIGHT & LOGISTICS - 0.1% 18,370 TNT NV 457,794 ------------ BEVERAGES - 0.1% 11,714 Heineken NV 377,224 ------------ CHEMICALS - 0.2% 11,211 Akzo Nobel NV 490,244 10,240 DSM NV 403,585 ------------ 893,829 ------------ COMMERCIAL BANKS - 0.4% 82,104 ABN AMRO Holding NV 1,972,840 ------------ COMMERCIAL SERVICES & SUPPLIES - 0.0% 1,086 Randstad Holdings NV 41,820 7,896 Vedior NV 112,334 ------------ 154,154 ------------ DIVERSIFIED FINANCIAL SERVICES - 0.6% 6,281 Euronext NV 277,311 81,060 ING Groep NV CVA 2,421,744 ------------ 2,699,055 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES - 0.2% 105,076 Royal KPN NV 945,067 ------------ ENERGY EQUIPMENT & SERVICES - 0.0% 228 IHC Caland NV 19,077 ------------ FOOD & STAPLES RETAILING - 0.1% 70,445 Koninklijke Ahold NV (a) 534,221 ------------ FOOD PRODUCTS - 0.5% 6,433 Royal Numico NV (a) 282,393 27,472 Unilever NV 1,959,139 ------------ 2,241,532 ------------ HOUSEHOLD DURABLES - 0.4% 61,680 Koninklijke Philips Electronics NV 1,644,195 ------------ IT SERVICES - 0.0% 3,377 Getronics NV 41,448 ------------ INSURANCE - 0.2% 60,535 Aegon NV 901,351 ------------ MEDIA - 0.2% 39,460 Reed Elsevier NV 546,159 10,501 VNU NV 331,072 8,647 Wolters Kluwer NV 161,383 ------------ 1,038,614 ------------ OFFICE ELECTRONICS - 0.0% 194 OCE NV 3,048 ------------ REAL ESTATE - 0.0% 1,655 Corio NV 96,375 1,648 Rodamco Europe NV 142,859 332 Wereldhave NV 35,284 ------------ 274,518 ------------ 17
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.1% 24,471 ASML Holding NV (a) $ 403,016 ----------- TRADING COMPANIES & DISTRIBUTORS - 0.0% 30,280 Hagemeyer NV (a) 89,442 ----------- TOTAL COMMON STOCKS IN THE NETHERLANDS 14,690,425 ----------- NEW ZEALAND - 0.2% COMMERCIAL SERVICES & SUPPLIES - 0.0% 23,708 Waste Management NZ Ltd. 100,936 ----------- CONSTRUCTION MATERIALS - 0.0% 20,926 Fletcher Building Ltd. 114,920 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.1% 68,034 Telecom Corp. of New Zealand Ltd. 283,992 ----------- ELECTRIC UTILITIES - 0.0% 22,289 Contact Energy Ltd. 117,459 ----------- HEALTH CARE EQUIPMENT & SUPPLIES - 0.1% 45,575 Fisher & Paykel Healthcare Corp. 117,874 ----------- HOUSEHOLD DURABLES - 0.0% 30,232 Fisher & Paykel Appliances Holdings Ltd. 73,999 ----------- INSURANCE - 0.0% 9,996 Tower Ltd. (a) 16,011 ----------- MULTILINE RETAIL - 0.0% 16,257 Warehouse Group Ltd. 43,963 ----------- PAPER & FOREST PRODUCTS - 0.0% 5,644 Carter Holt Harvey Ltd. 9,862 1 Tenon Ltd. 3 ----------- 9,865 ----------- TRANSPORTATION INFRASTRUCTURE - 0.0% 64,800 Auckland International Airport Ltd. 102,446 ----------- TOTAL COMMON STOCKS IN NEW ZEALAND 981,465 ----------- NORWAY - 0.8% AIRLINES - 0.0% 2,392 SAS AB (a) 26,031 ----------- CHEMICALS - 0.0% 8,336 Yara International ASA 151,086 ----------- COMMERCIAL BANKS - 0.1% 19,915 DNB NOR ASA 206,039 ----------- COMMERCIAL SERVICES & SUPPLIES - 0.0% 2,598 Tomra Systems ASA 18,556 ----------- COMMUNICATIONS EQUIPMENT - 0.0% 9,463 Tandberg ASA 126,912 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.1% 15,995 Telenor ASA 143,419 8,900 Telenor ASA (b) 239,855 ----------- 383,274 ----------- ENERGY EQUIPMENT & SERVICES - 0.1% 3,691 Smedvig ASA Class A (f) 90,800 7,800 Stolt Offshore SA (a) 90,561 ----------- 181,361 ----------- FOOD PRODUCTS - 0.1% 8,570 Orkla ASA 326,417 ----------- INSURANCE - 0.0% 8,611 Storebrand ASA 84,469 ----------- MEDIA - 0.0% 3,568 Schibsted ASA 111,290 ----------- OIL, GAS & CONSUMABLE FUELS - 0.4% 3,444 Frontline Ltd. 153,611 7,859 Norsk Hydro ASA 882,953 37,653 Statoil ASA 937,819 ----------- 1,974,383 ----------- PAPER & FOREST PRODUCTS - 0.0% 3,089 Norske Skogindustrier ASA 45,807 ----------- TOTAL COMMON STOCKS IN NORWAY 3,635,625 ----------- PORTUGAL - 0.3% COMMERCIAL BANKS - 0.1% 25,668 Banco BPI SA 114,502 88,715 Banco Comercial Portugues SA Registered Shares 247,075 6,793 Banco Espirito Santo SA Registered Shares 108,845 ----------- 470,422 ----------- CONSTRUCTION MATERIALS - 0.0% 15,305 Cimpor Cimentos de Portugal SA 84,697 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES - 31,051 Portugal Telecom SGPS SA Registered 0.1% Shares 284,518 ----------- ELECTRIC UTILITIES - 0.1% 57,220 Energias de Portugal SA (f) 160,050 ----------- FOOD & STAPLES RETAILING - 0.0% 4,098 Jeronimo Martins 59,289 ----------- INDUSTRIAL CONGLOMERATES - 0.0% 38,364 Sonae SGPS SA 65,680 ----------- 18
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ MEDIA - 0.0% 4,230 PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA $ 44,879 ------------ TRANSPORTATION INFRASTRUCTURE - 0.0% 7,477 Brisa-Auto Estradas de Portugal SA Private Shares 64,815 ------------ TOTAL COMMON STOCKS IN PORTUGAL 1,234,350 ------------ SINGAPORE - 0.8% AEROSPACE & DEFENSE - 0.0% 56,213 Singapore Technologies Engineering Ltd. 84,511 ------------ AIR FREIGHT & LOGISTICS - 0.0% 138,954 Singapore Post Ltd. 99,517 ------------ AIRLINES - 0.1% 17,582 Singapore Airlines Ltd. 120,717 ------------ COMMERCIAL BANKS - 0.3% 58,109 DBS Group Holdings Ltd. 543,428 87,834 Oversea-Chinese Banking Corp. 324,926 64,572 United Overseas Bank Ltd. 538,896 ------------ 1,407,250 ------------ COMPUTERS & PERIPHERALS - 0.0% 5,907 Creative Technology Ltd. 43,704 ------------ DISTRIBUTORS - 0.0% 3,331 Jardine Cycle & Carriage Ltd. 21,885 ------------ DIVERSIFIED FINANCIAL SERVICES - 0.1% 82,000 Singapore Exchange Ltd. 122,308 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES - 0.1% 266,803 Singapore Telecommunications Ltd. 385,321 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.0% 5,000 Venture Corp. Ltd. 42,912 ------------ HEALTH CARE PROVIDERS & SERVICES - 0.0% 83,000 Parkway Holdings Ltd. 106,114 ------------ HOTELS, RESTAURANTS & LEISURE - 0.0% 29,535 City Developments Ltd. 162,578 2,631 Overseas Union Enterprise Ltd. 14,872 ------------ 177,450 ------------ INDUSTRIAL CONGLOMERATES - 0.1% 3,836 Fraser and Neave Ltd. 39,053 1,766 Haw Par Corp. Ltd. 5,435 41,914 Keppel Corp. Ltd. 315,068 22,704 SembCorp Industries Ltd. 40,315 ------------ 399,871 ------------ MACHINERY - 0.1% 107,427 SembCorp Marine Ltd. 190,119 ------------ MARINE - 0.0% 50,501 Cosco Corp. Singapore Ltd. 75,923 ------------ MEDIA - 0.0% 36,116 Singapore Press Holdings Ltd. 98,761 ------------ REAL ESTATE - 0.0% 126,833 CapitaLand Ltd. 235,724 6,457 United Overseas Land Ltd. 8,943 ------------ 244,667 ------------ ROAD & RAIL - 0.0% 104,816 ComfortDelgro Corp. Ltd. 93,059 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 89,002 Chartered Semiconductor Manufacturing 0.0% Ltd. (a) 60,581 1,120 Chartered Semiconductor Manufacturing Ltd. (a)(b) 7,638 ------------ 68,219 ------------ TRANSPORTATION INFRASTRUCTURE - 0.0% 36,085 SembCorp Logistics Ltd. 35,241 ------------ TOTAL COMMON STOCKS IN SINGAPORE 3,817,549 ------------ SOUTH AFRICA - BEVERAGES - 0.1% 0.1% 35,782 SABMiller Plc 695,687 ------------ TOTAL COMMON STOCKS IN SOUTH AFRICA 695,687 ------------ SPAIN - 3.7% AIRLINES - 0.0% 31,929 Iberia Lineas Aereas de Espana 81,610 ------------ BIOTECHNOLOGY - 0.0% 15,416 Zeltia SA (f) 112,075 ------------ COMMERCIAL BANKS - 1.4% 144,754 Banco Bilbao Vizcaya Argentaria SA 2,546,280 48,525 Banco Popular Espanol SA 593,231 252,454 Banco Santander Central Hispano SA 3,326,769 ------------ 6,466,280 ------------ 19
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ CONSTRUCTION & ENGINEERING - 0.2% 13,307 ACS Actividades de Construccion y Servicios, SA $ 389,056 446 Acciona SA 51,218 2,428 Fomento de Construcciones y Contratas SA 145,165 3,360 Grupo Ferrovial SA 280,530 5,086 Sacyr Vallehermoso SA 143,180 ----------- 1,009,149 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES - 196,290 Telefonica SA 3,223,262 0.7% 1,124 Telefonica SA (b) 55,436 ----------- 3,278,698 ----------- ELECTRIC UTILITIES - 0.5% 47,745 Endesa SA 1,281,942 35,281 Iberdrola SA 988,972 8,894 Union Fenosa SA 294,669 ----------- 2,565,583 ----------- ELECTRICAL EQUIPMENT - 0.0% 5,077 Gamesa Corp. Tecnologica SA 78,227 ----------- GAS UTILITIES - 0.1% 7,543 Gas Natural SDG SA 220,080 ----------- HOTELS, RESTAURANTS & LEISURE - 0.0% 7,812 NH Hoteles SA 121,122 ----------- IT SERVICES - 0.1% 11,782 Indra Sistemas SA 259,240 ----------- INSURANCE - 0.0% 8,309 Corporacion Mapfre SA 143,053 ----------- MEDIA - 0.1% 6,752 Antena 3 de Television SA 122,759 664 Sogecable SA (a) 26,002 10,902 Telefonica Publicidad e Informacion, SA 94,374 243,135 ----------- METALS & MINING - 0.0% 10,980 Acerinox SA 153,031 ----------- OIL, GAS & CONSUMABLE FUELS - 0.3% 41,133 Repsol YPF SA 1,336,997 ----------- REAL ESTATE - 0.0% 1,852 Metrovacesa SA 136,763 ----------- SPECIALTY RETAIL - 0.1% 7,341 Inditex SA 216,133 ----------- TOBACCO - 0.1% 15,199 Altadis SA 682,959 ----------- TRANSPORTATION INFRASTRUCTURE - 0.1% 6,724 Abertis Infraestructuras SA 196,184 6,800 Cintra Concesiones de Infraestructuras de Transporte SA 93,708 ----------- 289,892 ----------- WATER UTILITIES - 0.0% 3,530 Sociedad General de Aguas de Barcelona SA Class A 85,927 ----------- TOTAL COMMON STOCKS IN SPAIN 17,479,954 ----------- SWEDEN - 2.2% AIRLINES - 0.0% 1,680 SAS AB (a) 18,456 ----------- BUILDING PRODUCTS - 0.1% 18,498 Assa Abloy AB B 262,050 ----------- COMMERCIAL BANKS - 0.4% 103,373 Nordea Bank AB 1,036,465 24,798 Skandinaviska Enskilda Banken AB Class A 455,565 19,957 Svenska Handelsbanken Class A 463,453 ----------- 1,955,483 ----------- COMMERCIAL SERVICES & SUPPLIES - 0.1% 18,496 Securitas AB 287,147 ----------- COMMUNICATIONS EQUIPMENT - 0.5% 627,423 Telefonaktiebolaget LM Ericsson 2,297,167 1,407 Telefonaktiebolaget LM Ericsson (b) 51,834 ----------- 2,349,001 ----------- CONSTRUCTION & ENGINEERING - 0.1% 17,922 Skanska AB Class B 265,484 ----------- DIVERSIFIED FINANCIAL SERVICES - 0.0% 1,010 OMX AB 12,511 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES - 18,966 Tele2 AB 193,842 0.1% 53,260 TeliaSonera AB 253,568 ----------- 447,410 ----------- 20
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ HEALTH CARE EQUIPMENT & SUPPLIES - 0.0% 2,151 Getinge AB Class B $ 29,776 ----------- HEALTH CARE PROVIDERS & SERVICES - 0.0% 4,167 Gambro AB Class A 63,344 3,981 Gambro AB Class B 60,259 ----------- 123,603 ----------- HOUSEHOLD DURABLES - 0.1% 15,168 Electrolux AB Series B 356,165 ----------- IT SERVICES - 0.0% 4,275 WM-data AB Class B 11,559 ----------- INSURANCE - 0.1% 55,968 Skandia Forsakrings AB 292,528 ----------- MACHINERY - 0.5% 5,967 Alfa Laval AB 108,848 13,962 Atlas Copco AB Class A 270,947 8,016 Atlas Copco AB Class B 138,966 26,500 SKF AB Class B 346,269 11,547 Sandvik AB 575,890 3,295 Scania AB Class B 119,360 6,944 Trelleborg AB Class B 116,339 3,880 Volvo AB Class A 164,144 12,629 Volvo AB Class B 551,428 ----------- 2,392,191 ----------- MEDIA - 0.0% 5,496 Eniro AB 64,349 2,810 Modern Times Group AB Class B (a) 106,154 ----------- 170,503 PAPER & FOREST PRODUCTS - 0.1% 277 Billerud AB 3,548 945 Holmen AB Class B 29,709 10,718 Svenska Cellulosa AB Class B 376,469 ----------- 409,726 ----------- SPECIALTY RETAIL - 0.1% 19,602 Hennes & Mauritz AB B Shares 701,199 ----------- TOBACCO - 0.0% 20,550 Swedish Match AB 245,923 ----------- TOTAL COMMON STOCKS IN SWEDEN 10,330,715 ----------- SWITZERLAND - 6.4% BIOTECHNOLOGY - 0.1% 317 Serono SA 209,243 ----------- BUILDING PRODUCTS - 0.0% 52 Geberit AG Registered Shares 37,994 ----------- CAPITAL MARKETS - 1.5% 54,704 Credit Suisse Group 2,431,289 51,180 UBS AG Registered Shares 4,366,725 ----------- 6,798,014 ----------- CHEMICALS - 0.2% 3,021 Ciba Specialty Chemicals AG Registered Shares 178,905 8,553 Clariant AG 123,394 156 Givaudan 100,309 2,022 Lonza Group AG Registered Shares 119,822 5,199 Syngenta AG 546,414 ----------- 1,068,844 ----------- COMMERCIAL SERVICES & SUPPLIES - 0.1% 4,254 Adecco SA Registered Shares 195,006 184 SGS SA 142,505 ----------- 337,511 ----------- COMPUTERS & PERIPHERALS - 0.0% 3,811 Logitech International SA (a) 154,746 ----------- CONSTRUCTION MATERIALS - 0.1% 7,295 Holcim Ltd. 486,333 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.1% 1,287 Swisscom AG 422,262 ----------- ELECTRICAL EQUIPMENT - 0.1% 84,393 ABB Ltd. (a) 619,242 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.0% 2,023 Kudelski SA 80,104 ----------- FOOD PRODUCTS - 1.2% 18,780 Nestle SA Registered Shares 5,520,745 ----------- HEALTH CARE EQUIPMENT & SUPPLIES - 0.1% 732 Nobel Biocare Holding AG 173,170 2,246 Phonak Holding AG Registered Shares 96,599 88 Straumann Holding AG Registered Shares 23,668 1,894 Synthes, Inc. 222,417 ----------- 515,854 ----------- 21
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ INSURANCE - 0.5% 16,216 Swiss Reinsurance Registered Shares $ 1,069,118 6,249 Zurich Financial Services AG 1,068,764 ----------- 2,137,882 ----------- MACHINERY - 0.0% 229 Sulzer AG 116,520 ----------- PHARMACEUTICALS - 2.2% 112,394 Novartis AG Registered Shares 5,723,224 33,617 Roche Holding AG 4,688,258 ----------- 10,411,482 ----------- REAL ESTATE - 0.0% 1,898 PSP Swiss Property AG 95,691 ----------- SEMICONDUCTORS & SEMICONDUCTOR 1,083 Micronas Semiconductor Holding AG EQUIPMENT - 0.0% Registered Shares (a) 46,453 703 Unaxis Holding AG (a) 93,406 ----------- 139,859 ----------- TEXTILES, APPAREL & LUXURY GOODS - 0.2% 20,892 Compagnie Financiere Richemont AG 830,494 1,398 The Swatch Group Ltd. B Shares 193,340 1,415 The Swatch Group Ltd. Registered Shares 40,170 ----------- 1,064,004 ----------- TOTAL COMMON STOCKS IN SWITZERLAND 30,216,330 ----------- UNITED KINGDOM - AEROSPACE & DEFENSE - 0.4% 157,764 BAE Systems Plc 958,708 23.6% 35,280 Cobham Plc 98,770 5,374 Meggitt Plc 30,827 85,217 Rolls-Royce Group Plc 563,078 ----------- 1,651,383 ----------- AIR FREIGHT & LOGISTICS - 0.1% 20,132 Exel Plc 437,002 ----------- AIRLINES - 0.0% 29,636 British Airways Plc (a) 153,486 ----------- AUTO COMPONENTS - 0.0% 26,018 GKN Plc 135,669 ----------- AUTOMOBILES - 0.0% 1,025 TI Automotive Ltd. A 0 ----------- BEVERAGES - 0.5% 137,468 Diageo Plc 1,982,033 29,507 Scottish & Newcastle Plc 242,081 ----------- 2,224,114 ----------- BUILDING PRODUCTS - 0.1% 19,884 BPB Plc 258,901 53,235 Pilkington Plc 130,907 ----------- 389,808 ----------- CAPITAL MARKETS - 0.3% 26,336 3i Group Plc 365,273 26,671 Amvescap Plc 173,636 2,797 Close Brothers Group Plc 41,144 12,596 ICAP Plc 81,558 16,296 Man Group Plc 477,412 4,105 Schroders Plc 67,102 ----------- 1,206,125 ----------- CHEMICALS - 0.2% 25,167 BOC Group Plc 513,349 55,975 Imperial Chemical Industries Plc 296,333 8,117 Johnson Matthey Plc 169,876 ----------- 979,558 ----------- COMMERCIAL BANKS - 4.2% 286,690 Barclays Plc 2,906,156 174,059 HBOS Plc 2,628,160 501,464 HSBC Holdings Plc 8,135,062 237,696 Lloyds TSB Group Plc 1,963,769 2,530 Lloyds TSB Group Plc (b) 84,072 144,105 Royal Bank of Scotland Group Plc 4,101,917 ----------- 19,819,136 ----------- COMMERCIAL SERVICES & SUPPLIES - 0.2% 44,302 Brambles Industries Plc 272,939 24,611 Capita Group Plc 164,034 26,991 Group 4 Securicor Plc 72,222 22
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ 64,193 Hays Plc $ 139,399 1,493 Intertek Group Plc 18,053 67,222 Rentokil Initial Plc 196,519 2,405 Serco Group Plc 10,913 ------------ 874,079 ------------ COMMUNICATIONS EQUIPMENT - 0.0% 5,298 Marconi Corp. Plc (a) 29,805 ------------ CONSTRUCTION & ENGINEERING - 0.1% 12,050 Amec Plc 77,596 24,840 Balfour Beatty Plc 143,918 ------------ 221,514 ------------ CONSTRUCTION MATERIALS - 0.1% 39,289 Hanson Plc 409,043 ------------ CONSUMER FINANCE - 0.0% 7,713 Cattles Plc 40,935 14,009 Provident Financial Plc 155,391 ------------ 196,326 ------------ CONTAINERS & PACKAGING - 0.0% 20,343 Rexam Plc 185,162 ------------ DISTRIBUTORS - 0.0% 1,845 Inchcape Plc 71,449 ------------ DIVERSIFIED FINANCIAL SERVICES - 0.0% 16,913 London Stock Exchange Plc 170,548 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES - 353,190 BT Group Plc 1,388,679 0.4% 900 BT Group Plc (b) 35,676 117,864 Cable & Wireless Plc 298,173 ------------ 1,722,528 ------------ ELECTRIC UTILITIES - 0.4% 45,161 Scottish & Southern Energy Plc 822,111 77,881 Scottish Power Plc 787,408 993 Scottish Power Plc (b) 39,958 ------------ 1,649,477 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.0% 18,858 Electrocomponents Plc 81,152 4,902 Premier Farnell Plc 13,095 ------------ 94,247 ------------ FOOD & STAPLES RETAILING - 0.6% 42,893 Boots Group Plc 461,741 56,272 J Sainsbury Plc 278,244 339,896 Tesco Plc 1,861,052 ------------ 2,601,037 ------------ FOOD PRODUCTS - 0.5% 95,046 Cadbury Schweppes Plc 961,793 24,308 Tate & Lyle Plc 195,342 114,603 Unilever Plc 1,200,244 ------------ 2,357,379 ------------ HEALTH CARE EQUIPMENT & SUPPLIES - 0.1% 3,902 SSL International Plc 18,604 49,872 Smith & Nephew Plc 419,967 ------------ 438,571 ------------ HEALTH CARE PROVIDERS & SERVICES - 0.0% 6,950 Alliance Unichem Plc 106,538 ------------ HOTELS, RESTAURANTS & LEISURE - 0.6% 9,132 Carnival Plc 473,515 121,886 Compass Group Plc 444,733 13,810 Enterprise Inns Plc 205,833 68,118 Hilton Group Plc 378,996 27,519 Intercontinental Hotels Group Plc 349,063 30,006 Mitchells & Butlers Plc 193,888 6,594 Punch Taverns Plc 93,323 21,215 Rank Group Plc 112,031 9,436 Whitbread Plc 158,502 22,125 William Hill Plc 228,194 ------------ 2,638,078 ------------ 23
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ HOUSEHOLD DURABLES - 0.2% 9,646 Barratt Developments Plc $ 128,924 788 Bellway Plc 12,205 2,907 Berkeley Group Holdings Plc 44,691 10,998 Persimmon Plc 166,937 38,566 Taylor Woodrow Plc 221,226 20,870 Wimpey George Plc 158,022 ---------- 732,005 ---------- HOUSEHOLD PRODUCTS - 0.2% 31,325 Reckitt Benckiser Plc 957,051 ---------- IT SERVICES - 0.0% 30,199 LogicaCMG Plc 94,028 ---------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.1% 84,659 International Power Plc 372,180 ---------- INDUSTRIAL CONGLOMERATES - 0.1% 26,012 Smiths Group Plc 441,310 34,739 Tomkins Plc 177,610 ---------- 618,920 ---------- INSURANCE - 0.7% 111,671 Aviva Plc 1,229,792 70,102 Friends Provident Plc 231,912 249,729 Legal & General Group Plc 501,437 119,956 Prudential Plc 1,091,840 106,903 Royal & Sun Alliance Insurance Group 183,448 ---------- 3,238,429 ---------- INTERNET & CATALOG RETAIL - 0.2% 53,200 GUS Plc 804,221 ---------- MACHINERY - 0.0% 9,108 FKI Plc 17,966 11,268 IMI Plc 85,518 206,804 Invensys Plc (a) 53,049 ---------- 156,533 ---------- MEDIA - 0.9% 82,068 Aegis Group Plc 203,261 65,694 British Sky Broadcasting Plc 651,408 11,034 Daily Mail & General Trust 128,833 42,821 EMI Group Plc 183,705 9,612 Emap Plc 139,948 175,600 ITV Plc 351,038 39,399 Pearson Plc 459,327 61,545 Reed Elsevier Plc 571,071 75,204 Reuters Group Plc 497,914 11,407 Trinity Mirror Plc 121,181 15,879 United Business Media Plc 155,487 62,287 WPP Group Plc 635,807 25,811 Yell Group Plc 218,379 ---------- 4,317,359 ---------- METALS & MINING - 1.3% 65,309 Anglo American Plc 1,952,592 104,765 BHP Billiton Plc 1,697,710 194,761 Corus Group Plc 177,444 49,431 Rio Tinto Plc Registered Shares 2,027,051 ---------- 5,854,797 ---------- MULTI-UTILITIES - 0.6% 200,818 Centrica Plc 873,956 133,940 National Grid Plc 1,259,405 35,960 United Utilities Plc 416,690 ---------- 2,550,051 ---------- MULTILINE RETAIL - 0.2% 83,957 Marks & Spencer Group Plc 556,609 15,628 Next Plc 384,853 ---------- 941,462 ---------- 24
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Enlarge/Download Table] SHARES COUNTRY INDUSTRY HELD COMMON STOCKS VALUE ---------------- ------------------------------------------ --------- ----------------------------------------- ------------ OIL, GAS & CONSUMABLE FUELS - 4.9% 175,855 BG Group Plc $ 1,673,743 920,220 BP Plc 10,964,303 3,849 BP Plc (b) 272,702 179,848 Royal Dutch Shell Plc 5,965,662 124,262 Royal Dutch Shell Plc Class B 4,304,302 ------------ 23,180,712 ------------ PHARMACEUTICALS - 2.1% 72,371 AstraZeneca Plc 3,373,626 260,871 GlaxoSmithKline Plc 6,654,920 800 GlaxoSmithKline Plc (b) 41,024 ------------ 10,069,570 ------------ REAL ESTATE - 0.3% 30,295 British Land Co. Plc 504,059 11,899 Hammerson Plc 196,085 20,624 Land Securities Group Plc 539,626 9,912 Liberty International Plc 174,476 18,432 Slough Estates Plc 173,638 ------------ 1,587,884 ------------ ROAD & RAIL - 0.0% 16,203 Firstgroup Plc 94,594 2,119 National Express Group Plc 31,489 33,050 Stagecoach Group Plc 65,339 ------------ 191,422 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.0% 84,638 ARM Holdings Plc 175,936 ------------ SOFTWARE - 0.1% 21,437 Misys Plc 76,607 66,142 Sage Group Plc 269,712 ------------ 346,319 ------------ SPECIALTY RETAIL - 0.2% 72,099 Dixons Group Plc 191,963 3,700 HMV Group Plc 13,500 32,023 Kesa Electricals Plc 144,604 128,975 Kingfisher Plc 492,846 24,999 MFI Furniture Plc 48,095 79,661 Signet Group Plc 144,451 2,201 Travis Perkins Plc 55,214 ------------ 1,090,673 ------------ TOBACCO - 0.6% 77,395 British American Tobacco Plc 1,630,709 22,911 Gallaher Group Plc 356,680 29,513 Imperial Tobacco Group Plc 847,913 ------------ 2,835,302 ------------ TRADING COMPANIES & DISTRIBUTORS - 0.2% 21,500 Bunzl Plc 216,042 29,669 Wolseley Plc 629,323 ------------ 845,365 ------------ TRANSPORTATION INFRASTRUCTURE - 0.2% 11,911 Associated British Ports Holdings Plc 110,679 58,413 BAA Plc 644,831 12,221 BBA Group Plc 64,158 29,716 The Peninsular and Oriental Steam Navigation Co. 175,586 ------------ 995,254 ------------ WATER UTILITIES - 0.1% 15,133 Kelda Group Plc 188,072 12,768 Severn Trent Plc 223,846 ------------ 411,918 ------------ WIRELESS TELECOMMUNICATION SERVICES - 1.6% 2,696,171 Vodafone Group Plc 7,035,439 12,490 Vodafone Group Plc (b) 324,365 ------------ 7,359,804 ------------ TOTAL COMMON STOCKS IN THE UNITED KINGDOM 110,489,257 ------------ TOTAL INVESTMENTS IN COMMON STOCKS (COST - $353,281,274) - 93.1% 436,540,354 ------------ 25
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) [Download Table] SHARES COUNTRY HELD EXCHANGE TRADED FUNDS VALUE ---------------- --------- ----------------------------------------- ------------ United States - 0.1% 6,000 iShares MSCI EAFE Index Fund $348,540 -------- TOTAL INVESTMENTS IN EXCHANGE TRADED FUNDS (COST - $232,840) - 0.1% 348,540 -------- [Enlarge/Download Table] INDUSTRY PREFERRED STOCKS ------------------------------------------ ----------------------------------------- Germany - 0.2% Automobiles - 0.1% 428 Porsche AG 330,122 5,476 Volkswagen AG, 4.35% 250,749 --------- 580,871 --------- CHEMICALS - 0.1% 2,828 Henkel KGaA, 1.75% 258,002 --------- HEALTH CARE PROVIDERS & SERVICES - 0.0% 542 Fresenius Medical Care AG, 2.30% 42,802 --------- MEDIA - 0.0% 5,512 ProSieben SAT.1 Media AG, 2.24% 95,563 --------- MULTI-UTILITIES - 0.0% 2,033 RWE AG, 3.50% 117,431 --------- TOTAL INVESTMENTS IN PREFERRED STOCKS (COST - $835,332) - 0.2% 1,094,669 --------- RIGHTS Norway - 0.0% Paper & Forest Products - 0.0% 3,089 Norske Skogindustrier ASA (e) 5,428 --------- TOTAL INVESTMENTS IN RIGHTS (COST - $0) - 0.0% 5,428 --------- WARRANTS (C) France - 0.0% Food & Staples Retailing - 0.0% 133 Casino Guichard Perrachon SA (expires 12/15/2005) 2 --------- TOTAL INVESTMENTS IN WARRANTS (COST - $802) - 0.0% 2 --------- [Download Table] BENEFICIAL INTEREST SHORT-TERM SECURITIES ----------- ----------------------------------------- $17,559,082 Merrill Lynch Liquidity Series, LLC Cash Sweep Series I (d) 17,559,082 TOTAL INVESTMENTS IN SHORT-TERM SECURITIES (COST - $17,559,082) - 3.8% 17,559,082 TOTAL INVESTMENTS (COST - $371,909,330*) - 97.2% 455,548,075 OTHER ASSETS LESS LIABILITIES - 2.8% 13,157,902 ------------ NET ASSETS - 100.0% $468,705,977 ============ * The cost and unrealized appreciation (depreciation) of investments as of September 30, 2005, as computed for federal income tax purposes, were as follows: [Download Table] Aggregate cost $374,826,614 ============ Gross unrealized appreciation $ 88,952,102 Gross unrealized depreciation (8,230,641) ------------ Net unrealized appreciation $ 80,721,461 ============ (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) Investments in companies considered to be an affiliate of the Series, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: [Download Table] AFFILIATE NET ACTIVITY INTEREST INCOME --------- ------------ --------------- Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $14,798,175 $180,838 26
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MASTER INTERNATIONAL INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (IN U.S. DOLLARS) (e) The rights may be exercised until 10/13/2005. (f) Security, or portion of security, is on loan. For Series compliance purposes, the Series' industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Series' management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percent of net assets. Financial futures contracts purchased as of September 30, 2005 were as follows: [Enlarge/Download Table] NUMBER OF EXPIRATION FACE UNREALIZED CONTRACTS ISSUE EXCHANGE DATE VALUE APPRECIATION --------- ---------------------- --------- ------------- ---------- ------------ 191 DJ Euro Stoxx Eurex December 2005 $7,763,452 $ 148,922 69 FTSE 100 Index Future LIFFE December 2005 $6,612,649 82,155 19 Hang Seng Index Future Hong Kong October 2005 $1,859,498 31,257 70 OMX Stock Index Future Tokyo October 2005 $ 792,456 19,881 3 SPI/MIB Index Eurex December 2005 $ 619,867 9,589 33 SPI 200 Index Future Sydney December 2005 $2,845,203 76,160 71 TOPIX Index Future Tokyo December 2005 $8,169,094 654,225 ---------- TOTAL UNREALIZED APPRECIATION - NET $1,022,189 ========== Forward foreign exchange contracts as of September 30, 2005 were as follows: [Download Table] FOREIGN CURRENCY SETTLEMENT UNREALIZED PURCHASED DATE DEPRECIATION ---------------- ------------ ------------ AUD 869,000 October 2005 $ (1,271) CHF 2,075,000 October 2005 (45,188) EUR 5,485,000 October 2005 (128,913) GBP 2,085,000 October 2005 (82,947) JPY 497,800,000 October 2005 (125,059) SEK 3,525,000 October 2005 (8,321) --------- TOTAL UNREALIZED DEPRECIATION ON FORWARD FOREIGN EXCHANGE CONTRACTS - NET (USD COMMITMENT - $17,820,612) $(361,699) ========= [Download Table] FOREIGN CURRENCY SETTLEMENT UNREALIZED SOLD DATE APPRECIATION ---------------- ------------ ------------ AUD 55,000 October 2005 $ 158 CHF 35,000 October 2005 449 EUR 425,000 October 2005 3,782 GBP 275,000 October 2005 8,903 JPY 79,000,000 October 2005 13,431 ------- TOTAL UNREALIZED APPRECIATION ON FORWARD FOREIGN EXCHANGE CONTRACTS - NET (USD COMMITMENT - $1,792,441) $26,723 ======= Currency Denominations AUD Australian Dollar CHF Swiss Franc EUR Euro GBP British Pound Sterling 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 September 30, 2005 is provided below. AMERICAN BEACON MASTER MONEY MARKET PORTFOLIO SCHEDULE OF INVESTMENTS September 30, 2005 (Unaudited) -------------------------------------------------------------------------------- [Enlarge/Download Table] PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) REPURCHASE AGREEMENTS (Note B) - 3.04% Barclays Capital, Incorporated, 3.90%, Due 10/3/2005 $ 200,000 $ 200,000 ------------ TOTAL REPURCHASE AGREEMENTS 200,000 ------------ EURODOLLAR TIME DEPOSITS - 7.36% Societe Generale, 4.00%, Due 10/3/2005 250,000 250,000 UBS AG, 3.938%, Due 10/3/2005 235,000 235,000 ------------ TOTAL EURODOLLAR TIME DEPOSITS 485,000 ------------ TIME DEPOSITS - 1.46% National City Bank of Indiana, 3.875%, Due 10/3/2005 96,116 96,116 ------------ TOTAL TIME DEPOSITS 96,116 ------------ CERTIFICATES OF DEPOSIT AND BANK NOTES - 29.98% CERTIFICATES OF DEPOSIT - U.S. BANKS - 13.40% Fifth Third Bank, 3.71%, Due 11/14/2005 (Note D) 197,000 196,987 JP Morgan Chase Bank, NA, (Note D) 3.793%, Due 5/1/2006 10,000 10,008 3.833%, Due 5/5/2006 50,000 50,040 SouthTrust Bank, 3.807%, Due 12/14/2005 (Note D) 40,000 39,998 SunTrust Bank, (Note D) 3.529%, Due 10/3/2005 62,230 62,230 3.961%, Due 3/24/2006 65,000 65,007 3.73%, Due 5/12/2006 150,000 150,000 3.797%, Due 5/17/2006 72,100 72,114 US Bank, NA, (Note D) 3.945%, Due 12/29/2005 175,000 174,986 3.755%, Due 3/8/2006 30,000 29,999 3.669%, Due 7/28/2006 31,385 31,396 ------------ TOTAL CERTIFICATES OF DEPOSIT - U.S. BANKS 882,763 ------------ YANKEE CERTIFICATES OF DEPOSIT - U.S. BRANCHES - 16.58% Barclays Bank, 3.754%, Due 6/21/2006 (Note D) 47,500 47,495 BNP Paribas, 3.595%, Due 1/30/2006 (Note D) 88,000 87,987 Credit Suisse First Boston, (Note D) 3.81%, Due 11/10/2005 100,000 100,002 4.03%, Due 12/29/2005 20,400 20,402 3.767%, Due 2/6/2006 10,000 10,001 3.78%, Due 5/10/2006 150,000 150,034 Deutshe Bank AG, 3.51%, Due 10/11/2005 50,000 50,000 HSBC Bank USA, 3.73%, Due 5/4/2006 (Note D) 85,000 85,021 Nordea Bank Finland, PLC, 3.582%, Due 10/27/2005 (Note D) 25,000 24,999 Royal Bank of Scotland, 3.782%, Due 10/21/2006, 144A (Note C) 150,000 150,000 Societe Generale, 3.595%, Due 1/30/2006 (Note D) 50,000 49,986 UBS AG, 3.58%, Due 1/30/2006 (Note D) 50,000 49,986 Unicredito Italiano, (Note D) 3.545%, Due 10/20/2005 100,000 99,998 3.823%, Due 12/19/2005 166,000 165,982 Page 1 of 4
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AMERICAN BEACON MASTER MONEY MARKET PORTFOLIO SCHEDULE OF INVESTMENTS September 30, 2005 (Unaudited) -------------------------------------------------------------------------------- [Enlarge/Download Table] PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) ------------ TOTAL YANKEE CERTIFICATES OF DEPOSIT - U.S. BRANCHES 1,091,892 ------------ TOTAL CERTIFICATES OF DEPOSIT AND BANK NOTES 1,974,655 ------------ VARIABLE RATE PROMISSORY NOTES (Note D) - 4.56% Goldman Sachs Group, 3.81%, Due 8/9/2006 300,000 300,000 ------------ TOTAL VARIABLE RATE PROMISSORY NOTES 300,000 ------------ VARIABLE RATE FUNDING AGREEMENTS (Notes A and D) - 2.28% Metropolitan Life Insurance Company, 3.945%, Due 12/1/2005 150,000 150,000 ------------ TOTAL VARIABLE RATE FUNDING AGREEMENTS 150,000 ------------ ASSET-BACKED COMMERCIAL PAPER, 144A (Notes C and E) - 14.36% Clipper Receivables Corporation, 3.73%, Due 11/14/2005 50,000 49,782 FCAR Owner Trust Series I, 3.73%, Due 11/15/2005 50,000 49,777 Fountain Square Commercial Funding, 3.62%, Due 10/27/2005 63,089 62,937 3.62%, Due 10/31/2005 19,765 19,709 3.63%, Due 11/1/2005 39,299 39,184 Galaxy Funding, Incorporated, 3.47%, Due 10/5/2005 40,000 39,992 3.75%, Due 11/22/2005 50,000 49,740 Golden Funding Corporation, 3.70%, Due 12/2/2005 7,335 7,290 GOVCO Incorporated, 3.72%, Due 11/2/2005 45,000 44,860 3.72%, Due 12/5/2005 47,000 46,694 K2 USA LLC, 3.47%, Due 10/6/2005 28,640 28,632 3.75%, Due 11/15/2005 42,000 41,812 Sheffield Receivables Corporation, 3.70%, Due 10/11/2005 50,000 49,959 Scaldis Capital LLC, 3.72%, Due 10/17/2005 100,000 99,855 3.64%, Due 11/2/2005 59,466 59,286 Sigma Finance Incorporated, 3.46%, Due 10/5/2005 50,000 49,990 3.64%, Due 10/24/2005 20,000 19,958 3.68%, Due 11/1/2005 63,000 62,813 3.68%, Due 11/4/2005 34,800 34,686 3.70%, Due 11/9/2005 20,000 19,924 Three Rivers Funding, 3.70%, Due 10/11/2005 49,000 48,960 Windmill Funding Corporation, 3.70%, Due 10/27/2005 20,000 19,951 ------------ TOTAL ASSET-BACKED COMMERCIAL PAPER 945,790 ------------ COMMERCIAL PAPER (Note D) - 1.14% Halifax Bank of Scotland, PLC, 3.50%, Due 10/12/2005 50,000 49,956 UBS AG, 3.75%, Due 11/21/2005 25,000 24,872 ------------ TOTAL COMMERCIAL PAPER 74,829 ------------ Page 2 of 4
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AMERICAN BEACON MASTER MONEY MARKET PORTFOLIO SCHEDULE OF INVESTMENTS September 30, 2005 (Unaudited) -------------------------------------------------------------------------------- [Enlarge/Download Table] PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) VARIABLE RATE MEDIUM-TERM NOTES (Note D) - 35.50% Abbey National Treasury Services, PLC, 3.649%, Due 1/13/2006, 144A (Note C) 102,000 102,010 American Honda Finance Corporation, 144A (Note C) 3.62%, Due 10/7/2005 25,000 25,000 3.997%, Due 2/6/2006 13,000 13,012 3.75%, Due 2/13/2006 25,000 25,000 3.79%, Due 2/16/2006 25,000 25,002 3.87%, Due 2/21/2006 35,120 35,131 Bayerische Landesbank Girozentrale, 3.943%, Due 2/1/2006 24,000 24,023 Citigroup, Incorporated, 4.015%, Due 3/20/2006 105,975 106,055 3.935%, Due 5/19/2006 40,000 40,036 Citigroup Global Markets Holdings, Incorporated, 3.884%, Due 12/12/2005 18,000 18,003 3.884%, Due 3/16/2006 50,585 50,595 3.901%, Due 6/6/2006 25,000 25,029 3.775%, Due 7/25/2006 100,000 100,124 Fifth Third Bank, 3.623%, Due 11/1/2005 75,000 74,997 General Electric Capital Corporation, 3.70%, Due 10/24/2005 43,975 43,977 3.91%, Due 2/3/2006 97,544 97,620 3.947%, Due 2/6/2006 30,275 30,301 3.950%, Due 5/12/2006 10,983 10,997 3.889%, Due 10/19/2006 180,000 180,000 Halifax Bank of Scotland plc, 144A (Note C) 4.48875%, Due 1/12/2006 106,000 106,014 3.69%, Due 1/26/2006 23,000 23,005 4.04%, Due 6/30/2006 76,600 76,636 3.841%, Due 8/28/2006 40,000 40,016 Merrill Lynch & Company, Incorporated, 3.936%, Due 3/17/2006 45,000 45,017 Metropolitan Life Global Funding I, 3.906%, Due 3/17/2006, 144A (Note C) 22,000 22,006 JP Morgan Chase & Company, 3.88%, Due 10/31/2005 10,000 10,002 Morgan Stanley Group, Incorporated, 4.25%, Due 3/27/2006 284,100 284,506 Toyota Motor Credit Corporation, 3.53%, Due 10/7/2005 70,000 70,000 3.772%, Due 11/18/2005 50,000 50,000 3.55%, Due 7/14/2006 175,000 175,026 3.815%, Due 9/15/2006 84,200 84,203 Wells Fargo and Company, 3.861%, Due 3/3/2006 88,613 88,664 3.924%, Due 6/12/2006 67,500 67,565 3.96%, Due 9/15/2006 18,500 18,524 3.758%, Due 10/15/2006, 144A (Note C) 150,000 150,000 ------------ TOTAL VARIABLE RATE MEDIUM-TERM NOTES 2,338,093 ------------ TOTAL INVESTMENTS - 99.68% (Cost $6,564,482) 6,564,483 ------------ OTHER ASSETS, NET OF LIABILITIES - 0.32% 21,021 ------------ Page 3 of 4
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AMERICAN BEACON MASTER MONEY MARKET PORTFOLIO SCHEDULE OF INVESTMENTS September 30, 2005 (Unaudited) -------------------------------------------------------------------------------- [Download Table] PAR AMOUNT VALUE ---------- ------------ (DOLLARS IN THOUSANDS) TOTAL NET ASSETS - 100% $ 6,585,504 ============ Based on the cost of investments of $6,564,483 for federal income tax purposes at September 30, 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%, Due 11/1/2019, Total Value - $204,000; and for Goldman Sachs, 3.553% - 6.50%, Due 6/1/2018 - 12/1/2044 Total Value - $780,300. (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 $1,738,620 or 26.40% 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. For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements. Page 4 of 4
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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 September 30, 2005 is provided below. AMERICAN BEACON MASTER MUNICIPAL MONEY MARKET PORTFOLIO Schedule of Investments September 30, 2005 (Unaudited) -------------------------------------------------------------------------------- [Enlarge/Download Table] Par / Shares Value ------------ --------- (dollars in thousands) MUNICIPAL OBLIGATIONS (NOTE A) -- 92.34% CALIFORNIA-- 7.43% Los Angeles Department of Airports Revenue Bonds, Series 2003 A, (Airport, port and marina improvements), 3.00%, Due 5/15/2016, LOC US Bank $ 1,000 $ 1,000 City of Irvine Assesment District - Special Assesment, 2.77%, Due 9/2/2025, LOC Bank of New York 1,389 1,389 ---------- TOTAL CALIFORNIA 2,389 ---------- COLORADO -- 3.89% Colorado Educational and Cultural Facilities Variable Rate Demand Revenue Bonds, Series A7, 2.81%, Due 7/1/2029, LOC Wells Fargo Bank 1,250 1,250 ---------- TOTAL COLORADO 1,250 ---------- FLORIDA -- 8.80% Alachua County, Florida Housing Financial Authority, Multifamily Housing Revenue Bonds, Series 2001 (University Cove Apartment Project), 2.81%, Due 6/15/2034, LOC SouthTrust Bank, NA 1,830 1,830 Orange County Health Facilities Authority, Variable Rate Demand Revenue Bonds, Series 1992 (Adventist Health System/Sunbelt, Inc.), 2.78%, Due 11/15/2014, LOC Suntrust Bank 1,000 1,000 ---------- TOTAL FLORIDA 2,830 ---------- ILLINOIS -- 5.60% 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 1,800 ---------- INDIANA -- 3.11% Fort Wayne, Indiana Industrial Economic Development Revenue Bonds, Series 1989 (ND-Tech Corporation Project), 2.83%, Due 7/1/2009, LOC Societe Generale 1,000 1,000 ---------- TOTAL INDIANA 1,000 ---------- KENTUCKY - 3.42% 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 ---------- TOTAL KENTUCKY 1,100 ---------- MARYLAND - 5.23% 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 - 5.54% 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 1,780 1,780 ---------- TOTAL MICHIGAN 1,780 ---------- NEVADA - 3.11% 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 ---------- NEW YORK - 21.47% Long Island Power Authority Subordinated Revenue Bonds, Subseries 1B, 2.79%, Due 5/1/2023, LOC Bank of New York 1,000 1,000 New York City Housing Development Corporation, Multi-Family Mortgage Revenue Bonds, Series 2002A (First Avenue Development), 2.76%, Due 10/15/2035, LOC Bank of New York 800 800 New York State Housing Finance Agency, 66 West 38th Street Housing Revenue Bonds, Series 2000A, 2.78%, Due 5/15/2033, LOC Bank of New York 1,600 1,600 New York City, General Obligation Bonds, Series E, 2.72%, Due 8/1/2009, LOC Chase Manhattan 1,500 1,500 New York City, General Obligation Bonds, 1994, Series A, 2.93%, Due 8/1/2016, LOC Bank of New York 2,000 2,000 ---------- TOTAL NEW YORK 6,900 ---------- OHIO - 5.29% Ohio Water Development Authority, Environmental Improvement Revenue Bonds, Series 2000B (Waste Management, Incorporated Project), 2.85%, Due 7/1/2020, LOC Fleet National Bank 1,700 1,700 ---------- TOTAL OHIO 1,700 ---------- PENNSYLVANIA -- 2.49% Berks County Industrial Development Authority Manufacturing Facilities Revenue Bonds, Series 1995 (Grafika Commerial Printing Inc.), 2.85%, Due 9/1/2010, LOC First Union National Bank 800 800 ---------- TOTAL PENNSYLVANIA 800 ---------- TEXAS -- 8.71% City of Midlothian, Texas Industrial Development Corporation, Environmental Facilities Revenue Bonds, Page 1 of 2
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AMERICAN BEACON MASTER MUNICIPAL MONEY MARKET PORTFOLIO Schedule of Investments September 30, 2005 (Unaudited) -------------------------------------------------------------------------------- [Enlarge/Download Table] Par / Shares Value ------------ --------- (dollars in thousands) Series 1999 (Holnam Texas Limited Partnership Project) 2.03%, Due 9/1/2031, LOC Bank One 1,200 1,200 Mansfield Texas Industrial Development Corporation, Variable Rate Demand Revenue Bonds, Series 1986, 2.80%, Due 11/1/2026, LOC - Bank of New York 1,600 1,600 ---------- TOTAL TEXAS 2,800 ---------- UTAH - 3.58% 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 ---------- WYOMING - 4.67% Sweetwater County, Wyoming Pollution Control Revenue Refunding Bonds, Series 1990A (Pacificorp Project), 2.28%, Due 7/1/2015, LOC First National Bank 1,500 1,500 ---------- TOTAL WYOMING 1,500 ---------- TOTAL MUNICIPAL OBLIGATIONS 29,679 ---------- OTHER INVESTMENTS -- 7.48% Federated Municipal Obligations Fund 1,163,424 1,163 BlackRock Provident MuniCash Fund 1,240,523 1,241 ---------- TOTAL OTHER INVESTMENTS 2,404 ---------- TOTAL INVESTMENTS-- 99.82% (COST $32,083) 32,083 ---------- OTHER ASSETS, NET OF LIABILITIES -- 0.18% 59 ---------- TOTAL NET ASSETS-- 100% $ 32,142 ========== Based on the cost of investments of $32,083 for federal income tax purposes at September 30, 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. For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements. Page 2 of 2
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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 September 30, 2005 is provided below.
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STATE STREET EQUITY 500 INDEX PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) [Download Table] MARKET VALUE SHARES (000) --------- ----------- COMMON STOCKS -- 98.12% CONSUMER DISCRETIONARY -- 10.52% Apollo Group, Inc. (a) 31,175 $ 2,070 AutoNation, Inc. (a) 38,400 767 AutoZone, Inc. (a) 11,887 990 Bed Bath & Beyond, Inc. (a) 64,014 2,572 Best Buy Co., Inc. 86,581 3,769 Big Lots, Inc. (a) 24,438 269 Black & Decker Corp. 17,033 1,398 Brunswick Corp. 20,829 786 Carnival Corp. 92,319 4,614 Centex Corp. 27,876 1,800 Circuit City Stores, Inc. 35,039 601 Clear Channel Communications, Inc. 116,065 3,817 Coach, Inc. (a) 82,200 2,578 Comcast Corp. (a) 469,667 13,799 Cooper Tire & Rubber Co. 12,537 191 D.R. Horton, Inc. 58,200 2,108 Dana Corp. 32,949 310 Darden Restaurants, Inc. 28,810 875 Delphi Corp. 121,567 336 Dillard's, Inc. Class A 15,253 318 Dollar General Corp. 68,615 1,258 Dow Jones & Co., Inc. 12,526 478 Eastman Kodak Co. 60,837 1,480 eBay, Inc. (a) 237,420 9,782 Family Dollar Stores, Inc. 34,768 691 Federated Department Stores, Inc. 56,690 3,791 Ford Motor Co. 396,355 3,908 Fortune Brands, Inc. 31,566 2,567 Gannett Co., Inc. 52,338 3,602 Gap, Inc. 123,930 2,160 General Motors Corp. 121,973 3,734 Genuine Parts Co. 36,593 1,570 Goodyear Tire & Rubber Co. (a) 37,942 592 H&R Block, Inc. 69,420 1,665 Harley-Davidson, Inc. 58,538 2,836 Harrah's Entertainment, Inc. 39,233 2,558 Hasbro, Inc. 39,487 776 Hilton Hotels Corp. 70,043 1,563 Home Depot, Inc. 458,357 17,482 International Game Technology 72,352 1,953 Interpublic Group of Cos., Inc. (a) 88,477 1,030 JC Penney & Co., Inc. 53,388 2,532 Johnson Controls, Inc. 41,696 2,587 Jones Apparel Group, Inc. 25,079 715 KB HOME 16,562 1,212 Knight-Ridder, Inc. 14,691 862 Kohl's Corp. (a) 73,710 3,699 Leggett & Platt, Inc. 39,654 801 Limited Brands 74,469 1,521 Liz Claiborne, Inc. 22,941 902 Lowe's Cos., Inc. 166,723 10,737 Marriot International, Inc. Class A 36,639 2,308 Mattel, Inc. 86,345 1,440 Maytag Corp. 17,529 320 McDonald's Corp. 268,653 8,997 McGraw-Hill, Inc. 80,626 3,873 Meredith Corp. 8,947 446 New York Times Co. Class A 30,745 915 Newell Rubbermaid, Inc. 57,721 1,307 News Corp. Class A 524,000 8,169 NIKE, Inc. Class B 40,813 3,334 Nordstrom, Inc. 47,176 1,619 Office Depot, Inc. (a) 66,770 1,983 OfficeMax, Inc. 14,319 453 Omnicom Group, Inc. 39,317 3,288 Pulte Homes, Inc. 45,772 1,965 Radioshack Corp. 28,653 711 Reebok International, Ltd. 11,271 638 Sears Holdings Corp. (a) 22,152 2,756 Sherwin-Williams Co. 24,270 1,070 Snap-On, Inc. 12,548 453 Stanley Works 15,532 725 Staples, Inc. 158,625 3,382 Starbucks Corp. (a) 82,126 4,115 Starwood Hotels & Resorts Worldwide, Inc. Class B 47,112 2,693 Target Corp. 189,257 9,828 Tiffany & Co. 30,068 1,196 Time Warner, Inc. 1,005,247 18,205 TJX Cos., Inc. 99,413 2,036 Tribune Co. 56,555 1,917 Univision Communications, Inc. Class A (a) 49,218 1,306 V.F. Corp. 19,088 1,107 Viacom, Inc. Class B 339,497 11,207 Visteon Corp. 27,553 269 Walt Disney Co. 429,673 10,368 Wendy's International, Inc. 24,567 1,109 Whirlpool Corp. 14,166 1,073 Yum! Brands, Inc. 61,022 2,954 ----------- 254,547 ----------- CONSUMER STAPLES -- 9.51% Alberto Culver Co. Class B 16,058 719 Albertson's, Inc. 79,913 2,050 Altria Group, Inc. 444,464 32,762 Anheuser-Busch Cos., Inc. 166,167 7,152 Archer-Daniels-Midland Co. 139,167 3,432 Avon Products, Inc. 101,748 2,747 Brown-Forman Corp. Class B 17,682 1,053 Campbell Soup Co. 39,583 1,178 Clorox Co. 32,410 1,800 Coca-Cola Co. 444,635 19,204 Coca-Cola Enterprises, Inc. 64,300 1,254 Colgate-Palmolive Co. 111,835 5,904 1
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STATE STREET EQUITY 500 INDEX PORTFOLIO PORTFOLIO OF INVESTMENTS -(CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED) [Download Table] MARKET VALUE SHARES (000) --------- ----------- CONSUMER STAPLES -- (CONTINUED) ConAgra Foods, Inc. 109,746 $ 2,716 Constellation Brands, Inc. Class A (a) 42,900 1,115 Costco Wholesale Corp. 102,451 4,415 CVS Corp. 173,884 5,044 General Mills, Inc. 77,864 3,753 Gillette Co. 192,344 11,194 H.J. Heinz Co. 73,820 2,697 Hershey Foods Corp. 39,308 2,213 Kellogg Co. 54,829 2,529 Kimberly-Clark Corp. 102,464 6,100 Kroger Co. (a) 156,322 3,219 McCormick & Co., Inc. 28,600 933 Molson Coors Brewing Co., Class B 12,244 784 Pepsi Bottling Group, Inc. 29,553 844 PepsiCo, Inc. 357,610 20,280 Procter & Gamble Co. 548,822 32,633 Reynolds American, Inc. 18,240 1,514 Safeway, Inc. 95,193 2,437 Sara Lee Corp. 169,417 3,211 SuperValu, Inc. 29,060 904 Sysco Corp. 136,481 4,281 Tyson Foods, Inc., Class A 53,800 971 UST Corp. 34,647 1,450 Wal-Mart Stores, Inc. 534,828 23,436 Walgreen Co. 218,710 9,503 Wrigley Wm., Jr. Co. 38,316 2,754 ----------- 230,185 ----------- ENERGY -- 10.06% Amerada Hess Corp. 17,002 2,338 Anadarko Petroleum Corp. 50,554 4,841 Apache Corp. 70,330 5,290 Baker Hughes, Inc. 72,880 4,349 BJ Services Co. 69,810 2,512 Burlington Resources, Inc. 81,256 6,608 ChevronTexaco Corp. 482,288 31,218 ConocoPhillips 298,082 20,839 Devon Energy Corp. 97,022 6,660 El Paso Corp. 140,994 1,960 EOG Resources, Inc. 51,768 3,877 ExxonMobil Corp. 1,350,202 85,792 Halliburton Co. 108,686 7,447 Kerr-McGee Corp. 24,721 2,401 Kinder Morgan, Inc. 20,338 1,956 Marathon Oil Corp. 78,257 5,394 Murphy Oil Corp. 34,900 1,740 Nabors Industries, Ltd. (a) 33,715 2,422 National Oilwell Varco, Inc. (a) 37,500 2,467 Noble Corp. 29,623 2,028 Occidental Petroleum Corp. 85,523 7,306 Rowan Cos., Inc. 23,239 825 Schlumberger, Ltd. 125,807 10,616 Sunoco, Inc. 28,856 2,257 Transocean, Inc. (a) 70,295 4,310 Valero Energy Corp. 65,400 7,394 Weatherford International, Ltd. (a) 30,000 2,060 Williams Cos., Inc. 123,637 3,097 XTO Energy, Inc. 78,000 3,535 ----------- 243,539 ----------- FINANCIALS -- 19.69% ACE, Ltd. 62,355 2,935 AFLAC, Inc. 107,316 4,861 Allstate Corp. 140,607 7,774 Ambac Financial Group, Inc. 23,047 1,661 American Express Co. 266,473 15,306 American International Group, Inc. 555,683 34,430 AmSouth Bancorp 74,619 1,885 AON Corp. 69,023 2,214 Apartment Investment & Management Co. Class A 20,500 795 Archstone-Smith Trust 45,300 1,806 Bank of America Corp. 860,400 36,223 Bank of New York Co., Inc. 166,479 4,896 BB&T Corp. 117,118 4,573 Bear Stearns Cos., Inc. 24,099 2,645 Capital One Financial Corp. 61,715 4,908 Charles Schwab Corp. 222,293 3,208 Chubb Corp. 42,439 3,800 Cincinnati Financial Corp. 37,405 1,567 CIT Group, Inc. 43,200 1,952 Citigroup, Inc. 1,107,171 50,398 Comerica, Inc. 35,532 2,093 Compass Bancshares, Inc. 26,100 1,196 Countrywide Financial Corp. 127,186 4,195 E*Trade Financial Corp. (a) 80,900 1,424 Equity Office Properties Trust 87,841 2,873 Equity Residential 62,207 2,354 Fannie Mae 207,029 9,279 Federal Home Loan Mortgage Corp. 147,846 8,347 Federated Investors, Inc. Class B 18,100 601 Fifth Third Bancorp 119,000 4,371 First Horizon National Corp. 26,117 949 Franklin Resources, Inc. 31,744 2,665 Golden West Financial Corp. 54,622 3,244 Goldman Sachs Group, Inc. 99,500 12,097 Hartford Financial Services Group, Inc. 64,088 4,946 Huntington Bancshares, Inc. 49,154 1,104 J.P. Morgan Chase & Co. 752,219 25,523 Janus Capital Group, Inc. 48,419 700 Jefferson-Pilot Corp. 28,460 1,456 KeyCorp 88,509 2,854 Lehman Brothers Holdings, Inc. 58,318 6,793 Lincoln National Corp. 36,431 1,895 2
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STATE STREET EQUITY 500 INDEX PORTFOLIO PORTFOLIO OF INVESTMENTS -(CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED) [Download Table] MARKET VALUE SHARES (000) --------- ----------- FINANCIALS -- (CONTINUED) Loews Corp. 29,014 $ 2,681 M & T Bank Corp. 17,200 1,818 Marsh & McLennan Cos., Inc. 115,536 3,511 Marshall & Ilsley Corp. 44,892 1,953 MBIA, Inc. 28,458 1,725 MBNA Corp. 270,602 6,668 Mellon Financial Corp. 89,423 2,859 Merrill Lynch & Co., Inc. 198,327 12,167 MetLife, Inc. 161,807 8,063 MGIC Investment Corp. 20,162 1,294 Moody's Corp. 53,930 2,755 Morgan Stanley 232,343 12,533 National City Corp. 121,191 4,053 North Fork Bancorp, Inc. 103,435 2,638 Northern Trust Corp. 39,540 1,999 Plum Creek Timber Co., Inc. 38,580 1,463 PNC Financial Services Group, Inc. 62,147 3,606 Principal Financial Group, Inc. 59,650 2,826 Progressive Corp. 42,447 4,447 ProLogis 52,800 2,340 Providian Financial Corp. (a) 62,173 1,099 Prudential Financial, Inc. 109,900 7,425 Public Storage, Inc. 17,700 1,186 Regions Financial Corp. 97,709 3,041 SAFECO Corp. 26,764 1,429 Simon Property Group, Inc. 39,163 2,903 SLM Corp. 89,942 4,824 Sovereign Bancorp, Inc. 76,800 1,693 St. Paul Travelers Cos., Inc. 144,525 6,485 State Street Corp. (b) 71,425 3,494 SunTrust Banks, Inc. 77,572 5,387 Synovus Financial Corp. 67,704 1,877 T. Rowe Price Group, Inc. 27,790 1,815 Torchmark Corp. 22,276 1,177 U.S. Bancorp 390,961 10,978 UnumProvident Corp. 62,935 1,290 Vornado Realty Trust 25,200 2,183 Wachovia Corp. 337,786 16,075 Washington Mutual, Inc. 188,113 7,378 Wells Fargo Co. 361,511 21,174 XL Capital, Ltd. Class A 30,432 2,070 Zions Bancorp 19,619 1,397 ----------- 476,575 ----------- HEALTH CARE -- 12.96% Abbott Laboratories 332,867 14,114 Aetna, Inc. 62,464 5,381 Allergan, Inc. 28,291 2,592 AmerisourceBergen Corp. 22,116 1,710 Amgen, Inc. (a) 264,175 21,047 Applera Corp. - Applied Biosystems Group 42,467 987 Bausch & Lomb, Inc. 11,325 914 Baxter International, Inc. 133,126 5,308 Becton, Dickinson & Co. 53,429 2,801 Biogen Idec, Inc. (a) 72,473 2,861 Biomet, Inc. 53,041 1,841 Boston Scientific Corp. (a) 126,296 2,952 Bristol-Myers Squibb Co. 418,317 10,065 C.R. Bard, Inc. 22,094 1,459 Cardinal Health, Inc. 91,866 5,828 Caremark Rx, Inc. (a) 96,908 4,839 Chiron Corp. (a) 23,344 1,018 CIGNA Corp. 27,589 3,252 Coventry Health Care, Inc. (a) 23,000 1,978 Eli Lilly & Co. 242,497 12,978 Express Scripts, Inc. (a) 32,300 2,009 Fisher Scientific International, Inc. (a) 26,500 1,644 Forest Laboratories, Inc. (a) 73,406 2,861 Genzyme Corp. (a) 54,905 3,933 Gilead Sciences, Inc. (a) 97,500 4,754 Guidant Corp. 70,564 4,861 HCA, Inc. 96,659 4,632 Health Management Associates, Inc. Class A 52,698 1,237 Hospira, Inc. (a) 34,836 1,427 Humana, Inc. (a) 34,425 1,648 IMS Health, Inc. 48,381 1,218 Johnson & Johnson 637,046 40,312 King Pharmaceuticals, Inc. (a) 52,332 805 Laboratory Corp. of America Holdings (a) 29,500 1,437 Manor Care, Inc. 16,651 640 McKesson Corp. 65,931 3,128 Medco Health Solutions, Inc. (a) 65,072 3,568 MedImmune, Inc. (a) 51,965 1,749 Medtronic, Inc. 259,302 13,904 Merck & Co., Inc. 469,603 12,778 Millipore Corp. (a) 10,728 675 Mylan Laboratories Inc. 46,100 888 Pfizer, Inc. 1,578,374 39,412 Quest Diagnostics Inc. 35,500 1,794 Schering-Plough Corp. 315,824 6,648 St. Jude Medical, Inc. (a) 77,994 3,650 Stryker Corp. 62,108 3,070 Tenet Healthcare Corp. (a) 99,009 1,112 Thermo Electron Corp. (a) 33,929 1,048 UnitedHealth Group, Inc. 270,468 15,200 Watson Pharmaceuticals, Inc. (a) 22,003 805 Wellpoint, Inc. (a) 131,278 9,953 Wyeth 286,831 13,272 Zimmer Holdings, Inc. (a) 53,320 3,673 ----------- 313,670 ----------- INDUSTRIALS -- 10.87% 3M Co. 163,684 12,008 3
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STATE STREET EQUITY 500 INDEX PORTFOLIO PORTFOLIO OF INVESTMENTS -(CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED) [Download Table] MARKET VALUE SHARES (000) --------- ----------- INDUSTRIALS -- (CONTINUED) Allied Waste Industries, Inc.(a) 46,467 $ 393 American Power Conversion Corp. 36,667 950 American Standard Cos., Inc. 39,221 1,826 Avery Dennison Corp. 23,670 1,240 Boeing Co. 175,545 11,928 Burlington Northern Santa Fe Corp. 80,450 4,811 Caterpillar, Inc. 145,470 8,546 Cendant Corp. 225,422 4,653 Cintas Corp. 29,382 1,206 Cooper Industries, Ltd. 19,521 1,350 CSX Corp. 45,824 2,130 Cummins, Inc. 9,973 877 Danaher Corp. 50,826 2,736 Deere & Co. 51,941 3,179 Dover Corp. 42,713 1,742 Eaton Corp. 31,778 2,019 Emerson Electric Co. 88,435 6,350 Equifax, Inc. 27,769 970 FedEx Corp. 64,746 5,641 Fluor Corp. 18,106 1,166 General Dynamics Corp. 43,006 5,141 General Electric Co. (c) 2,270,123 76,435 Goodrich Co. 25,755 1,142 Honeywell International, Inc. 182,942 6,860 Illinois Tool Works, Inc. 44,664 3,677 Ingersoll-Rand Co. Class A 72,900 2,787 ITT Industries, Inc. 19,602 2,227 L-3 Communications Holdings, Inc. 25,700 2,032 Lockheed Martin Corp. 77,871 4,753 Masco Corp. 91,274 2,800 Monster Worldwide, Inc. (a) 25,792 792 Navistar International Corp. (a) 13,180 427 Norfolk Southern Corp. 87,361 3,543 Northrop Grumman Corp. 76,978 4,184 PACCAR, Inc. 36,570 2,483 Pall Corp. 26,774 736 Parker-Hannifin Corp. 25,223 1,622 Pitney Bowes, Inc. 48,439 2,022 R.R. Donnelley & Sons Co. 46,660 1,730 Raytheon Co. 97,414 3,704 Robert Half International, Inc. 36,214 1,289 Rockwell Automation, Inc. 38,820 2,054 Rockwell Collins, Inc. 37,619 1,818 Ryder Systems, Inc. 13,980 478 Southwest Airlines Co. 147,740 2,194 Textron, Inc. 28,375 2,035 Tyco International, Ltd. 432,848 12,055 Union Pacific Corp. 56,840 4,075 United Parcel Service, Inc. Class B 237,100 16,391 United Technologies Corp. 219,214 11,364 W.W. Grainger, Inc. 16,109 1,014 Waste Management, Inc. 119,679 3,424 ----------- 263,009 ----------- INFORMATION TECHNOLOGY -- 15.06% ADC Telecommunications, Inc. (a) 25,018 572 Adobe Systems, Inc. 106,242 3,171 Advanced Micro Devices, Inc. (a) 86,384 2,177 Affiliated Computer Services, Inc. (a) 26,500 1,447 Agilent Technologies, Inc. (a) 105,727 3,463 Altera Corp. (a) 79,078 1,511 Analog Devices, Inc. 79,661 2,959 Andrew Corp. (a) 34,827 388 Apple Computer, Inc. (a) 177,492 9,515 Applied Materials, Inc. 346,761 5,881 Applied Micro Circuits Corp. (a) 68,042 204 Autodesk, Inc. 49,530 2,300 Automatic Data Processing, Inc. 124,938 5,377 Avaya, Inc. (a) 90,415 931 BMC Software, Inc. (a) 46,836 988 Broadcom Corp. (a) 60,246 2,826 CIENA Corp. (a) 126,088 333 Cisco Systems, Inc. (a) 1,368,559 24,538 Citrix Systems, Inc. (a) 35,753 899 Computer Associates International, Inc. 99,144 2,757 Computer Sciences Corp. (a) 40,182 1,901 Compuware Corp. (a) 84,057 799 Comverse Technology, Inc. (a) 42,838 1,125 Convergys Corp. (a) 30,805 443 Corning, Inc. (a) 314,885 6,087 Dell, Inc. (a) 513,391 17,558 Electronic Arts, Inc. (a) 64,600 3,675 Electronic Data Systems Corp. 112,286 2,520 EMC Corp. (a) 515,641 6,672 First Data Corp. 166,004 6,640 Fiserv, Inc. (a) 40,247 1,846 Freescale Semiconductor, Inc. (a) 87,908 2,073 Gateway, Inc. (a) 65,065 176 Hewlett-Packard Co. 613,519 17,915 Intel Corp. 1,304,803 32,163 International Business Machines Corp. 341,718 27,413 Intuit, Inc. (a) 38,951 1,745 Jabil Circuit, Inc. (a) 36,613 1,132 JDS Uniphase Corp. (a) 352,519 783 KLA-Tencor Corp. 42,864 2,090 Lexmark International Group, Inc. Class A (a) 25,102 1,533 Linear Technology Corp. 66,375 2,495 LSI Logic Corp. (a) 81,935 807 4
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STATE STREET EQUITY 500 INDEX PORTFOLIO PORTFOLIO OF INVESTMENTS -(CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED) [Download Table] MARKET VALUE SHARES (000) --------- ----------- INFORMATION TECHNOLOGY -- (CONTINUED) Lucent Technologies, Inc. (a) 960,472 $ 3,122 Maxim Integrated Products, Inc. 70,856 3,022 Mercury Interactive Corp. (a) 18,248 723 Micron Technology, Inc. (a) 129,932 1,728 Microsoft Corp. (c) 1,972,904 50,763 Molex, Inc. 30,910 825 Motorola, Inc. 528,098 11,666 National Semiconductor Corp. 73,518 1,934 NCR Corp. (a) 39,184 1,250 Network Appliance, Inc. (a) 77,867 1,849 Novell, Inc. (a) 82,542 615 Novellus Systems, Inc. (a) 28,769 722 NVIDIA Corp. (a) 35,951 1,232 Oracle Corp. (a) 806,638 9,994 Parametric Technology Corp. (a) 58,241 406 Paychex, Inc. 71,027 2,634 PerkinElmer, Inc. 27,257 555 PMC-Sierra, Inc. (a) 38,624 340 QLogic Corp. (a) 19,245 658 QUALCOMM, Inc. 349,178 15,626 Sabre Holdings Corp. Class A 28,424 576 Sanmina-SCI Corp. (a) 112,858 484 Scientific-Atlanta, Inc. 32,168 1,207 Siebel Systems, Inc. 110,658 1,143 Solectron Corp. (a) 204,614 800 Sun Microsystems, Inc. (a) 737,088 2,889 Symantec Corp. (a) 256,234 5,806 Symbol Technologies, Inc. 52,185 505 Tektronix, Inc. 18,629 470 Tellabs, Inc. (a) 95,775 1,008 Teradyne, Inc. (a) 41,392 683 Texas Instruments, Inc. 347,603 11,784 Unisys Corp. (a) 72,779 483 Waters Corp. (a) 25,057 1,042 Xerox Corp. (a) 207,342 2,830 Xilinx, Inc. 74,104 2,064 Yahoo!, Inc. (a) 268,180 9,075 ----------- 364,341 ----------- MATERIALS -- 2.83% Air Products & Chemicals, Inc. 47,289 2,608 Alcoa, Inc. 186,646 4,558 Allegheny Technologies, Inc. 18,029 559 Ashland, Inc. 15,880 877 Ball Corp. 23,170 851 Bemis Co., Inc. 23,128 571 Dow Chemical Co. 206,299 8,596 E.I. Du Pont de Nemours & Co. 212,739 8,333 Eastman Chemical Co. 16,862 792 Ecolab, Inc. 39,426 1,259 Engelhard Corp. 25,130 701 Freeport-McMoRan Copper & Gold, Inc. Class B 38,014 1,847 Georgia-Pacific Group 56,440 1,922 Hercules, Inc. (a) 24,698 302 International Flavors & Fragrances, Inc. 17,504 624 International Paper Co. 105,956 3,158 Louisiana-Pacific Corp. 23,859 661 MeadWestvaco Corp. 39,188 1,082 Monsanto Co. 57,946 3,636 Newmont Mining Corp. 96,142 4,535 Nucor Corp. 33,904 2,000 Pactiv Corp. (a) 32,164 564 Phelps Dodge Corp. 21,005 2,729 PPG Industries, Inc. 36,090 2,136 Praxair, Inc. 69,820 3,346 Rohm & Haas Co. 31,096 1,279 Sealed Air Corp. (a) 18,036 856 Sigma-Aldrich Corp. 14,493 928 Temple-Inland, Inc. 23,828 973 United States Steel Corp. 24,002 1,017 Vulcan Materials Co. 22,296 1,655 Weyerhaeuser Co. 52,824 3,632 ----------- 68,587 ----------- TELECOMMUNICATION SERVICES -- 3.04% ALLTEL Corp. 81,698 5,319 AT&T Corp. 173,147 3,428 BellSouth Corp. 391,928 10,308 CenturyTel, Inc. 27,408 959 Citizens Communications Co. 72,677 985 Qwest Communications International, Inc. (a) 325,122 1,333 SBC Communications, Inc. 707,504 16,959 Sprint Corp. (Fon Group) 628,100 14,936 Verizon Communications, Inc. 592,198 19,359 ----------- 73,586 ----------- UTILITIES -- 3.58% AES Corp. (a) 137,914 2,266 Allegheny Energy, Inc. (a) 33,899 1,041 Ameren Corp. 44,142 2,361 American Electric Power Co., Inc. 84,054 3,337 Calpine Corp. (a) 115,752 300 CenterPoint Energy, Inc. 67,993 1,011 Cinergy Corp. 43,158 1,917 CMS Energy Corp. (a) 46,605 767 Consolidated Edison, Inc. 52,822 2,564 Constellation Energy Group, Inc. 38,503 2,372 Dominion Resources, Inc. 72,887 6,278 DTE Energy Co. 38,046 1,745 Duke Energy Corp. 198,177 5,781 Dynegy, Inc. Class A (a) 61,330 289 Edison International 70,362 3,327 Entergy Corp. 44,643 3,318 5
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STATE STREET EQUITY 500 INDEX PORTFOLIO PORTFOLIO OF INVESTMENTS -(CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED) [Download Table] MARKET VALUE SHARES (000) --------- ----------- UTILITIES -- (CONTINUED) Exelon Corp. 143,378 $ 7,662 FirstEnergy Corp. 71,212 3,711 FPL Group, Inc. 84,278 4,012 KeySpan Corp. 38,006 1,397 Nicor, Inc. 9,313 391 NiSource, Inc. 59,367 1,440 Peoples Energy Corp. 8,131 320 PG&E Corp. 79,823 3,133 Pinnacle West Capital Corp. 20,581 907 PPL Corp. 80,536 2,604 Progress Energy, Inc. 54,408 2,435 Public Service Enterprise Group, Inc. 51,622 3,322 Sempra Energy 54,789 2,578 Southern Co. 159,758 5,713 TECO Energy, Inc. 43,276 780 TXU Corp. 51,348 5,796 Xcel Energy, Inc. 87,497 1,716 ----------- 86,591 ----------- TOTAL COMMON STOCKS (Cost $1,732,381,780) 2,374,630 ----------- [Download Table] PAR MARKET AMOUNT VALUE (000) (000) ------- ------ U.S. GOVERNMENT SECURITIES -- 0.18% United States Treasury Bill 3.37% due 12/08/05 (c) (d) $ 4,299 4,272 ------ TOTAL U.S. GOVERNMENT SECURITIES (Cost $4,272,439) 4,272 ------ [Download Table] MARKET SHARES VALUE (000) (000) ------- ---------- MONEY MARKET FUNDS -- 1.55% AIM Short Term Investment Prime Portfolio 36,899 $ 36,899 Federated Money Market Obligations Trust 497 497 ---------- TOTAL MONEY MARKET FUNDS (Cost $37,395,993) 37,396 ---------- TOTAL INVESTMENTS -- 99.85% (identified cost $1,774,050,212) (e) (f) 2,416,298 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.15% 3,741 ---------- NET ASSETS -- 100.00% $2,420,039 ---------- (a) Non-income producing security. (b) Affiliated issuer. See table that follows for more information. (c) Security held as collateral in relation to initial margin requirements on futures contracts. (d) Rate represents annualized yield at date of purchase. (e) Cost of investments shown approximates cost for federal income tax purposes. Gross unrealized appreciation and gross unrealized depreciation of investments at September 30, 2005 was $762,919,013 and $120,671,023, respectively, resulting in net unrealized appreciation of investments of $642,247,990. (f) Security valuation: The Portfolio'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. 6
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STATE STREET EQUITY 500 INDEX PORTFOLIO PORTFOLIO OF INVESTMENTS -(CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED) [Download Table] Number Unrealized of Depreciation Contracts (000) ------------------------------------------------------------------- SCHEDULE OF FUTURES CONTRACTS S&P 500 Financial Futures Contracts (long) Expiration Date 12/2005 453 $ (156) ------------ Total unrealized depreciation on open futures contracts purchased $ (156) ============ 7
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STATE STREET EQUITY 500 INDEX PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) AFFILIATE ISSUER TABLE [Enlarge/Download Table] Number of Number of Shares Shares Purchased Shares Sold Shares Realized held For the Nine For the Nine held Income Earned Gain Security at Months Months at For the Nine Months on shares Description 12/31/04 Ended 09/30/05 Ended 09/30/05 09/30/05 Ended 09/30/05 sold ----------------------- ---------- ----------------- --------------- --------- ------------------- -------------- State Street Corp. 79,225 6,600 14,400 71,425 $ 39,807 $ 86,566 State Street Navigator Securities Lending Prime Portfolio 98,441,667 953,981,360 1,052,423,027 - $ 93,444 - For information on the Portfolio's other significant accounting policies, please refer to the Portfolio's most recent semiannual financial statements. 8
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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 September 30, 2005 is provided below. MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- ADVERTISING AGENCIES - 0.6% 10,235 Advo, Inc. $ 320,253 19,600 aQuantive, Inc. (a) 394,548 15,600 Catalina Marketing Corp. 354,744 8,300 Greenfield Online, Inc. (a) 45,152 4,700 Marchex, Inc. Class B (a)(e) 77,832 16,000 Valassis Communications, Inc. (a) 623,680 23,600 ValueClick, Inc. (a) 403,324 6,900 Ventiv Health, Inc. (a) 180,849 ---------- 2,400,382 ---------- AEROSPACE - 0.5% 1,800 ARGON ST, Inc. (a) 52,812 7,734 Curtiss-Wright Corp. 477,265 8,826 Heico Corp. 204,763 5,500 K&F Industries Holdings, Inc. (a) 92,015 4,400 MTC Technologies, Inc. (a) 140,712 11,313 Moog, Inc. Class A (a) 333,960 16,635 Orbital Sciences Corp. (a) 207,938 10,934 Teledyne Technologies, Inc. (a) 376,895 3,900 United Industrial Corp. 139,425 ---------- 2,025,785 ---------- AGRICULTURE, FISHING & 1,100 Alico, Inc. 56,430 RANCHING - 0.2% 3,200 The Andersons, Inc. 93,696 11,828 Delta & Pine Land Co. 312,377 18,300 Gold Kist, Inc. (a) 357,765 ---------- 820,268 ---------- AIR TRANSPORT - 0.8% 12,068 AAR Corp. (a) 207,328 15,100 ABX Air, Inc. (a) 123,820 27,120 Airtran Holdings, Inc. (a) 343,339 8,399 Alaska Air Group, Inc. (a) 244,075 10,000 Aviall, Inc. (a) 337,800 24,100 Continental Airlines, Inc. Class B (a)(e) 232,806 37,700 Delta Air Lines, Inc. (a)(e) 28,275 12,895 EGL, Inc. (a) 350,099 11,000 ExpressJet Holdings, Inc. (a) 98,670 12,055 Frontier Airlines, Inc. (a) 117,898 100 MAIR Holdings, Inc. (a) 583 9,056 Mesa Air Group, Inc. (a)(e) 74,712 23,400 Northwest Airlines Corp. (a)(e) 15,561 7,185 Offshore Logistics, Inc. (a) 265,845 10,300 Pinnacle Airlines Corp. (a) 66,950 2,700 Republic Airways Holdings, Inc. (a) 38,637 20,100 Skywest, Inc. 539,082 5,700 World Air Holdings, Inc. (a) 60,420 ---------- 3,145,900 ---------- ALUMINUM - 0.1% 9,200 Aleris International, Inc. (a) 252,540 8,602 Century Aluminum Co. (a) 193,373 ---------- 445,913 ---------- AUTO PARTS: AFTER MARKET - 8,843 Aftermarket Technology Corp. (a) 162,623 0.2% 5,950 Commercial Vehicle Group, Inc. (a) 124,593 6,000 Keystone Automotive Industries, Inc. (a) 172,860 1,000 R&B, Inc. (a) 10,250 3,300 Standard Motor Products, Inc. 26,763 6,899 Superior Industries International, Inc. (e) 148,466 6,600 TBC Corp. (a) 227,634 ---------- 873,189 ---------- 1
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- AUTO PARTS: ORIGINAL 11,400 American Axle & Manufacturing Holdings, EQUIPMENT - 0.4% Inc. $ 263,112 22,400 ArvinMeritor, Inc. 374,528 17,600 Hayes Lemmerz International, Inc. (a) 78,848 2,200 Noble International Ltd. 53,152 19,900 Quantum Fuel Systems Technologies Worldwide, Inc. (a)(e) 81,590 2,273 Sauer-Danfoss, Inc. 45,460 800 Strattec Security Corp. (a) 41,480 13,400 Tenneco, Inc. (a) 234,634 40,200 Visteon Corp. 393,156 ---------- 1,565,960 ---------- AUTO, TRUCKS & PARTS - 0.2% 1,200 Accuride Corp. (a) 16,572 12,294 Modine Manufacturing Co. 450,944 9,445 Wabash National Corp. 185,689 ---------- 653,205 ---------- BANKS: NEW YORK CITY - 0.0% 5,500 Signature Bank (a) 148,445 ---------- BANKS: OUTSIDE NEW YORK CITY 3,540 1st Source Corp. 81,951 - 7.3% 3,600 ABC Bancorp 69,084 3,821 Alabama National Bancorporation 244,315 8,518 Amcore Financial, Inc. 265,847 22,004 Amegy Bancorp, Inc. 497,951 5,350 AmericanWest Bancorp (a) 123,692 1,500 Ames National Corp. 40,785 2,705 Arrow Financial Corp. 73,354 900 The Banc Corp. (a) 9,720 1,845 Bancfirst Corp. 156,825 2,715 The Bancorp Inc. (a) 43,413 24,900 Bancorpsouth, Inc. 568,965 1,200 BancTrust Financial Group, Inc. 22,932 3,986 Bank of Granite Corp. 75,893 3,100 Bank of the Ozarks, Inc. 106,423 3,113 Banner Corp. 82,930 10,893 Boston Private Financial Holdings, Inc. 289,100 13,960 CVB Financial Corp. 259,656 1,600 Camden National Corp. 60,272 3,221 Capital City Bank Group, Inc. 121,464 2,700 Capital Corp. of the West 82,485 3,100 Capital Crossing Bank (a) 107,694 2,600 Capitol Bancorp Ltd. 84,240 12,100 Cardinal Financial Corp. 116,765 5,500 Cascade Bancorp 114,840 15,644 Cathay General Bancorp 554,736 5,300 Center Financial Corp. 124,550 3,482 Central Coast Bancorp (a) 74,201 9,548 Central Pacific Financial Corp. 335,899 7,548 Chemical Financial Corp. 245,310 14,282 Chittenden Corp. 378,616 1,600 Citizens & Northern Corp. 42,048 15,600 Citizens Banking Corp. 443,040 7,293 City Holding Co. 260,798 2,299 CityBank 78,304 1,800 Clifton Savings Bancorp, Inc. 18,540 3,926 CoBiz, Inc. 73,063 500 Colony Bankcorp, Inc. 13,530 600 Columbia Bancorp 24,114 2
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 6,641 Columbia Banking System, Inc. $ 174,193 500 Commercial Bankshares, Inc. 18,795 3,000 Community Bancorp (a) 98,970 8,300 Community Bank System, Inc. 187,580 5,642 Community Banks, Inc. 158,597 3,623 Community Trust Bancorp, Inc. 116,588 4,752 Corus Bankshares, Inc. 260,552 24,300 Doral Financial Corp. 317,601 700 Enterprise Financial Services Corp. 14,854 1,600 EuroBancshares, Inc. (a) 23,856 1,900 FNB Corp. 52,592 1,785 Farmers Capital Bank Corp. 55,174 1,700 Financial Institutions, Inc. 31,297 20,000 First BanCorp. 338,400 3,036 First Bancorp 60,841 4,014 First Busey Corp. 78,153 9,123 First Charter Corp. 223,331 1,847 First Citizens BancShares, Inc. Class A 315,191 20,940 First Commonwealth Financial Corp. 279,130 5,300 First Community Bancorp, Inc. 253,499 2,894 First Community Bancshares, Inc. 84,910 10,087 First Financial Bancorp 187,618 5,553 First Financial Bankshares, Inc. 193,411 4,344 First Financial Corp. 117,288 5,546 First Merchants Corp. 143,253 12,800 First Midwest Bancorp, Inc. 476,672 1,150 First Oak Brook Bancshares, Inc. 34,833 1,300 First Regional Bancorp (a) 102,427 400 First South Bancorp, Inc. 13,324 6,500 First State Bancorporation 137,735 9,300 Franklin Bank Corp. (a) 150,195 7,111 Frontier Financial Corp. 206,219 2,200 GB&T Bancshares, Inc. 46,706 8,843 Glacier Bancorp, Inc. 272,983 16,322 Gold Banc Corp., Inc. 243,198 13,700 Greater Bay Bancorp 337,568 6,654 Hancock Holding Co. 227,168 15,804 Hanmi Financial Corp. 283,682 8,778 Harleysville National Corp. 192,677 3,000 Heartland Financial USA, Inc. 58,290 6,200 Heritage Commerce Corp. 128,960 14,300 Hudson United Bancorp 605,319 4,645 Independent Bank Corp./MA 141,115 8,905 Independent Bank Corp./MI 258,603 4,974 Integra Bank Corp. 107,936 5,100 Interchange Financial Services Corp. 88,026 5,448 Irwin Financial Corp. 111,085 4,197 Lakeland Bancorp, Inc. 64,340 1,700 Lakeland Financial Corp. 70,295 6,350 MB Financial, Inc. 247,523 3,477 MBT Financial Corp. 64,081 3,078 Macatawa Bank Corp. 105,298 4,456 Main Street Banks, Inc. 119,421 6,466 MainSource Financial Group, Inc. 114,642 3
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 3,629 Mercantile Bank Corp. $155,285 1 Mercantile Bankshares Corp. 54 7,750 Mid-State Bancshares 213,203 1,580 Midwest Banc Holdings, Inc. 36,530 2,029 NBC Capital Corp. 50,887 9,713 NBT Bancorp, Inc. 229,130 7,300 Nara Bancorp, Inc. 109,135 10,062 National Penn Bancshares, Inc. 250,443 1,200 Northern Empire Bancshares (a) 29,904 22,195 Old National Bancorp 470,978 5,976 Old Second Bancorp, Inc. 178,324 2,541 Omega Financial Corp. 71,224 9,418 Oriental Financial Group 115,276 16,162 Pacific Capital Bancorp 538,033 3,715 Park National Corp. 402,223 2,198 Peapack Gladstone Financial Corp. 60,313 200 Pennsylvania Commerce Bancorp, Inc. (a) 7,136 4,210 Peoples Bancorp, Inc. 116,322 4,400 Pinnacle Financial Partners, Inc. (a) 110,792 6,200 Piper Jaffray Cos. (a) 185,132 1,250 Placer Sierra Bancshares 34,338 400 Preferred Bank 16,076 1,700 Premierwest Bancorp (a) 25,330 6,896 PrivateBancorp, Inc. 236,395 4,800 Prosperity Bancshares, Inc. 145,200 12,124 Provident Bankshares Corp. 421,673 11,211 R-G Financial Corp. Class B 154,151 2,432 Renasant Corp. 76,973 26,109 Republic Bancorp, Inc. 369,181 2,608 Republic Bancorp, Inc. Class A 54,559 1,344 Royal Bancshares of Pennsylvania Class A 30,025 7,863 S&T Bancorp, Inc. 297,221 2,446 SCBT Financial Corp. 77,245 9,900 SVB Financial Group (a) 481,536 2,800 SY Bancorp, Inc. 66,584 4,414 Sandy Spring Bancorp, Inc. 148,752 1,603 Santander BanCorp 39,482 3,458 Seacoast Banking Corp. of Florida 81,021 1,400 Security Bank Corp. 34,846 100 Sierra Bancorp 2,280 4,300 Simmons First National Corp. Class A 122,636 2,975 Southside Bancshares, Inc. 56,555 6,500 Southwest Bancorp, Inc. 142,805 2,601 State Bancorp, Inc. 46,610 1,800 State Financial Services Corp. Class A 65,736 18,176 Sterling Bancshares, Inc. 267,369 8,702 Sterling Financial Corp. 175,345 3,400 Suffolk Bancorp 108,494 1,100 Summit Bancshares, Inc. 20,207 400 Summit Financial Group, Inc. 10,780 5,957 Sun Bancorp, Inc. (a) 125,633 17,116 Susquehanna Bancshares, Inc. 411,469 200 Taylor Capital Group, Inc. 7,564 9,461 Texas Capital Bancshares, Inc. (a) 200,100 4
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ----------- 14,976 Texas Regional Bancshares, Inc. Class A $ 431,159 2,782 Tompkins Trustco, Inc. 120,322 3,400 Trico Bancshares 73,168 22,561 TrustCo Bank Corp. NY 282,689 17,027 Trustmark Corp. 474,202 25,500 UCBH Holdings, Inc. 467,160 5,776 UMB Financial Corp. 379,368 3,496 USB Holding Co., Inc. 79,720 16,450 Umpqua Holdings Corp. 400,064 2,500 Union Bankshares Corp. 104,450 13,500 United Bankshares, Inc. 471,825 9,200 United Community Banks, Inc. 262,200 600 United Security Bancshares 16,242 2,850 Univest Corp. of Pennsylvania 78,803 7,219 Unizan Financial Corp. 174,772 4,100 Vineyard National Bancorp (e) 121,155 2,912 Virginia Commerce Bancorp (a) 78,857 2,100 Virginia Financial Group, Inc. 75,705 4,200 Washington Trust Bancorp, Inc. 114,198 9,063 WesBanco, Inc. 249,233 4,790 West Bancorporation, Inc. 88,711 4,400 West Coast Bancorp 110,000 9,183 Westamerica Bancorporation 474,302 1,920 Western Sierra Bancorp (a) 66,125 4,600 Wilshire Bancorp, Inc. 70,380 8,400 Wintrust Financial Corp. 422,184 3,600 Yardville National Bancorp 126,900 ----------- 28,861,729 ----------- BEVERAGE: BREWERS (WINERIES) - 0.0% 5,000 Boston Beer Co., Inc. Class A (a) 125,000 BEVERAGE: SOFT DRINKS - 0.1% 987 Coca-Cola Bottling Co. Consolidated 48,304 1,710 Farmer Bros. Co. 34,525 4,200 Hansen Natural Corp. (a)(e) 197,106 2,290 National Beverage Corp. (a) 17,770 4,200 Peet's Coffee & Tea, Inc. (a) 128,604 ----------- 426,309 ----------- BIOTECHNOLOGY RESEARCH & 37,100 Aastrom Biosciences, Inc. (a)(e) 86,814 PRODUCTION - 2.4% 25,300 Abgenix, Inc. (a) 320,804 9,087 Albany Molecular Research, Inc. (a) 110,680 10,380 Alexion Pharmaceuticals, Inc. (a) 287,318 9,013 Antigenics, Inc. (a)(e) 48,850 22,300 Applera Corp. - Celera Genomics Group (a) 270,499 14,300 Arena Pharmaceuticals, Inc. (a)(e) 141,570 17,519 Ariad Pharmaceuticals, Inc. (a) 130,166 14,100 Arqule, Inc. (a) 110,403 5,800 Array Biopharma, Inc. (a) 41,644 6,320 Arthrocare Corp. (a) 254,190 8,100 Barrier Therapeutics, Inc. (a) 67,959 9,300 Bioenvision, Inc. (a) 74,679 19,324 Cell Genesys, Inc. (a)(e) 105,896 9,231 Cell Therapeutics, Inc. (a)(e) 26,401 2,200 Cotherix, Inc. (a) 30,690 18,367 Cubist Pharmaceuticals, Inc. (a) 395,625 13,000 CuraGen Corp. (a) 64,350 5
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 9,700 Curis, Inc. (a) $ 44,523 9,100 Cypress Bioscience, Inc. (a) 49,049 16,300 deCODE genetics, Inc. (a)(e) 136,757 4,824 Digene Corp. (a) 137,484 16,000 Discovery Laboratories, Inc. (a) 103,200 6,978 Diversa Corp. (a) 40,403 6,200 Dov Pharmaceutical, Inc. (a) 105,276 17,696 Encysive Pharmaceuticals, Inc. (a) 208,459 17,300 Enzon Pharmaceuticals, Inc. (a) 114,699 22,218 Exelixis, Inc. (a) 170,412 11,100 Genitope Corp. (a)(e) 77,034 15,529 Geron Corp. (a)(e) 159,483 38,500 Human Genome Sciences, Inc. (a) 523,215 18,700 ICOS Corp. (a) 516,494 2,800 Idenix Pharmaceuticals Inc. (a) 70,280 31,024 Incyte Corp. (a) 145,813 5,100 Integra LifeSciences Holdings Corp. (a) 195,126 10,214 InterMune, Inc. (a)(e) 169,042 1,400 Kensey Nash Corp. (a) 42,924 10,600 Keryx Biopharmaceuticals, Inc. (a) 167,056 18,605 Lexicon Genetics, Inc. (a) 74,048 5,850 MannKind Corp. (a)(e) 80,086 300 Marshall Edwards, Inc. (a) 1,743 8,700 Martek Biosciences Corp. (a)(e) 305,631 6,901 Maxygen, Inc. (a) 57,209 3,600 Momenta Pharmaceuticals Inc. (a) 98,100 28,900 Monogram Biosciences, Inc. (a) 67,915 4,400 Myogen, Inc. (a) 103,400 9,400 Myriad Genetics, Inc. (a) 205,484 12,923 NPS Pharmaceuticals, Inc. (a) 130,652 21,254 Nabi Biopharmaceuticals (a) 278,427 19,600 Nanogen, Inc. (a) 62,916 6,900 Nastech Pharmaceutical Co., Inc. (a) 97,566 10,500 Neurocrine Biosciences, Inc. (a) 516,495 5,600 Neurogen Corp. (a) 38,528 7,000 Northfield Laboratories, Inc. (a) 90,300 11,200 Nuvelo, Inc. (a) 107,520 5,500 Orchid Cellmark, Inc. (a) 46,750 4,600 PRA International (a) 139,426 4,800 Progenics Pharmaceuticals, Inc. (a) 113,808 8,970 Rigel Pharmaceuticals, Inc. (a) 213,217 27,400 Savient Pharmaceuticals, Inc. (a) 103,298 7,800 Seattle Genetics, Inc. (a) 40,950 9,672 Serologicals Corp. (a) 218,200 25,400 StemCells, Inc. (a) 140,208 8,245 Tanox, Inc. (a) 120,789 16,832 Telik, Inc. (a) 275,372 900 Tercica, Inc. (a) 10,152 3,338 Trimeris, Inc. (a) 51,205 4,400 ViaCell, Inc. (a) 25,520 7,300 Zymogenetics, Inc. (a) 120,450 ---------- 9,680,632 ---------- 6
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- BUILDING MATERIALS - 0.7% 2,500 Ameron International Corp. $ 116,000 2,900 BlueLinx Holdings, Inc. 38,976 4,000 Builders FirstSource, Inc. (a) 89,320 3,900 Building Material Holding Corp. 363,441 20,000 Hughes Supply, Inc. 652,000 1,600 Huttig Building Products, Inc. (a) 14,480 3,312 LSI Industries, Inc. 62,928 5,168 NCI Building Systems, Inc. (a) 210,803 11,932 Simpson Manufacturing Co., Inc. 467,018 6,745 Texas Industries, Inc. 366,928 4,909 Trex Co., Inc. (a) 117,816 7,865 Watsco, Inc. 417,710 ---------- 2,917,420 ---------- BUILDING: AIR CONDITIONING 13,435 Lennox International, Inc. 368,253 - 0.3% 14,138 York International Corp. 792,718 ---------- 1,160,971 ---------- BUILDING: CEMENT - 0.2% 5,278 Eagle Materials, Inc. 640,591 ---------- BUILDING: HEATING & PLUMBING 1,800 Aaon, Inc. (a) 33,084 - 0.1% 3,700 Interline Brands Inc. (a) 77,737 20,550 Jacuzzi Brands, Inc. (a) 165,633 ---------- 276,454 ---------- BUILDING: MISCELLANEOUS - 9,300 Comfort Systems USA, Inc. (a) 81,933 0.1% 4,600 Drew Industries, Inc. (a) 118,726 11,147 Griffon Corp. (a) 274,216 ---------- 474,875 ---------- BUILDING: ROOFING & 4,400 Beacon Roofing Supply, Inc. (a) 143,748 WALLBOARD - 0.1% 6,851 ElkCorp 245,060 ---------- 388,808 ---------- CABLE TELEVISION SERVICES 72,000 Charter Communications, Inc. Class A (a) - 0.1% (e) 108,000 5,698 Crown Media Holdings, Inc. Class A (a) 62,393 17,500 Insight Communications Company, Inc. Class A (a) 203,525 21,294 TiVo, Inc. (a)(e) 116,904 ---------- 490,822 ---------- CASINOS & GAMBLING - 0.6% 15,300 Alliance Gaming Corp. (a)(e) 166,005 8,200 Ameristar Casinos, Inc. 170,888 9,125 Argosy Gaming Co. (a) 428,784 11,291 Aztar Corp. (a) 347,876 1,632 Churchill Downs, Inc. 57,642 2,815 Dover Downs Gaming & Entertainment, Inc. 38,284 6,575 Isle of Capri Casinos, Inc. (a) 140,573 10,700 MTR Gaming Group, Inc. (a) 85,707 11,700 Magna Entertainment Corp. Class A (a) 77,922 9,100 Mikohn Gaming Corp. (a) 120,939 1,600 Monarch Casino & Resort, Inc. (a) 27,184 9,000 Multimedia Games, Inc. (a)(e) 87,390 12,364 Pinnacle Entertainment, Inc. (a) 226,632 1,600 Riviera Holdings Corp. (a) 35,488 9,400 Shuffle Master, Inc. (a)(e) 248,442 6,412 WMS Industries, Inc. (a) 180,370 ---------- 2,440,126 ---------- CHEMICALS - 1.1% 3,000 American Vanguard Corp. 54,930 6,456 Arch Chemicals, Inc. 150,102 1,200 Balchem Corp. 33,060 13,600 CF Industries Holdings, Inc. (a) 201,416 7
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 7,100 Cabot Microelectronics Corp. (a) $ 208,598 16,201 Calgon Carbon Corp. 127,988 10,685 Cambrex Corp. 202,588 13,500 EnerSys (a) 204,795 6,364 Energy Conversion Devices, Inc. (a) 285,616 9,837 Georgia Gulf Corp. 236,875 40,400 Hercules, Inc. (a) 493,688 8,667 MacDermid, Inc. 227,595 5,841 Medis Technologies Ltd. (a)(e) 104,846 2,534 NL Industries, Inc. 47,614 4,200 NewMarket Corp. (a) 72,828 4,965 Nuco2, Inc. (a) 127,849 9,500 OM Group, Inc. (a) 191,235 3,500 Octel Corp. 58,345 2,000 Pioneer Cos., Inc. (a) 48,120 29,567 PolyOne Corp. (a) 179,176 6,700 Rockwood Holdings, Inc. (a) 127,635 11,306 Schulman A, Inc. 202,943 6,100 Senomyx, Inc. (a) 103,883 1,555 Stepan Co. 38,968 12,000 UAP Holding Corp. 217,200 6,600 Ultralife Batteries, Inc. (a) 85,272 12,500 Valence Technology, Inc. (a)(e) 33,625 20,000 WR Grace & Co. (a) 179,000 3,050 Westlake Chemical Corp. 82,594 4,900 Zoltek Cos., Inc. (a)(e) 64,435 ---------- 4,392,819 ---------- COAL - 0.2% 8,800 Alpha Natural Resources, Inc. (a) 264,352 7,100 Foundation Coal Holdings, Inc. 272,995 5,000 James River Coal Co. (a) 252,350 ---------- 789,697 ---------- COMMERCIAL BANKS - 0.0% 8,000 BankFinancial Corp. 113,600 COMMERCIAL INFORMATION 13,000 Applied Digital Solutions, Inc. (a) 37,050 SERVICES - 0.3% 9,158 Arbitron, Inc. 364,855 148,100 CMGI, Inc. (a) 247,327 13,461 infoUSA, Inc. 142,956 6,600 LECG Corp. (a) 151,800 7,574 ProQuest Co. (a) 274,179 6,753 Sourcecorp (a) 144,784 ---------- 1,362,951 ---------- COMMUNICATIONS & MEDIA 21,900 Entravision Communications Corp. - 0.1% Class A (a) 172,353 76,300 Gemstar-TV Guide International, Inc. (a) 225,848 ---------- 398,201 ---------- COMMUNICATIONS TECHNOLOGY 109,800 3Com Corp. (a) 447,984 - 2.6% 19,200 Adtran, Inc. 604,800 16,700 Airspan Networks, Inc. (a) 84,001 7,422 Anaren, Inc. (a) 104,650 8,572 Anixter International, Inc. 345,709 2,000 Arbinet-Thexchange Inc. (a) 14,400 9,100 Atheros Communications Inc. (a) 88,816 16,900 Avocent Corp. (a) 534,716 3,159 Bel Fuse, Inc. 115,082 6,388 Black Box Corp. 268,040 15,450 Broadwing Corp. (a)(e) 77,095 8
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ----------- 84,200 Brocade Communications Systems, Inc. (a) $ 343,536 18,100 CSG Systems International (a) 392,951 1,672 Catapult Communications Corp. (a) 30,664 166,900 Ciena Corp. (a) 440,616 16,988 CommScope, Inc. (a) 294,572 5,925 Comtech Telecommunications Corp. (a) 245,710 5,100 Consolidated Communications Holdings, Inc. 69,360 8 CycleLogic, Inc. (a) 0 10,300 Digi International, Inc. (a) 110,519 12,000 Ditech Communications Corp. (a) 80,880 9,013 Echelon Corp. (a) 83,010 24,400 Entrust, Inc. (a) 136,640 36,500 Extreme Networks (a) 162,425 39,400 Finisar Corp. (a)(e) 53,978 37,300 Foundry Networks, Inc. (a) 473,710 27,700 Glenayre Technologies, Inc. (a) 99,443 24,296 Harmonic, Inc. (a) 141,403 7,100 InPhonic, Inc. (a)(e) 97,625 8,577 Inter-Tel, Inc. 180,117 11,300 InterVoice, Inc. (a) 101,813 9,429 Ixia (a) 138,701 6,800 j2 Global Communications, Inc. (a)(e) 274,856 8,500 Netgear, Inc. (a) 204,510 7,000 Novatel Wireless, Inc. (a) 101,290 30,819 Oplink Communications, Inc. (a) 46,845 4,483 Optical Communication Products, Inc. (a) 8,428 10,000 Redback Networks, Inc. (a) 99,200 10,508 Seachange International, Inc. (a) 66,831 12,588 Secure Computing Corp. (a) 142,874 80,100 Sonus Networks, Inc. (a) 464,580 8,010 Standard Microsystems Corp. (a) 239,579 52,900 Sycamore Networks, Inc. (a) 199,433 5,300 Syniverse Holdings, Inc. (a) 81,620 63,200 TIBCO Software, Inc. (a) 528,352 4,880 Talx Corp. 160,015 16,800 Tekelec (a) 351,960 8,030 Terremark Worldwide, Inc. (a) 35,252 2,640 Ulticom, Inc. (a) 29,119 35,300 Utstarcom, Inc. (a)(e) 288,401 6,501 Viasat, Inc. (a) 166,751 9,931 WebEx Communications, Inc. (a) 243,409 16,200 Westell Technologies, Inc. Class A (a) 58,968 25,775 Zhone Technologies, Inc. (a) 66,757 ----------- 10,221,996 ----------- COMPUTER SERVICES SOFTWARE & 24,900 Acxiom Corp. 466,128 SYSTEMS - 4.6% 16,802 Agile Software Corp. (a) 120,470 9,000 Altiris, Inc. (a) 137,610 4,000 American Reprographics Co. (a) 68,400 1,000 Ansoft Corp. (a) 29,100 10,432 Ansys, Inc. (a) 401,528 8,500 Anteon International Corp. (a) 363,460 19,780 Ariba, Inc. (a) 112,746 14,697 AsiaInfo Holdings, Inc. (a) 71,280 16,208 Aspen Technology, Inc. (a) 101,300 9
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 8,300 Audible, Inc. (a)(e) $102,007 56,200 BearingPoint, Inc. (a) 426,558 926 Blackbaud, Inc. 13,121 7,600 Blackboard, Inc. (a) 190,076 2,700 Blue Coat Systems, Inc. (a) 117,396 26,867 Borland Software Corp. (a) 156,366 7,100 Bottomline Technologies, Inc. (a) 107,139 2,500 COMSYS IT Partners, Inc. (a) 30,525 16,402 Ciber, Inc. (a) 121,867 3,300 Click Commerce, Inc. (a)(e) 60,489 8,000 Concur Technologies, Inc. (a) 98,960 2,000 Constellation 3D, Inc. (a) 0 8,300 Covansys Corp. (a) 132,468 12,964 Dendrite International, Inc. (a) 260,447 11,100 Digital River, Inc. (a) 386,835 30,707 Digitas, Inc. (a) 348,832 1,845 EPIQ Systems, Inc. (a) 40,258 14,739 Electronics for Imaging (a) 338,113 3,000 Emageon, Inc. (a) 40,680 18,900 Epicor Software Corp. (a) 245,700 4,700 Equinix, Inc. (a) 195,755 5,300 eCollege.com, Inc. (a) 78,758 19,379 Gartner, Inc. Class A (a) 226,541 8,800 Infocrossing, Inc. (a)(e) 80,872 30,200 Informatica Corp. (a) 363,004 1,800 Integral Systems, Inc. 37,152 7,700 Intermix Media, Inc. (a) 92,092 14,200 Internet Capital Group, Inc. (a) 125,102 14,100 Internet Security Systems (a) 338,541 5,300 Intervideo, Inc. (a) 53,159 17,825 Interwoven, Inc. (a) 145,630 4,300 iGate Corp. (a) 15,609 9,908 JDA Software Group, Inc. (a) 150,403 6,100 Jupitermedia Corp. (a) 108,031 6,600 Kanbay International, Inc. (a) 124,080 16,058 Keane, Inc. (a) 183,543 9,138 Keynote Systems, Inc. (a) 118,611 25,400 Lawson Software, Inc. (a) 176,276 17,900 Lionbridge Technologies (a) 120,825 5,974 MRO Software, Inc. (a) 100,602 14,500 Macrovision Corp. (a) 276,950 8,200 Magma Design Automation, Inc. (a) 66,584 9,139 Manhattan Associates, Inc. (a) 212,025 4,700 Mantech International Corp. Class A (a) 124,127 6,200 Mapinfo Corp. (a) 75,950 15,997 Matrixone, Inc. (a) 84,144 23,300 Mentor Graphics Corp. (a) 200,380 7,356 Mercury Computer Systems, Inc. (a) 193,095 7,300 Merge Technologies, Inc. (a) 124,465 4,100 MicroStrategy, Inc. Class A (a) 288,189 26,500 Micromuse, Inc. (a) 208,820 10,798 Micros Systems, Inc. (a) 472,412 11,700 Motive, Inc. (a) 74,178 3,200 Ness Technologies, Inc. (a) 32,000 10
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ----------- 16,774 NetIQ Corp. (a) $ 205,314 5,185 Netscout Systems, Inc. (a) 28,155 5,700 Online Resources Corp. (a) 60,306 4,300 Open Solutions, Inc. (a) 93,826 22,233 Openwave Systems, Inc. (a) 399,749 20,500 Opsware, Inc. (a) 106,395 1,800 PAR Technology Corp. (a) 41,400 3,900 PDF Solutions, Inc. (a) 64,740 10,507 Packeteer, Inc. (a) 131,863 11,894 Palm, Inc. (a)(e) 336,957 91,400 Parametric Technology Corp. (a) 637,058 1,400 Pegasystems, Inc. (a) 8,386 13,608 Progress Software Corp. (a) 432,326 3,500 QAD, Inc. 29,015 19,000 Quest Software, Inc. (a) 286,330 9,700 Radiant Systems, Inc. (a) 100,104 33,200 RealNetworks, Inc. (a)(e) 189,572 5,100 RightNow Technologies, Inc. (a) 75,072 4,200 Rimage Corp. (a) 112,014 4,200 SI International, Inc. (a) 130,074 3,989 SPSS, Inc. (a) 95,736 5,600 SS&C Technologies, Inc. 205,184 500 SSA Global Techonologies, Inc. (a) 8,800 11,261 SYKES Enterprises, Inc. (a) 134,006 1,100 SYNNEX Corp. (a) 18,524 7,399 SafeNet, Inc. (a) 268,658 26,592 Sapient Corp. (a) 166,200 25,995 ScanSoft, Inc. (a) 138,553 8,997 Serena Software, Inc. (a) 179,310 22,241 SonicWALL, Inc. (a) 141,230 6,700 Stellent, Inc. (a) 57,419 19,000 SupportSoft, Inc. (a) 95,760 1,583 Syntel, Inc. 30,853 12,585 Transaction Systems Architects, Inc. Class A (a) 350,492 12,808 Trizetto Group (a) 180,849 10,600 Tyler Technologies, Inc. (a) 87,768 9,500 Ultimate Software Group, Inc. (a) 174,990 10,900 Vasco Data Security International (a) 98,754 7,400 VeriFone Holdings, Inc. (a) 148,814 5,300 Verint Systems, Inc. (a) 216,982 14,967 Verity, Inc. (a) 158,950 7,580 Vignette Corp. (a) 120,598 6,651 Websense, Inc. (a) 340,598 22,800 Wind River Systems, Inc. (a) 294,804 7,800 Witness Systems, Inc. (a) 162,942 17,220 webMethods, Inc. (a) 121,745 10,708 Zoran Corp. (a) 153,124 ----------- 17,978,063 ----------- COMPUTER TECHNOLOGY - 1.4% 38,200 Adaptec, Inc. (a) 146,306 22,034 Advanced Digital Information Corp. (a) 207,120 4,300 Cyberguard Corp. (a)(e) 35,475 17,100 Dot Hill Systems Corp. (a) 115,083 25,700 Emulex Corp. (a) 519,397 9,809 FalconStor Software, Inc. (a)(e) 59,443 11
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 14,382 Filenet Corp. (a) $ 401,258 82,400 Gateway, Inc. (a) 222,480 6,617 Hutchinson Technology, Inc. (a) 172,836 12,000 Imation Corp. 514,440 7,496 Intergraph Corp. (a) 335,146 8,000 Komag, Inc. (a) 255,680 24,674 Lexar Media, Inc. (a)(e) 157,914 82,500 Maxtor Corp. (a) 363,000 35,700 McData Corp. (a) 187,068 6,400 Mobility Electronics, Inc. (a) 68,224 24,500 Perot Systems Corp. Class A (a) 346,675 53,000 Quantum Corp. (a) 163,770 25,662 RSA Security, Inc. (a) 326,164 5,942 Radisys Corp. (a) 115,275 4,400 Stratasys, Inc. (a) 130,680 5,600 Synaptics, Inc. (a)(e) 105,280 7,300 Trident Microsystems, Inc. (a) 232,213 15,709 UNOVA, Inc. (a) 549,501 ---------- 5,730,428 ---------- CONSTRUCTION - 0.4% 4,500 Brookfield Homes Corp. 249,885 4,818 EMCOR Group, Inc. (a) 285,707 12,271 Granite Construction, Inc. 469,243 3,900 Perini Corp. (a) 70,980 7,100 Washington Group International, Inc. (a) 382,619 ---------- 1,458,434 ---------- CONSUMER ELECTRONICS - 0.8% 13,867 Alloy, Inc. (a) 67,116 7,653 Atari Inc. (a) 11,020 43,900 CNET Networks, Inc. (a) 595,723 4,700 DTS, Inc. (a) 79,148 44,400 Earthlink, Inc. (a) 475,080 9,800 Infospace, Inc. (a) 233,926 13,000 Ipass, Inc. (a) 69,940 10,800 iVillage, Inc. (a) 78,408 4,300 Jamdat Mobile, Inc. (a)(e) 90,300 2,700 Lifeline Systems, Inc. (a) 90,261 7,100 LoJack Corp. (a) 150,094 7,674 Midway Games, Inc. (a)(e) 116,568 9,500 NIC, Inc. (a) 62,225 7,700 Navarre Corp. (a)(e) 44,583 12,800 NetFlix, Inc. (a)(e) 332,672 7,400 Sohu.com, Inc. (a) 126,762 17,137 THQ, Inc. (a) 365,361 18,850 United Online, Inc. 261,073 4,086 Universal Electronics, Inc. (a) 70,647 1,400 WebSideStory, Inc. (a) 24,808 ---------- 3,345,715 ---------- CONSUMER PRODUCTS - 0.8% 5,800 Blyth, Inc. 129,282 3,000 CNS, Inc. 78,210 1,891 CSS Industries, Inc. 61,495 2,300 Citi Trends, Inc. (a) 50,209 18,300 Jarden Corp. (a) 751,581 5,900 Mannatech, Inc. 69,915 9,573 Matthews International Corp. Class A 361,764 9,963 Nautilus, Inc. 219,883 12
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 10,400 Oakley, Inc. $ 180,336 10,376 Playtex Products, Inc. (a) 114,136 5,400 RC2 Corp. (a) 182,304 16,291 The Topps Co., Inc. 133,749 15,074 Tupperware Corp. 343,386 2,700 USANA Health Sciences, Inc. (a) 128,790 1,900 Water Pik Technologies, Inc. (a) 38,570 16,283 Yankee Candle Co., Inc. 398,934 ---------- 3,242,544 ---------- CONTAINERS & PACKAGING: 4,575 Greif, Inc. 274,957 METALS & GLASS - 0.2% 3,571 Mobile Mini, Inc. (a) 154,803 6,600 Silgan Holdings, Inc. 219,516 ---------- 649,276 ---------- CONTAINERS & PACKAGING: 19,100 Graphic Packaging Corp. (a) 53,480 PAPER & PLASTIC - 0.0% 7,852 Myers Industries, Inc. 91,397 ---------- 144,877 ---------- COPPER - 0.1% 10,982 Mueller Industries, Inc. 304,970 ---------- COSMETICS - 0.2% 7,593 Elizabeth Arden, Inc. (a) 163,857 1,700 Inter Parfums, Inc. 33,473 20,526 Nu Skin Enterprises, Inc. Class A 391,020 700 Parlux Fragrances, Inc. (a)(e) 20,398 42,883 Revlon, Inc. Class A (a) 138,083 ---------- 746,831 ---------- DIVERSIFIED FINANCIAL 22,400 E-Loan, Inc. (a) 93,856 SERVICES - 0.5% 8,300 Euronet Worldwide, Inc. (a) 245,597 16,400 F.N.B. Corp. 283,392 5,400 Gladstone Investment Corp. 79,272 5,000 Greenhill & Co., Inc. 208,450 900 Huron Consulting Group, Inc. (a) 24,138 10,908 Jones Lang LaSalle, Inc. 502,422 15,900 The Nasdaq Stock Market, Inc. (a) 403,065 11,800 USI Holdings Corp. (a) 153,282 ---------- 1,993,474 ---------- DIVERSIFIED MATERIALS & 15,860 Acuity Brands, Inc. 470,566 PROCESSING - 0.7% 9,516 Armor Holdings, Inc. (a) 409,283 4,257 Barnes Group, Inc. 152,656 12,794 Brady Corp. 395,846 16,710 Clarcor, Inc. 479,911 18,262 Hexcel Corp. (a) 334,012 22,014 Olin Corp. 418,046 8,445 Tredegar Corp. 109,869 ---------- 2,770,189 ---------- DRUG & GROCERY STORE CHAINS 432 Arden Group, Inc. Class A 32,512 - 0.5% 13,207 Casey's General Stores, Inc. 306,402 4,731 Great Atlantic & Pacific Tea Co. (a) 134,171 5,664 Ingles Markets, Inc. Class A 89,491 9,483 Longs Drug Stores Corp. 406,726 2,977 Nash Finch Co. 125,600 11,542 Pathmark Stores, Inc. (a) 130,078 10,769 Ruddick Corp. 248,225 3,929 Smart & Final, Inc. (a) 50,841 4,300 Weis Markets, Inc. 172,043 11,629 Wild Oats Markets, Inc. (a) 149,549 ---------- 1,845,638 ---------- 13
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- DRUGS & PHARMACEUTICALS - 29,200 AVANIR Pharmaceuticals Class A (a) $ 90,228 2.9% 2,300 Acadia Pharmaceuticals, Inc. (a) 26,151 2,600 Adams Respiratory Therapeutics, Inc. (a) 83,954 10,500 Adolor Corp. (a) 112,140 30,700 Alkermes, Inc. (a) 515,760 11,025 Alpharma, Inc. Class A 274,192 31,800 Amylin Pharmaceuticals, Inc. (a)(e) 1,106,322 20,200 Andrx Corp. (a) 311,686 12,500 Atherogenics Inc. (a)(e) 200,375 4,000 Bentley Pharmaceuticals, Inc. (a) 47,800 21,648 BioMarin Pharmaceuticals, Inc. (a) 188,987 13,700 CV Therapeutics, Inc. (a) 366,475 4,000 Caliper Life Sciences, Inc. (a) 28,120 1,300 Caraco Pharmaceutical Laboratories Ltd. (a) 11,297 4,500 Chattem, Inc. (a) 159,750 2,200 Coley Pharmaceutical Group, Inc. (a) 40,040 11,802 Connetics Corp. (a) 199,572 23,400 Dendreon Corp. (a)(e) 157,014 15,300 Durect Corp. (a)(e) 104,805 7,200 Dusa Pharmaceuticals, Inc. (a) 76,320 7,695 Enzo Biochem, Inc. (a) 118,195 8,900 Eyetech Pharmaceuticals, Inc. (a) 159,844 10,100 First Horizon Pharmaceutical Corp. (a) 200,687 300 GTX, Inc. (a) 2,793 2,500 Hi-Tech Pharmacal Co., Inc. (a) 75,200 13,127 Immunogen, Inc. (a) 96,352 12,800 Inspire Pharmaceuticals, Inc. (a) 97,280 21,989 Isis Pharmaceuticals, Inc. (a) 111,044 6,600 Ista Pharmaceuticals, Inc. (a) 43,824 10,800 KV Pharmaceutical Co. Class A (a) 191,916 24,300 MGI Pharma, Inc. (a) 566,433 35,100 Medarex, Inc. (a) 334,152 17,727 Medicines Co. (a) 407,898 17,500 Medicis Pharmaceutical Corp. Class A 569,800 24,900 Nektar Therapeutics (a) 422,055 6,245 Neopharm, Inc. (a) 77,438 1,100 New River Pharmaceuticals, Inc. (a)(e) 52,734 6,900 NitroMed, Inc. (a)(e) 124,200 8,331 Noven Pharmaceuticals, Inc. (a) 116,634 11,300 Onyx Pharmaceuticals, Inc. (a) 282,274 9,500 Pain Therapeutics, Inc. (a) 59,755 10,100 Par Pharmaceutical Cos., Inc. (a) 268,862 8,700 Penwest Pharmaceuticals Co. (a) 152,511 29,615 Perrigo Co. 423,791 9,000 Pharmion Corp. (a) 196,290 8,200 Pozen, Inc. (a) 90,118 10,200 Priority Healthcare Corp. (a) 284,172 10,419 Regeneron Pharmaceuticals, Inc. (a) 98,876 7,100 Renovis, Inc. (a) 96,063 4,850 SFBC International, Inc. (a) 215,292 12,100 Salix Pharmaceuticals Ltd. (a) 257,125 20,582 SuperGen, Inc. (a) 129,667 14
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ----------- 6,746 United Therapeutics Corp. (a) $ 470,871 31,400 Vertex Pharmaceuticals, Inc. (a) 701,790 ----------- 11,596,924 ----------- EDUCATION SERVICES - 0.5% 8,104 Bright Horizons Family Solutions, Inc. (a) 311,194 31,900 Corinthian Colleges, Inc. (a) 423,313 17,900 DeVry, Inc. (a) 340,995 3,400 Educate, Inc. (a) 51,000 5,030 Learning Tree International, Inc. (a) 66,396 2,249 Renaissance Learning, Inc. 40,032 4,320 Strayer Education, Inc. 408,326 8,100 Universal Technical Institute, Inc. (a) 288,441 ----------- 1,929,697 ----------- ELECTRICAL & ELECTRONICS - 12,786 Benchmark Electronics, Inc. (a) 385,114 0.3% 4,200 ITC Holdings Corp. 121,716 2,200 LeCroy Corp. (a) 32,670 6,600 OSI Systems, Inc. (a) 104,280 4,400 Pike Electric Corp. (a) 82,412 12,998 Plexus Corp. (a) 222,136 8,832 Power Integrations, Inc. (a) 192,096 11,900 TTM Technologies, Inc. (a) 85,085 9,807 Universal Display Corp. (a) 109,348 ----------- 1,334,857 ----------- ELECTRICAL EQUIPMENT & 7,081 AO Smith Corp. 201,809 COMPONENTS - 0.8% 13,100 American Superconductor Corp. (a) 135,585 9,971 Baldor Electric Co. 252,765 11,208 CTS Corp. 135,617 8,718 Cohu, Inc. 206,181 2,100 Color Kinetics, Inc. (a) 31,500 6,460 Franklin Electric Co., Inc. 267,379 13,490 General Cable Corp. (a) 226,632 8,816 Genlyte Group, Inc. (a) 423,873 11,200 International DisplayWorks, Inc. (a)(e) 66,528 4,200 LaBarge, Inc. (a) 54,264 8,760 Littelfuse, Inc. (a) 246,419 10,100 MKS Instruments, Inc. (a) 174,023 2,031 Powell Industries, Inc. (a) 44,459 19,500 Power-One, Inc. (a) 108,030 7,300 Sonic Solutions, Inc. (a) 156,950 5,500 Spatialight, Inc. (a)(e) 23,430 23,200 Taser International, Inc. (a)(e) 142,680 12,161 Technitrol, Inc. 186,307 6,179 Triumph Group, Inc. (a) 229,673 ----------- 3,314,104 ----------- ELECTRICAL: HOUSEHOLD 25,700 Maytag Corp. 469,282 APPLIANCE - 0.1% 1,450 National Presto Industries, Inc. 62,074 ----------- 531,356 ----------- ELECTRONICS - 0.5% 22,312 Aeroflex, Inc. (a) 208,840 11,763 Agilysys, Inc. 198,089 3,532 BEI Technologies, Inc. 123,585 4,399 Daktronics, Inc. 105,488 6,872 II-VI, Inc. (a) 121,909 22,500 Kopin Corp. (a) 156,375 35,566 MRV Communications, Inc. (a) 75,756 11,380 Methode Electronics, Inc. 131,098 15
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 1,300 Multi-Fineline Electronix, Inc. (a) $ 38,051 6,649 Park Electrochemical Corp. 177,196 20,000 Semtech Corp. (a) 329,400 7,800 Superior Essex, Inc. (a) 140,478 4,367 Supertex, Inc. (a) 130,966 ---------- 1,937,231 ---------- ELECTRONICS: INSTRUMENTS, 3,400 Faro Technologies, Inc. (a) 66,266 GAUGES & METERS - 0.2% 8,082 Itron, Inc. (a) 369,024 3,801 Keithley Instruments, Inc. 55,495 2,500 Measurement Specialties, Inc. (a) 53,000 5,400 Metrologic Instruments, Inc. (a) 98,226 ---------- 642,011 ---------- ELECTRONICS: MEDICAL SYSTEMS 4,772 Analogic Corp. 240,557 - 0.9% 6,200 Aspect Medical Systems, Inc. (a) 183,706 6,087 Bruker BioSciences Corp. (a) 26,661 6,400 Candela Corp. (a) 62,848 4,170 Datascope Corp. 129,353 10,900 EPIX Pharmaceuticals, Inc. (a) 83,930 15,150 eResearch Technology, Inc. (a) 214,979 6,500 Greatbatch, Inc. (a) 178,360 7,772 Haemonetics Corp. (a) 369,403 14,000 HealthTronics, Inc. (a) 139,440 6,100 Hologic, Inc. (a) 352,275 6,000 IRIS International, Inc. (a) 110,640 9,100 Illumina, Inc. (a) 116,571 1,200 IntraLase Corp. (a) 17,652 10,481 Intuitive Surgical, Inc. (a) 768,152 7,051 Luminex Corp. (a) 70,792 2,900 Neurometrix, Inc. (a) 86,333 1,800 Quality Systems, Inc. 124,362 7,132 TriPath Imaging, Inc. (a) 50,352 4,361 Zoll Medical Corp. (a) 114,476 ---------- 3,440,842 ---------- ELECTRONICS: SEMI- 11,800 AMIS Holdings, Inc. (a) 139,948 CONDUCTORS/COMPONENTS - 2.6% 9,716 Actel Corp. (a) 140,493 3,700 Advanced Analogic Technologies, Inc. (a) 41,403 34,000 Amkor Technology, Inc. (a)(e) 148,920 96,000 Applied Micro Circuits Corp. (a) 288,000 129,700 Atmel Corp. (a) 267,182 31,600 Cirrus Logic, Inc. (a) 239,844 144,500 Conexant Systems, Inc. (a) 258,655 38,000 Cypress Semiconductor Corp. (a) 571,900 10,983 DSP Group, Inc. (a) 281,824 4,050 Diodes, Inc. (a) 146,853 8,827 Exar Corp. (a) 123,755 3,173 Excel Technology, Inc. (a) 81,514 38,600 Fairchild Semiconductor International, Inc. (a) 573,596 10,200 Formfactor, Inc. (a) 232,764 9,900 Genesis Microchip, Inc. (a) 217,305 5,893 IXYS Corp. (a) 62,230 57,030 Integrated Device Technology, Inc. (a) 612,502 15,738 Integrated Silicon Solutions, Inc. (a) 132,199 34,000 Lattice Semiconductor Corp. (a) 145,520 2,700 Leadis Technology, Inc. (a) 18,495 16
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ----------- 10,500 MIPS Technologies, Inc. (a) $ 71,715 20,300 Micrel, Inc. (a) 227,969 19,490 Microsemi Corp. (a) 497,775 21,400 Microtune, Inc. (a) 133,322 2,900 Monolithic Power Systems, Inc. (a) 24,621 4,400 Netlogic Microsystems, Inc. (a) 94,996 44,700 ON Semiconductor Corp. (a) 231,099 17,300 Omnivision Technologies, Inc. (a)(e) 218,326 7,000 PLX Technology, Inc. (a) 58,380 61,400 PMC-Sierra, Inc. (a) 540,934 13,093 Pericom Semiconductor Corp. (a) 115,742 13,964 Pixelworks, Inc. (a) 92,023 3,300 Portalplayer, Inc. (a) 90,519 59,000 RF Micro Devices, Inc. (a) 333,350 32,100 Rambus, Inc. (a)(e) 388,410 12,800 Sigmatel, Inc. (a) 259,072 24,876 Silicon Image, Inc. (a) 221,148 12,600 Silicon Laboratories, Inc. (a) 382,914 26,358 Silicon Storage Technology, Inc. (a) 141,806 12,300 Sirf Technology Holdings, Inc. (a) 370,599 50,533 Skyworks Solutions, Inc. (a) 354,742 14,200 Tessera Technologies, Inc. (a) 424,722 40,000 Transwitch Corp. (a)(e) 68,800 41,536 Triquint Semiconductor, Inc. (a) 146,207 2,200 Virage Logic Corp. (a) 17,050 70,400 Vitesse Semiconductor Corp. (a) 132,352 3,200 Volterra Semiconductor Corp. (a) 39,264 ----------- 10,402,759 ----------- ELECTRONICS: TECHNOLOGY - 2,700 3D Systems Corp. (a) 60,021 0.6% 2,100 American Science & Engineering, Inc. (a) 137,739 10,323 Checkpoint Systems, Inc. (a) 244,862 11,180 Coherent, Inc. (a) 327,350 4,652 Cubic Corp. 79,642 7,374 DRS Technologies, Inc. 363,981 6,926 EDO Corp. 207,988 6,350 Herley Industries, Inc. (a) 118,300 34,830 Identix, Inc. (a) 163,701 2,850 Innovative Solutions & Support, Inc. (a) 44,260 10,484 Intermagnetics General Corp. (a) 292,923 4,900 Ionatron, Inc. (a)(e) 49,392 25,900 Kemet Corp. (a) 217,042 3,100 Scansource, Inc. (a) 151,094 1,500 Sypris Solutions, Inc. 16,110 ----------- 2,474,405 ----------- ENERGY EQUIPMENT - 0.1% 8,900 Global Power Equipment Group, Inc. (a) 63,457 19,226 Plug Power, Inc. (a)(e) 130,737 ----------- 194,194 ----------- ENERGY MISCELLANEOUS - 0.7% 166,800 Calpine Corp. (a)(e) 432,012 2,800 Crosstex Energy, Inc. 179,088 8,800 Evergreen Solar, Inc. (a)(e) 82,104 12,026 FuelCell Energy, Inc. (a)(e) 131,925 6,100 Holly Corp. 390,278 18,000 KFX, Inc. (a)(e) 308,160 200 Markwest Hydrocarbon, Inc. 5,000 17
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 5,458 Penn Virginia Corp. $ 314,981 13,600 Syntroleum Corp. (a) 198,016 9,136 Tetra Technologies, Inc. (a) 285,226 11,397 Veritas DGC, Inc. (a) 417,358 ---------- 2,744,148 ---------- ENGINEERING & CONTRACTING 3,800 Clean Harbors, Inc. (a) 129,010 SERVICES - 0.4% 16,902 Dycom Industries, Inc. (a) 341,758 2,000 Infrasource Services, Inc. (a) 29,100 2,900 Layne Christensen Co. (a) 68,295 39,600 Quanta Services, Inc. (a) 505,296 12,877 URS Corp. (a) 520,102 ---------- 1,593,561 ---------- ENTERTAINMENT - 0.2% 1,100 Carmike Cinemas, Inc. 25,234 5,040 Dover Motorsports, Inc. 34,474 12,155 Gaylord Entertainment Co. (a) 579,186 3,472 Lodgenet Entertainment Corp. (a) 51,143 9,615 Movie Gallery, Inc. 99,900 4,155 Speedway Motorsports, Inc. 150,951 ---------- 940,888 ---------- FERTILIZERS - 0.1% 35,300 Terra Industries, Inc. (a)(e) 234,745 ---------- FINANCE COMPANIES - 0.2% 4,500 Accredited Home Lenders Holding Co. (a) 158,220 3,900 Asta Funding, Inc. 118,404 800 Delta Financial Corp. 5,840 2,300 International Securities Exchange, Inc. (a) 53,820 8,650 MortgageIT Holdings, Inc. 123,003 1,400 United PanAm Financial Corp. (a) 34,958 7,700 World Acceptance Corp. (a) 195,657 ---------- 689,902 ---------- FINANCE: SMALL LOAN - 0.1% 21,600 Advance America, Cash Advance Centers, Inc. 286,200 2,450 Collegiate Funding Services LLC (a) 36,284 5,000 Encore Capital Group, Inc. (a) 89,200 200 QC Holdings, Inc. (a) 2,608 ---------- 414,292 ---------- FINANCIAL DATA PROCESSING 8,000 Advent Software, Inc. (a) 215,520 SERVICES & SYSTEMS - 0.9 995 CCC Information Services Group (a) 25,999 7,189 CompuCredit Corp. (a) 319,335 8,000 Cybersource Corp. (a) 52,640 9,330 Digital Insight Corp. (a) 243,140 15,288 eFunds Corp. (a) 287,873 8,623 eSpeed, Inc. Class A (a) 65,362 15,900 Hypercom Corp. (a) 103,668 4,900 iPayment, Inc. (a) 185,416 21,600 Jack Henry & Associates, Inc. 419,040 9,182 John H. Harland Co. 407,681 11,049 Kronos, Inc. (a) 493,227 8,364 NDCHealth Corp. 158,247 23,013 PRG-Schultz International, Inc. (a) 69,269 1,200 TNS, Inc. (a) 29,100 6,100 TradeStation Group, Inc. (a) 61,854 12,000 Wright Express Corp. (a) 259,080 ---------- 3,396,451 ---------- FINANCIAL INFORMATION 4,100 Bankrate, Inc. (a)(e) 112,463 SERVICES - 0.2% 9,250 Factset Research Systems, Inc. 325,970 44,100 Homestore, Inc. (a) 191,835 18
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 1,800 Morningstar, Inc. (a) $ 57,600 24,022 S1 Corp. (a) 93,926 400 Value Line, Inc. 15,656 ---------- 797,450 ---------- FINANCIAL MISCELLANEOUS - 5,200 ACE Cash Express, Inc. (a) 101,452 0.9% 7,700 Advanta Corp. Class B 217,371 1,400 Asset Acceptance Capital Corp. (a) 41,958 9,419 Cash America International, Inc. 195,444 400 Enstar Group, Inc. (a) 25,956 4,700 Federal Agricultural Mortgage Corp. Class B 114,398 4,167 Financial Federal Corp. 165,847 5,700 First Cash Financial Services, Inc. (a) 150,024 7,800 Harris & Harris Group, Inc. 86,580 4,799 LandAmerica Financial Group, Inc. 310,255 17,300 Metris Cos., Inc. (a) 253,099 29,800 MoneyGram International, Inc. 646,958 3,700 Portfolio Recovery Associates, Inc. (a) 159,766 3,800 Sanders Morris Harris Group, Inc. 62,130 13,936 Sotheby's Holdings Class A (a) 233,010 4,692 Sterling Bancorp 105,617 5,122 Stewart Information Services Corp. 262,246 1,033 Stifel Financial Corp. (a) 37,085 4,176 Triad Guaranty, Inc. (a) 163,783 2,291 WSFS Financial Corp. 134,917 ---------- 3,467,896 ---------- FOODS - 1.0% 2,134 American Italian Pasta Co. Class A 22,748 13,700 Chiquita Brands International, Inc. 382,915 16,584 Flowers Foods, Inc. 452,412 600 Green Mountain Coffee Roasters, Inc. (a) 20,868 12,057 Hain Celestial Group, Inc. (a) 233,906 2,300 J&J Snack Foods Corp. 132,940 2,300 John B. Sanfilippo & Son, Inc. (a) 40,250 10,100 Lance, Inc. 176,346 3,100 M&F Worldwide Corp. (a) 48,205 963 Maui Land & Pineapple Co., Inc. (a) 28,919 17,700 NBTY, Inc. (a) 415,950 5,100 Natures Sunshine Prods, Inc. 118,524 12,900 Performance Food Group Co. (a) 407,124 3,200 Premium Standard Farms, Inc. 47,424 1,500 Provide Commerce, Inc. (a) 36,405 9,795 Ralcorp Holdings, Inc. (a) 410,606 4,450 Sanderson Farms, Inc. 165,362 112 Seaboard Corp. 153,776 15,057 Sensient Technologies Corp. 285,330 8,900 Spartan Stores, Inc. (a) 91,670 7,000 Tootsie Roll Industries, Inc. 222,250 ---------- 3,893,930 ---------- FOREST PRODUCTS - 0.3% 3,209 Deltic Timber Corp. 147,774 16,521 Longview Fibre Co. 321,994 8,397 Potlatch Corp. 437,652 5,634 Universal Forest Products, Inc. 322,941 ---------- 1,230,361 ---------- 19
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- Forms & Bulk Printing 11,000 Ennis, Inc. $ 184,800 Services - 0.1% 5,145 The Standard Register Co. 76,918 ---------- 261,718 ---------- FUNERAL PARLORS & CEMETERIES 15,700 Alderwoods Group, Inc. (a) 257,166 - 0.1% 31,824 Stewart Enterprises, Inc. Class A 210,993 ---------- 468,159 ---------- GLASS - 0.1% 11,800 Apogee Enterprises, Inc. 201,780 ---------- GOLD - 0.1% 66,300 Coeur d'Alene Mines Corp. (a) 280,449 3,400 Royal Gold, Inc. 91,358 ---------- 371,807 ---------- HEALTH CARE FACILITIES - 11,200 American Healthways, Inc. (a) 474,880 0.8% 37,826 Beverly Enterprises, Inc. (a) 463,368 5,000 Genesis HealthCare Corp. (a) 201,600 8,200 Kindred Healthcare, Inc. (a) 244,360 7,250 LCA-Vision, Inc. 269,120 2,100 Medcath Corp. (a) 49,875 1,900 National Healthcare Corp. 66,500 17,400 PainCare Holdings, Inc. (a)(e) 65,250 6,100 Psychiatric Solutions, Inc. (a) 330,803 2,500 Radiation Therapy Services, Inc. (a) 79,650 4,200 Res-Care, Inc. (a) 64,638 1,824 Specialty Laboratories, Inc. (a) 24,132 4,637 Sunrise Senior Living, Inc. (a) 309,473 15,050 United Surgical Partners International, Inc. (a) 588,606 ---------- 3,232,255 ---------- HEALTH CARE MANAGEMENT 8,341 Allscripts Healthcare Solutions, Inc. (a) 150,305 SERVICES - 0.6% 11,300 Amsurg Corp. (a) 309,168 14,300 Centene Corp. (a) 357,929 1,900 Computer Programs & Systems, Inc. 65,626 1,957 Corvel Corp. (a) 46,890 14,431 Eclipsys Corp. (a) 257,449 17,097 Hooper Holmes, Inc. 67,191 5,000 Horizon Health Corp. (a) 135,850 4,600 Molina Healthcare, Inc. (a) 114,954 22,900 OCA, Inc. (a) 34,350 7,200 Pediatrix Medical Group, Inc. (a) 553,104 9,098 Per-Se Technologies, Inc. (a) 187,965 9,900 Phase Forward, Inc. (a) 108,207 5,100 WellCare Health Plans, Inc. (a) 188,955 ---------- 2,577,943 ---------- HEALTH CARE SERVICES - 0.7% 2,800 Adeza Biomedical Corp. (a) 48,748 2,500 Alliance Imaging, Inc. (a) 21,375 5,800 Allied Healthcare International, Inc. (a) 32,770 3,700 Amedisys, Inc. (a) 144,300 6,800 America Retirement Corp. (a) 128,044 1,100 American Dental Partners, Inc. (a) 37,312 13,600 Apria Healthcare Group, Inc. (a) 433,976 3,000 Bio-Reference Labs, Inc. (a) 51,870 7,400 Bioscript, Inc. (a) 48,100 4,612 Gentiva Health Services, Inc. (a) 83,569 10,725 Healthcare Services Group 206,456 7,927 IDX Systems Corp. (a) 342,288 10,800 Introgen Therapeutics, Inc. (a)(e) 56,376 6,600 LabOne, Inc. (a) 287,100 20
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 7,600 Matria Healthcare, Inc. (a) $ 286,900 10,300 Odyssey HealthCare, Inc. (a) 174,791 3,900 Symbion, Inc. (a) 100,893 5,300 VistaCare, Inc. Class A (a) 76,691 1,900 Vital Images, Inc. (a) 42,294 ---------- 2,603,853 ---------- HOMEBUILDING - 0.2% 2,600 Comstock Homebuilding Cos., Inc. Class A (a) 51,792 4,960 Levitt Corp. Class A 113,782 4,200 M/I Homes, Inc. 227,892 700 Orleans Homebuilders, Inc. 17,248 6,662 Technical Olympic USA, Inc. 174,278 700 William Lyon Homes, Inc. (a)(e) 108,640 ---------- 693,632 ---------- HOTEL/MOTEL - 0.0% 5,979 Marcus Corp. 119,819 ---------- HOUSEHOLD FURNISHINGS - 0.4% 4,600 American Woodmark Corp. 154,560 3,200 Bassett Furniture Industries, Inc. 59,584 11,400 The Bombay Co., Inc. (a) 50,274 9,800 Ethan Allen Interiors, Inc. 307,230 13,700 Furniture Brands International, Inc. 247,011 5,036 Haverty Furniture Cos., Inc. 61,590 1,700 Hooker Furniture Corp. 28,186 16,400 La-Z-Boy, Inc. (e) 216,316 6,488 Libbey, Inc. 98,618 2,300 Lifetime Brands, Inc. 61,732 10,800 Select Comfort Corp. (a) 215,784 6,000 Stanley Furniture Co., Inc. 157,140 ---------- 1,658,025 ---------- IDENTIFICATION CONTROL & 9,112 Advanced Energy Industries, Inc. (a) 98,045 FILTER DEVICES - 0.9% 12,967 Artesyn Technologies, Inc. (a) 120,593 16,741 Asyst Technologies Inc. (a) 78,013 1,100 Badger Meter, Inc. 43,274 7,594 C&D Technologies, Inc. 71,460 18,300 Crane Co. 544,242 8,132 ESCO Technologies, Inc. (a) 407,169 5,600 Fargo Electronics, Inc. (a) 97,832 6,900 Flanders Corp. (a) 83,766 15,700 Flowserve Corp. (a) 570,695 1,875 The Gorman-Rupp Co. 45,094 8,726 Mine Safety Appliances Co. 337,696 13,982 Paxar Corp. (a) 235,597 3,312 Robbins & Myers, Inc. 74,454 3,000 Sun Hydraulics, Inc. 72,900 10,627 Veeco Instruments, Inc. (a) 170,457 5,696 Vicor Corp. 86,294 9,200 Viisage Technology, Inc. (a) 38,180 7,636 Watts Water Technologies, Inc. Class A 220,299 9,817 X-Rite, Inc. 121,731 ---------- 3,517,791 ---------- INSURANCE: LIFE - 0.4% 11,800 American Equity Investment Life Holding Co. (e) 133,930 6,700 Ceres Group, Inc. (a) 37,721 8,008 Citizens, Inc. (a) 51,411 9,970 Delphi Financial Group Class A 466,596 2,680 Great American Financial Resources, Inc. 53,600 1,142 Kansas City Life Insurance Co. 58,242 21
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 662 National Western Life Insurance Co. Class A (a) $ 139,848 28,500 The Phoenix Cos., Inc. 347,700 6,093 Presidential Life Corp. 109,674 10,200 Universal American Financial Corp. (a) 231,948 ---------- 1,630,670 ---------- INSURANCE: MULTI-LINE - 0.5% 9,740 Alfa Corp. 162,463 3,186 CNA Surety Corp. (a) 45,305 7,009 Crawford & Co. Class B 54,880 300 EMC Insurance Group, Inc. 5,415 3,425 FBL Financial Group, Inc. Class A 102,579 8,600 HealthExtras, Inc. (a) 183,868 9,206 Hilb Rogal & Hobbs Co. 343,568 16,468 Horace Mann Educators Corp. 325,737 1,340 Independence Holding Co. 24,388 3,400 KMG America Corp. (a) 27,200 2,397 Pico Holdings, Inc. (a) 84,231 11,839 UICI 426,204 4,637 Zenith National Insurance Corp. 290,694 ---------- 2,076,532 ---------- INSURANCE: PROPERTY-CASUALTY 8,700 21st Century Insurance Group 138,765 - 1.3% 5,450 Affirmative Insurance Holdings, Inc. 79,352 1,071 American Physicians Capital, Inc. (a) 52,618 9,066 Argonaut Group, Inc. (a) 244,873 4,532 Baldwin & Lyons, Inc. Class B 113,436 3,400 Bristol West Holdings, Inc. 62,050 35,130 Covanta Holding Corp. (a) 471,796 3,100 Direct General Corp. 61,163 2,533 Donegal Group, Inc. Class A 54,966 4,600 FPIC Insurance Group, Inc. (a) 165,554 3,700 First Acceptance Corp. (a) 37,407 20,600 Fremont General Corp. 449,698 5,662 Harleysville Group, Inc. 135,888 8,200 Infinity Property & Casualty Corp. 287,738 2,258 The Midland Company 81,356 2,600 Navigators Group, Inc. (a) 97,032 2,000 Odyssey Re Holdings Corp. 51,080 21,915 Ohio Casualty Corp. 594,335 9,506 PMA Capital Corp. Class A (a) 83,463 8,423 ProAssurance Corp. (a) 393,101 6,754 RLI Corp. 312,440 5,100 Safety Insurance Group, Inc. 181,509 10,154 Selective Insurance Group 496,531 3,312 State Auto Financial Corp. 104,792 7,800 Tower Group, Inc. 117,936 4,100 United Fire & Casualty Co. 184,951 ---------- 5,053,830 ---------- INVESTMENT MANAGEMENT 22,500 Apollo Investment Corp. 445,500 COMPANIES - 0.6% 5,192 Ares Capital Corp. 84,518 5,400 Calamos Asset Management, Inc. Class A 133,272 500 Capital Southwest Corp. 42,585 1,500 Cohen & Steers, Inc. 30,000 2,996 GAMCO Investors, Inc. Class A 137,367 18,100 MCG Capital Corp. 305,347 2,923 NGP Capital Resources Co. 44,020 22
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 9,800 National Financial Partners Corp. $ 442,372 2,100 Technology Investment Capital Corp. 33,159 27,000 Waddell & Reed Financial, Inc. Class A 522,720 ---------- 2,220,860 ---------- JEWELRY WATCHES & GEMSTONES 17,600 Fossil, Inc. (a) 320,144 - 0.1% 4,600 Movado Group, Inc. 86,112 ---------- 406,256 ---------- LEISURE TIME - 0.4% 27,300 Callaway Golf Co. 411,957 1,400 Escalade, Inc. 18,550 10,200 Great Wolf Resorts, Inc. (a)(e) 105,468 13,100 K2, Inc. (a) 149,340 6,600 Life Time Fitness, Inc. (a) 218,724 7,200 Lodgian, Inc. (a) 73,800 11,800 Majesco Entertainment Co. (a)(e) 15,694 24,300 Six Flags, Inc. (a)(e) 174,717 2,100 Steinway Musical Instruments (a) 55,335 10,178 Sturm Ruger & Co., Inc. 93,638 8,656 Vail Resorts, Inc. (a) 248,860 1,500 West Marine, Inc. (a) 22,170 ---------- 1,588,253 ---------- MACHINE TOOLS - 0.1% 12,992 Lincoln Electric Holdings, Inc. 511,885 ---------- MACHINERY & ENGINEERING - 0.1% 8,960 Applied Industrial Technologies, Inc. 321,485 ---------- MACHINERY: AGRICULTURAL - 27,200 AGCO Corp. (a) 495,040 0.2% 400 Alamo Group, Inc. 7,928 4,550 Gehl Co. (a) 126,808 5,513 Lindsay Manufacturing Co. 121,341 ---------- 751,117 ---------- MACHINERY: CONSTRUCTION & 7,200 ASV, Inc. (a)(e) 163,080 HANDLING - 0.3% 6,217 Astec Industries, Inc. (a) 176,501 9,211 Manitowoc Co. 462,853 1,387 NACCO Industries, Inc. Class A 158,742 10,324 Stewart & Stevenson Services 246,227 ---------- 1,207,403 ---------- MACHINERY: ENGINES - 0.1% 15,500 Briggs & Stratton Corp. 536,145 ---------- MACHINERY: INDUSTRIAL/ 8,200 Actuant Corp. Class A 383,760 SPECIALTY - 0.7% 6,300 EnPro Industries, Inc. (a) 212,247 9,257 Gardner Denver, Inc. (a) 412,862 3,370 Kadant, Inc. (a) 67,602 10,703 Kennametal, Inc. 524,875 2,200 Middleby Corp. (a) 159,500 9,210 Nordson Corp. 350,256 6,028 Tecumseh Products Co. Class A 129,723 2,637 Tennant Co. 108,064 2,993 Woodward Governor Co. 254,555 ---------- 2,603,444 ---------- MACHINERY: OIL WELL 5,802 CARBO Ceramics, Inc. 382,874 EQUIPMENT & SERVICES - 1.5% 11,237 Cal Dive International, Inc. (a) 712,538 1,688 Dril-Quip, Inc. (a) 81,024 28,100 Global Industries Ltd. (a) 414,194 3,717 Gulf Island Fabrication, Inc. 106,864 28,943 Hanover Compressor Co. (a) 401,150 3,000 Hornbeck Offshore Services, Inc. (a) 109,890 6,649 Hydril Co. (a) 456,387 20,146 Input/Output, Inc. (a)(e) 160,765 23
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 3,600 Lufkin Industries, Inc. $ 156,780 30,620 Newpark Resources (a) 257,820 7,004 Oceaneering International, Inc. (a) 374,084 12,100 Oil States International, Inc. (a) 439,351 30,281 Parker Drilling Co. (a) 280,705 4,800 RPC, Inc. 123,648 4,892 SEACOR Holdings, Inc. (a) 355,061 24,505 Superior Energy Services (a) 565,820 2,100 Superior Well Services, Inc. (a) 48,510 5,626 Universal Compression Holdings, Inc. (a) 223,746 10,557 W-H Energy Services, Inc. (a) 342,258 ---------- 5,993,469 ---------- MACHINERY: SPECIALTY - 0.5% 5,100 Applied Films Corp. (a) 107,100 7,400 Bucyrus International, Inc. 363,562 3,700 Cascade Corp. 180,190 11,587 Engineered Support Systems, Inc. 475,530 9,561 Helix Technology Corp. 141,025 16,398 JLG Industries, Inc. 600,003 4,941 Semitool, Inc. (a) 39,281 4,900 TurboChef Technologies, Inc. (a)(e) 76,391 ---------- 1,983,082 ---------- MANUFACTURED HOUSING - 0.1% 23,727 Champion Enterprises, Inc. (a) 350,685 4,205 Palm Harbor Homes, Inc. (a)(e) 81,703 1,501 Skyline Corp. 61,001 ---------- 493,389 ---------- MANUFACTURING - 0.1% 16,759 Federal Signal Corp. 286,411 1,700 Freightcar America, Inc. 69,326 3,300 Reddy Ice Holdings, Inc. 67,683 3,931 Standex International Corp. 103,503 ---------- 526,923 ---------- MEDICAL & DENTAL INSTRUMENTS 4,700 Abaxis, Inc. (a) 61,335 & SUPPLIES - 2.8% 3,800 Abiomed, Inc. (a) 38,266 5,850 Advanced Neuromodulation Systems, Inc. (a) 277,641 16,200 Align Technology, Inc. (a) 108,864 21,900 American Medical Systems Holdings, Inc. (a) 441,285 1,900 Angiodynamics, Inc. (a) 39,900 2,900 Animas Corp. (a) 45,530 5,808 Arrow International, Inc. 163,786 5,200 Bio-Rad Laboratories, Inc. Class A (a) 285,948 4,549 Biosite, Inc. (a) 281,401 2,300 Cantel Medical Corp. (a) 48,392 13,300 Cepheid, Inc. (a) 98,287 11,228 Conmed Corp. (a) 313,037 2,500 Conor Medsystems, Inc. (a) 58,750 5,569 Cyberonics, Inc. (a)(e) 166,179 5,800 DJ Orthopedics, Inc. (a) 167,852 100 DexCom, Inc. (a) 1,162 7,100 Diagnostic Products Corp. 374,383 8,400 Encore Medical Corp. (a) 39,480 3,200 ev3, Inc. (a) 60,000 3,600 FoxHollow Technologies Inc. (a)(e) 171,396 8,200 I-Flow Corp. (a) 112,422 5,750 ICU Medical, Inc. (a) 165,370 12,962 Immucor, Inc. (a) 355,677 24
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ----------- 11,022 Invacare Corp. $ 459,287 4,640 Inverness Medical Innovations, Inc. (a) 123,099 10,100 Kyphon, Inc. (a) 443,794 2,678 Landauer, Inc. 131,222 7,400 Laserscope (a)(e) 208,532 10,700 Lifecell Corp. (a) 231,441 9,644 Mentor Corp. 530,516 3,100 Meridian Bioscience, Inc. 64,170 10,010 Merit Medical Systems, Inc. (a) 177,577 7,137 Molecular Devices Corp. (a) 149,092 7,000 NuVasive, Inc. (a) 131,180 17,459 OraSure Technologies, Inc. (a) 164,638 12,598 Owens & Minor, Inc. 369,751 23,973 PSS World Medical, Inc. (a) 319,800 6,500 Palomar Medical Technologies, Inc. (a) 170,495 8,829 PolyMedica Corp. 308,485 4,500 Somanetics Corp. (a) 112,320 4,615 SonoSite, Inc. (a) 136,973 1,000 Stereotaxis, Inc. (a) 7,410 22,100 Steris Corp. 525,759 5,783 SurModics, Inc. (a) 223,744 12,500 Sybron Dental Specialties, Inc. (a) 519,750 2,500 Symmetry Medical, Inc. (a) 59,250 10,700 ThermoGenesis Corp. (a) 56,603 14,447 Thoratec Corp. (a) 256,579 11,160 Ventana Medical Systems (a) 424,861 9,300 Viasys Healthcare, Inc. (a) 232,407 1,624 Vital Signs, Inc. 74,850 8,676 West Pharmaceutical Services, Inc. 257,417 7,100 Wright Medical Group, Inc. (a) 175,228 600 Young Innovations, Inc. 22,716 ----------- 10,945,289 ----------- MEDICAL SERVICES - 0.3% 21,000 AMICAS, Inc. (a) 113,400 5,100 America Service Group, Inc. (a) 84,609 10,100 Magellan Health Services, Inc. (a) 355,015 3,471 Option Care, Inc. 50,815 10,497 Parexel International Corp. (a) 210,885 6,095 RehabCare Group, Inc. (a) 125,069 5,700 US Physical Therapy, Inc. (a) 103,512 ----------- 1,043,305 ----------- METAL FABRICATING - 1.2% 3,500 CIRCOR International, Inc. 96,075 19,556 Commercial Metals Co. 659,819 100 Dynamic Materials Corp. 4,370 3,000 Earle M. Jorgensen Holding Company, Inc. (a) 28,590 4,750 Encore Wire Corp. (a) 77,235 9,426 Kaydon Corp. 267,793 8,858 Lone Star Technologies (a) 492,416 13,163 Maverick Tube Corp. (a) 394,890 7,000 Metals USA, Inc. (a) 143,220 5,565 NN, Inc. 66,724 6,855 NS Group, Inc. (a) 269,059 8,207 Quanex Corp. 543,468 2,800 RBC Bearings, Inc. (a) 44,660 8,213 RTI International Metals, Inc. (a) 323,182 25
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 10,147 Reliance Steel & Aluminum Co. $ 537,081 6,693 Ryerson Tull, Inc. 142,561 22,600 The Shaw Group, Inc. (a) 557,316 4,158 Valmont Industries, Inc. 122,079 ---------- 4,770,538 ---------- METALS & MINERALS 1,600 AM Castle & Co. (a) 28,000 MISCELLANEOUS - 0.6% 6,473 AMCOL International Corp. 123,440 5,511 Brush Engineered Materials, Inc. (a) 87,515 5,745 Chaparral Steel Co. (a) 144,889 5,020 Charles & Colvard Ltd. (e) 125,299 7,418 Cleveland-Cliffs, Inc. 646,182 5,000 Compass Minerals International, Inc. 115,000 30,244 GrafTech International Ltd. (a) 164,225 41,600 Hecla Mining Co. (a) 182,208 7,353 Minerals Technologies, Inc. 420,665 12,064 Stillwater Mining Co. (a) 110,386 3,000 Titanium Metals Corp. (a) 118,680 ---------- 2,266,489 ---------- MILLING: FRUIT & GRAIN PROCESSING - 0.1% 23,978 Corn Products International, Inc. 483,636 ---------- MISCELLANEOUS MATERIALS & 6,950 Ceradyne, Inc. (a) 254,926 COMMODITIES - 0.2% 9,779 Symyx Technologies (a) 255,427 6,289 WD-40 Co. 166,721 ---------- 677,074 ---------- MISCELLANEOUS MATERIALS & 8,838 Insituform Technologies, Inc. Class A PROCESSING - 0.2% (a) 152,809 7,700 Metal Management, Inc. 195,195 5,455 Rogers Corp. (a) 211,109 27,259 USEC, Inc. 304,210 ---------- 863,323 ---------- MISCELLANEOUS PRODUCER 20,300 BE Aerospace, Inc. (a) 336,371 DURABLES - 0.1% 11,900 Blount International, Inc. (a) 209,916 ---------- 546,287 ---------- MULTI - SECTOR COMPANIES - 16,071 GenCorp, Inc. (a) 299,724 0.5% 7,294 Kaman Corp. Class A 149,162 6,699 Lancaster Colony Corp. 288,057 4,700 Raven Industries, Inc. 137,475 1,465 Sequa Corp. Class A (a) 86,435 11,650 Trinity Industries, Inc. 471,709 300 United Capital Corp. (a) 7,038 12,202 Walter Industries, Inc. 596,922 ---------- 2,036,522 ---------- OFFICE FURNITURE & BUSINESS 5,124 Imagistics International, Inc. (a) 214,439 EQUIPMENT - 0.1% 7,174 Kimball International, Inc. Class B 86,734 3,300 Knoll, Inc. 60,555 10,640 Presstek, Inc. (a) 138,107 ---------- 499,835 ---------- OFFSHORE DRILLING - 0.1% 3,427 Atwood Oceanics, Inc. (a) 288,588 1,900 Bois d'Arc Energy, Inc. (a) 32,699 ---------- 321,287 ---------- OIL: CRUDE PRODUCERS - 3.2% 7,000 ATP Oil & Gas Corp. (a) 229,880 4,200 Atlas America, Inc. (a) 205,170 4,901 Berry Petroleum Co. Class A 326,848 3,900 Bill Barrett Corp. (a) 143,598 12,400 Brigham Exploration Co. (a) 159,340 26
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ----------- 16,511 Cabot Oil & Gas Corp. Class A $ 833,971 6,100 Callon Petroleum Co. (a) 127,673 4,700 Carrizo Oil & Gas, Inc. (a) 137,710 15,700 Cheniere Energy, Inc. (a) 649,352 25,293 Cimarex Energy Co. (a) 1,146,532 2,800 Clayton Williams Energy, Inc. (a) 120,960 13,257 Comstock Resources, Inc. (a) 434,962 3,400 Edge Petroleum Corp. (a) 89,726 17,000 Encore Acquisition Co. (a) 660,450 11,000 Endeavour International Corp. (a) 55,000 8,900 Energy Partners Ltd. (a) 277,858 12,400 FX Energy, Inc. (a)(e) 148,428 16,330 Frontier Oil Corp. 724,235 13,500 Gasco Energy, Inc. (a) 89,775 4,300 Goodrich Petroleum Corp. (a) 100,921 66,343 Grey Wolf, Inc. (a) 559,271 13,800 Harvest Natural Resources, Inc. (a) 148,074 8,183 Houston Exploration Co. (a) 550,307 7,400 McMoRan Exploration Co. (a)(e) 143,856 25,911 Meridian Resource Corp. (a) 108,049 12,400 Parallel Petroleum Corp. (a) 173,600 17,042 PetroHawk Energy Corp. (a) 245,575 6,000 Petroleum Development Corp. (a) 230,040 8,600 Petroquest Energy, Inc. (a) 89,784 4,000 Pioneer Drilling Co. (a) 78,080 8,220 Remington Oil & Gas Corp. (a) 341,130 6,849 Resource America, Inc. Class A 121,433 7,087 Spinnaker Exploration Co. (a) 458,458 18,352 St. Mary Land & Exploration Co. 671,683 6,578 Stone Energy Corp. (a) 401,521 8,917 Swift Energy Co. (a) 407,953 13,500 Todco Class A 563,085 5,500 Toreador Resources Corp. (a)(e) 194,700 5,100 Tri-Valley Corp. (a)(e) 50,745 3,800 W&T Offshore, Inc. 123,234 5,400 Warren Resources, Inc. (a) 90,450 9,200 Whiting Petroleum Corp. (a) 403,328 ----------- 12,816,745 ----------- OIL: INTEGRATED DOMESTIC - 3,500 Alon USA Energy, Inc. (a) 84,525 0.3% 11,800 Delta Petroleum Corp. (a) 244,850 3,600 Giant Industries, Inc. (a) 210,744 15,200 KCS Energy, Inc. (a) 418,456 1,400 Tipperary Corp. (a) 10,318 ----------- 968,893 ----------- PAINTS & COATINGS - 0.1% 13,676 Ferro Corp. 250,544 7,140 H.B. Fuller Co. 221,911 1,793 Kronos Worldwide, Inc. 56,910 ----------- 529,365 ----------- PAPER - 0.5% 8,426 Albany International Corp. Class A 310,667 15,500 Bowater, Inc. 438,185 7,398 Buckeye Technologies, Inc. (a) 60,072 10,974 Caraustar Industries, Inc. (a) 120,495 5,092 Chesapeake Corp. 93,642 14,000 Mercer International, Inc.-Sbi (a) 115,780 27
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 3,300 Neenah Paper, Inc. $ 96,690 16,901 P.H. Glatfelter Co. 238,135 7,580 Rock-Tenn Co. Class A 114,458 14,642 Wausau Paper Corp. 183,171 1,900 Xerium Technologies, Inc. 21,812 ---------- 1,793,107 ---------- PLASTICS - 0.1% 12,654 Spartech Corp. 247,259 ---------- POLLUTION CONTROL & 5,400 American Ecology Corp. 105,948 ENVIRONMENTAL SERVICES - 16,300 Darling International, Inc. (a) 57,539 0.2% 4,100 Duratek, Inc. (a) 74,948 13,746 Headwaters, Inc. (a) 514,100 11,500 Phoenix Technologies Ltd. (a) 86,595 ---------- 839,130 ---------- POWER TRANSMISSION EQUIPMENT - 0.1% 9,451 Regal-Beloit Corp. 306,590 ---------- PRINTING & COPYING SERVICES 13,982 Bowne & Co., Inc. 199,803 - 0.1% 13,600 Cenveo, Inc. (a) 141,032 2,400 Schawk, Inc. 47,976 4,400 TRM Corp. (a) 66,836 ---------- 455,647 ---------- PRODUCTION TECHNOLOGY 4,400 ADE Corp. (a) 98,912 EQUIPMENT - 1.4% 13,557 ATMI, Inc. (a) 420,267 8,100 August Technology Corp. (a) 86,427 31,300 Axcelis Technologies, Inc. (a) 163,386 14,688 Brooks Automation, Inc. (a) 195,791 14,556 Cognex Corp. 437,699 25,868 Credence Systems Corp. (a) 206,427 11,400 Cymer, Inc. (a) 357,048 7,531 Dionex Corp. (a) 408,557 11,261 Electro Scientific Industries, Inc. (a) 251,796 17,200 Emcore Corp. (a) 105,264 36,399 Entegris, Inc. (a) 411,309 7,490 Esterline Technologies Corp. (a) 283,796 7,155 FEI Co. (a) 137,734 4,300 Intevac, Inc. (a) 44,333 18,356 Kulicke & Soffa Industries, Inc. (a) 133,081 22,903 LTX Corp. (a) 96,651 6,800 MTS Systems Corp. 256,836 11,099 Mattson Technology, Inc. (a) 83,353 6,062 Photon Dynamics, Inc. (a) 116,087 12,679 Photronics, Inc. (a) 245,973 4,500 Rofin-Sinar Technologies, Inc. (a) 170,955 4,273 Rudolph Technologies, Inc. (a) 57,557 5,390 Ultratech, Inc. (a) 84,030 11,042 Varian Semiconductor Equipment Associates, Inc. (a) 467,850 ---------- 5,321,119 ---------- PUBLISHING: MISCELLANEOUS - 8,994 Banta Corp. 457,705 0.5% 4,500 Consolidated Graphics, Inc. (a) 193,725 1,950 Courier Corp. 72,930 5,582 Martha Stewart Living Omnimedia, Inc. Class A (a)(e) 139,662 5,407 Playboy Enterprises, Inc. Class B (a) 76,239 44,200 Primedia, Inc. (a) 180,778 28
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 31,100 The Reader's Digest Association, Inc. Class A $ 496,667 8,760 Scholastic Corp. (a) 323,770 6,200 Thomas Nelson, Inc. 116,312 ---------- 2,057,788 ---------- PUBLISHING: NEWSPAPERS - 23,929 Hollinger International, Inc. Class A 234,504 0.2% 4,800 Journal Communications, Inc. Class A 71,520 12,233 Journal Register Co. 197,930 5,700 Media General, Inc. Class A 330,657 ---------- 834,611 ---------- RADIO & TV BROADCASTERS - 1,633 Beasley Broadcasting Group, Inc. Class A 0.8% (a) 22,944 17,900 Citadel Broadcasting Corp. 245,767 10,200 Cox Radio, Inc. Class A (a) 155,040 20,200 Cumulus Media, Inc. Class A (a) 252,298 7,900 Emmis Communications Corp. Class A (a) 174,511 10,900 Entercom Communications Corp. (a) 344,331 1,500 Fisher Communications, Inc. (a) 69,840 13,000 Gray Television, Inc. 137,670 5,054 Liberty Corp. 236,982 11,800 Lin TV Corp. Class A (a) 164,610 5,300 Outdoor Channel Holdings, Inc. (a) 78,228 30,600 Radio One, Inc. Class D (a)(e) 402,390 10,171 Regent Communications, Inc. (a) 53,499 5,033 Saga Communications, Inc. Class A (a) 66,939 2,883 Salem Communications Corp. Class A (a) 53,163 18,664 Sinclair Broadcast Group, Inc. Class A 165,550 14,684 Spanish Broadcasting System Class A (a) 105,431 2,800 WPT Enterprises, Inc. (a) 24,696 10,596 World Wrestling Entertainment, Inc. 137,748 3,900 WorldSpace, Inc. Class A (a) 54,951 ---------- 2,946,588 ---------- RAILROAD EQUIPMENT - 0.1% 2,800 Greenbrier Cos., Inc. 93,072 16,939 Westinghouse Air Brake Technologies Corp. 462,096 ---------- 555,168 ---------- RAILROADS - 0.4% 11,481 Florida East Coast Industries, Inc. 519,974 6,050 Genesee & Wyoming, Inc. Class A (a) 191,785 26,076 Kansas City Southern (a) 607,832 10,302 RailAmerica, Inc. (a) 122,594 ---------- 1,442,185 ---------- REAL ESTATE - 0.4% 1,500 Avatar Holdings, Inc. (a)(e) 88,860 5,700 Bluegreen Corp. (a) 100,605 3,700 California Coastal Communities, Inc. (a) 130,314 1,700 Consolidated-Tomoka Land Co. 115,600 10,600 DiamondRock Hospitality Co. 124,550 3,400 First Potomac Realty Trust 87,380 4,100 Housevalues, Inc. (a)(e) 58,630 4,000 JER Investors Trust, Inc. 72,240 2,600 NorthStar Realty Finance Corp. 24,414 8,200 Sunterra Corp. (a) 107,666 1,975 Tarragon Corp. (a) 36,656 2,215 Tejon Ranch Co. (a) 104,105 10,000 Trammell Crow Co. (a) 246,800 10,400 WCI Communities, Inc. (a) 295,048 ---------- 1,592,868 ---------- 29
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- Real Estate Investment 7,740 AMLI Residential Properties Trust $248,222 Trusts (REIT) - 6.1% 12,300 Aames Investment Corp. 77,244 10,301 Acadia Realty Trust 185,315 2,300 Affordable Residential Communities 23,253 1,100 Agree Realty Corp. 31,075 567 Alexander's, Inc. (a) 153,090 7,356 Alexandria Real Estate Equities, Inc. 608,268 6,450 American Campus Communities, Inc. 154,929 11,097 American Home Mortgage Investment Corp. 336,239 16,300 Anthracite Capital, Inc. 188,754 14,300 Anworth Mortgage Asset Corp. 118,261 5,900 Arbor Realty Trust, Inc. 165,790 15,000 Ashford Hospitality Trust, Inc. 161,400 5,899 Bedford Property Investors 140,632 3,800 Bimini Mortgage Management, Inc. Class A 42,940 13,950 BioMed Realty Trust, Inc. 345,960 9,100 Boykin Lodging Co. (a) 113,022 19,547 Brandywine Realty Trust 607,716 11,350 Capital Automotive REIT 439,359 10,400 Capital Lease Funding, Inc. 107,640 2,500 Capital Trust, Inc. 80,400 3,200 Cedar Shopping Centers, Inc. (e) 46,304 11,084 Colonial Properties Trust 493,016 15,675 Commercial Net Lease Realty 313,500 10,800 Corporate Office Properties Trust 377,460 3,300 Correctional Properties Trust 97,053 11,700 Cousins Properties, Inc. 353,574 3,900 Criimi MAE, Inc. (a) 67,119 8,200 Deerfield Triarc Capital Corp. 113,652 300 Digital Realty Trust, Inc. 5,400 17,100 ECC Capital Corp. 55,746 7,427 Eastgroup Properties 324,931 6,000 Education Realty Trust, Inc. 100,200 9,380 Entertainment Properties Trust 418,629 16,140 Equity Inns, Inc. 217,890 6,194 Equity Lifestyle Properties, Inc. 278,730 10,700 Equity One, Inc. 248,775 7,150 Extra Space Storage, Inc. 109,967 15,570 FelCor Lodging Trust, Inc. (a) 235,886 19,700 Fieldstone Investment Corp. 229,702 12,000 First Industrial Realty Trust, Inc. 480,600 9,100 GMH Communities Trust 133,497 9,382 Gables Residential Trust 409,524 5,200 Getty Realty Corp. 149,656 7,039 Glenborough Realty Trust, Inc. 135,149 13,556 Glimcher Realty Trust 331,715 10,100 Government Properties Trust, Inc. 98,980 2,550 Gramercy Capital Corp. 61,098 8,200 Heritage Property Investment Trust 287,000 9,800 Hersha Hospitality Trust 97,314 9,700 Highland Hospitality Corp. 99,522 15,500 Highwoods Properties, Inc. 457,405 8,420 Home Properties, Inc. 330,485 13,000 HomeBanc Corp. 100,360 30
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ----------- 22,000 IMPAC Mortgage Holdings, Inc. $ 269,720 24,900 Inland Real Estate Corp. 389,934 12,792 Innkeepers USA Trust 197,636 13,700 Investors Real Estate Trust 130,150 10,178 Kilroy Realty Corp. 570,273 2,000 Kite Realty Group Trust 29,840 5,200 LTC Properties, Inc. 110,240 65,000 La Quinta Corp. (a) 564,850 9,020 LaSalle Hotel Properties 310,739 18,842 Lexington Corporate Properties Trust 443,729 17,400 Luminent Mortgage Capital, Inc. 131,370 26,100 MFA Mortgage Investments, Inc. 159,993 12,900 Maguire Properties, Inc. 387,645 4,200 Medical Properties Trust, Inc. 41,160 24,658 Meristar Hospitality Corp. (a) 225,128 7,229 Mid-America Apartment Communities, Inc. 336,221 6,929 National Health Investors, Inc. 191,310 200 National Health Realty, Inc. 3,882 21,359 Nationwide Health Properties, Inc. 497,665 15,900 Newcastle Investment Corp. 443,610 6,500 Novastar Financial, Inc. (e) 214,435 15,600 Omega Healthcare Investors, Inc. 217,152 4,900 One Liberty Properties, Inc. 97,559 5,200 Origen Financial, Inc. 39,364 4,608 PS Business Parks, Inc. 211,046 3,104 Parkway Properties, Inc. 145,640 11,532 Pennsylvania Real Estate Investment Trust 486,420 14,086 Post Properties, Inc. 524,704 12,750 Prentiss Properties Trust 517,650 8,800 RAIT Investment Trust 250,800 4,300 Ramco-Gershenson Properties Trust 125,517 5,895 Redwood Trust, Inc. 286,556 4,122 Saul Centers, Inc. 148,351 14,600 Saxon Capital Inc. 173,010 21,914 Senior Housing Properties Trust 416,366 2,800 Sizeler Property Investors, Inc. 33,992 4,604 Sovran Self Storage, Inc. 225,366 20,300 Spirit Finance Corp. 228,375 15,100 Strategic Hotel Capital, Inc. 275,726 6,843 Sun Communities, Inc. 224,177 5,900 Sunstone Hotel Investors, Inc. 143,901 9,622 Tanger Factory Outlet Centers, Inc. 267,588 17,808 Taubman Centers, Inc. 564,514 6,563 The Town & Country Trust 190,458 17,300 Trustreet Properties, Inc. 270,745 8,400 U-Store-It Trust 170,268 4,527 Universal Health Realty Income Trust 150,523 6,000 Urstadt Biddle Properties, Inc. Class A 90,960 12,965 Washington Real Estate Investment Trust 403,341 7,055 Winston Hotels, Inc. 70,550 ----------- 24,189,497 ----------- RECREATIONAL VEHICLES & 6,143 Arctic Cat, Inc. 126,177 BOATS - 0.3% 4,207 Coachmen Industries, Inc. 48,338 14,599 Fleetwood Enterprises, Inc. (a) 179,568 31
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 2,175 Marine Products Corp. $ 23,990 8,824 Monaco Coach Corp. 130,066 11,484 Thor Industries, Inc. 390,456 8,990 Winnebago Industries, Inc. 260,440 ---------- 1,159,035 ---------- RENTAL & LEASING SERVICES: 3,753 Electro Rent Corp. (a) 47,213 COMMERCIAL - 0.3% 13,100 GATX Corp. 518,105 900 Interpool, Inc. 16,425 1,900 Marlin Business Services, Inc. (a) 43,776 4,910 McGrath RentCorp 139,100 18,900 United Rentals, Inc. (a) 372,519 ---------- 1,137,138 ---------- RENTAL & LEASING SERVICES: 11,593 Aaron Rents, Inc. 245,192 CONSUMER - 0.3% 4,000 Amerco, Inc. (a) 232,760 8,195 Dollar Thrifty Automotive Group (a) 275,926 7,878 Rent-Way, Inc. (a) 54,122 9,458 WESCO International, Inc. (a) 320,342 ---------- 1,128,342 ---------- RESTAURANTS - 1.3% 10,200 AFC Enterprises (a) 117,708 3,300 BJ's Restaurants, Inc. (a) 67,419 13,480 Bob Evans Farms, Inc. 306,131 3,325 Buffalo Wild Wings, Inc. (a) 88,112 10,050 CEC Entertainment, Inc. (a) 319,188 17,700 CKE Restaurants, Inc. 233,286 7,600 California Pizza Kitchen, Inc. (a) 222,224 2,200 Dave & Buster's, Inc. (a) 29,370 26,700 Denny's Corp. (a) 109,737 8,850 Domino's Pizza, Inc. 206,382 6,348 IHOP Corp. 258,618 11,818 Jack in the Box, Inc. (a) 353,476 16,200 Krispy Kreme Doughnuts, Inc. (a)(e) 101,412 3,096 Landry's Restaurants, Inc. 90,713 7,554 Lone Star Steakhouse & Saloon, Inc. 196,404 9,200 Luby's, Inc. (a) 120,152 400 McCormick & Schmick's Seafood Restaurants, Inc. (a) 8,448 9,884 O'Charleys, Inc. (a) 141,440 6,908 PF Chang's China Bistro, Inc. (a) 309,686 2,248 Papa John's International, Inc. (a) 112,670 12,977 Rare Hospitality International, Inc. (a) 333,509 3,600 Red Robin Gourmet Burgers, Inc. (a) 165,024 20,100 Ruby Tuesday, Inc. (a) 437,376 4,300 Ruth's Chris Steak House, Inc. 79,034 15,000 Ryan's Restaurant Group, Inc. (a) 175,050 7,028 The Steak n Shake Co. (a) 127,558 11,600 Texas Roadhouse, Inc. Class A (a) 172,840 11,550 Triarc Cos. 176,369 ---------- 5,059,336 ---------- RETAIL - 4.1% 1,700 1-800 Contacts, Inc. (a) 31,875 11,224 1-800-FLOWERS.COM, Inc. Class A (a) 78,680 12,700 99 Cents Only Stores (a) 117,475 6,300 AC Moore Arts & Crafts, Inc. (a) 120,834 16,850 Aeropostale, Inc. (a) 358,062 4,950 America's Car Mart, Inc. (a) 88,803 2,600 Asbury Automotive Group, Inc. (a) 44,278 32
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 5,600 Big 5 Sporting Goods Corp. $ 133,616 40,000 Big Lots, Inc. (a) 439,600 846 Blair Corp. (e) 31,209 52,600 Blockbuster, Inc. Class A (e) 249,850 3,900 Blue Nile, Inc. (a)(e) 123,396 3,600 The Bon-Ton Stores, Inc. 69,912 6,650 Brookstone, Inc. (a) 132,601 5,979 Brown Shoe Co., Inc. 197,307 1,449 The Buckle, Inc. 49,223 4,000 Build-A-Bear Workshop, Inc. (a)(e) 89,200 5,492 Burlington Coat Factory Warehouse Corp. 208,916 16,934 CSK Auto Corp. (a) 251,978 8,100 Cabela's, Inc. Class A (a)(e) 148,797 5,050 Cache, Inc. (a) 76,911 9,800 Casual Male Retail Group, Inc. (a)(e) 67,424 9,595 The Cato Corp. Class A 191,228 4,700 Central Garden and Pet Co. (a) 212,675 2,100 Charlotte Russe Holding, Inc. (a) 27,972 41,740 Charming Shoppes, Inc. (a) 445,366 6,085 The Children's Place Retail Stores, Inc. (a) 216,869 12,128 Christopher & Banks Corp. 168,215 11,545 Coldwater Creek, Inc. (a) 291,165 600 Conn's, Inc. (a) 16,632 4,576 Cost Plus, Inc. (a) 83,054 500 DEB Shops, Inc. 10,870 3,800 DSW, Inc. Class A (a) 80,560 6,400 Design Within Reach, Inc. (a) 57,792 8,645 Dress Barn, Inc. (a) 196,760 15,800 drugstore.com (a) 58,460 3,931 Electronics Boutique Holdings Corp. (a) 247,024 4,000 FTD Group, Inc. (a) 41,400 15,435 Fred's, Inc. 193,092 9,100 GSI Commerce, Inc. (a) 181,090 14,400 GameStop Corp. Class B (a) 408,816 16 Gander Mountain Co. (a) 144 7,038 Genesco, Inc. (a) 262,095 7,800 Global Imaging Systems, Inc. (a) 265,590 5,600 Goody's Family Clothing, Inc. 42,392 5,532 Group 1 Automotive, Inc. (a) 152,683 7,239 Guitar Center, Inc. (a) 399,665 12,358 Gymboree Corp. (a) 168,563 11,681 HOT Topic, Inc. (a) 179,420 5,761 Handleman Co. 72,761 12,375 Hibbett Sporting Goods, Inc. (a) 275,344 17,898 Insight Enterprises, Inc. (a) 332,903 8,262 The J. Jill Group, Inc. (a) 130,705 6,905 Jo-Ann Stores, Inc. (a) 119,456 3,287 Jos. A. Bank Clothiers, Inc. (a) 142,064 1,647 Lawson Products, Inc. (e) 60,478 12,318 Linens 'N Things, Inc. (a) 328,891 6,800 Lithia Motors, Inc. Class A 197,064 2,600 MarineMax, Inc. (a) 66,274 2,600 New York & Co. (a) 42,640 4,100 Overstock.com, Inc. (a)(e) 157,235 33
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ----------- 14,210 PEP Boys-Manny, Moe & Jack $ 196,666 21,500 Pacific Sunwear of California, Inc. (a) 460,960 6,400 The Pantry, Inc. (a) 239,168 5,900 Party City Corp. (a) 99,828 20,000 Payless Shoesource, Inc. (a) 348,000 16,300 Petco Animal Supplies, Inc. (a) 344,908 24,899 Pier 1 Imports, Inc. 280,612 7,516 Priceline.com, Inc. (a)(e) 145,209 9,900 Restoration Hardware, Inc. (a) 62,568 7,400 Retail Ventures, Inc. (a) 81,252 9,200 Rush Enterprises Inc. Class A (a) 140,576 3,547 Russ Berrie & Co., Inc. 50,084 7,054 School Specialty, Inc. (a) 344,094 700 Sharper Image Corp. (a) 8,820 9,098 ShopKo Stores, Inc. (a) 232,181 8,800 Sonic Automotive, Inc. 195,536 6,626 The Sports Authority, Inc. (a) 195,069 8,400 Stage Stores, Inc. 225,708 5,203 Stamps.com, Inc. (a) 89,544 6,824 Stein Mart, Inc. 138,527 6,500 Talbots, Inc. 194,480 10,666 Too, Inc. (a) 292,568 11,400 Tractor Supply Co. (a) 520,410 7,830 Trans World Entertainment Corp. (a) 61,779 9,890 Tuesday Morning Corp. 255,854 7,731 United Auto Group, Inc. 255,432 12,980 United Natural Foods, Inc. (a) 458,973 8,156 ValueVision Media, Inc. Class A (a) 92,571 9,900 The Wet Seal, Inc. Class A (a)(e) 44,550 2,800 Wilsons The Leather Experts (a) 17,080 16,300 Zale Corp. (a) 443,034 1,800 Zumiez, Inc. (a) 58,734 ----------- 16,210,129 ----------- SAVINGS & LOAN - 2.1% 6,837 Anchor Bancorp Wisconsin, Inc. 201,555 11,550 BFC Financial Corp. (a) 80,619 17,138 Bank Mutual Corp. 183,719 17,142 BankAtlantic Bancorp, Inc. Class A 291,243 5,573 BankUnited Financial Corp. Class A 127,455 2,400 Berkshire Hills Bancorp, Inc. 81,600 1,900 Beverly Hills Bancorp, Inc. 19,494 23,087 Brookline Bancorp, Inc. 365,236 500 Charter Financial Corp. 17,045 4,275 Coastal Financial Corp. 64,082 16,326 Commercial Capital Bancorp, Inc. 277,542 12,527 Commercial Federal Corp. 427,672 10,349 Dime Community Bancshares, Inc. 152,337 8,922 Fidelity Bankshares, Inc. 272,567 1,220 First Defiance Financial Corp. 33,465 4,026 First Financial Holdings, Inc. 123,679 3,240 First Indiana Corp. 110,387 40,453 First Niagara Financial Group, Inc. 584,141 3,000 First Place Financial Corp. 66,510 8,450 First Republic Bank 297,693 4,100 FirstFed Financial Corp. (a) 220,621 34
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 8,450 Flagstar Bancorp, Inc. $ 136,045 5,175 Flushing Financial Corp. 84,715 3,078 Great Southern Bancorp, Inc. 92,094 7,017 Harbor Florida Bancshares, Inc. 254,507 3,000 Horizon Financial Corp. 66,000 1,850 IBERIABANK Corp. 98,327 2,700 ITLA Capital Corp. (a) 141,723 8,100 KNBT Bancorp, Inc. 126,117 6,500 Kearny Financial Corp. 81,250 10,060 MAF Bancorp, Inc. 412,460 300 NASB Financial, Inc. 11,871 17,911 Netbank, Inc. 148,840 40,000 NewAlliance Bancshares, Inc. 585,600 4,667 Northwest Bancorp, Inc. 99,174 2,696 OceanFirst Financial Corp. 65,081 10,265 Ocwen Financial Corp. (a) 71,239 7,111 PFF Bancorp, Inc. 215,179 20,328 Partners Trust Financial Group, Inc. 234,179 2,700 Pennfed Financial Services, Inc. 49,356 1,450 Provident Financial Holdings, Inc. 40,673 21,758 Provident Financial Services, Inc. 382,941 10,289 Provident New York Bancorp 120,073 4,100 Rockville Financial, Inc. (a) 54,694 2,400 Sound Federal Bancorp, Inc. 40,104 8,253 Sterling Financial Corp. 186,105 6,900 TierOne Corp. 181,539 8,061 United Community Financial Corp. 90,444 33,733 W Holding Co., Inc. 322,487 400 Westfield Financial, Inc. 9,400 ---------- 8,400,879 ---------- SCIENTIFIC EQUIPMENT & 12,835 Newport Corp. (a) 178,792 SUPPLIERS - 0.2% 11,735 Varian, Inc. (a) 402,745 ---------- 581,537 ---------- SECURITIES BROKERAGE & 10,450 Archipelago Holdings, Inc. (a)(e) 416,433 SERVICES - 0.6% 2,900 BKF Capital Group, Inc. 89,697 13,745 CharterMac 281,772 700 GFI Group, Inc. (a) 28,819 13,500 Investment Technology Group, Inc. (a) 399,600 39,000 Knight Capital Group, Inc. Class A (a) 324,090 17,200 LaBranche & Co., Inc. (a) 149,468 10,200 MarketAxess Holdings, Inc. (a) 138,720 9,261 NCO Group, Inc. (a) 191,332 6,200 optionsXpress Holdings, Inc. 118,048 4,804 SWS Group, Inc. 78,786 200 ZipRealty, Inc. (a) 2,548 ---------- 2,219,313 ---------- SERVICES: COMMERCIAL - 3.2% 3,963 4Kids Entertainment, Inc. (a) 68,917 12,070 ABM Industries, Inc. 251,177 5,805 AMN Healthcare Services, Inc. (a) 89,803 5,661 Administaff, Inc. 224,968 7,100 The Advisory Board Co. (a) 369,484 5,000 Ambassadors Group, Inc. 111,500 3,000 Angelica Corp. 53,550 12,500 Autobytel, Inc. (a) 62,625 35
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- 1,700 Braun Consulting, Inc. (a) $ 46,835 18,253 CBIZ, Inc. (a) 93,090 3,801 CDI Corp. 112,282 2,500 CRA International, Inc. (a) 104,225 8,978 Casella Waste Systems, Inc. (a) 117,881 8,785 Central Parking Corp. 131,336 7,772 Chemed Corp. 336,838 4,800 Clark, Inc. 80,784 6,250 CoStar Group, Inc. (a) 292,000 9,000 Cogent, Inc. (a) 213,750 9,892 Coinstar, Inc. (a) 183,101 12,594 Corrections Corp. of America (a) 499,982 9,000 Cross Country Healthcare, Inc. (a) 167,040 12,200 DiamondCluster International, Inc. Class A (a) 92,476 2,000 Escala Group, Inc. (a) 33,300 2,402 Exponent, Inc. (a) 75,399 12,341 FTI Consulting, Inc. (a) 311,734 3,881 Forrester Research, Inc. (a) 80,802 6,277 G&K Services, Inc. Class A 247,251 2,900 The Geo Group, Inc. (a) 76,850 10,300 Gevity HR, Inc. 280,572 15,300 Harris Interactive, Inc. (a) 65,331 7,358 Heidrick & Struggles International, Inc. (a) 238,252 9,000 Hudson Highland Group, Inc. (a) 224,730 35,300 IKON Office Solutions, Inc. 352,294 11,300 Jackson Hewitt Tax Service, Inc. 270,183 5,768 Kelly Services, Inc. Class A 176,847 6,800 Kforce, Inc. (a) 70,040 10,868 Korn/Ferry International (a) 178,127 17,822 Labor Ready, Inc. (a) 457,134 5,404 MAXIMUS, Inc. 193,193 33,105 MPS Group, Inc. (a) 390,639 5,742 Midas, Inc. (a) 114,151 2,900 Monro Muffler, Inc. 76,183 15,123 Navigant Consulting, Inc. (a) 289,757 3,717 Netratings, Inc. (a) 56,573 7,900 NeuStar, Inc. Class A (a) 252,721 8,500 Nutri/System, Inc. (a) 212,670 14,364 PHH Corp. (a) 394,435 8,739 Pegasus Solutions, Inc. (a) 78,476 3,660 Pre-Paid Legal Services, Inc. (e) 141,642 4,500 The Providence Service Corp. (a) 137,655 15,700 Regis Corp. 593,774 16,332 Resources Connection, Inc. (a) 483,917 9,402 Rollins, Inc. 183,527 4,700 Sirva, Inc. (a) 35,062 13,700 Source Interlink Cos., Inc. (a) 151,522 21,029 Spherion Corp. (a) 159,820 4,740 Startek, Inc. 62,568 12,289 TeleTech Holdings, Inc. (a) 123,136 16,931 Tetra Tech, Inc. (a) 284,779 700 Travelzoo, Inc. (a)(e) 15,533 2,800 Unifirst Corp. 98,196 2,400 Vertrue, Inc. (a) 87,240 36
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ----------- 5,800 Viad Corp. $ 158,630 1,759 Volt Information Sciences, Inc. (a) 35,743 13,018 Waste Connections, Inc. (a) 456,671 13,300 Waste Services, Inc. (a) 49,210 9,825 Watson Wyatt & Co. Holdings 264,784 14,113 Wireless Facilities, Inc. (a) 81,855 6,100 World Fuel Services Corp. 197,945 ----------- 12,704,497 ----------- SHIPPING - 0.2% 6,500 Gulfmark Offshore, Inc. (a) 209,755 7,030 Kirby Corp. (a) 347,493 2,500 Maritrans, Inc. 80,000 ----------- 637,248 ----------- SHOES - 0.4% 1,900 Deckers Outdoor Corp. (a)(e) 45,714 15,566 The Finish Line, Inc. Class A 227,108 6,996 K-Swiss, Inc. Class A 206,872 3,592 Kenneth Cole Productions, Inc. Class A 98,026 3,700 Shoe Carnival, Inc. (a) 58,867 6,655 Skechers U.S.A., Inc. Class A (a) 108,942 5,612 Steven Madden Ltd. (a) 128,627 12,935 Stride Rite Corp. 165,827 300 Weyco Group, Inc. 5,850 18,808 Wolverine World Wide, Inc. 395,908 ----------- 1,441,741 ----------- STEEL - 0.7% 38,227 AK Steel Holding Corp. (a) 327,605 7,726 Carpenter Technology, Corp. 452,821 7,234 Gibraltar Industries, Inc. 165,442 10,900 Oregon Steel Mills, Inc. (a) 304,110 5,600 Roanoke Electric Steel Corp. 112,168 5,550 Schnitzer Steel Industries, Inc. Class A 180,764 11,297 Steel Dynamics, Inc. 383,646 5,100 Steel Technologies, Inc. 132,243 4,300 Wheeling-Pittsburgh Corp. (a) 71,939 24,600 Worthington Industries, Inc. 517,338 ----------- 2,648,076 ----------- SYNTHETIC FIBERS - 0.0% 4,418 Wellman, Inc. 27,966 ----------- TELECOMMUNICATIONS EQUIPMENT 1,700 Applied Signal Technology, Inc. 32,436 - 0.9% 31,800 Arris Group, Inc. (a) 377,148 6,885 Audiovox Corp. Class A (a) 96,252 15,761 Belden CDT, Inc. 306,236 14,834 C-COR, Inc. (a) 100,129 4,800 Essex Corp. (a) 104,016 17,000 Interdigital Communications Corp. (a) 333,880 5,700 Mastec, Inc. (a) 62,130 15,199 Plantronics, Inc. 468,281 33,600 Polycom, Inc. (a) 543,312 28,577 Powerwave Technologies, Inc. (a) 371,215 200 Preformed Line Products Co. 9,440 25,200 SBA Communications Corp. Class A (a) 389,340 8,980 Spectralink Corp. 114,495 18,500 Symmetricom, Inc. (a) 143,190 14,600 Telkonet, Inc. (a)(e) 57,232 23,076 Terayon Corp. (a) 89,996 ----------- 3,598,728 ----------- 37
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- Textile Products - 0.1% 7,400 DHB Industries, Inc. (a) $ 31,006 5,300 Dixie Group, Inc. (a) 84,482 21,400 Innovo Group, Inc. (a) 41,730 14,221 Interface, Inc. Class A (a) 117,465 ---------- 274,683 ---------- TEXTILES APPAREL 5,700 Carter's, Inc. (a) 323,760 MANUFACTURERS - 0.5% 2,500 Cherokee, Inc. 87,450 4,600 Cone Mills Corp. (a) 67,160 6,485 Guess?, Inc. (a) 138,974 4,900 Hartmarx Corp. (a) 32,095 6,382 Kellwood Co. 164,975 4,200 Maidenform Brands, Inc. (a) 57,750 4,142 Oxford Industries, Inc. 186,887 4,800 Perry Ellis International, Inc. (a) 104,352 10,754 Phillips-Van Heusen, Corp. 333,589 13,317 Russell Corp. 186,971 1,500 Volcom Inc. (a) 42,015 13,500 The Warnaco Group, Inc. (a) 295,785 ---------- 2,021,763 ---------- TIRES & RUBBER - 0.1% 3,374 Bandag, Inc. 144,610 18,100 Cooper Tire & Rubber Co. 276,387 2,000 Titan International, Inc. 27,460 ---------- 448,457 ---------- TOBACCO - 0.2% 33,555 Alliance One International, Inc. 118,785 5,720 Schweitzer-Mauduit International, Inc. 127,670 11,800 Star Scientific, Inc. (a)(e) 39,648 8,056 Universal Corp. 312,814 10,914 Vector Group Ltd. (e) 218,383 ---------- 817,300 ---------- TOYS - 0.1% 10,230 Jakks Pacific, Inc. (a) 166,033 7,700 Leapfrog Enterprises, Inc. (a)(e) 113,729 ---------- 279,762 ---------- TRANSPORTATION 1,600 Dynamex, Inc. (a) 25,024 MISCELLANEOUS - 0.2% 7,100 HUB Group, Inc. Class A (a) 260,641 14,400 Odyssey Marine Exploration, Inc. (a) 53,136 10,900 Pacer International, Inc. 287,324 6,681 SCS Transportation, Inc. (a) 104,959 4,900 US Xpress Enterprises, Inc. Class A (a) 57,134 3,000 USA Truck, Inc. (a) 75,900 ---------- 864,118 ---------- TRUCKERS - 0.5% 6,241 Arkansas Best Corp. 217,624 4,900 Covenant Transport, Inc. Class A (a) 59,290 11,732 Forward Air Corp. 432,207 2,000 Frozen Food Express Industries (a) 20,980 15,580 Heartland Express, Inc. 316,897 11,175 Knight Transportation, Inc. 272,223 1,300 Marten Transport Ltd. (a) 32,890 7,550 Old Dominion Freight Line (a) 252,850 1,200 PAM Transportation Services (a) 19,392 1,700 Universal Truckload Services, Inc. (a) 31,586 12,600 Werner Enterprises, Inc. 217,854 ---------- 1,873,793 ---------- UTILITIES: CABLE TV & RADIO - 0.0% 18,500 Mediacom Communications Corp. Class A (a) 136,530 ---------- 38
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ---------- Utilities: Electrical - 1.3% 9,266 Allete, Inc. $ 424,475 18,275 Avista Corp. 354,535 8,900 Black Hills Corp. 385,993 5,089 CH Energy Group, Inc. 241,626 3,803 Central Vermont Public Service Corp. 66,552 15,367 Cleco Corp. 362,354 21,000 Duquesne Light Holdings, Inc. 361,410 17,808 El Paso Electric Co. (a) 371,297 9,268 The Empire District Electric Co. 211,959 11,600 IDACORP, Inc. 349,508 5,645 MGE Energy, Inc. 206,099 13,200 NorthWestern Corp. 398,508 8,486 Otter Tail Corp. 262,557 33,477 Sierra Pacific Resources (a) 497,133 4,600 UIL Holdings Corp. 240,626 9,083 Unisource Energy Corp. 301,919 ---------- 5,036,551 ---------- UTILITIES: GAS DISTRIBUTORS 5,822 Cascade Natural Gas Corp. 126,745 - 0.8% 2,700 EnergySouth, Inc. 74,493 6,348 The Laclede Group, Inc. 206,247 8,374 New Jersey Resources Corp. 385,037 12,500 Nicor, Inc. 525,375 10,199 Northwest Natural Gas Co. 379,607 10,400 Peoples Energy Corp. 409,552 9,332 South Jersey Industries, Inc. 271,934 13,890 Southwest Gas Corp. 380,447 17,100 WGL Holdings, Inc. 549,423 ---------- 3,308,860 ---------- UTILITIES: GAS PIPELINES - 0.0% 15,031 Transmontaigne, Inc. (a) 120,098 ---------- UTILITIES: MISCELLANEOUS - 0.1% 130,300 Aquila, Inc. (a) 515,988 ---------- UTILITIES: 2,000 Alaska Communications Systems Group, TELECOMMUNICATIONS - 1.1% Inc. 22,880 5,655 CT Communications, Inc. 69,952 4,926 Centennial Communications Corp. (a) 73,791 76,100 Cincinnati Bell, Inc. (a) 335,601 5,033 Commonwealth Telephone Enterprises, Inc. 189,744 39,400 Dobson Communications Corp. Class A (a) (e) 302,198 11,200 FairPoint Communications, Inc. 163,856 16,639 General Communication Class A (a) 164,726 12,500 GlobeTel Communications Corp. (a) 18,125 5,792 Golden Telecom, Inc. (f) 182,853 20,400 IDT Corp. Class B (a) 248,676 5,800 Intrado, Inc. (a) 104,574 10,000 Iowa Telecommunications Services, Inc. 168,200 232,700 Level 3 Communications, Inc. (a)(e) 539,864 4,421 North Pittsburgh Systems, Inc. 90,233 21,600 Premiere Global Services, Inc. (a) 176,688 14,389 Price Communications Corp. (a) 236,699 6,300 RCN Corp. (a) 133,686 1,600 Shenandoah Telecom Co. 65,904 4,400 SureWest Communications 126,192 11,733 Talk America Holdings, Inc. (a) 110,642 19,800 Time Warner Telecom, Inc. Class A (a) 154,440 39
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 [Enlarge/Download Table] SHARES INDUSTRY HELD COMMON STOCKS VALUE ---------------------------- -------- ---------------------------------------- ------------ 8,020 USA Mobility, Inc. (a) $ 216,380 27,600 Ubiquitel, Inc. (a) 241,224 13,100 Valor Communications Group, Inc. 178,553 ------------ 4,315,681 ------------ UTILITIES: WATER - 0.2% 4,985 American States Water Co. 166,798 5,196 California Water Service Group 214,075 2,389 Connecticut Water Service, Inc. 59,056 3,382 Middlesex Water Co. 75,926 1,974 SJW Corp. 95,305 3,032 Southwest Water Co. 43,964 ------------ 655,124 ------------ WHOLESALE & INTERNATIONAL TRADE - 0.1% 4,950 Central European Distribution Corp. (a) 210,820 ------------ WHOLESALERS - 0.3% 12,400 Bell Microproducts, Inc. (a) 124,372 6,850 Brightpoint, Inc. (a) 131,109 5,800 LKQ Corp. (a) 175,160 8,400 Prestige Brands Holdings, Inc. (a) 103,488 10,269 United Stationers, Inc. (a) 491,474 ------------ 1,025,603 ------------ TOTAL COMMON STOCKS (COST - $303,301,526) - 95.9% 378,475,257 ------------ MUTUAL FUNDS INVESTMENT MANAGEMENT COMPANIES - 0.0% 4,900 Gladstone Capital Corp. 110,495 ------------ TOTAL MUTUAL FUNDS (COST - $104,653) - 0.0% 110,495 ------------ [Enlarge/Download Table] BENEFICIAL OTHER INTEREST INTERESTS (B) ----------- ------------- OIL: CRUDE PRODUCERS - 0.0% $ 500 PetroCorp Incorporated (Escrow Shares) 0 ------------ TOTAL OTHER INTERESTS (COST - $0) - 0.0% 0 ------------ SHORT-TERM SECURITIES $ 3,621,986 Merrill Lynch Liquidity Series, LLC Cash Sweep Series I (c) 3,621,986 17,159,650 Merrill Lynch Liquidity Series, LLC Money Market Series (c)(d) 17,159,650 ------------ TOTAL SHORT-TERM SECURITIES (COST - $20,781,636) - 5.3% 20,781,636 ------------ TOTAL INVESTMENTS (COST - $324,187,815*) - 101.2% 399,367,388 LIABILITIES IN EXCESS OF OTHER ASSETS - (1.2%) (4,670,846) ------------ NET ASSETS - 100.0% $394,696,542 ============ * The cost and unrealized appreciation (depreciation) of investments, as of September 30, 2005, as computed for federal income tax purposes, were as follows: [Download Table] Aggregate cost $327,823,853 ============ Gross unrealized appreciation $ 96,836,263 Gross unrealized depreciation (25,292,728) ------------ Net unrealized appreciation $ 71,543,535 ============ 40
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MASTER SMALL CAP INDEX SERIES SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2005 (a) Non-income producing security. (b) Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. (c) Investments in companies considered to be an affiliate of the Series, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: [Download Table] NET INTEREST AFFILIATE ACTIVITY INCOME --------- ----------- -------- Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $(5,367,604) $409,564 Merrill Lynch Liquidity Series, LLC Money Market Series $ 5,507,262 $159,554 (d) Security was purchased with the cash proceeds from securities loans. (e) Security, or a portion of security, is on loan. (f) Depositary receipts. Financial futures contracts purchased as of September 30, 2005 were as follows: [Download Table] NUMBER OF EXPIRATION FACE UNREALIZED CONTRACTS ISSUE DATE VALUE APPRECIATION --------- ------------------ ------------- ---------- ------------ 13 Russell 2000 Index December 2005 $4,357,413 $11,237 For Series compliance purposes, the Series' industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Series management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percent of net assets. 41
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AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2005 -------------------------------------------------------------------------------- in thousands, except share amounts [Download Table] PAR/SHARES VALUE ------------ -------- U.S. GOVERNMENT SPONSORED AGENCY INSTRUMENTS - 1.44% Federal Home Loan Bank, 7.507%, Due 2/20/2007 $ 100 $ 104 Federal National Mortgage Association, 4.50%, Due 8/4/2008 50 50 3.67%, Due 2/17/2009 100 100 Tennessee Valley Authority, 3.375%, Due 1/15/2007 247 255 -------- TOTAL U.S. GOVERNMENT SPONSORED AGENCY INSTRUMENTS 509 -------- U.S. GOVERNMENT TREASURY OBLIGATIONS- 92.09% U.S. Inflation Protected Treasury Bonds, 2.375%, Due 1/15/2025 207 222 3.375%, Due 4/15/2032 220 291 U.S. Inflation Protected Treasury Notes, 0.875%, Due 4/15/2010 3,889 3,790 1.625%, Due 1/15/2015 2,180 2,154 1.875%, Due 7/15/2013 3,352 3,397 1.875%, Due 7/15/2015 457 461 2.00%, Due 1/15/2014 2,649 2,705 2.00%, Due 7/15/2014 3,038 3,103 3.00%, Due 7/15/2012 3,598 3,915 3.375%, Due 1/15/2007 2,997 3,100 3.375%, Due 1/15/2012 1,871 2,072 3.50%, Due 1/15/2011 1,319 1,453 3.625%, Due 1/15/2008 2,020 2,138 3.875%, Due 1/15/2009 2,020 2,191 4.25%, Due 1/15/2010 1,324 1,481 -------- TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS 32,473 -------- VARIABLE RATE CORPORATE OBLIGATIONS - 0.92% (NOTE B) FINANCIAL - 0.92% Allstate Life Global Funding, 4.22%, Due 3/1/2010 100 98 Lehman Brothers Holdings, Incorporated, 4.44%, Due 6/2/2009 80 79 SLM Corporation, 4.65%, Due 1/31/2014 150 149 -------- TOTAL FINANCIAL 326 -------- TOTAL VARIABLE RATE CORPORATE OBLIGATIONS 326 -------- SOVEREIGN OBLIGATIONS - 0.55% Republic of France, 1.60%, Due 7/25/2015 153 194 -------- TOTAL SOVEREIGN OBLIGATIONS 194 -------- SHORT TERM INVESTMENTS - 4.52% American Beacon Money Market Select Fund (Note A) 1,592,666 1,593 -------- TOTAL SHORT TERM INVESTMENTS 1,593 -------- TOTAL INVESTMENTS - 99.52% (COST $35,202) (NOTE C) 35,095 -------- OTHER ASSETS, NET OF LIABILITIES - 0.48% 168 -------- TOTAL NET ASSETS - 100% $35,263 ======== Page 1 of 1
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(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 September 30, 2005 coupon rate. (C) At September 30, 2005 the aggregate cost of investments for federal income tax purposes is $35,326 and the net unrealized appreciation of investments based on that cost is $231 which is comprised of $9 aggregate gross unrealized appreciation and $240 aggregate gross unrealized depreciation. For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.
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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 September 30, 2005 is provided below. AMERICAN BEACON MASTER U.S. GOVERNMENT MONEY MARKET PORTFOLIO SCHEDULE OF INVESTMENTS September 30, 2005 (Unaudited) -------------------------------------------------------------------------------- [Download Table] Par Amount Value ---------- ---------- (dollars in thousands) REPURCHASE AGREEMENTS (NOTE A) - 75.04% Banc of America Securities, LLC, 3.85%, Due 10/3/2005 $ 69,500 $ 69,500 Barclays Capital, Incorporated, 3.90%, Due 10/3/2005 78,778 78,778 Goldman Sachs, 3.78%, Due 10/3/2005 69,500 69,500 ---------- TOTAL REPURCHASE AGREEMENTS 217,778 ---------- U.S. GOVERNMENT AGENCY INSTRUMENTS - 28.30% Federal Home Loan Bank, Discount Note, 3.66%, Due 11/25/2005 (Note B) 500 497 Variable Rate Note, 3.411%, Due 10/5/2005 (Note C) 5,000 5,000 Variable Rate Note, 3.914%, Due 4/4/2007 (Note C) 10,000 9,994 Federal Home Loan Mortgage Corporation, Discount Note, 3.65%, Due 11/10/2005 (Note B) 787 784 Discount Note, 3.69%, Due 12/13/2005 (Note B) 1,550 1,539 Variable Rate Note, 3.84%, Due 12/27/2006 (Note C) 10,000 9,992 Federal National Mortgage Association, Discount Note, 3.60%, Due 11/2/2005 (Note B) 11,883 11,847 Discount Note, 3.64%, Due 11/9/2005 (Note B) 1,190 1,186 Variable Rate Note, 3.386%, Due 10/3/2005 (Note C) 16,300 16,300 Variable Rate Note, 3.584%, Due 12/9/2005 (Note C) 15,000 14,998 Variable Rate Note, 3.794%, Due 12/22/2006 (Note C) 10,000 9,993 ---------- TOTAL U.S. GOVERNMENT AGENCY INSTRUMENTS 82,130 ---------- TOTAL INVESTMENTS - 103.34% (Cost $299,908) 299,908 ---------- OTHER LIABILITIES, NET OF ASSETS - (3.34%) (9,702) ---------- TOTAL NET ASSETS - 100% $ 290,206 ========== Based on the cost of investments of $299,908 for federal income tax purposes at September 30, 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%, Due 9/1/2020-10/1/2035, Total Value - $70,890; and Barclays Capital, Incorporated, 4.50%, Due 11/1/2019, Total Value - $80,353; and Goldman Sachs, 4.29 - 6.03%, Due 5/1/2009 - 9/1/2035, Total Value - $70,890. (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. For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements. Page 1 of 1
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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: November 28, 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: November 28, 2005 ------------------ By: /s/ Rebecca L. Harris --------------------- Rebecca L. Harris Treasurer Date: November 28, 2005 ------------------

Dates Referenced Herein   and   Documents Incorporated by Reference

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12/31/05124F-2NT,  N-CSR,  NSAR-B
Filed on / Effective on:11/29/05
11/28/0588
For Period End:9/30/05187485APOS
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