U.S. scrutiny of Barclays and UBS widens forex trading probe: FT
Mon, Feb 9, 2015, 0:34AM EST - US Markets open in 8 hrs and 56 mins

(Reuters) - The U.S. Department of Justice is examining currency-linked investments offered by Barclays (BARC.L) and UBS (UBSG.VX), the Financial Times reported on Sunday.

The agency is looking into whether the two banks sold so-called structured products without disclosing the profit they were making from currency trades used to generate the products' returns, according to the FT report, which cited people familiar with the investigation. (http://on.ft.com/1usxaKT)

The Department of Justice is also investigating other banks over allegations of inadequate profit disclosure to clients and counterparties involved in currency deals, the FT reported.

The Department of Justice, UBS and Barclays declined to comment for the  article.


(Reporting By Jessica Toonkel; Editing by Alan Crosby)
http://finance.yahoo.com/news/u-scrutiny-barclays-ubs-widens-191201628.html

J.P. Morgan -Barclays  2013

Barclays business can be traced back to two Quakers called John Freame and Thomas Gould, who established themselves as goldsmith bankers in Lombard Street in the City of London in 1690. Their business flourished, helped in no small part by its Quaker connections. They financed Quaker traders in the new colonies in America and the Caribbean, they helped to finance the Pennsylvania Land Company, and they were actively involved in Quaker-dominated companies like the London Lead Company and the Welsh Copper Company.

The latter produced silver as a by-product, which Freame and Gould sold to the Royal Mint. They were also the closest thing the Quakers had to an official banker, holding the Society Of Friends' central funds (known as the national stock). In 1695, this amounted to £1,100.

Beyond his bank, John Freame was a very well-respected and influential character. He served as clerk to the Yearly Meeting (the Quakers' annual gathering attended by local representatives from all over the country), and published a book called 'Scripture Instruction' which was used in Quaker schools. He also campaigned for greater toleration for the Quakers, achieving the right to make an affirmation rather than swear an oath, and the right to be prosecuted before magistrates rather than in the church courts.

In 1728, Freame’s son, Joseph, became a partner in the bank, and John Freame began a gradual process of retirement. James Barclay joined the firm in 1733, having married Freame’s daughter, Sarah. James was the son of David Barclay by his first wife, Ann. Following the death of Ann, David Barclay married Freame’s elder daughter Priscilla in 1723. This rather complicated state of affairs meant that James Barclay's stepmother was also his sister-in-law, but is quite typical of the way the Quakers ran their lives and businesses. Family, religious and business ties were inextricably linked.

James Barclay had a strong business and Quaker background. His grandfather, Robert Barclay, was known as 'The Apologist' because he wrote a book explaining the Quakers' beliefs, entitled, 'Apology For The True Christian Divinity'

Although David Barclay Senior did not become a partner in the bank, his sons by his second wife (and, therefore, John Freame’s grandsons), David Barclay the younger and John Barclay did. By this time, the partners were amassing fortunes which may have seemed at odds with the Quaker principles of simple and plain living, but it is important to remember that a Quaker who went bankrupt was disowned by the Society.

While the fear of bankruptcy may have spurred the Barclays on to ever greater profitability, they still had not lost sight of other Quaker virtues. David Barclay the younger, who became a partner in the bank in 1776, was a very active Quaker.

A keen supporter of the emancipation campaigner Wiilliam Willberforce, he used his influence to persuade other Quakers to take a stronger stand for the abolition of slavery. Later, David Barclay found himself the owner of a slave plantation in Jamaica in settlement of a debt. His decision to free the slaves and transport them to Philadelphia cost him £3,000.

Barclay was also well-respected in the wider community. A close friend of Benjamin Franklin, he attempted to mediate between the rebellious colonists in America and the British government in 1774 and 1775. He must have suspected the worst, however, because he had been redirecting his own business interests away from North America for some time. It would appear that even the span of the Atlantic Ocean could not disrupt Quaker business connections - the large number of Friends who settled in America made sure that their British cousins were kept well informed.

Beyond London

While banks in London were thriving, banking in the rest of England was only just beginning. One of the earliest 'country banks' in Barclays history is that established in 1744 by Samuel Alexander in Needham Market in Suffolk. Alexander was a Quaker merchant with interests in the iron and corn trade.

In what was to become a regular pattern in rural areas and market towns all over England, Alexander was perceived by his customers to be a trustworthy, reliable and relatively wealthy man, so they felt happy entrusting their money to his care. His faith undoubtedly played an important part in forming this opinion, and it also meant that he had access to the Friends' business network, so was able to call upon the Barclays to act as his London agent.

Alexander's went on to merge with Gurney’s, the biggest country bank to take part in the 1896 amalgamation. The Gurney business began with the Norwich and Norfolk bank, opened by Quaker brothers, John and Henry Gurney on 13 May 1775. They had made their money as worsted, linen and yarn merchants.

As banking became more profitable than cloth, their business expanded and they established partnerships in Great Yarmouth, Kings Lynn, Wisbech, Fakenham, Ipswich, Colchester and Halesworth. By 1838, the Gurneys were described as 'exercising an influence and a power inferior to that of no banking establishment in Great Britain - that of the Bank of England alone excepted'.

Like many successful Quakers, some of the Gurneys found it difficult to reconcile their faith with their wealth. Joseph John Gurney chose to become a ‘plain Friend’, dedicating his life to his bank, his religion and good causes. Like his sister, Elizabeth Fry, he campaigned for prison reform.

He also campaigned against slavery, and in 1837 went on a three year ministering tour of the West Indies and America, giving away one third of his share of the Bank's profits for the duration. He was a renowned Quaker author - his 1824 work, 'Observations on the Religious Peculiarities of the Society Of Friends'; was reprinted many times. His attitude is exemplified by his statement:

'I suppose my leading outward object in life may be said to be the bank. While i am a banker the bank must be attended to. It is obviously the religious duty of a trustee to so large an amount to be diligent in watching his trust.'

The Gurney name is also famous for its involvement in Overend, Gurney and Company, a firm of London bill brokers which failed spectacularly in 1866, prompting a financial crisis. Although members of the Gurney family were implicated and affected by the failure, the Gurneys’ East Anglian banks came through remarkably unscathed, due mainly to quick thinking and shrewd judgement by their Barclay cousins.

By injecting new capital and new partners into the Norwich Bank, they effectively distanced it from the bill broking business just one month before it crashed. While the very public failure of one Quaker business was highly regrettable, it had clearly been beyond saving, and ruthless action had been needed to prevent other businesses going down with Overend, Gurney and Company.

Find out more https://home.barclays/who-we-are/our-history/


https://home.barclays/content/dam/home-barclays/documents/citizenship/our-reporting-and-policy-positions/policy-positions/Barclays-Group-Statement-on-Modern-Slavery-FY2019.pdf

Further information: Barclays § History
The origins of the Freame Bank, in which Barclay and his brother John inherited shares through their mother, go back at least to the first quarter of the 18th century. The name of the bank changed frequently, but it was generally known as Barclay, Bevan & Co., from the middle of the 1770s.[4] Bevan was Silvanus Bevan III, son of Timothy Bevan and nephew of Silvanus Bevan II the apothecary;[5] his mother was Elizabeth, Barclay's half-sister.[6]

American matters
Barclay traded with the colonies in America, and had connections particularly in Pennsylvania; the firm David Barclay & Sons had connections around 1760 with New York and Philadelphia merchants, and supplied the British military in North America.[7] In the years before the outbreak of the American War of Independence, Barclay made use of Benjamin Franklin. The Barclay brothers used their insights into the North American situation as a guide to business strategy, first of all withdrawing from sales on commission, and then reducing their dependence on exporting across the Atlantic. At the end of the War they had closed down their old trade in linen.[8]

Franklin's relationship with Quaker bankers went back 20 years, to his first English visit as agent for Pennsylvania: on that occasion he banked with Henton Brown's firm. Brown had met Robert Hunter Morris as incoming Pennsylvania governor in 1754; and in 1755, along with Barclay, Bevan, Fothergill, and Capel Hanbury became a committee member concerned with the interests of the Society of Friends there.[9] In 1756 Barclay was ordering muskets for Thomas Penn; he also acted as London agent for William Allen.[10]

In the crisis of the 1770s Barclay led the Committee of North American Merchants in their campaign for repeal of the Stamp Act 1765. He did not, however, endorse the extremes of opposition of the colonists.[11] In November 1774 he called on Benjamin Franklin, in London, to discuss the worsening tensions in the cross-Atlantic relationship. Franklin, with Barclay and John Fothergill, drafted a plan to resolve the impasse existing after the Boston Tea Party of the previous year.[12] Barclay met Lord North in 1775 to oppose moves against American access to fisheries, though without success, while Fothergill also worked behind the scenes.[11]

After the War, American Quaker abolitionist delegations made their way to London. Barclay found them generally too impatient, and politically naive in their view that the way to apply pressure to Parliament was through the King. He diverted the abolitionist programme to getting the case for the abolition of slavery heard by politicians, with success.[13]

Barclay, Perkins, & Co.
In 1781 a consortium of Barclay and others bought the Anchor Brewery, Southwark, part of the estate of Henry Thrale. Barclay approached his widow Hester Thrale the month after his death,[14] with a proposal to acquire a share in the business; this was much more welcome to her than the offer the chief clerk, John Perkins.[15] The deal, requiring some financial engineering, was a family affair involving his nephews:[8] Robert Barclay (1750–1830, of Bury Hill near Dorking, Surrey),[16] son of Barclay's half-brother Alexander,[6] and Silvanus Bevan, to whom Perkins was connected through his wife. David Barclay found £135,000 for the firm. Henry Perkins, son of John, was more of a scholar, but retained an interest in the brewery.[17] The name "H. Thrale and Company" was changed to "Barclay Perkins and Company", in 1798;[18] that company merged with Courage Brewery in 1955.[19]

Youngsbury

Youngsbury in the 18th century, recorded in a watercolour by Henry George Oldfield.
Barclay bought the manor of Youngsbury in Hertfordshire in 1769, and enlarged the house there. A plan by Capability Brown for Barclay in 1770 introduced a serpentine lake.[20] He sold it in 1793, after the death of his second wife, to William Cunliffe Shawe, and it passed in 1796 to Daniel Giles,[21] Governor of the Bank of England.

Barclay got to know John Scott of Amwell, that village being a few miles away, the other side of Ware; Scott was a fellow Quaker whom Barclay met on turnpike committees as well as at Friends' meetings. After Barclay had got to know Samuel Johnson through the Thrale brewery deal in 1781—Johnson being involved as an executor—Barclay approached him in 1784 to write the biography of Scott, who differed from Johnson in terms of politics, and in other matters. They met, and Johnson made light of the disagreements; but he died the following year, leaving Barclay money in his will.[22][23][24] Barclay turned to John Hoole to write the biography.[25]

Philanthropy
Verene Shepherd, the Jamaican historian of diaspora studies, singles out the case of Barclay and how he chose, in 1794, to free his slaves in that colony.[26] He and his brother had acquired Unity Valley Pen, a grazing farm in Saint Ann Parish, in return for a debt, and were discomforted to find themselves the owners of about 30 slaves. Barclay wrote that when his brother died, "I determined to try the experiment of liberating my slaves, firmly convinced, that the retaining of my fellow creatures in bondage was not only irreconcilable with the precepts of Christianity, but subversive of the rights of human nature ...." [27] He hired a vessel to take them to America; his agent for the transfer, William Holden, was instructed to take them to Philadelphia and deliver them as emancipated to John Ashley, Barclay's agent there.[28][29] The Pennsylvania Abolition Society saw to the training of this group in manual trades and domestic service.[30]

In his banking business Barclay advocated against the financing of the slave trade, but was unable to prevent such finance, leaving his ethical attitude contradictory in current views.[31]

Barclay supported John Whitehead with an annuity.[32] He was closely involved for the London Committee in the founding of Ackworth School, a Quaker school in Yorkshire.[33]

Family
He married twice, and had one child who survived to adulthood:

To Martha Hudson; their daughter Agatha married Richard Gurney and was mother of Hudson Gurney, and Agatha who married Sampson Hanbury.[34]
To Rachel Lloyd, daughter of Sampson Lloyd II and sister of Charles Lloyd; she died in 1792 at Youngsbury.[35]
Barclay supported the education of his grandson Hudson Gurney, which took place with his companion the polymath Thomas Young (two years older) at Youngsbury, from 1787 to 1792. Young also stayed at Barclay's London house, where he had access to the lectures of Bryan Higgins.[36]

The Barclay extended family was large: David Barclay estimated it at 300 "who call me uncle or cousin".[37]

In later life Barclay lived at Walthamstow.[34]

Further reading
McIntyre, Ian (2008). Hester: The Remarkable Life of Dr Johnson's 'Dear Mistress'. London: Constable. ISBN 978-1845294496.

References
Barclay, Hubert F.; Wilson-Fox, Alice (1934). A History of the Barclay Family, with Pedigrees from 1067 to 1933, Part III: The Barclays in England and Scotland from 1610 to 1933. London: The St. Catherine Press. pp. 243–248. Retrieved 29 January 2021 – via Internet Archive.
Adam Kuper (30 October 2009). Incest & Influence: The Private Life of Bourgeois England. Harvard University Press. p. 114. ISBN 978-0-674-03589-8. Retrieved 27 April 2012.
Dickson, P. G. M. "Barclay, David (1682–1769)". Oxford Dictionary of National Biography (online ed.). Oxford University Press. doi:10.1093/ref:odnb/37149. (Subscription or UK public library membership required.)
Frederick G. Price (1 September 1970). Handbook of London Bankers: With Some Account of Their Predecessors, The Early Goldsmiths. Ayer Publishing. pp. 9–13. ISBN 978-0-8337-2829-6. Retrieved 27 April 2012.
"More about the Bevans". Archived from the original on 5 March 2012. Retrieved 27 April 2012.
Margaret Ackrill; Leslie Hannah (25 October 2001). Barclays: The Business of Banking, 1690-1996. Cambridge University Press. pp. 18–20. ISBN 978-0-521-79035-2. Retrieved 27 April 2012.
Walter Scott Dunn (2001). The New Imperial Economy: The British Army and the American Frontier, 1764-1768. Greenwood Publishing Group. pp. 120–1. ISBN 978-0-275-97180-9. Retrieved 27 April 2012.
Hannah, Leslie. "Barclay, David (1729–1809)". Oxford Dictionary of National Biography (online ed.). Oxford University Press. doi:10.1093/ref:odnb/37150. (Subscription or UK public library membership required.)
Allen, Richard C. "Brown, Henton". Oxford Dictionary of National Biography (online ed.). Oxford University Press. doi:10.1093/ref:odnb/68156. (Subscription or UK public library membership required.)
Jack D. Marietta (6 July 2007). The Reformation of American Quakerism, 1748-1783. University of Pennsylvania Press. p. 330. ISBN 978-0-8122-1989-0. Retrieved 27 April 2012.

Christopher Leslie Brown; Omohundro Institute of Early American History & Culture (27 March 2006). Moral Capital: Foundations of British Abolitionism. UNC Press Books. pp. 409–10. ISBN 978-0-8078-5698-7. Retrieved 27 April 2012.

Benjamin Franklin; William Duane (1840). Memoirs of Benjamin Franklin. McCarty & Davis. pp. 107–13. Retrieved 27 April 2012.

David Brion Davis (15 April 1999). The Problem of Slavery in the Age of Revolution, 1770-1823. Oxford University Press. pp. 327–9. ISBN 978-0-19-512671-6. Retrieved 27 April 2012.

McIntyre (2008), p. 176.
McIntyre (2008), p. 168.

Exploring Surrey's Past, Views of Surrey by John and Edward Hassell.

Spencer, H. J. "Perkins, Henry". Oxford Dictionary of National Biography (online ed.). Oxford University Press. doi:10.1093/ref:odnb/21969. (Subscription or UK public library membership required.)

AIM25, Barclay Perkins, Sales Records.
AIM25, Courage Barclay and Simonds {Brewers}.
Hugh C. Prince (1 April 2008). Parks in Hertfordshire Since 1500. Univ of Hertfordshire Press. pp. 97–. ISBN 978-0-9542189-9-7. Retrieved 27 April 2012.
William Page (editor) (1912). "Parishes: Standon". A History of the County of Hertford: volume 3. Institute of Historical Research. Retrieved 27 April 2012.
David Perman, Scott of Amwell: Dr. Johnson's Quaker Critic, pp. 15–7; p. 24; p. 108; p. 119; p. 190.
David Martin, Samuel Johnson: A Biography (2008), p. 459.
Spenserians, John Hoole, An Account of the Life and Writings of John Scott, Esq., Scott, Critical Essays (1785) i-lxxxix.
"Hoole, John" . Dictionary of National Biography. London: Smith, Elder & Co. 1885–1900.
Shepherd, Verene (24 February 2008). "Freedom in the era of slavery: The case of the Barclay brothers in Jamaica". The Gleaner. Retrieved 15 January 2018.
Barclay, David (1801). An account of the emancipation of the slaves of Unity Valley Pen, in Jamaica. Retrieved 15 January 2018.
Chambers's Edinburgh Journal. W. & R. Chambers. 1850. pp. 222–3. Retrieved 27 April 2012.
David Barclay (merchant.) (1801). An account of the emancipation of the slaves of Unity Valley Pen, in Jamaica. p. 6. Retrieved 27 April 2012.
"Jamaica Gleaner story, Freedom in the era of slavery: The case of the Barclay brothers in Jamaica, 24 February 2008". Archived from the original on 2 February 2014. Retrieved 27 April 2012.
"Newspaper story, Landed gents who joined the fight to secure an end to slavery". Archived from the original on 1 August 2012. Retrieved 27 April 2012.
"Whitehead, John (c. 1740-1804)" . Dictionary of National Biography. London: Smith, Elder & Co. 1885–1900.
Henry Thompson, A History of Ackworth School during its first Hundred Years; preceded by a brief account of the fortunes of the house whilst occupied as a foundling hospital (1879) p. 31; archive.org.
Richard Hingston Fox, Dr. John Fothergill and his Friends; chapters in eighteenth century life (1919) pp. 275–6; archive.org.
Joseph Bevan Braithwaite, Memoirs of Anna Braithwaite; being a sketch of her early life and ministry and extracts from her private memoranda, 1830-59 (1905), p. 25; archive.org.
Albert Edward Musson; Eric Robinson (1969). Science and Technology in the Industrial Revolution. Manchester University Press ND. pp. 166–. ISBN 978-0-7190-0370-7. Retrieved 27 April 2012.
Walter Thom (1813). Pedestrianism; or, An account of the performances of celebrated pedestrians during the last and present century: with a full narrative of Captain Barclay's public and private matches; and an essay on training. A. Brown, and F. Frost. p. 282. Retrieved 27 April 2012.
See also
List of abolitionist forerunners

https://en.wikipedia.org/wiki/David_Barclay_of_Youngsbury#The_Barclay_family_bank

The Barclay connection
Barclays business can be traced back to two Quakers called John Freame and Thomas Gould, who established themselves as goldsmith bankers in Lombard Street in the City of London in 1690. Their business flourished, helped in no small part by its Quaker connections. They financed Quaker traders in the new colonies in America and the Caribbean, they helped to finance the Pennsylvania Land Company, and they were actively involved in Quaker-dominated companies like the London Lead Company and the Welsh Copper Company.

The latter produced silver as a by-product, which Freame and Gould sold to the Royal Mint. They were also the closest thing the Quakers had to an official banker, holding the Society Of Friends' central funds (known as the national stock). In 1695, this amounted to £1,100.

Beyond his bank, John Freame was a very well-respected and influential character. He served as clerk to the Yearly Meeting (the Quakers' annual gathering attended by local representatives from all over the country), and published a book called 'Scripture Instruction' which was used in Quaker schools. He also campaigned for greater toleration for the Quakers, achieving the right to make an affirmation rather than swear an oath, and the right to be prosecuted before magistrates rather than in the church courts.

In 1728, Freame’s son, Joseph, became a partner in the bank, and John Freame began a gradual process of retirement. James Barclay joined the firm in 1733, having married Freame’s daughter, Sarah. James was the son of David Barclay by his first wife, Ann. Following the death of Ann, David Barclay married Freame’s elder daughter Priscilla in 1723. This rather complicated state of affairs meant that James Barclay's stepmother was also his sister-in-law, but is quite typical of the way the Quakers ran their lives and businesses. Family, religious and business ties were inextricably linked.

James Barclay had a strong business and Quaker background. His grandfather, Robert Barclay, was known as 'The Apologist' because he wrote a book explaining the Quakers' beliefs, entitled, 'Apology For The True Christian Divinity'

Although David Barclay Senior did not become a partner in the bank, his sons by his second wife (and, therefore, John Freame’s grandsons), David Barclay the younger and John Barclay did. By this time, the partners were amassing fortunes which may have seemed at odds with the Quaker principles of simple and plain living, but it is important to remember that a Quaker who went bankrupt was disowned by the Society.

While the fear of bankruptcy may have spurred the Barclays on to ever greater profitability, they still had not lost sight of other Quaker virtues. David Barclay the younger, who became a partner in the bank in 1776, was a very active Quaker.

A keen supporter of the emancipation campaigner Wiilliam Willberforce, he used his influence to persuade other Quakers to take a stronger stand for the abolition of slavery. Later, David Barclay found himself the owner of a slave plantation in Jamaica in settlement of a debt. His decision to free the slaves and transport them to Philadelphia cost him £3,000.

Barclay was also well-respected in the wider community. A close friend of Benjamin Franklin, he attempted to mediate between the rebellious colonists in America and the British government in 1774 and 1775. He must have suspected the worst, however, because he had been redirecting his own business interests away from North America for some time. It would appear that even the span of the Atlantic Ocean could not disrupt Quaker business connections - the large number of Friends who settled in America made sure that their British cousins were kept well informed.

Beyond London

While banks in London were thriving, banking in the rest of England was only just beginning. One of the earliest 'country banks' in Barclays history is that established in 1744 by Samuel Alexander in Needham Market in Suffolk. Alexander was a Quaker merchant with interests in the iron and corn trade.

In what was to become a regular pattern in rural areas and market towns all over England, Alexander was perceived by his customers to be a trustworthy, reliable and relatively wealthy man, so they felt happy entrusting their money to his care. His faith undoubtedly played an important part in forming this opinion, and it also meant that he had access to the Friends' business network, so was able to call upon the Barclays to act as his London agent.

Alexander's went on to merge with Gurney’s, the biggest country bank to take part in the 1896 amalgamation. The Gurney business began with the Norwich and Norfolk bank, opened by Quaker brothers, John and Henry Gurney on 13 May 1775. They had made their money as worsted, linen and yarn merchants.

As banking became more profitable than cloth, their business expanded and they established partnerships in Great Yarmouth, Kings Lynn, Wisbech, Fakenham, Ipswich, Colchester and Halesworth. By 1838, the Gurneys were described as 'exercising an influence and a power inferior to that of no banking establishment in Great Britain - that of the Bank of England alone excepted'.

Like many successful Quakers, some of the Gurneys found it difficult to reconcile their faith with their wealth. Joseph John Gurney chose to become a ‘plain Friend’, dedicating his life to his bank, his religion and good causes. Like his sister, Elizabeth Fry, he campaigned for prison reform.

He also campaigned against slavery, and in 1837 went on a three year ministering tour of the West Indies and America, giving away one third of his share of the Bank's profits for the duration. He was a renowned Quaker author - his 1824 work, 'Observations on the Religious Peculiarities of the Society Of Friends'; was reprinted many times. His attitude is exemplified by his statement:

'I suppose my leading outward object in life may be said to be the bank. While i am a banker the bank must be attended to. It is obviously the religious duty of a trustee to so large an amount to be diligent in watching his trust.'

The Gurney name is also famous for its involvement in Overend, Gurney and Company, a firm of London bill brokers which failed spectacularly in 1866, prompting a financial crisis. Although members of the Gurney family were implicated and affected by the failure, the Gurneys’ East Anglian banks came through remarkably unscathed, due mainly to quick thinking and shrewd judgement by their Barclay cousins.

By injecting new capital and new partners into the Norwich Bank, they effectively distanced it from the bill broking business just one month before it crashed. While the very public failure of one Quaker business was highly regrettable, it had clearly been beyond saving, and ruthless action had been needed to prevent other businesses going down with Overend, Gurney and Company.

Barclays Group Archives are home to the records of Barclays PLC and its predecessors, dating from 1567 to the present day
-
https://home.barclays/who-we-are/our-history/

The family connection

The first member of the Barclay family to be involved in banking was James Barclay, the son of a Scotsman. In 1733 James married the daughter of John Freame, a goldsmith who traded in London’s Lombard Street. John Freame was also a partner in a banking business which had developed from his trade and which began operating from the Lombard Street premises in 1690. In 1736 James became a partner in this firm, from which Barclays Bank Plc traces its origins.

James Barclay’s father David (1682-1769) had gone to live in London, but he was born on an estate at Ury, near Aberdeen. David’s grandfather, Colonel David Barclay, (1610-1686), had bought the Ury estate in about 1648. Colonel Barclay himself was born at Kirktounhill, on the estate of Mathers, which had been in the possession of his family since 1351. (It is possible that the Barclays’ family roots in Scotland go back to John de Berkeley who, in 1069, travelled there in the retinue of Margaret, sister of Edgar Atheling. He and his descendants settled on lands granted to them at Towie.) However, the estate of Mathers had been largely sold off by 1648, when Colonel Barclay married, and he had to look elsewhere to establish his home.

Barclay family home, Scotland
Ury. The original Barclay family’s home and Quaker meeting house in Scotland. James Barclay, the first Barclay in the Bank, was the son of David Barclay the elder who was born at Ury
Colonel Barclay had begun his military career abroad but he returned to Scotland in 1638 and saw more service during the civil war. In 1666 he became a Quaker, in which belief he was followed by Robert, his son. Robert Barclay (1648-1690) later became known as “The Apologist” in honour of his famous book, “The Apology for the True Christian Divinity, as the same is held forth and preached by the people called in scorn Quakers”, which he published in 1676. Both father and son were imprisoned for a time because of their beliefs.

In 1679 a charter was obtained from the crown which constituted the lands of Ury ‘a free barony with criminal and civil jurisdiction’. Robert Barclay’s eldest son, also called Robert (1672-1747), succeeded him at Ury and the ‘The Barclays of Ury’ are just one line of the Barclays family. Robert Barclay’s second son, David, moved to London and became an export merchant.

In 1723 David Barclay married Priscilla Freame, who was John Freame’s granddaughter and the niece of Sarah Freame, who later married David’s son James. The ‘banking line’ of the Barclay family is descended from David’s two sons from his second marriage; like James, David and John Barclay entered the banking business and a number of their descendants married into another Quaker banking family, the Gurneys.

The Gurney group of banks joined with Barclay, Bevan & Company and a number of other private banks in the amalgamation which formed Barclay and Company in 1896.

The banking connection

Barclays have had banking connections with Scotland since 1919. In this year the bank purchased the British Linen Bank, a Scottish note-issuing bank founded in 1746, whose first Governor was the Duke of Argyll. It was known then as the British Linen Company and was established with the aim of encouraging the export of linen from Scotland. To this end the Company purchased flax and opened spinning schools in various towns and villages such as Cromarty, Kirkwall, Dornoch, Wick and Inverness. The completed fabric was bought by the Company and sold on in domestic and foreign markets.

A decline in the linen trade brought about a transfer for the company into banking and the firm survived the unrest of the eighteenth and nineteenth centuries and managed to expand its business. It opened branches, made substantial investments and increased the dividend it paid to its shareholders. Nevertheless, when James Tuke became General Manager of the British Linen Bank in 1912 he realised a need to be associated with a large international bank in order to exploit the foreign markets which were opening up in Australia, America and Canada.

Affiliation

In 1919 an agreement was reached to affiliate with Barclays. Each bank had a Director present on the other bank’s Board, but otherwise there was little structural change. Nevertheless, both sides gained from the arrangement; Barclays acquired representation in Scotland and the Linen Bank used Barclays to handle its overseas business. However, by the late 1960s it was decided that both banks would benefit from a separate existence. In 1969 an agreement was reached between Barclays and the Bank of Scotland whereby the British Linen Bank would amalgamate with the latter, and Barclays’ ownership would be converted into a 35% holding in the Bank of Scotland.

Bank of Scotland

The Bank of Scotland was founded in 1695 by a group of Scottish merchants. (Interestingly, it was an English merchant, John Holland, who drew up the Constitution for the Bank of Scotland, and it was a Scotsman, William Paterson, who founded the Bank of England.) The Bank of Scotland began business in 1696 and until 1727 it had no rival operating in Scotland. After a number of earlier attempts it eventually established a branch network in the 1770s, encouraged by competition from other banks.

In 1971 the amalgamation between the Bank of Scotland and the British Linen Bank went ahead. Barclays retained its stake in the Bank of Scotland until 1985, when it sold the shares to Standard Life Assurance for £155 million. This mutual decision was made after it became apparent that both banks wanted to operate in England and Scotland under their own names.

Oil boom

During the North Sea oil boom of the 1970s, Barclays Bank International had opened branches in Edinburgh, Aberdeen and Glasgow which dealt solely with international business. In February 1983 the control of these branches was transferred to the parent bank (Barclays Bank UK) and they began to offer full UK corporate and personal services. Brian Dixon, then Manager of Berwick-upon-Tweed Branch, was appointed Local Director for Scotland, based in Glasgow. In March 1984, Barclays’ first purely domestic branch in Scotland was opened at Kelso. In 1985 the first Barclaybank ATM in Scotland was opened at Glasgow branch.

Initially, these four branches were controlled by Newcastle Office, under Northern Region. Then, in 1986, a Scottish Local Head Office was set up and a Regional Office for Scotland was created in 1988.


Find out more https://home.barclays/who-we-are/our-strategy/backing-the-uk/scotland/history/
UK bank Barclays must face US fraud lawsuit tied to trading probe
Reuters
Reuters
Published: 1:21am, 27 Apr, 2015

US funds ignore China tiff to find yield for their trillion dollar problem

8 Feb 2021

Illustration: SCMP Graphic
Coronavirus

Hong Kong’s axed flight attendants land in high-flying insurance jobs

15 Feb 2021

Former cabin crew are valued for their skills and training in customer service. Photo: Linda Lew
US-China Relations

Why Huawei isn’t giving up on smartphones just yet

16 Feb 2021

Huawei will have to keep an eye on US government policies to maintain its product competitiveness and supply chain stability, say analysts. Photo: Bloomberg
Comment

Taking its climate ambitions abroad will make China a true leader

7 Feb 2021

Construction workers at the Engro Powergen Thar coal power plant site in Pakistan in 2017, one of several energy projects China was helping the country to build as part of a US$55 billion economic partnership. Photo: Bloomberg

Post
Barclays says it is pleased that some claims were dismissed and believes the surviving claims have no merit. Photo: ReutersBarclays says it is pleased that some claims were dismissed and believes the surviving claims have no merit. Photo: Reuters
Barclays says it is pleased that some claims were dismissed and believes the surviving claims have no merit. Photo: Reuters
Barclays has failed to persuade a US judge to dismiss a lawsuit accusing the British bank of defrauding shareholders about a private "dark pool" trading platform even as it publicly pledged to clean up its corporate culture.
US District Judge Shira Scheindlin in Manhattan allowed most of the lawsuit brought on behalf of investors in Barclays' American depositary shares to go forward.
The bank's share price slid 7.4 per cent on the day in June when New York attorney general Eric Schneiderman accused Barclays in his own lawsuit of concealing how it favoured high-speed traders in its dark pool, known as Barclays LX, and understated their activity.

https://www.scmp.com/business/banking-finance/article/1777231/uk-bank-barclays-must-face-us-fraud-lawsuit-tied-trading
 

N-CSR 1 dncsr.htm ANNUAL REPORTS FOR BARCLAYS GLOBAL INVESTOR FUNDS
Table of Contents
UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549



FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES



Investment Company Act file number 811-07332

Barclays Global Investors Funds

(Exact name of registrant as specified in charter)

c/o: Investors Bank & Trust Company

200 Clarendon Street; Boston, MA 02116

(Address of principal executive offices) (Zip code)

The Corporation Trust Company

1209 Orange Street; Wilmington, DE 19801

(Name and address of agent for service)





Registrant’s telephone number, including area code: 1-877-244-1544
Date of fiscal year end: December 31, 2005
Date of reporting period: December 31, 2005
Table of Contents
Item 1. Reports to Stockholders.

LOGO

Table of Contents
TABLE OF CONTENTS



Management’s Discussion of Fund Performance

1
Shareholder Expenses

5
Barclays Global Investors Funds


Financial Statements

6
Financial Highlights

9
Notes to the Financial Statements

11
Report of Independent Registered Public Accounting Firm

14
Tax Information (Unaudited)

15
Trustee Information (Unaudited)

16
Master Investment Portfolio


Schedules of Investments

18
Bond Index Master Portfolio

18
Money Market Master Portfolio

28
S&P 500 Index Master Portfolio

31
Portfolio Allocations (Unaudited)

41
Financial Statements

42
Notes to the Financial Statements

44
Report of Independent Registered Public Accounting Firm

49
Trustee Information (Unaudited)

50
Table of Contents
Management’s Discussion of Fund Performance

Bond Index Fund

Performance as of December 31, 2005

Average Annual Total Returns

Bond Index Fund

One-Year 2.12 %
Five-Year 5.71 %
Ten-Year 5.81 %
LOGO

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

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

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

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

The Bond Index Fund (the “Fund”) seeks to provide investment results that correspond to the total return performance of fixed-income securities in the aggregate, as represented by the Lehman Brothers Aggregate Bond Index (the “Index”). The Index is comprised of U.S. Government securities and investment grade corporate bonds, as well as mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities. The Fund invests in a representative sample of these securities. For the 12 months ended December 31, 2005 (the “reporting period”), the Fund returned 2.12%, while the Index returned 2.43%.

The Federal Reserve Board increased the federal funds rate eight times in 2005, resulting in a rate of 4.25% at year-end, the highest level in 4 1/2 years. Despite the increase in short-term interest rates, 10-year government bond yields moved only moderately higher over the course of the year. As a result, long-term bonds yielded roughly the same as short-term bonds during the reporting period, a phenomenon known as a flat yield curve. For a short period of time, long-term bonds actually had a lower yield than short-term bonds (known as an inverted yield curve).



1

Table of Contents
Bond Index Fund

Management’s Discussion of Fund Performance (Continued)

Among Treasury securities, two-year note yields rose by more than 1.30%, while yields on 10-year notes rose a slight 0.20%. Yields on longer-term Treasury securities declined during the reporting period.

Corporate bonds also delivered positive results, despite downgrades from investment grade to junk for two of the world’s largest issuers of corporate debt. Helping corporate bond prices was an increase in demand from foreign investors during the year.

Mortgage-backed securities also contributed to positive performance during the reporting period, although they underperformed Treasury securities for the first time since 2001. Mortgage-backed securities came under pressure during the course of the reporting period as their supply grew and demand for them waned.

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



2

Table of Contents
Management’s Discussion of Fund Performance

S&P 500 Stock Fund

Performance as of December 31, 2005

Average Annual Total Returns

S&P 500 Stock Fund

One-Year 4.72 %
Five-Year 0.34 %
Ten-Year 8.83 %
LOGO

Average annual total returns represent the S&P 500 Stock Fund’s average annual increase or decrease in value during the time periods noted above.

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

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

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

The S&P 500 Stock Fund (the “Fund”) seeks to approximate as closely as practicable, before fees and expenses, the capitalization-weighted total rate of return of the Standard & Poor’s 500 Stock Index (the “Index”). The Index is composed of 500 selected common stocks, most of which are listed on the New York Stock Exchange. The weightings of stocks in the Index are based on each stock’s relative total float-adjusted market capitalization. The percentage of the Fund’s assets invested in a given stock is approximately the same as the percentage such stock represents in the Index. For the 12 months ended December 31, 2005 (the “reporting period”), the Fund returned 4.72%, while the Index returned 4.91%. Domestic equity markets, as represented by the Index, delivered modest gains for 2005 despite increasing short-term interest rates, rising oil prices, and low consumer confidence levels. The Federal Reserve Board increased the federal funds rate eight times in 2005, resulting in a rate of 4.25% at year-end, the highest level in 4 1/2 years. Oil prices continued to escalate during the reporting period. Already on the rise due to growing global demand, the price of oil surged in the wake of Hurricane Katrina, which curtailed oil supply. By the end of 2005, oil topped $61 per barrel, an



3

Table of Contents
S&P 500 Stock Fund

Management’s Discussion of Fund Performance (Continued)

increase of 40% for the year. Consumer confidence levels remained relatively low for most of the year, but appeared to rebound in December, buoyed by the resilience of the U.S. economy and improving employment figures.

Within the Index, sector performance was largely positive for the reporting period. Not surprisingly, the strongest performance came from the energy sector, which benefited from escalating prices during the reporting period. Utilities also benefited from higher energy prices and delivered strong gains. Financials, the largest sector in the Index, posted gains, as did healthcare. Negative performance for the reporting period came from the consumer discretionary and telecommunications services sectors.

Among the Fund’s ten largest holdings as of December 31, 2005, performance was mixed for the reporting period. The strongest performer for the reporting period was Altria Group Inc. Exxon Mobil Corp. also performed well, due largely to the rise in oil prices during the reporting period. Procter & Gamble Co. and insurer American International Group Inc. delivered modest gains. The share prices of pharmaceutical giant Pfizer Inc. and healthcare company Johnson & Johnson both declined for the reporting period. General Electric Co., the Fund’s largest holding as of year-end, also declined for the reporting period.

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



4

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

Shareholder Expenses

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2005 to December 31, 2005.

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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



Fund

Beginning
Account Value
(July 1, 2005) Ending
Account Value
(December 31, 2005) Annualized
Expense Ratio(a) Expenses Paid
During Period(b)
(July 1 to
December 31, 2005)
Bond Index


Actual

$ 1,000.00 $ 997.60 0.23 % $ 1.16
Hypothetical (5% return before expenses)

1,000.00 1,024.05 0.23 1.17
Money Market


Actual

1,000.00 1,017.30 0.41 2.08
Hypothetical (5% return before expenses)

1,000.00 1,023.15 0.41 2.09
S&P 500 Stock


Actual

1,000.00 1,056.60 0.20 1.04
Hypothetical (5% return before expenses)

1,000.00 1,024.20 0.20 1.02
(a) This ratio includes expenses charged to the corresponding Master Portfolio.
(b) Expenses are calculated using each Fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).


5

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005




Bond

Index

Fund


Money

Market

Fund


S&P 500

Stock

Fund


ASSETS


Investments:


In corresponding Master Portfolio, at value (Note 1)

$ 203,644,433 $ 218,974,161 $ 307,962,783
Receivables:


Capital shares sold

296,018 — 960,137

Total Assets

203,940,451 218,974,161 308,922,920

LIABILITIES


Payables:


Capital shares redeemed

143,510 — 46,306
Distribution to shareholders

— 723,883 —
Administration fees (Note 2)

25,828 62,302 40,141

Total Liabilities

169,338 786,185 86,447

NET ASSETS

$ 203,771,113 $ 218,187,976 $ 308,836,473

Net assets consist of:


Paid-in capital

$ 216,877,017 $ 218,187,804 $ 627,332,740
Undistributed net investment income

336 396 1,436,880
Accumulated net realized loss

(1,574,576 ) (224 ) (176,989,507 )
Net unrealized depreciation

(11,531,664 ) — (142,943,640 )

NET ASSETS

$ 203,771,113 $ 218,187,976 $ 308,836,473

Shares outstanding

21,131,567 218,186,130 2,057,904

Net asset value and offering price per share

$ 9.64 $ 1.00 $ 150.07

STATEMENTS OF OPERATIONS
For the Year Ended December 31, 2005

Bond

Index

Fund


Money

Market

Fund


S&P 500

Stock

Fund


NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO


Dividends

$ — $ — $ 6,713,139
Interest

9,722,894 6,131,017 291,132
Expenses

(167,502 ) (97,527 )(a) (185,243 )

Net investment income allocated from corresponding Master Portfolio

9,555,392 6,033,490 6,819,028

FUND EXPENSES (Note 2)


Administration fees

313,960 640,859 555,980

Total fund expenses

313,960 640,859 555,980
Less administration fees waived

— (36,621 ) —

Net fund expenses

313,960 604,238 555,980

Net investment income

9,241,432 5,429,252 6,263,048

REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO


Net realized gain (loss)

(299,993 ) 805 699,964
Net change in unrealized appreciation (depreciation)

(4,384,158 ) — 8,281,127

Net realized and unrealized gain (loss)

(4,684,151 ) 805 8,981,091

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

$ 4,557,281 $ 5,430,057 $ 15,244,139

(a) Net of investment advisory fee waivers by the Master Portfolio’s investment adviser in the amount of $85,936.
The accompanying notes are an integral part of these financial statements.



6

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS



Bond Index Fund Money Market Fund

For the

year ended
December 31, 2005


For the

year ended
December 31, 2004


For the

year ended
December 31, 2005


For the

year ended
December 31, 2004


INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 9,241,432 $ 7,927,913 $ 5,429,252 $ 1,731,094
Net realized gain (loss)

(299,993 ) 8,118,035 805 (136 )
Net change in unrealized appreciation (depreciation)

(4,384,158 ) (8,693,681 ) — —

Net increase in net assets resulting from operations

4,557,281 7,352,267 5,430,057 1,730,958

Distributions to shareholders:


From net investment income

(10,537,601 ) (8,963,990 ) (5,428,856 ) (1,731,094 )

Total distributions to shareholders

(10,537,601 ) (8,963,990 ) (5,428,856 ) (1,731,094 )

Capital share transactions:


Proceeds from shares sold

46,271,967 84,630,911 826,965,043 877,010,295
Net asset value of shares issued in reinvestment of dividends and distributions

9,795,669 7,550,832 731 14,113
Cost of shares redeemed

(63,329,532 ) (51,773,654 ) (798,652,832 ) (690,103,877 )

Net increase (decrease) in net assets resulting from capital share transactions

(7,261,896 ) 40,408,089 28,312,942 186,920,531

Increase (decrease) in net assets

(13,242,216 ) 38,796,366 28,314,143 186,920,395
NET ASSETS:


Beginning of year

217,013,329 178,216,963 189,873,833 2,953,438

End of year

$ 203,771,113 $ 217,013,329 $ 218,187,976 $ 189,873,833

Undistributed net investment income included in net assets at end of year

$ 336 $ — $ 396 $ —

SHARES ISSUED AND REDEEMED:


Shares sold

4,712,208 8,497,466 826,965,043 877,010,295
Shares issued in reinvestment of dividends and distributions

1,002,106 758,903 731 14,113
Shares redeemed

(6,446,746 ) (5,181,715 ) (798,652,832 ) (690,103,877 )

Net increase (decrease) in shares outstanding

(732,432 ) 4,074,654 28,312,942 186,920,531

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



7

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)



S&P 500 Stock Fund

For the

year ended
December 31, 2005


For the

year ended
December 31, 2004


INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 6,263,048 $ 15,449,357
Net realized gain

699,964 370,773,395
Net change in unrealized appreciation (depreciation)

8,281,127 (304,907,533 )

Net increase in net assets resulting from operations

15,244,139 81,315,219

Distributions to shareholders:


From net investment income

(6,795,594 ) (15,357,653 )

Total distributions to shareholders

(6,795,594 ) (15,357,653 )

Capital share transactions:


Proceeds from shares sold

87,847,489 248,024,277
Net asset value of shares issued in reinvestment of dividends and distributions

4,871,442 12,060,898

Cost of shares redeemed

(232,695,846 ) (1,280,290,918 )

Net decrease in net assets resulting from capital share transactions

(139,976,915 ) (1,020,205,743 )
Decrease in net assets

(131,528,370 ) (954,248,177 )
NET ASSETS:


Beginning of year

440,364,843 1,394,613,020

End of year

$ 308,836,473 $ 440,364,843

Undistributed net investment income included in net assets at end of year

$ 1,436,880 $ 1,991,818

SHARES ISSUED AND REDEEMED:


Shares sold

609,365 1,807,245
Shares issued in reinvestment of dividends and distributions

34,075 87,816
Shares redeemed

(1,602,755 ) (9,228,142 )

Net decrease in shares outstanding

(959,315 ) (7,333,081 )

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



8

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)



Bond Index Fund
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Year ended
Dec. 31, 2003 Year ended
Dec. 31, 2002 Year ended
Dec. 31, 2001
Net asset value, beginning of year

$ 9.93 $ 10.02 $ 10.14 $ 9.76 $ 9.54
Income from investment operations:


Net investment income

0.44 0.45 0.52 0.58 0.53 (a)
Net realized and unrealized gain (loss)

(0.23 ) (0.05 ) (0.13 ) 0.36 0.29 (a)

Total from investment operations

0.21 0.40 0.39 0.94 0.82

Less distributions from:


Net investment income

(0.50 ) (0.49 ) (0.51 ) (0.56 ) (0.60 )

Total distributions

(0.50 ) (0.49 ) (0.51 ) (0.56 ) (0.60 )

Net asset value, end of year

$ 9.64 $ 9.93 $ 10.02 $ 10.14 $ 9.76

Total return

2.12 % 4.05 % 3.92 % 9.90 % 8.80 %

Ratios/Supplemental data:


Net assets, end of year (000s)

$ 203,771 $ 217,013 $ 178,217 $ 96,281 $ 82,923
Ratio of expenses to average net assets(b)

0.23 % 0.23 % 0.23 % 0.23 % 0.23 %
Ratio of net investment income to average net assets(b)

4.42 % 4.34 % 4.09 % 5.12 % 5.85 %(a)
Portfolio turnover rate(c)

76 % 148 % 67 % 118 % 53 %
Money Market Fund
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Year ended
Dec. 31, 2003 Year ended
Dec. 31, 2002 Year ended
Dec. 31, 2001
Net asset value, beginning of year

$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00

Income from investment operations:


Net investment income

0.03 0.01 0.01 0.01 0.04
Net realized and unrealized gain

0.00 (d) 0.00 (d) 0.00 (d) 0.00 (d) 0.00 (d)

Total from investment operations

0.03 0.01 0.01 0.01 0.04

Less distributions from:


Net investment income

(0.03 ) (0.01 ) (0.01 ) (0.01 ) (0.04 )
Net realized gain

— — (0.00 )(d) — —

Total distributions

(0.03 ) (0.01 ) (0.01 ) (0.01 ) (0.04 )

Net asset value, end of year

$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00

Total return

2.95 % 1.05 % 0.81 % 1.49 % 3.88 %

Ratios/Supplemental data:


Net assets, end of year (000s)

$ 218,188 $ 189,874 $ 2,953 $ 54,370 $ 80,918
Ratio of expenses to average net assets(b)

0.38 % 0.38 % 0.45 % 0.45 % 0.45 %
Ratio of expenses to average net assets prior to waived fees(b)

0.45 % 0.45 % n/a n/a n/a
Ratio of net investment income to average net assets(b)

2.97 % 1.12 % 0.90 % 1.51 % 3.80 %
Ratio of net investment income to average net assets prior to waived fees(b)

2.90 % 1.05 % n/a n/a n/a
(a) Effective January 1, 2001, the Bond Index Fund adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies and began amortizing premiums on debt securities. The effect of this change on the Bond Index Fund for the year ended December 31, 2001 was to decrease net investment income per share by $0.04, increase net realized and unrealized gain (loss) per share by $0.04 and decrease the ratio of net investment income to average net assets from 6.23% to 5.85%.
(b) These ratios include the Fund’s share of expenses charged to the corresponding Master Portfolio.
(c) Represents the portfolio turnover rate of the Fund’s corresponding Master Portfolio.
(d) Rounds to less than $0.01.
The accompanying notes are an integral part of these financial statements.



9

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)



S&P 500 Stock Fund
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Year ended
Dec. 31, 2003 Year ended
Dec. 31, 2002 Year ended
Dec. 31, 2001 (a)
Net asset value, beginning of year

$ 145.95 $ 134.74 $ 106.71 $ 139.28 $ 170.64

Income from investment operations:


Net investment income

2.66 3.51 1.86 0.48 1.76
Net realized and unrealized gain (loss)

4.07 10.69 28.06 (32.63 ) (22.96 )

Total from investment operations

6.73 14.20 29.92 (32.15 ) (21.20 )

Less distributions from:


Net investment income

(2.61 ) (2.99 ) (1.89 ) (0.40 ) (1.76 )
Net realized gain

— — — (0.02 ) (8.40 )

Total distributions

(2.61 ) (2.99 ) (1.89 ) (0.42 ) (10.16 )

Net asset value, end of year

$ 150.07 $ 145.95 $ 134.74 $ 106.71 $ 139.28

Total return

4.72 % 10.67 % 28.37 % (22.20 )% (12.11 )%

Ratios/Supplemental data:


Net assets, end of year (000s)

$ 308,836 $ 440,365 $ 1,394,613 $ 945,499 $ 1,420,520
Ratio of expenses to average net assets(b)

0.20 % 0.20 % 0.20 % 0.20 % 0.20 %
Ratio of net investment income to average net assets(b)

1.69 % 1.63 % 1.59 % 1.41 % 1.15 %
Portfolio turnover rate(c)

10 % 14 % 8 % 12 % 9 %
(a) Per share amounts have been adjusted to reflect a 0.125 reverse stock split on December 3, 2002.
(b) These ratios include the Fund’s share of expenses charged to the corresponding Master Portfolio.
(c) Represents the portfolio turnover rate of the Fund’s corresponding Master Portfolio.
The accompanying notes are an integral part of these financial statements.



10

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Barclays Global Investors Funds (the “Trust”), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust, formerly known as Barclays Global Investors Funds, Inc., was redomiciled from a Maryland corporation to a Delaware statutory trust effective January 11, 2002. As of December 31, 2005, the Trust offered the following diversified funds: Bond Index, Government Money Market, Institutional Money Market, Money Market, Prime Money Market, S&P 500 Stock and Treasury Money Market Funds, and LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Portfolios.

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

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

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

INVESTMENT POLICY AND SECURITY VALUATION

Each Fund invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objective as its corresponding Fund. The value of each Fund’s investment in its corresponding Master Portfolio reflects that Fund’s interest in the net assets of that Master Portfolio (99.99%, 3.47% and 12.79% for the Bond Index, Money Market and S&P 500 Stock Funds, respectively, as of December 31, 2005). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

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

The Money Market Fund seeks to maintain a constant net asset value of $1.00 per share. There is no assurance that the Money Market Fund will meet this objective.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Each Fund records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of its corresponding Master Portfolio. In addition, each Fund accrues its own expenses.

DISTRIBUTIONS TO SHAREHOLDERS

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

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



11

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BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

As of December 31, 2005, the tax year-end of the Funds, the components of net distributable earnings (accumulated losses) on a tax basis were as follows:



Fund

Undistributed
Ordinary
Income Unrealized
Depreciation Capital and
Other Losses Net Distributable
Earnings
(Accumulated
Losses)
Bond Index

$ 336 $ (9,248,300 ) $ (3,857,940 ) $ (13,105,904 )
Money Market

396 — (224 ) 172
S&P 500 Stock

1,402,135 (221,473,062 ) (98,425,340 ) (318,496,267 )
The tax character of distributions paid during the years ended December 31, 2005 and December 31, 2004 were as follows:



Fund

2005 2004
Bond Index


Distributions paid from:


Ordinary income

$ 10,537,601 $ 8,963,990

Total Distributions

$ 10,537,601 $ 8,963,990

Money Market


Distributions paid from:


Ordinary income

$ 5,428,856 $ 1,731,094

Total Distributions

$ 5,428,856 $ 1,731,094

S&P 500 Stock


Distributions paid from:


Ordinary income

$ 6,795,594 $ 15,357,653

Total Distributions

$ 6,795,594 $ 15,357,653

FEDERAL INCOME TAXES

Each Fund is treated as a separate entity for federal income tax purposes. It is the policy of each Fund to qualify as a regulated investment company by complying with the provisions applicable to regulated investment companies, as defined under Subchapter M of the Internal Revenue Code of 1986, as amended, and to annually distribute substantially all of its income and any net gains (taking into account any capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income and excise taxes. Accordingly, no provision for federal income taxes was required for the year ended December 31, 2005.

The Funds had tax basis net capital loss carryforwards as of December 31, 2005, the tax year-end of the Funds, as follows:



Fund

Expiring
2008
Expiring

2010

Expiring
2011 Expiring
2012
Expiring

2013

Total
Bond Index

$ 1,845,447 $ — $ 159,923 $ — $ 1,501,172 $ 3,506,542
Money Market

— — — 133 — 133
S&P 500 Stock

— 72,553,461 — 1,601,227 21,068,837 95,223,525
Net capital loss carryforwards may be applied against any net realized taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first.

From November 1, 2005 to December 31, 2005, the Funds incurred net realized capital losses. As permitted by tax regulations, the Bond Index Fund, Money Market Fund and S&P 500 Stock Fund have elected to defer these losses of $351,398, $90 and $3,201,815, respectively, and treat them as arising in the year ending December 31, 2006.



12

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

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

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

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Funds’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Funds for which BGI receives a fee paid by each Fund. This fee is an “all-in” or “semi-unified” fee and BGI, in consideration thereof, has agreed to bear all of the Funds’ ordinary operating expenses, excluding, generally, investment advisory fees and costs related to securities transactions. BGI may delegate certain of its administration duties to sub-administrators. BGI is entitled to receive for these administration services an annual fee of 0.15%, 0.35% and 0.15% of the average daily net assets from the Bond Index, Money Market and S&P 500 Stock Funds, respectively. From time to time, BGI may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly have a favorable impact on its performance. For the year ended December 31, 2005, BGI waived administration fees of $36,621 for the Money Market Fund.

Certain officers and trustees of the Trust are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of the outstanding shares of the Trust.

3. CAPITAL SHARE TRANSACTIONS

As of December 31, 2005, there were an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for each Fund are disclosed in detail in the Funds’ Statements of Changes in Net Assets.



13

Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

In our opinion, the accompanying statements of assets and liabilities, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Bond Index Fund, Money Market Fund and S&P 500 Stock Fund, each a series of Barclays Global Investors Funds (the “Funds”), at December 31, 2005, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006



14

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

TAX INFORMATION — UNAUDITED

For corporate shareholders, 91.08% of the income dividends paid by the S&P 500 Stock Fund during the year ended December 31, 2005 qualified for the dividends-received deduction.

Under Section 854(b)(2) of the Internal Revenue Code (the “Code”), the S&P 500 Stock Fund hereby designates a maximum amount of $5,740,517 as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the year ended December 31, 2005.

In January 2006, shareholders should have received Form 1099-DIV which includes their share of qualified dividends distributed during the calendar year 2005. Shareholders are advised to check with their tax advisers for information on the treatment of these amounts on their income tax returns.



15

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED

The Board of Trustees has responsibility for the overall management and operations of the Funds. Each Trustee serves until he or she resigns, retires, or his or her successor is elected and qualified. Each Officer serves until his or her successor is chosen and qualified.

Barclays Global Investors Funds (“BGIF”), Master Investment Portfolio (“MIP”), iShares Trust and iShares, Inc. are considered to be members of the same fund complex, as defined in Form N-1A under the 1940 Act. Each Trustee of BGIF also serves as a Trustee for MIP and oversees 25 portfolios within the fund complex. In addition, Lee T. Kranefuss and Richard K. Lyons each serves as a Trustee for iShares Trust and as a Director for iShares, Inc. and oversees 126 portfolios within the fund complex.

Unless otherwise noted in the tables below, the address for each Trustee is 45 Fremont Street, San Francisco, California 94105. Additional information about the Funds’Trustees may be found in the Funds’Statements of Additional Information, which are available without charge, upon request, by calling toll-free 1-877-244-1544.

Interested Trustees and Officers



Name, Year of Birth


Position(s),

Length of Service


Principal Occupation(s) During Past Five Years


Other Public Company and

Investment Company
Directorships

*Lee T. Kranefuss,

1961

Trustee (since 2001), President and Chief Executive Officer (since 2002). Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Chief Executive Officer (1997-2003) of the Intermediary Investor Business of BGI. Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.
Michael A. Latham,

1965

Secretary, Treasurer and Chief Financial Officer (since 2003). Chief Operating Officer (since 2004) of the Intermediary Investor Business of BGI; Director (2000-2004) of Mutual Fund Delivery of the Intermediary Investor Business of BGI. None.


* Lee T. Kranefuss is deemed to be an “interested person” of the Trust because he serves as Chief Executive Officer of the Intermediary Investor Business of BGI, the administrator of the Funds and the parent company of BGFA, the investment adviser of the Master Portfolios.
Independent Trustees



Name, Year of Birth


Position(s),

Length of Service


Principal Occupation(s) During Past Five Years


Other Public Company and

Investment Company
Directorships

Mary G. F. Bitterman, 1944 Trustee (since 2001). President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc. Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii.
Jack S. Euphrat,

1922


Trustee (since 1993).


Private Investor.


None.



16

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED (Continued)

Independent Trustees (Continued)



Name, Year of Birth


Position(s),

Length of Service


Principal Occupation(s) During Past Five Years


Other Public Company and

Investment Company
Directorships

Richard K. Lyons,

1961

Trustee (since 2001). Executive Associate Dean (since 2005), Sylvan Coleman Chair in Finance (since 2004), Acting Dean (2004-2005) and Professor (since 1993), University of California, Berkeley: Haas School of Business; Consultant for IMF, World Bank, Federal Reserve Bank, and Citibank N.A. (since 2000). Trustee (since 2001) of MIP; Director (since 2003) of the BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 1995) and Chairman of the Matthews Asian Funds (oversees 8 portfolios); Trustee (since 2000) of iShares Trust; Director (since 2002) of iShares, Inc.
Leo Soong,

1946

Trustee (since 2000). President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder of Crystal Geyser Water Co. (President through 1999). Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association.


17

Table of Contents
BOND INDEX MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Principal Value
CORPORATE BONDS & NOTES – 23.32%


AEROSPACE & DEFENSE – 0.36%


Boeing Co. (The)


6.13%, 02/15/33

$ 100,000 $ 109,948
Lockheed Martin Corp.


8.50%, 12/01/29

100,000 136,297
Northrop Grumman Corp.


7.75%, 03/01/16(1)

200,000 241,199
United Technologies Corp.


5.40%, 05/01/35

150,000 149,477
6.10%, 05/15/12

100,000 106,015

742,936

AGRICULTURE – 0.05%


Altria Group Inc.


7.00%, 11/04/13

100,000 109,424

109,424

AIRLINES – 0.10%


Continental Airlines Inc.


6.65%, 09/15/17

205,310 200,628

200,628

AUTO MANUFACTURERS – 0.27%


DaimlerChrysler N.A. Holding Corp.


7.20%, 09/01/09

350,000 370,141
8.50%, 01/18/31

150,000 181,503

551,644

BANKS – 3.01%


Abbey National PLC


7.95%, 10/26/29

100,000 129,639
Banco Santander Central Hispano Issuances


7.63%, 09/14/10

150,000 166,126
Bank of America Corp.


6.25%, 04/01/08

250,000 257,023
Bank One Corp.


3.70%, 01/15/08

150,000 146,848
5.90%, 11/15/11

250,000 259,989
FleetBoston Financial Corp.


6.88%, 01/15/28

100,000 115,174
HSBC Holdings PLC


5.25%, 12/12/12

350,000 351,207
Key Bank N.A.


5.80%, 07/01/14

250,000 259,754
KFW International Finance Inc.


3.25%, 03/30/09

500,000 480,040
4.75%, 01/24/07

150,000 149,761
Landwirtschaftliche Rentenbank


3.25%, 06/16/08

100,000 96,627
3.88%, 03/15/10

500,000 484,860
Mellon Funding Corp.


6.38%, 02/15/10

150,000 157,995
National City Bank (Ohio)


4.25%, 01/29/10

500,000 488,778
NationsBank Corp.


7.75%, 08/15/15

250,000 297,178
Royal Bank of Scotland Group PLC


5.00%, 10/01/14

250,000 247,582
Sanwa Bank Ltd.


7.40%, 06/15/11

200,000 220,848
SunTrust Banks Inc.


5.05%, 07/01/07

150,000 150,318
Swiss Bank Corp.


7.00%, 10/15/15

150,000 170,917
US Bank N.A.


6.38%, 08/01/11

250,000 266,958
Wachovia Corp.


5.25%, 08/01/14

450,000 450,597
Wells Fargo & Co.


5.13%, 02/15/07

250,000 250,520
5.38%, 02/07/35

250,000 246,472
Wells Fargo Bank N.A.


7.55%, 06/21/10

250,000 276,120

6,121,331

BEVERAGES – 0.34%


Anheuser-Busch Companies Inc.


5.05%, 10/15/16

200,000 199,491
Bottling Group LLC


4.63%, 11/15/12

100,000 98,594
Coca-Cola Enterprises Inc.


8.50%, 02/01/22

100,000 131,477
Diageo Capital PLC


7.25%, 11/01/09

250,000 269,073

698,635

BUILDING MATERIALS – 0.10%


Masco Corp.


5.88%, 07/15/12

200,000 202,851

202,851

CHEMICALS – 0.18%


Chevron Phillips Chemical Co.


5.38%, 06/15/07

150,000 150,492
Dow Chemical Co. (The)


6.00%, 10/01/12

100,000 105,098
Du Pont (E.I.) de Nemours and Co.


6.88%, 10/15/09

100,000 106,434

362,024



18

Table of Contents
BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
COMMERCIAL SERVICES – 0.05%


Cendant Corp.


6.25%, 03/15/10

$ 100,000 $ 103,484

103,484

COMPUTERS – 0.20%


Hewlett-Packard Co.


5.50%, 07/01/07

150,000 151,212
International Business Machines Corp.


4.75%, 11/29/12

250,000 247,984

399,196

COSMETICS & PERSONAL CARE – 0.13%


Procter & Gamble Co.


6.88%, 09/15/09

250,000 267,173

267,173

DIVERSIFIED FINANCIAL SERVICES – 6.69%


American Express Co.


3.75%, 11/20/07

100,000 98,162
American General Finance Corp.


5.38%, 10/01/12

100,000 100,508
AXA Financial Inc.


7.75%, 08/01/10

150,000 166,095
Bear Stearns Companies Inc. (The)


5.70%, 01/15/07

100,000 100,793
5.70%, 11/15/14

200,000 206,278
Capital One Financial Corp.


5.50%, 06/01/15

250,000 248,537
CIT Group Inc.


7.75%, 04/02/12

150,000 170,120
Citibank Credit Card Issuance Trust Series 2004-A1 Class A1


2.55%, 01/20/09

2,000,000 1,953,346
Citigroup Inc.


3.50%, 02/01/08

500,000 486,779
5.00%, 09/15/14

177,000 174,231
5.63%, 08/27/12

100,000 103,071
6.00%, 02/21/12

150,000 157,431
6.63%, 06/15/32

100,000 112,999
Countrywide Home Loans Inc.


5.63%, 05/15/07

200,000 201,701
Credit Suisse First Boston USA Inc.


4.70%, 06/01/09

250,000 247,985
5.50%, 08/15/13

100,000 102,009
5.75%, 04/15/07

200,000 202,085
6.50%, 01/15/12

150,000 160,467
First Union National Bank


7.74%, 05/17/32

449,830 462,327
General Electric Capital Corp.


5.38%, 03/15/07

500,000 503,140
6.50%, 12/10/07

800,000 824,178
6.75%, 03/15/32

250,000 293,463
General Motors Acceptance Corp.


5.71%, 10/15/38

1,000,000 1,032,704
Goldman Sachs Group Inc.


4.13%, 01/15/08

200,000 196,930
6.13%, 02/15/33

200,000 209,904
6.60%, 01/15/12

325,000 349,111
Household Finance Corp.


5.75%, 01/30/07

200,000 201,649
6.50%, 11/15/08

375,000 390,291
8.00%, 07/15/10

250,000 278,894
John Deere Capital Corp.


7.00%, 03/15/12

150,000 165,676
JP Morgan & Co. Inc.


6.00%, 01/15/09

350,000 359,302
JP Morgan Chase & Co.


5.25%, 05/30/07

150,000 150,680
6.75%, 02/01/11

250,000 267,769
Lehman Brothers Holdings Inc.


4.00%, 01/22/08

150,000 147,516
4.80%, 03/13/14

150,000 146,459
MBNA America Bank N.A.


5.38%, 01/15/08

150,000 151,302
Merrill Lynch & Co. Inc.


3.70%, 04/21/08

350,000 340,999
5.45%, 07/15/14

200,000 203,268
7.00%, 01/15/07

200,000 204,438
Morgan Stanley


4.75%, 04/01/14

200,000 191,813
5.80%, 04/01/07

150,000 151,529
8.00%, 06/15/10

250,000 278,349
National Rural Utilities Cooperative Finance Corp.


7.25%, 03/01/12

200,000 223,057
Nissan Auto Receivables Owner Trust Series 2004-A Class A4


2.76%, 07/15/09

575,000 557,108
SLM Corp.


5.13%, 08/27/12

350,000 350,508

13,624,961

ELECTRIC – 1.43%


AEP Texas Central Co.


6.65%, 02/15/33

100,000 109,413
Alabama Power Co. Series Q


5.50%, 10/15/17

100,000 101,850
Arizona Public Service Co.


6.50%, 03/01/12

100,000 106,786
Cincinnati Gas & Electric Co.


5.70%, 09/15/12

100,000 102,640
Constellation Energy Group Inc.


7.60%, 04/01/32

100,000 120,303
Consumers Energy Co.


5.00%, 02/15/12

150,000 146,736


19

Table of Contents
BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
ELECTRIC (Continued)


Dominion Resources Inc.


8.13%, 06/15/10

$ 150,000 $ 166,722
DTE Energy Co.


7.05%, 06/01/11

150,000 161,627
FirstEnergy Corp.


6.45%, 11/15/11

200,000 211,999
Florida Power & Light Co.


5.63%, 04/01/34

100,000 100,825
MidAmerican Energy Holdings


5.00%, 02/15/14

100,000 97,613
NiSource Finance Corp.


7.88%, 11/15/10

100,000 110,797
Northern States Power Co.


8.00%, 08/28/12

100,000 116,931
Oncor Electric Delivery Co.


6.38%, 05/01/12

150,000 158,174
Ontario Hydro Canada


7.45%, 03/31/13

150,000 174,082
Pacific Gas & Electric Co.


6.05%, 03/01/34

100,000 103,496
PECO Energy Co.


3.50%, 05/01/08

100,000 96,751
Pepco Holdings Inc.


6.45%, 08/15/12

100,000 105,221
Progress Energy Inc.


7.75%, 03/01/31

100,000 119,955
Public Service Electric & Gas Co.


5.13%, 09/01/12

100,000 100,155
Southern California Edison Co.


5.00%, 01/15/16

200,000 197,731
Virginia Electric and Power Co.


4.75%, 03/01/13

200,000 194,248

2,904,055

ELECTRICAL COMPONENTS & EQUIPMENT – 0.10%


Emerson Electric Co.


4.50%, 05/01/13

200,000 194,276

194,276

ENVIRONMENTAL CONTROL – 0.06%


USA Waste Services Inc.


7.00%, 07/15/28

100,000 112,665

112,665

FOOD – 1.01%


Albertson’s Inc.


7.45%, 08/01/29

100,000 92,708
Archer-Daniels-Midland Co.


8.38%, 04/15/17

150,000 189,496
ConAgra Foods Inc.


7.00%, 10/01/28

200,000 217,283
Fred Meyer Inc.


7.45%, 03/01/08

250,000 260,495
General Mills Inc.


5.13%, 02/15/07

150,000 149,871
Kellogg Co.


6.60%, 04/01/11

250,000 267,647
Kraft Foods Inc.


5.63%, 11/01/11

150,000 153,900
Safeway Inc.


7.50%, 09/15/09

285,000 304,400
SUPERVALU Inc.


7.88%, 08/01/09

150,000 158,847
Unilever Capital Corp.


7.13%, 11/01/10

250,000 272,212

2,066,859

FOREST PRODUCTS & PAPER – 0.37%


International Paper Co.


6.75%, 09/01/11

200,000 212,757
MeadWestvaco Corp.


6.85%, 04/01/12

100,000 106,357
Weyerhaeuser Co.


6.75%, 03/15/12

400,000 424,555

743,669

GAS – 0.08%


KeySpan Corp.


7.63%, 11/15/10

150,000 166,745

166,745

HEALTH CARE – PRODUCTS – 0.10%


Johnson & Johnson


4.95%, 05/15/33

200,000 195,012

195,012

HEALTH CARE – SERVICES – 0.10%


Anthem Inc.


6.80%, 08/01/12

100,000 109,101
UnitedHealth Group Inc.


3.75%, 02/10/09

100,000 96,767

205,868

INSURANCE – 0.70%


Allstate Corp.


7.20%, 12/01/09

250,000 269,197
American International Group Inc.


4.25%, 05/15/13

150,000 142,669
Berkshire Hathaway Finance Corp.


5.10%, 07/15/14

100,000 100,167
Hartford Life Inc.


7.38%, 03/01/31

100,000 122,228
ING Capital Funding Trust III


8.44%, 10/31/49

100,000 113,704
MetLife Inc.


5.38%, 12/15/12

200,000 204,162


20

Table of Contents
BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
INSURANCE (Continued)


Progressive Corp. (The)


6.63%, 03/01/29

$ 100,000 $ 112,543
Prudential Financial Inc.


5.10%, 09/20/14

250,000 248,832
Travelers Property Casualty Corp.


6.38%, 03/15/33

100,000 106,487

1,419,989

MACHINERY – 0.18%


Caterpillar Inc.


7.25%, 09/15/09

250,000 269,369
General Electric Co.


5.00%, 02/01/13

100,000 99,948

369,317

MANUFACTURING – 0.10%


Tyco International Group SA


6.38%, 10/15/11

200,000 207,719

207,719

MEDIA – 0.91%


AOL Time Warner Inc.


6.88%, 05/01/12

350,000 372,568
Clear Channel Communications Inc.


4.25%, 05/15/09

150,000 144,188
Cox Communications Inc. Class A


5.50%, 10/01/15

100,000 97,059
News America Holdings


8.00%, 10/17/16

100,000 117,882
News America Inc.


6.20%, 12/15/34

100,000 99,330
TCI Communications Inc.


8.75%, 08/01/15

350,000 424,093
Time Warner Entertainment Co.


8.38%, 03/15/23

200,000 231,263
Viacom Inc.


5.63%, 08/15/12

200,000 198,572
Walt Disney Co. (The)


7.00%, 03/01/32

150,000 171,838

1,856,793

MINING – 0.26%


Alcan Inc.


4.88%, 09/15/12

150,000 146,896
Alcoa Inc.


7.38%, 08/01/10

250,000 273,988
BHP Finance (USA) Ltd.


4.80%, 04/15/13

100,000 98,618

519,502

MULTI-NATIONAL – 1.30%


Asian Development Bank


6.75%, 06/11/07

250,000 257,398
European Investment Bank


2.38%, 06/15/07

700,000 678,843
4.63%, 03/01/07

250,000 249,927
Inter-American Development Bank


7.38%, 01/15/10(1)

750,000 825,416
International Bank for Reconstruction & Development


4.13%, 08/12/09

650,000 643,381

2,654,965

OIL & GAS – 1.34%


Alberta Energy Co. Ltd.


7.38%, 11/01/31

100,000 122,553
Amerada Hess Corp.


7.30%, 08/15/31

100,000 115,728
Apache Finance Canada


7.75%, 12/15/29

100,000 130,551
Burlington Resources Finance Co.


7.20%, 08/15/31

100,000 123,679
Conoco Funding Co.


6.35%, 10/15/11

300,000 321,443
Devon Financing Corp. ULC


6.88%, 09/30/11

250,000 273,459
Enterprise Products Operating LP


5.60%, 10/15/14

200,000 199,844
Marathon Oil Corp.


6.13%, 03/15/12

150,000 159,057
Norsk Hydro ASA


6.36%, 01/15/09

140,000 145,656
Occidental Petroleum Corp.


7.38%, 11/15/08

100,000 106,821
Pemex Project Funding Master Trust


7.38%, 12/15/14

150,000 166,650
9.88%, 12/02/08(2)

150,000 166,125
Phillips 66 Capital Trust II


8.00%, 01/15/37

250,000 266,075
Texaco Capital Inc.


5.50%, 01/15/09

150,000 153,876
Valero Energy Corp.


6.88%, 04/15/12

250,000 272,409

2,723,926

PHARMACEUTICALS – 0.34%


Bristol-Myers Squibb Co.


5.75%, 10/01/11

150,000 154,917
Merck & Co. Inc.


5.95%, 12/01/28

100,000 102,553
Pharmacia Corp.


6.50%, 12/01/18

150,000 168,609
Schering-Plough Corp.


6.75%, 12/01/33

100,000 113,870
Wyeth


5.50%, 03/15/13

150,000 152,065

692,014



21

Table of Contents
BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
PIPELINES – 0.31%


Duke Capital LLC


5.67%, 08/15/14

$ 200,000 $ 201,705
Duke Energy Field Services Corp.


7.88%, 08/16/10

150,000 165,891
Kinder Morgan Energy Partners LP


5.35%, 08/15/07

150,000 150,375
KN Energy Inc.


7.25%, 03/01/28

100,000 111,948

629,919

REAL ESTATE – 0.08%


EOP Operating LP


7.00%, 07/15/11

150,000 160,551

160,551

REAL ESTATE INVESTMENT TRUSTS – 0.20%


Boston Properties Inc.


6.25%, 01/15/13

200,000 209,810
Simon Property Group LP


5.63%, 08/15/14

200,000 201,360

411,170

RETAIL – 0.31%


May Department Stores Co. (The)


6.65%, 07/15/24

125,000 131,425
Target Corp.


7.00%, 07/15/31

150,000 181,827
Wal-Mart Stores Inc.


7.55%, 02/15/30

250,000 318,998

632,250

SAVINGS & LOANS – 0.12%


Washington Mutual Bank


5.65%, 08/15/14

250,000 253,170

253,170

TELECOMMUNICATIONS – 2.09%


AT&T Wireless Services Inc.


7.88%, 03/01/11

500,000 561,028
BellSouth Corp.


5.20%, 09/15/14

250,000 248,669
6.88%, 10/15/31

150,000 164,657
British Telecom PLC


8.88%, 12/15/30

100,000 133,794
Deutsche Telekom International Finance AG


8.00%, 06/15/10

300,000 340,131
8.25%, 06/15/30

250,000 317,967
France Telecom SA


7.75%, 03/01/11

150,000 167,541
GTE Corp.


7.51%, 04/01/09

150,000 159,240
Koninklijke KPN NV


8.00%, 10/01/10

150,000 164,737
Motorola Inc.


7.63%, 11/15/10

16,000 17,786
SBC Communications Inc.


5.10%, 09/15/14

300,000 293,065
6.25%, 03/15/11

250,000 261,364
Sprint Capital Corp.


6.88%, 11/15/28

150,000 163,904
8.38%, 03/15/12

150,000 173,844
Telecom Italia Capital SA Series B


5.25%, 11/15/13

150,000 147,191
Telefonica Europe BV


8.25%, 09/15/30

150,000 186,458
Verizon Global Funding Corp.


4.38%, 06/01/13

250,000 236,768
Verizon New York Inc.


7.38%, 04/01/32

150,000 157,697
Verizon Pennsylvania Inc.


5.65%, 11/15/11

150,000 149,567
Vodafone Group PLC


7.75%, 02/15/10

200,000 219,053

4,264,461

TRANSPORTATION – 0.35%


Burlington Northern Santa Fe Corp.


7.13%, 12/15/10

250,000 272,097
Norfolk Southern Corp.


7.70%, 05/15/17

150,000 178,998
Union Pacific Corp.


6.79%, 11/09/07

250,000 258,044

709,139

TOTAL CORPORATE BONDS & NOTES

(Cost: $47,027,198)

47,478,321

COLLATERALIZED MORTGAGE OBLIGATIONS – 2.78%


MORTGAGE-BACKED SECURITIES – 2.78%


Citigroup Commercial Mortgage Trust Series 2005-C3 Class A4


4.86%, 05/15/43

1,000,000 977,362
Credit Suisse First Boston Mortgage Securities Corp. Series 1999-C1 Class A2


7.29%, 09/15/41

800,000 851,204
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CK1 Class A3


6.38%, 12/16/35

1,000,000 1,051,663
JP Morgan Chase Commercial Mortgage Finance Corp. Series 2000-C10 Class A2


7.37%, 08/15/32

800,000 860,767


22

Table of Contents
BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
MORTGAGE-BACKED SECURITIES (Continued)


JP Morgan Chase Commercial Mortgage Securities Corp. Series 2004-C3 Class A5


4.88%, 01/15/42

$ 500,000 $ 488,938
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2005-CB11 Class A2


5.02%, 08/12/37

210,000 209,340
Morgan Stanley Capital I Series 2004-HQ3 Class A2


4.05%, 01/13/41

1,180,000 1,137,267
Morgan Stanley Dean Witter Capital I Series 2001-TOP1 Class A3


6.46%, 02/15/33

75,249 76,767

5,653,308

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost: $5,928,251)

5,653,308

MUNICIPAL DEBT OBLIGATIONS – 0.19%


ILLINOIS – 0.10%


Illinois State, Pension Funding


5.10%, 06/01/33

200,000 197,544

197,544

NEW JERSEY – 0.09%


New Jersey State Turnpike Authority


4.25%, 01/01/16

200,000 189,907

189,907

TOTAL MUNICIPAL DEBT OBLIGATIONS

(Cost: $374,816)

387,451

FOREIGN GOVERNMENT BONDS & NOTES(3) – 1.44%


British Columbia (Province of)


6.50%, 01/15/26

100,000 119,181
Finland (Republic of)


6.95%, 02/15/26

100,000 123,875
Hydro-Quebec


6.30%, 05/11/11

150,000 160,006
Israel (State of)


4.63%, 06/15/13

100,000 96,689
Italy (Republic of)


6.00%, 02/22/11

450,000 476,576
6.88%, 09/27/23

200,000 238,574
Mexico Government International Bond


9.88%, 01/15/07

100,000 105,300
Nova Scotia (Province of)


5.75%, 02/27/12

150,000 156,797
Ontario (Province of)


5.50%, 10/01/08

200,000 203,871
Quebec (Province of)


5.75%, 02/15/09

150,000 154,383
6.13%, 01/22/11

150,000 158,556
United Mexican States


6.38%, 01/16/13

600,000 637,500
8.13%, 12/30/19

250,000 306,875

TOTAL FOREIGN GOVERNMENT BONDS & NOTES

(Cost: $2,846,250)

2,938,183

U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 70.91%


MORTGAGE-BACKED SECURITIES – 34.79%


Federal Home Loan Mortgage Corp.


4.00%, 05/01/19

3,444,579 3,288,298
4.50%, 04/01/18

1,372,432 1,338,558
4.50%, 11/01/18

1,049,908 1,023,995
4.50%, 01/01/19

182,004 177,512
4.50%, 02/01/19

2,765,283 2,697,033
5.00%, 10/01/18

1,636,864 1,622,962
5.00%, 10/01/19

1,740,709 1,724,295
5.00%, 02/01/34

804,683 781,840
5.00%, 08/01/35

2,970,936 2,876,238
5.00%, 09/01/35

980,064 948,825
5.00%, 01/01/36(4)

1,000,000 967,812
5.50%, 12/01/18

2,675,140 2,692,112
5.50%, 04/01/33

2,093,037 2,078,951
5.50%, 03/01/34

4,509,624 4,472,644
6.00%, 08/01/34

4,781,242 4,829,437
6.50%, 06/01/31

377,929 388,086
8.00%, 12/01/24

1,026,996 1,098,965
Federal National Mortgage Association


5.00%, 01/01/19

4,301,688 4,261,848
5.00%, 11/01/33

6,877,164 6,687,500
5.00%, 06/01/34

951,704 924,003
5.00%, 02/01/35

1,757,749 1,706,586
5.50%, 07/01/33

5,200,729 5,162,622
5.50%, 03/01/34

97,298 96,438
5.50%, 06/01/34

400,430 396,892
5.50%, 08/01/34

441,846 438,120
5.50%, 09/01/34

551,076 546,208
5.50%, 10/01/34

339,120 336,124
5.50%, 11/01/34

2,541,074 2,518,625
5.50%, 01/01/35

861,770 854,157
5.50%, 10/01/35

1,996,003 1,976,874
6.00%, 07/01/34

1,570,644 1,585,495
6.00%, 09/01/34

2,075,758 2,095,385
6.50%, 01/01/29

4,429,080 4,562,480
7.00%, 02/01/32

384,505 401,255
Government National Mortgage Association


5.50%, 09/15/34

1,704,108 1,715,817
7.50%, 12/15/23

1,487,417 1,575,079

70,849,071



23

Table of Contents
BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
U.S. GOVERNMENT AGENCY OBLIGATIONS – 10.67%


Federal Home Loan Bank


5.75%, 05/15/12

$ 700,000 $ 737,094
5.95%, 07/28/08

1,500,000 1,540,375
Federal Home Loan Mortgage Corp.


4.00%, 08/17/07

6,000,000 5,929,824
4.88%, 08/16/10

1,500,000 1,487,899
6.25%, 07/15/32(1)

320,000 380,868
Federal National Mortgage Association


4.38%, 09/15/12(1)

1,000,000 977,113
4.63%, 10/15/13

1,000,000 988,039
5.25%, 01/15/09

1,500,000 1,522,893
5.38%, 11/15/11

1,000,000 1,029,357
6.00%, 05/15/08

3,000,000 3,083,991
6.25%, 02/01/11

1,000,000 1,056,110
7.25%, 01/15/10

1,000,000 1,089,581
Financing Corp.


8.60%, 09/26/19

650,000 876,531
Tennessee Valley Authority


6.25%, 12/15/17

400,000 447,376
7.13%, 05/01/30

450,000 584,734

21,731,785

U.S. GOVERNMENT SECURITIES – 25.45%


U.S. Treasury Bonds


5.38%, 02/15/31(1)

2,120,000 2,381,356
6.25%, 08/15/23

3,000,000 3,582,423
7.25%, 05/15/16(1)

1,000,000 1,227,891
7.63%, 02/15/25

2,100,000 2,893,571
8.00%, 11/15/21

1,000,000 1,377,695
8.75%, 05/15/17(1)

500,000 686,601
8.75%, 05/15/20(1)

2,000,000 2,869,296
12.50%, 08/15/14

400,000 507,391
U.S. Treasury Notes


3.13%, 01/31/07

1,600,000 1,577,626
3.38%, 02/15/08(1)

7,500,000 7,345,605
3.63%, 07/15/09(1)

9,800,000 9,560,361
4.25%, 11/15/14(1)

6,800,000 6,720,841
4.38%, 05/15/07(1)

4,500,000 4,496,310
4.38%, 08/15/12(1)

1,000,000 999,883
4.50%, 11/15/10

1,500,000 1,508,670
4.75%, 05/15/14(1)

1,200,000 1,229,203
5.63%, 05/15/08

800,000 821,813
6.00%, 08/15/09

300,000 316,172
6.50%, 02/15/10

1,600,000 1,725,938

51,828,646

TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS

(Cost: $144,918,752)

144,409,502

SHORT-TERM INVESTMENTS – 16.34%


CERTIFICATES OF DEPOSIT(5) – 0.73%


Banco Bilbao Vizcaya Argentaria SA


3.83%, 01/25/06

83,365 83,365
Credit Suisse First Boston NY


4.03%, 01/04/06

83,365 83,365
First Tennessee Bank


4.18%, 01/26/06

25,843 25,842
Fortis Bank NY


3.83% - 3.84%, 01/25/06

250,096 250,097
Toronto-Dominion Bank


3.94%, 07/10/06

83,365 83,365
Wells Fargo Bank N.A.


4.26% - 4.78%,


01/09/06 - 12/05/06

716,942 716,942
Wilmington Trust Corp.


4.24% - 4.30%,


01/27/06 - 01/31/06

250,096 250,097

1,493,073

COMMERCIAL PAPER(5) – 3.60%


Amstel Funding Corp.


3.91% - 4.40%,


01/04/06 - 05/08/06

508,529 506,027
Bryant Park Funding LLC


3.92%, 02/22/06

42,545 42,313
CAFCO LLC


4.19% - 4.23%,


01/27/06 - 02/06/06

358,471 357,214
CC USA Inc.


4.23%, 04/21/06

50,019 49,384
Charta LLC


4.25%, 01/26/06

125,048 124,709
Chesham Finance LLC


4.22% - 4.30%,


01/03/06 - 01/30/06

509,071 508,465
CRC Funding LLC


4.19% - 4.25%,


01/27/06 - 02/06/06

613,569 611,531
Dorada Finance Inc.


3.76%, 01/26/06

16,673 16,633
Ebury Finance Ltd.


4.30%, 01/30/06

233,423 232,670
Edison Asset Securitization LLC


4.37%, 05/08/06

83,365 82,100
Ford Credit Auto Receivables


4.22% - 4.23%, 01/17/06

138,387 138,160
Ford Credit Floorplan Motown


4.05%, 01/06/06

333,462 333,349
Galaxy Funding Inc.


4.23%, 04/18/06

47,852 47,261
Gemini Securitization Corp.


4.25%, 01/30/06

83,365 83,100


24

Table of Contents
BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security


Shares or

Principal

Value
COMMERCIAL PAPER (Continued)


Georgetown Funding Co. LLC


4.23% - 4.28%,


01/05/06 - 01/19/06

$ 816,129 $ 815,537
Giro Funding US Corp.


4.23% - 4.24%,


01/09/06 - 01/13/06

141,721 141,602
Grampian Funding LLC


3.84% - 4.41%,


01/31/06 - 05/15/06

250,096 248,250
HSBC PLC


3.88%, 02/03/06

50,019 49,852
Jupiter Securitization Corp.


4.23%, 01/24/06

58,356 58,212
Liberty Street Funding Corp.


4.23%, 01/04/06

66,692 66,684
Lockhart Funding LLC


4.01% - 4.30%,


01/04/06 - 01/23/06

206,746 206,492
Mortgage Interest Networking Trust


4.28% - 4.34%,


01/17/06 - 01/25/06

175,067 174,693
Nordea North America Inc.


4.16%, 04/04/06

175,067 173,226
Prudential Funding LLC


4.27%, 01/17/06

333,462 332,908
Santander Central Hispano Finance Inc.


3.91%, 02/17/06

166,731 165,916
Sedna Finance Inc.


3.92%, 02/21/06

41,683 41,460
Sigma Finance Inc.


4.16%, 04/06/06

100,038 98,963
Solitaire Funding Ltd.


4.24%, 01/23/06

409,041 408,077
Thames Asset Global Securitization No. 1 Inc.


4.23%, 01/04/06

44,714 44,709
Three Pillars Funding Corp.


4.03% - 4.27%,


01/03/06 - 01/17/06

531,408 531,281
Thunder Bay Funding Inc.


4.22%, 01/13/06

16,673 16,654
Ticonderoga Funding LLC


4.27%, 01/05/06

41,683 41,673
Tulip Funding Corp.


4.25% - 4.28%,


01/03/06 - 01/31/06

586,829 585,359

7,334,464

LOAN PARTICIPATIONS(5) – 0.04%


Army & Air Force Exchange Service


4.24%, 02/01/06

83,365 83,365

83,365

MEDIUM-TERM NOTES(5) – 0.28%


Dorada Finance Inc.


3.93%, 07/07/06

51,687 51,684
K2 USA LLC


3.94%, 07/07/06

100,038 100,036
Marshall & Ilsley Bank


5.18%, 12/15/06

166,731 167,275
Toronto-Dominion Bank


3.81%, 06/20/06

208,413 208,423
US Bank N.A.


2.85%, 11/15/06

33,346 32,815

560,233

MONEY MARKET FUNDS – 0.92%


Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares


4.25%(6)(7)

1,874,504 1,874,504

1,874,504

REPURCHASE AGREEMENTS(5) – 1.71%


Banc of America Securities LLC


Repurchase Agreement, due 1/3/06, with a maturity value of $ 834,059 and an effective yield of 4.37%.(8)

$ 833,654 833,654
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $66,724 and an effective yield of 4.32%.(8)

66,692 66,692
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of
$1,334,489 and an effective yield of 4.34%.(9)

1,333,846 1,333,846
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $1,251,083 and an effective yield of 4.33%.(9)

1,250,481 1,250,481

3,484,673

TIME DEPOSITS(5) – 0.66%


UBS AG


4.06%, 01/03/06

1,000,385 1,000,385
Wells Fargo Bank N.A.


4.00%, 01/03/06

345,434 345,434

1,345,819

VARIABLE & FLOATING RATE NOTES(5) – 8.40%


Allstate Life Global Funding II


4.36% - 4.43%,


11/09/06 - 01/16/07(2)

586,059 586,202
American Express Bank


4.33% - 4.34%,


01/24/06 - 10/25/06

641,913 641,910


25

Table of Contents
BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


American Express Centurion Bank


4.33% - 4.34%,


06/29/06 - 07/19/06

$ 275,106 $ 275,105
American Express Credit Corp.


4.39%, 11/06/07

50,019 50,070
ASIF Global Financing


4.34% - 4.55%,


05/30/06 - 08/11/06(2)

541,875 542,102
Australia & New Zealand Banking Group Ltd.


4.35%, 01/23/07(2)

108,375 108,375
Bank of America N.A.


4.31%, 08/10/06

833,654 833,654
Bank of Ireland


4.34%, 12/20/06(2)

166,731 166,731
Bank of Nova Scotia


4.22%, 01/03/06

66,692 66,692
Beta Finance Inc.


4.29% - 4.33%,


04/25/06 - 06/09/06(2)

415,160 415,143
BMW US Capital LLC


4.34%, 12/15/06(2)

166,731 166,731
CC USA Inc.


4.32% - 4.35%,


03/23/06 - 07/14/06(2)

448,506 448,495
Commodore CDO Ltd.


4.56%, 06/13/06(2)

41,683 41,683
Credit Suisse First Boston NY


4.31% - 4.35%


05/09/06 - 07/19/06

583,558 583,558
DEPFA Bank PLC


4.50%, 12/15/06

166,731 166,731
Descartes Funding Trust


4.37%, 11/15/06(2)

75,029 75,029
Dexia Credit Local


4.33%, 08/30/06

83,365 83,354
Dorada Finance Inc.


4.33% - 4.36%,


03/27/06 - 06/26/06(2)

265,102 265,107
Eli Lilly Services Inc.


4.26%, 09/01/06(2)

166,731 166,731
Fairway Finance Corp.


4.32% - 4.42%,


01/18/06 - 01/20/06

166,731 166,730
Fifth Third Bancorp.


4.35%, 11/22/06(2)

333,462 333,462
Five Finance Inc.


4.34% - 4.37%,


02/27/06 - 06/26/06(2)

116,712 116,712
General Electric Capital Corp.


4.44%, 01/09/07

75,029 75,089
Greenwich Capital Holdings Inc.


4.25% - 4.32%,


02/10/06 - 03/02/06

125,048 125,048
Hartford Life Global Funding Trusts


4.36%, 02/17/07

166,731 166,731
HBOS Treasury Services PLC


4.32% - 4.57%,


01/10/06 - 10/24/06

500,192 500,193
Holmes Financing PLC


4.33%, 12/15/06(2)

458,510 458,510
HSBC Bank USA N.A.


4.27% - 4.39%,


05/04/06 - 08/03/06

141,721 141,754
K2 USA LLC


4.25% - 4.36%,


02/15/06 - 09/11/06(2)

483,519 483,501
Leafs LLC


4.37%, 01/20/06 - 02/21/06(2)

174,814 174,814
Links Finance LLC


4.32% - 4.40%,


01/20/06 - 03/15/06(2)

566,885 566,903
Lothian Mortgages PLC


4.37%, 01/24/06(2)

83,365 83,365
Marshall & Ilsley Bank


4.35% - 4.47%,


02/20/06 - 12/15/06

258,433 258,459
Metropolitan Life Global Funding I


4.31% - 4.55%,


08/28/06 - 01/05/07(2)

498,525 498,794
Mound Financing PLC


4.30%, 11/08/06(2)

333,462 333,462
Natexis Banques Populaires


4.35%, 01/12/07(2)

125,048 125,048
National City Bank (Ohio)


4.26%, 01/06/06

83,365 83,365
Nationwide Building Society


4.33% - 4.58%,


01/13/06 - 01/26/07(2)

616,904 616,926
Nordea Bank AB


4.34%, 12/11/06(2)

291,779 291,779
Nordea Bank PLC


4.23%, 10/02/06

100,038 100,021
Northern Rock PLC


4.32%, 11/03/06(2)

200,077 200,084
Permanent Financing PLC


4.32%, 03/10/06 - 06/12/06(2)

453,508 453,508
Pfizer Investment Capital PLC


4.33%, 12/15/06(2)

416,827 416,827
Principal Life Income Funding Trusts


4.29%, 05/10/06

125,048 125,050
Royal Bank of Scotland


4.32% - 4.33%,


06/27/06 - 08/30/06

250,096 250,068


26

Table of Contents
BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


Sedna Finance Inc.


4.33% - 4.34%,


01/10/06 - 09/20/06(2)

$ 141,721 $ 141,720
Sigma Finance Inc.


4.07% - 4.35%,


01/09/06 - 08/15/06(2)

351,802 351,797
Skandinaviska Enskilda Bank NY


4.36%, 11/16/06(2)

166,731 166,731
Societe Generale


4.26% - 4.32%,


03/30/06 - 01/02/07(2)

258,433 258,422
Strips III LLC


4.43%, 07/24/06(2)(10)

44,970 44,970
SunTrust Bank


4.19%, 04/28/06

250,096 250,096
Tango Finance Corp.


4.33% - 4.34%,


05/25/06 - 09/27/06(2)

371,810 371,784
Toyota Motor Credit Corp.


4.23% - 4.30%,


01/09/06 - 04/10/06

366,808 366,807
Unicredito Italiano SpA


4.43%, 06/14/06

216,750 216,716
Union Hamilton Special Funding LLC


4.52%, 03/28/06(2)

166,731 166,731
US Bank N.A.


4.31%, 09/29/06

75,029 75,014
Variable Funding Capital Corp.


4.29% - 4.32%,


02/16/06 - 03/13/06

541,875 541,875
Wachovia Asset Securitization Inc.


4.37%, 01/25/06(2)

344,028 344,027
Wells Fargo & Co.


4.36%, 09/15/06(2)

83,365 83,371
WhistleJacket Capital LLC


4.33% - 4.35%,


01/17/06 - 07/28/06(2)

183,404 183,392
White Pine Finance LLC


4.32% - 4.37%,


01/13/06 - 06/20/06(2)

341,798 341,795
Winston Funding Ltd.


4.26%, 01/23/06(2)

119,046 119,046
World Savings Bank


4.29%, 03/09/06

250,096 250,094

17,103,994

TOTAL SHORT-TERM INVESTMENTS

(Cost: $33,280,125)

33,280,125

TOTAL INVESTMENTS IN SECURITIES – 114.98%

(Cost: $234,375,392)

234,146,890

Other Assets, Less Liabilities – (14.98)%

(30,502,244 )

NET ASSETS – 100.00%

$ 203,644,646

(1) All or a portion of this security represents a security on loan. See Note 4.
(2) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(3) Investments are denominated in U.S. dollars.
(4) To-be-announced (TBA). See Note 1.
(5) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.
(6) The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.
(7) The rate quoted is the annualized seven-day yield of the fund at period end.
(8) Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.
(9) Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
(10) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
The accompanying notes are an integral part of these financial statements.



27

Table of Contents
MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Face Amount Value
CERTIFICATES OF DEPOSIT – 2.54%


HBOS Treasury Services PLC


3.56%, 03/14/06

$ 50,000,000 $ 50,000,000
3.79%, 06/19/06

50,000,000 49,997,741
Svenska Handelsbanken NY


4.50%, 10/16/06

25,000,000 25,000,000
Toronto-Dominion Bank


3.94%, 07/10/06

35,000,000 35,000,000

TOTAL CERTIFICATES OF DEPOSIT

(Cost: $159,997,741)

159,997,741

COMMERCIAL PAPER – 6.31%


Amstel Funding Corp.


4.40%, 05/08/06

50,000,000 49,217,778
CC USA Inc.


3.76%, 01/23/06

50,000,000 49,879,889
3.93%, 02/24/06

65,500,000 65,106,727
4.23%, 04/21/06

45,000,000 44,413,087
Dorada Finance Inc.


3.76%, 01/26/06

10,000,000 9,972,844
Grampian Funding LLC


3.74%, 01/13/06

90,000,000 89,878,450
K2 USA LLC


3.85%, 02/07/06

74,600,000 74,297,227
Sigma Finance Inc.


4.16%, 04/06/06

15,000,000 14,833,600

TOTAL COMMERCIAL PAPER

(Cost: $397,599,602)

397,599,602

MEDIUM-TERM NOTES – 1.43%


K2 USA LLC


3.57%, 03/16/06(1)

15,000,000 15,000,000
Marshall & Ilsley Bank


5.18%, 12/15/06

50,000,000 50,159,679
Sigma Finance Inc.


4.50%, 10/16/06(1)

25,000,000 25,000,000

TOTAL MEDIUM-TERM NOTES

(Cost: $90,159,679)

90,159,679

TIME DEPOSITS – 6.55%


Branch Banking & Trust


4.02%, 01/03/06

250,000,000 250,000,000
Regions Bank


4.02%, 01/03/06

162,500,000 162,500,000

TOTAL TIME DEPOSITS

(Cost: $412,500,000)

412,500,000

VARIABLE & FLOATING RATE NOTES – 65.64%


Allstate Life Global Funding II


4.36%, 12/08/06(1)

11,000,000 11,005,507
4.37%, 11/09/06(1)

20,000,000 20,010,187
4.37%, 12/27/06(1)

50,000,000 50,000,000
4.39%, 01/12/07(1)

35,000,000 35,018,818
4.43%, 01/16/07(1)

25,000,000 25,012,931
American Express Bank


4.33%, 07/19/06

40,000,000 40,000,000
4.34%, 09/27/06

90,000,000 90,000,000
American Express Centurion Bank


4.34%, 06/29/06

35,000,000 35,000,000
4.34%, 09/27/06

60,000,000 60,000,000
American Express Credit Corp.


4.42%, 02/28/06

31,000,000 31,002,173
ANZ National International Ltd.


4.31%, 12/29/06(1)

75,000,000 75,000,000
ASIF Global Financing


4.34%, 08/11/06(1)

25,000,000 25,001,998
4.38%, 01/23/07(1)

75,000,000 74,996,257
4.55%, 05/30/06(1)

61,500,000 61,540,898
4.56%, 12/11/06(1)

90,000,000 90,072,387
Australia & New Zealand Banking Group Ltd.


4.35%, 01/23/07(1)

35,000,000 35,000,000
Bank of Ireland


4.34%, 12/20/06(1)

70,000,000 70,000,000
Bank of Nova Scotia


4.32%, 09/29/06

35,000,000 34,992,555
Banque Nationale de Paris


4.25%, 10/04/06

20,000,000 19,995,934
Beta Finance Inc.


4.33%, 04/25/06(1)

30,000,000 29,997,000
4.33%, 05/25/06(1)

15,000,000 14,999,459
CC USA Inc.


4.32%, 06/15/06(1)

55,000,000 54,997,499
4.33%, 05/25/06(1)

25,000,000 24,998,973
4.34%, 03/23/06(1)

25,000,000 25,000,048
4.35%, 07/14/06(1)

15,000,000 15,001,574
Commodore CDO Ltd. 2003-2A Class A1MM


4.56%, 06/13/06(1)

25,000,000 25,000,000
Credit Suisse First Boston NY


4.31%, 05/09/06

50,000,000 50,000,000
4.35%, 07/19/06

75,000,000 75,000,000
4.35%, 09/26/06

100,000,000 100,000,000
DEPFA Bank PLC


4.50%, 12/15/06

100,000,000 100,000,000
Descartes Funding Trust


4.37%, 11/15/06(1)

45,000,000 45,000,000
Dexia Credit Local


4.33%, 08/30/06

35,000,000 34,995,359
Dorada Finance Inc.


4.33%, 06/26/06(1)

15,000,000 14,999,321


28

Table of Contents
MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Face Amount Value
Five Finance Inc.


4.32%, 09/15/06(1)

$ 30,000,000 $ 29,995,759
4.33%, 05/25/06(1)

22,000,000 21,999,096
4.34%, 06/26/06(1)

14,000,000 13,999,320
Greenwich Capital Holdings Inc.


4.32%, 02/10/06

15,000,000 15,000,000
4.32%, 02/13/06

15,000,000 15,000,000
HBOS Treasury Services PLC


4.57%, 10/24/06(1)

50,000,000 50,000,000
Holmes Financing PLC Series 2005-9 Class 1A


4.36%, 12/15/06(1)

50,000,000 50,000,000
HSBC Bank USA N.A.


4.39%, 05/04/06

15,000,000 15,004,117
ING USA Annuity & Life Insurance Funding Agreement


4.57%, 12/18/06(1)(2)

20,000,000 20,000,000
Jordan Brick Co. Inc.


4.38%, 01/03/06(1)

18,000,000 18,000,000
K2 USA LLC


4.25%, 06/02/06(1)

35,000,000 34,998,533
4.32%, 09/11/06(1)

100,000,000 99,989,630
Lakeline Austin Development Ltd.


4.40%, 01/03/06(1)

9,800,000 9,800,000
Leafs LLC


4.37%, 02/21/06(1)

19,971,050 19,971,050
LEEK Finance Series 14A Class A1


4.37%, 01/23/06

4,835,872 4,835,872
Links Finance LLC


4.32%, 01/20/06(1)

35,000,000 34,999,556
4.32%, 10/16/06(1)

82,000,000 81,990,234
Lothian Mortgages PLC Series 4A Class A1


4.37%, 01/24/06(1)

25,000,000 25,000,000
Marshall & Ilsley Bank


4.35%, 12/15/06

60,000,000 60,000,000
4.47%, 02/20/06

30,000,000 30,004,935
Metropolitan Life Insurance Funding Agreement


4.24%, 07/18/06(1)(2)

25,000,000 25,000,000
Monumental Global Funding II


4.53%, 12/27/06(1)

100,000,000 100,008,042
Natexis Banques Populaires


4.35%, 01/12/07(1)

50,000,000 50,000,000
National City Bank


4.26%, 01/06/06

20,000,000 19,999,917
Nationwide Building Society


4.58%, 10/27/06(1)

100,000,000 100,000,000
Nordea Bank AB


4.34%, 01/11/07(1)

75,000,000 75,000,000
Nordea Bank PLC


4.23%, 10/02/06

75,000,000 74,986,653
Northern Rock PLC


4.32%, 11/03/06(1)

70,000,000 70,000,000
Permanent Financing PLC Series 8 Class 1A


4.32%, 06/12/06(1)

37,000,000 37,000,067
Principal Life Income Funding Trusts


4.30%, 11/13/06

50,000,000 49,998,353
Royal Bank of Scotland


4.23%, 04/05/06

76,250,000 76,241,832
4.33%, 08/30/06

100,000,000 99,986,739
Sedna Finance Inc.


4.34%, 09/20/06(1)

15,000,000 15,000,000
Sigma Finance Inc.


4.00%, 08/11/06(1)

75,000,000 74,976,738
4.33%, 08/15/06(1)

15,000,000 14,999,067
4.35%, 03/20/06(1)

20,000,000 20,000,329
Skandinaviska Enskilda Bank NY


4.36%, 11/16/06(1)

50,000,000 50,000,000
Societe Generale


4.26%, 01/02/07(1)

30,000,000 30,000,000
4.30%, 06/13/06

30,000,000 29,997,270
Tango Finance Corp.


4.32%, 06/12/06(1)

50,000,000 49,997,769
4.33%, 05/26/06(1)

15,000,000 14,999,094
4.33%, 09/25/06(1)

30,000,000 29,996,718
Trap Rock Industry Inc.


4.40%, 01/03/06(1)

20,390,000 20,390,000
Travelers Insurance Co. Funding Agreement


4.36%, 02/03/06(1)(2)

50,000,000 50,000,000
4.45%, 08/18/06(1)(2)

50,000,000 50,000,000
Union Hamilton Special Funding LLC


4.52%, 03/28/06(1)

50,000,000 50,000,000
US Bank N.A.


4.31%, 09/29/06

15,000,000 14,997,062
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A


4.37%, 01/25/06(1)

65,450,999 65,450,999
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM


4.37%, 01/25/06(1)

72,107,202 72,107,202
Westpac Banking Corp.


4.49%, 01/11/07

70,000,000 70,000,000
WhistleJacket Capital LLC


4.32%, 02/15/06(1)

20,000,000 19,999,364
4.33%, 06/22/06(1)

15,000,000 14,999,289
4.33%, 07/28/06(1)

15,000,000 14,997,857
4.33%, 10/16/06(1)

100,000,000 99,991,889
4.33%, 10/20/06(1)

25,000,000 24,994,365
4.33%, 11/22/06(1)

75,000,000 74,981,733
White Pine Finance LLC


4.32%, 03/15/06(1)

46,000,000 45,997,334
4.32%, 07/17/06(1)

50,000,000 49,994,425
4.32%, 09/15/06(1)

46,000,000 45,995,122
Winston Funding Ltd. Series 2003-1 Class A1MA


4.26%, 01/23/06(1)

100,000,000 100,000,000

TOTAL VARIABLE & FLOATING RATE NOTES

(Cost: $4,137,312,209)

4,137,312,209



29

Table of Contents
MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Face Amount Value
REPURCHASE AGREEMENTS – 17.29%


Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $100,045,556 (collateralized by U.S. Government obligations, value $102,000,001, 4.50% to 6.00%, 5/1/33 to 11/1/35).

$ 100,000,000 $ 100,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,000, 5.00%, 8/1/35 to 1/1/36).

40,000,000 40,000,000
Credit Suisse First Boston Inc. Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,801,003, 4.21% to 4.77%, 1/1/33 to 5/1/35).

40,000,000 40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,000, 4.25% to 5.19%, 4/1/34 to 9/1/35).

40,000,000 40,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $250,122,222 (collateralized by non-U.S. Government debt securities, value $262,500,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)

250,000,000 250,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,801,409, 2.84% to 5.50%, 4/1/23 to 12/1/35).

40,000,000 40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,993,464, 2.73% to 4.58%, 5/15/07 to 9/25/35).(3)

100,000,000 100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,800,562, 3.15% to 7.41%, 11/1/11 to 6/1/44).

40,000,000 40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $150,073,167 (collateralized by non-U.S. Government debt securities, value $154,504,756, 4.50% to 8.00%, 12/31/06 to 6/1/25).(2)(3)

150,000,000 150,000,000
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,201,372, 4.00% to 6.00%, 10/25/11 to 5/25/34).

40,000,000 40,000,000
Morgan Stanley Tri-Party Repurchase Agreement, 4.45%, due 1/22/07, maturity value $250,123,611 (collateralized by non-U.S. Government debt securities, value $257,841,442, 0.00% to 10.00%, 1/1/06 to 12/31/35).(2)(3)

250,000,000 250,000,000

TOTAL REPURCHASE AGREEMENTS

(Cost: $1,090,000,000)

1,090,000,000

TOTAL INVESTMENTS IN SECURITIES – 99.76%

(Cost: $6,287,569,231)

6,287,569,231

Other Assets, Less Liabilities – 0.24%

15,013,769

NET ASSETS – 100.00%

$ 6,302,583,000



(1) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(2) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
(3) The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
The accompanying notes are an integral part of these financial statements.



30

Table of Contents
S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Shares Value
COMMON STOCKS – 99.13%


ADVERTISING – 0.17%


Interpublic Group of Companies Inc.(1)(2)

90,464 $ 872,978
Omnicom Group Inc.(2)

38,342 3,264,054

4,137,032

AEROSPACE & DEFENSE – 1.94%


Boeing Co. (The)

171,213 12,026,000
General Dynamics Corp.

42,588 4,857,161
Goodrich (B.F.) Co.

25,866 1,063,093
L-3 Communications Holdings Inc.(2)

25,357 1,885,293
Lockheed Martin Corp.

75,953 4,832,889
Northrop Grumman Corp.(2)

75,252 4,523,398
Raytheon Co.

94,956 3,812,483
Rockwell Collins Inc.

36,857 1,712,745
United Technologies Corp.

216,045 12,079,076

46,792,138

AGRICULTURE – 1.82%


Altria Group Inc.

441,116 32,960,188
Archer-Daniels-Midland Co.

138,104 3,405,645
Monsanto Co.

56,792 4,403,084
Reynolds American Inc.

18,240 1,738,819
UST Inc.(2)

34,548 1,410,595

43,918,331

AIRLINES – 0.10%


Southwest Airlines Co.

147,896 2,429,931

2,429,931

APPAREL – 0.39%


Coach Inc.(1)

80,321 2,677,902
Jones Apparel Group Inc.

25,021 768,645
Liz Claiborne Inc.(2)

22,513 806,416
Nike Inc. Class B

40,410 3,507,184
Reebok International Ltd.

11,367 661,900
VF Corp.

19,056 1,054,559

9,476,606

AUTO MANUFACTURERS – 0.34%


Ford Motor Co.(2)

392,715 3,031,760
General Motors Corp.(2)

119,501 2,320,709
Navistar International Corp.(1)(2)

13,503 386,456
PACCAR Inc.

36,030 2,494,357

8,233,282

AUTO PARTS & EQUIPMENT – 0.17%


Cooper Tire & Rubber Co.(2)

13,285 203,526
Dana Corp.(2)

31,195 223,980
Goodyear Tire & Rubber Co. (The)(1)

36,965 642,452
Johnson Controls Inc.(2)

40,789 2,973,926

4,043,884

BANKS – 6.26%


AmSouth Bancorp(2)

73,737 1,932,647
Bank of America Corp.

850,776 39,263,312
Bank of New York Co. Inc. (The)

163,568 5,209,641
BB&T Corp.(2)

115,183 4,827,320
Comerica Inc.

35,206 1,998,293
Compass Bancshares Inc.

26,244 1,267,323
Fifth Third Bancorp

117,382 4,427,649
First Horizon National Corp.

26,516 1,019,275
Huntington Bancshares Inc.

48,471 1,151,186
KeyCorp

86,202 2,838,632
M&T Bank Corp.

17,014 1,855,377
Marshall & Ilsley Corp.

44,151 1,900,259
Mellon Financial Corp.

88,384 3,027,152
National City Corp.(2)

117,128 3,931,987
North Fork Bancorp Inc.(2)

100,740 2,756,246
Northern Trust Corp.

39,527 2,048,289
PNC Financial Services Group

61,807 3,821,527
Regions Financial Corp.

96,998 3,313,452
State Street Corp.

69,682 3,863,170
SunTrust Banks Inc.

76,478 5,564,539
Synovus Financial Corp.

65,920 1,780,499
U.S. Bancorp

385,244 11,514,943
Wachovia Corp.

329,375 17,410,763
Wells Fargo & Co.

354,505 22,273,549
Zions Bancorporation

22,022 1,663,982

150,661,012

BEVERAGES – 2.11%


Anheuser-Busch Companies Inc.

164,327 7,059,488
Brown-Forman Corp. Class B(2)

17,770 1,231,816
Coca-Cola Co. (The)

438,666 17,682,626
Coca-Cola Enterprises Inc.

64,799 1,242,197
Constellation Brands Inc.(1)

41,404 1,086,027
Molson Coors Brewing Co. Class B

12,145 813,594
Pepsi Bottling Group Inc.

29,465 842,994
PepsiCo Inc.

351,755 20,781,685

50,740,427

BIOTECHNOLOGY – 1.30%


Amgen Inc.(1)

261,435 20,616,764
Biogen Idec Inc.(1)

71,755 3,252,654
Chiron Corp.(1)

23,446 1,042,409
Genzyme Corp.(1)

54,613 3,865,508
MedImmune Inc.(1)

51,935 1,818,764
Millipore Corp.(1)

10,926 721,553

31,317,652

BUILDING MATERIALS – 0.24%


American Standard Companies Inc.

38,585 1,541,471
Masco Corp.

90,195 2,722,987
Vulcan Materials Co.

21,506 1,457,031

5,721,489



31

Table of Contents
S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares Value
CHEMICALS – 1.41%


Air Products & Chemicals Inc.(2)

47,193 $ 2,793,354
Ashland Inc.

15,416 892,586
Dow Chemical Co. (The)(2)

204,332 8,953,828
Du Pont (E.I.) de Nemours and Co.

194,632 8,271,860
Eastman Chemical Co.

17,126 883,530
Ecolab Inc.

39,397 1,428,929
Engelhard Corp.(2)

25,165 758,725
Hercules Inc.(1)

23,272 262,974
International Flavors & Fragrances Inc.

17,485 585,747
PPG Industries Inc.(2)

35,603 2,061,414
Praxair Inc.

68,157 3,609,595
Rohm & Haas Co.

30,762 1,489,496
Sherwin-Williams Co. (The)(2)

24,062 1,092,896
Sigma-Aldrich Corp.(2)

14,283 903,971

33,988,905

COMMERCIAL SERVICES – 0.87%


Apollo Group Inc. Class A(1)

31,013 1,875,046
Block (H & R) Inc.

69,124 1,696,994
Cendant Corp.

217,772 3,756,567
Convergys Corp.(1)(2)

29,374 465,578
Donnelley (R.R.) & Sons Co.

45,836 1,568,050
Equifax Inc.

27,323 1,038,820
McKesson Corp.(2)

65,053 3,356,084
Moody’s Corp.(2)

52,772 3,241,256
Paychex Inc.

70,944 2,704,385
Robert Half International Inc.(2)

35,903 1,360,365

21,063,145

COMPUTERS – 3.90%


Affiliated Computer Services Inc. Class A(1)

26,401 1,562,411
Apple Computer Inc.(1)

178,467 12,829,993
Computer Sciences Corp.(1)

39,056 1,977,796
Dell Inc.(1)

499,035 14,966,060
Electronic Data Systems Corp.

110,202 2,649,256
EMC Corp.(1)

507,428 6,911,169
Gateway Inc.(1)(2)

60,571 152,033
Hewlett-Packard Co.

606,794 17,372,512
International Business Machines Corp.

334,814 27,521,711
Lexmark International Inc.(1)

24,844 1,113,757
NCR Corp.(1)

39,034 1,324,814
Network Appliance Inc.(1)

78,602 2,122,254
Sun Microsystems Inc.(1)

721,784 3,024,275
Unisys Corp.(1)

71,074 414,361

93,942,402

COSMETICS & PERSONAL CARE – 2.10%


Alberto-Culver Co.

16,259 743,849
Avon Products Inc.

97,541 2,784,796
Colgate-Palmolive Co.

109,639 6,013,699
Procter & Gamble Co.

710,376 41,116,563

50,658,907

DISTRIBUTION & WHOLESALE – 0.12%


Genuine Parts Co.

36,608 1,607,823
Grainger (W.W.) Inc.

16,278 1,157,366

2,765,189

DIVERSIFIED FINANCIAL SERVICES – 8.33%


American Express Co.

262,951 13,531,458
Ameriprise Financial Inc.

52,348 2,146,268
Bear Stearns Companies Inc. (The)

23,944 2,766,250
Capital One Financial Corp.

63,376 5,475,686
CIT Group Inc.

42,563 2,203,912
Citigroup Inc.

1,072,143 52,031,100
Countrywide Financial Corp.

126,331 4,319,257
E*TRADE Financial Corp.(1)(2)

86,325 1,800,739
Federal Home Loan Mortgage Corp.

146,300 9,560,705
Federal National Mortgage Association

204,931 10,002,682
Federated Investors Inc. Class B

18,262 676,424
Franklin Resources Inc.

31,579 2,968,742
Goldman Sachs Group Inc. (The)

95,609 12,210,225
Janus Capital Group Inc.(2)

46,341 863,333
JP Morgan Chase & Co.

741,202 29,418,307
Lehman Brothers Holdings Inc.

56,858 7,287,490
MBNA Corp.

265,666 7,212,832
Merrill Lynch & Co. Inc.

194,885 13,199,561
Morgan Stanley

228,602 12,970,877
Rowe (T.) Price Group Inc.

27,595 1,987,668
Schwab (Charles) Corp. (The)

219,355 3,217,938
SLM Corp.

88,290 4,863,896

200,715,350

ELECTRIC – 3.08%


AES Corp. (The)(1)(2)

137,955 2,183,828
Allegheny Energy Inc.(1)

34,279 1,084,930
Ameren Corp.(2)

43,145 2,210,750
American Electric Power Co. Inc.(2)

83,225 3,086,815
CenterPoint Energy Inc.

65,171 837,447
Cinergy Corp.

42,087 1,787,014
CMS Energy Corp.(1)

46,135 669,419
Consolidated Edison Inc.(2)

51,748 2,397,485
Constellation Energy Group Inc.

37,700 2,171,520
Dominion Resources Inc.(2)

73,493 5,673,660
DTE Energy Co.(2)

37,516 1,620,316
Duke Energy Corp.(2)

196,273 5,387,694
Edison International

68,880 3,003,857
Entergy Corp.

43,954 3,017,442
Exelon Corp.

141,393 7,513,624
FirstEnergy Corp.

69,740 3,416,563
FPL Group Inc.

83,496 3,470,094
PG&E Corp.(2)

72,506 2,691,423
Pinnacle West Capital Corp.(2)

20,809 860,452
PPL Corp.

80,307 2,361,026
Progress Energy Inc.(2)

53,163 2,334,919
Public Service Enterprise Group Inc.

53,009 3,443,995
Southern Co. (The)(2)

157,428 5,435,989
TECO Energy Inc.(2)

43,692 750,629


32

Table of Contents
S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares Value
ELECTRIC (Continued)


TXU Corp.

102,168 $ 5,127,812
Xcel Energy Inc.(2)

84,985 1,568,823

74,107,526

ELECTRICAL COMPONENTS & EQUIPMENT - 0.34%


American Power Conversion Corp.

36,937 812,614
Emerson Electric Co.

87,085 6,505,249
Molex Inc.(2)

30,864 800,921

8,118,784

ELECTRONICS – 0.49%


Agilent Technologies Inc.(1)

86,903 2,893,001
Applera Corp. - Applied


Biosystems Group

40,262 1,069,359
Fisher Scientific International Inc.(1)

25,871 1,600,380
Jabil Circuit Inc.(1)

37,083 1,375,408
PerkinElmer Inc.

27,412 645,827
Sanmina-SCI Corp.(1)

109,718 467,399
Solectron Corp.(1)

196,887 720,606
Symbol Technologies Inc.

52,579 674,063
Tektronix Inc.

18,107 510,798
Thermo Electron Corp.(1)

34,130 1,028,337
Waters Corp.(1)

23,757 898,015

11,883,193

ENGINEERING & CONSTRUCTION– 0.06%


Fluor Corp.

18,302 1,414,013

1,414,013

ENTERTAINMENT – 0.09%


International Game Technology Inc.(2)

71,766 2,208,957

2,208,957

ENVIRONMENTAL CONTROL – 0.17%


Allied Waste Industries Inc.(1)(2)

47,565 415,718
Waste Management Inc.

117,317 3,560,571

3,976,289

FOOD – 1.47%


Albertson’s Inc.

77,836 1,661,799
Campbell Soup Co.

39,798 1,184,786
ConAgra Foods Inc.

109,595 2,222,587
General Mills Inc.

75,518 3,724,548
Heinz (H.J.) Co.

71,259 2,402,853
Hershey Co. (The)(2)

38,580 2,131,545
Kellogg Co.

54,567 2,358,386
Kroger Co.(1)

153,213 2,892,661
McCormick & Co. Inc. NVS(2)

28,126 869,656
Safeway Inc.(2)

94,901 2,245,358
Sara Lee Corp.

161,598 3,054,202
SUPERVALU Inc.

28,633 930,000
Sysco Corp.

131,802 4,092,452
Tyson Foods Inc. Class A(2)

52,902 904,624
Whole Foods Market Inc.

29,146 2,255,609
Wrigley (William Jr.) Co.(2)

38,191 2,539,320

35,470,386

FOREST PRODUCTS & PAPER – 0.46%


International Paper Co.(2)

103,715 3,485,861
Louisiana-Pacific Corp.(2)

22,787 625,959
MeadWestvaco Corp.

38,657 1,083,556
Plum Creek Timber Co. Inc.

38,807 1,398,992
Temple-Inland Inc.

23,700 1,062,945
Weyerhaeuser Co.(2)

51,607 3,423,608

11,080,921

GAS – 0.23%


KeySpan Corp.

36,737 1,311,144
Nicor Inc.(2)

9,189 361,220
NiSource Inc.(2)

57,433 1,198,052
Peoples Energy Corp.(2)

7,893 276,808
Sempra Energy

54,318 2,435,619

5,582,843

HAND & MACHINE TOOLS – 0.11%


Black & Decker Corp.

16,757 1,457,189
Snap-On Inc.(2)

12,087 453,988
Stanley Works (The)

15,628 750,769

2,661,946

HEALTH CARE – PRODUCTS – 3.48%


Bard (C.R.) Inc.

22,135 1,459,139
Bausch & Lomb Inc.

11,305 767,609
Baxter International Inc.

131,948 4,967,842
Becton, Dickinson & Co.

53,281 3,201,122
Biomet Inc.

52,586 1,923,070
Boston Scientific Corp.(1)

125,496 3,073,397
Guidant Corp.

70,194 4,545,061
Johnson & Johnson

630,210 37,875,621
Medtronic Inc.

256,163 14,747,304
Patterson Companies Inc.(1)

29,090 971,606
St. Jude Medical Inc.(1)

77,531 3,892,056
Stryker Corp.

61,762 2,744,086
Zimmer Holdings Inc.(1)

52,395 3,533,519

83,701,432

HEALTH CARE – SERVICES – 2.04%


Aetna Inc.

60,725 5,726,975
Coventry Health Care Inc.(1)(2)

34,298 1,953,614
HCA Inc.

89,683 4,528,991
Health Management Associates


Inc. Class A

52,067 1,143,391
Humana Inc.(1)

34,343 1,865,855
Laboratory Corp. of America Holdings(1)

28,381 1,528,317
Manor Care Inc.(2)

16,582 659,466
Quest Diagnostics Inc.

35,342 1,819,406


33

Table of Contents
S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares Value
HEALTH CARE – SERVICES (Continued)


Tenet Healthcare Corp.(1)(2)

98,616 $ 755,399
UnitedHealth Group Inc.

288,821 17,947,337
WellPoint Inc.(1)

139,789 11,153,764

49,082,515

HOME BUILDERS – 0.36%


Centex Corp.(2)

27,000 1,930,230
Horton (D.R.) Inc.

57,488 2,054,046
KB Home

16,670 1,211,242
Lennar Corp. Class A

28,984 1,768,604
Pulte Homes Inc.(2)

45,738 1,800,248

8,764,370

HOME FURNISHINGS – 0.06%


Maytag Corp.

16,562 311,697
Whirlpool Corp.(2)

14,211 1,190,313

1,502,010

HOUSEHOLD PRODUCTS & WARES– 0.47%


Avery Dennison Corp.(2)

23,279 1,286,630
Clorox Co. (The)

31,964 1,818,432
Fortune Brands Inc.

30,865 2,408,087
Kimberly-Clark Corp.

99,194 5,916,922

11,430,071

HOUSEWARES – 0.06%


Newell Rubbermaid Inc.

58,078 1,381,095

1,381,095

INSURANCE – 5.15%


ACE Ltd.

68,165 3,642,738
AFLAC Inc.

105,869 4,914,439
Allstate Corp. (The)

137,654 7,442,952
Ambac Financial Group Inc.(2)

22,443 1,729,458
American International Group Inc.

549,850 37,516,266
AON Corp.

67,609 2,430,544
Chubb Corp.

42,284 4,129,033
CIGNA Corp.

26,757 2,988,757
Cincinnati Financial Corp.

36,861 1,646,949
Genworth Financial Inc. Class A

79,594 2,752,361
Hartford Financial Services Group Inc.

63,563 5,459,426
Jefferson-Pilot Corp.

28,328 1,612,713
Lincoln National Corp.(2)

36,569 1,939,254
Loews Corp.

28,847 2,736,138
Marsh & McLennan Companies Inc.

115,189 3,658,403
MBIA Inc.(2)

28,288 1,701,806
MetLife Inc.

160,309 7,855,141
MGIC Investment Corp.(2)

19,410 1,277,566
Principal Financial Group Inc.(2)

59,512 2,822,654
Progressive Corp. (The)

41,735 4,873,813
Prudential Financial Inc.

107,158 7,842,894
SAFECO Corp.

26,385 1,490,752
St. Paul Travelers Companies Inc.

146,558 6,546,746
Torchmark Corp.(2)

21,911 1,218,252
UNUMProvident Corp.(2)

62,820 1,429,155
XL Capital Ltd. Class A(2)

36,839 2,482,212

124,140,422

INTERNET – 1.21%


Amazon.com Inc.(1)

64,841 3,057,253
eBay Inc.(1)

241,998 10,466,413
Monster Worldwide Inc.(1)(2)

25,908 1,057,565
Symantec Corp.(1)

228,741 4,002,967
Yahoo! Inc.(1)

267,363 10,475,282

29,059,480

IRON & STEEL – 0.17%


Allegheny Technologies Inc.

18,373 662,898
Nucor Corp.

33,157 2,212,235
United States Steel Corp.(2)

23,984 1,152,911

4,028,044

LEISURE TIME – 0.39%


Brunswick Corp.

20,402 829,545
Carnival Corp.

91,666 4,901,381
Harley-Davidson Inc.(2)

58,359 3,004,905
Sabre Holdings Corp.

27,509 663,242

9,399,073

LODGING – 0.41%


Harrah’s Entertainment Inc.

38,833 2,768,405
Hilton Hotels Corp.

70,038 1,688,616
Marriott International Inc. Class A

35,057 2,347,767
Starwood Hotels & Resorts


Worldwide Inc.(2)

46,341 2,959,336

9,764,124

MACHINERY – 0.62%


Caterpillar Inc.(2)

144,001 8,318,938
Cummins Inc.(2)

9,840 882,943
Deere & Co.

51,108 3,480,966
Rockwell Automation Inc.

38,157 2,257,368

14,940,215

MANUFACTURING – 5.54%


Cooper Industries Ltd.

19,465 1,420,945
Danaher Corp.(2)

50,476 2,815,551
Dover Corp.

42,770 1,731,757
Eastman Kodak Co.(2)

60,560 1,417,104
Eaton Corp.

31,247 2,096,361
General Electric Co.

2,238,563 78,461,633
Honeywell International Inc.

178,888 6,663,578
Illinois Tool Works Inc.

43,520 3,829,325
Ingersoll-Rand Co. Class A

70,397 2,841,927
ITT Industries Inc.(2)

19,515 2,006,532
Leggett & Platt Inc.(2)

39,481 906,484


34

Table of Contents
S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares Value
MANUFACTURING (Continued)


Pall Corp.

26,133 $ 701,932
Parker Hannifin Corp.

25,272 1,666,941
Textron Inc.

28,149 2,166,910
3M Co.

161,171 12,490,752
Tyco International Ltd.(2)

426,863 12,319,266

133,536,998

MEDIA – 3.12%


Clear Channel Communications Inc.(2)

114,336 3,595,867
Comcast Corp. Class A(1)

460,555 11,956,008
Dow Jones & Co. Inc.

12,839 455,656
Gannett Co. Inc.

51,026 3,090,645
Knight Ridder Inc.(2)

14,592 923,674
McGraw-Hill Companies Inc. (The)

79,298 4,094,156
Meredith Corp.

9,114 477,027
New York Times Co. Class A(2)

30,489 806,434
News Corp. Class A

516,336 8,029,025
Scripps (E.W.) Co. Class A

18,018 865,224
Time Warner Inc.

988,595 17,241,097
Tribune Co.

55,864 1,690,445
Univision Communications


Inc. Class A(1)

47,767 1,403,872
Viacom Inc. Class B

327,796 10,686,150
Walt Disney Co. (The)

408,061 9,781,222

75,096,502

MINING – 0.65%


Alcoa Inc.

184,130 5,444,724
Freeport-McMoRan Copper & Gold Inc.

38,861 2,090,722
Newmont Mining Corp.(2)

94,521 5,047,421
Phelps Dodge Corp.

21,464 3,088,026

15,670,893

OFFICE & BUSINESS EQUIPMENT – 0.21%


Pitney Bowes Inc.(2)

48,165 2,034,971
Xerox Corp.(1)(2)

203,014 2,974,155

5,009,126

OIL & GAS – 7.67%


Amerada Hess Corp.

17,026 2,159,237
Anadarko Petroleum Corp.

50,187 4,755,218
Apache Corp.

69,673 4,773,994
Burlington Resources Inc.

80,239 6,916,602
Chevron Corp.

475,547 26,996,803
ConocoPhillips

293,875 17,097,647
Devon Energy Corp.

94,317 5,898,585
EOG Resources Inc.

51,098 3,749,060
Exxon Mobil Corp.

1,318,606 74,066,099
Kerr-McGee Corp.(2)

24,501 2,226,161
Marathon Oil Corp.(2)

77,538 4,727,492
Murphy Oil Corp.(2)

34,858 1,881,983
Nabors Industries Ltd.(1)

33,390 2,529,293
Noble Corp.

28,914 2,039,594
Occidental Petroleum Corp.

85,091 6,797,069
Rowan Companies Inc.

22,973 818,758
Sunoco Inc.

28,750 2,253,425
Transocean Inc.(1)(2)

69,835 4,866,801
Valero Energy Corp.

130,310 6,723,996
XTO Energy Inc.(2)

76,802 3,374,680

184,652,497

OIL & GAS SERVICES – 1.28%


Baker Hughes Inc.

72,316 4,395,366
BJ Services Co.

68,117 2,497,850
Halliburton Co.

108,553 6,725,944
National Oilwell Varco Inc.(1)

36,821 2,308,677
Schlumberger Ltd.(2)

124,747 12,119,171
Weatherford International Ltd.(1)(2)

73,466 2,659,469

30,706,477

PACKAGING & CONTAINERS – 0.13%


Ball Corp.

22,349 887,702
Bemis Co. Inc.

22,374 623,563
Pactiv Corp.(1)

30,929 680,438
Sealed Air Corp.(1)

17,361 975,167

3,166,870

PHARMACEUTICALS – 5.86%


Abbott Laboratories

328,494 12,952,518
Allergan Inc.

27,819 3,003,339
AmerisourceBergen Corp.

44,006 1,821,848
Bristol-Myers Squibb Co.(2)

414,223 9,518,845
Cardinal Health Inc.

90,628 6,230,675
Caremark Rx Inc.(1)

95,163 4,928,492
Express Scripts Inc.(1)

30,993 2,597,213
Forest Laboratories Inc.(1)

71,598 2,912,607
Gilead Sciences Inc.(1)

96,887 5,099,163
Hospira Inc.(1)

33,918 1,451,012
King Pharmaceuticals Inc.(1)

50,799 859,519
Lilly (Eli) & Co.

240,701 13,621,270
Medco Health Solutions Inc.(1)

65,040 3,629,232
Merck & Co. Inc.

463,093 14,730,988
Mylan Laboratories Inc.

45,974 917,641
Pfizer Inc.

1,561,541 36,415,136
Schering-Plough Corp.

312,777 6,521,400
Watson Pharmaceuticals Inc.(1)

21,838 709,953
Wyeth

284,239 13,094,891

141,015,742

PIPELINES – 0.28%


Dynegy Inc. Class A(1)(2)

65,377 316,425
El Paso Corp.

139,119 1,691,687
Kinder Morgan Inc.

22,221 2,043,221
Williams Companies Inc.

121,120 2,806,350

6,857,683



35

Table of Contents
S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares Value
REAL ESTATE INVESTMENT TRUSTS – 0.68%


Apartment Investment & Management Co. Class A

20,092 $ 760,884
Archstone-Smith Trust(2)

44,750 1,874,578
Equity Office Properties Trust

86,470 2,622,635
Equity Residential(2)

60,881 2,381,665
ProLogis

51,852 2,422,525
Public Storage Inc.

17,690 1,197,967
Simon Property Group Inc.

39,415 3,020,371
Vornado Realty Trust(2)

24,931 2,080,991

16,361,616

RETAIL – 5.90%


AutoNation Inc.(1)

38,912 845,558
AutoZone Inc.(1)

11,826 1,085,036
Bed Bath & Beyond Inc.(1)

62,729 2,267,653
Best Buy Co. Inc.

86,442 3,758,498
Big Lots Inc.(1)(2)

23,994 288,168
Circuit City Stores Inc.

33,746 762,322
Costco Wholesale Corp.(2)

100,275 4,960,604
CVS Corp.(2)

172,266 4,551,268
Darden Restaurants Inc.(2)

28,097 1,092,411
Dillard’s Inc. Class A(2)

13,546 336,212
Dollar General Corp.

67,445 1,286,176
Family Dollar Stores Inc.(2)

33,427 828,655
Federated Department Stores Inc.

57,569 3,818,552
Gap Inc. (The)

122,270 2,156,843
Home Depot Inc.

450,380 18,231,382
Kohl’s Corp.(1)

72,892 3,542,551
Limited Brands Inc.(2)

74,303 1,660,672
Lowe’s Companies Inc.(2)

165,570 11,036,896
McDonald’s Corp.

266,465 8,985,200
Nordstrom Inc.(2)

46,647 1,744,598
Office Depot Inc.(1)(2)

65,852 2,067,753
OfficeMax Inc.

14,754 374,161
Penney (J.C.) Co. Inc.

49,429 2,748,252
RadioShack Corp.

28,224 593,551
Sears Holdings Corp.(1)

21,245 2,454,435
Staples Inc.

154,808 3,515,690
Starbucks Corp.(1)

162,598 4,879,566
Target Corp.

186,504 10,252,125
Tiffany & Co.

29,961 1,147,207
TJX Companies Inc.(2)

98,064 2,278,027
Walgreen Co.

214,699 9,502,578
Wal-Mart Stores Inc.

529,153 24,764,360
Wendy’s International Inc.

24,500 1,353,870
Yum! Brands Inc.

60,074 2,816,269

141,987,099

SAVINGS & LOANS – 0.60%


Golden West Financial Corp.(2)

54,176 3,575,616
Sovereign Bancorp Inc.

76,079 1,644,828
Washington Mutual Inc.

209,339 9,106,247

14,326,691

SEMICONDUCTORS – 3.22%


Advanced Micro Devices Inc.(1)

85,355 2,611,863
Altera Corp.(1)

77,420 1,434,593
Analog Devices Inc.(2)

78,042 2,799,367
Applied Materials Inc.

343,397 6,160,542
Applied Micro Circuits Corp.(1)

65,253 167,700
Broadcom Corp. Class A(1)(2)

61,130 2,882,280
Freescale Semiconductor Inc. Class B(1)

86,687 2,181,912
Intel Corp.

1,277,883 31,895,960
KLA-Tencor Corp.(2)

41,691 2,056,617
Linear Technology Corp.

64,593 2,329,870
LSI Logic Corp.(1)

82,159 657,272
Maxim Integrated Products Inc.

69,271 2,510,381
Micron Technology Inc.(1)

130,412 1,735,784
National Semiconductor Corp.(2)

72,560 1,885,109
Novellus Systems Inc.(1)

28,748 693,402
NVIDIA Corp.(1)

36,076 1,318,939
PMC-Sierra Inc.(1)

37,852 291,839
QLogic Corp.(1)

16,984 552,150
Teradyne Inc.(1)

41,257 601,114
Texas Instruments Inc.

343,162 11,005,205
Xilinx Inc.

73,585 1,855,078

77,626,977

SOFTWARE – 4.00%


Adobe Systems Inc.

127,179 4,700,536
Autodesk Inc.

48,737 2,093,254
Automatic Data Processing Inc.

122,296 5,612,163
BMC Software Inc.(1)

45,946 941,434
Citrix Systems Inc.(1)

37,101 1,067,767
Computer Associates International Inc.(2)

97,640 2,752,472
Compuware Corp.(1)

81,304 729,297
Electronic Arts Inc.(1)

63,913 3,343,289
First Data Corp.

162,166 6,974,760
Fiserv Inc.(1)

39,373 1,703,670
IMS Health Inc.

48,807 1,216,270
Intuit Inc.(1)

37,712 2,010,050
Mercury Interactive Corp.(1)(2)

18,123 503,638
Microsoft Corp.

1,940,090 50,733,354
Novell Inc.(1)

80,109 707,362
Oracle Corp.(1)

797,508 9,737,573
Parametric Technology Corp.(1)

56,621 345,388
Siebel Systems Inc.(2)

111,425 1,178,877

96,351,154

TELECOMMUNICATIONS – 5.66%


ADC Telecommunications Inc.(1)

24,377 544,582
Alltel Corp.

81,022 5,112,488
Andrew Corp.(1)

33,783 362,492
AT&T Inc.

828,177 20,282,055
Avaya Inc.(1)

89,879 959,009
BellSouth Corp.

387,190 10,492,849
CenturyTel Inc.(2)

27,546 913,425
CIENA Corp.(1)

119,960 356,281


36

Table of Contents
S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares or
Principal Value
TELECOMMUNICATIONS (Continued)


Cisco Systems Inc.(1)

1,302,172 $ 22,293,185
Citizens Communications Co.

71,691 876,781
Comverse Technology Inc.(1)

42,545 1,131,272
Corning Inc.(1)(2)

322,561 6,341,549
JDS Uniphase Corp.(1)

347,446 819,973
Lucent Technologies Inc.(1)(2)

939,177 2,498,211
Motorola Inc.

527,436 11,914,779
QUALCOMM Inc.

348,216 15,001,145
Qwest Communications International Inc.(1)

327,938 1,852,850
Scientific-Atlanta Inc.

32,372 1,394,262
Sprint Nextel Corp.

625,708 14,616,539
Tellabs Inc.(1)

94,365 1,028,579
Verizon Communications Inc.

585,610 17,638,573

136,430,879

TEXTILES – 0.05%


Cintas Corp.

29,466 1,213,410

1,213,410

TOYS, GAMES & HOBBIES – 0.09%


Hasbro Inc.

37,518 757,113
Mattel Inc.(2)

85,357 1,350,348

2,107,461

TRANSPORTATION – 1.70%


Burlington Northern Santa Fe Corp.

79,014 5,595,771
CSX Corp.

45,883 2,329,480
FedEx Corp.

64,136 6,631,021
Norfolk Southern Corp.

85,949 3,853,094
Ryder System Inc.

13,427 550,776
Union Pacific Corp.

56,042 4,511,941
United Parcel Service Inc. Class B

233,726 17,564,508

41,036,591

TOTAL COMMON STOCKS

(Cost: $2,335,276,700)

2,387,458,057

SHORT-TERM INVESTMENTS – 8.41%


CERTIFICATES OF DEPOSIT(3) – 0.36%


Banco Bilbao Vizcaya Argentaria SA


3.83%, 01/25/06

482,541 482,543
Credit Suisse First Boston NY


4.03%, 01/04/06

482,541 482,541
First Tennessee Bank


4.18%, 01/26/06

149,588 149,580
Fortis Bank NY


3.83% - 3.84%, 01/25/06

1,447,622 1,447,623
Toronto-Dominion Bank


3.94%, 07/10/06

482,541 482,541
Wells Fargo Bank N.A.


4.26% - 4.78%,


01/09/06 - 12/05/06

4,149,850 4,149,842
Wilmington Trust Corp.


4.24% - 4.30%,


01/27/06 - 01/31/06

1,447,622 1,447,630

8,642,300

COMMERCIAL PAPER(3) – 1.76%


Amstel Funding Corp.


3.91% - 4.40%,


01/04/06 - 05/08/06

2,943,498 2,929,026
Bryant Park Funding LLC


3.92%, 02/22/06

246,260 244,919
CAFCO LLC


4.19% - 4.23%,


01/27/06 - 02/06/06

2,074,925 2,067,649
CC USA Inc.


4.23%, 04/21/06

289,524 285,850
Charta LLC


4.25%, 01/26/06

723,811 721,846
Chesham Finance LLC


4.22% - 4.30%,


01/03/06 - 01/30/06

2,946,635 2,943,123
CRC Funding LLC


4.19% - 4.25%,


01/27/06 - 02/06/06

3,551,499 3,539,698
Dorada Finance Inc.


3.76%, 01/26/06

96,508 96,276
Ebury Finance Ltd.


4.30%, 01/30/06

1,351,114 1,346,757
Edison Asset Securitization LLC


4.37%, 05/08/06

482,541 475,219
Ford Credit Auto Receivables


4.22% - 4.23%, 01/17/06

801,018 799,702
Ford Credit Floorplan Motown


4.05%, 01/06/06

1,930,163 1,929,511
Galaxy Funding Inc.


4.23%, 04/18/06

276,978 273,561
Gemini Securitization Corp.


4.25%, 01/30/06

482,541 481,003
Georgetown Funding Co. LLC


4.23% - 4.28%,


01/05/06 - 01/19/06

4,723,967 4,720,544
Giro Funding US Corp.


4.23% - 4.24%,


01/09/06 - 01/13/06

820,319 819,627
Grampian Funding LLC


3.84% - 4.41%,


01/31/06 - 05/15/06

1,447,622 1,436,937
HSBC PLC


3.88%, 02/03/06

289,524 288,557
Jupiter Securitization Corp.


4.23%, 01/24/06

337,778 336,945
Liberty Street Funding Corp.


4.23%, 01/04/06

386,033 385,987
Lockhart Funding LLC


4.01% - 4.30%,


01/04/06 - 01/23/06

1,196,701 1,195,231


37

Table of Contents
S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares or
Principal Value
COMMERCIAL PAPER (Continued)


Mortgage Interest Networking Trust


4.28% - 4.34%,


01/17/06 - 01/25/06

$ 1,013,335 $ 1,011,173
Nordea North America Inc.


4.16%, 04/04/06

1,013,335 1,002,680
Prudential Funding LLC


4.27%, 01/17/06

1,930,163 1,926,958
Santander Central Hispano Finance Inc.


3.91%, 02/17/06

965,081 960,365
Sedna Finance Inc.


3.92%, 02/21/06

241,270 239,983
Sigma Finance Inc.


4.16%, 04/06/06

579,049 572,826
Solitaire Funding Ltd.


4.24%, 01/23/06

2,367,634 2,362,057
Thames Asset Global Securitization No. 1 Inc.


4.23%, 01/04/06

258,816 258,785
Three Pillars Funding Corp.


4.03% - 4.27%,


01/03/06 - 01/17/06

3,075,927 3,075,196
Thunder Bay Funding Inc.


4.22%, 01/13/06

96,508 96,395
Ticonderoga Funding LLC


4.27%, 01/05/06

241,270 241,213
Tulip Funding Corp.


4.25% - 4.28%,


01/03/06 - 01/31/06

3,396,720 3,388,212

42,453,811

LOAN PARTICIPATIONS(3) – 0.02%


Army & Air Force Exchange Service


4.24%, 02/01/06

482,541 482,541

482,541

MEDIUM-TERM NOTES(3) – 0.14%


Dorada Finance Inc.


3.93%, 07/07/06

299,175 299,160
K2 USA LLC


3.94%, 07/07/06

579,049 579,034
Marshall & Ilsley Bank


5.18%, 12/15/06

965,081 968,230
Toronto-Dominion Bank


3.81%, 06/20/06

1,206,352 1,206,406
US Bank N.A.


2.85%, 11/15/06

193,016 189,941

3,242,771

MONEY MARKET FUNDS – 0.79%


Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares


4.25%(4)(5)

19,124,728 19,124,728

19,124,728

REPURCHASE AGREEMENTS(3) – 0.84%


Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $4,827,750 and an effective yield of 4.37%.(6)

$ 4,825,407 4,825,407
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $386,218 and an effective yield of 4.32%.(6)

386,033 386,033
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of
$7,724,374 and an effective yield of 4.34%.(7)

7,720,651 7,720,651
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $7,241,592 and an effective yield of 4.33%.(7)

7,238,110 7,238,110

20,170,201

TIME DEPOSITS(3) – 0.32%


UBS AG


4.06%, 01/03/06

5,790,488 5,790,488
Wells Fargo Bank N.A.


4.00%, 01/03/06

1,999,465 1,999,465

7,789,953

U.S. TREASURY OBLIGATIONS – 0.07%


U.S. Treasury Bill


3.89%, 03/23/06(8)(9)

1,700,000 1,685,281

1,685,281

VARIABLE & FLOATING RATE NOTES(3) – 4.11%


Allstate Life Global Funding II


4.36% - 4.43%,


11/09/06 - 01/16/07(10)

3,392,261 3,393,090
American Express Bank


4.33% - 4.34%,


01/24/06 - 10/25/06

3,715,563 3,715,545
American Express Centurion Bank


4.33% - 4.34%,


06/29/06 - 07/19/06

1,592,384 1,592,385
American Express Credit Corp.


4.39%, 11/06/07

289,524 289,816
ASIF Global Financing


4.34% - 4.55%,


05/30/06 - 08/11/06(10)

3,136,514 3,137,829
Australia & New Zealand Banking Group Ltd.


4.35%, 01/23/07(10)

627,303 627,303
Bank of America N.A.


4.31%, 08/10/06

4,825,407 4,825,407
Bank of Ireland


4.34%, 12/20/06(10)

965,081 965,081


38

Table of Contents
S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


Bank of Nova Scotia


4.22%, 01/03/06

$ 386,033 $ 386,033
Beta Finance Inc.


4.29% - 4.33%,


04/25/06 - 06/09/06(10)

2,403,053 2,402,959
BMW US Capital LLC


4.34%, 12/15/06(10)

965,081 965,081
CC USA Inc.


4.32% - 4.35%,


03/23/06 - 07/14/06(10)

2,596,069 2,596,010
Commodore CDO Ltd.


4.56%, 06/13/06(10)

241,270 241,270
Credit Suisse First Boston NY


4.31% - 4.35%


05/09/06 - 07/19/06

3,377,784 3,377,784
DEPFA Bank PLC


4.50% - 12/15/06

965,081 965,081
Descartes Funding Trust


4.37% - 11/15/06(10)

434,287 434,287
Dexia Credit Local


4.33%, 08/30/06

482,541 482,478
Dorada Finance Inc.


4.33% - 4.36%,


03/27/06 - 06/26/06(10)

1,534,479 1,534,508
Eli Lilly Services Inc.


4.26%, 09/01/06(10)

965,081 965,081
Fairway Finance Corp.


4.32% - 4.42%,


01/18/06 - 01/20/06

965,081 965,080
Fifth Third Bancorp.


4.35%, 11/22/06(10)

1,930,163 1,930,163
Five Finance Inc.


4.34% - 4.37%,


02/27/06 - 06/26/06(10)

675,557 675,557
General Electric Capital Corp.


4.44%, 01/09/07

434,287 434,638
Greenwich Capital Holdings Inc.


4.25% - 4.32%,


02/10/06 - 03/02/06

723,811 723,811
Hartford Life Global Funding Trusts


4.36%, 02/17/07

965,081 965,081
HBOS Treasury Services PLC


4.32% - 4.57%,


01/10/06 - 10/24/06

2,895,244 2,895,243
Holmes Financing PLC


4.33%, 12/15/06(10)

2,653,974 2,653,974
HSBC Bank USA N.A.


4.27% - 4.39%,


05/04/06 - 08/03/06

820,319 820,509
K2 USA LLC


4.25% - 4.36%,


02/15/06 - 09/11/06(10)

2,798,736 2,798,627
Leafs LLC


4.37%, 01/20/06 - 02/21/06(10)

1,011,869 1,011,868
Links Finance LLC


4.32% - 4.40%,


01/20/06 - 03/15/06(10)

3,281,277 3,281,384
Lothian Mortgages PLC


4.37%, 01/24/06(10)

482,541 482,541
Marshall & Ilsley Bank


4.35% - 4.47%,


02/20/06 - 12/15/06

1,495,876 1,496,029
Metropolitan Life Global Funding I


4.31% - 4.55%,


08/28/06 - 01/05/07(10)

2,885,593 2,887,151
Mound Financing PLC


4.30%, 11/08/06(10)

1,930,163 1,930,163
Natexis Banques Populaires


4.35%, 01/12/07(10)

723,811 723,811
National City Bank (Ohio)


4.26%, 01/06/06

482,541 482,539
Nationwide Building Society


4.33% - 4.58%,


01/13/06 - 01/26/07(10)

3,570,801 3,570,925
Nordea Bank AB


4.34%, 12/11/06(10)

1,688,892 1,688,892
Nordea Bank PLC


4.23%, 10/02/06

579,049 578,948
Northern Rock PLC


4.32%, 11/03/06(10)

1,158,098 1,158,137
Permanent Financing PLC


4.32%, 03/10/06 - 06/12/06(10)

2,625,021 2,625,022
Pfizer Investment Capital PLC


4.33%, 12/15/06(10)

2,412,703 2,412,703
Principal Life Income Funding Trusts


4.29%, 05/10/06

723,811 723,822
Royal Bank of Scotland


4.32% - 4.33%,


06/27/06 - 08/30/06

1,447,622 1,447,461
Sedna Finance Inc.


4.33% - 4.34%,


01/10/06 - 09/20/06(10)

820,319 820,315
Sigma Finance Inc.


4.07% - 4.35%,


01/09/06 - 08/15/06(10)

2,036,322 2,036,298
Skandinaviska Enskilda Bank NY


4.36%, 11/16/06(10)

965,081 965,081
Societe Generale


4.26% - 4.32%,


03/30/06 - 01/02/07(10)

1,495,876 1,495,811
Strips III LLC


4.43%, 07/24/06(10)(11)

260,297 260,297
SunTrust Bank


4.19%, 04/28/06

1,447,622 1,447,622
Tango Finance Corp.


4.33% - 4.34%,


05/25/06 - 09/27/06(10)

2,152,131 2,151,984


39

Table of Contents
S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


Toyota Motor Credit Corp.


4.23% - 4.30%,


01/09/06 - 04/10/06

$ 2,123,179 $ 2,123,174
Unicredito Italiano SpA


4.43%, 06/14/06

1,254,606 1,254,408
Union Hamilton Special Funding LLC


4.52%, 03/28/06(10)

965,081 965,081
US Bank N.A.


4.31%, 09/29/06

434,287 434,203
Variable Funding Capital Corp.


4.29% - 4.32%,


02/16/06 - 03/13/06

3,136,514 3,136,514
Wachovia Asset Securitization Inc.


4.37%, 01/25/06(10)

1,991,323 1,991,323
Wells Fargo & Co.


4.36%, 09/15/06(10)

482,541 482,573
WhistleJacket Capital LLC


4.33% - 4.35%,


01/17/06 - 07/28/06(10)

1,061,590 1,061,519
White Pine Finance LLC


4.32% - 4.37%,


01/13/06 - 06/20/06(10)

1,978,417 1,978,403
Winston Funding Ltd.


4.26%, 01/23/06(10)

689,068 689,068
World Savings Bank


4.29%, 03/09/06

1,447,622 1,447,608

99,002,389

TOTAL SHORT-TERM INVESTMENTS

(Cost: $202,593,572)

202,593,975

TOTAL INVESTMENTS IN SECURITIES – 107.54%

(Cost: $2,537,870,272)

2,590,052,032

Other Assets, Less Liabilities – (7.54)%

(181,526,382 )

NET ASSETS – 100.00%

$ 2,408,525,650

NVS Non-Voting Shares

(1) Non-income earning security.
(2) All or a portion of this security represents a security on loan. See Note 4.
(3) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.
(4) The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.
(5) The rate quoted is the annualized seven-day yield of the fund at period end.
(6) Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.
(7) Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
(8) The rate quoted is the yield to maturity.
(9) This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio’s holdings of index futures contracts. See Note 1.
(10) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(11) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
As of December 31, 2005, the open futures contracts held by the Master Portfolio were as follows:



Futures Contracts (Expiration Date)

Number of
Contracts Notional
Contract
Value Net
Unrealized
Depreciation
S&P 500 Index (03/17/06)

364 $ 22,837,360 $ (377,277 )

$ (377,277 )

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



40

Table of Contents
MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2005

Bond Index Master Portfolio



Sector

Value % of
Net Assets
Government

$ 79,541,030 39.05 %
Mortgage-Backed Securities

76,502,379 37.57
Financial

21,991,172 10.80
Communications

6,121,254 3.00
Consumer Non-Cyclical

4,338,469 2.12
Energy

3,353,845 1.65
Utilities

3,070,800 1.51
Industrial

2,538,903 1.25
Basic Materials

1,625,195 0.81
Consumer Cyclical

1,384,522 0.68
Technology

399,196 0.20
Short-Term and Other Net Assets

2,777,881 1.36

TOTAL

$ 203,644,646 100.00 %

Money Market Master Portfolio



Asset Type

Value % of
Net Assets
Variable & Floating Rate Notes

$ 4,137,312,209 65.64 %
Repurchase Agreements

1,090,000,000 17.29
Time Deposits

412,500,000 6.55
Commercial Paper

397,599,602 6.31
Certificates of Deposit

159,997,741 2.54
Medium-Term Notes

90,159,679 1.43
Other Net Assets

15,013,769 0.24

TOTAL

$ 6,302,583,000 100.00 %

S&P 500 Index Master Portfolio



Sector/Investment Type

Value % of
Net Assets
Consumer Non-Cyclical

$ 518,398,608 21.52 %
Financial

506,205,091 21.02
Industrial

273,248,526 11.34
Technology

272,929,659 11.33
Communications

244,723,893 10.16
Energy

222,216,657 9.23
Consumer Cyclical

205,276,491 8.53
Utilities

79,690,369 3.31
Basic Materials

64,768,763 2.69
Futures Contracts

(377,277 ) (0.02 )
Short-Term and Other Net Assets

21,444,870 0.89

TOTAL

$ 2,408,525,650 100.00 %

These tables are not part of the financial statements.



41

Table of Contents
MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005



Bond Index
Master Portfolio Money Market
Master Portfolio S&P 500 Index
Master Portfolio
ASSETS


Investments, at cost:


Unaffiliated issuers

$ 232,500,888 $ 6,287,569,231 $ 2,518,745,544

Affiliated issuers(a)

$ 1,874,504 $ — $ 19,124,728

Investments in securities, at value (including securities on loan(b)) (Note 1):


Unaffiliated issuers

$ 228,787,713 $ 5,197,569,231 $ 2,550,757,103
Affiliated issuers(a)

1,874,504 — 19,124,728
Repurchase agreements, at value (Note 1)

3,484,673 1,090,000,000 20,170,201
Cash

— 3,268 —
Receivables:


Investment securities sold

2,994,069 — 168,514
Dividends and interest

2,162,665 15,549,343 3,308,631

Total Assets

239,303,624 6,303,121,842 2,593,529,177

LIABILITIES


Payables:


Investment securities purchased

4,239,573 — 3,001,210
Due to broker — variation margin

— — 114,653
Collateral for securities on loan (Note 4)

31,405,621 — 181,783,966
Investment advisory fees (Note 2)

13,784 538,842 103,698

Total Liabilities

35,658,978 538,842 185,003,527

NET ASSETS

$ 203,644,646 $ 6,302,583,000 $ 2,408,525,650

(a) The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.
(b) Securities on loan with market values of $30,908,086, $— and $175,893,005, respectively. See Note 4.
STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005



Bond Index
Master Portfolio Money Market
Master Portfolio S&P 500 Index
Master Portfolio
NET INVESTMENT INCOME


Dividends from unaffiliated issuers

$ — $ — $ 43,202,282
Interest from unaffiliated issuers

9,481,346 240,993,254 103,577
Interest from affiliated issuers(a)

187,528 — 1,497,181
Securities lending income(b)

54,042 — 197,608

Total investment income

9,722,916 240,993,254 45,000,648

EXPENSES (Note 2)


Investment advisory fees

167,502 7,249,677 1,188,574

Total expenses

167,502 7,249,677 1,188,574
Less investment advisory fees waived

— (3,436,517 ) —

Net expenses

167,502 3,813,160 1,188,574

Net investment income

9,555,414 237,180,094 43,812,074

REALIZED AND UNREALIZED GAIN (LOSS)


Net realized gain (loss) from sale of investments in unaffiliated issuers

(299,993 ) 35,169 (34,203,870 )
Net realized gain from in-kind redemptions

— — 37,267,402
Net realized gain on futures contracts

— — 4,340,737
Net change in unrealized appreciation (depreciation) of investments

(4,384,176 ) — 62,101,667
Net change in unrealized appreciation (depreciation) of futures contracts

— — (938,565 )

Net realized and unrealized gain (loss)

(4,684,169 ) 35,169 68,567,371

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

$ 4,871,245 $ 237,215,263 $ 112,379,445

(a) The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.
(b) Includes income earned from issuers of which the Master Portfolios’ investment adviser is an affiliate. See Note 2.
The accompanying notes are an integral part of these financial statements.



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MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS




Bond Index

Master Portfolio


Money Market

Master Portfolio


S&P 500 Index

Master Portfolio



For the

year ended
December 31, 2005


For the

year ended
December 31, 2004


For the

year ended
December 31, 2005


For the

year ended
December 31, 2004


For the

year ended
December 31, 2005


For the

year ended
December 31, 2004


INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 9,555,414 $ 12,282,381 $ 237,180,094 $ 75,589,172 $ 43,812,074 $ 53,575,520
Net realized gain (loss)

(299,993 ) 26,489,863 35,169 (3,023 ) 7,404,269 538,623,460
Net change in unrealized

appreciation (depreciation)

(4,384,176 ) (15,857,497 ) — — 61,163,102 (290,833,407 )

Net increase in net assets resulting from operations

4,871,245 22,914,747 237,215,263 75,586,149 112,379,445 301,365,573

Interestholder transactions:


Contributions

46,465,907 219,605,684 58,641,619,347 27,939,964,264 749,027,738 820,705,368
Withdrawals

(64,378,783 ) (688,185,575 ) (58,107,077,434 ) (27,213,733,782 ) (859,684,082 ) (2,346,660,989 )

Net increase (decrease) in net assets resulting from interestholder transactions

(17,912,876 ) (468,579,891 ) 534,541,913 726,230,482 (110,656,344 ) (1,525,955,621 )

Increase (decrease) in net assets

(13,041,631 ) (445,665,144 ) 771,757,176 801,816,631 1,723,101 (1,224,590,048 )
NET ASSETS:


Beginning of year

216,686,277 662,351,421 5,530,825,824 4,729,009,193 2,406,802,549 3,631,392,597

End of year

$ 203,644,646 $ 216,686,277 $ 6,302,583,000 $ 5,530,825,824 $ 2,408,525,650 $ 2,406,802,549

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



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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company organized as a Delaware statutory trust. As of December 31, 2005, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

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

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

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

SECURITY VALUATION

The securities and other assets of the Bond Index and S&P 500 Index Master Portfolios are generally valued using market valuations. A market valuation generally means a valuation (i) obtained from an exchange, a pricing service or a major market maker (or dealer), (ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service or a major market maker (or dealer) or (iii) based on amortized cost. In the case of shares of funds that are not traded on an exchange, a market valuation means such fund’s published net asset value per share. The investment adviser may use various pricing services or discontinue the use of any pricing service. A price obtained from a pricing service based on such pricing service’s valuation matrix may be considered a market valuation. In the event that current market valuations are not readily available or such valuations do not reflect current market values, the affected investments will be valued using fair value pricing pursuant to the pricing policy and procedures approved by the Board of Trustees of MIP (the “Board”).

The Money Market Master Portfolio uses the amortized cost method of valuation to determine the value of its portfolio securities in accordance with Rule 2a-7 under the 1940 Act. The amortized cost method, which involves valuing a security at its cost and accreting or amortizing any discount or premium, respectively, over the period until maturity, approximates market value.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Security transactions are accounted for on trade date. Dividend income is recognized on the ex-dividend date, net of any foreign tax withheld at source, and interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premiums and accrete discounts on debt securities purchased, using a constant yield to maturity method.

FEDERAL INCOME TAXES

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



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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

It is intended that each Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualification not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2005, the aggregate unrealized appreciation and depreciation based on cost for federal income tax purposes for the Master Portfolios were as follows:



Master Portfolio

Tax Cost Unrealized
Appreciation Unrealized
Depreciation Net Unrealized
Appreciation
(Depreciation)
Bond Index

$ 232,092,028 $ 2,706,079 $ (651,217 ) $ 2,054,862
S&P 500 Index

2,593,214,650 352,850,885 (356,013,503 ) (3,162,618 )
As of December 31, 2005, the Money Market Master Portfolio’s cost of investments for federal income tax purposes was the same as for financial statement purposes.

FUTURES CONTRACTS

The Bond Index and S&P 500 Index Master Portfolios may purchase futures contracts to gain exposure to market changes, as this may be more efficient or cost effective than actually buying the securities. A futures contract is an agreement between two parties to buy and sell a security at a set price on a future date and is exchange-traded. Upon entering into a futures contract, a Master Portfolio is required to pledge to the broker an amount of cash, U.S. Government securities or other high-quality debt and equity securities equal to the minimum “initial margin” requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the Master Portfolio as receivables or payables in the accompanying Statements of Assets and Liabilities. When the contract is closed, the Master Portfolio records a “realized gain (loss) on futures contracts” in its Statement of Operations, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Pursuant to regulations and/or published positions of the U.S. Securities and Exchange Commission (“SEC”), the Master Portfolio is required to segregate cash, U.S. Government securities or high-quality, liquid debt instruments and equity in connection with futures transactions. Risks of entering into futures contracts include the possibility that there may be an illiquid market and that a change in the value of the contracts may not correlate with changes in the value of the underlying securities. The amount at risk for futures contracts may exceed the amount reflected in the financial statements.

The S&P 500 Index Master Portfolio has pledged to brokers U.S. Treasury Bills with a total face amount of $1,700,000 for initial margin requirements.

WHEN ISSUED/TBA TRANSACTIONS

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

REPURCHASE AGREEMENTS

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



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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with each Master Portfolio, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.08%, 0.10% and 0.05% of the average daily net assets of the Bond Index, Money Market and S&P 500 Index Master Portfolios, respectively, as compensation for investment advisory services. From time to time, BGFA may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGFA waived $3,436,517 in investment advisory fees for the Money Market Master Portfolio. Investors Bank & Trust Company (“IBT”) serves as the custodian and sub-administrator of the Master Portfolios. IBT will not be entitled to receive fees for its custodial services, so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. (“BGI”) for its services as sub-administrator of the Master Portfolios.

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

Pursuant to an exemptive order issued by the SEC, BGI serves as securities lending agent for MIP. BGI is an affiliate of BGFA, the Master Portfolios’ investment adviser. As securities lending agent, BGI receives, as fees, a share of the income earned on investment of the cash collateral received for the loan of securities. For the year ended December 31, 2005, BGI earned securities lending agent fees as follows:



Master Portfolio

Securities Lending
Agent Fees
Bond Index

$ 54,042
S&P 500 Index

197,608
MIP has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Master Portfolios’ custodian, financial printer, legal counsel and independent registered public accounting firm), to the Master Portfolios. BGI is not entitled to compensation for providing administration services to the Master Portfolios, for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolios, or BGI (or an affiliate) receives investment advisory fees from the Master Portfolios. BGI may delegate certain of its administration duties to sub-administrators.

Barclays Global Investors Services (“BGIS”), a subsidiary of BGI, may serve as a broker-dealer for the Master Portfolios. For the year ended December 31, 2005, BGIS did not receive any brokerage commissions from the Master Portfolios.

Pursuant to Rule 17a-7 under the 1940 Act, the S&P 500 Index Master Portfolio executed cross trades for the year ended December 31, 2005. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter, for compliance with the requirements and restrictions set forth by Rule 17a-7.

Pursuant to an exemptive order issued by the SEC, each Master Portfolio may invest in the Institutional Shares of the Government Money Market Fund (“GMMF”), Institutional Money Market Fund (“IMMF”) and Prime Money Market Fund (“PMMF”) of Barclays Global Investors Funds. The GMMF, IMMF and PMMF are feeder funds in a master/feeder fund structure that invest substantially all of their assets in the Government Money Market Master Portfolio, Money Market Master Portfolio and Prime Money Market Master Portfolio, respectively, which are managed by BGFA, the Master Portfolios’ investment adviser. The GMMF, IMMF and PMMF are open-end money market funds available to institutional and accredited investors, including other investment companies managed by BGFA. The GMMF, IMMF and PMMF seek a high level of income consistent with liquidity and the preservation of capital. While the GMMF, IMMF and PMMF do not directly charge an investment advisory fee, the Master Portfolios in which they invest do charge an investment advisory fee. Income distributions from the GMMF, IMMF and PMMF are declared daily and paid monthly from net investment income. Income distributions earned by the Master Portfolios from temporary cash investments or from investment of securities lending collateral are recorded as either interest from affiliated issuers or securities lending income, respectively, in the accompanying Master Portfolios’ Statements of Operations.



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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

The following table provides information about the investment by each Master Portfolio in shares of issuers of which BGFA is an affiliate for the year ended December 31, 2005, including income earned from these affiliated issuers.



Master Portfolio and

Name of Affiliated Issuer


Number of

Shares Held
Beginning of

Year (in 000s)


Gross
Additions

(in 000s)

Gross
Reductions
(in 000s) Number of
Shares Held
End of Year
(in 000s) Value at End
of Year Interest
Income
Bond Index


IMMF

3,744 1,449,247 1,451,116 1,875 $ 1,874,504 $ 187,528
S&P 500 Index


IMMF

17,466 12,616,569 12,614,910 19,125 19,124,728 1,497,181
During the year ended December 31, 2005, the Bond Index and S&P 500 Index Master Portfolios invested cash collateral from securities on loan in the GMMF, IMMF and PMMF. Due to the nature of the structure of the joint account used for the investment of the collateral for securities on loan, the information reported above for each Master Portfolio does not include the Master Portfolio’s holdings of the GMMF, IMMF and PMMF in connection with the investment of collateral for securities on loan.

Certain officers and trustees of MIP are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of MIP’s outstanding beneficial interests.

3. INVESTMENT PORTFOLIO TRANSACTIONS

Investment transactions (excluding short-term investments) for the Master Portfolios for the year ended December 31, 2005 were as follows:



U.S. Government Obligations Other Securities
Master Portfolio

Purchases Sales Purchases Sales
Bond Index

$ 146,038,688 $ 152,704,785 $ 10,192,478 $ 11,565,637
S&P 500 Index

— — 238,771,926 299,483,118
For the year ended December 31, 2005, the S&P 500 Index Master Portfolio paid in-kind redemption proceeds of portfolio securities in the amount of $156,000,305. In-kind redemptions are transactions in which an interestholder in the Master Portfolio redeems interests in the Master Portfolio and the Master Portfolio pays the proceeds of that redemption in the form of portfolio securities, rather than cash. Because capital gains or losses resulting from in-kind redemptions are not taxable to the Master Portfolio, and are not allocated to the other interestholders, the gains or losses are reclassified from accumulated net realized gains or losses to paid-in-capital at the end of the Master Portfolio’s tax year. The net realized gains or losses from in-kind redemptions for the year ended December 31, 2005 are disclosed in the Master Portfolio’s Statement of Operations.

4. PORTFOLIO SECURITIES LOANED

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

As of December 31, 2005, the Bond Index and S&P 500 Index Master Portfolios had loaned securities which were collateralized by cash. Pursuant to an exemptive order issued by the SEC, the cash collateral received was invested in a joint account with other investment funds managed by BGFA. The joint account invests in securities with remaining maturities of 397 days or less, repurchase agreements and money market mutual funds, including money market funds managed by BGFA. Repurchase agreements held in the joint account are fully collateralized by U.S. Government securities and non-U.S. Government debt securities. Income from the joint account is allocated daily to each Master Portfolio, based



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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

on each Master Portfolio’s portion of the total cash collateral received. The market value of the securities on loan as of December 31, 2005 and the value of the related collateral are disclosed in the Master Portfolios’ Statements of Assets and Liabilities. Securities lending income, which is disclosed in the Master Portfolios’ Statements of Operations, is presented net of rebates paid to, or fees paid by, borrowers.

5. FINANCIAL HIGHLIGHTS

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



Master Portfolio

Year Ended
December 31,
2005 Year Ended
December 31,
2004 Year Ended
December 31,
2003 Year Ended
December 31,
2002 Year Ended
December 31,
2001
Bond Index


Ratio of expenses to average net assets

0.08 % 0.08 % 0.08 % 0.08 % 0.08 %
Ratio of net investment income to average net assets

4.56 % 4.17 % 4.24 % 5.27 % 5.98 %(a)
Portfolio turnover rate(b)

76 % 148 % 67 % 118 % 53 %
Total return

2.27 % 4.20 % 4.07 % 10.05 % 8.94 %
Money Market


Ratio of expenses to average net assets

0.05 % 0.05 % 0.10 % 0.10 % 0.10 %
Ratio of expenses to average net assets prior to waived fees

0.10 % 0.10 % n/a n/a n/a
Ratio of net investment income to average net assets

3.27 % 1.40 % 1.15 % 1.80 % 3.66 %
Ratio of net investment income to average net assets prior to waived fees

3.22 % 1.35 % n/a n/a n/a
Total return

3.28 % 1.39 % 1.16 % 1.84 % 4.23 %
S&P 500 Index


Ratio of expenses to average net assets

0.05 % 0.05 % 0.05 % 0.05 % 0.05 %
Ratio of net investment income to average net assets

1.84 % 1.91 % 1.74 % 1.57 % 1.31 %
Portfolio turnover rate(b)

10 % 14 % 8 % 12 % 9 %
Total return

4.87 % 10.82 % 28.52 % (22.05 )% (11.96 )%


(a) Effective January 1, 2001, the Bond Index Master Portfolio adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies and began amortizing premiums on debt securities. The effect of this change for the year ended December 31, 2001 for the Bond Index Master Portfolio was to decrease the ratio of net investment income to average net assets from 6.37% to 5.98%.
(b) Portfolio turnover rates include in-kind transactions, if any.


48

Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Bond Index Master Portfolio, Money Market Master Portfolio and S&P 500 Index Master Portfolio, each a portfolio of Master Investment Portfolio (collectively, the “Master Portfolios”), at December 31, 2005, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and their financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006



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MASTER INVESTMENT PORTFOLIO

TRUSTEE INFORMATION — UNAUDITED

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

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



50

Table of Contents
LOGO

Table of Contents
LOGO

Table of Contents
TABLE OF CONTENTS



Management’s Discussion of Fund Performance

1
Shareholder Expenses

6
Barclays Global Investors Funds


Financial Statements

8
Financial Highlights

13
Notes to the Financial Statements

18
Report of Independent Registered Public Accounting Firm

23
Tax Information (Unaudited)

24
Trustee Information (Unaudited)

25
Master Investment Portfolio


Schedules of Investments

27
LifePath Retirement Master Portfolio

27
LifePath 2010 Master Portfolio

31
LifePath 2020 Master Portfolio

35
LifePath 2030 Master Portfolio

39
LifePath 2040 Master Portfolio

43
Active Stock Master Portfolio

47
CoreAlpha Bond Master Portfolio

54
Portfolio Allocations (Unaudited)

65
Financial Statements

66
Notes to the Financial Statements

71
Report of Independent Registered Public Accounting Firm

81
Trustee Information (Unaudited)

82
Table of Contents
Management’s Discussion of Fund Performance

LifePath® Portfolios

Performance as of December 31, 2005

Average Annual Total Returns



One-Year Five-Year Ten-Year (1)
Class I Shares


LifePath Retirement Portfolio

4.32 % 4.60 % 5.99 %
LifePath 2010 Portfolio

5.20 % 3.52 % 6.98 %
LifePath 2020 Portfolio

6.54 % 2.81 % 7.62 %
LifePath 2030 Portfolio

7.63 % 2.31 % 8.12 %
LifePath 2040 Portfolio

8.24 % 1.61 % 8.42 %


One-Year Since
Inception (2)
Class R Shares


LifePath Retirement Portfolio

4.05 % 9.70 %
LifePath 2010 Portfolio

4.94 % 4.26 %
LifePath 2020 Portfolio

6.28 % 4.85 %
LifePath 2030 Portfolio

7.37 % 15.08 %
LifePath 2040 Portfolio

8.01 % 16.79 %
(1) The Class I shares of the LifePath Portfolios are successors to the assets of the Institutional Class shares of the Stagecoach Trust LifePath Funds (the “predecessor funds”), that began operations on March 1, 1994. Performance information for the periods before March 26, 1996, the date the LifePath Portfolios began operations, reflects the performance of the predecessor funds.
(2) Total returns are calculated from an inception date of April 11, 2003 for the LifePath Retirement Portfolio, an inception date of March 7, 2002 for the LifePath 2010 and LifePath 2020 Portfolios, and an inception date of April 8, 2003 for the LifePath 2030 and LifePath 2040 Portfolios. These inception dates represent the date investors began investing in the Class R shares of the respective LifePath Portfolios. To establish the new share class, the LifePath Portfolios’ distributor privately seeded each Portfolio’s Class R on April 30, 2001. The class had no activity from April 30, 2001 until investment began on the Class R inception date for the relevant LifePath Portfolio. Since inception returns calculated from April 30, 2001 for the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Portfolios were 4.34%, 3.44%, 3.06%, 2.92% and 2.83%, respectively.
LOGO



1

Table of Contents
LifePath® Portfolios

Management’s Discussion of Fund Performance (Continued)



LOGO



2

Table of Contents
LifePath® Portfolios

Management’s Discussion of Fund Performance (Continued)



LOGO



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


3

Table of Contents
LifePath® Portfolios

Management’s Discussion of Fund Performance (Continued)



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

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

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

The broad domestic equity markets, as represented by the S&P 1500 Index, posted gains for the 12 months ended December 31, 2005 (the “reporting period”), returning 5.66%. International equities, as represented by the MSCI EAFE Index, gained 13.54% for the reporting period, and bond prices, as represented by the Lehman Brothers Aggregate Bond Index, rose 2.43% for the reporting period. Cash, as represented by the Citigroup 3-Month Treasury Bill Index, returned 3.00% for the reporting period.

The large-capitalization domestic equity markets, as represented by the S&P 500 Index, delivered modest gains for 2005 despite increasing short-term interest rates, rising oil prices, and low consumer confidence levels. The Federal Reserve Board increased the federal funds rate eight times in 2005, resulting in a rate of 4.25% at year-end, the highest level in 4 1/2 years. Oil prices continued to escalate during the reporting period. Already on the rise due to growing global demand, the price of oil surged in the wake of Hurricane Katrina, which curtailed oil supply. By the end of 2005, oil topped $61 per barrel, an increase of 40% for the year. Consumer confidence levels remained relatively low for most of the year, but appeared to rebound in December, buoyed by the resilience of the U.S. economy and improving employment figures.

Despite the increase in short-term interest rates, 10-year government bond yields moved only moderately higher over the course of the year. Among Treasury securities, two-year note yields rose by more than 1.30%, while yields on 10-year notes rose a slight 0.20%. Yields on longer-term Treasury securities declined during the reporting period. Corporate bonds also delivered positive results, despite downgrades from investment grade to junk for two of the world’s largest issuers of corporate debt. Helping corporate bond prices was an increase in demand from foreign investors during the year. Mortgage-backed securities had positive performance during the reporting period but underperformed Treasury securities for the first time since 2001.

International markets generally delivered gains during the reporting period. Low interest rates around the world contributed to the economic strength of many of the constituent countries, spurring investment and borrowing levels. Healthy economic growth in the U.S. also contributed to the positive results, translating into ongoing demand for foreign goods and services from the U.S. Many countries also benefited from ongoing demand from China, whose economy continued to expand. Oil prices, which escalated during the year and ultimately topped $61 per barrel, generally had a dampening effect on markets, although they did help those markets with substantial representation in the energy industry.

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

During 2005, each LifePath Portfolio invested a portion of its assets in various iShares Funds, including the iShares MSCI EAFE Index Fund and the iShares S&P MidCap 400 Index Fund. For the reporting period, the iShares MSCI EAFE Index Fund returned 13.40% and the iShares S&P MidCap 400 Index Fund delivered 12.48%.

The LifePath Portfolios invested a significant amount of their assets in the Active Stock and CoreAlpha Bond Master Portfolios. Both of these Master Portfolios seek to outperform their respective indices by employing sophisticated quantitative models that help to identify attractive securities. For 2005, the Active Stock Master Portfolio delivered a strong performance of 8.79%, which exceeded its benchmark index, the S&P 500, which had a return of 4.91% for the full year. The performance of the CoreAlpha Bond Master Portfolio for 2005 was 1.98%, falling short of its respective benchmark, the Lehman Brothers Aggregate Bond Index.



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LifePath® Portfolios

Management’s Discussion of Fund Performance (Continued)



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

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

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



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BARCLAYS GLOBAL INVESTORS FUNDS

Shareholder Expenses

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2005 to December 31, 2005.

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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



Portfolio

Beginning
Account Value
(July 1, 2005) Ending
Account Value
(December 31, 2005) Annualized
Expense Ratio(a) Expenses Paid
During Period(b)
(July 1 to
December 31, 2005)
LifePath Retirement


Class I Shares


Actual

$ 1,000.00 $ 1,029.10 0.81 % $ 4.14
Hypothetical (5% return before expenses)

1,000.00 1,021.12 0.81 4.13
Class R Shares


Actual

1,000.00 1,027.80 1.06 5.42
Hypothetical (5% return before expenses)

1,000.00 1,019.86 1.06 5.40
LifePath 2010


Class I Shares


Actual

1,000.00 1,040.20 0.79 4.06
Hypothetical (5% return before expenses)

1,000.00 1,021.22 0.79 4.02
Class R Shares


Actual

1,000.00 1,038.70 1.05 5.40
Hypothetical (5% return before expenses)

1,000.00 1,019.91 1.05 5.35


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BARCLAYS GLOBAL INVESTORS FUNDS

Shareholder Expenses (Continued)



Portfolio

Beginning
Account Value
(July 1, 2005) Ending
Account Value
(December 31, 2005) Annualized
Expense Ratio(a) Expenses Paid
During Period(b)
(July 1 to
December 31, 2005)
LifePath 2020


Class I Shares


Actual

$ 1,000.00 $ 1,056.90 0.78 % $ 4.04
Hypothetical (5% return before expenses)

1,000.00 1,021.27 0.78 3.97
Class R Shares


Actual

1,000.00 1,055.20 1.03 5.34
Hypothetical (5% return before expenses)

1,000.00 1,020.01 1.03 5.24
LifePath 2030


Class I Shares


Actual

1,000.00 1,069.90 0.76 3.97
Hypothetical (5% return before expenses)

1,000.00 1,021.37 0.76 3.87
Class R Shares


Actual

1,000.00 1,068.40 1.02 5.32
Hypothetical (5% return before expenses)

1,000.00 1,020.06 1.02 5.19
LifePath 2040


Class I Shares


Actual

1,000.00 1,078.00 0.76 3.98
Hypothetical (5% return before expenses)

1,000.00 1,021.37 0.76 3.87
Class R Shares


Actual

1,000.00 1,076.10 1.01 5.29
Hypothetical (5% return before expenses)

1,000.00 1,020.11 1.01 5.14
(a) This ratio includes expenses charged to the corresponding Master Portfolio.
(b) Expenses are calculated using each LifePath Portfolio’s annualized expense ratio for each share class (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).


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BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005



LifePath
Retirement
Portfolio LifePath 2010
Portfolio LifePath 2020
Portfolio LifePath 2030
Portfolio LifePath 2040
Portfolio
ASSETS


Investments:


In corresponding Master Portfolio, at value (Note 1)

$ 108,914,366 $ 381,567,663 $ 636,775,923 $ 391,531,815 $ 255,813,095
Receivables:


Capital shares sold

1,708,545 646,574 4,515,668 1,003,183 1,830,666

Total Assets

110,622,911 382,214,237 641,291,591 392,534,998 257,643,761

LIABILITIES


Payables:


Capital shares redeemed

1,655,229 503,121 4,966,495 413,846 1,446,339
Administration fees (Note 2)

46,029 161,068 269,397 164,966 107,890
Distribution fees - Class R (Note 2)

5,713 18,650 33,690 22,217 20,112

Total Liabilities

1,706,971 682,839 5,269,582 601,029 1,574,341

NET ASSETS

$ 108,915,940 $ 381,531,398 $ 636,022,009 $ 391,933,969 $ 256,069,420

Net assets consist of:


Paid-in capital

$ 103,639,141 $ 355,887,048 $ 572,653,990 $ 357,303,489 $ 223,674,650
Undistributed (distributions in excess of) net investment income

(649,909 ) (1,589,548 ) (1,800,336 ) 271,134 306,475
Undistributed net realized gain (accumulated net realized loss)

1,916,360 6,490,679 (7,107,562 ) 7,126,104 (12,692,760 )
Net unrealized appreciation

4,010,348 20,743,219 72,275,917 27,233,242 44,781,055

NET ASSETS

$ 108,915,940 $ 381,531,398 $ 636,022,009 $ 391,933,969 $ 256,069,420

Class I Shares


Net Assets

$ 99,348,856 $ 350,225,757 $ 578,496,619 $ 352,800,259 $ 221,358,982

Shares outstanding

8,852,444 27,096,866 36,492,245 22,925,632 12,175,771

Net asset value and offering price per share

$ 11.22 $ 12.92 $ 15.85 $ 15.39 $ 18.18

Class R Shares


Net Assets

$ 9,567,084 $ 31,305,641 $ 57,525,390 $ 39,133,710 $ 34,710,438

Shares outstanding

905,822 2,457,969 3,778,764 2,582,986 1,987,033

Net asset value and offering price per share

$ 10.56 $ 12.74 $ 15.22 $ 15.15 $ 17.47

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



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BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005



LifePath
Retirement
Portfolio LifePath 2010
Portfolio LifePath 2020
Portfolio LifePath 2030
Portfolio LifePath 2040
Portfolio
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO


Dividends

$ 643,193 $ 2,918,997 $ 6,652,994 $ 4,843,217 $ 3,358,952
Interest

3,050,026 8,326,449 9,153,131 3,395,641 1,050,881
Expenses(a)

(321,606 ) (1,025,480 ) (1,575,903 ) (887,246 ) (517,124 )

Net investment income allocated from corresponding Master Portfolio

3,371,613 10,219,966 14,230,222 7,351,612 3,892,709

FUND EXPENSES (Note 2)


Administration fees

523,176 1,732,045 2,830,389 1,675,108 998,578
Distribution fees - Class R

18,645 61,313 103,965 69,458 68,894

Total fund expenses

541,821 1,793,358 2,934,354 1,744,566 1,067,472

Net investment income

2,829,792 8,426,608 11,295,868 5,607,046 2,825,237

REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO


Net realized gain

1,141,033 4,565,717 11,190,255 7,999,028 5,677,336
Net change in unrealized appreciation (depreciation)

586,644 5,314,719 16,086,965 13,056,181 9,921,759

Net realized and unrealized gain

1,727,677 9,880,436 27,277,220 21,055,209 15,599,095

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

$ 4,557,469 $ 18,307,044 $ 38,573,088 $ 26,662,255 $ 18,424,332

(a) Net of investment advisory fee waivers by the Master Portfolios’ investment adviser in the amounts of $356,480, $1,175,962, $1,908,574, $1,122,173 and $663,532, respectively.
The accompanying notes are an integral part of these financial statements.



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BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS



LifePath Retirement Portfolio LifePath 2010 Portfolio
For the
year ended
December 31, 2005 For the
year ended
December 31, 2004 For the
year ended
December 31, 2005 For the
year ended
December 31, 2004
INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 2,829,792 $ 2,020,378 $ 8,426,608 $ 5,229,479
Net realized gain

1,141,033 4,655,486 4,565,717 14,576,311
Net change in unrealized appreciation (depreciation)

586,644 227,750 5,314,719 3,533,318

Net increase in net assets resulting from operations

4,557,469 6,903,614 18,307,044 23,339,108

Distributions to shareholders:


From net investment income:


Class I Shares

(2,902,716 ) (2,251,832 ) (8,631,475 ) (5,743,458 )
Class R Shares

(232,284 ) (118,153 ) (628,574 ) (256,827 )

(3,135,000 ) (2,369,985 ) (9,260,049 ) (6,000,285 )

From net realized gain:


Class I Shares

(886,064 ) (3,132,385 ) (3,618,530 ) (5,791,517 )
Class R Shares

(90,415 ) (161,085 ) (326,995 ) (277,520 )

(976,479 ) (3,293,470 ) (3,945,525 ) (6,069,037 )

Total distributions to shareholders

(4,111,479 ) (5,663,455 ) (13,205,574 ) (12,069,322 )

Capital share transactions (Note 3):


Class I Shares

8,040,098 28,758,819 49,080,565 113,565,467
Class R Shares

3,494,551 3,185,032 13,953,296 6,227,224

Net increase in net assets resulting from capital share transactions

11,534,649 31,943,851 63,033,861 119,792,691

Increase in net assets

11,980,639 33,184,010 68,135,331 131,062,477
NET ASSETS:


Beginning of year

96,935,301 63,751,291 313,396,067 182,333,590

End of year

$ 108,915,940 $ 96,935,301 $ 381,531,398 $ 313,396,067

Distributions in excess of net investment income included in net assets at end of year

$ (649,909 ) $ (344,180 ) $ (1,589,548 ) $ (331,112 )

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



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BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)



LifePath 2020 Portfolio LifePath 2030 Portfolio
For the
year ended
December 31, 2005 For the
year ended
December 31, 2004 For the
year ended
December 31, 2005 For the
year ended
December 31, 2004
INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 11,295,868 $ 8,460,888 $ 5,607,046 $ 4,049,978
Net realized gain

11,190,255 11,362,503 7,999,028 27,569,679
Net change in unrealized appreciation (depreciation)

16,086,965 30,140,646 13,056,181 (62,748 )

Net increase in net assets resulting from operations

38,573,088 49,964,037 26,662,255 31,556,909

Distributions to shareholders:


From net investment income:


Class I Shares

(11,337,684 ) (8,982,423 ) (5,424,198 ) (3,623,549 )
Class R Shares

(908,242 ) (389,081 ) (447,102 ) (160,578 )

(12,245,926 ) (9,371,504 ) (5,871,300 ) (3,784,127 )

From net realized gain:


Class I Shares

— — (7,647,361 ) (13,047,937 )
Class R Shares

— — (859,784 ) (710,132 )

— — (8,507,145 ) (13,758,069 )

Total distributions to shareholders

(12,245,926 ) (9,371,504 ) (14,378,445 ) (17,542,196 )

Capital share transactions (Note 3):


Class I Shares

107,734,952 21,211,141 76,354,552 75,123,937
Class R Shares

26,782,362 9,687,862 18,966,314 11,767,495

Net increase in net assets resulting from capital share transactions

134,517,314 30,899,003 95,320,866 86,891,432

Increase in net assets

160,844,476 71,491,536 107,604,676 100,906,145
NET ASSETS:


Beginning of year

475,177,533 403,685,997 284,329,293 183,423,148

End of year

$ 636,022,009 $ 475,177,533 $ 391,933,969 $ 284,329,293

Undistributed (distributions in excess of) net investment income included in net assets at end of year

$ (1,800,336 ) $ (856,821 ) $ 271,134 $ 653,565

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



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BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)



LifePath 2040 Portfolio
For the
year ended
December 31, 2005 For the
year ended
December 31, 2004
INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 2,825,237 $ 2,121,169
Net realized gain

5,677,336 1,601,955
Net change in unrealized appreciation (depreciation)

9,921,759 16,434,759

Net increase in net assets resulting from operations

18,424,332 20,157,883

Distributions to shareholders:


From net investment income:


Class I Shares

(2,568,816 ) (1,891,194 )
Class R Shares

(352,909 ) (201,178 )

(2,921,725 ) (2,092,372 )

Total distributions to shareholders

(2,921,725 ) (2,092,372 )

Capital share transactions (Note 3):


Class I Shares

82,738,786 (18,480,227 )
Class R Shares

9,638,347 6,387,389

Net increase (decrease) in net assets resulting from capital share transactions

92,377,133 (12,092,838 )

Increase in net assets

107,879,740 5,972,673
NET ASSETS:


Beginning of year

148,189,680 142,217,007

End of year

$ 256,069,420 $ 148,189,680

Undistributed net investment income included in net assets at end of year

$ 306,475 $ 399,698

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



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BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)



LifePath Retirement Portfolio - Class I Shares
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Year ended
Dec. 31, 2003 Period ended
Dec. 31, 2002 (a) Year ended
Feb. 28, 2002 Year ended
Feb. 28, 2001
Net asset value, beginning of period

$ 11.18 $ 11.03 $ 10.03 $ 10.59 $ 10.77 $ 11.18

Income from investment operations:


Net investment income

0.30 0.20 0.19 0.21 0.34 (b) 0.44
Net realized and unrealized gain (loss)

0.17 0.49 1.00 (0.40 ) (0.10 )(b) 0.23

Total from investment operations

0.47 0.69 1.19 (0.19 ) 0.24 0.67

Less distributions from:


Net investment income

(0.33 ) (0.24 ) (0.19 ) (0.28 ) (0.35 ) (0.44 )
Net realized gain

(0.10 ) (0.30 ) (0.00 )(c) (0.09 ) (0.07 ) (0.64 )

Total distributions

(0.43 ) (0.54 ) (0.19 ) (0.37 ) (0.42 ) (1.08 )

Net asset value, end of period

$ 11.22 $ 11.18 $ 11.03 $ 10.03 $ 10.59 $ 10.77

Total return

4.32 % 6.35 % 11.95 % (1.78 )%(d) 2.25 % 6.16 %

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 99,349 $ 90,871 $ 60,944 $ 40,509 $ 36,936 $ 32,763
Ratio of expenses to average net assets(e)

0.81 % 0.82 % 0.85 % 0.85 % 0.89 % 0.95 %
Ratio of expenses to average net assets prior to waived

fees(e)

1.15 % 1.10 % n/a n/a n/a n/a
Ratio of net investment income to average net assets(e)

2.72 % 1.92 % 1.81 % 2.47 % 3.19 %(b) 4.00 %
Ratio of net investment income to average net assets prior to waived fees(e)

2.38 % 1.64 % n/a n/a n/a n/a
Portfolio turnover rate(f)

11 % 138 % 29 % 56 % 116 % 58 %


LifePath Retirement Portfolio - Class R Shares
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Period from
Apr. 11, 2003 (g)
to Dec. 31, 2003
Net asset value, beginning of period

$ 10.55 $ 10.44 $ 9.05

Income from investment operations:


Net investment income

0.28 0.18 0.17
Net realized and unrealized gain

0.14 0.45 1.39

Total from investment operations

0.42 0.63 1.56

Less distributions from:


Net investment income

(0.31 ) (0.22 ) (0.17 )
Net realized gain

(0.10 ) (0.30 ) (0.00 )(c)

Total distributions

(0.41 ) (0.52 ) (0.17 )

Net asset value, end of period

$ 10.56 $ 10.55 $ 10.44

Total return

4.05 % 6.07 % 16.75 %(d)

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 9,567 $ 6,064 $ 2,807
Ratio of expenses to average net assets(e)

1.06 % 1.07 % 1.10 %
Ratio of expenses to average net assets prior to waived fees(e)

1.40 % 1.35 % n/a
Ratio of net investment income to average net assets(e)

2.51 % 1.69 % 1.52 %
Ratio of net investment income to average net assets prior to waived fees(e)

2.17 % 1.41 % n/a
Portfolio turnover rate(f)

11 % 138 % 29 %(h)
(a) For the ten months ended December 31, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.
(b) Effective March 1, 2001, the LifePath Portfolio adopted the provisions of the revised AICPA Audit and Accounting Guide for the Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratios and per share data for the year ended February 28, 2002. Ratios and per share data for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy.
(c) Rounds to less than $0.01.
(d) Not annualized.
(e) Annualized for periods of less than one year. These ratios include expenses charged to the corresponding Master Portfolio.
(f) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.
(g) Commencement of operations. April 11, 2003 is the date investors began investing in Class R of the LifePath Portfolio. To establish the new share class, the LifePath Portfolio’s distributor privately seeded Class R on April 30, 2001. The class had no activity from that date until investment began on April 11, 2003.
(h) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the year ended December 31, 2003.
The accompanying notes are an integral part of these financial statements.



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BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)



LifePath 2010 Portfolio - Class I Shares
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Year ended
Dec. 31, 2003 Period ended
Dec. 31, 2002(a) Year ended
Feb. 28, 2002 Year ended
Feb. 28, 2001
Net asset value, beginning of period

$ 12.74 $ 12.30 $ 10.82 $ 11.85 $ 12.46 $ 13.49

Income from investment operations:


Net investment income

0.31 0.20 0.18 0.19 0.31 (b) 0.41
Net realized and unrealized gain (loss)

0.34 0.69 1.49 (1.00 ) (0.46 )(b) (0.16 )

Total from investment operations

0.65 0.89 1.67 (0.81 ) (0.15 ) 0.25

Less distributions from:


Net investment income

(0.34 ) (0.24 ) (0.19 ) (0.20 ) (0.33 ) (0.41 )
Net realized gain

(0.13 ) (0.21 ) — (0.02 ) (0.13 ) (0.87 )

Total distributions

(0.47 ) (0.45 ) (0.19 ) (0.22 ) (0.46 ) (1.28 )

Net asset value, end of period

$ 12.92 $ 12.74 $ 12.30 $ 10.82 $ 11.85 $ 12.46

Total return

5.20 % 7.38 % 15.66 % (6.85 )%(c) (1.13 )% 1.73 %

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 350,226 $ 296,439 $ 172,075 $ 121,627 $ 108,601 $ 89,988
Ratio of expenses to average net assets(d)

0.80 % 0.81 % 0.85 % 0.86 % 0.89 % 0.95 %
Ratio of expenses to average net assets prior to waived fees(d)

1.14 % 1.09 % n/a n/a n/a n/a
Ratio of net investment income to average net assets(d)

2.45 % 1.78 % 1.64 % 1.98 % 2.59 %(b) 3.09 %
Ratio of net investment income to average net assets prior to waived fees(d)

2.11 % 1.50 % n/a n/a n/a n/a
Portfolio turnover rate(e)

12 % 130 % 23 % 72 % 86 % 54 %


LifePath 2010 Portfolio - Class R Shares
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Year ended
Dec. 31, 2003 Period from
Mar. 7, 2002(f)
to Dec. 31, 2002
Net asset value, beginning of period

$ 12.57 $ 12.13 $ 10.67 $ 11.98

Income from investment operations:


Net investment income

0.29 0.18 0.16 0.13
Net realized and unrealized gain (loss)

0.32 0.68 1.47 (1.30 )

Total from investment operations

0.61 0.86 1.63 (1.17 )

Less distributions from:


Net investment income

(0.31 ) (0.21 ) (0.17 ) (0.12 )
Net realized gain

(0.13 ) (0.21 ) — (0.02 )

Total distributions

(0.44 ) (0.42 ) (0.17 ) (0.14 )

Net asset value, end of period

$ 12.74 $ 12.57 $ 12.13 $ 10.67

Total return

4.94 % 7.23 % 15.45 % (9.72 )%(c)

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 31,306 $ 16,957 $ 10,258 $ 28
Ratio of expenses to average net assets(d)

1.05 % 1.06 % 1.10 % 1.58 %
Ratio of expenses to average net assets prior to waived fees(d)

1.39 % 1.34 % n/a n/a
Ratio of net investment income to average net assets(d)

2.23 % 1.56 % 1.21 % 1.84 %
Ratio of net investment income to average net assets prior to waived fees(d)

1.89 % 1.28 % n/a n/a
Portfolio turnover rate(e)

12 % 130 % 23 % 72 %(g)
(a) For the ten months ended December 31, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.
(b) Effective March 1, 2001, the LifePath Portfolio adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratios and per share data for the year ended February 28, 2002. Ratios and per share data for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy.
(c) Not annualized.
(d) Annualized for periods of less than one year. These ratios include expenses charged to the corresponding Master Portfolio. (e) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.
(f) Commencement of operations. March 7, 2002 is the date investors began investing in Class R of the LifePath Portfolio. To establish the new share class, the LifePath Portfolio’s distributor privately seeded Class R on April 30, 2001. The class had no activity from that date until investment began on March 7, 2002.
(g) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the ten months ended December 31, 2002.
The accompanying notes are an integral part of these financial statements.



14

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BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)



LifePath 2020 Portfolio - Class I Shares
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Year ended
Dec. 31, 2003 Period ended
Dec. 31, 2002(a) Year ended
Feb. 28, 2002 Year ended
Feb. 28, 2001
Net asset value, beginning of period

$ 15.19 $ 14.13 $ 11.89 $ 13.52 $ 14.55 $ 16.18

Income from investment operations:


Net investment income

0.30 0.21 0.19 0.17 0.23 (b) 0.31
Net realized and unrealized gain (loss)

0.68 1.09 2.24 (1.59 ) (1.02 )(b) (0.83 )

Total from investment operations

0.98 1.30 2.43 (1.42 ) (0.79 ) (0.52 )

Less distributions from:


Net investment income

(0.32 ) (0.24 ) (0.19 ) (0.21 ) (0.24 ) (0.31 )
Net realized gain

— — — — (0.00 )(c) (0.80 )

Total distributions

(0.32 ) (0.24 ) (0.19 ) (0.21 ) (0.24 ) (1.11 )

Net asset value, end of period

$ 15.85 $ 15.19 $ 14.13 $ 11.89 $ 13.52 $ 14.55

Total return

6.54 % 9.27 % 20.61 % (10.58 )%(d) (5.44 )% (3.54 )%

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 578,497 $ 446,486 $ 386,387 $ 270,696 $ 319,935 $ 182,807
Ratio of expenses to average net assets(e)

0.78 % 0.79 % 0.85 % 0.83 % 0.89 % 0.95 %
Ratio of expenses to average net assets prior to waived fees(e)

1.12 % 1.07 % n/a n/a n/a n/a
Ratio of net investment income to average net assets(e)

2.01 % 1.49 % 1.54 % 1.59 % 1.74 %(b) 1.99 %
Ratio of net investment income to average net assets prior to waived fees(e)

1.67 % 1.21 % n/a n/a n/a n/a
Portfolio turnover rate(f)

17 % 140 % 23 % 67 % 86 % 39 %


LifePath 2020 Portfolio - Class R Shares
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Year ended
Dec. 31, 2003 Period from
Mar.7, 2002(g)
to Dec. 31, 2002
Net asset value, beginning of period

$ 14.60 $ 13.59 $ 11.44 $ 13.45

Income from investment operations:


Net investment income

0.27 0.19 0.17 0.11
Net realized and unrealized gain (loss)

0.64 1.03 2.14 (1.99 )

Total from investment operations

0.91 1.22 2.31 (1.88 )

Less distributions from:


Net investment income

(0.29 ) (0.21 ) (0.16 ) (0.13 )

Total distributions

(0.29 ) (0.21 ) (0.16 ) (0.13 )

Net asset value, end of period

$ 15.22 $ 14.60 $ 13.59 $ 11.44

Total return

6.28 % 9.01 % 20.37 % (14.05 )%(d)

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 57,525 $ 28,692 $ 17,299 $ 202
Ratio of expenses to average net assets(e)

1.03 % 1.04 % 1.10 % 1.59 %
Ratio of expenses to average net assets prior to waived fees(e)

1.37 % 1.32 % n/a n/a
Ratio of net investment income to average net assets(e)

1.82 % 1.33 % 1.26 % 1.42 %
Ratio of net investment income to average net assets prior to waived fees(e)

1.48 % 1.05 % n/a n/a
Portfolio turnover rate(f)

17 % 140 % 23 % 67 %(h)
(a) For the ten months ended December 31, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.
(b) Effective March 1, 2001, the LifePath Portfolio adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratios and per share data for the year ended February 28, 2002. Ratios and per share data for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy.
(c) Rounds to less than $0.01.
(d) Not annualized.
(e) Annualized for periods of less than one year. These ratios include expenses charged to the corresponding Master Portfolio. (f) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.
(g) Commencement of operations. March 7, 2002 is the date investors began investing in Class R of the LifePath Portfolio. To establish the new share class, the LifePath Portfolio’s distributor privately seeded Class R on April 30, 2001. The class had no activity from that date until investment began on March 7, 2002.
(h) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the ten months ended December 31, 2002.
The accompanying notes are an integral part of these financial statements.



15

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BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)



LifePath 2030 Portfolio - Class I Shares
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Year ended
Dec. 31, 2003 Period ended
Dec. 31, 2002(a) Year ended
Feb. 28, 2002 Year ended
Feb. 28, 2001
Net asset value, beginning of period

$ 14.87 $ 14.13 $ 11.56 $ 13.69 $ 15.77 $ 17.84

Income from investment operations:


Net investment income

0.24 0.19 0.18 0.13 0.18 (b) 0.23
Net realized and unrealized gain (loss)

0.88 1.32 2.55 (1.97 ) (1.48 )(b) (1.22 )

Total from investment operations

1.12 1.51 2.73 (1.84 ) (1.30 ) (0.99 )

Less distributions from:


Net investment income

(0.26 ) (0.19 ) (0.16 ) (0.13 ) (0.19 ) (0.23 )
Net realized gain

(0.34 ) (0.58 ) — (0.16 ) (0.59 ) (0.85 )

Total distributions

(0.60 ) (0.77 ) (0.16 ) (0.29 ) (0.78 ) (1.08 )

Net asset value, end of period

$ 15.39 $ 14.87 $ 14.13 $ 11.56 $ 13.69 $ 15.77

Total return

7.63 % 10.78 % 23.86 % (13.46 )%(c) (8.25 )% (5.99 )%

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 352,800 $ 265,166 $ 176,647 $ 103,485 $ 108,538 $ 79,665
Ratio of expenses to average net assets(d)

0.76 % 0.78 % 0.85 % 0.84 % 0.89 % 0.95 %
Ratio of expenses to average net assets prior to waived fees(d)

1.10 % 1.06 % n/a n/a n/a n/a
Ratio of net investment income to average net assets(d)

1.69 % 1.37 % 1.48 % 1.28 % 1.25 %(b) 1.32 %
Ratio of net investment income to average net assets prior to waived fees(d)

1.35 % 1.09 % n/a n/a n/a n/a
Portfolio turnover rate(e)

24 % 138 % 32 % 68 % 53 % 27 %


LifePath 2030 Portfolio - Class R Shares
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Period from
Apr. 8, 2003(f)
to Dec. 31, 2003
Net asset value, beginning of period

$ 14.65 $ 13.94 $ 11.33

Income from investment operations:


Net investment income

0.22 0.15 0.17
Net realized and unrealized gain

0.85 1.30 2.59

Total from investment operations

1.07 1.45 2.76

Less distributions from:


Net investment income

(0.23 ) (0.16 ) (0.15 )
Net realized gain

(0.34 ) (0.58 ) —

Total distributions

(0.57 ) (0.74 ) (0.15 )

Net asset value, end of period

$ 15.15 $ 14.65 $ 13.94

Total return

7.37 % 10.51 % 23.85 %(c)

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 39,134 $ 19,163 $ 6,776
Ratio of expenses to average net assets(d)

1.01 % 1.04 % 1.10 %
Ratio of expenses to average net assets prior to waived fees(d)

1.35 % 1.32 % n/a
Ratio of net investment income to average net assets(d)

1.52 % 1.24 % 1.27 %
Ratio of net investment income to average net assets prior to waived fees(d)

1.18 % 0.96 % n/a
Portfolio turnover rate(e)

24 % 138 % 32 %(g)
(a) For the ten months ended December 1, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.
(b) Effective March 1, 2001, the LifePath Portfolio adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratios and per share data for the year ended February 28, 2002. Ratios and per share data for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy.
(c) Not annualized.
(d) Annualized for periods of less than one year. These ratios include expenses charged to the corresponding Master Portfolio.
(e) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.
(f) Commencement of operations. April 8, 2003 is the date investors began investing in Class R of the LifePath Portfolio. To establish the new share class, the LifePath Portfolio’s distributor privately seeded Class R on April 30, 2001. The class had no activity from the date until investment began on April 8, 2003.
(g) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the year ended December 31, 2003.
The accompanying notes are an integral part of these financial statements.



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BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)



LifePath 2040 Portfolio - Class I Shares
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Year ended
Dec. 31, 2003 Period ended
Dec. 31, 2002 (a) Year ended
Feb. 28, 2002 Year ended
Feb. 28, 2001
Net asset value, beginning of period

$ 17.03 $ 15.47 $ 12.27 $ 14.73 $ 16.74 $ 20.64

Income from investment operations:


Net investment income

0.21 0.21 0.18 0.12 0.10 (b) 0.11
Net realized and unrealized gain (loss)

1.18 1.55 3.18 (2.48 ) (1.93 )(b) (2.20 )

Total from investment operations

1.39 1.76 3.36 (2.36 ) (1.83 ) (2.09 )

Less distributions from:


Net investment income

(0.24 ) (0.20 ) (0.16 ) (0.10 ) (0.10 ) (0.10 )
Net realized gain

— — — — (0.08 ) (1.71 )

Total distributions

(0.24 ) (0.20 ) (0.16 ) (0.10 ) (0.18 ) (1.81 )

Net asset value, end of period

$ 18.18 $ 17.03 $ 15.47 $ 12.27 $ 14.73 $ 16.74

Total return

8.24 % 11.43 % 27.64 % (16.03 )%(c) (10.89 )% (10.81 )%

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 221,359 $ 125,063 $ 127,357 $ 74,352 $ 84,961 $ 97,863
Ratio of expenses to average net assets(d)

0.76 % 0.78 % 0.85 % 0.83 % 0.90 % 0.95 %
Ratio of expenses to average net assets prior to waived fees(d)

1.09 % 1.06 % n/a n/a n/a n/a
Ratio of net investment income to average net assets(d)

1.45 % 1.15 % 1.36 % 1.05 % 0.64 %(b) 0.50 %
Ratio of net investment income to average net assets prior to waived fees(d)

1.12 % 0.87 % n/a n/a n/a n/a
Portfolio turnover rate(e)

38 % 147 % 29 % 62 % 15 % 20 %


LifePath 2040 Portfolio - Class R Shares
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Period from
Apr. 8, 2003(f)
to Dec. 31, 2003
Net asset value, beginning of period

$ 16.37 $ 14.89 $ 11.74

Income from investment operations:


Net investment income

0.19 0.16 0.17
Net realized and unrealized gain

1.11 1.48 3.13

Total from investment operations

1.30 1.64 3.30

Less distributions from:


Net investment income

(0.20 ) (0.16 ) (0.15 )

Total distributions

(0.20 ) (0.16 ) (0.15 )

Net asset value, end of period

$ 17.47 $ 16.37 $ 14.89

Total return

8.01 % 11.08 % 27.65 %(c)

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 34,710 $ 23,126 $ 14,860
Ratio of expenses to average net assets(d)

1.01 % 1.03 % 1.10 %
Ratio of expenses to average net assets prior to waived fees(d)

1.34 % 1.31 % n/a
Ratio of net investment income to average net assets(d)

1.20 % 1.06 % 1.07 %
Ratio of net investment income to average net assets prior to waived fees(d)

0.87 % 0.78 % n/a
Portfolio turnover rate(e)

38 % 147 % 29 %(g)
(a) For the ten months ended December 31, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.
(b) Effective March 1, 2001, the LifePath Portfolio adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratios and per share data for the year ended February 28, 2002. Ratios and per share data for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy.
(c) Not annualized.
(d) Annualized for periods of less than one year. These ratios include expenses charged to the corresponding Master Portfolio.
(e) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.
(f) Commencement of operations. April 8, 2003 is the date investors began investing in Class R of the LifePath Portfolio. To establish the new share class, the LifePath Portfolio’s distributor privately seeded Class R on April 30, 2001. The class had no activity from that date until investment began on April 8, 2003.
(g) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the year ended December 31, 2003.
The accompanying notes are an integral part of these financial statements.



17

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BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Barclays Global Investors Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust, formerly known as Barclays Global Investors Funds, Inc., was redomiciled from a Maryland corporation to a Delaware statutory trust effective January 11, 2002. As of December 31, 2005, the Trust offered the following diversified funds: Bond Index, Government Money Market, Institutional Money Market, Money Market, Prime Money Market, S&P 500 Stock and Treasury Money Market Funds, and the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Portfolios.

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

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

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

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

INVESTMENT POLICY AND SECURITY VALUATION

Each LifePath Portfolio invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objective as its corresponding LifePath Portfolio. The value of each LifePath Portfolio’s investment in its corresponding Master Portfolio reflects that LifePath Portfolio’s interest in the net assets of that Master Portfolio (47.22%, 57.29%, 59.79%, 57.86% and 58.68% for the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Portfolios, respectively, as of December 31, 2005). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

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

SECURITY TRANSACTIONS AND INCOME RECOGNITION

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

DISTRIBUTIONS TO SHAREHOLDERS

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

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



18

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)



As of December 31, 2005, the tax year-end of the LifePath Portfolios, the components of net distributable earnings on a tax basis were as follows:



Portfolio

Undistributed
Ordinary
Income Unrealized
Appreciation Capital Gains
(Losses) and
Other Losses Net
Distributable
Earnings
LifePath Retirement

$ 193,989 $ 4,726,979 $ 355,831 $ 5,276,799
LifePath 2010

516,208 23,784,161 1,343,981 25,644,350
LifePath 2020

98,800 86,416,596 (23,147,377 ) 63,368,019
LifePath 2030

901,567 31,937,368 1,791,545 34,630,480
LifePath 2040

474,777 49,266,915 (17,346,922 ) 32,394,770
The tax character of distributions paid for the years ended December 31, 2005 and December 31, 2004, were as follows:



Portfolio

2005 2004
LifePath Retirement


Distributions paid from:


Ordinary income

$ 3,135,000 $ 3,747,894
Long-term capital gain

976,479 1,915,561

Total Distributions

$ 4,111,479 $ 5,663,455

LifePath 2010


Distributions paid from:


Ordinary income

$ 9,913,696 $ 7,068,214
Long-term capital gain

3,291,878 5,001,108

Total Distributions

$ 13,205,574 $ 12,069,322

LifePath 2020


Distributions paid from:


Ordinary income

$ 12,245,926 $ 9,371,504

Total Distributions

$ 12,245,926 $ 9,371,504

LifePath 2030


Distributions paid from:


Ordinary income

$ 9,260,387 $ 3,784,127
Long-term capital gain

5,118,058 13,758,069

Total Distributions

$ 14,378,445 $ 17,542,196

LifePath 2040


Distributions paid from:


Ordinary income

$ 2,921,725 $ 2,092,372

Total Distributions

$ 2,921,725 $ 2,092,372



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BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)



FEDERAL INCOME TAXES

Each LifePath Portfolio is treated as a separate entity for federal income tax purposes. It is the policy of each LifePath Portfolio to qualify as a regulated investment company by complying with the provisions applicable to regulated investment companies, as defined under Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute annually substantially all of its income and any net gains (taking into account any capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income and excise taxes. Accordingly, no provision for federal income taxes was required for the year ended December 31, 2005.

The LifePath Portfolios had tax basis net capital loss carryforwards as of December 31, 2005, the tax year-end of the LifePath Portfolios, as follows:



Portfolio


Expiring

2010


Expiring

2011


Expiring

2012

Total
LifePath 2020

$ 5,094,468 $ 13,111,842 $ 4,941,067 $ 23,147,377
LifePath 2040

5,151,964 8,863,120 3,331,838 17,346,922
Net capital loss carryforwards may be applied against any net realized taxable gains in each succeeding year, or until their respective expiration date, whichever occurs first.

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

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

SEI Investments Distribution Company (“SEI”) is the LifePath Portfolios’ distributor. The LifePath Portfolios have adopted a plan pursuant to Rule 12b-1 under the 1940 Act, which authorizes Class R of the LifePath Portfolios to pay expenses relating to the distribution of its shares. Under the plan, SEI is entitled to receive an annual fee for these services of 0.25% of the average daily net assets of each LifePath Portfolio’s Class R. Class I shareholders do not pay any fees for distribution services. Class R of each LifePath Portfolio paid distribution fees for the year ended December 31, 2005 as follows:



Portfolio

Distribution
Fees
LifePath Retirement – Class R

$ 18,645
LifePath 2010 – Class R

61,313
LifePath 2020 – Class R

103,965
LifePath 2030 – Class R

69,458
LifePath 2040 – Class R

68,894
The Trust has entered into an administration services arrangement with BGI which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the LifePath Portfolios’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the LifePath Portfolios for which BGI receives a fee paid by each LifePath Portfolio. This fee is an “all-in” or “semi-unified” fee and BGI, in consideration thereof, has agreed to bear all of the LifePath Portfolios’ ordinary operating expenses, excluding, generally, investment advisory fees and costs related to securities transactions. BGI may delegate certain of its administration duties to sub-administrators. BGI is entitled to receive for these administration services an annual fee of 0.50% of the average daily net assets of each LifePath Portfolio.

Certain officers and trustees of the Trust are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of the outstanding shares of the Trust.



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BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)



3. CAPITAL SHARE TRANSACTIONS

As of December 31, 2005, there were an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the LifePath Portfolios were as follows:




For the Year Ended

December 31, 2005


For the Year Ended

December 31, 2004


Shares Amount Shares Amount
LifePath Retirement


Class I Shares:


Shares sold

3,319,407 $ 37,110,296 9,338,462 $ 103,574,213
Shares issued in reinvestment of dividends and distributions

302,634 3,389,301 445,479 4,954,468
Shares redeemed

(2,897,759 ) (32,459,499 ) (7,181,876 ) (79,769,862 )

Net increase

724,282 $ 8,040,098 2,602,065 $ 28,758,819

Class R Shares:


Shares sold

499,383 $ 5,269,507 780,984 $ 8,186,633
Shares issued in reinvestment of dividends and distributions

30,562 322,701 26,585 279,233
Shares redeemed

(199,096 ) (2,097,657 ) (501,518 ) (5,280,834 )

Net increase

330,849 $ 3,494,551 306,051 $ 3,185,032

LifePath 2010


Class I Shares:


Shares sold

7,738,773 $ 98,914,967 19,608,599 $ 242,682,348
Shares issued in reinvestment of dividends and distributions

895,395 11,499,813 868,243 10,928,633
Shares redeemed

(4,798,692 ) (61,334,215 ) (11,207,783 ) (140,045,514 )

Net increase

3,835,476 $ 49,080,565 9,269,059 $ 113,565,467

Class R Shares:


Shares sold

1,486,787 $ 18,730,748 1,037,184 $ 12,702,808
Shares issued in reinvestment of dividends and distributions

75,306 954,834 43,025 534,339
Shares redeemed

(453,633 ) (5,732,286 ) (576,210 ) (7,009,923 )

Net increase

1,108,460 $ 13,953,296 503,999 $ 6,227,224

LifePath 2020


Class I Shares:


Shares sold

11,566,591 $ 176,538,923 23,451,837 $ 336,429,515
Shares issued in reinvestment of dividends and distributions

707,484 10,974,301 599,586 8,780,502
Shares redeemed

(5,184,665 ) (79,778,272 ) (21,988,934 ) (323,998,876 )

Net increase

7,089,410 $ 107,734,952 2,062,489 $ 21,211,141

Class R Shares:


Shares sold

2,305,778 $ 34,061,646 1,526,727 $ 21,091,129
Shares issued in reinvestment of dividends and distributions

60,613 907,063 27,532 389,049
Shares redeemed

(553,148 ) (8,186,347 ) (861,447 ) (11,792,316 )

Net increase

1,813,243 $ 26,782,362 692,812 $ 9,687,862



21

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)




For the Year Ended

December 31, 2005


For the Year Ended

December 31, 2004


Shares Amount Shares Amount
LifePath 2030


Class I Shares:


Shares sold

7,961,482 $ 119,322,662 15,359,629 $ 220,621,937
Shares issued in reinvestment of dividends and distributions

823,021 12,570,833 1,105,168 16,215,705
Shares redeemed

(3,695,390 ) (55,538,943 ) (11,129,957 ) (161,713,705 )

Net increase

5,089,113 $ 76,354,552 5,334,840 $ 75,123,937

Class R Shares:


Shares sold

1,563,771 $ 23,281,438 1,135,664 $ 16,146,925
Shares issued in reinvestment of dividends and distributions

86,652 1,306,880 60,145 870,691
Shares redeemed

(375,786 ) (5,622,004 ) (373,475 ) (5,250,121 )

Net increase

1,274,637 $ 18,966,314 822,334 $ 11,767,495

LifePath 2040


Class I Shares:


Shares sold

7,749,231 $ 133,344,210 7,462,330 $ 117,597,151
Shares issued in reinvestment of dividends and distributions

139,058 2,439,767 112,742 1,812,792
Shares redeemed

(3,057,850 ) (53,045,191 ) (8,461,377 ) (137,890,170 )

Net increase (decrease)

4,830,439 $ 82,738,786 (886,305 ) $ (18,480,227 )

Class R Shares:


Shares sold

1,031,838 $ 17,207,568 779,107 $ 11,876,660
Shares issued in reinvestment of dividends and distributions

20,938 352,922 12,860 201,166
Shares redeemed

(478,371 ) (7,922,143 ) (377,493 ) (5,690,437 )

Net increase

574,405 $ 9,638,347 414,474 $ 6,387,389



22

Table of Contents
R EPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

In our opinion, the accompanying statements of assets and liabilities, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the LifePath Retirement Portfolio, LifePath 2010 Portfolio, LifePath 2020 Portfolio, LifePath 2030 Portfolio and LifePath 2040 Portfolio, each a series of Barclays Global Investors Funds (the “Portfolios”), at December 31, 2005, and the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and their financial highlights for each of the periods presented after February 28, 2001, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolios’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

The financial highlights of the Portfolios at February 28, 2001 and for the year then ended were audited by other auditors whose report dated April 13, 2001 expressed an unqualified opinion on those financial highlights.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006



23

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

TAX INFORMATION — UNAUDITED

Pursuant to Section 852 of the Internal Revenue Code (the “Code”), the LifePath Portfolios designate the following amounts as capital gains distributions for the tax year ended December 31, 2005:



Portfolio

Capital
Gains
Distributions
LifePath Retirement

$ 976,479
LifePath 2010

3,291,878
LifePath 2030

5,118,058
For corporate shareholders, the following percentages of the income dividends paid by the LifePath Portfolios during the tax year ended December 31, 2005 qualified for the dividends-received deduction:



Portfolio

Dividends-
Received
Deduction
LifePath Retirement

13.10 %
LifePath 2010

19.56 %
LifePath 2020

36.22 %
LifePath 2030

38.72 %
LifePath 2040

70.11 %
Under Section 845(b)(2) of the Code, the LifePath Portfolios hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the tax year ended December 31, 2005:



Portfolio

Qualified
Dividend
Income
LifePath Retirement

$ 471,093
LifePath 2010

2,147,802
LifePath 2020

4,917,372
LifePath 2030

3,573,422
LifePath 2040

2,494,344
In January 2006, shareholders should have received Form 1099-DIV which includes their share of qualified dividends distributed during the calendar year of 2005. Shareholders are advised to check with their tax advisers for information on the treatment of those amounts on their income tax returns.



24

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED

The Board of Trustees has responsibility for the overall management and operations of the LifePath Portfolios. Each Trustee serves until he or she resigns, retires, or his or her successor is elected and qualified. Each Officer serves until his or her successor is chosen and qualified.

Barclays Global Investors Funds (“BGIF”), Master Investment Portfolio (“MIP”), iShares Trust and iShares, Inc. are considered to be members of the same fund complex, as defined in Form N-1A under the 1940 Act. Each Trustee of MIP also serves as a Trustee for BGIF and oversees 25 portfolios within the fund complex. In addition, Lee T. Kranefuss and Richard K. Lyons each serves as a Trustee for iShares Trust and as a Director for iShares, Inc. and oversees 126 portfolios within the fund complex.

Unless otherwise noted in the tables below, the address for each Trustee is 45 Fremont Street, San Francisco, California 94105. Additional information about the LifePath Portfolios’ Trustees may be found in the LifePath Portfolios’ Statements of Additional Information, which are available without charge, upon request, by calling toll-free 1-877-244-1544.

Interested Trustees and Officers



Name, Year of Birth


Position(s),
Length of Service


Principal Occupation(s) During Past Five Years


Other Public Company and
Investment Company
Directorships

*Lee T. Kranefuss,
1961 Trustee (since 2001), President and Chief Executive Officer (since 2002). Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Chief Executive Officer (1997-2003) of the Intermediary Investor Business of BGI. Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.
Michael A. Latham,
1965 Secretary, Treasurer and Chief Financial Officer (since 2003). Chief Operating Officer (since 2004) of the Intermediary Investor Business of BGI; Director (2000-2004) of Mutual Fund Delivery of the Intermediary Investor Business of BGI. None.


* Lee T. Kranefuss is deemed to be an “interested person” of the Trust because he serves as Chief Executive Officer of the Intermediary Investor Business of BGI, the administrator of the LifePath Portfolios and the Master Portfolios, and the parent company of BGFA, the investment adviser of the Master Portfolios.


25

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED (Continued)



Independent Trustees



Name, Year of Birth


Position(s),
Length of Service


Principal Occupation(s) During Past Five Years


Other Public Company and
Investment Company
Directorships

Mary G. F. Bitterman,
1944 Trustee (since 2001). President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc. Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii.
Jack S. Euphrat,
1922 Trustee (since 1993). Private Investor. None.
Richard K. Lyons,
1961 Trustee (since 2001). Executive Associate Dean (since 2005), Sylvan Coleman Chair in Finance (since 2004), Acting Dean (2004-2005) and Professor (since 1993), University of California, Berkeley: Haas School of Business; Consultant for IMF, World Bank, Federal Reserve Bank, and Citibank N.A. (since 2000). Trustee (since 2001) of MIP; Director (since 2003) of the BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 1995) and Chairman of the Matthews Asian Funds (oversees 8 portfolios); Trustee (since 2000) of iShares Trust; Director (since 2002) of iShares, Inc.
Leo Soong,
1946 Trustee (since 2000). President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder of Crystal Geyser Water Co. (President through 1999). Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association.


26

Table of Contents
LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Shares or
Principal Value
MASTER PORTFOLIOS – 84.43%


Active Stock Master Portfolio(1)

$ 45,631,226
CoreAlpha Bond Master Portfolio(1)

149,115,210

TOTAL MASTER PORTFOLIOS

194,746,436

EXCHANGE-TRADED FUNDS – 15.12%


iShares MSCI EAFE Index Fund(1)

348,254 20,707,183
iShares S&P MidCap 400 Index Fund(1)(2)

126,121 9,307,730
iShares S&P SmallCap 600 Index Fund(1)(2)

84,385 4,877,453

TOTAL EXCHANGE-TRADED FUNDS

(Cost: $ 29,167,436)

34,892,366

SHORT-TERM INVESTMENTS – 3.15%


CERTIFICATES OF DEPOSIT(3) – 0.11%


Banco Bilbao Vizcaya Argentaria SA


3.83%, 01/25/06

$ 14,164 14,164
Credit Suisse First Boston NY


4.03%, 01/04/06

14,164 14,164
First Tennessee Bank


4.18%, 01/26/06

4,391 4,391
Fortis Bank NY


3.83% - 3.84%, 01/25/06

42,493 42,493
Toronto-Dominion Bank


3.94%, 07/10/06

14,164 14,164
Wells Fargo Bank N.A.


4.26% - 4.78%,


01/09/06 - 12/05/06

121,813 121,813
Wilmington Trust Corp.


4.24% - 4.30%,


01/27/06 - 01/31/06

42,493 42,493

253,682

COMMERCIAL PAPER(3) – 0.54%


Amstel Funding Corp.


3.91% - 4.40%,


01/04/06 - 05/08/06

86,402 85,980
Bryant Park Funding LLC


3.92%, 02/22/06

7,229 7,189
CAFCO LLC


4.19% - 4.23%,


01/27/06 - 02/06/06

60,906 60,693
CC USA Inc.


4.23%, 04/21/06

8,499 8,391
Charta LLC


4.25%, 01/26/06

21,246 21,189
Chesham Finance LLC


4.22% - 4.30%,


01/03/06 - 01/30/06

86,494 86,392
CRC Funding LLC


4.19% - 4.25%,


01/27/06 - 02/06/06

104,249 103,903
Dorada Finance Inc.


3.76%, 01/26/06

2,833 2,826
Ebury Finance Ltd.


4.30%, 01/30/06

39,660 39,532
Edison Asset Securitization LLC


4.37%, 05/08/06

14,164 13,949
Ford Credit Auto Receivables


4.22% - 4.23%, 01/17/06

23,513 23,474
Ford Credit Floorplan Motown


4.05%, 01/06/06

56,657 56,638
Galaxy Funding Inc.


4.23%, 04/18/06

8,130 8,030
Gemini Securitization Corp.


4.25%, 01/30/06

14,164 14,119
Georgetown Funding Co. LLC


4.23% - 4.28%,


01/05/06 - 01/19/06

138,665 138,564
Giro Funding US Corp.


4.23% - 4.24%,


01/09/06 - 01/13/06

24,079 24,059
Grampian Funding LLC


3.84% - 4.41%,


01/31/06 - 05/15/06

42,493 42,179
HSBC PLC


3.88%, 02/03/06

8,499 8,470
Jupiter Securitization Corp.


4.23%, 01/24/06

9,915 9,891
Liberty Street Funding Corp.


4.23%, 01/04/06

11,331 11,330
Lockhart Funding LLC


4.01% - 4.30%,


01/04/06 - 01/23/06

35,127 35,084
Mortgage Interest Networking Trust


4.28% - 4.34%,


01/17/06 - 01/25/06

29,745 29,681
Nordea North America Inc.


4.16%, 04/04/06

29,745 29,432
Prudential Funding LLC


4.27%, 01/17/06

56,657 56,563
Santander Central Hispano Finance Inc.


3.91%, 02/17/06

28,329 28,190
Sedna Finance Inc.


3.92%, 02/21/06

7,082 7,044
Sigma Finance Inc.


4.16%, 04/06/06

16,997 16,814
Solitaire Funding Ltd.


4.24%, 01/23/06

69,498 69,335
Thames Asset Global Securitization No. 1 Inc.


4.23%, 01/04/06

7,597 7,596
Three Pillars Funding Corp.


4.03% - 4.27%,


01/03/06 - 01/17/06

90,289 90,267


27

Table of Contents
LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares or
Principal Value
COMMERCIAL PAPER (Continued)


Thunder Bay Funding Inc.


4.22%, 01/13/06

$ 2,833 $ 2,830
Ticonderoga Funding LLC


4.27%, 01/05/06

7,082 7,080
Tulip Funding Corp.


4.25% - 4.28%,


01/03/06 - 01/31/06

99,706 99,456

1,246,170

LOAN PARTICIPATIONS(3) – 0.01%


Army & Air Force Exchange Service


4.24%, 02/01/06

14,164 14,164

14,164

MEDIUM-TERM NOTES(3) – 0.04%


Dorada Finance Inc.


3.93%, 07/07/06

8,782 8,781
K2 USA LLC


3.94%, 07/07/06

16,997 16,997
Marshall & Ilsley Bank


5.18%, 12/15/06

28,329 28,421
Toronto-Dominion Bank


3.81%, 06/20/06

35,411 35,412
US Bank N.A.


2.85%, 11/15/06

5,666 5,575

95,186

MONEY MARKET FUNDS – 0.83%


Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares


4.25%(1)(4)

1,923,052 1,923,052

1,923,052

REPURCHASE AGREEMENTS(3) – 0.26%


Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $141,712 and an effective yield of 4.37%.(5)

$ 141,643 141,643
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $11,336 and an effective yield of 4.32%.(5)

11,331 11,331
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $226,737 and an effective yield of 4.34%.(6)

226,628 226,628
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $212,566 and an effective yield of 4.33%.(6)

212,464 212,464

592,066

TIME DEPOSITS(3) – 0.10%


UBS AG


4.06%, 01/03/06

169,971 169,972
Wells Fargo Bank N.A.


4.00%, 01/03/06

58,691 58,691

228,663

VARIABLE & FLOATING RATE NOTES(3) – 1.26%


Allstate Life Global Funding II


4.36% - 4.43%,


11/09/06 - 01/16/07(7)

99,575 99,600
American Express Bank


4.33% - 4.34%,


01/24/06 - 10/25/06

109,065 109,064
American Express Centurion Bank


4.33% - 4.34%,


06/29/06 - 07/19/06

46,742 46,742
American Express Credit Corp.


4.39%, 11/06/07

8,499 8,507
ASIF Global Financing


4.34% - 4.55%,


05/30/06 - 08/11/06(7)

92,068 92,106
Australia & New Zealand Banking Group Ltd.


4.35%, 01/23/07(7)

18,414 18,414
Bank of America N.A.


4.31%, 08/10/06

141,643 141,643
Bank of Ireland


4.34%, 12/20/06(7)

28,329 28,329
Bank of Nova Scotia


4.22%, 01/03/06

11,331 11,331
Beta Finance Inc.


4.29% - 4.33%,


04/25/06 - 06/09/06(7)

70,538 70,535
BMW US Capital LLC


4.34%, 12/15/06(7)

28,329 28,329
CC USA Inc.


4.32% - 4.35%,


03/23/06 - 07/14/06(7)

76,204 76,201
Commodore CDO Ltd.


4.56%, 06/13/06(7)

7,082 7,082
Credit Suisse First Boston NY


4.31% - 4.35%


05/09/06 - 07/19/06

99,150 99,150
DEPFA Bank PLC


4.50%, 12/15/06

28,329 28,329
Descartes Funding Trust


4.37%, 11/15/06(7)

12,748 12,748
Dexia Credit Local


4.33%, 08/30/06

14,164 14,162
Dorada Finance Inc.


4.33% - 4.36%,


03/27/06 - 06/26/06(7)

45,042 45,043


28

Table of Contents
LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


Eli Lilly Services Inc.


4.26%, 09/01/06(7)

$ 28,329 $ 28,329
Fairway Finance Corp.


4.32% - 4.42%,


01/18/06 - 01/20/06

28,329 28,328
Fifth Third Bancorp.


4.35%, 11/22/06(7)

56,657 56,657
Five Finance Inc.


4.34% - 4.37%,


02/27/06 - 06/26/06(7)

19,830 19,830
General Electric Capital Corp.


4.44%, 01/09/07

12,748 12,758
Greenwich Capital Holdings Inc.


4.25% - 4.32%,


02/10/06 - 03/02/06

21,246 21,246
Hartford Life Global Funding Trusts


4.36%, 02/17/07

28,329 28,329
HBOS Treasury Services PLC


4.32% - 4.57%,


01/10/06 - 10/24/06

84,986 84,987
Holmes Financing PLC


4.33%, 12/15/06(7)

77,903 77,903
HSBC Bank USA N.A.


4.27% - 4.39%,


05/04/06 - 08/03/06

24,079 24,085
K2 USA LLC


4.25% - 4.36%,


02/15/06 - 09/11/06(7)

82,153 82,150
Leafs LLC


4.37%, 01/20/06 - 02/21/06(7)

29,702 29,702
Links Finance LLC


4.32% - 4.40%,


01/20/06 - 03/15/06(7)

96,317 96,320
Lothian Mortgages PLC


4.37%, 01/24/06(7)

14,164 14,164
Marshall & Ilsley Bank


4.35% - 4.47%,


02/20/06 - 12/15/06

43,909 43,914
Metropolitan Life Global Funding I


4.31% - 4.55%,


08/28/06 - 01/05/07(7)

84,702 84,748
Mound Financing PLC


4.30%, 11/08/06(7)

56,657 56,657
Natexis Banques Populaires


4.35%, 01/12/07(7)

21,246 21,246
National City Bank (Ohio)


4.26%, 01/06/06

14,164 14,164
Nationwide Building Society


4.33% - 4.58%,


01/13/06 - 01/26/07(7)

104,816 104,820
Nordea Bank AB


4.34%, 12/11/06(7)

49,575 49,575
Nordea Bank PLC


4.23%, 10/02/06

16,997 16,994
Northern Rock PLC


4.32%, 11/03/06(7)

33,994 33,995
Permanent Financing PLC


4.32%, 03/10/06 - 06/12/06(7)

77,054 77,053
Pfizer Investment Capital PLC


4.33%, 12/15/06(7)

70,821 70,821
Principal Life Income Funding Trusts


4.29%, 05/10/06

21,246 21,247
Royal Bank of Scotland


4.32% - 4.33%,


06/27/06 - 08/30/06

42,493 42,488
Sedna Finance Inc.


4.33% - 4.34%,


01/10/06 - 09/20/06(7)

24,079 24,080
Sigma Finance Inc.


4.07% - 4.35%,


01/09/06 - 08/15/06(7)

59,773 59,772
Skandinaviska Enskilda Bank NY


4.36%, 11/16/06(7)

28,329 28,329
Societe Generale


4.26% - 4.32%,


03/30/06 - 01/02/07(7)

43,909 43,907
Strips III LLC


4.43%, 07/24/06(7)(8)

7,641 7,641
SunTrust Bank


4.19%, 04/28/06

42,493 42,493
Tango Finance Corp.


4.33% - 4.34%,


05/25/06 - 09/27/06(7)

63,173 63,168
Toyota Motor Credit Corp.


4.23% - 4.30%,


01/09/06 - 04/10/06

62,323 62,323
Unicredito Italiano SpA


4.43%, 06/14/06

36,827 36,821
Union Hamilton Special Funding LLC


4.52%, 03/28/06(7)

28,329 28,329
US Bank N.A.


4.31%, 09/29/06

12,748 12,745
Variable Funding Capital Corp.


4.29% - 4.32%,


02/16/06 - 03/13/06

92,068 92,068
Wachovia Asset Securitization Inc.


4.37%, 01/25/06(7)

58,452 58,452
Wells Fargo & Co.


4.36%, 09/15/06(7)

14,164 14,165
WhistleJacket Capital LLC


4.33% - 4.35%,


01/17/06 - 07/28/06(7)

31,161 31,160
White Pine Finance LLC


4.32% - 4.37%,


01/13/06 - 06/20/06(7)

58,073 58,072


29

Table of Contents
LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


Winston Funding Ltd.


4.26%, 01/23/06(7)

$ 20,227 $ 20,227
World Savings Bank


4.29%, 03/09/06

42,493 42,492

2,906,069

TOTAL SHORT-TERM INVESTMENTS

(Cost: $7,259,052)

7,259,052

TOTAL INVESTMENTS – 102.70%

236,897,854

Other Assets, Less Liabilities – (2.70)%

(6,232,868 )

NET ASSETS – 100.00%

$ 230,664,986

(1) The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.
(2) All or a portion of this security represents a security on loan. See Note 4.
(3) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.
(4) The rate quoted is the annualized seven-day yield of the fund at period end.
(5) Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.
(6) Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
(7) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(8) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
The accompanying notes are an integral part of these financial statements.



30

Table of Contents
LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Shares or
Principal Value
MASTER PORTFOLIOS – 80.51%


Active Stock Master Portfolio(1)

$ 178,144,721
CoreAlpha Bond Master Portfolio(1)

358,006,967

TOTAL MASTER PORTFOLIOS

536,151,688

EXCHANGE-TRADED FUNDS – 18.65%


iShares MSCI EAFE Index Fund(1)

1,308,729 77,817,026
iShares S&P MidCap 400 Index Fund(1)(2)

420,131 31,005,668
iShares S&P SmallCap 600 Index Fund(1)(2)

266,625 15,410,925

TOTAL EXCHANGE-TRADED FUNDS

(Cost: $102,858,287)

124,233,619

SHORT-TERM INVESTMENTS – 4.58%


CERTIFICATES OF DEPOSIT(3) – 0.18%


Banco Bilbao Vizcaya Argentaria SA


3.83%, 01/25/06

$ 68,393 68,390
Credit Suisse First Boston NY


4.03%, 01/04/06

68,393 68,393
First Tennessee Bank


4.18%, 01/26/06

21,202 21,201
Fortis Bank NY


3.83% - 3.84%, 01/25/06

205,179 205,179
Toronto-Dominion Bank


3.94%, 07/10/06

68,393 68,393
Wells Fargo Bank N.A.


4.26% - 4.78%,


01/09/06 - 12/05/06

588,180 588,179
Wilmington Trust Corp.


4.24% - 4.30%,


01/27/06 - 01/31/06

205,179 205,180

1,224,915

COMMERCIAL PAPER(3) – 0.90%


Amstel Funding Corp.


3.91% - 4.40%,


01/04/06 - 05/08/06

417,198 415,146
Bryant Park Funding LLC


3.92%, 02/22/06

34,904 34,714
CAFCO LLC


4.19% - 4.23%,


01/27/06 - 02/06/06

294,090 293,058
CC USA Inc.


4.23%, 04/21/06

41,036 40,515
Charta LLC


4.25%, 01/26/06

102,590 102,311
Chesham Finance LLC


4.22% - 4.30%,


01/03/06 - 01/30/06

417,642 417,144
CRC Funding LLC


4.19% - 4.25%,


01/27/06 - 02/06/06

503,373 501,701
Dorada Finance Inc.


3.76%, 01/26/06

13,679 13,646
Ebury Finance Ltd.


4.30%, 01/30/06

191,501 190,883
Edison Asset Securitization LLC


4.37%, 05/08/06

68,393 67,355
Ford Credit Auto Receivables


4.22% - 4.23%, 01/17/06

113,532 113,346
Ford Credit Floorplan Motown


4.05%, 01/06/06

273,572 273,480
Galaxy Funding Inc.


4.23%, 04/18/06

39,258 38,773
Gemini Securitization Corp.


4.25%, 01/30/06

68,393 68,175
Georgetown Funding Co. LLC


4.23% - 4.28%,


01/05/06 - 01/19/06

669,553 669,068
Giro Funding US Corp.


4.23% - 4.24%,


01/09/06 - 01/13/06

116,268 116,170
Grampian Funding LLC


3.84% - 4.41%,


01/31/06 - 05/15/06

205,179 203,665
HSBC PLC


3.88%, 02/03/06

41,036 40,899
Jupiter Securitization Corp.


4.23%, 01/24/06

47,875 47,757
Liberty Street Funding Corp.


4.23%, 01/04/06

54,714 54,708
Lockhart Funding LLC


4.01% - 4.30%,


01/04/06 - 01/23/06

169,615 169,407
Mortgage Interest Networking Trust


4.28% - 4.34%,


01/17/06 - 01/25/06

143,625 143,320
Nordea North America Inc.


4.16%, 04/04/06

143,625 142,115
Prudential Funding LLC


4.27%, 01/17/06

273,572 273,118
Santander Central Hispano Finance Inc.


3.91%, 02/17/06

136,786 136,118
Sedna Finance Inc.


3.92%, 02/21/06

34,197 34,014
Sigma Finance Inc.


4.16%, 04/06/06

82,072 81,190
Solitaire Funding Ltd.


4.24%, 01/23/06

335,577 334,787
Thames Asset Global Securitization No. 1 Inc.


4.23%, 01/04/06

36,683 36,679
Three Pillars Funding Corp.


4.03% - 4.27%,


01/03/06 - 01/17/06

435,967 435,863


31

Table of Contents
LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares or
Principal Value
COMMERCIAL PAPER (Continued)


Thunder Bay Funding Inc.


4.22%, 01/13/06

$ 13,679 $ 13,663
Ticonderoga Funding LLC


4.27%, 01/05/06

34,197 34,188
Tulip Funding Corp.


4.25% - 4.28%,


01/03/06 - 01/31/06

481,435 480,229

6,017,205

LOAN PARTICIPATIONS(3) – 0.01%


Army & Air Force Exchange Service


4.24%, 02/01/06

68,393 68,393

68,393

MEDIUM-TERM NOTES(3) – 0.07%


Dorada Finance Inc.


3.93%, 07/07/06

42,404 42,402
K2 USA LLC


3.94%, 07/07/06

82,072 82,070
Marshall & Ilsley Bank


5.18%, 12/15/06

136,786 137,232
Toronto-Dominion Bank


3.81%, 06/20/06

170,983 170,990
US Bank N.A.


2.85%, 11/15/06

27,357 26,921

459,615

MONEY MARKET FUNDS – 0.71%


Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares


4.25%(1)(4)

4,735,755 4,735,755

4,735,755

REPURCHASE AGREEMENTS(3) – 0.43%


Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $684,262 and an effective yield of 4.37%.(5)

$ 683,930 683,930
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $54,740 and an effective yield of 4.32%.(5)

54,714 54,714
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $1,094,817 and an effective yield of 4.34%.(6)

1,094,289 1,094,289
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $1,026,390 and an effective yield of 4.33%.(6)

1,025,896 1,025,896

2,858,829

TIME DEPOSITS(3) – 0.17%


UBS AG


4.06%, 01/03/06

820,716 820,716
Wells Fargo Bank N.A.


4.00%, 01/03/06

283,395 283,395

1,104,111

VARIABLE & FLOATING RATE NOTES(3) – 2.11%


Allstate Life Global Funding II


4.36% - 4.43%,


11/09/06 - 01/16/07(7)

480,803 480,920
American Express Bank


4.33% - 4.34%,


01/24/06 - 10/25/06

526,626 526,625
American Express Centurion Bank


4.33% - 4.34%,


06/29/06 - 07/19/06

225,697 225,697
American Express Credit Corp.


4.39%, 11/06/07

41,036 41,077
ASIF Global Financing


4.34% - 4.55%,


05/30/06 - 08/11/06(7)

444,555 444,741
Australia & New Zealand Banking Group Ltd.


4.35%, 01/23/07(7)

88,911 88,911
Bank of America N.A.


4.31%, 08/10/06

683,930 683,930
Bank of Ireland


4.34%, 12/20/06(7)

136,786 136,786
Bank of Nova Scotia


4.22%, 01/03/06

54,714 54,714
Beta Finance Inc.


4.29% - 4.33%,


04/25/06 - 06/09/06(7)

340,597 340,583
BMW US Capital LLC


4.34%, 12/15/06(7)

136,786 136,786
CC USA Inc.


4.32% - 4.35%,


03/23/06 - 07/14/06(7)

367,955 367,946
Commodore CDO Ltd.


4.56%, 06/13/06(7)

34,197 34,197
Credit Suisse First Boston NY


4.31% - 4.35%


05/09/06 - 07/19/06

478,751 478,751
DEPFA Bank PLC


4.50%, 12/15/06

136,786 136,786
Descartes Funding Trust


4.37%, 11/15/06(7)

61,554 61,554
Dexia Credit Local


4.33%, 08/30/06

68,393 68,384
Dorada Finance Inc.


4.33% - 4.36%,


03/27/06 - 06/26/06(7)

217,490 217,494


32

Table of Contents
LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


Eli Lilly Services Inc.


4.26%, 09/01/06(7)

$ 136,786 $ 136,786
Fairway Finance Corp.


4.32% - 4.42%,


01/18/06 - 01/20/06

136,786 136,786
Fifth Third Bancorp.


4.35%, 11/22/06(7)

273,572 273,572
Five Finance Inc.


4.34% - 4.37%,


02/27/06 - 06/26/06(7)

95,750 95,750
General Electric Capital Corp.


4.44%, 01/09/07

61,554 61,603
Greenwich Capital Holdings Inc.


4.25% - 4.32%,


02/10/06 - 03/02/06

102,590 102,590
Hartford Life Global Funding Trusts


4.36%, 02/17/07

136,786 136,786
HBOS Treasury Services PLC


4.32% - 4.57%,


01/10/06 - 10/24/06

410,358 410,358
Holmes Financing PLC


4.33%, 12/15/06(7)

376,162 376,162
HSBC Bank USA N.A.


4.27% - 4.39%,


05/04/06 - 08/03/06

116,268 116,295
K2 USA LLC


4.25% - 4.36%,


02/15/06 - 09/11/06(7)

396,680 396,664
Leafs LLC


4.37%, 01/20/06 - 02/21/06(7)

143,417 143,417
Links Finance LLC


4.32% - 4.40%,


01/20/06 - 03/15/06(7)

465,073 465,088
Lothian Mortgages PLC


4.37%, 01/24/06(7)

68,393 68,393
Marshall & Ilsley Bank


4.35% - 4.47%,


02/20/06 - 12/15/06

212,018 212,040
Metropolitan Life Global Funding I


4.31% - 4.55%,


08/28/06 - 01/05/07(7)

408,990 409,211
Mound Financing PLC


4.30%, 11/08/06(7)

273,572 273,572
Natexis Banques Populaires


4.35%, 01/12/07(7)

102,590 102,590
National City Bank (Ohio)


4.26%, 01/06/06

68,393 68,393
Nationwide Building Society


4.33% - 4.58%,


01/13/06 - 01/26/07(7)

506,108 506,126
Nordea Bank AB


4.34%, 12/11/06(7)

239,376 239,376
Nordea Bank PLC


4.23%, 10/02/06

82,072 82,057
Northern Rock PLC


4.32%, 11/03/06(7)

164,143 164,149
Permanent Financing PLC


4.32%, 03/10/06 - 06/12/06(7)

372,058 372,058
Pfizer Investment Capital PLC


4.33%, 12/15/06(7)

341,965 341,965
Principal Life Income Funding Trusts


4.29%, 05/10/06

102,590 102,591
Royal Bank of Scotland


4.32% - 4.33%,


06/27/06 - 08/30/06

205,179 205,156
Sedna Finance Inc.


4.33% - 4.34%,


01/10/06 - 09/20/06(7)

116,268 116,268
Sigma Finance Inc.


4.07% - 4.35%,


01/09/06 - 08/15/06(7)

288,619 288,616
Skandinaviska Enskilda Bank NY


4.36%, 11/16/06(7)

136,786 136,786
Societe Generale


4.26% - 4.32%,


03/30/06 - 01/02/07(7)

212,018 212,009
Strips III LLC


4.43%, 07/24/06(7)(8)

36,893 36,893
SunTrust Bank


4.19%, 04/28/06

205,179 205,179
Tango Finance Corp.


4.33% - 4.34%,


05/25/06 - 09/27/06(7)

305,033 305,011
Toyota Motor Credit Corp.


4.23% - 4.30%,


01/09/06 - 04/10/06

300,929 300,928
Unicredito Italiano SpA


4.43%, 06/14/06

177,822 177,794
Union Hamilton Special Funding LLC


4.52%, 03/28/06(7)

136,786 136,786
US Bank N.A.


4.31%, 09/29/06

61,554 61,542
Variable Funding Capital Corp.


4.29% - 4.32%,


02/16/06 - 03/13/06

444,555 444,555
Wachovia Asset Securitization Inc.


4.37%, 01/25/06(7)

282,241 282,241
Wells Fargo & Co.


4.36%, 09/15/06(7)

68,393 68,398
WhistleJacket Capital LLC


4.33% - 4.35%,


01/17/06 - 07/28/06(7)

150,465 150,455
White Pine Finance LLC


4.32% - 4.37%,


01/13/06 - 06/20/06(7)

280,411 280,410
Winston Funding Ltd.


4.26%, 01/23/06(7)

97,665 97,665


33

Table of Contents
LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


World Savings Bank


4.29%, 03/09/06

$ 205,179 $ 205,177

14,032,129

TOTAL SHORT-TERM INVESTMENTS

(Cost: $30,500,952)

30,500,952

TOTAL INVESTMENTS – 103.74%

690,886,259

Other Assets, Less Liabilities – (3.74)%

(24,894,497 )

NET ASSETS – 100.00%

$ 665,991,762

(1) The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.
(2) All or a portion of this security represents a security on loan. See Note 4.
(3) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.
(4) The rate quoted is the annualized seven-day yield of the fund at period end.
(5) Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.
(6) Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
(7) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(8) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
The accompanying notes are an integral part of these financial statements.



34

Table of Contents
LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Shares or
Principal Value
MASTER PORTFOLIOS – 74.30%


Active Stock Master Portfolio(1)

$ 409,416,336
CoreAlpha Bond Master Portfolio(1)

381,902,290

TOTAL MASTER PORTFOLIOS

791,318,626

EXCHANGE-TRADED FUNDS – 24.59%


iShares MSCI EAFE Index Fund(1)

2,881,861 171,355,455
iShares S&P MidCap 400


Index Fund(1)(2)

815,390 60,175,782
iShares S&P SmallCap 600


Index Fund(1)(2)

525,284 30,361,415

TOTAL EXCHANGE-TRADED FUNDS

(Cost: $217,993,197)

261,892,652

SHORT-TERM INVESTMENTS – 6.71%


CERTIFICATES OF DEPOSIT(3) – 0.28%


Banco Bilbao Vizcaya Argentaria SA


3.83%, 01/25/06

$ 169,363 169,364
Credit Suisse First Boston NY


4.03%, 01/04/06

169,363 169,363
First Tennessee Bank


4.18%, 01/26/06

52,502 52,500
Fortis Bank NY


3.83% - 3.84%, 01/25/06

508,088 508,088
Toronto-Dominion Bank


3.94%, 07/10/06

169,363 169,363
Wells Fargo Bank N.A.


4.26% - 4.78%,


01/09/06 - 12/05/06

1,456,519 1,456,515
Wilmington Trust Corp.


4.24% - 4.30%,


01/27/06 - 01/31/06

508,088 508,091

3,033,284

COMMERCIAL PAPER(3) – 1.40%


Amstel Funding Corp.


3.91% - 4.40%,


01/04/06 - 05/08/06

1,033,112 1,028,032
Bryant Park Funding LLC


3.92%, 02/22/06

86,433 85,962
CAFCO LLC


4.19% - 4.23%,


01/27/06 - 02/06/06

728,259 725,706
CC USA Inc.


4.23%, 04/21/06

101,618 100,328
Charta LLC


4.25%, 01/26/06

254,044 253,354
Chesham Finance LLC


4.22% - 4.30%,


01/03/06 - 01/30/06

1,034,213 1,032,981
CRC Funding LLC


4.19% - 4.25%,


01/27/06 - 02/06/06

1,246,509 1,242,367
Dorada Finance Inc.


3.76%, 01/26/06

33,873 33,791
Ebury Finance Ltd.


4.30%, 01/30/06

474,215 472,686
Edison Asset Securitization LLC


4.37%, 05/08/06

169,363 166,793
Ford Credit Auto Receivables


4.22% - 4.23%, 01/17/06

281,142 280,680
Ford Credit Floorplan Motown


4.05%, 01/06/06

677,450 677,222
Galaxy Funding Inc.


4.23%, 04/18/06

97,214 96,015
Gemini Securitization Corp.


4.25%, 01/30/06

169,363 168,823
Georgetown Funding Co. LLC


4.23% - 4.28%,


01/05/06 - 01/19/06

1,658,023 1,656,822
Giro Funding US Corp.


4.23% - 4.24%,


01/09/06 - 01/13/06

287,916 287,674
Grampian Funding LLC


3.84% - 4.41%,


01/31/06 - 05/15/06

508,088 504,338
HSBC PLC


3.88%, 02/03/06

101,618 101,278
Jupiter Securitization Corp.


4.23%, 01/24/06

118,554 118,261
Liberty Street Funding Corp.


4.23%, 01/04/06

135,490 135,474
Lockhart Funding LLC


4.01% - 4.30%,


01/04/06 - 01/23/06

420,019 419,503
Mortgage Interest Networking Trust


4.28% - 4.34%,


01/17/06 - 01/25/06

355,661 354,901
Nordea North America Inc.


4.16%, 04/04/06

355,661 351,922
Prudential Funding LLC


4.27%, 01/17/06

677,450 676,326
Santander Central Hispano Finance Inc.


3.91%, 02/17/06

338,725 337,070
Sedna Finance Inc.


3.92%, 02/21/06

84,681 84,229
Sigma Finance Inc.


4.16%, 04/06/06

203,235 201,051
Solitaire Funding Ltd.


4.24%, 01/23/06

830,995 829,037
Thames Asset Global Securitization No. 1 Inc.


4.23%, 01/04/06

90,839 90,829
LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares or
Principal Value
COMMERCIAL PAPER (Continued)


Three Pillars Funding Corp.


4.03% - 4.27%,


01/03/06 - 01/17/06

$ 1,079,592 $ 1,079,335
Thunder Bay Funding Inc.


4.22%, 01/13/06

33,873 33,833
Ticonderoga Funding LLC


4.27%, 01/05/06

84,681 84,661
Tulip Funding Corp.


4.25% - 4.28%,


01/03/06 - 01/31/06

1,192,184 1,189,199

14,900,483

LOAN PARTICIPATIONS(3) – 0.02%


Army & Air Force Exchange Service


4.24%, 02/01/06

169,363 169,363

169,363

MEDIUM-TERM NOTES(3) – 0.11%


Dorada Finance Inc.


3.93%, 07/07/06

105,005 104,999
K2 USA LLC


3.94%, 07/07/06

203,235 203,230
Marshall & Ilsley Bank


5.18%, 12/15/06

338,725 339,830
Toronto-Dominion Bank


3.81%, 06/20/06

423,407 423,426
US Bank N.A.


2.85%, 11/15/06

67,745 66,666

1,138,151

MONEY MARKET FUNDS – 0.72%


Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares


4.25%(1)(4)

7,668,859 7,668,859

7,668,859

REPURCHASE AGREEMENTS(3) – 0.66%


Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $1,694,448 and an effective yield of 4.37%.(5)

$ 1,693,626 1,693,626
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $135,555 and an effective yield of 4.32%.(5)

135,490 135,490
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $2,711,109 and an effective yield of 4.34%.(6)

2,709,802 2,709,802
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $2,541,661 and an effective yield of 4.33%.(6)

2,540,439 2,540,439

7,079,357

TIME DEPOSITS(3) – 0.26%


UBS AG


4.06%, 01/03/06

2,032,351 2,032,351
Wells Fargo Bank N.A.


4.00%, 01/03/06

701,774 701,774

2,734,125

VARIABLE & FLOATING RATE NOTES(3) – 3.26%


Allstate Life Global Funding II


4.36% - 4.43%,


11/09/06 - 01/16/07 (7)

1,190,619 1,190,910
American Express Bank


4.33% - 4.34%,


01/24/06 - 10/25/06

1,304,092 1,304,086
American Express Centurion Bank


4.33% - 4.34%,


06/29/06 - 07/19/06

558,897 558,897
American Express Credit Corp.


4.39%, 11/06/07

101,618 101,720
ASIF Global Financing


4.34% - 4.55%,


05/30/06 - 08/11/06 (7)

1,100,857 1,101,318
Australia & New Zealand Banking Group Ltd.


4.35%, 01/23/07(7)

220,171 220,171
Bank of America N.A.


4.31%, 08/10/06

1,693,626 1,693,626
Bank of Ireland


4.34%, 12/20/06(7)

338,725 338,725
Bank of Nova Scotia


4.22%, 01/03/06

135,490 135,490
Beta Finance Inc.


4.29% - 4.33%,


04/25/06 - 06/09/06 (7)

843,426 843,393
BMW US Capital LLC


4.34%, 12/15/06(7)

338,725 338,725
CC USA Inc.


4.32% - 4.35%,


03/23/06 - 07/14/06 (7)

911,171 911,150
Commodore CDO Ltd.


4.56%, 06/13/06(7)

84,681 84,681
Credit Suisse First Boston NY


4.31% - 4.35%


05/09/06 - 07/19/06

1,185,538 1,185,538
DEPFA Bank PLC


4.50%, 12/15/06

338,725 338,725


36

Table of Contents
LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005





Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


Descartes Funding Trust


4.37%, 11/15/06(7)

$ 152,426 $ 152,426
Dexia Credit Local


4.33%, 08/30/06

169,363 169,340
Dorada Finance Inc.


4.33% - 4.36%,


03/27/06 - 06/26/06(7)

538,573 538,583
Eli Lilly Services Inc.


4.26%, 09/01/06(7)

338,725 338,725
Fairway Finance Corp.


4.32% - 4.42%,


01/18/06 - 01/20/06

338,725 338,724
Fifth Third Bancorp.


4.35%, 11/22/06(7)

677,450 677,450
Five Finance Inc.


4.34% - 4.37%,


02/27/06 - 06/26/06(7)

237,108 237,108
General Electric Capital Corp.


4.44%, 01/09/07

152,426 152,550
Greenwich Capital Holdings Inc.


4.25% - 4.32%,


02/10/06 - 03/02/06

254,044 254,044
Hartford Life Global Funding Trusts


4.36%, 02/17/07

338,725 338,725
HBOS Treasury Services PLC


4.32% - 4.57%,


01/10/06 - 10/24/06

1,016,176 1,016,175
Holmes Financing PLC


4.33%, 12/15/06(7)

931,494 931,494
HSBC Bank USA N.A.


4.27% - 4.39%,


05/04/06 - 08/03/06

287,916 287,983
K2 USA LLC


4.25% - 4.36%,


02/15/06 - 09/11/06(7)

982,303 982,265
Leafs LLC


4.37%, 01/20/06 - 02/21/06(7)

355,147 355,146
Links Finance LLC


4.32% - 4.40%,


01/20/06 - 03/15/06(7)

1,151,666 1,151,704
Lothian Mortgages PLC


4.37%, 01/24/06(7)

169,363 169,363
Marshall & Ilsley Bank


4.35% - 4.47%,


02/20/06 - 12/15/06

525,024 525,078
Metropolitan Life Global Funding I


4.31% - 4.55%,


08/28/06 - 01/05/07(7)

1,012,788 1,013,335
Mound Financing PLC


4.30%, 11/08/06(7)

677,450 677,450
Natexis Banques Populaires


4.35%, 01/12/07(7)

254,044 254,044
National City Bank (Ohio)


4.26%, 01/06/06

169,363 169,362
Nationwide Building Society


4.33% - 4.58%,


01/13/06 - 01/26/07(7)

1,253,283 1,253,327
Nordea Bank AB


4.34%, 12/11/06(7)

592,769 592,769
Nordea Bank PLC


4.23%, 10/02/06

203,235 203,200
Northern Rock PLC


4.32%, 11/03/06(7)

406,470 406,484
Permanent Financing PLC


4.32%, 03/10/06 - 06/12/06(7)

921,333 921,333
Pfizer Investment Capital PLC


4.33%, 12/15/06(7)

846,813 846,813
Principal Life Income Funding Trusts


4.29%, 05/10/06

254,044 254,048
Royal Bank of Scotland


4.32% - 4.33%,


06/27/06 - 08/30/06

508,088 508,031
Sedna Finance Inc.


4.33% - 4.34%,


01/10/06 - 09/20/06(7)

287,916 287,916
Sigma Finance Inc.


4.07% - 4.35%,


01/09/06 - 08/15/06(7)

714,710 714,702
Skandinaviska Enskilda Bank NY


4.36%, 11/16/06(7)

338,725 338,725
Societe Generale


4.26% - 4.32%,


03/30/06 - 01/02/07(7)

525,024 525,002
Strips III LLC


4.43%, 07/24/06(7)(8)

91,359 91,359
SunTrust Bank


4.19%, 04/28/06

508,088 508,088
Tango Finance Corp.


4.33% - 4.34%,


05/25/06 - 09/27/06(7)

755,357 755,306
Toyota Motor Credit Corp.


4.23% - 4.30%,


01/09/06 - 04/10/06

745,196 745,194
Unicredito Italiano SpA


4.43%, 06/14/06

440,343 440,274
Union Hamilton Special Funding LLC


4.52%, 03/28/06(7)

338,725 338,725
US Bank N.A.


4.31%, 09/29/06

152,426 152,397
Variable Funding Capital Corp.


4.29% - 4.32%,


02/16/06 - 03/13/06

1,100,857 1,100,857
Wachovia Asset Securitization Inc.


4.37%, 01/25/06(7)

698,917 698,917
Wells Fargo & Co.


4.36%, 09/15/06(7)

169,363 169,374


37

Table of Contents
LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


WhistleJacket Capital LLC


4.33% - 4.35%,


01/17/06 - 07/28/06(7)

$ 372,598 $ 372,573
White Pine Finance LLC


4.32% - 4.37%,


01/13/06 - 06/20/06(7)

694,387 694,381
Winston Funding Ltd.


4.26%, 01/23/06(7)

241,850 241,850
World Savings Bank


4.29%, 03/09/06

508,088 508,083

34,747,957

TOTAL SHORT-TERM INVESTMENTS

(Cost: $71,471,579)

71,471,579

TOTAL INVESTMENTS – 105.60%

1,124,682,857

Other Assets, Less Liabilities – (5.60)%

(59,593,236 )

NET ASSETS – 100.00%

$ 1,065,089,621

(1) The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.
(2) All or a portion of this security represents a security on loan. See Note 4.
(3) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.
(4) The rate quoted is the annualized seven-day yield of the fund at period end.
(5) Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.
(6) Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
(7) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(8) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
The accompanying notes are an integral part of these financial statements.



38

Table of Contents
LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Shares or
Principal Value
MASTER PORTFOLIOS – 68.54%


Active Stock Master Portfolio(1)

$ 315,001,257
CoreAlpha Bond Master Portfolio(1)

148,830,081

TOTAL MASTER PORTFOLIOS

463,831,338

EXCHANGE-TRADED FUNDS – 29.12%


iShares MSCI EAFE Index Fund(1)

2,206,118 131,175,776
iShares S&P MidCap 400 Index Fund(1)(2)

596,383 44,013,065
iShares S&P SmallCap 600 Index Fund(1)(2)

379,244 21,920,303

TOTAL EXCHANGE-TRADED FUNDS


(Cost: $166,126,439)

197,109,144

SHORT-TERM INVESTMENTS – 4.39%


CERTIFICATES OF DEPOSIT(3) – 0.16%


Banco Bilbao Vizcaya Argentaria SA


3.83%, 01/25/06

$ 60,956 60,956
Credit Suisse First Boston NY


4.03%, 01/04/06

60,961 60,961
First Tennessee Bank


4.18%, 01/26/06

18,898 18,897
Fortis Bank NY


3.83% - 3.84%, 01/25/06

182,883 182,883
Toronto-Dominion Bank


3.94%, 07/10/06

60,961 60,961
Wells Fargo Bank N.A.


4.26% - 4.78%,


01/09/06 - 12/05/06

524,264 524,263
Wilmington Trust Corp.


4.24% - 4.30%,


01/27/06 - 01/31/06

182,883 182,884

1,091,805

COMMERCIAL PAPER(3) – 0.79%


Amstel Funding Corp.


3.91% - 4.40%,


01/04/06 - 05/08/06

371,862 370,034
Bryant Park Funding LLC


3.92%, 02/22/06

31,111 30,941
CAFCO LLC


4.19% - 4.23%,


01/27/06 - 02/06/06

262,132 261,212
CC USA Inc.


4.23%, 04/21/06

36,577 36,112
Charta LLC


4.25%, 01/26/06

91,441 91,193
Chesham Finance LLC


4.22% - 4.30%,


01/03/06 - 01/30/06

372,258 371,813
CRC Funding LLC


4.19% - 4.25%,


01/27/06 - 02/06/06

448,672 447,182
Dorada Finance Inc.


3.76%, 01/26/06

12,192 12,163
Ebury Finance Ltd.


4.30%, 01/30/06

170,691 170,140
Edison Asset Securitization LLC


4.37%, 05/08/06

60,961 60,036
Ford Credit Auto Receivables


4.22% - 4.23%, 01/17/06

101,195 101,029
Ford Credit Floorplan Motown


4.05%, 01/06/06

243,844 243,761
Galaxy Funding Inc.


4.23%, 04/18/06

34,992 34,560
Gemini Securitization Corp.


4.25%, 01/30/06

60,961 60,767
Georgetown Funding Co. LLC


4.23% - 4.28%,


01/05/06 - 01/19/06

596,794 596,362
Giro Funding US Corp.


4.23% - 4.24%,


01/09/06 - 01/13/06

103,634 103,546
Grampian Funding LLC


3.84% - 4.41%,


01/31/06 - 05/15/06

182,883 181,533
HSBC PLC


3.88%, 02/03/06

36,577 36,454
Jupiter Securitization Corp.


4.23%, 01/24/06

42,673 42,567
Liberty Street Funding Corp.


4.23%, 01/04/06

48,769 48,763
Lockhart Funding LLC


4.01% - 4.30%,


01/04/06 - 01/23/06

151,183 150,997
Mortgage Interest Networking Trust


4.28% - 4.34%,


01/17/06 - 01/25/06

128,018 127,745
Nordea North America Inc.


4.16%, 04/04/06

128,018 126,672
Prudential Funding LLC


4.27%, 01/17/06

243,844 243,439
Santander Central Hispano Finance Inc.


3.91%, 02/17/06

121,922 121,326
Sedna Finance Inc.


3.92%, 02/21/06

30,480 30,318
Sigma Finance Inc.


4.16%, 04/06/06

73,153 72,367
Solitaire Funding Ltd.


4.24%, 01/23/06

299,111 298,406
Thames Asset Global Securitization No. 1 Inc.


4.23%, 01/04/06

32,697 32,693


39

Table of Contents
LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares or
Principal Value
COMMERCIAL PAPER (Continued)


Three Pillars Funding Corp.


4.03% - 4.27%,


01/03/06 - 01/17/06

$ 388,592 $ 388,499
Thunder Bay Funding Inc.


4.22%, 01/13/06

12,192 12,178
Ticonderoga Funding LLC


4.27%, 01/05/06

30,480 30,473
Tulip Funding Corp.


4.25% - 4.28%,


01/03/06 - 01/31/06

429,118 428,044

5,363,325

LOAN PARTICIPATIONS(3) – 0.01%


Army & Air Force Exchange Service


4.24%, 02/01/06

60,961 60,961

60,961

MEDIUM-TERM NOTES(3) – 0.06%


Dorada Finance Inc.


3.93%, 07/07/06

37,796 37,794
K2 USA LLC


3.94%, 07/07/06

73,153 73,151
Marshall & Ilsley Bank


5.18%, 12/15/06

121,922 122,320
Toronto-Dominion Bank


3.81%, 06/20/06

152,402 152,409
US Bank N.A.


2.85%, 11/15/06

24,384 23,996

409,670

MONEY MARKET FUNDS – 0.99%


Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares


4.25%(1)(4)

6,724,758 6,724,758

6,724,758

REPURCHASE AGREEMENTS(3) – 0.38%


Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $609,905 and an effective yield of 4.37%.(5)

$ 609,609 609,609
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $48,792 and an effective yield of 4.32%.(5)

48,769 48,769
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $975,845 and an effective yield of 4.34%.(6)

975,375 975,375
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $914,854 and an effective yield of 4.33%.(6)

914,414 914,414

2,548,167

TIME DEPOSITS(3) – 0.15%


UBS AG


4.06%, 01/03/06

731,531 731,531
Wells Fargo Bank N.A.


4.00%, 01/03/06

252,599 252,599

984,130

VARIABLE & FLOATING RATE NOTES(3) – 1.85%


Allstate Life Global Funding II


4.36% - 4.43%,


11/09/06 - 01/16/07 (7)

428,555 428,660
American Express Bank


4.33% - 4.34%,


01/24/06 - 10/25/06

469,399 469,396
American Express Centurion Bank


4.33% - 4.34%,


06/29/06 - 07/19/06

201,171 201,171
American Express Credit Corp.


4.39%, 11/06/07

36,577 36,613
ASIF Global Financing


4.34% - 4.55%,


05/30/06 - 08/11/06 (7)

396,246 396,412
Australia & New Zealand Banking Group Ltd.


4.35%, 01/23/07(7)

79,249 79,249
Bank of America N.A.


4.31%, 08/10/06

609,609 609,609
Bank of Ireland


4.34%, 12/20/06(7)

121,922 121,922
Bank of Nova Scotia


4.22%, 01/03/06

48,769 48,769
Beta Finance Inc.


4.29% - 4.33%,


04/25/06 - 06/09/06 (7)

303,585 303,574
BMW US Capital LLC


4.34%, 12/15/06(7)

121,922 121,922
CC USA Inc.


4.32% - 4.35%,


03/23/06 - 07/14/06 (7)

327,970 327,962
Commodore CDO Ltd.


4.56%, 06/13/06(7)

30,480 30,480
Credit Suisse First Boston NY


4.31% - 4.35%


05/09/06 - 07/19/06

426,727 426,727
DEPFA Bank PLC


4.50%, 12/15/06

121,922 121,922


40

Table of Contents
LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


Descartes Funding Trust


4.37%, 11/15/06(7)

$ 54,865 $ 54,865
Dexia Credit Local


4.33%, 08/30/06

60,961 60,953
Dorada Finance Inc.


4.33% - 4.36%,


03/27/06 - 06/26/06(7)

193,856 193,859
Eli Lilly Services Inc.


4.26%, 09/01/06(7)

121,922 121,922
Fairway Finance Corp.


4.32% - 4.42%,


01/18/06 - 01/20/06

121,922 121,922
Fifth Third Bancorp.


4.35%, 11/22/06(7)

243,844 243,844
Five Finance Inc.


4.34% - 4.37%,


02/27/06 - 06/26/06(7)

85,345 85,345
General Electric Capital Corp.


4.44%, 01/09/07

54,865 54,909
Greenwich Capital Holdings Inc.


4.25% - 4.32%,


02/10/06 - 03/02/06

91,441 91,441
Hartford Life Global Funding Trusts


4.36%, 02/17/07

121,922 121,922
HBOS Treasury Services PLC


4.32% - 4.57%,


01/10/06 - 10/24/06

365,765 365,766
Holmes Financing PLC


4.33%, 12/15/06(7)

335,285 335,285
HSBC Bank USA N.A.


4.27% - 4.39%,


05/04/06 - 08/03/06

103,634 103,657
K2 USA LLC


4.25% - 4.36%,


02/15/06 - 09/11/06(7)

353,573 353,559
Leafs LLC


4.37%, 01/20/06 - 02/21/06(7)

127,833 127,833
Links Finance LLC


4.32% - 4.40%,


01/20/06 - 03/15/06(7)

414,534 414,547
Lothian Mortgages PLC


4.37%, 01/24/06(7)

60,961 60,961
Marshall & Ilsley Bank


4.35% - 4.47%,


02/20/06 - 12/15/06

188,979 188,998
Metropolitan Life Global Funding I


4.31% - 4.55%,


08/28/06 - 01/05/07(7)

364,546 364,743
Mound Financing PLC


4.30%, 11/08/06(7)

243,844 243,844
Natexis Banques Populaires


4.35%, 01/12/07(7)

91,441 91,441
National City Bank (Ohio)


4.26%, 01/06/06

60,961 60,961
Nationwide Building Society


4.33% - 4.58%,


01/13/06 - 01/26/07(7)

451,111 451,126
Nordea Bank AB


4.34%, 12/11/06(7)

213,363 213,363
Nordea Bank PLC


4.23%, 10/02/06

73,153 73,140
Northern Rock PLC


4.32%, 11/03/06(7)

146,306 146,311
Permanent Financing PLC


4.32%, 03/10/06 - 06/12/06(7)

331,627 331,627
Pfizer Investment Capital PLC


4.33%, 12/15/06(7)

304,805 304,805
Principal Life Income Funding Trusts


4.29%, 05/10/06

91,441 91,443
Royal Bank of Scotland


4.32% - 4.33%,


06/27/06 - 08/30/06

182,883 182,863
Sedna Finance Inc.


4.33% - 4.34%,


01/10/06 - 09/20/06(7)

103,634 103,633
Sigma Finance Inc.


4.07% - 4.35%,


01/09/06 - 08/15/06(7)

257,255 257,252
Skandinaviska Enskilda Bank NY


4.36%, 11/16/06(7)

121,922 121,922
Societe Generale


4.26% - 4.32%,


03/30/06 - 01/02/07(7)

188,979 188,970
Strips III LLC


4.43%, 07/24/06(7)(8)

32,884 32,884
SunTrust Bank


4.19%, 04/28/06

182,883 182,883
Tango Finance Corp.


4.33% - 4.34%,


05/25/06 - 09/27/06(7)

271,886 271,867
Toyota Motor Credit Corp.


4.23% - 4.30%,


01/09/06 - 04/10/06

268,228 268,228
Unicredito Italiano SpA


4.43%, 06/14/06

158,498 158,473
Union Hamilton Special Funding LLC


4.52%, 03/28/06(7)

121,922 121,922
US Bank N.A.


4.31%, 09/29/06

54,865 54,854
Variable Funding Capital Corp.


4.29% - 4.32%,


02/16/06 - 03/13/06

396,246 396,246
Wachovia Asset Securitization Inc.


4.37%, 01/25/06(7)

251,570 251,571
Wells Fargo & Co.


4.36%, 09/15/06(7)

60,961 60,965


41

Table of Contents
LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


WhistleJacket Capital LLC


4.33% - 4.35%,


01/17/06 - 07/28/06(7)

$ 134,114 $ 134,106
White Pine Finance LLC


4.32% - 4.37%,


01/13/06 - 06/20/06(7)

249,940 249,937
Winston Funding Ltd.


4.26%, 01/23/06(7)

87,052 87,052
World Savings Bank


4.29%, 03/09/06

182,883 182,881

12,507,289

TOTAL SHORT-TERM INVESTMENTS


(Cost: $29,690,105)

29,690,105
TOTAL INVESTMENTS – 102.05%

690,630,587

Other Assets, Less Liabilities – (2.05)%

(13,886,052 )

NET ASSETS – 100.00%

$ 676,744,535

(1) The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.
(2) All or a portion of this security represents a security on loan. See Note 4.
(3) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.
(4) The rate quoted is the annualized seven-day yield of the fund at period end.
(5) Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.
(6) Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
(7) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(8) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
The accompanying notes are an integral part of these financial statements.



42

Table of Contents
LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Shares or
Principal Value
MASTER PORTFOLIOS – 66.01%


Active Stock Master Portfolio(1)

$ 240,018,965
CoreAlpha Bond Master Portfolio(1)

47,727,754

TOTAL MASTER PORTFOLIOS

287,746,719

EXCHANGE-TRADED FUNDS – 31.13%


iShares MSCI EAFE Index Fund(1)(2)

1,469,305 87,364,875
iShares S&P MidCap 400 Index Fund(1)(2)

438,143 32,334,953
iShares S&P SmallCap 600 Index Fund(1)(2)

277,052 16,013,606

TOTAL EXCHANGE-TRADED FUNDS

(Cost: $116,469,492)

135,713,434

SHORT-TERM INVESTMENTS – 5.65%


CERTIFICATES OF DEPOSIT(3) – 0.22%


Banco Bilbao Vizcaya Argentaria SA


3.83%, 01/25/06

$ 53,526 53,531
Credit Suisse First Boston NY


4.03%, 01/04/06

53,526 53,526
First Tennessee Bank


4.18%, 01/26/06

16,593 16,592
Fortis Bank NY


3.83% - 3.84%, 01/25/06

160,577 160,577
Toronto-Dominion Bank


3.94%, 07/10/06

53,526 53,526
Wells Fargo Bank N.A.


4.26% - 4.78%,


01/09/06 - 12/05/06

460,320 460,319
Wilmington Trust Corp.


4.24% - 4.30%,


01/27/06 - 01/31/06

160,577 160,578

958,649

COMMERCIAL PAPER(3) – 1.08%


Amstel Funding Corp.


3.91% - 4.40%,


01/04/06 - 05/08/06

326,506 324,901
Bryant Park Funding LLC


3.92%, 02/22/06

27,316 27,168
CAFCO LLC


4.19% - 4.23%,


01/27/06 - 02/06/06

230,160 229,354
CC USA Inc.


4.23%, 04/21/06

32,115 31,708
Charta LLC


4.25%, 01/26/06

80,288 80,070
Chesham Finance LLC


4.22% - 4.30%,


01/03/06 - 01/30/06

326,854 326,465
CRC Funding LLC


4.19% - 4.25%,


01/27/06 - 02/06/06

393,948 392,639
Dorada Finance Inc.


3.76%, 01/26/06

10,705 10,679
Ebury Finance Ltd.


4.30%, 01/30/06

149,872 149,388
Edison Asset Securitization LLC


4.37%, 05/08/06

53,526 52,713
Ford Credit Auto Receivables


4.22% - 4.23%, 01/17/06

88,852 88,707
Ford Credit Floorplan Motown


4.05%, 01/06/06

214,102 214,030
Galaxy Funding Inc.


4.23%, 04/18/06

30,724 30,345
Gemini Securitization Corp.


4.25%, 01/30/06

53,526 53,355
Georgetown Funding Co. LLC


4.23% - 4.28%,


01/05/06 - 01/19/06

524,004 523,624
Giro Funding US Corp.


4.23% - 4.24%,


01/09/06 - 01/13/06

90,994 90,916
Grampian Funding LLC


3.84% - 4.41%,


01/31/06 - 05/15/06

160,577 159,391
HSBC PLC


3.88%, 02/03/06

32,115 32,008
Jupiter Securitization Corp.


4.23%, 01/24/06

37,468 37,375
Liberty Street Funding Corp.


4.23%, 01/04/06

42,820 42,815
Lockhart Funding LLC


4.01% - 4.30%,


01/04/06 - 01/23/06

132,743 132,580
Mortgage Interest Networking Trust


4.28% - 4.34%,


01/17/06 - 01/25/06

112,404 112,164
Nordea North America Inc.


4.16%, 04/04/06

112,404 111,222
Prudential Funding LLC


4.27%, 01/17/06

214,102 213,747
Santander Central Hispano Finance Inc.


3.91%, 02/17/06

107,051 106,528
Sedna Finance Inc.


3.92%, 02/21/06

26,763 26,620
Sigma Finance Inc.


4.16%, 04/06/06

64,231 63,540
Solitaire Funding Ltd.


4.24%, 01/23/06

262,629 262,010
Thames Asset Global Securitization No. 1 Inc.


4.23%, 01/04/06

28,709 28,706


43

Table of Contents
LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares or
Principal Value
COMMERCIAL PAPER (Continued)


Three Pillars Funding Corp.


4.03% - 4.27%,


01/03/06 - 01/17/06

$ 341,196 $ 341,115
Thunder Bay Funding Inc.


4.22%, 01/13/06

10,705 10,693
Ticonderoga Funding LLC


4.27%, 01/05/06

26,763 26,756
Tulip Funding Corp.


4.25% - 4.28%,


01/03/06 - 01/31/06

376,780 375,836

4,709,168

LOAN PARTICIPATIONS(3) – 0.01%


Army & Air Force Exchange Service


4.24%, 02/01/06

53,526 53,526

53,526

MEDIUM-TERM NOTES(3) – 0.08%


Dorada Finance Inc.


3.93%, 07/07/06

33,186 33,184
K2 USA LLC


3.94%, 07/07/06

64,231 64,229
Marshall & Ilsley Bank


5.18%, 12/15/06

107,051 107,400
Toronto-Dominion Bank


3.81%, 06/20/06

133,814 133,820
US Bank N.A.


2.85%, 11/15/06

21,410 21,069

359,702

MONEY MARKET FUNDS – 1.03%


Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares


4.25%(1)(4)

4,478,589 4,478,589

4,478,589

REPURCHASE AGREEMENTS(3) – 0.51%


Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $535,516 and an effective yield of 4.37%.(5)

$ 535,256 535,256
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $42,841 and an effective yield of 4.32%.(5)

42,820 42,820
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $856,823 and an effective yield of 4.34%.(6)

856,410 856,410
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $803,270 and an effective yield of 4.33%.(6)

802,884 802,884

2,237,370

TIME DEPOSITS(3) – 0.20%


UBS AG


4.06%, 01/03/06

642,307 642,307
Wells Fargo Bank N.A.


4.00%, 01/03/06

221,790 221,790

864,097

VARIABLE & FLOATING RATE NOTES(3) – 2.52%


Allstate Life Global Funding II


4.36% - 4.43%,


11/09/06 - 01/16/07(7)

376,285 376,377
American Express Bank


4.33% - 4.34%,


01/24/06 - 10/25/06

412,147 412,145
American Express Centurion Bank


4.33% - 4.34%,


06/29/06 - 07/19/06

176,634 176,634
American Express Credit Corp.


4.39%, 11/06/07

32,115 32,148
ASIF Global Financing


4.34% - 4.55%,


05/30/06 - 08/11/06(7)

347,916 348,062
Australia & New Zealand Banking Group Ltd.


4.35%, 01/23/07(7)

69,583 69,583
Bank of America N.A.


4.31%, 08/10/06

535,256 535,256
Bank of Ireland


4.34%, 12/20/06(7)

107,051 107,051
Bank of Nova Scotia


4.22%, 01/03/06

42,820 42,820
Beta Finance Inc.


4.29% - 4.33%,


04/25/06 - 06/09/06(7)

266,557 266,547
BMW US Capital LLC


4.34%, 12/15/06(7)

107,051 107,051
CC USA Inc.


4.32% - 4.35%,


03/23/06 - 07/14/06(7)

287,968 287,961
Commodore CDO Ltd.


4.56%, 06/13/06(7)

26,763 26,763
Credit Suisse First Boston NY


4.31% - 4.35%


05/09/06 - 07/19/06

374,679 374,679
DEPFA Bank PLC


4.50%, 12/15/06

107,051 107,051


44

Table of Contents
LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


Descartes Funding Trust


4.37%, 11/15/06(7)

$ 48,173 $ 48,173
Dexia Credit Local


4.33%, 08/30/06

53,526 53,519
Dorada Finance Inc.


4.33% - 4.36%,


03/27/06 - 06/26/06(7)

170,211 170,215
Eli Lilly Services Inc.


4.26%, 09/01/06(7)

107,051 107,051
Fairway Finance Corp.


4.32% - 4.42%,


01/18/06 - 01/20/06

107,051 107,050
Fifth Third Bancorp.


4.35%, 11/22/06(7)

214,102 214,102
Five Finance Inc.


4.34% - 4.37%,


02/27/06 - 06/26/06(7)

74,936 74,936
General Electric Capital Corp.


4.44%, 01/09/07

48,173 48,212
Greenwich Capital Holdings Inc.


4.25% - 4.32%,


02/10/06 - 03/02/06

80,288 80,289
Hartford Life Global Funding Trusts


4.36%, 02/17/07

107,051 107,051
HBOS Treasury Services PLC


4.32% - 4.57%,


01/10/06 - 10/24/06

321,154 321,153
Holmes Financing PLC


4.33%, 12/15/06(7)

294,391 294,391
HSBC Bank USA N.A.


4.27% - 4.39%,


05/04/06 - 08/03/06

90,994 91,015
K2 USA LLC


4.25% - 4.36%,


02/15/06 - 09/11/06(7)

310,448 310,436
Leafs LLC


4.37%, 01/20/06 - 02/21/06(7)

112,241 112,241
Links Finance LLC


4.32% - 4.40%,


01/20/06 - 03/15/06(7)

363,974 363,986
Lothian Mortgages PLC


4.37%, 01/24/06(7)

53,526 53,526
Marshall & Ilsley Bank


4.35% - 4.47%,


02/20/06 - 12/15/06

165,929 165,946
Metropolitan Life Global Funding I


4.31% - 4.55%,


08/28/06 - 01/05/07(7)

320,083 320,256
Mound Financing PLC


4.30%, 11/08/06(7)

214,102 214,102
Natexis Banques Populaires


4.35%, 01/12/07(7)

80,288 80,288
National City Bank (Ohio)


4.26%, 01/06/06

53,526 53,525
Nationwide Building Society


4.33% - 4.58%,


01/13/06 - 01/26/07(7)

396,089 396,103
Nordea Bank AB


4.34%, 12/11/06(7)

187,340 187,340
Nordea Bank PLC


4.23%, 10/02/06

64,231 64,219
Northern Rock PLC


4.32%, 11/03/06(7)

128,461 128,466
Permanent Financing PLC


4.32%, 03/10/06 - 06/12/06(7)

291,179 291,179
Pfizer Investment Capital PLC


4.33%, 12/15/06(7)

267,628 267,628
Principal Life Income Funding Trusts


4.29%, 05/10/06

80,288 80,290
Royal Bank of Scotland


4.32% - 4.33%,


06/27/06 - 08/30/06

160,577 160,559
Sedna Finance Inc.


4.33% - 4.34%,


01/10/06 - 09/20/06(7)

90,993 90,993
Sigma Finance Inc.


4.07% - 4.35%,


01/09/06 - 08/15/06(7)

225,878 225,875
Skandinaviska Enskilda Bank NY


4.36%, 11/16/06(7)

107,051 107,051
Societe Generale


4.26% - 4.32%,


03/30/06 - 01/02/07(7)

165,929 165,922
Strips III LLC


4.43%, 07/24/06(7)(8)

28,873 28,873
SunTrust Bank


4.19%, 04/28/06

160,577 160,577
Tango Finance Corp.


4.33% - 4.34%,


05/25/06 - 09/27/06(7)

238,724 238,707
Toyota Motor Credit Corp.


4.23% - 4.30%,


01/09/06 - 04/10/06

235,513 235,512
Unicredito Italiano SpA


4.43%, 06/14/06

139,167 139,145
Union Hamilton Special Funding LLC


4.52%, 03/28/06(7)

107,051 107,051
US Bank N.A.


4.31%, 09/29/06

48,173 48,164
Variable Funding Capital Corp.


4.29% - 4.32%,


02/16/06 - 03/13/06

347,916 347,917
Wachovia Asset Securitization Inc.


4.37%, 01/25/06(7)

220,887 220,886
Wells Fargo & Co.


4.36%, 09/15/06(7)

53,526 53,529
WhistleJacket Capital LLC


4.33% - 4.35%,


01/17/06 - 07/28/06(7)

117,756 117,748


45

Table of Contents
LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


White Pine Finance LLC


4.32% - 4.37%,


01/13/06 - 06/20/06(7)

$ 219,455 $ 219,453
Winston Funding Ltd.


4.26%, 01/23/06(7)

76,435 76,435
World Savings Bank


4.29%, 03/09/06

160,577 160,575

10,981,788

TOTAL SHORT-TERM INVESTMENTS

(Cost: $24,642,889)

24,642,889

TOTAL INVESTMENTS – 102.79%

448,103,042

Other Assets, Less Liabilities – (2.79)%

(12,173,469 )

NET ASSETS – 100.00%

$ 435,929,573

(1) The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2. (2) All or a portion of this security represents a security on loan. See Note 4.
(3) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.
(4) The rate quoted is the annualized seven-day yield of the fund at period end.
(5) Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.
(6) Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
(7) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(8) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
The accompanying notes are an integral part of these financial statements.



46

Table of Contents
ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Shares Value
COMMON STOCKS – 102.01%


AEROSPACE & DEFENSE – 1.49%


Lockheed Martin Corp.

226,691 $ 14,424,348
Rockwell Collins Inc.

71,006 3,299,649

17,723,997

AGRICULTURE – 2.50%


Altria Group Inc.

52,009 3,886,112
Archer-Daniels-Midland Co.(1)

530,202 13,074,781
Bunge Ltd.(1)

41,352 2,340,937
Reynolds American Inc.(1)

55,832 5,322,465
UST Inc.(1)

123,852 5,056,877

29,681,172

AIRLINES – 0.08%


Southwest Airlines Co.

54,721 899,066

899,066

AUTO PARTS & EQUIPMENT – 0.26%


American Axle & Manufacturing


Holdings Inc.(1)

31,121 570,448
Autoliv Inc.

55,375 2,515,132

3,085,580

BANKS – 5.27%


Bank of America Corp.

706,334 32,597,314
Comerica Inc.

19,681 1,117,094
National City Corp.

15,259 512,245
TCF Financial Corp.

2,621 71,134
U.S. Bancorp

317,378 9,486,428
UnionBanCal Corp.

8,745 600,956
Wachovia Corp.(1)

344,479 18,209,160

62,594,331

BEVERAGES – 2.61%


Anheuser-Busch Companies Inc.

217,054 9,324,640
Coca-Cola Co. (The)

291,191 11,737,909
Coca-Cola Enterprises Inc.

76,244 1,461,597
Pepsi Bottling Group Inc.(1)

275,936 7,894,529
PepsiAmericas Inc.

25,419 591,246

31,009,921

BIOTECHNOLOGY – 0.84%


Amgen Inc.(2)

126,826 10,001,498

10,001,498

BUILDING MATERIALS – 0.30%


Masco Corp.

117,289 3,540,955

3,540,955

CHEMICALS – 1.42%


Dow Chemical Co. (The)

345,415 15,136,085
Eastman Chemical Co.(1)

29,287 1,510,916
Huntsman Corp.(2)

11,290 194,414

16,841,415

COMMERCIAL SERVICES – 2.49%


Accenture Ltd.(1)

312,905 9,033,567
Apollo Group Inc. Class A(2)

15,679 947,952
Block (H & R) Inc.

94,641 2,323,437
Career Education Corp.(1)(2)

45,214 1,524,616
Cendant Corp.

685,537 11,825,513
Convergys Corp.(1)(2)

105,254 1,668,276
Deluxe Corp.(1)

3,844 115,858
Education Management Corp.(2)

4,168 139,670
Equifax Inc.

4,901 186,336
Manpower Inc.

26,274 1,221,741
PHH Corp.(2)

11,160 312,703
Rent-A-Center Inc.(2)

18,004 339,555

29,639,224

COMPUTERS – 2.91%


Apple Computer Inc.(2)

268,711 19,317,634
Computer Sciences Corp.(1)(2)

132,393 6,704,382
Dell Inc.(2)

163,995 4,918,210
International Business Machines Corp.

21,929 1,802,564
Seagate Technology

91,739 1,833,863

34,576,653

COSMETICS & PERSONAL CARE – 0.75%


Avon Products Inc.

14,982 427,736
Procter & Gamble Co.

147,219 8,521,036

8,948,772

DISTRIBUTION & WHOLESALE – 0.62%


CDW Corp.(1)

62,088 3,574,406
Grainger (W.W.) Inc.

42,507 3,022,248
Ingram Micro Inc. Class A(2)

36,722 731,869

7,328,523

DIVERSIFIED FINANCIAL SERVICES – 11.70%


Ameriprise Financial Inc.(1)

26,557 1,088,837
CIT Group Inc.

89,964 4,658,336
Citigroup Inc.

807,928 39,208,746
Countrywide Financial Corp.(1)

431,425 14,750,421
Federal Home Loan Mortgage Corp.

79,043 5,165,460
Federal National Mortgage Association

125,669 6,133,904
Goldman Sachs Group Inc. (The)

61,269 7,824,664
IndyMac Bancorp Inc.

43,527 1,698,424
JP Morgan Chase & Co.

699,866 27,777,682
MBNA Corp.

131,007 3,556,840
Merrill Lynch & Co. Inc.

114,904 7,782,448


47

Table of Contents
ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares Value
DIVERSIFIED FINANCIAL SERVICES (Continued)


Morgan Stanley

338,856 $ 19,226,689
Student Loan Corp.

857 179,310

139,051,761

ELECTRIC – 2.28%


Alliant Energy Corp.

46,169 1,294,579
Constellation Energy Group Inc.

67,832 3,907,123
Edison International

192,738 8,405,304
Energy East Corp.

7,318 166,850
Entergy Corp.

75,784 5,202,572
FirstEnergy Corp.

140,263 6,871,484
NSTAR

7,387 212,007
Pepco Holdings Inc.

5,779 129,276
Puget Energy Inc.

16,686 340,728
TXU Corp.

12,072 605,894

27,135,817

ELECTRONICS – 0.55%


Agilent Technologies Inc.(2)

194,709 6,481,863

6,481,863

ENTERTAINMENT – 0.01%


Regal Entertainment Group Class A(1)

5,991 113,949

113,949

FOOD – 0.91%


Hormel Foods Corp.

8,526 278,630
Pilgrim’s Pride Corp.(1)

24,355 807,612
Smithfield Foods Inc.(1)(2)

51,274 1,568,984
SUPERVALU Inc.(1)

120,410 3,910,917
Tyson Foods Inc. Class A(1)

245,850 4,204,035

10,770,178

FOREST PRODUCTS & PAPER – 0.20%


Louisiana-Pacific Corp.

86,471 2,375,358

2,375,358

GAS – 0.30%


NiSource Inc.

28,448 593,425
ONEOK Inc.

21,202 564,609
Sempra Energy

51,267 2,298,812
UGI Corp.

7,360 151,616

3,608,462

HAND & MACHINE TOOLS – 0.31%


Black & Decker Corp.(1)

42,050 3,656,668

3,656,668

HEALTH CARE – PRODUCTS – 5.29%


Alcon Inc.

34,579 4,481,438
Becton, Dickinson & Co.

216,450 13,004,316
Boston Scientific Corp.(2)

550,877 13,490,978
Guidant Corp.

5,244 339,549
Hillenbrand Industries Inc.

4,266 210,783
Johnson & Johnson

521,902 31,366,310

62,893,374

HEALTH CARE – SERVICES – 2.09%


HCA Inc.

135,823 6,859,061
Health Management Associates Inc. Class A

13,352 293,210
Health Net Inc.(2)

4,000 206,200
Humana Inc.(2)

139,957 7,603,864
Lincare Holdings Inc.(2)

29,526 1,237,435
Quest Diagnostics Inc.

10,255 527,927
Sierra Health Services Inc.(1)(2)

25,983 2,077,601
UnitedHealth Group Inc.

96,583 6,001,668

24,806,966

HOME BUILDERS – 0.51%


M.D.C. Holdings Inc.(1)

7,838 485,799
NVR Inc.(1)(2)

7,972 5,596,344

6,082,143

HOME FURNISHINGS – 0.38%


Harman International Industries Inc.(1)

46,196 4,520,279

4,520,279

HOUSEHOLD PRODUCTS & WARES – 1.36%


American Greetings Corp. Class A(1)

18,033 396,185
Blyth Inc.(1)

13,345 279,578
Clorox Co. (The)(1)

138,150 7,859,354
Kimberly-Clark Corp.(1)

128,273 7,651,484

16,186,601

INSURANCE – 4.27%


ACE Ltd.(1)

138,042 7,376,964
Allstate Corp. (The)

74,608 4,034,055
American International Group Inc.

85,263 5,817,494
Axis Capital Holdings Ltd.

72,610 2,271,241
Everest Re Group Ltd.

47,689 4,785,591
Fidelity National Financial Inc.

55,504 2,041,992
Lincoln National Corp.(1)

99,419 5,272,190
MetLife Inc.

98,626 4,832,674
MGIC Investment Corp.(1)

11,939 785,825
Nationwide Financial Services Inc.(1)

29,954 1,317,976
Protective Life Corp.

13,870 607,090
Radian Group Inc.(1)

53,178 3,115,699
Reinsurance Group of America Inc.

25,699 1,227,384
RenaissanceRe Holdings Ltd.(1)

45,114 1,989,979
St. Paul Travelers Companies Inc.

76,822 3,431,639
StanCorp Financial Group Inc.

36,087 1,802,546

50,710,339



48

Table of Contents
ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares Value
INTERNET – 0.88%


Amazon.com Inc.(2)

48,511 $ 2,287,294
Google Inc. Class A(2)

19,769 8,201,367

10,488,661

INVESTMENT COMPANIES – 0.08%


American Capital Strategies Ltd.

25,732 931,756

931,756

IRON & STEEL – 0.69%


Nucor Corp.

98,864 6,596,206
Steel Dynamics Inc.(1)

45,883 1,629,305

8,225,511

LEISURE TIME – 1.18%


Brunswick Corp.

46,507 1,890,975
Polaris Industries Inc.(1)

25,794 1,294,859
Royal Caribbean Cruises Ltd.

195,028 8,787,962
Sabre Holdings Corp.

85,858 2,070,036

14,043,832

LODGING – 0.07%


Choice Hotels International Inc.(1)

21,177 884,352

884,352

MACHINERY – 0.57%


AGCO Corp.(2)

10,453 173,206
Cummins Inc.(1)

53,395 4,791,133
Graco Inc.(1)

48,582 1,772,271

6,736,610

MANUFACTURING – 3.85%


General Electric Co.

773,980 27,127,999
Ingersoll-Rand Co. Class A

16,670 672,968
Parker Hannifin Corp.

21,671 1,429,419
3M Co.

213,166 16,520,365

45,750,751

MEDIA – 1.66%


Comcast Corp. Class A(2)

363,867 9,445,987
Comcast Corp. Class A Special(2)

22,390 575,199
EchoStar Communications Corp.(2)

69,088 1,877,121
Gannett Co. Inc.

17,982 1,089,170
Media General Inc. Class A

1,533 77,723
Meredith Corp.

9,515 498,015
Tribune Co.

74,548 2,255,822
Viacom Inc. Class B

120,513 3,928,724

19,747,761

MINING – 0.75%


Phelps Dodge Corp.

61,723 8,880,088

8,880,088

OIL & GAS – 9.70%


Anadarko Petroleum Corp.

79,884 7,569,009
Chevron Corp.

71,118 4,037,369
ConocoPhillips

363,127 21,126,729
Devon Energy Corp.

91,821 5,742,485
Exxon Mobil Corp.

541,942 30,440,882
Marathon Oil Corp.(1)

80,599 4,914,121
Nabors Industries Ltd.(2)

18,282 1,384,862
Occidental Petroleum Corp.(1)

194,515 15,537,858
Patterson-UTI Energy Inc.(1)

169,029 5,569,506
Pogo Producing Co.(1)

54,031 2,691,284
Valero Energy Corp.(1)

313,688 16,186,301

115,200,406

OIL & GAS SERVICES – 0.55%


Baker Hughes Inc.(1)

107,545 6,536,585

6,536,585

PHARMACEUTICALS – 5.89%


Abbott Laboratories

28,785 1,134,993
Allergan Inc.(1)

105,422 11,381,359
Barr Pharmaceuticals Inc.(2)

47,085 2,932,925
Forest Laboratories Inc.(2)

31,074 1,264,090
Gilead Sciences Inc.(2)

289,717 15,247,806
King Pharmaceuticals Inc.(2)

66,908 1,132,083
Merck & Co. Inc.

235,248 7,483,239
Pfizer Inc.

1,028,445 23,983,337
Wyeth

117,713 5,423,038

69,982,870

REAL ESTATE INVESTMENT TRUSTS – 0.25%


CBL & Associates Properties Inc.

3,681 145,436
Health Care Property Investors Inc.(1)

29,006 741,393
Health Care REIT Inc.

10,880 368,832
Hospitality Properties Trust

6,750 270,675
HRPT Properties Trust

12,790 132,377
Mack-Cali Realty Corp.

5,893 254,578
Mills Corp.

10,530 441,628
Trizec Properties Inc.(1)

24,558 562,869

2,917,788

RETAIL – 6.39%


American Eagle Outfitters Inc.(1)

265,667 6,105,028
Applebee’s International Inc.

7,266 164,139
AutoNation Inc.(1)(2)

316,471 6,876,915
Barnes & Noble Inc.(1)

8,028 342,555
Brinker International Inc.

16,353 632,207
CBRL Group Inc.(1)

41,548 1,460,412
Claire’s Stores Inc.

31,404 917,625
Costco Wholesale Corp.

248,937 12,314,913
Darden Restaurants Inc.

6,269 243,739
GameStop Corp. Class B(2)

14,463 417,981
Gap Inc. (The)

161,407 2,847,219
Home Depot Inc.

530,758 21,485,084


49

Table of Contents
ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares or
Principal Value
RETAIL (Continued)


PETCO Animal Supplies Inc.(2)

15,179 $ 333,179
Sonic Corp.(2)

23,606 696,377
Staples Inc.

66,014 1,499,178
Wal-Mart Stores Inc.

414,607 19,403,608
Yum! Brands Inc.

3,843 180,160

75,920,319

SAVINGS & LOANS – 1.10%


Washington Mutual Inc.

301,052 13,095,762

13,095,762

SEMICONDUCTORS – 3.74%


Intel Corp.

1,148,810 28,674,298
Lam Research Corp.(2)

95,872 3,420,713
QLogic Corp.(2)

62,736 2,039,547
Texas Instruments Inc.

322,096 10,329,619

44,464,177

SOFTWARE – 4.74%


Adobe Systems Inc.

158,943 5,874,533
Autodesk Inc.

236,426 10,154,497
Dun & Bradstreet Corp.(2)

18,128 1,213,851
Fiserv Inc.(2)

15,504 670,858
Intuit Inc.(2)

3,751 199,928
Microsoft Corp.

1,459,651 38,169,874

56,283,541

TELECOMMUNICATIONS – 6.61%


AT&T Inc.

69,264 1,696,275
CenturyTel Inc.

52,222 1,731,682
Cisco Systems Inc.(2)

1,396,553 23,908,987
Motorola Inc.

498,877 11,269,631
QUALCOMM Inc.(1)

415,727 17,909,519
Scientific-Atlanta Inc.

16,832 724,954
Telewest Global Inc.(2)

10,922 260,162
Verizon Communications Inc.

699,963 21,082,886

78,584,096

TRANSPORTATION – 1.61%


Alexander & Baldwin Inc.

3,168 171,832
Burlington Northern Santa Fe Corp.(1)

141,252 10,003,467
Hunt (J.B.) Transport Services Inc.(1)

90,697 2,053,380
Landstar System Inc.

4,488 187,329
Norfolk Southern Corp.

30,927 1,386,457
Overseas Shipholding Group Inc.(1)

19,093 962,096
Ryder System Inc.(1)

85,077 3,489,859
Teekay Shipping Corp.(1)

20,841 831,556

19,085,976

TOTAL COMMON STOCKS

(Cost: $1,120,899,530)

1,212,025,707
SHORT-TERM INVESTMENTS – 7.27%


CERTIFICATES OF DEPOSIT(3) – 0.32%


Banco Bilbao Vizcaya Argentaria SA


3.83%, 01/25/06

213,375 213,375
Credit Suisse First Boston NY


4.03%, 01/04/06

213,375 213,375
First Tennessee Bank


4.18%, 01/26/06

66,146 66,143
Fortis Bank NY


3.83% - 3.84%, 01/25/06

640,124 640,124
Toronto-Dominion Bank


3.94%, 07/10/06

213,375 213,375
Wells Fargo Bank N.A.


4.26% - 4.78%,


01/09/06 - 12/05/06

1,835,021 1,835,017
Wilmington Trust Corp.


4.24% - 4.30%,


01/27/06 - 01/31/06

640,124 640,127

3,821,536

COMMERCIAL PAPER(3) – 1.58%


Amstel Funding Corp.


3.91% - 4.40%,


01/04/06 - 05/08/06

1,301,585 1,295,190
Bryant Park Funding LLC


3.92%, 02/22/06

108,894 108,301
CAFCO LLC


4.19% - 4.23%,


01/27/06 - 02/06/06

917,511 914,294
CC USA Inc.


4.23%, 04/21/06

128,025 126,400
Charta LLC


4.25%, 01/26/06

320,062 319,193
Chesham Finance LLC


4.22% - 4.30%,


01/03/06 - 01/30/06

1,302,972 1,301,419
CRC Funding LLC


4.19% - 4.25%,


01/27/06 - 02/06/06

1,570,437 1,565,219
Dorada Finance Inc.


3.76%, 01/26/06

42,675 42,572
Ebury Finance Ltd.


4.30%, 01/30/06

597,449 595,522
Edison Asset Securitization LLC


4.37%, 05/08/06

213,375 210,137
Ford Credit Auto Receivables


4.22% - 4.23%, 01/17/06

354,202 353,620
Ford Credit Floorplan Motown


4.05%, 01/06/06

853,498 853,210
Galaxy Funding Inc.


4.23%, 04/18/06

122,477 120,966
Gemini Securitization Corp.


4.25%, 01/30/06

213,375 212,694


50

Table of Contents
ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005





Security

Shares or
Principal Value
COMMERCIAL PAPER (Continued)


Georgetown Funding Co. LLC


4.23% - 4.28%,


01/05/06 - 01/19/06

$ 2,088,890 $ 2,087,377
Giro Funding US Corp.


4.23% - 4.24%,


01/09/06 - 01/13/06

362,737 362,431
Grampian Funding LLC


3.84% - 4.41%,


01/31/06 - 05/15/06

640,124 635,399
HSBC PLC


3.88%, 02/03/06

128,025 127,597
Jupiter Securitization Corp.


4.23%, 01/24/06

149,362 148,994
Liberty Street Funding Corp.


4.23%, 01/04/06

170,700 170,680
Lockhart Funding LLC


4.01% - 4.30%,


01/04/06 - 01/23/06

529,169 528,520
Mortgage Interest Networking Trust


4.28% - 4.34%,


01/17/06 - 01/25/06

448,087 447,131
Nordea North America Inc.


4.16%, 04/04/06

448,087 443,374
Prudential Funding LLC


4.27%, 01/17/06

853,498 852,081
Santander Central Hispano


Finance Inc.


3.91%, 02/17/06

426,749 424,663
Sedna Finance Inc.


3.92%, 02/21/06

106,687 106,118
Sigma Finance Inc.


4.16%, 04/06/06

256,050 253,298
Solitaire Funding Ltd.


4.24%, 01/23/06

1,046,944 1,044,478
Thames Asset Global Securitization No. 1 Inc.


4.23%, 01/04/06

114,446 114,432
Three Pillars Funding Corp.


4.03% - 4.27%,


01/03/06 - 01/17/06

1,360,144 1,359,820
Thunder Bay Funding Inc.


4.22%, 01/13/06

42,675 42,625
Ticonderoga Funding LLC


4.27%, 01/05/06

106,687 106,662
Tulip Funding Corp.


4.25% - 4.28%,


01/03/06 - 01/31/06

1,501,995 1,498,233

18,772,650

LOAN PARTICIPATIONS(3) – 0.02%


Army & Air Force Exchange Service


4.24%, 02/01/06

213,375 213,375

213,375

MEDIUM-TERM NOTES(3) – 0.12%


Dorada Finance Inc.


3.93%, 07/07/06

132,292 132,286
K2 USA LLC


3.94%, 07/07/06

256,050 256,043
Marshall & Ilsley Bank


5.18%, 12/15/06

426,749 428,141
Toronto-Dominion Bank


3.81%, 06/20/06

533,436 533,460
US Bank N.A.


2.85%, 11/15/06

85,350 83,990

1,433,920

MONEY MARKET FUNDS – 0.48%


Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares


4.25%(4)(5)

5,678,236 5,678,236

5,678,236

REPURCHASE AGREEMENTS(3) – 0.75%


Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $2,134,523 and an effective yield of 4.37%.(6)

$ 2,133,746 2,133,746
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $170,761 and an effective yield of 4.32%.(6)

170,700 170,700
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $3,415,228 and an effective yield of 4.34%.(7)

3,413,993 3,413,993
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $3,201,774 and an effective yield of 4.33%.(7)

3,200,619 3,200,619

8,919,058

TIME DEPOSITS(3) – 0.29%


UBS AG


4.06%, 01/03/06

2,560,495 2,560,495
Wells Fargo Bank N.A.


4.00%, 01/03/06

884,143 884,143

3,444,638

U.S. TREASURY OBLIGATIONS – 0.03%


U.S. Treasury Bill


3.89%, 03/23/06(8)(9)

350,000 346,970

346,970



51

Table of Contents
ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005





Security

Principal Value
VARIABLE & FLOATING RATE NOTES(3) – 3.68%


Allstate Life Global Funding II


4.36% - 4.43%,


11/09/06 - 01/16/07(10)

$ 1,500,023 $ 1,500,389
American Express Bank


4.33% - 4.34%,


01/24/06 - 10/25/06

1,642,984 1,642,977
American Express Centurion Bank


4.33% - 4.34%,


06/29/06 - 07/19/06

704,136 704,136
American Express Credit Corp.


4.39%, 11/06/07

128,025 128,154
ASIF Global Financing


4.34% - 4.55%,


05/30/06 - 08/11/06(10)

1,386,935 1,387,515
Australia & New Zealand Banking Group Ltd.


4.35%, 01/23/07(10)

277,387 277,387
Bank of America N.A.


4.31%, 08/10/06

2,133,746 2,133,746
Bank of Ireland


4.34%, 12/20/06(10)

426,749 426,749
Bank of Nova Scotia


4.22%, 01/03/06

170,700 170,700
Beta Finance Inc.


4.29% - 4.33%,


04/25/06 - 06/09/06(10)

1,062,605 1,062,563
BMW US Capital LLC


4.34%, 12/15/06(10)

426,749 426,749
CC USA Inc.


4.32% - 4.35%,


03/23/06 - 07/14/06(10)

1,147,955 1,147,930
Commodore CDO Ltd.


4.56%, 06/13/06(10)

106,687 106,687
Credit Suisse First Boston NY


4.31% - 4.35%


05/09/06 - 07/19/06

1,493,622 1,493,622
DEPFA Bank PLC


4.50%, 12/15/06

426,749 426,749
Descartes Funding Trust


4.37%, 11/15/06(10)

192,037 192,037
Dexia Credit Local


4.33%, 08/30/06

213,375 213,347
Dorada Finance Inc.


4.33% - 4.36%,


03/27/06 - 06/26/06(10)

678,531 678,544
Eli Lilly Services Inc.


4.26%, 09/01/06(10)

426,749 426,749
Fairway Finance Corp.


4.32% - 4.42%,


01/18/06 - 01/20/06

426,749 426,748
Fifth Third Bancorp.


4.35%, 11/22/06(10)

853,498 853,498
Five Finance Inc.


4.34% - 4.37%,


02/27/06 - 06/26/06(10)

298,724 298,725
General Electric Capital Corp.


4.44%, 01/09/07

192,037 192,192
Greenwich Capital Holdings Inc.


4.25% - 4.32%,


02/10/06 - 03/02/06

320,062 320,062
Hartford Life Global Funding Trusts


4.36%, 02/17/07

426,749 426,749
HBOS Treasury Services PLC


4.32% - 4.57%,


01/10/06 - 10/24/06

1,280,248 1,280,247
Holmes Financing PLC


4.33%, 12/15/06(10)

1,173,560 1,173,560
HSBC Bank USA N.A.


4.27% - 4.39%,


05/04/06 - 08/03/06

362,737 362,821
K2 USA LLC


4.25% - 4.36%,


02/15/06 - 09/11/06(10)

1,237,573 1,237,524
Leafs LLC


4.37%,


01/20/06 - 02/21/06(10)

447,438 447,438
Links Finance LLC


4.32% - 4.40%,


01/20/06 - 03/15/06(10)

1,450,947 1,450,995
Lothian Mortgages PLC


4.37%, 01/24/06(10)

213,375 213,375
Marshall & Ilsley Bank


4.35% - 4.47%,


02/20/06 - 12/15/06

661,461 661,529
Metropolitan Life Global Funding I


4.31% - 4.55%,


08/28/06 - 01/05/07(10)

1,275,980 1,276,669
Mound Financing PLC


4.30%, 11/08/06(10)

853,498 853,498
Natexis Banques Populaires


4.35%, 01/12/07(10)

320,062 320,062
National City Bank (Ohio)


4.26%, 01/06/06

213,375 213,374
Nationwide Building Society


4.33% - 4.58%,


01/13/06 - 01/26/07(10)

1,578,972 1,579,026
Nordea Bank AB


4.34%, 12/11/06(10)

746,811 746,811
Nordea Bank PLC


4.23%, 10/02/06

256,050 256,005
Northern Rock PLC


4.32%, 11/03/06(10)

512,099 512,116
Permanent Financing PLC


4.32%, 03/10/06 - 06/12/06(10)

1,160,758 1,160,758
Pfizer Investment Capital PLC


4.33%, 12/15/06(10)

1,066,873 1,066,873


52

Table of Contents
ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005





Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


Principal Life Income Funding Trusts


4.29%, 05/10/06

$ 320,062 $ 320,067
Royal Bank of Scotland


4.32% - 4.33%,


06/27/06 - 08/30/06

640,124 640,052
Sedna Finance Inc.


4.33% - 4.34%,


01/10/06 - 09/20/06(10)

362,737 362,735
Sigma Finance Inc.


4.07% - 4.35%,


01/09/06 - 08/15/06(10)

900,441 900,430
Skandinaviska Enskilda Bank NY


4.36%, 11/16/06(10)

426,749 426,749
Societe Generale


4.26% - 4.32%,


03/30/06 - 01/02/07(10)

661,461 661,432
Strips III LLC


4.43%, 07/24/06(10)(11)

115,101 115,101
SunTrust Bank


4.19%, 04/28/06

640,124 640,124
Tango Finance Corp.


4.33% - 4.34%,


05/25/06 - 09/27/06(10)

951,651 951,585
Toyota Motor Credit Corp.


4.23% - 4.30%,


01/09/06 - 04/10/06

938,848 938,845
Unicredito Italiano SpA


4.43%, 06/14/06

554,774 554,687
Union Hamilton Special Funding LLC


4.52%, 03/28/06(10)

426,749 426,749
US Bank N.A.


4.31%, 09/29/06

192,037 192,000
Variable Funding Capital Corp.


4.29% - 4.32%,


02/16/06 - 03/13/06

1,386,935 1,386,935
Wachovia Asset Securitization Inc.


4.37%, 01/25/06(10)

880,543 880,542
Wells Fargo & Co.


4.36%, 09/15/06(10)

213,375 213,389
WhistleJacket Capital LLC


4.33% - 4.35%,


01/17/06 - 07/28/06(10)

469,424 469,393
White Pine Finance LLC


4.32% - 4.37%,


01/13/06 - 06/20/06(10)

874,836 874,829
Winston Funding Ltd.


4.26%, 01/23/06(10)

304,699 304,699
World Savings Bank


4.29%, 03/09/06

640,124 640,118

43,777,846


TOTAL SHORT-TERM INVESTMENTS


(Cost: $86,408,149)

86,408,229

TOTAL INVESTMENTS IN SECURITIES – 109.28%

(Cost: $1,207,307,679)

1,298,433,936

Other Assets, Less Liabilities – (9.28)%

(110,221,439 )

NET ASSETS – 100.00%

$ 1,188,212,497

(1) All or a portion of this security represents a security on loan. See Note 4.
(2) Non-income earning security.
(3) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.
(4) The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.
(5) The rate quoted is the annualized seven-day yield of the fund at period end.
(6) Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.
(7) Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
(8) The rate quoted is the yield to maturity.
(9) This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.
(10) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(11) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
As of December 31, 2005, the open futures contracts held by the Master Portfolio were as follows:



Futures Contracts

(Expiration Date)

Number of
Contracts Notional
Contract
Value Net
Unrealized
Depreciation
S&P 500 Index (03/17/06)

19 $ 5,960,300 $ (109,694 )

$ (109,694 )

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



53

Table of Contents
COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Principal Value
CORPORATE BONDS & NOTES – 30.96%


ADVERTISING – 0.13%


Norfolk Southern Corp.


5.59%, 05/17/25

$ 598,000 $ 597,424
NTL Cable PLC


8.75%, 04/15/14

750,000 783,750

1,381,174

AGRICULTURE – 0.34%


Monsanto Co.


5.50%, 08/15/25(1)

1,500,000 1,456,152
5.50%, 07/30/35

1,750,000 1,671,323
RJ Reynolds Tobacco Holdings Inc.


7.30%, 07/15/15(1)

500,000 510,000

3,637,475

APPAREL – 0.07%


Levi Strauss & Co.


9.75%, 01/15/15

750,000 780,000

780,000

AUTO MANUFACTURERS – 0.75%


DaimlerChrysler N.A. Holding Corp.


4.13%, 03/07/07

2,000,000 1,975,344
4.75%, 01/15/08

1,000,000 990,877
4.88%, 06/15/10

950,000 927,568
8.50%, 01/18/31

3,500,000 4,235,059

8,128,848

BANKS – 1.73%


Bank of America Corp.


7.80%, 02/15/10

4,500,000 4,969,305
CIT Group Funding Company of Canada


4.90%, 07/01/10(1)

3,750,000 3,671,220
HSBC Bank USA N.A.


5.88%, 11/01/34

3,000,000 3,026,832
HSBC Holdings PLC


5.25%, 12/12/12

3,000,000 3,010,347
Wachovia Corp.


5.50%, 08/01/35

3,000,000 2,922,930
WellPoint Inc.


5.00%, 12/15/14

1,250,000 1,227,880

18,828,514

BIOTECHNOLOGY – 0.13%


Genentech Inc.


4.75%, 07/15/15

1,500,000 1,459,642

1,459,642

BUILDING MATERIALS – 0.04%


NTK Holdings Inc.


0.00%, 03/01/14

750,000 468,750

468,750

CHEMICALS – 0.05%


Equistar Chemicals Funding


10.63%, 05/01/11

500,000 550,000

550,000

COMMERCIAL SERVICES – 0.40%


Cendant Corp.


6.25%, 01/15/08

4,000,000 4,072,136
Williams Scotsman Inc.


8.50%, 10/01/15

250,000 258,750

4,330,886

COMPUTER SYSTEMS – 0.02%


Lucent Technologies Inc.


6.45%, 03/15/29

250,000 214,375

214,375

DIVERSIFIED FINANCIAL SERVICES – 6.73%


Alamosa Delaware Inc.


8.50%, 01/31/12

500,000 540,625
Boeing Capital Corp.


6.50%, 02/15/12

1,750,000 1,888,990
Caterpillar Financial Services Corp.


4.35%, 03/04/09

6,500,000 6,404,248
CIT Group Inc.


5.75%, 09/25/07

5,000,000 5,069,560
Countrywide Home Loans Inc.


5.50%, 02/01/07

3,000,000 3,014,571
5.63%, 05/15/07

1,500,000 1,512,754
Ford Motor Credit Co.


6.88%, 02/01/06

2,000,000 1,995,700
General Electric Capital Corp.


2.80%, 01/15/07

6,500,000 6,367,289
3.45%, 07/16/07

6,000,000 5,885,160
6.75%, 03/15/32

3,000,000 3,521,553
General Motors Acceptance Corp.


6.75%, 01/15/06

1,000,000 999,340
Goldman Sachs Group Inc.


3.88%, 01/15/09

3,000,000 2,912,271
5.13%, 01/15/15

3,500,000 3,460,418
Household Finance Corp.


4.13%, 12/15/08

2,000,000 1,952,912
HSBC Finance Corp.


4.13%, 03/11/08

2,000,000 1,964,916
Kinder Morgan Finance Co. ULC


6.40%, 01/05/36(1)

1,250,000 1,281,104
Lehman Brothers Holdings Inc.


4.80%, 03/13/14

1,000,000 976,392
5.00%, 01/14/11

3,000,000 2,993,775
Merrill Lynch & Co. Inc.


4.29%, 10/19/07

8,000,000 8,011,736
Residential Capital Corp.


6.38%, 06/30/10

4,200,000 4,267,683
SLM Corp.


5.63%, 04/10/07

7,500,000 7,544,902


54

Table of Contents
COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
DIVERSIFIED FINANCIAL SERVICES (Continued)


Vanguard Health Holding Co. II LLC


9.00%, 10/01/14

$ 500,000 $ 531,250

73,097,149

ELECTRIC – 2.45%


Commonwealth Edison Co.


4.70%, 04/15/15

1,000,000 956,679
5.88%, 02/01/33

3,500,000 3,508,792
Constellation Energy Group Inc.


6.35%, 04/01/07

1,500,000 1,523,709
7.60%, 04/01/32

1,250,000 1,503,791
Mirant North America LLC


7.38%, 12/31/13(1)

250,000 252,812
Northern States Power


5.25%, 07/15/35

2,500,000 2,403,572
Pacific Gas & Electric Corp.


4.80%, 03/01/14

2,500,000 2,436,317
PSEG Power LLC


6.95%, 06/01/12

2,300,000 2,492,549
8.63%, 04/15/31

700,000 921,106
Sierra Pacific Resources


6.75%, 08/15/17(1)

750,000 746,250
Southern California Edison Co.


5.00%, 01/15/16

1,300,000 1,285,254
TXU Corp.


5.55%, 11/15/14

250,000 237,459
TXU Energy Co.


6.13%, 03/15/08(2)

5,750,000 5,844,495
7.00%, 03/15/13

2,325,000 2,477,669

26,590,454

ELECTRONICS – 0.08%


Midwest Generation LLC


8.75%, 05/01/34

750,000 825,937

825,937

ENTERTAINMENT – 0.13%


Cinemark Inc.


9.75%, 03/15/14

500,000 370,000
Gaylord Entertainment Co.


8.00%, 11/15/13

500,000 523,750
Pinnacle Entertainment Inc.


8.25%, 03/15/12

500,000 516,875

1,410,625

FOOD – 0.95%


Albertson’s Inc.


7.50%, 02/15/11

500,000 510,344
Delhaize America Inc.


8.13%, 04/15/11

1,250,000 1,362,584
Kroger Co. (The)


8.05%, 02/01/10

5,000,000 5,428,895
Safeway Inc.


4.80%, 07/16/07

3,000,000 2,986,965

10,288,788

FOREST PRODUCTS & PAPER – 0.21%


Weyerhaeuser Co.


6.13%, 03/15/07

2,204,000 2,236,178

2,236,178

GAS – 0.02%


Colorado Interstate Gas Co.


6.80%, 11/15/15(1)

250,000 255,444

255,444

HEALTH CARE – PRODUCTS – 0.27%


Boston Scientific Corp.


5.45%, 06/15/14

3,000,000 2,971,923

2,971,923

HEALTH CARE – SERVICES – 0.69%


Res-Care Inc.


7.75%, 10/15/13(1)

250,000 250,000
UnitedHealth Group Inc.


3.30%, 01/30/08

3,665,000 3,552,349
4.88%, 03/15/15

1,250,000 1,224,981
5.00%, 08/15/14

2,500,000 2,487,775

7,515,105

HOLDING COMPANIES – DIVERSIFIED – 0.03%


Marquee Holdings Inc.


12.00%, 08/15/14

500,000 318,750

318,750

HOME BUILDERS – 0.04%


Standard Pacific Corp.


7.00%, 08/15/15

500,000 461,250

461,250

HOUSEHOLD PRODUCTS & WARES – 0.48%


Clorox Co. (The)


4.61%, 12/14/07

5,250,000 5,259,434

5,259,434

INSURANCE – 2.73%


AIG SunAmerica Global Finance IX


5.10%, 01/17/07(1)

5,000,000 5,009,350
Allstate Financial Global Funding


2.50%, 06/20/08(1)

4,970,000 4,694,314
American International Group Inc.


2.88%, 05/15/08

2,500,000 2,386,613
ASIF Global Financing XVII


3.85%, 11/26/07(1)

6,500,000 6,374,479


55

Table of Contents
COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
INSURANCE (Continued)


Berkshire Hathaway Finance Corp.


4.17%, 01/11/08

$ 1,400,000 $ 1,401,427
Hancock (John) Financial Services Inc.


5.63%, 12/01/08

4,000,000 4,079,156
Markel Corp.


7.35%, 08/15/34

1,000,000 1,076,014
MetLife Inc.


5.38%, 12/15/12

4,500,000 4,593,641

29,614,994

LODGING – 0.89%


Harrah’s Operating Co. Inc.


7.13%, 06/01/07

3,650,000 3,742,622
Marriott International Inc.


4.63%, 06/15/12

750,000 721,869
5.81%, 11/10/15(1)

3,530,000 3,577,231
MGM Mirage


8.50%, 09/15/10

750,000 812,813
Starwood Hotels & Resorts Worldwide Inc.


7.88%, 05/01/12

750,000 826,875

9,681,410

MACHINERY – 0.10%


Case Corp.


7.25%, 01/15/16

750,000 699,375
Columbus McKinnon Corp.


10.00%, 08/01/10

325,000 359,938

1,059,313

MEDIA – 0.42%


CCH I LLC


11.00%, 10/01/15(1)

1,000,000 840,000
Dex Media East LLC


12.13%, 11/15/12

325,000 380,250
Dex Media Inc.


8.00%, 11/15/13

500,000 510,000
DirecTV Holdings LLC


6.38%, 06/15/15

500,000 488,750
Echostar DBS Corp.


6.38%, 10/01/11

250,000 240,625
Liberty Media Corp.


8.25%, 02/01/30

250,000 244,964
Sirius Satellite Radio Inc.


9.63%, 08/01/13(1)

250,000 246,250
Walt Disney Co. (The)


6.38%, 03/01/12

1,500,000 1,586,577

4,537,416

OIL & GAS – 1.46%


Burlington Resources Finance Co.


7.20%, 08/15/31

2,300,000 2,844,610
Chesapeake Energy Corp.


6.88%, 01/15/16

500,000 512,500
Devon Financing Corp. ULC


7.88%, 09/30/31

1,250,000 1,588,374
Dexia Credit Local


4.88%, 07/01/15

1,750,000 1,710,373
Enterprise Products Operating LP


4.63%, 10/15/09

2,000,000 1,950,676
5.75%, 03/01/35

1,500,000 1,379,172
Hilcorp Energy I LP/Hilcorp Finance Co.


7.75%, 11/01/15(1)

250,000 254,375
Kerr-McGee Corp.


6.95%, 07/01/24

250,000 265,171
Parker Drilling Co.


9.63%, 10/01/13

500,000 558,125
Pemex Project Funding Master Trust


8.50%, 02/15/08

1,000,000 1,065,000
Pogo Producing Co.


6.63%, 03/15/15

500,000 487,500
Tesoro Corp.


6.25%, 11/01/12(1)

250,000 251,250
6.63%, 11/01/15(1)

250,000 252,500
Valero Energy Corp.


7.50%, 04/15/32

2,250,000 2,734,405

15,854,031

OIL & GAS SERVICES – 0.01%


Grant Prideco Inc.


6.13%, 08/15/15(1)

100,000 99,750

99,750

PACKAGING & CONTAINERS – 0.07%


Crown Americas Inc.


7.63%, 11/15/13(1)

500,000 518,750
Graham Packaging Co. Inc.


8.50%, 10/15/12

250,000 246,250

765,000

PHARMACEUTICALS – 0.39%


AmerisourceBergen Corp.


5.63%, 09/15/12(1)

1,750,000 1,750,000
5.88%, 09/15/15(1)

250,000 252,188
Coventry Health Care Inc.


5.88%, 01/15/12

1,000,000 1,010,000
6.13%, 01/15/15

750,000 768,750
Omnicare Inc.


6.88%, 12/15/15

250,000 253,750
Warner Chilcott Corp.


8.75%, 02/01/15(1)

250,000 230,000

4,264,688

PIPELINES – 0.71%


ANR Pipeline Co.


8.88%, 03/15/10

500,000 534,358
El Paso Corp.


7.80%, 08/01/31

250,000 249,375


56

Table of Contents
COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
PIPELINES (Continued)


Kinder Morgan Energy Partners LP


6.75%, 03/15/11

$ 4,500,000 $ 4,792,883
Pacific Energy Partners LP


6.25%, 09/15/15(1)

250,000 246,250
SemGroup LP


8.75%, 11/15/15(1)

500,000 511,250
Utilicorp United Inc.


7.63%, 11/15/09

500,000 510,000
Williams Companies Inc.


7.13%, 09/01/11

500,000 519,375
8.75%, 03/15/32

250,000 290,000

7,653,491

REAL ESTATE INVESTMENT TRUSTS – 1.37%


Duke Realty LP


4.76%, 12/22/06

4,250,000 4,255,058
iStar Financial Inc.


5.13%, 04/01/11

4,000,000 3,897,560
5.15%, 03/01/12

1,000,000 968,453
Omega Healthcare Investors Inc.


7.00%, 01/15/16(1)

250,000 247,813
Simon Property Group LP


6.38%, 11/15/07

5,341,000 5,457,669
14,826,553
RETAIL – 0.60%


Asbury Automotive Group Inc.


9.00%, 06/15/12

250,000 250,000
Denny’s Corp./Denny’s Holdings Inc.


10.00%, 10/01/12

500,000 507,500
Staples Inc.


7.38%, 10/01/12

740,000 824,868
Tricon Global Restaurants


7.65%, 05/15/08

3,000,000 3,166,338
8.88%, 04/15/11

1,550,000 1,774,626

6,523,332

SEMICONDUCTORS – 0.05%


Freescale Semiconductor Inc.


6.90%, 07/15/09

500,000 513,750

513,750

TELECOMMUNICATIONS – 4.85%


American Cellular Corp.


10.00%, 08/01/11

500,000 542,500
Ameritech Capital Funding Corp.


6.15%, 01/15/08

1,265,000 1,288,468
AT&T Wireless Services Inc.


8.75%, 03/01/31

1,000,000 1,324,818
CenturyTel Inc.


7.88%, 08/15/12

3,750,000 4,136,033
Cincinnati Bell Inc.


7.00%, 02/15/15

250,000 245,000
Citizens Communications Co.


6.25%, 01/15/13

1,000,000 967,500
Corning Inc.


6.05%, 06/15/15

2,500,000 2,481,103
Deutsche Telekom International


Finance AG


8.00%, 06/15/10

5,000,000 5,668,855
Dobson Communications Corp.


8.88%, 10/01/13

500,000 498,750
France Telecom SA


7.75%, 03/01/11

2,500,000 2,792,348
IWO Holdings Inc.


10.75%, 01/15/15

750,000 541,875
Motorola Inc.


4.61%, 11/16/07

5,700,000 5,664,386
Nextel Communications Inc.


5.95%, 03/15/14

2,200,000 2,211,524
Nextel Partners Inc.


8.13%, 07/01/11

3,000,000 3,206,250
Sprint Capital Corp.


6.00%, 01/15/07

6,000,000 6,058,674
Telecom Italia Capital SA


5.25%, 10/01/15

4,500,000 4,370,765
TELUS Corp.


7.50%, 06/01/07

3,600,000 3,717,486
UbiquiTel Operating Co.


9.88%, 03/01/11

250,000 276,875
US West Communications


6.88%, 09/15/33

250,000 235,000
Verizon New York Inc.


7.38%, 04/01/32

150,000 157,697
Verizon New York Inc. Class A


6.88%, 04/01/12

6,000,000 6,254,580

52,640,487

TRANSPORTATION – 1.57%


Burlington Northern Santa Fe Corp.


7.88%, 04/15/07

4,850,000 5,019,706
CNF Inc.


6.70%, 05/01/34

2,500,000 2,620,815
FedEx Corp.


2.65%, 04/01/07

8,250,000 8,024,915
Norfolk Southern Corp.


7.25%, 02/15/31

652,000 790,880
8.63%, 05/15/10

500,000 566,057

17,022,373

TOTAL CORPORATE BONDS & NOTES

(Cost: $342,038,168)

336,067,289



57

Table of Contents
COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
COLLATERALIZED MORTGAGE OBLIGATIONS – 14.89%


ASSET-BACKED SECURITIES – 3.87%


Aegis Asset Backed Securities Trust Series 2005-1N Class N1


4.25%, 03/25/35(1)(3)

$ 1,644,753 $ 1,639,871
Asset Backed Funding Certificates Series 2005-AQ1 Class A2


4.30%, 06/25/35

7,700,000 7,603,819
Asset Backed Funding Corp NIM Trust Series 2004-OPT4 Class N1


4.45%, 05/26/34(1)

745,536 742,127
Bear Stearns Asset Backed Securities NIM Series 2004-HE5N


Class A2


5.00%, 07/25/34(1)

2,513,000 2,504,136
Bear Stearns Asset Backed Securities NIM Series 2004-HE6N Class A1


5.25%, 08/25/34(1)

1,764,979 1,757,435
Bear Stearns Asset Backed Securities NIM Series 2004-HE7N Class A1


5.25%, 08/25/34(1)(3)

3,467,802 3,463,467
Bear Stearns Asset Backed Securities NIM Series 2005-FR1 Class A1


5.00%, 06/25/35(1)

1,538,193 1,536,155
Bear Stearns Asset Backed Securities NIM Series 2005-HE9N Class A1


5.50%, 10/25/35(1)

4,508,684 4,503,234
Countrywide Asset-Backed Certificates Series 2004-10 Class AF3


3.84%, 10/25/30

4,176,000 4,134,744
Countrywide Asset-Backed Certificates Series 2004-10 Class AF4


4.51%, 07/25/32

7,500,000 7,410,369
Long Beach Asset Holdings Corp. Series 2005-1 Class N1


4.12%, 02/25/35(1)

1,659,873 1,653,953
Novastar NIM Trust Series 2004-N3


3.97%, 03/25/35(1)

2,461,447 2,450,329
Sasco Net Interest Margin Trust Series 2005-WF1A Class A


4.75%, 02/27/35(1)(3)

2,692,253 2,673,744

42,073,383

MORTGAGE-BACKED SECURITIES – 11.02%


Ameriquest Mortgage Securities Inc. Series 2005-R3 Class A1A


4.58%, 05/25/35

3,779,426 3,778,610
Bank of America Alternative Loan Trust Series 2003-5 Class 2A1


5.00%, 07/25/18

3,968,173 3,904,932
Commercial Mortgage Pass Through Certificates Series 2001-J2A Class A1


5.45%, 07/16/34(1)

10,092,028 10,208,627
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CK6 Class A2


6.10%, 08/15/36

8,733,541 8,915,771
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-5 Class 5A1


5.00%, 08/25/19

5,040,793 4,944,705
GE Capital Commercial Mortgage Corp. Series 2003-C2 Class A2


4.17%, 07/10/37

3,200,000 3,129,858
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2001-CIC3 Class A2


6.04%, 11/15/35

2,100,000 2,147,312
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2004-C1 Class A


4.72%, 01/15/38

10,000,000 9,707,874
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP5 Class A3


5.21%, 12/15/44

10,000,000 10,049,707
Master Asset Securitization Trust Series 2003-10 Class 3A1


5.50%, 11/25/33

8,886,353 8,744,287
Master Asset Securitization Trust Series 2003-5 Class 4A4


5.50%, 06/25/33

2,744,200 2,695,778
MASTR Adjustable Rate Mortgages Trust Series 2004-11 Class 2A1


4.76%, 11/25/34

446,735 448,025
Merrill Lynch Mortgage Investors Inc. Series 2005-WMC2 Class A1B


4.64%, 04/25/36

4,891,891 4,892,675
Merrill Lynch Mortgage Trust Series 2004-MKB1 Class A2


4.35%, 02/12/42

3,000,000 2,939,092
Merrill Lynch Mortgage Trust Series 2005-LC1 Class A2


5.20%, 01/12/44

7,000,000 7,032,335
Merrill Lynch Mortgage Trust Series 2005-LC1 Class A3


5.29%, 01/12/44

3,000,000 3,016,232
Opteum NIM Trust Series 2005-1


6.00%, 02/25/35(1)

5,653,394 5,636,000


58

Table of Contents
COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
MORTGAGE-BACKED SECURITIES (Continued)


Option One Mortgage Loan Trust Series 2002-2 Class M2


5.53%, 06/25/32

$ 999,466 $ 1,000,115
Park Place Securities Inc. Series 2004-MHQ1 Class A3


4.74%, 01/25/33

1,980,236 1,982,813
Residential Funding Mortgage Securities I Series 2003-S15 Class A1


4.50%, 08/25/18

2,219,772 2,146,298
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 Class A3


5.13%, 12/15/44(3)

10,000,000 10,048,620
Wachovia Bank Commercial Mortgage Trust Series 2005-WHL6


4.87%, 10/15/17(1)

5,000,000 4,999,508
4.92%, 10/15/17(1)

5,000,000 4,999,508
Wells Fargo Mortgage-Backed Securities Trust Series 2003-10 Class A1


4.50%, 09/25/18

2,335,299 2,259,402

119,628,084

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost: $162,835,377)

161,701,467

FOREIGN GOVERNMENT BONDS & NOTES(4) – 0.42%


United Mexican States


6.63%, 03/03/15

1,500,000 1,642,500
7.50%, 04/08/33

1,000,000 1,184,000
8.38%, 01/14/11

1,500,000 1,710,000

TOTAL FOREIGN GOVERNMENT BONDS & NOTES

(Cost: $4,537,442)

4,536,500

U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 55.72%


MORTGAGE-BACKED SECURITIES – 44.60%


Federal Home Loan Mortgage Corp.


4.50%, 11/01/18

7,873,589 7,679,260
4.50%, 04/15/20

11,513,000 11,068,383
4.57%, 04/15/28

5,266,944 5,263,847
5.00%, 06/15/24

9,324,482 9,315,902
5.50%, 03/15/25

4,185,642 445,968
5.50%, 07/15/26

9,558,163 9,630,644
5.50%, 05/01/34

94,105 93,334
5.50%, 10/01/34

794,367 787,853
5.50%, 06/01/35

14,616,234 14,496,378
5.50%, 01/01/36(5)

22,000,000 21,793,750
6.00%, 08/01/34

30,373,589 30,679,757
Federal National Mortgage Association


4.50%, 05/01/18

5,436,521 5,302,330
4.50%, 07/01/18

8,334,470 8,128,749
4.50%, 11/01/18

5,630,772 5,491,787
4.50%, 04/01/19

6,838,126 6,664,216
4.50%, 06/01/19

5,643,870 5,500,333
4.57%, 06/01/35

8,596,479 8,485,794
5.00%, 06/15/16

7,735,853 7,757,698
5.00%, 01/01/18

1,745,680 1,729,788
5.00%, 09/01/18

10,604,737 10,506,521
5.00%, 12/01/18

901,107 892,761
5.00%, 01/01/19

804,017 796,571
5.00%, 06/01/19

1,714,794 1,698,100
5.00%, 08/01/19

938,915 929,362
5.00%, 09/01/19

838,479 829,947
5.00%, 11/01/19

1,806,740 1,788,356
5.00%, 01/01/20

909,280 899,602
5.00%, 05/01/20

9,144,596 9,047,266
5.00%, 06/01/20

914,046 904,318
5.00%, 01/01/21(5)

49,000,000 48,464,038
5.00%, 11/01/33

60,464,028 58,796,499
5.00%, 12/01/33

19,384,189 18,849,595
5.00%, 03/01/34

9,694,214 9,426,858
5.00%, 09/01/35

466,129 451,660
5.03%, 07/01/35

3,773,742 3,740,580
5.23%, 05/01/35

2,769,189 2,764,348
5.50%, 09/01/19

6,025,231 6,064,692
5.50%, 10/01/19

4,749,134 4,780,237
5.50%, 04/25/26

12,450,161 12,525,306
5.50%, 07/01/33

38,122,959 37,843,385
5.50%, 01/01/34

8,798,489 8,733,965
5.50%, 03/01/35

1,503,459 1,489,050
6.00%, 03/01/33

850,862 859,745
6.00%, 08/01/34

852,500 860,560
6.00%, 09/01/34

1,713,169 1,729,367
6.00%, 10/01/34

937,733 946,600
6.00%, 11/01/34

318,534 321,546
6.00%, 01/01/35

896,725 905,226
6.00%, 05/01/35

20,671,453 20,867,402
6.50%, 09/01/34

11,125,381 11,413,658
6.50%, 01/01/36(5)

23,000,000 23,589,375
Government National Mortgage Association


5.50%, 01/01/36(5)

20,000,000 20,118,760

484,151,027

U.S. GOVERNMENT AGENCY OBLIGATIONS – 3.98%


Federal National Mortgage Association


5.00%, 05/15/22

29,500,000 29,480,262
5.00%, 01/25/25

13,800,000 13,760,235

43,240,497



59

Table of Contents
COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
U.S. GOVERNMENT SECURITIES – 7.14%


U.S. Treasury Bonds


5.38%, 02/15/31(2)

$ 34,050,000 $ 38,247,718
6.13%, 08/15/29(2)

7,800,000 9,501,071
U.S. Treasury Notes


1.63%, 02/28/06(6)

100,000 99,625
2.63%, 05/15/08(6)

398,000 382,329
3.13%, 04/15/09(6)

605,000 582,029
4.00%, 02/15/14(2)

29,500,000 28,700,284

77,513,056

TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS

(Cost: $611,392,664)

604,904,580

SHORT-TERM INVESTMENTS – 14.56%


CERTIFICATES OF DEPOSIT(7) – 0.34%


Banco Bilbao Vizcaya Argentaria SA


3.83%, 01/25/06

208,271 208,271
Credit Suisse First Boston NY


4.03%, 01/04/06

208,271 208,271
First Tennessee Bank


4.18%, 01/26/06

64,564 64,561
Fortis Bank NY


3.83% - 3.84%, 01/25/06

624,814 624,815
Toronto-Dominion Bank


3.94%, 07/10/06

208,271 208,271
Wells Fargo Bank N.A.


4.26% - 4.78%,


01/09/06 - 12/05/06

1,791,133 1,791,129
Wilmington Trust Corp.


4.24% - 4.30%,


01/27/06 - 01/31/06

624,814 624,817

3,730,135

COMMERCIAL PAPER(7) – 1.69%


Amstel Funding Corp.


3.91% - 4.40%,


01/04/06 - 05/08/06

1,270,455 1,264,208
Bryant Park Funding LLC


3.92%, 02/22/06

106,289 105,710
CAFCO LLC


4.19% - 4.23%,


01/27/06 - 02/06/06

895,567 892,426
CC USA Inc.


4.23%, 04/21/06

124,963 123,377
Charta LLC


4.25%, 01/26/06

312,407 311,559
Chesham Finance LLC


4.22% - 4.30%,


01/03/06 - 01/30/06

1,271,809 1,270,293
CRC Funding LLC


4.19% - 4.25%,


01/27/06 - 02/06/06

1,532,877 1,527,783
Dorada Finance Inc.


3.76%, 01/26/06

41,654 41,554
Ebury Finance Ltd.


4.30%, 01/30/06

583,160 581,279
Edison Asset Securitization LLC


4.37%, 05/08/06

208,271 205,111
Ford Credit Auto Receivables


4.22% - 4.23%, 01/17/06

345,730 345,163
Ford Credit Floorplan Motown


4.05%, 01/06/06

833,085 832,804
Galaxy Funding Inc.


4.23%, 04/18/06

119,548 118,073
Gemini Securitization Corp.


4.25%, 01/30/06

208,271 207,607
Georgetown Funding Co. LLC


4.23% - 4.28%,


01/05/06 - 01/19/06

2,038,930 2,037,453
Giro Funding US Corp.


4.23% - 4.24%,


01/09/06 - 01/13/06

354,061 353,762
Grampian Funding LLC


3.84% - 4.41%,


01/31/06 - 05/15/06

624,814 620,203
HSBC PLC


3.88%, 02/03/06

124,963 124,545
Jupiter Securitization Corp.


4.23%, 01/24/06

145,790 145,430
Liberty Street Funding Corp.


4.23%, 01/04/06

166,617 166,597
Lockhart Funding LLC


4.01% - 4.30%,


01/04/06 - 01/23/06

516,513 515,879
Mortgage Interest Networking Trust


4.28% - 4.34%,


01/17/06 - 01/25/06

437,370 436,436
Nordea North America Inc.


4.16%, 04/04/06

437,370 432,771
Prudential Funding LLC


4.27%, 01/17/06

833,085 831,702
Santander Central Hispano Finance Inc.


3.91%, 02/17/06

416,543 414,507
Sedna Finance Inc.


3.92%, 02/21/06

104,136 103,580
Sigma Finance Inc.


4.16%, 04/06/06

249,926 247,240
Solitaire Funding Ltd.


4.24%, 01/23/06

1,021,904 1,019,497
Thames Asset Global Securitization No. 1 Inc.


4.23%, 01/04/06

111,708 111,695
Three Pillars Funding Corp.


4.03% - 4.27%,


01/03/06 - 01/17/06

1,327,613 1,327,297


60

Table of Contents
COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Shares or
Principal Value
COMMERCIAL PAPER (Continued)


Thunder Bay Funding Inc.


4.22%, 01/13/06

$ 41,654 $ 41,605
Ticonderoga Funding LLC


4.27%, 01/05/06

104,136 104,111
Tulip Funding Corp.


4.25% - 4.28%,


01/03/06 - 01/31/06

1,466,072 1,462,400

18,323,657

LOAN PARTICIPATIONS(7) – 0.02%


Army & Air Force Exchange Service


4.24%, 02/01/06

208,271 208,271

208,271

MEDIUM-TERM NOTES(7) – 0.13%


Dorada Finance Inc.


3.93%, 07/07/06

129,128 129,122
K2 USA LLC


3.94%, 07/07/06

249,926 249,919
Marshall & Ilsley Bank


5.18%, 12/15/06

416,543 417,901
Toronto-Dominion Bank


3.81%, 06/20/06

520,678 520,702
US Bank N.A.


2.85%, 11/15/06

83,309 81,981

1,399,625

MONEY MARKET FUNDS – 7.33%


Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares


4.25%(8)(9)

79,553,299 79,553,299

79,553,299

REPURCHASE AGREEMENTS(7) – 0.80%


Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $2,083,724 and an effective yield of 4.37%.(10)

$ 2,082,713 2,082,713
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $166,697 and an effective yield of 4.32%.(10)

166,617 166,617
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $3,333,948 and an effective yield of 4.34%.(11)

3,332,341 3,332,341
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $3,125,573 and an effective yield of 4.33%.(11)

3,124,070 3,124,070

8,705,741

TIME DEPOSITS(7) – 0.31%


UBS AG


4.06%, 01/03/06

2,499,256 2,499,256
Wells Fargo Bank N.A.


4.00%, 01/03/06

862,997 862,997

3,362,253

VARIABLE & FLOATING RATE NOTES(7) – 3.94%


Allstate Life Global Funding II


4.36% - 4.43%,


11/09/06 - 01/16/07(1)

1,464,147 1,464,505
American Express Bank


4.33% - 4.34%,


01/24/06 - 10/25/06

1,603,689 1,603,682
American Express Centurion Bank


4.33% - 4.34%,


06/29/06 - 07/19/06

687,295 687,295
American Express Credit Corp.


4.39%, 11/06/07

124,963 125,089
ASIF Global Financing


4.34% - 4.55%,


05/30/06 - 08/11/06(1)

1,353,764 1,354,330
Australia & New Zealand Banking Group Ltd.


4.35%, 01/23/07(1)

270,753 270,753
Bank of America N.A.


4.31%, 08/10/06

2,082,713 2,082,713
Bank of Ireland


4.34%, 12/20/06(1)

416,543 416,543
Bank of Nova Scotia


4.22%, 01/03/06

166,617 166,617
Beta Finance Inc.


4.29% - 4.33%,


04/25/06 - 06/09/06(1)

1,037,191 1,037,151
BMW US Capital LLC


4.34%, 12/15/06(1)

416,543 416,543
CC USA Inc.


4.32% - 4.35%,


03/23/06 - 07/14/06(1)

1,120,500 1,120,475
Commodore CDO Ltd.


4.56%, 06/13/06(1)

104,136 104,136
Credit Suisse First Boston NY


4.31% - 4.35%


05/09/06 - 07/19/06

1,457,900 1,457,900


61

Table of Contents
COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


DEPFA Bank PLC


4.50%, 12/15/06

$ 416,543 $ 416,543
Descartes Funding Trust


4.37%, 11/15/06(1)

187,444 187,444
Dexia Credit Local


4.33%, 08/30/06

208,271 208,244
Dorada Finance Inc.


4.33% - 4.36%,


03/27/06 - 06/26/06(1)

662,303 662,315
Eli Lilly Services Inc.


4.26%, 09/01/06(1)

416,543 416,543
Fairway Finance Corp.


4.32% - 4.42%,


01/18/06 - 01/20/06
Fifth Third Bancorp.


4.35%, 11/22/06(1)

833,085 833,085
Five Finance Inc.


4.34% - 4.37%,


02/27/06 - 06/26/06(1)

291,580 291,580
General Electric Capital Corp.


4.44%, 01/09/07

187,444 187,596
Greenwich Capital Holdings Inc.


4.25% - 4.32%,


02/10/06 - 03/02/06

312,407 312,407
Hartford Life Global Funding Trusts


4.36%, 02/17/07

416,543 416,543
HBOS Treasury Services PLC


4.32% - 4.57%,


01/10/06 - 10/24/06

1,249,628 1,249,629
Holmes Financing PLC


4.33%, 12/15/06(1)

1,145,492 1,145,492
HSBC Bank USA N.A.


4.27% - 4.39%,


05/04/06 - 08/03/06

354,061 354,143
K2 USA LLC


4.25% - 4.36%,


02/15/06 - 09/11/06(1)

1,207,974 1,207,927
Leafs LLC


4.37%, 01/20/06 - 02/21/06(1)

436,737 436,737
Links Finance LLC


4.32% - 4.40%,


01/20/06 - 03/15/06(1)

1,416,245 1,416,291
Lothian Mortgages PLC


4.37%, 01/24/06(1)

208,271 208,271
Marshall & Ilsley Bank


4.35% - 4.47%,


02/20/06 - 12/15/06

645,641 645,707
Metropolitan Life Global Funding I


4.31% - 4.55%,


08/28/06 - 01/05/07(1)

1,245,462 1,246,135
Mound Financing PLC


4.30%, 11/08/06(1)

833,085 833,085
Natexis Banques Populaires


4.35%, 01/12/07(1)

312,407 312,407
National City Bank (Ohio)


4.26%, 01/06/06

208,271 208,271
Nationwide Building Society


4.33% - 4.58%,


01/13/06 - 01/26/07(1)

1,541,208 1,541,262
Nordea Bank AB


4.34%, 12/11/06(1)

728,950 728,950
Nordea Bank PLC


4.23%, 10/02/06

249,926 249,882
Northern Rock PLC


4.32%, 11/03/06(1)

499,851 499,868
Permanent Financing PLC


4.32%, 03/10/06 - 06/12/06(1)

1,132,996 1,132,996
Pfizer Investment Capital PLC


4.33%, 12/15/06(1)

1,041,357 1,041,357
Principal Life Income Funding Trusts


4.29%, 05/10/06

312,407 312,412
Royal Bank of Scotland


4.32% - 4.33%,


06/27/06 - 08/30/06

624,814 624,744
Sedna Finance Inc.


4.33% - 4.34%,


01/10/06 - 09/20/06(1)

354,061 354,060
Sigma Finance Inc.


4.07% - 4.35%,


01/09/06 - 08/15/06(1)

878,905 878,895
Skandinaviska Enskilda Bank NY


4.36%, 11/16/06(1)

416,543 416,543
Societe Generale


4.26% - 4.32%,


03/30/06 - 01/02/07(1)

645,641 645,613
Strips III LLC


4.43%, 07/24/06(1)(12)

112,348 112,348
SunTrust Bank


4.19%, 04/28/06

624,814 624,814
Tango Finance Corp.


4.33% - 4.34%,


05/25/06 - 09/27/06(1)

928,890 928,826
Toyota Motor Credit Corp.


4.23% - 4.30%,


01/09/06 - 04/10/06

916,394 916,391
Unicredito Italiano SpA


4.43%, 06/14/06

541,505 541,420
Union Hamilton Special Funding LLC


4.52%, 03/28/06(1)

416,543 416,543
US Bank N.A.


4.31%, 09/29/06

187,444 187,408
Variable Funding Capital Corp.


4.29% - 4.32%,


02/16/06 - 03/13/06

1,353,764 1,353,764
Wachovia Asset Securitization Inc.


4.37%, 01/25/06(1)

859,483 859,483
Wells Fargo & Co.


4.36%, 09/15/06(1)

208,271 208,285


62

Table of Contents
COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Principal Value
VARIABLE & FLOATING RATE NOTES (Continued)


WhistleJacket Capital LLC


4.33% - 4.35%,


01/17/06 - 07/28/06(1)

$ 458,197 $ 458,167
White Pine Finance LLC


4.32% - 4.37%,


01/13/06 - 06/20/06(1)

853,912 853,905
Winston Funding Ltd.


4.26%, 01/23/06(1)

297,411 297,411
World Savings Bank


4.29%, 03/09/06

624,814 624,808

42,730,824

TOTAL SHORT-TERM INVESTMENTS

(Cost: $158,013,805)

158,013,805

TOTAL INVESTMENTS IN SECURITIES – 116.55%

(Cost: $1,278,817,456)

1,265,223,641

SECURITIES SOLD SHORT – (6.49)%


U.S. GOVERNMENT AGENCY OBLIGATIONS – (6.49)%


Federal National Mortgage Association


4.50%, 01/01/21(5)

(60,000,000 ) (58,368,720 )
6.00%, 01/01/36(5)

(12,000,000 ) (12,108,744 )

(70,477,464 )

TOTAL SECURITIES SOLD SHORT

(Proceeds: $70,131,484)

(70,477,464 )

Other Assets, Less Liabilities – (10.06)%

(109,163,846 )

NET ASSETS – 100.00%

$ 1,085,582,331

(1) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(2) All or a portion of this security represents a security on loan. See Note 4.
(3) Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1.
(4) Investments are denominated in U.S. dollars.
(5) To-be-announced (TBA). See Note 1.
(6) These U.S. Treasury Notes are held in segregated accounts in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.
(7) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.
(8) The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.
(9) The rate quoted is the annualized seven-day yield of the fund at period end.
(10) Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.
(11) Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
(12) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
As of December 31, 2005, the open futures contracts held by the Master Portfolio were as follows:



Futures Contracts

(Expiration Date)

Number of
Contracts Notional
Contract Value Net
Unrealized
Appreciation
(Depreciation)
U.S. 5-Year Note (03/31/06)

592 $ 62,955,500 $ 100,649
U.S. 10-Year Note (03/31/06)

194 21,224,813 54,466
U.S. 2-Year Note (03/31/06)

(100 ) (20,518,750 ) (711 )
U.S. Long Bond (03/31/06)

(5 ) (570,938 ) 767
90-Day Euro (03/13/06)

(210 ) (49,993,125 ) 631,669

$ 786,840

As of December 31, 2005, the Master Portfolio held the following open swap contracts:



Description

Notional
Amount Net
Unrealized
Appreciation
(Depreciation)
Interest Rate Swaps


Agreement with Deutsche Bank AG dated 12/1/05 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 4.98%. Expiring 12/5/10.

$ 9,000,000 $ 38,038
Agreement with Deutsche Bank AG dated 12/1/05 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 5.10%. Expiring 12/5/15.

5,000,000 57,469
Agreement with J.P. Morgan Chase & Co. dated 11/4/05 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 5.19%. Expiring 11/8/15.

40,000,000 753,933

$ 849,440



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Table of Contents
COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Description

Notional
Amount Net
Unrealized
Appreciation
(Depreciation)
Credit Default Swaps


Agreement with J.P. Morgan Chase & Co. dated 11/8/05 to receive 1.80% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Knight-Ridder, Inc. 4.63% due 11/1/14. Expiring 12/20/10.

$ 750,000 $ (17,279 )
Agreement with J.P. Morgan Chase & Co. dated 12/13/04 to receive 1.50% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Shaw Communications, Inc. 8.25% due 4/11/10. Expiring 3/20/10.

3,000,000 7,457
Agreement with J.P. Morgan Chase & Co. dated 12/8/04 to receive 1.63% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Shaw Communications, Inc. 7.20% due 12/15/11. Expiring 3/20/10.

1,000,000 7,305
Agreement with J.P. Morgan Chase & Co. dated 3/15/04 to receive 0.22% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Deere & Co. 6.95% due 4/25/14. Expiring 3/20/07.

2,000,000 3,807
Agreement with J.P. Morgan Chase & Co. dated 9/1/04 to receive 1.19% per year times the notional amount. The Master Portfolio makes payment only upon a default event of iStar Financial Inc. 6.00% due 12/15/10. Expiring 12/20/09.

2,000,000 49,213
Agreement with J.P. Morgan Chase & Co. dated 9/20/05 to pay 0.85% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Dow Jones Credit Derivatives Index, Investment Grade High Volatility. Expiring 12/20/10.

26,000,000 119,064
Agreement with Lehman Brothers, Inc. dated 9/20/05 to receive 0.85% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Dow Jones Credit Derivatives Index, Investment Grade High Volatility. Expiring 12/20/10.

28,000,000 36,635

$ 206,202

Swaptions


Agreement with J.P. Morgan Chase & Co. dated 6/23/04. Option to enter into a ten-year interest rate swap, receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 6.46%. Expiring 6/23/09.

18,200,000 $ 276,729

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



64

Table of Contents
MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2005

LifePath Retirement Master Portfolio



Security Type

Value % of Net
Assets
Domestic Fixed Income

$ 149,115,210 64.65 %
Domestic Equity

59,816,409 25.93
Foreign Equity

20,707,183 8.98
Short-Term and Other Net Assets

1,026,184 0.44

TOTAL

$ 230,664,986 100.00 %

LifePath 2010 Master Portfolio



Security Type

Value % of Net
Assets
Domestic Fixed Income

$ 358,006,967 53.76 %
Domestic Equity

224,561,314 33.72
Foreign Equity

77,817,026 11.68
Short-Term and Other Net Assets

5,606,455 0.84

TOTAL

$ 665,991,762 100.00 %

LifePath 2020 Master Portfolio



Security Type

Value % of Net
Assets
Domestic Equity

$ 499,953,533 46.94 %
Domestic Fixed Income

381,902,290 35.86
Foreign Equity

171,355,455 16.09
Short-Term and Other Net Assets

11,878,343 1.11

TOTAL

$ 1,065,089,621 100.00 %

LifePath 2030 Master Portfolio



Security Type

Value % of Net
Assets
Domestic Equity

$ 380,934,625 56.29 %
Domestic Fixed Income

148,830,081 21.99
Foreign Equity

131,175,776 19.38
Short-Term and Other Net Assets

15,804,053 2.34

TOTAL

$ 676,744,535 100.00 %

LifePath 2040 Master Portfolio



Security Type

Value % of Net
Assets
Domestic Equity

$ 288,367,524 66.15 %
Foreign Equity

87,364,875 20.04
Domestic Fixed Income

47,727,754 10.95
Short-Term and Other Net Assets

12,469,420 2.86

TOTAL

$ 435,929,573 100.00 %

Active Stock Master Portfolio



Sector/Investment Type

Value % of Net
Assets
Consumer Non-Cyclical

$ 293,920,576 24.73 %
Financial

269,301,737 22.66
Communications

108,820,518 9.16
Technology

135,324,371 11.39
Energy

121,736,991 10.25
Consumer Cyclical

112,878,043 9.50
Industrial

102,976,820 8.67
Utilities

30,744,279 2.59
Basic Materials

36,322,372 3.06
Futures Contracts

(109,694 ) (0.01 )
Short-Term and Other Net Assets

(23,703,516 ) (2.00 )

TOTAL

$ 1,188,212,497 100.00 %

CoreAlpha Bond Master Portfolio



Sector/Investment Type

Value % of Net
Assets
Mortgage-Backed Securities

$ 603,779,111 55.62 %
Financial

136,367,210 12.56
Government

125,290,053 11.54
Communications

58,559,077 5.39
Asset-Backed Securities

42,073,383 3.88
Consumer Non-Cyclical

39,942,316 3.68
Utilities

27,671,835 2.55
Consumer Cyclical

26,985,465 2.49
Energy

23,607,272 2.17
Industrial

19,315,436 1.78
Basic Materials

2,786,178 0.26
Technology

513,750 0.05
Diversified

318,750 0.03
Futures Contracts

786,840 0.07
Swap Agreements

1,332,371 0.12
Securities sold short

(70,477,464 ) (6.49 )
Short-Term and Other Net Assets

46,730,748 4.30

TOTAL

$ 1,085,582,331 100.00 %

These tables are not part of the financial statements.



65

Table of Contents
MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005




LifePath Retirement

Master Portfolio


LifePath 2010

Master Portfolio


LifePath 2020

Master Portfolio


LifePath 2030

Master Portfolio


LifePath 2040

Master Portfolio

ASSETS


Investments, at cost:


Unaffiliated issuers

$ 5,336,000 $ 25,765,197 $ 63,802,720 $ 22,965,347 $ 20,164,300

Affiliated issuers(a)

$ 31,090,488 $ 107,594,042 $ 225,662,056 $ 172,851,197 $ 120,948,081

Investments, at value (including securities on loan(b)) (Note 1):


Unaffiliated issuers

$ 5,336,000 $ 25,765,197 $ 63,802,720 $ 22,965,347 $ 20,164,300
Affiliated issuers(a)

36,815,418 128,969,374 269,561,511 203,833,902 140,192,023
Affiliated Master Portfolios(a)

194,746,436 536,151,688 791,318,626 463,831,338 287,746,719
Receivables:


Investment securities sold

— 2,596,179 6,174,506 11,946,858 9,914,299
Dividends and interest

7,240 22,486 56,688 29,946 26,075
Contributions

500,000 2,900,000 6,200,000 12,000,000 10,000,000

Total Assets

237,405,094 696,404,924 1,137,114,051 714,607,391 468,043,416

LIABILITIES


Payables:


Investment securities purchased

1,402,114 4,641,185 8,208,199 14,886,965 11,941,502
Collateral for securities on loan (Note 4)

5,336,000 25,765,197 63,802,720 22,965,347 20,164,300
Investment advisory fees (Note 2)

1,994 6,780 13,511 10,544 8,041

Total Liabilities

6,740,108 30,413,162 72,024,430 37,862,856 32,113,843

NET ASSETS

$ 230,664,986 $ 665,991,762 $ 1,065,089,621 $ 676,744,535 $ 435,929,573

(a) The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.
(b) Securities on loan with market values of $5,146,800, $24,940,120, $62,066,220, $22,288,140 and $19,460,138, respectively. See Note 4.



Active Stock

Master Portfolio


CoreAlpha Bond

Master Portfolio

ASSETS


Investments, at cost:


Unaffiliated issuers

$ 1,201,629,443 $ 1,199,264,157

Affiliated issuers(a)

$ 5,678,236 $ 79,553,299

Investments in securities, at value (including securities on loan(b)) (Note 1):


Unaffiliated issuers

$ 1,292,755,700 $ 1,185,670,342
Affiliated issuers(a)

5,678,236 79,553,299
Deposits with brokers for securities sold short

— 70,128,184
Receivables:


Investment securities sold

— 3,711,183
Dividends and interest

1,343,388 9,512,069
Open swap contracts (Note 1)

— 1,377,891

Total Assets

1,299,777,324 1,349,952,968

LIABILITIES


Payables:


Investment securities purchased

30,799,882 113,775,609
Due to broker — variation margin

25,175 39,926
Collateral for securities on loan (Note 4)

80,383,023 78,460,506
Collateral for open swap contracts (Note 1)

— 1,300,000
Securities sold short, at value (Proceeds: $– and $70,131,484) (Note 1)

— 70,477,464
Investment advisory fees (Note 2)

254,819 226,523
Administration fees (Note 2)

101,928 90,609

Total Liabilities

111,564,827 264,370,637

NET ASSETS

$ 1,188,212,497 $ 1,085,582,331

(a) The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.
(b) Securities on loan with market values of $78,026,181 and $76,971,543, respectively. See Note 4.
The accompanying notes are an integral part of these financial statements.



66

Table of Contents
MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005




LifePath Retirement

Master Portfolio


LifePath 2010

Master Portfolio


LifePath 2020

Master Portfolio


LifePath 2030

Master Portfolio


LifePath 2040

Master Portfolio


NET INVESTMENT INCOME


Dividends from unaffiliated issuers

$ — $ 1,074 $ 342 $ 1,169 $ 2,258
Dividends from affiliated issuers(a)

512,280 1,889,612 4,016,734 3,052,899 2,053,097
Dividends allocated from Master Portfolios

789,644 3,042,511 6,759,395 5,013,233 3,581,713
Interest from affiliated issuers(a)

36,146 95,882 168,482 116,802 98,880
Interest allocated from Master Portfolios

5,979,819 13,687,107 14,243,966 5,333,687 1,584,714
Securities lending income(b)

24,190 91,085 196,855 109,331 66,343
Expenses allocated from Master Portfolios

(617,232 ) (1,646,298 ) (2,396,553 ) (1,368,143 ) (801,566 )

Total investment income

6,724,847 17,160,973 22,989,221 12,258,978 6,585,439

EXPENSES (Note 2)


Investment advisory fees

725,245 2,019,704 3,161,333 1,918,836 1,163,948

Total expenses

725,245 2,019,704 3,161,333 1,918,836 1,163,948
Less investment advisory fees waived

(705,820 ) (1,958,427 ) (3,044,450 ) (1,835,917 ) (1,104,688 )

Net expenses

19,425 61,277 116,883 82,919 59,260

Net investment income

6,705,422 17,099,696 22,872,338 12,176,059 6,526,179

REALIZED AND UNREALIZED GAIN (LOSS)


Net realized gain from sale of investments in unaffiliated issuers

1,850 10,261 13,853 6,612 12,242
Net realized gain from sale of investments in affiliated issuers(a)

758,064 1,477,255 1,695,224 1,283,308 898,117
Net realized gain allocated from Master Portfolios

1,305,346 5,814,636 15,873,044 11,596,547 8,561,455
Net realized gain on foreign currency transactions

— 19 4 17 —
Net change in unrealized appreciation (depreciation) of investments

2,522,349 10,022,232 22,017,109 16,152,224 10,779,663
Net change in unrealized appreciation (depreciation) allocated from Master Portfolios

(1,009,411 ) (173,395 ) 5,183,113 6,584,677 5,977,225
Net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies

(439 ) (1,291 ) (3,618 ) (1,378 ) (1,150 )

Net realized and unrealized gain

3,577,759 17,149,717 44,778,729 35,622,007 26,227,552

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

$ 10,283,181 $ 34,249,413 $ 67,651,067 $ 47,798,066 $ 32,753,731

(a) The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.
(b) Includes income earned from issuers of which the Master Portfolios’ investment adviser is an affiliate. See Note 2.
The accompanying notes are an integral part of these financial statements.



67

Table of Contents
MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005




Active Stock

Master Portfolio


CoreAlpha Bond

Master Portfolio


NET INVESTMENT INCOME


Dividends from unaffiliated issuers(a)

$ 19,186,573 $ —
Interest from unaffiliated issuers

14,939 36,815,684
Interest from affiliated issuers(b)

157,842 4,053,886
Securities lending income(c)

62,217 162,324

Total investment income

19,421,571 41,031,894

EXPENSES


Investment advisory fees (Note 2)

2,619,386 2,259,038
Administration fees (Note 2)

1,047,754 903,616
Interest expense on short sales

— 16,989

Total expenses

3,667,140 3,179,643

Net investment income

15,754,431 37,852,251

REALIZED AND UNREALIZED GAIN (LOSS)


Net realized gain (loss) from sale of investments in unaffiliated issuers

49,213,750 (5,193,987 )
Net realized gain (loss) on futures contracts

204,107 (645,701 )
Net realized loss on swap contracts

— (843,804 )
Net change in unrealized appreciation (depreciation) of investments

30,000,781 (14,032,269 )
Net change in unrealized appreciation (depreciation) of futures contracts

(152,447 ) 715,345
Net change in unrealized appreciation (depreciation) of securities sold short

— (340,682 )
Net change in unrealized appreciation (depreciation) of swap contracts

— 367,573

Net realized and unrealized gain (loss)

79,266,191 (19,973,525 )

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

$ 95,020,622 $ 17,878,726

(a) Net of foreign withholding tax of $828 and $ —, respectively.
(b) The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.
(c) Includes income earned from issuers of which the Master Portfolios’ investment adviser is an affiliate. See Note 2.
The accompanying notes are an integral part of these financial statements.



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STATEMENTS OF CHANGES IN NET ASSETS



LifePath Retirement Master Portfolio LifePath 2010 Master Portfolio
For the
year ended
December 31, 2005 For the
year ended
December 31, 2004 For the
year ended
December 31, 2005 For the
year ended
December 31, 2004
INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 6,705,422 $ 4,064,479 $ 17,099,696 $ 9,521,401
Net realized gain

2,065,260 6,723,311 7,302,171 19,706,190
Net change in unrealized appreciation (depreciation)

1,512,499 1,295,008 9,847,546 6,868,671

Net increase in net assets resulting from operations

10,283,181 12,082,798 34,249,413 36,096,262

Interestholder transactions:


Contributions

92,431,167 165,649,858 241,472,922 381,914,274
Withdrawals

(52,923,002 ) (98,229,192 ) (102,507,218 ) (163,689,096 )

Net increase in net assets resulting from interestholder transactions

39,508,165 67,420,666 138,965,704 218,225,178

Increase in net assets

49,791,346 79,503,464 173,215,117 254,321,440
NET ASSETS:


Beginning of year

180,873,640 101,370,176 492,776,645 238,455,205

End of year

$ 230,664,986 $ 180,873,640 $ 665,991,762 $ 492,776,645

LifePath 2020 Master Portfolio LifePath 2030 Master Portfolio
For the
year ended
December 31, 2005 For the
year ended
December 31, 2004 For the
year ended
December 31, 2005 For the
year ended
December 31, 2004
INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 22,872,338 $ 14,874,419 $ 12,176,059 $ 7,469,272
Net realized gain

17,582,125 19,502,624 12,886,484 33,016,584
Net change in unrealized appreciation (depreciation)

27,196,604 37,235,104 22,735,523 5,172,895

Net increase in net assets resulting from operations

67,651,067 71,612,147 47,798,066 45,658,751

Interestholder transactions:


Contributions

396,332,869 537,563,465 281,688,243 341,379,439
Withdrawals

(124,842,737 ) (354,707,063 ) (85,036,609 ) (179,195,644 )

Net increase in net assets resulting from interestholder transactions

271,490,132 182,856,402 196,651,634 162,183,795

Increase in net assets

339,141,199 254,468,549 244,449,700 207,842,546
NET ASSETS:


Beginning of year

725,948,422 471,479,873 432,294,835 224,452,289

End of year

$ 1,065,089,621 $ 725,948,422 $ 676,744,535 $ 432,294,835

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



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LifePath 2040 Master Portfolio
For the year
ended
December 31,
2005 For the year
ended
December 31,
2004
INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 6,526,179 $ 4,098,676
Net realized gain

9,471,814 4,988,726
Net change in unrealized appreciation (depreciation)

16,755,738 19,707,923

Net increase in net assets resulting from operations

32,753,731 28,795,325

Interestholder transactions:


Contributions

245,110,300 196,012,271
Withdrawals

(76,545,321 ) (152,070,048 )

Net increase in net assets resulting from interestholder transactions

168,564,979 43,942,223

Increase in net assets

201,318,710 72,737,548
NET ASSETS:


Beginning of year

234,610,863 161,873,315

End of year

$ 435,929,573 $ 234,610,863



Active Stock Master Portfolio CoreAlpha Bond Master Portfolio
For the year ended
December 31,
2005 For the period
March 15,
2004 (a) to
December 31,
2004 For the year ended
December 31,
2005 For the period
March 15,
2004 (a) to
December 31,
2004
INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 15,754,431 $ 10,779,499 $ 37,852,251 $ 16,778,720
Net realized gain (loss)

49,417,857 20,580,275 (6,683,492 ) (3,269,330 )
Net change in unrealized appreciation (depreciation)

29,848,334 61,168,229 (13,290,033 ) 577,649

Net increase in net assets resulting from operations

95,020,622 92,528,003 17,878,726 14,087,039

Interestholder transactions:


Contributions

275,385,000 982,486,302 363,341,556 868,565,757
Withdrawals

(36,000,000 ) (221,207,430 ) (19,545,000 ) (158,745,747 )

Net increase in net assets resulting from interestholder transactions

239,385,000 761,278,872 343,796,556 709,820,010

Increase in net assets

334,405,622 853,806,875 361,675,282 723,907,049
NET ASSETS:


Beginning of period

853,806,875 — 723,907,049 —

End of period

$ 1,188,212,497 $ 853,806,875 $ 1,085,582,331 $ 723,907,049

(a) Commencement of operations.
The accompanying notes are an integral part of these financial statements.



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NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company organized as a Delaware statutory trust. As of December 31, 2005, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

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

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

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

RESTRUCTURING OF THE LIFEPATH MASTER PORTFOLIOS

As of March 15, 2004, the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Master Portfolios (each, a “LifePath Master Portfolio,” collectively, the “LifePath Master Portfolios”) converted to a fund-of-funds structure. Consequently, as of March 15, 2004, each LifePath Master Portfolio seeks to achieve its investment objective by investing in a combination of stock, bond and money market funds (the “Underlying Funds”) in proportions suggested by its own comprehensive investment strategy. The Underlying Funds are advised by Barclays Global Fund Advisors (“BGFA”), and include the Active Stock and CoreAlpha Bond Master Portfolios, the Barclays Global Investors Funds Institutional Money Market Fund and exchange-traded funds in the iShares® family of funds.

SECURITY VALUATION

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

The value of each LifePath Master Portfolio’s investment in each of the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio reflects that LifePath Master Portfolio’s proportionate interest in the net assets of that Master Portfolio. As of December 31, 2005, the interests of the Active Stock and CoreAlpha Bond Master Portfolios held by each LifePath Master Portfolio were as follows:



Master Portfolio

Active Stock
Master Portfolio CoreAlpha Bond
Master Portfolio
LifePath Retirement

3.84 % 13.74 %
LifePath 2010

14.99 32.98
LifePath 2020

34.46 35.18
LifePath 2030

26.51 13.71
LifePath 2040

20.20 4.39


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SECURITY TRANSACTIONS AND INCOME RECOGNITION

Security transactions are accounted for on trade date. Dividend income is recognized on the ex-dividend date, net of any foreign tax withheld at source, and interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premiums and accrete discounts on debt securities purchased, using a constant yield to maturity method.

Each LifePath Master Portfolio records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of the Active Stock and CoreAlpha Bond Master Portfolios. In addition, each LifePath Master Portfolio accrues its own expenses.

FOREIGN CURRENCY TRANSLATION

The accounting records of the Master Portfolios are maintained in U.S. dollars. Foreign currencies, investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates deemed appropriate by the investment adviser. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars on the respective dates of such transactions.

Each Master Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities. Such fluctuations are reflected by the Master Portfolios as a component of realized and unrealized gains and losses from investments for financial reporting purposes.

FEDERAL INCOME TAXES

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

It is intended that each Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualification not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2005, the aggregate unrealized appreciation and depreciation based on cost for federal income tax purposes for the Master Portfolios were as follows:



Master Portfolio

Tax Cost Unrealized
Appreciation Unrealized
Depreciation Net Unrealized
Appreciation
(Depreciation)
LifePath Retirement(a)

$ 36,431,724 $ 5,719,694 $ — $ 5,719,694
LifePath 2010(a)

133,373,584 21,360,987 — 21,360,987
LifePath 2020(a)

289,467,483 43,896,748 — 43,896,748
LifePath 2030(a)

195,844,901 30,954,348 — 30,954,348
LifePath 2040(a)

141,122,970 19,233,353 — 19,233,353
Active Stock

1,214,209,405 119,821,656 (35,597,125 ) 84,224,531
CoreAlpha Bond

1,278,826,172 3,165,099 (16,767,630 ) (13,602,531 )
(a) Tax cost information does not include investments in the underlying Master Portfolios.
FUTURES CONTRACTS

The Active Stock and CoreAlpha Bond Master Portfolios may purchase futures contracts to gain exposure to market changes, as this may be more efficient or cost effective than actually buying the securities. A futures contract is an agreement between two parties to buy and sell a security at a set price on a future date and is exchange-traded. Upon entering into a



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futures contract, a Master Portfolio is required to pledge to the broker an amount of cash, U.S. Government securities or other high-quality debt and equity securities equal to the minimum “initial margin” requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the Master Portfolio as receivables or payables in the accompanying Statements of Assets and Liabilities. When the contract is closed, the Master Portfolio records a “realized gain (loss) on futures contracts” in its Statement of Operations, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Pursuant to regulations and/or published positions of the U.S. Securities and Exchange Commission (“SEC”), the Master Portfolio is required to segregate cash, U.S. Government securities or high-quality, liquid debt instruments and equity securities in connection with futures transactions. Risks of entering into futures contracts include the possibility that there may be an illiquid market and that a change in the value of the contracts may not correlate with changes in the value of the underlying securities. The amount at risk for futures contracts may exceed the amount reflected in the financial statements.

The Active Stock and CoreAlpha Bond Master Portfolios have pledged to brokers U.S. Treasury Bills or U.S. Treasury Notes with face amounts of $350,000 and $1,103,000, respectively, for initial margin requirements.

WHEN ISSUED/TBA TRANSACTIONS

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

REPURCHASE AGREEMENTS

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

SWAP AGREEMENTS

The CoreAlpha Bond Master Portfolio may enter into index and interest-rate swap transactions. Index swaps involve the exchange by the Master Portfolio with another party of cash flows based upon the performance of an index of securities or a portion of an index of securities that usually include, but are not limited to, dividends or income. Interest-rate swaps involve the exchange by the Master Portfolio with another party of their respective commitments to pay or receive interest. If the Master Portfolio enters into a swap transaction, cash or securities may be posted by or to the Master Portfolio as collateral in accordance with the terms of the swap agreement. Upon early termination of a swap agreement due to an event of default or termination event with respect to the Master Portfolio or the other party, the risk of loss to the Master Portfolio would generally be limited to the net amount of payments that the Master Portfolio is contractually obligated to make if, after exercising in accordance with the swap agreement the rights with respect to early close-out of the swap transaction or swap transactions, it is determined that the Master Portfolio would be obligated to make a net payment with respect to the swap transaction or swap transactions. In the event the other party to the swap transaction or swap transactions is to owe a net amount to the Master Portfolio upon an early termination of the swap agreement as described above, the Master Portfolio could be exposed to the risk of loss in the event that any collateral held by the Master Portfolio would be insufficient. As of December 31, 2005, the Master Portfolio did not hold any index swap contracts. Details of interest-rate swaps held by the Master Portfolio as of December 31, 2005 are included in its Schedule of Investments.

The CoreAlpha Bond Master Portfolio may also enter into credit default swaps to protect against credit risks associated with securities issued by or loans entered into by certain companies (each, as used in this discussion, a “reference entity”



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in the case of a particular company and an “Obligation” in the case of a loan or security) and to sell protection to a counterparty against credit risks associated with certain reference entities. In a cash-settled credit default swap where the Master Portfolio is buying protection, the Master Portfolio makes a stream of fixed payments to the counterparty in exchange for the right to receive compensation for the loss in market value of the designated Obligation that is being hedged, in the event the reference entity experiences a credit event, such as a material loan or bond default, restructuring or bankruptcy. In a cash-settled credit default swap where the Master Portfolio is selling protection, the Master Portfolio would be compensated for assuming the transfer of credit risk from the counterparty by receiving the fixed premium over the life of the transaction. Alternatively, if the credit default swap were to be physically settled, the counterparty, as seller of protection, would agree that if a specified credit event occurs, it would take delivery of an Obligation specified by the Master Portfolio and pay to the Master Portfolio an amount equal to the notional amount of the transaction. In exchange for this risk protection, the Master Portfolio would pay the counterparty a fixed premium over the specified life of the credit default swap. In instances where the Master Portfolio sells protection, the Master Portfolio would be compensated for assuming the transfer of credit risk from the counterparty by receiving a fixed premium over the life of the credit default swap. The Master Portfolio would be required to compensate the counterparty for loss in the market value of the designated Obligation if the reference entity suffered a credit event and the credit default swap were to be cash-settled. In the event that the transaction were to be physically settled on the occurrence of a specified credit event with respect to the reference entity, the Master Portfolio would be required to take physical delivery of an Obligation specified at the time of the occurrence of the relevant credit event and would pay to the counterparty an amount equal to notional amount of the transaction. Details of credit default swaps held by the Master Portfolio as of December 31, 2005 are included in its Schedule of Investments.

OPTIONS ON SWAP AGREEMENTS

The CoreAlpha Bond Master Portfolio may write (sell) and purchase put and call options on swaps. An option on a swap (commonly referred to as a “swaption”) is a contract that gives a counterparty the right (but not the obligation) in return for payment of a premium, to enter into a new swap transaction at some designated future time on specified terms as described in the swaption. Depending on the terms of the particular swaption, the Master Portfolio may incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When the Master Portfolio purchases a swaption, it risks losing only the amount of the premium it has paid if the Master Portfolio decides to let the swaption expire unexercised. When the Master Portfolio writes a swaption, upon exercise of the swaption, the Master Portfolio becomes obligated according to the terms of the underlying agreement. Details of swaptions held by the Master Portfolio as of December 31, 2005 are included in its Schedule of Investments.

SHORT SALES

The CoreAlpha Bond Master Portfolio may make short sales of securities as part of its overall portfolio management strategies or to offset potential declines in long positions in similar securities. A short sale involves the sale of securities, with the ultimate obligation to deliver these securities. To make delivery to the buyer of the securities, the seller purchases or borrows the securities to offset the short obligation. When making a short sale, the Master Portfolio must cover its position. Short sales expose the Master Portfolio to the risk that it will be required to acquire, convert or exchange securities to replace the securities sold short at a time when the securities sold short have appreciated in value, thus resulting in a loss to the Master Portfolio. The successful use of short selling may be adversely affected by an imperfect correlation between movements in the price of the security sold short and the securities being hedged. The amount at risk for short sales may exceed the amount reflected in the financial statements. Details of short sales held by the Master Portfolio as of December 31, 2005 are included in its Schedule of Investments.

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with each Master Portfolio, BGFA provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC.



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For its investment advisory services to the following Master Portfolios, BGFA is entitled to receive an annual investment advisory fee based on the average daily net assets for each Master Portfolio as follows:



Master Portfolio

Investment
Advisory Fee
LifePath Retirement

0.35 %
LifePath 2010

0.35
LifePath 2020

0.35
LifePath 2030

0.35
LifePath 2040

0.35
Active Stock

0.25
CoreAlpha Bond

0.25
BGFA has agreed to waive investment advisory fees charged to the LifePath Master Portfolios in an amount equal to investment advisory fees and administration fees, if any, charged to the Underlying Funds. For the year ended December 31, 2005, BGFA waived investment advisory fees as follows:



Master Portfolio

Waived Investment
Advisory Fees
LifePath Retirement

$ 705,820
LifePath 2010

1,958,427
LifePath 2020

3,044,450
LifePath 2030

1,835,917
LifePath 2040

1,104,688
MIP has entered into an administration services arrangement with Barclays Global Investors, N.A. (“BGI”) which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Master Portfolios’ custodian, financial printer, legal counsel and independent registered public accounting firm), to the Master Portfolios. BGI is not entitled to compensation for providing administration services to the LifePath Master Portfolios, for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the LifePath Master Portfolios, or BGI (or an affiliate) receives investment advisory fees from the LifePath Master Portfolios. BGI is entitled to receive a monthly fee for administration services from each of the Active Stock and CoreAlpha Bond Master Portfolios at an annual rate of 0.10% of their respective average daily net assets. BGI may delegate certain of its administration duties to sub-administrators.

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

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

Pursuant to an exemptive order issued by the SEC, BGI serves as securities lending agent for MIP. BGI is an affiliate of BGFA, the Master Portfolios’ investment adviser. As securities lending agent, BGI receives, as fees, a share of the income earned on investment of the cash collateral received for the loan of securities. For the year ended December 31, 2005, BGI earned securities lending agent fees as follows:



Master Portfolio

Securities Lending
Agent Fees
LifePath Retirement

$ 24,190
LifePath 2010

91,085
LifePath 2020

196,855
LifePath 2030

109,331
LifePath 2040

66,343
Active Stock

62,217
CoreAlpha Bond

162,324
Barclays Global Investors Services (“BGIS”), a subsidiary of BGI, may serve as a broker-dealer for the Master Portfolios. For the year ended December 31, 2005, BGIS did not receive any brokerage commissions from the Master Portfolios.



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Pursuant to Rule 17a-7 under the 1940 Act, the Active Stock Master Portfolio executed cross trades for the year ended December 31, 2005. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter, for compliance with the requirements and restrictions set forth by Rule 17a-7.

Pursuant to an exemptive order issued by the SEC, each Master Portfolio may invest in the Institutional Shares of the Government Money Market Fund (“GMMF”), Institutional Money Market Fund (“IMMF”) and Prime Money Market Fund (“PMMF”) of Barclays Global Investors Funds. The GMMF, IMMF and PMMF are feeder funds in a master/feeder fund structure that invest substantially all of their assets in the Government Money Market Master Portfolio, Money Market Master Portfolio and Prime Money Market Master Portfolio, respectively, which are managed by BGFA, the Master Portfolios’ investment adviser. The GMMF, IMMF and PMMF are open-end money market funds available to institutional and accredited investors, including other investment companies managed by BGFA. The GMMF, IMMF and PMMF seek a high level of income consistent with liquidity and the preservation of capital. While the GMMF, IMMF and PMMF do not directly charge an investment advisory fee, the Master Portfolios in which they invest do charge an investment advisory fee. Income distributions from the GMMF, IMMF and PMMF are declared daily and paid monthly from net investment income. Income distributions earned by the Master Portfolios from temporary cash investments or from investment of securities lending collateral are recorded as either interest from affiliated issuers or securities lending income, respectively, in the accompanying Master Portfolios’ Statements of Operations.

The Master Portfolios may invest in the shares of exchange-traded funds (“ETFs”), including shares of ETFs of which BGI is an affiliate, to obtain exposure to the bond and stock markets while maintaining flexibility to meet the liquidity needs of the Master Portfolios.

The following table provides information about the investment by each Master Portfolio in shares of issuers of which BGFA is an affiliate, other than the Active Stock and CoreAlpha Bond Master Portfolios, for the year ended December 31, 2005, including income earned from these affiliated issuers and net realized capital gains (losses) from sales of these affiliated issuers.



Master Portfolio and

Name of Affiliated Issuer

Number of
Shares Held
Beginning of
Year (in 000s) Gross
Additions
(in 000s) Gross
Reductions
(in 000s) Number of
Shares Held
End of Year
(in 000s) Value at End
of Year Dividend and
Interest
Income
Net

Realized

Gain (Losss)


LifePath Retirement


IMMF

1,282 286,998 286,357 1,923 $ 1,923,052 $ 36,146 $ —
iShares MSCI EAFE Index Fund(a)

291 88 31 348 20,707,183 380,837 294,683
iShares Russell 2000 Index Fund(b)

66 30 96 — — 20,584 173,452
iShares S&P 500 Index Fund

— 45 45 — — 408 (9,576 )
iShares S&P MidCap 400 Index Fund(b)

64 72 10 126 9,307,730 82,369 116,318
iShares S&P SmallCap 600 Index Fund(a)

— 137 53 84 4,877,453 28,082 183,187
LifePath 2010


IMMF

3,359 762,891 761,514 4,736 4,735,755 95,882 —
iShares MSCI EAFE Index Fund(a)

1,080 247 18 1,309 77,817,026 1,452,287 161,840
iShares Russell 2000 Index Fund(b)

214 85 299 — — 63,570 603,503
iShares S&P 500 Index Fund

— 231 231 — — 16,305 18,723
iShares S&P MidCap 400 Index Fund(b)

198 243 21 420 31,005,668 265,484 265,025
iShares S&P SmallCap 600 Index Fund(a)

— 405 138 267 15,410,925 91,966 428,164


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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)





Master Portfolio and

Name of Affiliated Issuer

Number of
Shares Held
Beginning of
Year (in 000s) Gross
Additions
(in 000s) Gross
Reductions
(in 000s) Number of
Shares Held
End of Year
(in 000s)
Value at End

of Year

Dividend and
Interest
Income Net
Realized
Gain (Loss)
LifePath 2020


IMMF

4,950 1,366,577 1,363,858 7,669 $ 7,668,859 $ 168,482 $ —
iShares MSCI EAFE Index Fund(a)

2,133 809 60 2,882 171,355,455 3,175,506 490,634
iShares Russell 2000 Index Fund(b)

344 197 541 — — 112,800 918,896
iShares S&P 500 Index Fund

— 722 722 — — 51,756 (527,888 )
iShares S&P MidCap 400 Index Fund(b)

316 499 — 815 60,175,782 504,208 —
iShares S&P SmallCap 600 Index Fund(a)

— 720 195 525 30,361,415 172,464 813,582
LifePath 2030


IMMF

3,255 930,370 926,900 6,725 6,724,758 116,802 —
iShares MSCI EAFE Index Fund(a)

1,518 738 50 2,206 131,175,766 2,424,240 375,253
iShares Russell 2000 Index Fund(b)

222 137 359 — — 73,732 582,191
iShares S&P 500 Index Fund

— 717 717 — — 82,975 (211,570 )
iShares S&P MidCap 400 Index Fund(b)

206 393 3 596 44,013,065 351,128 27,735
iShares S&P SmallCap 600 Index Fund(a)

— 522 143 379 21,920,303 120,824 509,699
LifePath 2040


IMMF

1,776 727,524 724,821 4,479 4,478,589 98,880 —
iShares MSCI EAFE Index Fund(a)

876 649 56 1,469 87,364,875 1,616,525 412,422
iShares Russell 2000 Index Fund(b)

134 100 234 — — 46,738 334,360
iShares S&P 500 Index Fund

— 809 809 — — 58,353 (373,791 )
iShares S&P MidCap 400 Index Fund(b)

124 335 21 438 32,334,953 246,557 273,875
iShares S&P SmallCap 600 Index Fund(a)

— 347 70 277 16,013,606 84,924 251,251
Active Stock


IMMF

4,370 1,116,208 1,114,900 5,678 5,678,236 148,109 —
CoreAlpha Bond


IMMF

92,515 31,601,881 31,614,843 79,553 79,553,299 4,053,886 —
(a) Shares were adjusted to reflect a 3:1 stock split effective June 9, 2005.
(b) Shares were adjusted to reflect a 2:1 stock split effective June 9, 2005.
During the year ended December 31, 2005, the Master Portfolios invested cash collateral from securities on loan in the GMMF, IMMF and PMMF. Due to the nature of the structure of the joint account used for the investment of the collateral for securities on loan, the information reported above for each Master Portfolio does not include the Master Portfolio’s holdings of the GMMF, IMMF and PMMF in connection with the investment of collateral for securities on loan.

Certain officers and trustees of MIP are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of the Master Portfolios’ outstanding beneficial interests.



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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)



3. INVESTMENT PORTFOLIO TRANSACTIONS

Investment transactions (excluding short-term investments and investments in any underlying Master Portfolios) for the Master Portfolios for the year ended December 31, 2005 were as follows:



U.S. Government Obligations Other Securities
Master Portfolio

Purchases Sales Purchases Sales
LifePath Retirement

$ — $ — $ 62,826,920 $ 22,137,432
LifePath 2010

— — 210,741,466 69,720,111
LifePath 2020

— — 424,044,391 150,645,124
LifePath 2030

— — 330,361,150 131,596,174
LifePath 2040

— — 295,552,120 125,708,523
Active Stock

— — 814,789,331 565,895,884
CoreAlpha Bond

2,349,398,409 2,162,222,648 438,961,818 241,285,488
4. PORTFOLIO SECURITIES LOANED

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

As of December 31, 2005, the Master Portfolios had loaned securities which were collateralized by cash. Pursuant to an exemptive order issued by the SEC, the cash collateral received was invested in a joint account with other investment funds managed by BGFA. The joint account invests in securities with remaining maturities of 397 days or less, repurchase agreements and money market mutual funds, including money market funds managed by BGFA. Repurchase agreements held in the joint account are fully collateralized by U.S. Government securities and non-U.S. Government debt securities. Income from the joint account is allocated daily to each Master Portfolio, based on each Master Portfolio’s portion of the total cash collateral received. The market value of the securities on loan as of December 31, 2005 and the value of the related collateral are disclosed in the Master Portfolios’ Statements of Assets and Liabilities. Securities lending income, which is disclosed in the Master Portfolios’ Statements of Operations, is presented net of rebates paid to, or fees paid by, borrowers.

5. FINANCIAL HIGHLIGHTS

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



Master Portfolio

Year Ended
December 31,
2005 Year Ended
December 31,
2004 (a) Year Ended
December 31,
2003 Period Ended
December 31,
2002 (b) Year Ended
February 28,
2002 Year Ended
February 28,
2001
LifePath Retirement


Ratio of expenses to average net
assets(c)(d)

0.31 % 0.31 % 0.35 % 0.35 % 0.46 % 0.55 %
Ratio of expenses to average net assets prior to waived
fees(c)(e)

0.65 % 0.60 % n/a n/a n/a n/a
Ratio of net investment income to average net assets(c)(d)

3.24 % 2.46 % 2.27 % 2.98 % 3.73 %(f) 4.40 %
Ratio of net investment income to average net assets prior to waived fees(c)(e)

2.90 % 2.17 % n/a n/a n/a n/a
Portfolio turnover rate(g)

11 % 138 %(h) 29 % 56 % 116 % 58 %
Total return

4.82 % 6.85 % 12.45 % (1.36 )%(i) 2.68 % 6.56 %


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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)





Master Portfolio

Year Ended
December 31,
2005 Year Ended
December 31,
2004 (a) Year Ended
December 31,
2003 Period Ended
December 31,
2002 (b) Year Ended
February 28,
2002 Year Ended
February 28,
2001
LifePath 2010


Ratio of expenses to average net assets(c)(d)

0.30 % 0.30 % 0.35 % 0.35 % 0.46 % 0.55 %
Ratio of expenses to average net assets prior to waived
fees(c)(e)

0.64 % 0.59 % n/a n/a n/a n/a
Ratio of net investment income to average net assets(c)(d)

2.96 % 2.32 % 2.12 % 2.49 % 3.11 %(f) 3.49 %
Ratio of net investment income to average net assets prior to waived fees(c)(e)

2.62 % 2.03 % n/a n/a n/a n/a
Portfolio turnover rate(g)

12 % 130 %(h) 23 % 72 % 86 % 54 %
Total return

5.70 % 7.88 % 16.16 % (6.43 )%(i) (0.70 )% 2.13 %
LifePath 2020


Ratio of expenses to average net assets(c)(d)

0.28 % 0.29 % 0.35 % 0.35 % 0.44 % 0.55 %
Ratio of expenses to average net assets prior to waived
fees(c)(e)

0.62 % 0.57 % n/a n/a n/a n/a
Ratio of net investment income to average net assets(c)(d)

2.53 % 2.05 % 2.04 % 2.14 % 2.23 %(f) 2.38 %
Ratio of net investment income to average net assets prior to waived fees(c)(e)

2.19 % 1.77 % n/a n/a n/a n/a
Portfolio turnover rate(g)

17 % 140 %(h) 23 % 67 % 86 % 39 %
Total return

7.04 % 9.77 % 21.11 % (10.18 )%(i) (4.99 )% (3.14 )%
LifePath 2030


Ratio of expenses to average net assets(c)(d)

0.26 % 0.28 % 0.35 % 0.35 % 0.46 % 0.55 %
Ratio of expenses to average net assets prior to waived
fees(c)(e)

0.60 % 0.56 % n/a n/a n/a n/a
Ratio of net investment income to average net assets(c)(d)

2.22 % 1.93 % 1.98 % 1.81 % 1.74 %(f) 1.72 %
Ratio of net investment income to average net assets prior to waived fees(c)(e)

1.88 % 1.65 % n/a n/a n/a n/a
Portfolio turnover rate(g)

24 % 138 %(h) 32 % 68 % 53 % 27 %
Total return

8.13 % 11.28 % 24.36 % (13.05 )%(i) (7.82 )% (5.59 )%
LifePath 2040


Ratio of expenses to average net assets(c)(d)

0.26 % 0.28 % 0.35 % 0.35 % 0.49 % 0.55 %
Ratio of expenses to average net assets prior to waived
fees(c)(e)

0.59 % 0.56 % n/a n/a n/a n/a
Ratio of net investment income to average net assets(c)(d)

1.96 % 1.74 % 1.86 % 1.57 % 1.13 %(f) 0.90 %
Ratio of net investment income to average net assets prior to waived fees(c)(e)

1.63 % 1.46 % n/a n/a n/a n/a
Portfolio turnover rate(g)

38 % 147 %(h) 29 % 62 % 15 % 20 %
Total return

8.74 % 11.93 % 28.14 % (15.63 )%(i) (10.48 )% (10.41 )%
Active Stock


Ratio of expenses to average net assets(c)

0.35 % 0.35 % n/a n/a n/a n/a
Ratio of net investment income to average net assets(c)

1.50 % 1.57 % n/a n/a n/a n/a
Portfolio turnover rate(g)

54 % 70 % n/a n/a n/a n/a
Total return

8.79 % 10.40 %(i) n/a n/a n/a n/a
CoreAlpha Bond


Ratio of expenses to average net assets(c)

0.35 % 0.35 % n/a n/a n/a n/a
Ratio of net investment income to average net assets(c)

4.19 % 3.08 % n/a n/a n/a n/a
Portfolio turnover rate(g)

270 % 313 % n/a n/a n/a n/a
Total return

1.98 % 1.30 %(i) n/a n/a n/a n/a
(a) For the period from March 15, 2004 (commencement of operations) to December 31, 2004 for the Active Stock and CoreAlpha Bond Master Portfolios.


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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)



(b) For the ten months ended December 31, 2002. The LifePath Master Portfolios changed their fiscal year-end from February 28 to December 31.
(c) Annualized for periods of less than one year.
(d) Ratio includes the LifePath Master Portfolio’s pro rata portion of the expenses of the underlying Master Portfolios and reflects BGFA’s voluntary waiver of investment advisory fees charged to the LifePath Master Portfolio in an amount equal to investment advisory fees and administration fees, if any, charged to the Underlying Funds, including the underlying Master Portfolios.
(e) Ratio includes the LifePath Master Portfolio’s pro rata portion of the expenses of the underlying Master Portfolios.
(f) Effective March 1, 2001, the LifePath Master Portfolios adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratio of net investment income to average net assets for the LifePath Master Portfolios for the year ended February 28, 2002. Ratios for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy.
(g) Portfolio turnover rates include in-kind transactions, if any.
(h) Portfolio turnover rate reflects the restructure of the LifePath Master Portfolio to a fund-of-funds structure.
(i) Not annualized.


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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the LifePath Retirement Master Portfolio, LifePath 2010 Master Portfolio, LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, LifePath 2040 Master Portfolio, Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio, each a portfolio of Master Investment Portfolio (the “Master Portfolios”), at December 31, 2005, and the results of each of their operations for the year then ended and the changes in each of their net assets and their financial highlights for each of the periods presented after February 28, 2001, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

The financial highlights of the Portfolios as of February 28, 2001 and for the year then ended were audited by other auditors, whose report dated April 13, 2001 expressed an unqualified opinion on those financial highlights.



PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006



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MASTER INVESTMENT PORTFOLIO

TRUSTEE INFORMATION — UNAUDITED

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

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



82

Table of Contents
LOGO

Table of Contents
LOGO

Table of Contents
TABLE OF CONTENTS



Shareholder Expenses

1
Barclays Global Investors Funds
Financial Statements

2
Financial Highlights

6
Notes to the Financial Statements

8
Report of Independent Registered Public Accounting Firm

12
Trustee Information (Unaudited)

13
Master Investment Portfolio
Schedules of Investments

15
Government Money Market Master Portfolio

15
Money Market Master Portfolio

16
Prime Money Market Master Portfolio

19
Treasury Money Market Master Portfolio

23
Portfolio Allocations (Unaudited)

24
Financial Statements

25
Notes to the Financial Statements

27
Report of Independent Registered Public Accounting Firm

30
Trustee Information (Unaudited)

31
Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

Shareholder Expenses

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2005 to December 31, 2005.

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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



Fund

Beginning
Account Value
(July 1, 2005) Ending
Account Value
(December 31, 2005) Annualized
Expense Ratio(a) Expenses Paid
During Period (b)
(July 1 to
December 31, 2005)
Government Money Market


Institutional Shares


Actual

$ 1,000.00 $ 1,018.90 0.03 % $ 0.15
Hypothetical (5% return before expenses)

1,000.00 1,025.03 0.03 0.15
Institutional Money Market


Institutional Shares


Actual

1,000.00 1,019.00 0.08 0.41
Hypothetical (5% return before expenses)

1,000.00 1,024.81 0.08 0.41
Prime Money Market


Institutional Shares


Actual

1,000.00 1,018.80 0.10 0.51
Hypothetical (5% return before expenses)

1,000.00 1,024.71 0.10 0.51
Treasury Money Market


Institutional Shares


Actual

1,000.00 1,032.00 0.00 0.00
Hypothetical (5% return before expenses)

1,000.00 1,025.21 0.00 0.00
(a) This ratio includes expenses charged to the corresponding Master Portfolio and includes investment advisory and administration fees voluntarily waived during the period.
(b) Expenses are calculated using each Fund’s annualized expense ratio of the Institutional Shares (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).


1

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005



Government
Money Market Fund Institutional
Money Market Fund Prime
Money Market Fund Treasury
Money Market Fund
ASSETS


Investments:


In corresponding Master Portfolio, at value (Note 1)

$ 394,466,966 $ 5,411,656,356 $ 9,870,959,765 $ 103,493,497

Total Assets

394,466,966 5,411,656,356 9,870,959,765 103,493,497

LIABILITIES


Payables:


Distribution to shareholders

1,195,056 19,546,725 33,699,305 397,552
Administration fees (Note 2)

13,486 100,339 242,194 622
Distribution fees – Aon Captives Shares (Note 2)

— 20,025 — —

Total Liabilities

1,208,542 19,667,089 33,941,499 398,174

NET ASSETS

$ 393,258,424 $ 5,391,989,267 $ 9,837,018,266 $ 103,095,323

Net assets consist of:


Paid-in capital

$ 393,258,424 $ 5,391,955,951 $ 9,836,998,750 $ 103,095,323
Undistributed net investment income

— 3,747 13,322 —
Undistributed net realized gain

— 29,569 6,194 —

NET ASSETS

$ 393,258,424 $ 5,391,989,267 $ 9,837,018,266 $ 103,095,323

Aon Captives Shares


Net Assets

$ — $ 77,898,550 $ — $ —

Shares outstanding

— 77,897,975 — —

Net asset value and offering price per share

$ — $ 1.00 $ — $ —

Institutional Shares


Net Assets

$ 169,200,207 $ 3,485,876,124 $ 6,521,818,007 $ 100,342,539

Shares outstanding

169,200,207 3,485,858,584 6,521,801,171 100,342,539

Net asset value and offering price per share

$ 1.00 $ 1.00 $ 1.00 $ 1.00

Premium Shares


Net Assets

$ 183,242,766 $ 1,803,170,990 $ 3,233,738,277 $ 2,546,403

Shares outstanding

183,242,766 1,803,159,587 3,233,735,056 2,546,403

Net asset value and offering price per share

$ 1.00 $ 1.00 $ 1.00 $ 1.00

Select Shares


Net Assets

$ 40,712,298 $ 24,940,220 $ 81,358,616 $ 103,339

Shares outstanding

40,712,298 24,940,211 81,359,157 103,339

Net asset value and offering price per share

$ 1.00 $ 1.00 $ 1.00 $ 1.00

Trust Shares


Net Assets

$ 103,153 $ 103,383 $ 103,366 $ 103,042

Shares outstanding

103,153 103,383 103,366 103,042

Net asset value and offering price per share

$ 1.00 $ 1.00 $ 1.00 $ 1.00

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



2

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005



Government
Money Market
Fund Institutional
Money Market
Fund Prime Money
Market Fund Treasury
Money
Market Fund
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO


Interest

$ 29,369,301 $ 218,145,682 $ 412,793,534 $ 685,155
Expenses(a)

(121,718 ) (3,442,469 ) (9,771,810 ) —

Net investment income allocated from corresponding Master Portfolio

29,247,583 214,703,213 403,021,724 685,155

FUND EXPENSES (Note 2)


Administration fees

288,345 2,559,241 5,282,707 5,000
Distribution fees – Aon Captives Shares

— 95,721 — —

Total fund expenses

288,345 2,654,962 5,282,707 5,000
Less administration fees waived

(163,899 ) (1,312,234 ) (2,322,017 ) (3,428 )

Net fund expenses

124,446 1,342,728 2,960,690 1,572

Net investment income

29,123,137 213,360,485 400,061,034 683,583

REALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO


Net realized gain

— 32,325 8,607 —

Net realized gain

— 32,325 8,607 —

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

$ 29,123,137 $ 213,392,810 $ 400,069,641 $ 683,583

(a) Net of investment advisory fee waivers by the Master Portfolios’ investment adviser in the amounts of $799,065, $3,129,635, $2,766,658, and $17,151, respectively.
The accompanying notes are an integral part of these financial statements.



3

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS



Government Money Market Fund Institutional Money Market Fund
For the
year ended
December 31, 2005 For the period
September 1, 2004(a)
to December 31, 2004 For the
year ended
December 31, 2005 For the
year ended
December 31, 2004
INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 29,123,137 $ 2,579,760 $ 213,360,485 $ 67,218,571
Net realized gain (loss)

— — 32,325 (2,753 )

Net increase in net assets resulting from operations

29,123,137 2,579,760 213,392,810 67,215,818

Distributions to shareholders:


From net investment income:


Aon Captives Shares

— — (2,943,319 ) (1,141,062 )
Institutional Shares

(22,103,787 ) (2,578,006 ) (129,993,058 ) (54,192,310 )
Premium Shares

(6,585,019 ) (622 ) (79,980,794 ) (11,848,951 )
Select Shares

(431,372 ) (605 ) (440,285 ) (35,557 )
Trust Shares

(2,959 ) (527 ) (2,975 ) (745 )

(29,123,137 ) (2,579,760 ) (213,360,431 ) (67,218,625 )

Total distributions to shareholders

(29,123,137 ) (2,579,760 ) (213,360,431 ) (67,218,625 )

Capital share transactions (Note 3):


Aon Captives Shares

— — (28,534,415 ) 51,033,638
Institutional Shares

(278,900,244 ) 448,100,451 (138,646,363 ) (373,719,853 )
Premium Shares

183,142,328 100,438 585,770,940 927,289,984
Select Shares

40,611,873 100,425 18,227,811 6,712,400
Trust Shares

2,785 100,368 2,796 100,587

Net increase (decrease) in net assets resulting from capital share transactions

(55,143,258 ) 448,401,682 436,820,769 611,416,756

Increase (decrease) in net assets

(55,143,258 ) 448,401,682 436,853,148 611,413,949
NET ASSETS:


Beginning of period

448,401,682 — 4,955,136,119 4,343,722,170

End of period

$ 393,258,424 $ 448,401,682 $ 5,391,989,267 $ 4,955,136,119

Undistributed (distributions in excess of) net investment income included in net assets at end of period

$ — $ — $ 3,747 $ (54 )

(a) Commencement of operations.
The accompanying notes are an integral part of these financial statements.



4

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)



Prime Money Market Fund Treasury Money Market Fund

For the

year ended
December 31, 2005


For the

year ended
December 31, 2004


For the

year ended
December 31, 2005

For the period
September 1, 2004(a)
to
December 31, 2004
INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 400,061,034 $ 84,316,610 $ 683,583 $ 2,274
Net realized gain

8,607 55,136 — —

Net increase in net assets resulting from operations

400,069,641 84,371,746 683,583 2,274

Distributions to shareholders:


From net investment income:


Institutional Shares

(231,155,121 ) (54,101,221 ) (590,271 ) (609 )
Premium Shares

(166,418,165 ) (29,887,264 ) (87,324 ) (592 )
Select Shares

(2,484,802 ) (327,158 ) (3,114 ) (575 )
Trust Shares

(2,946 ) (753 ) (2,874 ) (498 )

(400,061,034 ) (84,316,396 ) (683,583 ) (2,274 )

From net realized gain:


Institutional Shares

— (32,824 ) — —
Premium Shares

— (11,403 ) — —

— (44,227 ) — —

Total distributions to shareholders

(400,061,034 ) (84,360,623 ) (683,583 ) (2,274 )

Capital share transactions (Note 3):


Institutional Shares

520,868,715 3,033,857,069 100,242,105 100,434
Premium Shares

(2,013,369,862 ) 4,282,862,178 2,445,981 100,422
Select Shares

(88,977,243 ) 170,336,400 2,930 100,409
Trust Shares

2,775 100,591 2,691 100,351

Net increase (decrease) in net assets resulting from capital share transactions

(1,581,475,615 ) 7,487,156,238 102,693,707 401,616

Increase (decrease) in net assets

(1,581,467,008 ) 7,487,167,361 102,693,707 401,616
NET ASSETS:


Beginning of period

11,418,485,274 3,931,317,913 401,616 —

End of period

$ 9,837,018,266 $ 11,418,485,274 $ 103,095,323 $ 401,616

Undistributed net investment income included in net assets at end of period

$ 13,322 — — —

(a) Commencement of operations.
The accompanying notes are an integral part of these financial statements.



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BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)



Government Money Market
Fund — Institutional Shares
Year ended
Dec. 31, 2005 Period from
Sep. 1, 2004 (a)
to Dec. 31, 2004
Net asset value, beginning of period

$ 1.00 $ 1.00

Income from investment operations:


Net investment income

0.03 0.01

Total from investment operations

0.03 0.01

Less distributions from:


Net investment income

(0.03 ) (0.01 )

Total distributions

(0.03 ) (0.01 )

Net asset value, end of period

$ 1.00 $ 1.00

Total return

3.28 % 0.64 %(b)

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 169,200 $ 448,100
Ratio of expenses to average net assets(c)

0.03 % 0.00 %
Ratio of expenses to average net assets prior to waived fees(c)

0.12 % 0.12 %
Ratio of net investment income to average net assets(c)

3.04 % 1.93 %
Ratio of net investment income to average net assets prior to waived fees(c)

2.95 % 1.81 %


Institutional Money Market Fund — Institutional Shares
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Year ended
Dec. 31, 2003 Year ended
Dec. 31, 2002 Year ended
Dec. 31, 2001
Net asset value, beginning of year

$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00

Income from investment operations:


Net investment income

0.03 0.01 0.01 0.02 0.04
Net realized gain (loss)

(0.00 )(d) (0.00 )(d) 0.00 (d) — —

Total from investment operations

0.03 0.01 0.01 0.02 0.04

Less distributions from:


Net investment income

(0.03 ) (0.01 ) (0.01 ) (0.02 ) (0.04 )
Net realized gain

— — (0.00 )(d) (0.00 )(d) (0.00 )(d)

Total distributions

(0.03 ) (0.01 ) (0.01 ) (0.02 ) (0.04 )

Net asset value, end of year

$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00

Total return

3.29 % 1.39 % 1.14 % 1.83 % 4.23 %

Ratios/Supplemental data:


Net assets, end of year (000s)

$ 3,485,876 $ 3,624,503 $ 3,998,225 $ 3,327,652 $ 1,202,381
Ratio of expenses to average net assets(e)

0.05 % 0.06 % 0.12 % 0.12 % 0.12 %
Ratio of expenses to average net assets prior to waived fees(e)

0.12 % 0.12 % n/a n/a n/a
Ratio of net investment income to average net assets(e)

3.26 % 1.37 % 1.13 % 1.77 % 3.04 %
Ratio of net investment income to average net assets prior to waived fees(e)

3.19 % 1.31 % n/a n/a n/a
(a) Commencement of operations.
(b) Not annualized.
(c) Annualized for periods of less than one year. These ratios include expenses charged to the Government Money Market Master Portfolio.
(d) Rounds to less than $0.01.
(e) These ratios include expenses charged to the Money Market Master Portfolio.
The accompanying notes are an integral part of these financial statements.



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BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)




Prime Money Market Fund —

Institutional Shares


Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Period from
Apr. 16, 2003 (a)
to Dec. 31, 2003
Net asset value, beginning of period

$ 1.00 $ 1.00 $ 1.00

Income from investment operations:


Net investment income

0.03 0.01 0.01
Net realized gain (loss)

0.00 (b) 0.00 (b) (0.00 )(b)

Total from investment operations

0.03 0.01 0.01

Less distributions from:


Net investment income

(0.03 ) (0.01 ) (0.01 )
Net realized gain

— (0.00 )(b) (0.00 )(b)

Total distributions

(0.03 ) (0.01 ) (0.01 )

Net asset value, end of period

$ 1.00 $ 1.00 $ 1.00

Total return

3.26 % 1.40 % 0.80 %(c)

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 6,521,818 $ 6,000,944 $ 2,967,075
Ratio of expenses to average net assets(d)

0.08 % 0.04 % 0.03 %
Ratio of expenses to average net assets prior to waived fees(d)

0.12 % 0.12 % n/a
Ratio of net investment income to average net assets(d)

3.28 % 1.45 % 1.10 %
Ratio of net investment income to average net assets prior to waived fees(d)

3.24 % 1.37 % n/a


Treasury Money Market Fund —
Institutional Shares
Year ended
Dec. 31, 2005 Period from
Sep. 1, 2004 (a)
to Dec. 31, 2004
Net asset value, beginning of period

$ 1.00 $ 1.00

Income from investment operations:


Net investment income

0.03 0.01

Total from investment operations

0.03 0.01

Less distributions from:


Net investment income

(0.03 ) (0.01 )

Total distributions

(0.03 ) (0.01 )

Net asset value, end of period

$ 1.00 $ 1.00

Total return

3.20 % 0.61 %(c)

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 100,343 $ 100
Ratio of expenses to average net assets(e)

0.00 % 0.00 %
Ratio of expenses to average net assets prior to waived fees(e)

0.12 % 0.12 %
Ratio of net investment income to average net assets(e)

4.03 % 1.82 %
Ratio of net investment income to average net assets prior to waived fees(e)

3.91 % 1.70 %
(a) Commencement of operations.
(b) Rounds to less than $0.01.
(c) Not annualized.
(d) Annualized for periods of less than one year. These ratios include expenses charged to the Prime Money Market Master Portfolio.
(e) Annualized for periods of less than one year. These ratios include expenses charged to the Treasury Money Market Master Portfolio.
The accompanying notes are an integral part of these financial statements.



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BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Barclays Global Investors Funds (the “Trust”), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust, formerly known as Barclays Global Investors Funds, Inc., was redomiciled from a Maryland corporation to a Delaware statutory trust effective January 11, 2002. As of December 31, 2005, the Trust offered the following diversified funds: Bond Index, Government Money Market, Institutional Money Market, Money Market, Prime Money Market, S&P 500 Stock and Treasury Money Market Funds and LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Portfolios.

These financial statements relate only to the Institutional Shares of the Government Money Market Fund (the “GMMF”), Institutional Money Market Fund (the “IMMF”), Prime Money Market Fund (the “PMMF”) and Treasury Money Market Fund (the “TMMF”), (each, a “Fund,” collectively, the “Funds”). In addition, the GMMF, PMMF and TMMF offer Premium Shares, Select Shares and Trust Shares. The IMMF also offers Aon Captives Shares, Premium Shares, Select Shares and Trust Shares. All classes of shares have equal rights to assets and earnings, and differ principally in administration and distribution fees.

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

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

INVESTMENT POLICY AND SECURITY VALUATION

Each Fund invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objectives as its corresponding Fund. The value of each Fund’s investment in its corresponding Master Portfolio reflects that Fund’s interest in the net assets of that Master Portfolio (100.00%, 85.86%, 85.88% and 100.00% for the GMMF, IMMF, PMMF and TMMF, respectively, as of December 31, 2005). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

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

Each Fund seeks to maintain a constant net asset value of $1.00 per share for each of the classes of shares. There is no assurance that the Funds will meet this objective.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

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

DISTRIBUTIONS TO SHAREHOLDERS

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



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BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

As of December 31, 2005, the tax year-end of the Funds, the components of net distributable earnings on a tax basis were as follows:



Fund


Undistributed

Ordinary Income


Capital and

Other Losses


Net Distributable

Earnings

Institutional Money Market

$ 35,458 $ (2,142 ) $ 33,316
Prime Money Market

19,516 — 19,516
The tax character of distributions paid for the years ended December 31, 2005 and December 31, 2004, were as follows:



Fund

2005 2004
Government Money Market


Distributions paid from:


Ordinary Income

$ 29,123,137 $ 2,579,760

Total Distributions

$ 29,123,137 $ 2,579,760

Institutional Money Market


Distributions paid from:


Ordinary Income

$ 213,360,431 $ 67,218,625

Total Distributions

$ 213,360,431 $ 67,218,625

Prime Money Market


Distributions paid from:


Ordinary Income

$ 400,061,034 $ 84,360,623

Total Distributions

$ 400,061,034 $ 84,360,623

Treasury Money Market


Distributions paid from:


Ordinary Income

$ 683,583 $ 2,274

Total Distributions

$ 683,583 $ 2,274

FEDERAL INCOME TAXES

Each Fund is treated as a separate entity for federal income tax purposes. It is the policy of each Fund to qualify as a regulated investment company by complying with the provisions applicable to regulated investment companies, as defined under Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute annually substantially all of its income and any gains (taking into account capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income and excise taxes. Accordingly, no provision for federal income taxes was required for the year ended December 31, 2005.

From November 1, 2005 to December 31, 2005, the Institutional Money Market Fund incurred net realized capital losses. As permitted by tax regulations, the Fund has elected to defer the losses of $2,142 and treat it as arising in the year ending December 31, 2006.

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

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

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

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Funds’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Funds for



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BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)



which BGI receives a fee paid by each Fund. This fee is an “all-in” or “semi-unified” fee and BGI, in consideration thereof, has agreed to bear all of the Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees and costs related to securities transactions. BGI is entitled to receive for these administration services an annual fee of 0.02% of the average daily net assets of each Fund’s Institutional Shares. From time to time, BGI may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGI waived administration fees of $134,425, $796,930, $1,296,195 and $2,929 for the Institutional Shares of the GMMF, IMMF, PMMF and TMMF, respectively. BGI may delegate certain of its administration duties to sub-administrators.

Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission, the master portfolios of MIP and other investment companies managed by Barclays Global Fund Advisors, the Master Portfolios’ investment adviser, may invest in the Institutional Shares of the Funds.

Certain officers and trustees of the Trust are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of the outstanding shares of the Trust.

3. CAPITAL SHARE TRANSACTIONS

As of December 31, 2005, there were an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the Institutional Shares of the Funds were as follows:



Government Money Market Fund

Year Ended

December 31, 2005


Period Ended

December 31, 2004 (a)


Shares Amount Shares Amount
Shares sold

3,496,987,064 $ 3,496,987,064 448,100,000 $ 448,100,000
Shares issued in reinvestment of dividends and distributions

11,575,759 11,575,759 451 451
Shares redeemed

(3,787,463,067 ) (3,787,463,067 ) — —

Net increase (decrease)

(278,900,244 ) $ (278,900,244 ) 448,100,451 $ 448,100,451

Institutional Money Market Fund

Year Ended

December 31, 2005


Year Ended

December 31, 2004


Shares Amount Shares Amount
Shares sold

50,465,914,687 $ 50,465,914,687 25,536,920,099 $ 25,536,920,099
Shares issued in reinvestment of dividends and distributions

25,494,250 25,494,250 3,464,814 3,464,814
Shares redeemed

(50,630,055,300 ) (50,630,055,300 ) (25,914,104,766 ) (25,914,104,766 )

Net decrease

(138,646,363 ) $ (138,646,363 ) (373,719,853 ) $ (373,719,853 )



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BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)



Prime Money Market Fund

Year Ended

December 31, 2005


Year Ended

December 31, 2004


Shares Amount Shares Amount
Shares sold

49,352,419,789 $ 49,352,419,789 12,685,172,283 $ 12,685,172,283
Shares issued in reinvestment of dividends and distributions

83,685,767 83,685,767 7,121,958 7,121,958
Shares redeemed

(48,915,236,841 ) (48,915,236,841 ) (9,658,437,172 ) (9,658,437,172 )

Net increase

520,868,715 $ 520,868,715 3,033,857,069 $ 3,033,857,069

Treasury Money Market Fund

Year Ended

December 31, 2005


Period Ended

December 31, 2004 (a)


Shares Amount Shares Amount
Shares sold

100,000,000 $ 100,000,000 100,000 $ 100,000
Shares issued in reinvestment of dividends and distributions

242,105 242,105 434 434
Shares redeemed

— — — —

Net increase

100,242,105 $ 100,242,105 100,434 $ 100,434

(a) For the period from September 1, 2004 (commencement of operations) to December 31, 2004.


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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

In our opinion, the accompanying statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Government Money Market Fund, Institutional Money Market Fund, Prime Money Market Fund and Treasury Money Market Fund, each a series of Barclays Global Investors Funds, (the “Funds”), at December 31, 2005, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented, and the financial highlights for the Institutional Share Class for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006



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BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED

The Board of Trustees has responsibility for the overall management and operations of the Funds. Each Trustee serves until he or she resigns, retires, or his or her successor is elected and qualified. Each Officer serves until his or her successor is chosen and qualified.

Barclays Global Investors Funds (“BGIF”), Master Investment Portfolio (“MIP”), iShares Trust and iShares, Inc. are considered to be members of the same fund complex, as defined in Form N-1A under the 1940 Act. Each Trustee of BGIF also serves as a Trustee for MIP and oversees 25 portfolios within the fund complex. In addition, Lee T. Kranefuss and Richard K. Lyons each serves as a Trustee for iShares Trust and as a Director for iShares, Inc. and oversees 126 portfolios within the fund complex.

Unless otherwise noted in the tables below, the address for each Trustee is 45 Fremont Street, San Francisco, California 94105. Additional information about the Funds’ Trustees may be found in the Funds’ Statements of Additional Information, which are available without charge, upon request, by calling toll-free 1-877-244-1544.



Interested Trustees and Officers



Name, Year of Birth


Position(s),

Length of Service


Principal Occupation(s) During Past Five Years


Other Public Company and

Investment Company

Directorships

*Lee T. Kranefuss, 1961

Trustee (since 2001), President and Chief Executive Officer (since 2002). Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Chief Executive Officer (1997-2003) of the Intermediary Investor Business of BGI. Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.
Michael A. Latham, 1965

Secretary, Treasurer and Chief Financial Officer (since 2003). Chief Operating Officer (since 2004) of the Intermediary Investor Business of BGI; Director (2000-2004) of Mutual Fund Delivery of the Intermediary Investor Business of BGI. None.
* Lee T. Kranefuss is deemed to be an “interested person” of the Trust because he serves as Chief Executive Officer of the Intermediary Investor Business of BGI, the administrator of the Funds and the Master Portfolios, and the parent company of BGFA, the investment adviser of the Master Portfolios.
Independent Trustees



Name, Year of Birth


Position(s),

Length of Service


Principal Occupation(s) During Past Five Years


Other Public Company and

Investment Company

Directorships

Mary G. F. Bitterman, 1944 Trustee (since 2001). President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc. Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii.


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BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED (Continued)

Independent Trustees (Continued)



Name, Year of Birth


Position(s),

Length of Service


Principal Occupation(s) During Past Five Years


Other Public Company and

Investment Company

Directorships

Jack S. Euphrat, 1922 Trustee (since 1993). Private Investor. None.
Richard K. Lyons, 1961 Trustee (since 2001). Executive Associate Dean (since 2005), Sylvan Coleman Chair in Finance (since 2004), Acting Dean (2004-2005) and Professor (since 1993), University of California, Berkeley; Haas School of Business; Consultant for IMF, World Bank, Federal Reserve Bank, and Citibank N.A. (since 2000). Trustee (since 2001) of MIP; Director (since 2003) of the BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 1995) and Chairman of the Matthews Asian Funds (oversees 8 portfolios); Trustee (since 2000) of iShares Trust; Director (since 2002) of iShares, Inc.
Leo Soong, 1946 Trustee (since 2000). President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder of Crystal Geyser Water Co. (President through 1999). Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association.


14

Table of Contents
GOVERNMENT MONEY MARKET MASTER PORTFOLI O

Schedule of Investments

December 31, 2005



Security

Face Amount Value
REPURCHASE AGREEMENTS – 99.98%


Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $60,028,667 (collateralized by U.S. Government obligations, value $61,200,000, 3.88% to 6.00%, 6/1/20 to 1/1/36).

$ 60,000,000 $ 60,000,000
Bank of America N.A. Tri-Party Repurchase Agreement, 4.27%, due 1/3/06, maturity value $75,035,583 (collateralized by U.S. Government obligations, value $76,500,001, 5.00%, 10/1/35).

75,000,000 75,000,000
Credit Suisse First Boston Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $20,009,444 (collateralized by U.S. Government obligations, value $20,401,727, 4.84% to 5.43%, 5/1/35 to 7/1/35).

20,000,000 20,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $60,028,867 (collateralized by U.S. Government obligations, value $61,200,001, 4.00% to 5.16%, 4/1/20 to 12/1/35).

60,000,000 60,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $60,028,600 (collateralized by U.S. Government obligations, value $61,203,452, 3.75% to 5.83%, 1/1/19 to 12/1/35).

60,000,000 60,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $44,420,720 (collateralized by U.S. Government obligations, value $45,286,934, 3.21% to 7.94%, 2/1/16 to 8/1/36).

44,400,000 44,400,000
Merrill Lynch Government Securities Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $75,035,667 (collateralized by U.S. Government obligations, value $77,251,360, 3.50% to 6.00%, 4/25/16 to 3/25/31).

75,000,000 75,000,000

TOTAL REPURCHASE AGREEMENTS

(Cost: $394,400,000)

394,400,000

TOTAL INVESTMENTS IN SECURITIES – 99.98%

(Cost: $394,400,000)

394,400,000

Other Assets, Less Liabilities – 0.02%

66,966

NET ASSETS – 100.00%

$ 394,466,966

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



15

Table of Contents
MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Face Amount Value
CERTIFICATES OF DEPOSIT – 2.54%


HBOS Treasury Services PLC


3.56%, 03/14/06

$ 50,000,000 $ 50,000,000
3.79%, 06/19/06

50,000,000 49,997,741
Svenska Handelsbanken NY


4.50%, 10/16/06

25,000,000 25,000,000
Toronto-Dominion Bank


3.94%, 07/10/06

35,000,000 35,000,000

TOTAL CERTIFICATES OF DEPOSIT

(Cost: $159,997,741)

159,997,741

COMMERCIAL PAPER – 6.31%


Amstel Funding Corp.


4.40%, 05/08/06

50,000,000 49,217,778
CC USA Inc.


3.76%, 01/23/06

50,000,000 49,879,889
3.93%, 02/24/06

65,500,000 65,106,727
4.23%, 04/21/06

45,000,000 44,413,087
Dorada Finance Inc.


3.76%, 01/26/06

10,000,000 9,972,844
Grampian Funding LLC


3.74%, 01/13/06

90,000,000 89,878,450
K2 USA LLC


3.85%, 02/07/06

74,600,000 74,297,227
Sigma Finance Inc.


4.16%, 04/06/06

15,000,000 14,833,600

TOTAL COMMERCIAL PAPER

(Cost: $397,599,602)

397,599,602

MEDIUM-TERM NOTES – 1.43%


K2 USA LLC


3.57%, 03/16/06(1)

15,000,000 15,000,000
Marshall & Ilsley Bank


5.18%, 12/15/06

50,000,000 50,159,679
Sigma Finance Inc.


4.50%, 10/16/06(1)

25,000,000 25,000,000

TOTAL MEDIUM-TERM NOTES

(Cost: $90,159,679)

90,159,679

TIME DEPOSITS – 6.55%


Branch Banking & Trust


4.02%, 01/03/06

250,000,000 250,000,000
Regions Bank


4.02%, 01/03/06

162,500,000 162,500,000

TOTAL TIME DEPOSITS

(Cost: $412,500,000)

412,500,000

VARIABLE & FLOATING RATE NOTES – 65.64%


Allstate Life Global Funding II


4.36%, 12/08/06(1)

11,000,000 11,005,507
4.37%, 11/09/06(1)

20,000,000 20,010,187
4.37%, 12/27/06(1)

50,000,000 50,000,000
4.39%, 01/12/07(1)

35,000,000 35,018,818
4.43%, 01/16/07(1)

25,000,000 25,012,931
American Express Bank


4.33%, 07/19/06

40,000,000 40,000,000
4.34%, 09/27/06

90,000,000 90,000,000
American Express Centurion Bank


4.34%, 06/29/06

35,000,000 35,000,000
4.34%, 09/27/06

60,000,000 60,000,000
American Express Credit Corp.


4.42%, 02/28/06

31,000,000 31,002,173
ANZ National International Ltd.


4.31%, 12/29/06(1)

75,000,000 75,000,000
ASIF Global Financing


4.34%, 08/11/06(1)

25,000,000 25,001,998
4.38%, 01/23/07(1)

75,000,000 74,996,257
4.55%, 05/30/06(1)

61,500,000 61,540,898
4.56%, 12/11/06(1)

90,000,000 90,072,387
Australia & New Zealand Banking Group Ltd.


4.35%, 01/23/07(1)

35,000,000 35,000,000
Bank of Ireland


4.34%, 12/20/06(1)

70,000,000 70,000,000
Bank of Nova Scotia


4.32%, 09/29/06

35,000,000 34,992,555
Banque Nationale de Paris


4.25%, 10/04/06

20,000,000 19,995,934
Beta Finance Inc.


4.33%, 04/25/06(1)

30,000,000 29,997,000
4.33%, 05/25/06(1)

15,000,000 14,999,459
CC USA Inc.


4.32%, 06/15/06(1)

55,000,000 54,997,499
4.33%, 05/25/06(1)

25,000,000 24,998,973
4.34%, 03/23/06(1)

25,000,000 25,000,048
4.35%, 07/14/06(1)

15,000,000 15,001,574
Commodore CDO Ltd. 2003-2A Class A1MM


4.56%, 06/13/06(1)

25,000,000 25,000,000
Credit Suisse First Boston NY


4.31%, 05/09/06

50,000,000 50,000,000
4.35%, 07/19/06

75,000,000 75,000,000
4.35%, 09/26/06

100,000,000 100,000,000
DEPFA Bank PLC


4.50%, 12/15/06

100,000,000 100,000,000
Descartes Funding Trust


4.37%, 11/15/06(1)

45,000,000 45,000,000
Dexia Credit Local


4.33%, 08/30/06

35,000,000 34,995,359
Dorada Finance Inc.


4.33%, 06/26/06(1)

15,000,000 14,999,321


16

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MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Face Amount Value
Five Finance Inc.


4.32%, 09/15/06(1)

$ 30,000,000 $ 29,995,759
4.33%, 05/25/06(1)

22,000,000 21,999,096
4.34%, 06/26/06(1)

14,000,000 13,999,320
Greenwich Capital Holdings Inc.


4.32%, 02/10/06

15,000,000 15,000,000
4.32%, 02/13/06

15,000,000 15,000,000
HBOS Treasury Services PLC


4.57%, 10/24/06(1)

50,000,000 50,000,000
Holmes Financing PLC Series 2005-9 Class 1A


4.36%, 12/15/06(1)

50,000,000 50,000,000
HSBC Bank USA N.A.


4.39%, 05/04/06

15,000,000 15,004,117
ING USA Annuity & Life Insurance Funding Agreement


4.57%, 12/18/06(1)(2)

20,000,000 20,000,000
Jordan Brick Co. Inc.


4.38%, 01/03/06(1)

18,000,000 18,000,000
K2 USA LLC


4.25%, 06/02/06(1)

35,000,000 34,998,533
4.32%, 09/11/06(1)

100,000,000 99,989,630
Lakeline Austin Development Ltd.


4.40%, 01/03/06(1)

9,800,000 9,800,000
Leafs LLC


4.37%, 02/21/06(1)

19,971,050 19,971,050
LEEK Finance Series 14A Class A1


4.37%, 01/23/06

4,835,872 4,835,872
Links Finance LLC


4.32%, 01/20/06(1)

35,000,000 34,999,556
4.32%, 10/16/06(1)

82,000,000 81,990,234
Lothian Mortgages PLC Series 4A Class A1


4.37%, 01/24/06(1)

25,000,000 25,000,000
Marshall & Ilsley Bank


4.35%, 12/15/06

60,000,000 60,000,000
4.47%, 02/20/06

30,000,000 30,004,935
Metropolitan Life Insurance Funding Agreement


4.24%, 07/18/06(1)(2)

25,000,000 25,000,000
Monumental Global Funding II


4.53%, 12/27/06(1)

100,000,000 100,008,042
Natexis Banques Populaires


4.35%, 01/12/07(1)

50,000,000 50,000,000
National City Bank


4.26%, 01/06/06

20,000,000 19,999,917
Nationwide Building Society


4.58%, 10/27/06(1)

100,000,000 100,000,000
Nordea Bank AB


4.34%, 01/11/07(1)

75,000,000 75,000,000
Nordea Bank PLC


4.23%, 10/02/06

75,000,000 74,986,653
Northern Rock PLC


4.32%, 11/03/06(1)

70,000,000 70,000,000
Permanent Financing PLC Series 8 Class 1A


4.32%, 06/12/06(1)

37,000,000 37,000,067
Principal Life Income Funding Trusts


4.30%, 11/13/06

50,000,000 49,998,353
Royal Bank of Scotland


4.23%, 04/05/06

76,250,000 76,241,832
4.33%, 08/30/06

100,000,000 99,986,739
Sedna Finance Inc.


4.34%, 09/20/06(1)

15,000,000 15,000,000
Sigma Finance Inc.


4.00%, 08/11/06(1)

75,000,000 74,976,738
4.33%, 08/15/06(1)

15,000,000 14,999,067
4.35%, 03/20/06(1)

20,000,000 20,000,329
Skandinaviska Enskilda Bank NY


4.36%, 11/16/06(1)

50,000,000 50,000,000
Societe Generale


4.26%, 01/02/07(1)

30,000,000 30,000,000
4.30%, 06/13/06

30,000,000 29,997,270
Tango Finance Corp.


4.32%, 06/12/06(1)

50,000,000 49,997,769
4.33%, 05/26/06(1)

15,000,000 14,999,094
4.33%, 09/25/06(1)

30,000,000 29,996,718
Trap Rock Industry Inc.


4.40%, 01/03/06(1)

20,390,000 20,390,000
Travelers Insurance Co. Funding Agreement


4.36%, 02/03/06(1)(2)

50,000,000 50,000,000
4.45%, 08/18/06(1)(2)

50,000,000 50,000,000
Union Hamilton Special Funding LLC


4.52%, 03/28/06(1)

50,000,000 50,000,000
US Bank N.A.


4.31%, 09/29/06

15,000,000 14,997,062
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A


4.37%, 01/25/06(1)

65,450,999 65,450,999
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM


4.37%, 01/25/06(1)

72,107,202 72,107,202
Westpac Banking Corp.


4.49%, 01/11/07

70,000,000 70,000,000
WhistleJacket Capital LLC


4.32%, 02/15/06(1)

20,000,000 19,999,364
4.33%, 06/22/06(1)

15,000,000 14,999,289
4.33%, 07/28/06(1)

15,000,000 14,997,857
4.33%, 10/16/06(1)

100,000,000 99,991,889
4.33%, 10/20/06(1)

25,000,000 24,994,365
4.33%, 11/22/06(1)

75,000,000 74,981,733
White Pine Finance LLC


4.32%, 03/15/06(1)

46,000,000 45,997,334
4.32%, 07/17/06(1)

50,000,000 49,994,425
4.32%, 09/15/06(1)

46,000,000 45,995,122


17

Table of Contents
MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Face Amount Value
Winston Funding Ltd.


Series 2003-1 Class A1MA


4.26%, 01/23/06(1)

$ 100,000,000 $ 100,000,000

TOTAL VARIABLE & FLOATING RATE NOTES

(Cost: $ 4,137,312,209)

4,137,312,209

REPURCHASE AGREEMENTS – 17.29%


Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $100,045,556 (collateralized by U.S. Government obligations, value $102,000,001, 4.50% to 6.00%, 5/1/33 to 11/1/35).

100,000,000 100,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,000, 5.00%, 8/1/35 to 1/1/36).

40,000,000 40,000,000
Credit Suisse First Boston Inc. Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,801,003, 4.21% to 4.77%, 1/1/33 to 5/1/35).

40,000,000 40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,000, 4.25% to 5.19%, 4/1/34 to 9/1/35).

40,000,000 40,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $250,122,222 (collateralized by non-U.S. Government debt securities, value $262,500,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)

250,000,000 250,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,801,409, 2.84% to 5.50%, 4/1/23 to 12/1/35).

40,000,000 40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,993,464, 2.73% to 4.58%, 5/15/07 to 9/25/35).(3)

100,000,000 100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,800,562, 3.15% to 7.41%, 11/1/11 to 6/1/44).

40,000,000 40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $150,073,167 (collateralized by non-U.S. Government debt securities, value $154,504,756, 4.50% to 8.00%, 12/31/06 to 6/1/25).(2)(3)

150,000,000 150,000,000
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,201,372, 4.00% to 6.00%, 10/25/11 to 5/25/34).

40,000,000 40,000,000
Morgan Stanley Tri-Party Repurchase Agreement, 4.45%, due 1/22/07, maturity value $ 250,123,611 (collateralized by non-U.S. Government debt securities, value $257,841,442, 0.00% to 10.00%, 1/1/06 to 12/31/35).(2)(3)

250,000,000 250,000,000

TOTAL REPURCHASE AGREEMENTS

(Cost: $1,090,000,000)

1,090,000,000

TOTAL INVESTMENTS IN SECURITIES – 99.76%

(Cost: $6,287,569,231)

6,287,569,231

Other Assets, Less Liabilities – 0.24%

15,013,769

NET ASSETS – 100.00%

$ 6,302,583,000

(1) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(2) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
(3) The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
The accompanying notes are an integral part of these financial statements.



18

Table of Contents
PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Face Amount Value
CERTIFICATES OF DEPOSIT – 3.57%


Credit Suisse First Boston NY


4.03%, 01/04/06

$ 50,000,000 $ 50,000,000
Fortis Bank NY


3.70%, 01/05/06

150,000,000 150,000,100
HBOS Treasury Services PLC


3.79%, 06/19/06

125,000,000 124,994,268
Svenska Handelsbanken NY


4.50%, 10/16/06

50,000,000 50,000,000
Toronto-Dominion Bank


3.94%, 07/10/06

35,000,000 35,000,000

TOTAL CERTIFICATES OF DEPOSIT

(Cost: $409,994,368)

409,994,368

COMMERCIAL PAPER – 7.67%


Amstel Funding Corp.


3.91%, 02/15/06

50,000,000 49,750,195
CAFCO LLC


3.99%, 01/06/06

100,000,000 99,933,500
CC USA Inc.


3.76%, 01/23/06

50,000,000 49,879,889
4.23%, 04/21/06

45,000,000 44,413,087
Chesham Finance LLC


4.25%, 01/03/06

75,000,000 74,973,438
Ford Credit Floorplan Motown


4.02%, 01/03/06

64,000,000 63,978,560
Grampian Funding LLC


3.74%, 01/13/06

100,000,000 99,864,946
3.84%, 01/31/06

100,000,000 99,669,334
HSBC PLC


4.16%, 04/04/06

15,000,000 14,837,066
K2 USA LLC


3.85%, 02/07/06

41,000,000 40,833,597
Nordea North America Inc.


4.16%, 04/04/06

70,000,000 69,239,645
Santander Central Hispano Finance Inc.


3.91%, 02/17/06

100,000,000 99,478,667
Sedna Finance Inc.


3.92%, 02/21/06

50,000,000 49,716,888
Sigma Finance Inc.


4.16%, 04/06/06

25,000,000 24,722,667

TOTAL COMMERCIAL PAPER

(Cost: $881,291,479)

881,291,479

MEDIUM-TERM NOTES – 1.78%


K2 USA LLC


3.56%, 03/15/06(1)

85,000,000 85,000,000
3.57%, 03/16/06(1)

45,000,000 45,000,000
Sigma Finance Inc.


4.50%, 10/16/06(1)

75,000,000 75,000,000
TOTAL MEDIUM-TERM NOTES

(Cost: $205,000,000)

205,000,000

TIME DEPOSITS – 6.97%


Regions Bank


4.02%, 01/03/06

100,571,000 100,571,000
Societe Generale


4.06%, 01/03/06

300,000,000 300,000,000
UBS AG


4.06%, 01/03/06

400,000,000 400,000,000
TOTAL TIME DEPOSITS

(Cost: $800,571,000)

800,571,000

VARIABLE & FLOATING RATE NOTES – 52.13%


Allstate Life Global Funding II


4.36%, 12/08/06(1)

58,000,000 58,013,630
4.37%, 12/27/06(1)

110,000,000 110,000,000
4.39%, 01/12/07(1)

85,000,000 85,045,730
American Express Bank


4.33%, 07/19/06

85,000,000 85,000,000
ASIF Global Financing


4.34%, 08/11/06(1)

74,000,000 74,011,988
4.38%, 01/23/07(1)

75,000,000 74,996,257
4.55%, 05/30/06(1)

90,550,000 90,611,121
Bank of Nova Scotia


4.22%, 01/03/06

35,000,000 34,999,940
Banque Nationale de Paris


4.25%, 10/04/06

165,000,000 164,966,390
Bear Stearns Companies Inc. (The)


4.42%, 08/14/06(2)

200,000,000 200,000,000
Beta Finance Inc.


4.32%, 06/20/06(1)

68,000,000 67,996,814
4.33%, 04/25/06(1)

65,000,000 64,993,500
4.33%, 05/25/06(1)

65,000,000 64,997,329
4.33%, 05/26/06(1)

80,000,000 79,996,800
CC USA Inc.


4.32%, 05/22/06(1)

20,000,000 19,999,220
4.32%, 06/15/06(1)

95,000,000 94,995,680
4.33%, 05/25/06(1)

55,000,000 54,997,741
4.33%, 05/26/06(1)

30,000,000 29,998,800
4.33%, 06/26/06(1)

25,000,000 24,998,823
4.34%, 03/23/06(1)

50,000,000 50,000,100
4.35%, 07/14/06(1)

30,000,000 30,003,150
Citigroup Global Markets


Holdings Inc.


4.33%, 08/01/06

500,000,000 500,000,000
DEPFA Bank PLC


4.50%, 12/15/06

50,000,000 50,000,000
Dexia Credit Local


4.33%, 08/30/06

65,000,000 64,991,381


19

Table of Contents
PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Face Amount Value
Dorada Finance Inc.


4.33%, 06/26/06(1)

$ 110,000,000 $ 109,994,788
Five Finance Inc.


4.32%, 09/15/06(1)

70,000,000 69,990,105
Goldman Sachs Group Inc. (The)


4.38%, 02/07/06(1)(2)

100,000,000 100,000,000
Greenwich Capital Holdings Inc.


4.30%, 03/09/06

50,000,000 50,000,000
4.32%, 02/10/06

35,000,000 35,000,000
4.32%, 02/13/06

35,000,000 35,000,000
Hartford Life Global Funding Trust


4.36%, 02/17/07

100,000,000 100,000,000
HBOS Treasury Services PLC


4.32%, 01/10/06

100,000,000 100,000,000
Holmes Financing PLC Series 2005-9 Class 1A


4.36%, 12/15/06(1)

100,000,000 100,000,000
HSBC Bank USA N.A.


4.39%, 05/04/06

20,000,000 20,005,480
ING USA Annuity & Life Insurance Funding Agreement


4.57%, 12/18/06(1)(2)

35,000,000 35,000,000
K2 USA LLC


4.32%, 01/19/06(1)

90,000,000 89,998,594
4.32%, 09/11/06(1)

100,000,000 99,989,630
4.33%, 05/25/06(1)

50,000,000 49,997,021
4.36%, 02/15/06(1)

25,000,000 25,000,700
4.40%, 01/20/06(1)

70,000,000 70,002,170
Leafs LLC


4.37%, 01/20/06(1)

74,891,436 74,891,436
4.37%, 12/20/06(1)

49,927,000 49,927,000
Links Finance LLC


4.32%, 01/20/06(1)

65,000,000 64,999,173
4.33%, 05/18/06(1)

50,000,000 49,996,220
Marshall & Ilsley Bank


4.47%, 02/20/06

50,000,000 50,008,200
Metropolitan Life Global Funding I


4.31%, 01/05/07(1)

100,000,000 100,000,000
Metropolitan Life Insurance


Funding Agreement


4.30%, 07/25/06(1)(2)

50,000,000 50,000,000
Morgan Stanley


4.30%, 01/03/07

100,000,000 100,000,000
Natexis Banques Populaires


4.35%, 01/12/07(1)

125,000,000 125,000,000
National City Bank


4.26%, 01/06/06

35,000,000 34,999,853
Nationwide Building Society


4.33%, 01/05/07(1)

100,000,000 100,000,000
4.41%, 01/13/06(1)

100,000,000 100,002,300
4.58%, 10/27/06(1)

50,000,000 50,000,000
Permanent Financing PLC


Series 8 Class 1A


4.32%, 06/12/06(1)

50,000,000 50,000,000
Principal Life Income


Funding Trusts


4.30%, 11/13/06

50,000,000 49,998,355
Royal Bank of Scotland


4.23%, 04/05/06

100,000,000 99,989,880
4.32%, 06/27/06

50,000,000 49,996,359
4.33%, 08/30/06

200,000,000 199,974,176
Sedna Finance Inc.


4.33%, 01/10/06(1)

20,000,000 19,999,880
4.34%, 01/17/06(1)

35,000,000 34,999,673
4.34%, 09/20/06(1)

25,000,000 25,000,000
4.35%, 08/31/06(1)

25,000,000 24,998,336
Sigma Finance Inc.


4.33%, 08/15/06(1)

35,000,000 34,997,823
4.35%, 03/20/06(1)

35,000,000 35,000,560
Societe Generale


4.26%, 11/24/06(1)

45,000,000 45,000,000
4.30%, 06/13/06

55,000,000 54,994,995
Strips III LLC


4.43%, 07/24/06(1)(2)

30,741,246 30,741,246
Tango Finance Corp.


4.32%, 06/12/06(1)

100,000,000 99,995,540
4.32%, 09/11/06(1)

50,000,000 49,996,511
4.33%, 05/26/06(1)

30,000,000 29,998,188
4.33%, 06/21/06(1)

60,000,000 59,995,759
4.33%, 09/25/06(1)

70,000,000 69,992,342
Union Hamilton Special Funding LLC


4.50%, 06/21/06(1)

50,000,000 50,000,000
4.52%, 03/28/06(1)

100,000,000 100,000,000
US Bank N.A.


4.31%, 09/29/06

30,000,000 29,994,123
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A


4.37%, 01/25/06(1)

32,725,499 32,725,499
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM


4.37%, 01/25/06(1)

108,160,804 108,160,804
WhistleJacket Capital LLC


4.32%, 02/15/06(1)

30,000,000 29,999,048
4.33%, 07/28/06(1)

25,000,000 24,996,427
4.35%, 01/17/06(1)

40,000,000 39,999,976
White Pine Finance LLC


4.32%, 05/22/06(1)

50,000,000 49,996,615
4.32%, 09/15/06(1)

100,000,000 99,989,398
4.33%, 03/27/06(1)

30,000,000 29,998,490
4.34%, 01/13/06(1)

90,000,000 89,999,694
4.37%, 06/20/06(1)

25,000,000 25,003,300
TOTAL VARIABLE & FLOATING RATE NOTES

(Cost: $5,991,950,061)

5,991,950,061



20

Table of Contents
PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Face Amount Value
REPURCHASE AGREEMENTS – 27.67%


Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $300,136,667 (collateralized by U.S. Government obligations, value $306,000,000, 4.40% to 5.50%, 4/1/25 to 12/1/35).

$ 300,000,000 $ 300,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,001, 4.25% to 6.00%, 4/1/34 to 9/1/35).

40,000,000 40,000,000
Bank of America Securities Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $400,191,111 (collateralized by non-U.S. Government debt securities, value $423,388,504, 2.75% to 9.88%, 5/15/06 to 11/1/25).(3)

400,000,000 400,000,000
Credit Suisse First Boston Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,800,700, 4.18% to 4.67%, 5/1/35).

40,000,000 40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,001, 4.25% to 6.00%, 4/1/34 to 9/1/35).

40,000,000 40,000,000
Goldman Sachs & Co.Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $1,000,481,111 (collateralized by U.S. Government obligations, value $1,020,000,000, 3.41% to 8.50%, 4/1/09 to 1/1/36).

1,000,000,000 1,000,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $400,195,556 (collateralized by non-U.S. Government debt securities, value $408,000,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)

400,000,000 400,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,802,922, 3.45% to 5.68%, 9/1/16 to 8/1/44).

40,000,000 40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $225,107,500 (collateralized by non-U.S. Government debt securities, value $236,222,842, 0.01% to 9.03%, 10/25/06 to 7/15/25).(3)

225,000,000 225,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,994,737, 1.83% to 5.10%, 5/15/07 to 1/27/20).(3)

100,000,000 100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $15,607,280 (collateralized by U.S. Government obligations, value $15,913,440, 3.62% to 6.30%, 11/1/24 to 11/1/35).

15,600,000 15,600,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,797,959, 3.74% to 7.27%, 6/1/07 to 12/1/35).

40,000,000 40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.37%, due 6/28/06, maturity value $125,060,694 (collateralized by non-U.S. Government debt securities, value $129,204,388, 2.88% to 10.13%, 5/15/06 to 1/20/24).(2)(3)

125,000,000 125,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $375,182,917 (collateralized by non-U.S. Government debt securities, value $386,251,598, 2.63% to 10.38%, 1/15/06 to 5/15/25).(2)(3)

375,000,000 375,000,000


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PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Face Amount Value
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,203,427, 4.00% to 5.00%, 3/25/16 to 10/25/29).

$ 40,000,000 $ 40,000,000

TOTAL REPURCHASE AGREEMENTS

(Cost: $3,180,600,000)

3,180,600,000

TOTAL INVESTMENTS IN SECURITIES – 99.79%

(Cost: $11,469,406,908)

11,469,406,908

Other Assets, Less Liabilities – 0.21%

23,979,992

NET ASSETS – 100.00%

$ 11,493,386,900

(1) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(2) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
(3) The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
The accompanying notes are an integral part of these financial statements.



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TREASURY MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Face Amount Value
REPURCHASE AGREEMENTS – 99.98%


Banc of America Securities LLC Tri-Party Repurchase Agreement, 3.25%, due 1/3/06, maturity value $20,702,320 (collateralized by U.S. Government obligations, value $21,109,111, 3.88%, 5/15/09).

$ 20,694,847 $ 20,694,847
Credit Suisse First Boston Tri-Party Repurchase Agreement, 3.45%, due 1/3/06, maturity value $20,702,780 (collateralized by U.S. Government obligations, value $21,109,929, 4.13% to 4.50%, 5/15/15 to 11/15/15).

20,694,847 20,694,847
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 3.30%, due 1/3/06, maturity value $20,702,435 (collateralized by U.S. Government obligations, value $21,109,656, 4.25%, 8/15/14).

20,694,847 20,694,847
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 3.25%, due 1/3/06, maturity value $20,702,320 (collateralized by U.S. Government obligations, value $21,114,565, 6.25% to 9.13%, 5/15/18 to 5/15/30).

20,694,847 20,694,847
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 3.50%, due 1/3/06, maturity value $20,702,895 (collateralized by U.S. Government obligations, value $21,106,652, 1.50% to 8.00%, 1/31/06 to 8/15/28).

20,694,847 20,694,847

TOTAL REPURCHASE AGREEMENTS

(Cost: $103,474,235)

103,474,235

TOTAL INVESTMENTS IN SECURITIES – 99.98%

(Cost: $103,474,235)

103,474,235

Other Assets, Less Liabilities – 0.02%

19,262

NET ASSETS – 100.00%

$ 103,493,497

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



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MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2005

Government Money Market Master Portfolio



Asset Type

Value % of
Net Assets
Repurchase Agreements

$ 394,400,000 99.98 %
Other Net Assets

66,966 0.02

TOTAL

$ 394,466,966 100.00 %

Money Market Master Portfolio



Asset Type

Value % of
Net Assets
Variable & Floating Rate Notes

$ 4,137,312,209 65.64 %
Repurchase Agreements

1,090,000,000 17.29
Time Deposits

412,500,000 6.55
Commercial Paper

397,599,602 6.31
Certificates of Deposit

159,997,741 2.54
Medium-Term Notes

90,159,679 1.43
Other Net Assets

15,013,769 0.24

TOTAL

$ 6,302,583,000 100.00 %

Prime Money Market Master Portfolio



Asset Type

Value % of
Net Assets
Variable & Floating Rate Notes

$ 5,991,950,061 52.13 %
Repurchase Agreements

3,180,600,000 27.67
Commercial Paper

881,291,479 7.67
Time Deposits

800,571,000 6.97
Certificates of Deposit

409,994,368 3.57
Medium-Term Notes

205,000,000 1.78
Other Net Assets

23,979,992 0.21

TOTAL

$ 11,493,386,900 100.00 %

Treasury Money Market Master Portfolio



Asset Type

Value % of
Net Assets
Repurchase Agreements

$ 103,474,235 99.98 %
Other Net Assets

19,262 0.02

TOTAL

$ 103,493,497 100.00 %

These tables are not part of the financial statements.



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MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005



Government
Money Market
Master Portfolio Money Market
Master Portfolio
Prime

Money Market
Master Portfolio


Treasury

Money Market
Master Portfolio

ASSETS


Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1)

$ — $ 5,197,569,231 $ 8,288,806,908 $ —
Repurchase agreements, at value and cost (Note 1)

394,400,000 1,090,000,000 3,180,600,000 103,474,235
Cash

2,501 3,268 3,428 —
Receivables:


Interest

93,774 15,549,343 24,973,966 19,262

Total Assets

394,496,275 6,303,121,842 11,494,384,302 103,493,497

LIABILITIES


Payables:


Investment advisory fees (Note 2)

29,309 538,842 997,402 —

Total Liabilities

29,309 538,842 997,402 —

NET ASSETS

$ 394,466,966 $ 6,302,583,000 $ 11,493,386,900 $ 103,493,497

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005



Government
Money Market
Master Portfolio Money Market
Master Portfolio
Prime

Money Market
Master Portfolio

Treasury
Money Market
Master Portfolio
NET INVESTMENT INCOME


Interest from unaffiliated issuers

$ 29,369,301 $ 240,993,254 $ 463,852,373 $ 685,155

Total investment income

29,369,301 240,993,254 463,852,373 685,155

EXPENSES (Note 2)


Investment advisory fees

920,783 7,249,677 14,041,065 17,151

Total expenses

920,783 7,249,677 14,041,065 17,151
Less investment advisory fees waived

(799,065 ) (3,436,517 ) (3,035,058 ) (17,151 )

Net expenses

121,718 3,813,160 11,006,007 —

Net investment income

29,247,583 237,180,094 452,846,366 685,155

REALIZED GAIN (LOSS)


Net realized gain from sale of investments in unaffiliated issuers

— 35,169 9,750 —

Net realized gain

— 35,169 9,750 —

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

$ 29,247,583 $ 237,215,263 $ 452,856,116 $ 685,155

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



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MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS




Government Money Market

Master Portfolio


Money Market

Master Portfolio



For the

year ended
December 31, 2005


For the period
September 1, 2004 (a)
to

December 31, 2004


For the

year ended
December 31, 2005


For the

year ended
December 31, 2004


INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 29,247,583 $ 2,579,922 $ 237,180,094 $ 75,589,172
Net realized gain (loss)

— — 35,169 (3,023 )

Net increase in net assets resulting from operations

29,247,583 2,579,922 237,215,263 75,586,149

Interestholder transactions:


Contributions

7,564,992,045 448,400,000 58,641,619,347 27,939,964,264
Withdrawals

(7,648,995,142 ) (1,757,442 ) (58,107,077,434 ) (27,213,733,782 )

Net increase (decrease) in net assets resulting from interestholder transactions

(84,003,097 ) 446,642,558 534,541,913 726,230,482

Increase (decrease) in net assets

(54,755,514 ) 449,222,480 771,757,176 801,816,631
NET ASSETS:


Beginning of period

449,222,480 — 5,530,825,824 4,729,009,193

End of period

$ 394,466,966 $ 449,222,480 $ 6,302,583,000 $ 5,530,825,824




Prime Money Market

Master Portfolio


Treasury Money Market

Master Portfolio



For the

year ended
December 31, 2005


For the

year ended
December 31, 2004


For the

year ended
December 31, 2005


For the period
September 1, 2004 (a)
to

December 31, 2004


INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 452,846,366 $ 89,577,595 $ 685,155 $ 2,435
Net realized gain

9,750 58,161 — —

Net increase in net assets resulting from operations

452,856,116 89,635,756 685,155 2,435

Interestholder transactions:


Contributions

79,992,322,542 29,953,898,444 219,416,585 400,000
Withdrawals

(81,445,952,186 ) (21,667,004,697 ) (117,010,598 ) (80 )

Net increase (decrease) in net assets resulting from interestholder transactions

(1,453,629,644 ) 8,286,893,747 102,405,987 399,920

Increase (decrease) in net assets

(1,000,773,528 ) 8,376,529,503 103,091,142 402,355
NET ASSETS:


Beginning of period

12,494,160,428 4,117,630,925 402,355 —

End of period

$ 11,493,386,900 $ 12,494,160,428 $ 103,493,497 $ 402,355

(a) Commencement of operations.
The accompanying notes are an integral part of these financial statements.



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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company organized as a Delaware statutory trust. As of December 31, 2005, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

These financial statements relate only to the Government Money Market, Money Market, Prime Money Market and Treasury Money Market Master Portfolios (each, a “Master Portfolio,” collectively, the “Master Portfolios”). The Government Money Market and Treasury Money Market Master Portfolios commenced operations on September 1, 2004.

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

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

SECURITY VALUATION

The Master Portfolios use the amortized cost method of valuation to determine the value of its portfolio securities in accordance with Rule 2a-7 under the 1940 Act. The amortized cost method, which involves valuing a security at its cost and accreting or amortizing any discount or premium, respectively, over the period until maturity, approximates market value.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Security transactions are accounted for on trade date. Interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premium and accrete discount using a constant yield to maturity method.

FEDERAL INCOME TAXES

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

In the case of Master Portfolios with only one interestholder, such as the Government Money Market and Treasury Money Market Master Portfolios, MIP believes that such Master Portfolios will not be treated as a separate entity for federal income tax purposes, and, therefore, will not be subject to any federal income tax on their income and gain (if any). Rather, such Master Portfolios’ assets and interest, dividends and gains or losses will be treated as assets and interest, dividends and gains or losses of the interestholders.

It is intended that each Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other



27

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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)



requirements for such qualifications not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2005, the Master Portfolios’ costs of investments for federal income tax purposes were the same as for financial statement purposes.

REPURCHASE AGREEMENTS

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

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with the Master Portfolios, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.10% of the average daily net assets of each of the Master Portfolios, as compensation for investment advisory services. From time to time, BGFA may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGFA waived investment advisory fees of $799,065, $3,436,517, $3,035,058 and $17,151 for the Government Money Market, Money Market, Prime Money Market and Treasury Money Market Master Portfolios, respectively.

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

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

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

Certain officers and trustees of MIP are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of MIP’s outstanding beneficial interests.



28

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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)



3. FINANCIAL HIGHLIGHTS

Financial highlights for the Master Portfolios were as follows:



Master Portfolio

Year Ended
December 31,
2005 Year Ended
December 31,
2004 Year Ended
December 31,
2003 Year Ended
December 31,
2002 Year Ended
December 31,
2001
Government Money Market


Ratio of expenses to average net assets(a)

0.03 % 0.00 %(b) n/a n/a n/a
Ratio of expenses to average net assets prior to waived fees(a)

0.10 % 0.10 %(b) n/a n/a n/a
Ratio of net investment income to average net assets(a)

3.16 % 1.93 %(b) n/a n/a n/a
Ratio of net investment income to average net assets prior to waived fees(a)

3.09 % 1.83 %(b) n/a n/a n/a
Total return

3.28 % 0.64 %(b)(c) n/a n/a n/a
Money Market


Ratio of expenses to average net assets

0.05 % 0.05 % 0.10 % 0.10 % 0.10 %
Ratio of expenses to average net assets prior to waived fees

0.10 % 0.10 % n/a n/a n/a
Ratio of net investment income to average net assets

3.27 % 1.40 % 1.15 % 1.80 % 3.66 %
Ratio of net investment income to average net assets prior to waived fees

3.22 % 1.35 % n/a n/a n/a
Total return

3.28 % 1.39 % 1.16 % 1.84 % 4.23 %
Prime Money Market


Ratio of expenses to average net assets(a)

0.08 % 0.03 % 0.03 %(d) n/a n/a
Ratio of expenses to average net assets prior to waived fees(a)

0.10 % 0.10 % 0.10 %(d) n/a n/a
Ratio of net investment income to average net assets(a)

3.22 % 1.52 % 1.12 %(d) n/a n/a
Ratio of net investment income to average net assets prior to waived fees(a)

3.20 % 1.45 % 1.05 %(d) n/a n/a
Total return

3.26 % 1.40 % 0.80 %(c)(d) n/a n/a
Treasury Money Market


Ratio of expenses to average net assets(a)

0.00 % 0.00 %(b) n/a n/a n/a
Ratio of expenses to average net assets prior to waived fees(a)

0.10 % 0.10 %(b) n/a n/a n/a
Ratio of net investment income to average net assets(a)

3.99 % 1.82 %(b) n/a n/a n/a
Ratio of net investment income to average net assets prior to waived fees(a)

3.89 % 1.72 %(b) n/a n/a n/a
Total return

3.20 % 0.61 %(b)(c) n/a n/a n/a
(a) Annualized for periods of less than one year.
(b) For the period from September 1, 2004 (commencement of operations) to December 31, 2004.
(c) Not annualized.
(d) For the period from April 16, 2003 (commencement of operations) to December 31, 2003.


29

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Government Money Market Master Portfolio, Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio, each a portfolio of Master Investment Portfolio (the “Master Portfolios”), at December 31, 2005, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which include confirmation of securities at December 31, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006



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MASTER INVESTMENT PORTFOLIO

TRUSTEE INFORMATION — Unaudited

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

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



31

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Notes:



32

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Notes:



33

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Notes:



34

Table of Contents
LOGO

Table of Contents
LOGO

Table of Contents
TABLE OF CONTENTS



Shareholder Expenses

1
Barclays Global Investors Funds


Financial Statements

2
Financial Highlights

5
Notes to the Financial Statements

6
Report of Independent Registered Public Accounting Firm

8
Trustee Information (Unaudited)

9
Master Investment Portfolio


Schedule of Investments

11
Money Market Master Portfolio

11
Portfolio Allocation (Unaudited)

14
Financial Statements

15
Notes to the Financial Statements

16
Report of Independent Registered Public Accounting Firm

18
Trustee Information (Unaudited)

19
Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

Shareholder Expenses

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2005 to December 31, 2005.

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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



Fund

Beginning
Account Value
(July 1, 2005) Ending
Account Value
(December 31, 2005)
Annualized

Expense Ratio(a)

Expenses Paid
During Period (b)
(July 1 to
December 31, 2005)
Institutional Money Market


Aon Captives Shares


Actual

$ 1,000.00 $ 1,018.50 0.18 % $ 0.92
Hypothetical (5% return before expenses)

1,000.00 1,024.32 0.18 0.92
(a) This ratio includes expenses charged to the Money Market Master Portfolio and includes investment advisory and administration fees voluntary waived during the period.
(b) Expenses are calculated using the Fund’s annualized expense ratio of the Aon Captives Shares (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).


1

Table of Contents
INSTITUTIONAL MONEY MARKET FUND

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2005



ASSETS


Investment in Money Market Master Portfolio (Master Portfolio), at value (Note 1)

$ 5,411,656,356

Total Assets

5,411,656,356

LIABILITIES


Payables:


Distribution to shareholders

19,546,725
Administration fees (Note 2)

100,339
Distribution fees – Aon Captives Shares (Note 2)

20,025

Total Liabilities

19,667,089

NET ASSETS

$ 5,391,989,267

Net assets consist of:


Paid-in capital

$ 5,391,955,951
Undistributed net investment income

3,747
Undistributed net realized gain

29,569

NET ASSETS

$ 5,391,989,267

Aon Captives Shares


Net Assets

$ 77,898,550

Shares outstanding

77,897,975

Net asset value and offering price per share

$ 1.00

Institutional Shares


Net Assets

$ 3,485,876,124

Shares outstanding

3,485,858,584

Net asset value and offering price per share

$ 1.00

Premium Shares


Net Assets

$ 1,803,170,990

Shares outstanding

1,803,159,587

Net asset value and offering price per share

$ 1.00

Select Shares


Net Assets

$ 24,940,220

Shares outstanding

24,940,211

Net asset value and offering price per share

$ 1.00

Trust Shares


Net Assets

$ 103,383

Shares outstanding

103,383

Net asset value and offering price per share

$ 1.00

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



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Table of Contents
INSTITUTIONAL MONEY MARKET FUND

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2005



NET INVESTMENT INCOME ALLOCATED FROM MASTER PORTFOLIO


Interest

$ 218,145,682
Expenses(a)

(3,442,469 )

Net investment income allocated from Master Portfolio

214,703,213

FUND EXPENSES (Note 2)


Administration fees

2,559,241
Distribution fees – Aon Captives Shares

95,721

Total fund expenses

2,654,962
Less administration fees waived

(1,312,234 )

Net fund expenses

1,342,728

Net investment income

213,360,485

REALIZED GAIN (LOSS) ALLOCATED FROM MASTER PORTFOLIO


Net realized gain

32,325

Net realized gain

32,325

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

$ 213,392,810

(a) Net of investment advisory fee waivers by the Master Portfolio’s investment adviser in the amount of $3,129,635.
The accompanying notes are an integral part of these financial statements.



3

Table of Contents
INSTITUTIONAL MONEY MARKET FUND

STATEMENTS OF CHANGES IN NET ASSETS




For the

year ended
December 31, 2005


For the

year ended
December 31, 2004


INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 213,360,485 $ 67,218,571
Net realized gain (loss)

32,325 (2,753 )

Net increase in net assets resulting from operations

213,392,810 67,215,818

Distributions to shareholders:


From net investment income:


Aon Captives Shares

(2,943,319 ) (1,141,062 )
Institutional Shares

(129,993,058 ) (54,192,310 )
Premium Shares

(79,980,794 ) (11,848,951 )
Select Shares

(440,285 ) (35,557 )
Trust Shares

(2,975 ) (745 )

(213,360,431 ) (67,218,625 )

Total distributions to shareholders

(213,360,431 ) (67,218,625 )

Capital share transactions (Note 3):


Aon Captives Shares

(28,534,415 ) 51,033,638
Institutional Shares

(138,646,363 ) (373,719,853 )
Premium Shares

585,770,940 927,289,984
Select Shares

18,227,811 6,712,400
Trust Shares

2,796 100,587

Net increase in net assets resulting from capital share transactions

436,820,769 611,416,756

Increase in net assets

436,853,148 611,413,949
NET ASSETS:


Beginning of year

4,955,136,119 4,343,722,170

End of year

$ 5,391,989,267 $ 4,955,136,119

Undistributed (distributions in excess of) net investment income included in net assets at end of year

$ 3,747 $ (54 )

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



4

Table of Contents
INSTITUTIONAL MONEY MARKET FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)



Aon Captives Shares
Year ended
Dec. 31, 2005 Year ended
Dec. 31, 2004 Year ended
Dec. 31, 2003 Year ended
Dec. 31, 2002 Year ended
Dec. 31, 2001
Net asset value, beginning of year

$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Income from investment operations:


Net investment income

0.03 0.01 0.01 0.02 0.04
Net realized gain

0.00 (a) 0.00 (a) 0.00 (a) — —

Total from investment operations

0.03 0.01 0.01 0.02 0.04

Less distributions from:


Net investment income

(0.03 ) (0.01 ) (0.01 ) (0.02 ) (0.04 )
Net realized gain

— — (0.00 )(a) — —

Total distributions

(0.03 ) (0.01 ) (0.01 ) (0.02 ) (0.04 )

Net asset value, end of year

$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00

Total return

3.19 % 1.29 % 1.04 % 1.70 % 4.12 %

Ratios/Supplemental data:


Net assets, end of year (000s)

$ 77,899 $ 106,433 $ 55,399 $ 8,211 $ 6
Ratio of expenses to average net assets(b)

0.15 % 0.15 % 0.22 % 0.22 % 0.24 %
Ratio of expenses to average net assets prior to waived fees(b)

0.22 % 0.22 % n/a n/a n/a
Ratio of net investment income to average net assets(b)

3.07 % 1.35 % 0.97 % 1.42 % 4.06 %
Ratio of net investment income to average net assets prior to waived fees(b)

3.00 % 1.28 % n/a n/a n/a
(a) Rounds to less than $0.01.
(b) These ratios include expenses charged to the Money Market Master Portfolio.
The accompanying notes are an integral part of these financial statements.



5

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Barclays Global Investors Funds (the “Trust”), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust, formerly known as Barclays Global Investors Funds, Inc., was redomiciled from a Maryland corporation to a Delaware statutory trust effective January 11, 2002. As of December 31, 2005, the Trust offered the following diversified funds: Bond Index, Government Money Market, Institutional Money Market, Money Market, Prime Money Market, S&P 500 Stock and Treasury Money Market Funds and LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Portfolios.

These financial statements relate only to the Aon Captives Shares of the Institutional Money Market Fund (the “Fund”). In addition, the Fund offers Institutional Shares, Premium Shares, Select Shares and Trust Shares. All classes of shares have equal rights to assets and earnings, and differ principally in administration and distribution fees.

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

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

INVESTMENT POLICY AND SECURITY VALUATION

The Fund invests all of its assets in a separate series (the “Master Portfolio”) of Master Investment Portfolio (“MIP”). The Master Portfolio has the same or substantially similar investment objectives as the Fund. The value of the Fund’s investment in its Master Portfolio reflects the Fund’s interest in the net assets of the Master Portfolio (85.86%, as of December 31, 2005). The method by which MIP values its securities is discussed in Note 1 of the Master Portfolio’s Notes to the Financial Statements, which are included elsewhere in this report.

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

The Fund seeks to maintain a constant net asset value of $1.00 per share for each of the classes of shares. There is no assurance that the Fund will meet this objective.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

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

DISTRIBUTIONS TO SHAREHOLDERS

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

As of December 31, 2005, the tax year-end of the Fund, the components of net distributable earnings on a tax basis consisted of undistributed ordinary income of $35,458 and capital and other losses of $2,142, for net distributable earnings of $33,316.



6

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

The tax character of distributions paid for the years ended December 31, 2005 and December 31, 2004, consisted of ordinary income of $213,360,431 and $67,218,625, respectively.

FEDERAL INCOME TAXES

The Fund is treated as a separate entity for federal income tax purposes. It is the policy of the Fund to qualify as a regulated investment company by complying with the provisions applicable to regulated investment companies, as defined under Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute annually substantially all of its income and any gains (taking into account capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income and excise taxes. Accordingly, no provision for federal income taxes was required for the year ended December 31, 2005.

From November 1, 2005 to December 31, 2005, the Fund incurred net realized capital losses. As permitted by tax regulations, the Fund has elected to defer the losses of $2,142 and treat it as arising in the year ending December 31, 2006.

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

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

SEI Investments Distribution Company (“SEI”) is the Fund’s distributor. The Fund has adopted a plan pursuant to Rule 12b-1 under the 1940 Act, which allows the Fund to pay expenses relating to the distribution of its Aon Captives Shares. Under the plan, SEI is entitled to receive an annual fee for these services of 0.10% of the average daily net assets of the Aon Captives Shares. This fee is an expense of the Aon Captives Shares only and is not borne by the Institutional Shares, Premium Shares, Select Shares or Trust Shares.

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Fund’s transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Fund for which BGI receives a fee paid by the Fund. This fee is an “all-in” or “semi-unified” fee and BGI, in consideration thereof, has agreed to bear all of the Fund’s ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees and costs related to securities transactions. BGI is entitled to receive for these administration services an annual fee of 0.02% of the average daily net assets of the Aon Captives Shares. From time to time, BGI may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGI waived administration fees of $19,144 for the Aon Captives Shares of the Fund. BGI may delegate certain of its administration duties to sub-administrators.

Certain officers and trustees of the Trust are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of the outstanding shares of the Trust.

3. CAPITAL SHARE TRANSACTIONS

As of December 31, 2005, there were an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the Aon Captives Shares of the Fund were as follows:



Institutional Money Market Fund

Year Ended

December 31, 2005


Year Ended

December 31, 2004


Shares Amount Shares Amount
Shares sold

52,604,460 $ 52,604,460 90,884,066 $ 90,884,068
Shares issued in reinvestment of dividends and distributions

1,167,489 1,167,489 763,570 763,570
Shares redeemed

(82,306,364 ) (82,306,364 ) (40,614,000 ) (40,614,000 )

Net increase (decrease)

(28,534,415 ) $ (28,534,415 ) 51,033,636 $ 51,033,638



7

Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

In our opinion, the accompanying statement of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Institutional Money Market Fund, a series of Barclays Global Investors Funds, (the “Fund”), at December 31, 2005, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for the Aon Captives Share Class for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. The financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of the financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006



8

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED

The Board of Trustees has responsibility for the overall management and operations of the Funds. Each Trustee serves until he or she resigns, retires, or his or her successor is elected and qualified. Each Officer serves until his or her successor is chosen and qualified.

Barclays Global Investors Funds (“BGIF”), Master Investment Portfolio (“MIP”), iShares Trust and iShares, Inc. are considered to be members of the same fund complex, as defined in Form N-1A under the 1940 Act. Each Trustee of BGIF also serves as a Trustee for MIP and oversees 25 portfolios within the fund complex. In addition, Lee T. Kranefuss and Richard K. Lyons each serves as a Trustee for iShares Trust and as a Director for iShares, Inc. and oversees 126 portfolios within the fund complex.

Unless otherwise noted in the tables below, the address for each Trustee is 45 Fremont Street, San Francisco, California 94105. Additional information about the Funds’ Trustees may be found in the Funds’ Statements of Additional Information, which are available without charge, upon request, by calling toll-free 1-877-244-1544.

Interested Trustees and Officers



Name, Year of Birth


Position(s),

Length of Service


Principal Occupation(s) During Past Five Years


Other Public Company and
Investment Company
Directorships

*Lee T. Kranefuss,

1961

Trustee (since 2001), President and Chief Executive Officer (since 2002). Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Chief Executive Officer (1997-2003) of the Intermediary Investor Business of BGI. Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.
Michael A. Latham,

1965

Secretary, Treasurer and Chief Financial Officer (since 2003). Chief Operating Officer (since 2004) of the Intermediary Investor Business of BGI; Director (2000-2004) of Mutual Fund Delivery of the Intermediary Investor Business of BGI. None.


* Lee T. Kranefuss is deemed to be an “interested person” of the Trust because he serves as Chief Executive Officer of the Intermediary Investor Business of BGI, the administrator of the Funds and the Master Portfolios, and the parent company of BGFA, the investment adviser of the Master Portfolios.


9

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED (Continued)

Independent Trustees



Name, Year of Birth


Position(s),

Length of Service


Principal Occupation(s) During Past Five Years


Other Public Company and
Investment Company
Directorships

Mary G. F. Bitterman,

1944

Trustee (since 2001). President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc. Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii.
Jack S. Euphrat,

1922

Trustee (since 1993). Private Investor. None.
Richard K. Lyons,

1961

Trustee (since 2001). Executive Associate Dean (since 2005), Sylvan Coleman Chair in Finance (since 2004), Acting Dean (2004-2005) and Professor (since 1993), University of California, Berkeley; Haas School of Business; Consultant for IMF, World Bank, Federal Reserve Bank, and Citibank N.A. (since 2000). Trustee (since 2001) of MIP; Director (since 2003) of the BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 1995) and Chairman of the Matthews Asian Funds (oversees 8 portfolios); Trustee (since 2000) of iShares Trust; Director (since 2002) of iShares, Inc.
Leo Soong,

1946

Trustee (since 2000). President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder of Crystal Geyser Water Co. (President through 1999). Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association.


10

Table of Contents
MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Face Amount Value
CERTIFICATES OF DEPOSIT – 2.54%


HBOS Treasury Services PLC


3.56%, 03/14/06

$ 50,000,000 $ 50,000,000
3.79%, 06/19/06

50,000,000 49,997,741
Svenska Handelsbanken NY


4.50%, 10/16/06

25,000,000 25,000,000
Toronto-Dominion Bank


3.94%, 07/10/06

35,000,000 35,000,000

TOTAL CERTIFICATES OF DEPOSIT

(Cost: $159,997,741)

159,997,741

COMMERCIAL PAPER – 6.31%


Amstel Funding Corp.


4.40%, 05/08/06

50,000,000 49,217,778
CC USA Inc.


3.76%, 01/23/06

50,000,000 49,879,889
3.93%, 02/24/06

65,500,000 65,106,727
4.23%, 04/21/06

45,000,000 44,413,087
Dorada Finance Inc.


3.76%, 01/26/06

10,000,000 9,972,844
Grampian Funding LLC


3.74%, 01/13/06

90,000,000 89,878,450
K2 USA LLC


3.85%, 02/07/06

74,600,000 74,297,227
Sigma Finance Inc.


4.16%, 04/06/06

15,000,000 14,833,600

TOTAL COMMERCIAL PAPER

(Cost: $397,599,602)

397,599,602

MEDIUM-TERM NOTES – 1.43%


K2 USA LLC


3.57%, 03/16/06(1)

15,000,000 15,000,000
Marshall & Ilsley Bank


5.18%, 12/15/06

50,000,000 50,159,679
Sigma Finance Inc.


4.50%, 10/16/06(1)

25,000,000 25,000,000

TOTAL MEDIUM-TERM NOTES

(Cost: $90,159,679)

90,159,679

TIME DEPOSITS – 6.55%


Branch Banking & Trust


4.02%, 01/03/06

250,000,000 250,000,000
Regions Bank


4.02%, 01/03/06

162,500,000 162,500,000

TOTAL TIME DEPOSITS

(Cost: $412,500,000)

412,500,000

VARIABLE & FLOATING RATE NOTES – 65.64%


Allstate Life Global Funding II


4.36%, 12/08/06(1)

11,000,000 11,005,507
4.37%, 11/09/06(1)

20,000,000 20,010,187
4.37%, 12/27/06(1)

50,000,000 50,000,000
4.39%, 01/12/07(1)

35,000,000 35,018,818
4.43%, 01/16/07(1)

25,000,000 25,012,931
American Express Bank


4.33%, 07/19/06

40,000,000 40,000,000
4.34%, 09/27/06

90,000,000 90,000,000
American Express Centurion Bank


4.34%, 06/29/06

35,000,000 35,000,000
4.34%, 09/27/06

60,000,000 60,000,000
American Express Credit Corp.


4.42%, 02/28/06

31,000,000 31,002,173
ANZ National International Ltd.


4.31%, 12/29/06(1)

75,000,000 75,000,000
ASIF Global Financing


4.34%, 08/11/06(1)

25,000,000 25,001,998
4.38%, 01/23/07(1)

75,000,000 74,996,257
4.55%, 05/30/06(1)

61,500,000 61,540,898
4.56%, 12/11/06(1)

90,000,000 90,072,387
Australia & New Zealand Banking Group Ltd.


4.35%, 01/23/07(1)

35,000,000 35,000,000
Bank of Ireland


4.34%, 12/20/06(1)

70,000,000 70,000,000
Bank of Nova Scotia


4.32%, 09/29/06

35,000,000 34,992,555
Banque Nationale de Paris


4.25%, 10/04/06

20,000,000 19,995,934
Beta Finance Inc.


4.33%, 04/25/06(1)

30,000,000 29,997,000
4.33%, 05/25/06(1)

15,000,000 14,999,459
CC USA Inc.


4.32%, 06/15/06(1)

55,000,000 54,997,499
4.33%, 05/25/06(1)

25,000,000 24,998,973
4.34%, 03/23/06(1)

25,000,000 25,000,048
4.35%, 07/14/06(1)

15,000,000 15,001,574
Commodore CDO Ltd. 2003-2A Class A1MM


4.56%, 06/13/06(1)

25,000,000 25,000,000
Credit Suisse First Boston NY


4.31%, 05/09/06

50,000,000 50,000,000
4.35%, 07/19/06

75,000,000 75,000,000
4.35%, 09/26/06

100,000,000 100,000,000
DEPFA Bank PLC


4.50%, 12/15/06

100,000,000 100,000,000
Descartes Funding Trust


4.37%, 11/15/06(1)

45,000,000 45,000,000
Dexia Credit Local


4.33%, 08/30/06

35,000,000 34,995,359
Dorada Finance Inc.


4.33%, 06/26/06(1)

15,000,000 14,999,321


11

Table of Contents
MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Face Amount Value
Five Finance Inc.


4.32%, 09/15/06(1)

$ 30,000,000 $ 29,995,759
4.33%, 05/25/06(1)

22,000,000 21,999,096
4.34%, 06/26/06(1)

14,000,000 13,999,320
Greenwich Capital Holdings Inc.


4.32%, 02/10/06

15,000,000 15,000,000
4.32%, 02/13/06

15,000,000 15,000,000
HBOS Treasury Services PLC


4.57%, 10/24/06(1)

50,000,000 50,000,000
Holmes Financing PLC Series 2005-9 Class 1A


4.36%, 12/15/06(1)

50,000,000 50,000,000
HSBC Bank USA N.A.


4.39%, 05/04/06

15,000,000 15,004,117
ING USA Annuity & Life Insurance Funding Agreement


4.57%, 12/18/06(1)(2)

20,000,000 20,000,000
Jordan Brick Co. Inc.


4.38%, 01/03/06(1)

18,000,000 18,000,000
K2 USA LLC


4.25%, 06/02/06(1)

35,000,000 34,998,533
4.32%, 09/11/06(1)

100,000,000 99,989,630
Lakeline Austin Development Ltd.


4.40%, 01/03/06(1)

9,800,000 9,800,000
Leafs LLC


4.37%, 02/21/06(1)

19,971,050 19,971,050
LEEK Finance Series 14A Class A1


4.37%, 01/23/06

4,835,872 4,835,872
Links Finance LLC


4.32%, 01/20/06(1)

35,000,000 34,999,556
4.32%, 10/16/06(1)

82,000,000 81,990,234
Lothian Mortgages PLC Series 4A Class A1


4.37%, 01/24/06(1)

25,000,000 25,000,000
Marshall & Ilsley Bank


4.35%, 12/15/06

60,000,000 60,000,000
4.47%, 02/20/06

30,000,000 30,004,935
Metropolitan Life Insurance Funding Agreement


4.24%, 07/18/06(1)(2)

25,000,000 25,000,000
Monumental Global Funding II


4.53%, 12/27/06(1)

100,000,000 100,008,042
Natexis Banques Populaires


4.35%, 01/12/07(1)

50,000,000 50,000,000
National City Bank


4.26%, 01/06/06

20,000,000 19,999,917
Nationwide Building Society


4.58%, 10/27/06(1)

100,000,000 100,000,000
Nordea Bank AB


4.34%, 01/11/07(1)

75,000,000 75,000,000
Nordea Bank PLC


4.23%, 10/02/06

75,000,000 74,986,653
Northern Rock PLC


4.32%, 11/03/06(1)

70,000,000 70,000,000
Permanent Financing PLC Series 8 Class 1A


4.32%, 06/12/06(1)

37,000,000 37,000,067
Principal Life Income Funding Trusts


4.30%, 11/13/06

50,000,000 49,998,353
Royal Bank of Scotland


4.23%, 04/05/06

76,250,000 76,241,832
4.33%, 08/30/06

100,000,000 99,986,739
Sedna Finance Inc.


4.34%, 09/20/06(1)

15,000,000 15,000,000
Sigma Finance Inc.


4.00%, 08/11/06(1)

75,000,000 74,976,738
4.33%, 08/15/06(1)

15,000,000 14,999,067
4.35%, 03/20/06(1)

20,000,000 20,000,329
Skandinaviska Enskilda Bank NY


4.36%, 11/16/06(1)

50,000,000 50,000,000
Societe Generale


4.26%, 01/02/07(1)

30,000,000 30,000,000
4.30%, 06/13/06

30,000,000 29,997,270
Tango Finance Corp.


4.32%, 06/12/06(1)

50,000,000 49,997,769
4.33%, 05/26/06(1)

15,000,000 14,999,094
4.33%, 09/25/06(1)

30,000,000 29,996,718
Trap Rock Industry Inc.


4.40%, 01/03/06(1)

20,390,000 20,390,000
Travelers Insurance Co. Funding Agreement


4.36%, 02/03/06(1)(2)

50,000,000 50,000,000
4.45%, 08/18/06(1)(2)

50,000,000 50,000,000
Union Hamilton Special Funding LLC


4.52%, 03/28/06(1)

50,000,000 50,000,000
US Bank N.A.


4.31%, 09/29/06

15,000,000 14,997,062
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A


4.37%, 01/25/06(1)

65,450,999 65,450,999
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM


4.37%, 01/25/06(1)

72,107,202 72,107,202
Westpac Banking Corp.


4.49%, 01/11/07

70,000,000 70,000,000
WhistleJacket Capital LLC


4.32%, 02/15/06(1)

20,000,000 19,999,364
4.33%, 06/22/06(1)

15,000,000 14,999,289
4.33%, 07/28/06(1)

15,000,000 14,997,857
4.33%, 10/16/06(1)

100,000,000 99,991,889
4.33%, 10/20/06(1)

25,000,000 24,994,365
4.33%, 11/22/06(1)

75,000,000 74,981,733
White Pine Finance LLC


4.32%, 03/15/06(1)

46,000,000 45,997,334
4.32%, 07/17/06(1)

50,000,000 49,994,425
4.32%, 09/15/06(1)

46,000,000 45,995,122
Winston Funding Ltd. Series 2003-1 Class A1MA


4.26%, 01/23/06(1)

100,000,000 100,000,000

TOTAL VARIABLE & FLOATING RATE NOTES

(Cost: $4,137,312,209)

4,137,312,209



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MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Face Amount Value
REPURCHASE AGREEMENTS – 17.29%


Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $100,045,556 (collateralized by U.S. Government obligations, value $102,000,001, 4.50% to 6.00%, 5/1/33 to 11/1/35).

$ 100,000,000 $ 100,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,000, 5.00%, 8/1/35 to 1/1/36).

40,000,000 40,000,000
Credit Suisse First Boston Inc. Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,801,003, 4.21% to 4.77%, 1/1/33 to 5/1/35).

40,000,000 40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,000, 4.25% to 5.19%, 4/1/34 to 9/1/35).

40,000,000 40,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $250,122,222 (collateralized by non-U.S. Government debt securities, value $262,500,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)

250,000,000 250,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,801,409, 2.84% to 5.50%, 4/1/23 to 12/1/35).

40,000,000 40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,993,464, 2.73% to 4.58%, 5/15/07 to 9/25/35).(3)

100,000,000 100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,800,562, 3.15% to 7.41%, 11/1/11 to 6/1/44).

40,000,000 40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $150,073,167 (collateralized by non-U.S. Government debt securities, value $154,504,756, 4.50% to 8.00%, 12/31/06 to 6/1/25).(2)(3)

150,000,000 150,000,000
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,201,372, 4.00% to 6.00%, 10/25/11 to 5/25/34).

40,000,000 40,000,000
Morgan Stanley Tri-Party Repurchase Agreement, 4.45%, due 1/22/07, maturity value $250,123,611 (collateralized by non-U.S. Government debt securities, value $257,841,442, 0.00% to 10.00%, 1/1/06 to 12/31/35).(2)(3)

250,000,000 250,000,000

TOTAL REPURCHASE AGREEMENTS

(Cost: $1,090,000,000)

1,090,000,000

TOTAL INVESTMENTS IN SECURITIES – 99.76%

(Cost: $6,287,569,231)

6,287,569,231

Other Assets, Less Liabilities – 0.24%

15,013,769

NET ASSETS – 100.00%

$ 6,302,583,000



(1) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(2) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
(3) The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
The accompanying notes are an integral part of these financial statements.



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MONEY MARKET INVESTMENT PORTFOLIO

Portfolio Allocation (Unaudited)

December 31, 2005



Asset Type

Value % of
Net Assets
Variable & Floating Rate Notes

$ 4,137,312,209 65.64 %
Repurchase Agreements

1,090,000,000 17.29
Time Deposits

412,500,000 6.55
Commercial Paper

397,599,602 6.31
Certificates of Deposit

159,997,741 2.54
Medium-Term Notes

90,159,679 1.43
Other Net Assets

15,013,769 0.24

TOTAL

$ 6,302,583,000 100.00 %

This table is not part of the financial statements.



14

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MONEY MARKET MASTER PORTFOLIO

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2005



ASSETS


Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1)

$ 5,197,569,231
Repurchase agreements, at value and cost (Note 1)

1,090,000,000
Cash

3,268
Receivables:


Interest

15,549,343

Total Assets

6,303,121,842

LIABILITIES


Payables:


Investment advisory fees (Note 2)

538,842

Total Liabilities

538,842

NET ASSETS

$ 6,302,583,000

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2005



NET INVESTMENT INCOME


Interest from unaffiliated issuers

$ 240,993,254

Total investment income

240,993,254

EXPENSES (Note 2)


Investment advisory fees

7,249,677

Total expenses

7,249,677
Less investment advisory fees waived

(3,436,517 )

Net expenses

3,813,160

Net investment income

237,180,094

REALIZED GAIN (LOSS)


Net realized gain from sale of investments in unaffiliated issuers

35,169

Net realized gain

35,169

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

$ 237,215,263

STATEMENTS OF CHANGES IN NET ASSETS




For the

year ended
December 31, 2005


For the

year ended
December 31, 2004


INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 237,180,094 $ 75,589,172
Net realized gain (loss)

35,169 (3,023 )

Net increase in net assets resulting from operations

237,215,263 75,586,149

Interestholder transactions:


Contributions

58,641,619,347 27,939,964,264
Withdrawals

(58,107,077,434 ) (27,213,733,782 )

Net increase in net assets resulting from interestholder transactions

534,541,913 726,230,482

Increase in net assets

771,757,176 801,816,631
NET ASSETS:


Beginning of year

5,530,825,824 4,729,009,193

End of year

$ 6,302,583,000 $ 5,530,825,824

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



15

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MONEY MARKET MASTER PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company organized as a Delaware statutory trust. As of December 31, 2005, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

These financial statements relate only to the Money Market Master Portfolio (the “Master Portfolio”).

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

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

SECURITY VALUATION

The Master Portfolio uses the amortized cost method of valuation to determine the value of its portfolio securities in accordance with Rule 2a-7 under the 1940 Act. The amortized cost method, which involves valuing a security at its cost and accreting or amortizing any discount or premium, respectively, over the period until maturity, approximates market value.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Security transactions are accounted for on trade date. Interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolio amortizes premiums and accretes discounts using a constant yield to maturity method.

FEDERAL INCOME TAXES

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

It is intended that the Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualification not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2005, the Master Portfolio’s cost of investments for federal income tax purposes was the same as for financial statement purposes.



16

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MONEY MARKET MASTER PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

REPURCHASE AGREEMENTS

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

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with the Master Portfolio, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to the Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.10% of the average daily net assets of the Master Portfolio, as compensation for investment advisory services. From time to time, BGFA may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGFA waived investment advisory fees of $3,436,517 for the Master Portfolio.

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

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

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

Certain officers and trustees of MIP are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of MIP’s outstanding beneficial interests.

3. FINANCIAL HIGHLIGHTS

Financial highlights for the Master Portfolio were as follows:



Year Ended
December 31,
2005 Year Ended
December 31,
2004 Year Ended
December 31,
2003 Year Ended
December 31,
2002 Year Ended
December 31,
2001
Ratio of expenses to average net assets

0.05 % 0.05 % 0.10 % 0.10 % 0.10 %
Ratio of expenses to average net assets prior to waived fees

0.10 % 0.10 % n/a n/a n/a
Ratio of net investment income to average net assets

3.27 % 1.40 % 1.15 % 1.80 % 3.66 %
Ratio of net investment income to average net assets prior to waived fees

3.22 % 1.35 % n/a n/a n/a
Total return

3.28 % 1.39 % 1.16 % 1.84 % 4.23 %


17

Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Money Market Master Portfolio, a portfolio of Master Investment Portfolio (the “Master Portfolio”), at December 31, 2005, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which include confirmation of securities at December 31, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006



18

Table of Contents
MONEY MARKET MASTER PORTFOLIO

TRUSTEE INFORMATION — UNAUDITED

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

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



19

Table of Contents
Notes:



20

Table of Contents
Notes:



21

Table of Contents
Notes:



22

Table of Contents
LOGO

Table of Contents
LOGO

Table of Contents
TABLE OF CONTENTS



Shareholder Expenses

1
Barclays Global Investors Funds


Financial Statements

2
Financial Highlights

6
Notes to the Financial Statements

8
Report of Independent Registered Public Accounting Firm

12
Trustee Information (Unaudited)

13
Master Investment Portfolio


Schedules of Investments

15
Government Money Market Master Portfolio

15
Money Market Master Portfolio

16
Prime Money Market Master Portfolio

19
Treasury Money Market Master Portfolio

23
Portfolio Allocations (Unaudited)

24
Financial Statements

25
Notes to the Financial Statements

27
Report of Independent Registered Public Accounting Firm

30
Trustee Information (Unaudited)

31
Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

Shareholder Expenses

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2005 to December 31, 2005.

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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



Fund

Beginning
Account Value
(July 1, 2005) Ending
Account Value
(December 31, 2005) Annualized
Expense Ratio (a) Expenses Paid
During Period (b)
(July 1 to
December 31, 2005)
Government Money Market


Premium Shares


Actual

$ 1,000.00 $ 1,018.60 0.09 % $ 0.46
Hypothetical (5% return before expenses)

1,000.00 1,024.75 0.09 0.46
Institutional Money Market


Premium Shares


Actual

1,000.00 1,018.70 0.13 0.66
Hypothetical (5% return before expenses)

1,000.00 1,024.57 0.13 0.66
Prime Money Market


Premium Shares


Actual

1,000.00 1,018.50 0.15 0.76
Hypothetical (5% return before expenses)

1,000.00 1,024.46 0.15 0.77
Treasury Money Market


Premium Shares


Actual

1,000.00 1,031.50 0.05 0.26
Hypothetical (5% return before expenses)

1,000.00 1,024.95 0.05 0.26
(a) This ratio includes expenses charged to the corresponding Master Portfolio and includes investment advisory and administration fees voluntary waived during the period.
(b) Expenses are calculated using each Fund’s annualized expense ratio of the Premium Shares (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).


1

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005



Government
Money Market Fund Institutional
Money Market Fund
Prime

Money Market Fund


Treasury

Money Market Fund

ASSETS


Investments:


In corresponding Master Portfolio, at value (Note 1)

$ 394,466,966 $ 5,411,656,356 $ 9,870,959,765 $ 103,493,497

Total Assets

394,466,966 5,411,656,356 9,870,959,765 103,493,497

LIABILITIES


Payables:


Distribution to shareholders

1,195,056 19,546,725 33,699,305 397,552
Administration fees (Note 2)

13,486 100,339 242,194 622
Distribution fees – Aon Captives Shares (Note 2)

— 20,025 — —

Total Liabilities

1,208,542 19,667,089 33,941,499 398,174

NET ASSETS

$ 393,258,424 $ 5,391,989,267 $ 9,837,018,266 $ 103,095,323

Net assets consist of:


Paid-in capital

$ 393,258,424 $ 5,391,955,951 $ 9,836,998,750 $ 103,095,323
Undistributed net investment income

— 3,747 13,322 —
Undistributed net realized gain

— 29,569 6,194 —

NET ASSETS

$ 393,258,424 $ 5,391,989,267 $ 9,837,018,266 $ 103,095,323

Aon Captives Shares


Net Assets

$ — $ 77,898,550 $ — $ —

Shares outstanding

— 77,897,975 — —

Net asset value and offering price per share

$ — $ 1.00 $ — $ —

Institutional Shares


Net Assets

$ 169,200,207 $ 3,485,876,124 $ 6,521,818,007 $ 100,342,539

Shares outstanding

169,200,207 3,485,858,584 6,521,801,171 100,342,539

Net asset value and offering price per share

$ 1.00 $ 1.00 $ 1.00 $ 1.00

Premium Shares


Net Assets

$ 183,242,766 $ 1,803,170,990 $ 3,233,738,277 $ 2,546,403

Shares outstanding

183,242,766 1,803,159,587 3,233,735,056 2,546,403

Net asset value and offering price per share

$ 1.00 $ 1.00 $ 1.00 $ 1.00

Select Shares


Net Assets

$ 40,712,298 $ 24,940,220 $ 81,358,616 $ 103,339

Shares outstanding

40,712,298 24,940,211 81,359,157 103,339

Net asset value and offering price per share

$ 1.00 $ 1.00 $ 1.00 $ 1.00

Trust Shares


Net Assets

$ 103,153 $ 103,383 $ 103,366 $ 103,042

Shares outstanding

103,153 103,383 103,366 103,042

Net asset value and offering price per share

$ 1.00 $ 1.00 $ 1.00 $ 1.00

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



2

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005




Government

Money Market Fund


Institutional

Money Market Fund


Prime

Money Market Fund


Treasury

Money Market Fund


NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO


Interest

$ 29,369,301 $ 218,145,682 $ 412,793,534 $ 685,155
Expenses(a)

(121,718 ) (3,442,469 ) (9,771,810 ) —

Net investment income allocated from corresponding Master Portfolio

29,247,583 214,703,213 403,021,724 685,155

FUND EXPENSES (Note 2)


Administration fees

288,345 2,559,241 5,282,707 5,000
Distribution fees – Aon Captives Shares

— 95,721 — —

Total fund expenses

288,345 2,654,962 5,282,707 5,000
Less administration fees waived

(163,899 ) (1,312,234 ) (2,322,017 ) (3,428 )

Net fund expenses

124,446 1,342,728 2,960,690 1,572

Net investment income

29,123,137 213,360,485 400,061,034 683,583

REALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO


Net realized gain

— 32,325 8,607 —

Net realized gain

— 32,325 8,607 —

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

$ 29,123,137 $ 213,392,810 $ 400,069,641 $ 683,583

(a) Net of investment advisory fee waivers by the Master Portfolios’ investment adviser in the amounts of $799,065, $3,129,635, $2,766,658, and $17,151, respectively.
The accompanying notes are an integral part of these financial statements.



3

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS



Government Money Market Fund Institutional Money Market Fund

For the

year ended

December 31, 2005


For the period

September 1, 2004(a)

to

December 31, 2004


For the

year ended

December 31, 2005


For the

year ended

December 31, 2004


INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 29,123,137 $ 2,579,760 $ 213,360,485 $ 67,218,571
Net realized gain (loss)

— — 32,325 (2,753 )

Net increase in net assets resulting from operations

29,123,137 2,579,760 213,392,810 67,215,818

Distributions to shareholders:


From net investment income:


Aon Captives Shares

— — (2,943,319 ) (1,141,062 )
Institutional Shares

(22,103,787 ) (2,578,006 ) (129,993,058 ) (54,192,310 )
Premium Shares

(6,585,019 ) (622 ) (79,980,794 ) (11,848,951 )
Select Shares

(431,372 ) (605 ) (440,285 ) (35,557 )
Trust Shares

(2,959 ) (527 ) (2,975 ) (745 )

(29,123,137 ) (2,579,760 ) (213,360,431 ) (67,218,625 )

Total distributions to shareholders

(29,123,137 ) (2,579,760 ) (213,360,431 ) (67,218,625 )

Capital share transactions (Note 3):


Aon Captives Shares

— — (28,534,415 ) 51,033,638
Institutional Shares

(278,900,244 ) 448,100,451 (138,646,363 ) (373,719,853 )
Premium Shares

183,142,328 100,438 585,770,940 927,289,984
Select Shares

40,611,873 100,425 18,227,811 6,712,400
Trust Shares

2,785 100,368 2,796 100,587

Net increase (decrease) in net assets resulting from capital share transactions

(55,143,258 ) 448,401,682 436,820,769 611,416,756

Increase (decrease) in net assets

(55,143,258 ) 448,401,682 436,853,148 611,413,949
NET ASSETS:


Beginning of period

448,401,682 — 4,955,136,119 4,343,722,170

End of period

$ 393,258,424 $ 448,401,682 $ 5,391,989,267 $ 4,955,136,119

Undistributed (distributions in excess of) net investment income included in net assets at end of period

$ — $ — $ 3,747 $ (54 )

(a) Commencement of operations.
The accompanying notes are an integral part of these financial statements.



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BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)



Prime Money Market Fund Treasury Money Market Fund

For the

year ended

December 31, 2005


For the

year ended

December 31, 2004


For the

year ended

December 31, 2005


For the period

September 1, 2004(a)

to

December 31, 2004


INCREASE (DECREASE) IN NET ASSETS


Operations:


Net investment income

$ 400,061,034 $ 84,316,610 $ 683,583 $ 2,274
Net realized gain

8,607 55,136 — —

Net increase in net assets resulting from operations

400,069,641 84,371,746 683,583 2,274

Distributions to shareholders:


From net investment income:


Institutional Shares

(231,155,121 ) (54,101,221 ) (590,271 ) (609 )
Premium Shares

(166,418,165 ) (29,887,264 ) (87,324 ) (592 )
Select Shares

(2,484,802 ) (327,158 ) (3,114 ) (575 )
Trust Shares

(2,946 ) (753 ) (2,874 ) (498 )

(400,061,034 ) (84,316,396 ) (683,583 ) (2,274 )

From net realized gain:


Institutional Shares

— (32,824 ) — —
Premium Shares

— (11,403 ) — —

— (44,227 ) — —

Total distributions to shareholders

(400,061,034 ) (84,360,623 ) (683,583 ) (2,274 )

Capital share transactions (Note 3):


Institutional Shares

520,868,715 3,033,857,069 100,242,105 100,434
Premium Shares

(2,013,369,862 ) 4,282,862,178 2,445,981 100,422
Select Shares

(88,977,243 ) 170,336,400 2,930 100,409
Trust Shares

2,775 100,591 2,691 100,351

Net increase (decrease) in net assets resulting from capital share transactions

(1,581,475,615 ) 7,487,156,238 102,693,707 401,616

Increase (decrease) in net assets

(1,581,467,008 ) 7,487,167,361 102,693,707 401,616
NET ASSETS:


Beginning of period

11,418,485,274 3,931,317,913 401,616 —

End of period

$ 9,837,018,266 $ 11,418,485,274 $ 103,095,323 $ 401,616

Undistributed net investment income included in net assets at end of period

$ 13,322 — — —

(a) Commencement of operations.
The accompanying notes are an integral part of these financial statements.



5

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BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)



Government Money Market
Fund — Premium Shares

Year ended

Dec. 31, 2005


Period from

Sep. 1, 2004 (a)

to Dec. 31, 2004


Net asset value, beginning of period

$ 1.00 $ 1.00
Income from investment operations:


Net investment income

0.03 0.01

Total from investment operations

0.03 0.01

Less distributions from:


Net investment income

(0.03 ) (0.01 )

Total distributions

(0.03 ) (0.01 )

Net asset value, end of period

$ 1.00 $ 1.00

Total return

3.23 % 0.62 %(b)

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 183,243 $ 100
Ratio of expenses to average net assets(c)

0.08 % 0.05 %
Ratio of expenses to average net assets prior to waived fees(c)

0.17 % 0.17 %
Ratio of net investment income to average net assets(c)

3.54 % 1.86 %
Ratio of net investment income to average net assets prior to waived fees(c)

3.45 % 1.74 %


Institutional Money Market Fund — Premium Shares

Year ended

Dec. 31, 2005


Year ended

Dec. 31, 2004


Year ended

Dec. 31, 2003


Period from

Dec. 2, 2002 (a)

to Dec. 31, 2002


Net asset value, beginning of period

$ 1.00 $ 1.00 $ 1.00 $ 1.00

Income from investment operations:


Net investment income

0.03 0.01 0.01 0.00 (d)
Net realized gain (loss)

0.00 (d) (0.00 )(d) 0.00 (d) —

Total from investment operations

0.03 0.01 0.01 0.00 (d)

Less distributions from:


Net investment income

(0.03 ) (0.01 ) (0.01 ) (0.00 )(d)
Net realized gain

— — (0.00 )(d) —

Total distributions

(0.03 ) (0.01 ) (0.01 ) (0.00 )(d)

Net asset value, end of period

$ 1.00 $ 1.00 $ 1.00 $ 1.00

Total return

3.24 % 1.34 % 1.10 % 0.11 %(b)

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 1,803,171 $ 1,217,388 $ 290,099 $ 5
Ratio of expenses to average net assets(e)

0.10 % 0.10 % 0.17 % 0.25 %
Ratio of expenses to average net assets prior to waived fees(e)

0.17 % 0.17 % n/a n/a
Ratio of net investment income to average net assets(e)

3.24 % 1.45 % 0.98 % 1.51 %
Ratio of net investment income to average net assets prior to waived fees(e)

3.17 % 1.38 % n/a n/a
(a) Commencement of operations.
(b) Not annualized.
(c) Annualized for periods of less than one year. These ratios include expenses charged to the Government Money Market Master Portfolio.
(d) Rounds to less than $0.01.
(e) Annualized for periods of less than one year. These ratios include expenses charged to the Money Market Master Portfolio.
The accompanying notes are an integral part of these financial statements.



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BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)



Prime Money Market Fund — Premium Shares

Year ended

Dec. 31, 2005


Year ended

Dec. 31, 2004


Period from

Apr. 16, 2003 (a)

to Dec. 31, 2003


Net asset value, beginning of period

$ 1.00 $ 1.00 $ 1.00

Income from investment operations:


Net investment income

0.03 0.01 0.01
Net realized gain (loss)

0.00 (b) 0.00 (b) (0.00 )(b)

Total from investment operations

0.03 0.01 0.01

Less distributions from:


Net investment income

(0.03 ) (0.01 ) (0.01 )
Net realized gain

— (0.00 )(b) (0.00 )(b)

Total distributions

(0.03 ) (0.01 ) (0.01 )

Net asset value, end of period

$ 1.00 $ 1.00 $ 1.00

Total return

3.21 % 1.35 % 0.75 %(c)

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 3,233,738 $ 5,247,105 $ 964,243
Ratio of expenses to average net assets(d)

0.13 % 0.07 % 0.09 %
Ratio of expenses to average net assets prior to waived fees(d)

0.17 % 0.17 % n/a
Ratio of net investment income to average net assets(d)

3.08 % 1.62 % 1.02 %
Ratio of net investment income to average net assets prior to waived fees(d)

3.04 % 1.52 % n/a



Treasury Money Market Fund —

Premium Shares



Year ended

Dec. 31,
2005


Period from

Sep. 1, 2004
(a)

to Dec. 31,
2004


Net asset value, beginning of period

$ 1.00 $ 1.00

Income from investment operations:


Net investment income

0.03 0.01

Total from investment operations

0.03 0.01

Less distributions from:


Net investment income

(0.03 ) (0.01 )

Total distributions

(0.03 ) (0.01 )

Net asset value, end of period

$ 1.00 $ 1.00

Total return

3.15 % 0.59 %(c)

Ratios/Supplemental data:


Net assets, end of period (000s)

$ 2,546 $ 100
Ratio of expenses to average net assets(e)

0.05 % 0.05 %
Ratio of expenses to average net assets prior to waived fees(e)

0.17 % 0.17 %
Ratio of net investment income to average net assets(e)

3.83 % 1.77 %
Ratio of net investment income to average net assets prior to waived fees(e)

3.71 % 1.65 %
(a) Commencement of operations.
(b) Rounds to less than $0.01.
(c) Not annualized.
(d) Annualized for periods of less than one year. These ratios include expenses charged to the Prime Money Market Master Portfolio.
(e) Annualized for periods of less than one year. These ratios include expenses charged to the Treasury Money Market Master Portfolio.
The accompanying notes are an integral part of these financial statements.



7

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Barclays Global Investors Funds (the “Trust”), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust, formerly known as Barclays Global Investors Funds, Inc., was redomiciled from a Maryland corporation to a Delaware statutory trust effective January 11, 2002. As of December 31, 2005, the Trust offered the following diversified funds: Bond Index, Government Money Market, Institutional Money Market, Money Market, Prime Money Market, S&P 500 Stock and Treasury Money Market Funds and LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Portfolios.

These financial statements relate only to the Premium Shares of the Government Money Market Fund (the “GMMF”), Institutional Money Market Fund (the “IMMF”), Prime Money Market Fund (the “PMMF”) and Treasury Money Market Fund (the “TMMF”), (each, a “Fund,” collectively, the “Funds”). In addition, the GMMF, PMMF and TMMF offer Institutional Shares, Select Shares and Trust Shares. The IMMF also offers Aon Captives Shares, Institutional Shares, Select Shares and Trust Shares. All classes of shares have equal rights to assets and earnings, and differ principally in administration and distribution fees.

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

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

INVESTMENT POLICY AND SECURITY VALUATION

Each Fund invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objectives as its corresponding Fund. The value of each Fund’s investment in its corresponding Master Portfolio reflects that Fund’s interest in the net assets of that Master Portfolio (100.00%, 85.86%, 85.88% and 100.00% for the GMMF, IMMF, PMMF and TMMF, respectively, as of December 31, 2005). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

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

Each Fund seeks to maintain a constant net asset value of $1.00 per share for each of the classes of shares. There is no assurance that the Funds will meet this objective.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

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

DISTRIBUTIONS TO SHAREHOLDERS

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



8

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

As of December 31, 2005, the tax year-end of the Funds, the components of net distributable earnings on a tax basis were as follows:



Fund


Undistributed

Ordinary Income


Capital and

Other Losses


Net Distributable

Earnings

Institutional Money Market

$ 35,458 $ (2,142 ) $ 33,316
Prime Money Market

19,516 — 19,516
The tax character of distributions paid for the years ended December 31, 2005 and December 31, 2004, were as follows:



Fund

2005 2004
Government Money Market


Distributions paid from:


Ordinary Income

$ 29,123,137 $ 2,579,760

Total Distributions

$ 29,123,137 $ 2,579,760

Institutional Money Market


Distributions paid from:


Ordinary Income

$ 213,360,431 $ 67,218,625

Total Distributions

$ 213,360,431 $ 67,218,625

Prime Money Market


Distributions paid from:


Ordinary Income

$ 400,061,034 $ 84,360,623

Total Distributions

$ 400,061,034 $ 84,360,623

Treasury Money Market


Distributions paid from:


Ordinary Income

$ 683,583 $ 2,274

Total Distributions

$ 683,583 $ 2,274

FEDERAL INCOME TAXES

Each Fund is treated as a separate entity for federal income tax purposes. It is the policy of each Fund to qualify as a regulated investment company by complying with the provisions applicable to regulated investment companies, as defined under Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute annually substantially all of its income and any gains (taking into account capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income and excise taxes. Accordingly, no provision for federal income taxes was required for the year ended December 31, 2005.

From November 1, 2005 to December 31, 2005, the Institutional Money Market Fund incurred net realized capital losses. As permitted by tax regulations, the Fund has elected to defer the losses of $2,142 and treat it as arising in the year ending December 31, 2006.

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

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

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

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Funds’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Funds for



9

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BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)



which BGI receives a fee paid by each Fund. This fee is an “all-in” or “semi-unified” fee and BGI, in consideration thereof, has agreed to bear all of the Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees and costs related to securities transactions. BGI is entitled to receive for these administration services an annual fee of 0.07% of the average daily net assets of each Fund’s Premium Shares. From time to time, BGI may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGI waived administration fees of $29,154, $493,610, $1,010,782 and $457 for the Premium Shares of the GMMF, IMMF, PMMF and TMMF, respectively. BGI may delegate certain of its administration duties to sub-administrators.

Certain officers and trustees of the Trust are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of the outstanding shares of the Trust.

3. CAPITAL SHARE TRANSACTIONS

As of December 31, 2005, there were an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the Premium Shares of the Funds were as follows:



Government Money Market Fund

Year Ended

December 31, 2005


Period Ended

December 31, 2004 (a)

Shares Amount Shares Amount
Shares sold

4,027,681,994 $ 4,027,681,994 100,000 $ 100,000
Shares issued in reinvestment of dividends and distributions

4,744,687 4,744,687 438 438
Shares redeemed

(3,849,284,353 ) (3,849,284,353 ) — —

Net increase

183,142,328 $ 183,142,328 100,438 $ 100,438



Institutional Money Market Fund

Year Ended

December 31, 2005


Year Ended

December 31, 2004


Shares Amount Shares Amount
Shares sold

12,409,149,344 $ 12,409,149,344 5,180,859,883 $ 5,180,859,883
Shares issued in reinvestment of dividends and distributions

53,195,056 53,195,056 8,061,506 8,061,506
Shares redeemed

(11,876,573,460 ) (11,876,573,460 ) (4,261,631,405 ) (4,261,631,405 )

Net increase

585,770,940 $ 585,770,940 927,289,984 $ 927,289,984



Prime Money Market Fund

Year Ended

December 31, 2005


Year Ended

December 31, 2004


Shares Amount Shares Amount
Shares sold

27,815,810,863 $ 27,815,810,863 16,139,864,436 $ 16,139,864,436
Shares issued in reinvestment of dividends and distributions

110,788,469 110,788,469 15,709,079 15,709,079
Shares redeemed

(29,939,969,194 ) (29,939,969,194 ) (11,872,711,337 ) (11,872,711,337 )

Net increase (decrease)

(2,013,369,862 ) $ (2,013,369,862 ) 4,282,862,178 $ 4,282,862,178



10

Table of Contents
BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)



Treasury Money Market Fund

Year Ended

December 31, 2005

Period Ended
December 31, 2004 (a)
Shares Amount Shares Amount
Shares sold

119,416,584 $ 119,416,584 100,000 $ 100,000
Shares issued in reinvestment of dividends and distributions

20,230 20,230 422 422
Shares redeemed

(116,990,833 ) (116,990,833 ) — —

Net increase

2,445,981 $ 2,445,981 100,422 $ 100,422

(a) For the period from September 1, 2004 (commencement of operations) to December 31, 2004.


11

Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

In our opinion, the accompanying statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Government Money Market Fund, Institutional Money Market Fund, Prime Money Market Fund and Treasury Money Market Fund, each a series of Barclays Global Investors Funds, (the “Funds”), at December 31, 2005, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented, and the financial highlights for the Premium Share Class for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006



12

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BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED

The Board of Trustees has responsibility for the overall management and operations of the Funds. Each Trustee serves until he or she resigns, retires, or his or her successor is elected and qualified. Each Officer serves until his or her successor is chosen and qualified.

Barclays Global Investors Funds (“BGIF”), Master Investment Portfolio (“MIP”), iShares Trust and iShares, Inc. are considered to be members of the same fund complex, as defined in Form N-1A under the 1940 Act. Each Trustee of BGIF also serves as a Trustee for MIP and oversees 25 portfolios within the fund complex. In addition, Lee T. Kranefuss and Richard K. Lyons each serves as a Trustee for iShares Trust and as a Director for iShares, Inc. and oversees 126 portfolios within the fund complex.

Unless otherwise noted in the tables below, the address for each Trustee is 45 Fremont Street, San Francisco, California 94105. Additional information about the Funds’ Trustees may be found in the Funds’ Statements of Additional Information, which are available without charge, upon request, by calling toll-free 1-877-244-1544.

Interested Trustees and Officers



Name, Year of Birth


Position(s),

Length of Service


Principal Occupation(s) During Past Five Years


Other Public Company
and Investment Company
Directorships

*Lee T. Kranefuss, 1961

Trustee (since 2001), President and Chief Executive Officer (since 2002). Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Chief Executive Officer (1997-2003) of the Intermediary Investor Business of BGI. Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.
Michael A. Latham,
1965 Secretary, Treasurer
and Chief Financial
Officer (since 2003). Chief Operating Officer (since 2004) of the Intermediary
Investor Business of BGI; Director (2000-2004) of
Mutual Fund Delivery of the Intermediary Investor
Business of BGI. None.
* Lee T. Kranefuss is deemed to be an “interested person” of the Trust because he serves as Chief Executive Officer of the Intermediary Investor Business of BGI, the administrator of the Funds and the Master Portfolios, and the parent company of BGFA, the investment adviser of the Master Portfolios.
Independent Trustees



Name, Year of Birth


Position(s),

Length of Service


Principal Occupation(s) During Past Five Years


Other Public Company
and Investment Company
Directorships

Mary G. F. Bitterman,
1944 Trustee (since 2001). President (since 2004) and Director (since 2002) of the
Bernard Osher Foundation; Director (2003-2004) of
Osher Lifelong Learning Institutes; President and Chief
Executive Officer (2002-2003) of The James Irvine
Foundation; President and Chief Executive Officer
(1993-2002) of KQED, Inc. Trustee (since 2001)
of MIP; Director
(since 1984) and Lead
Independent Director
(since 2000) of Bank
of Hawaii.


13

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BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED (Continued)

Independent Trustees (Continued)



Name, Year of Birth


Position(s),

Length of Service


Principal Occupation(s) During Past Five Years


Other Public Company
and Investment Company
Directorships

Jack S. Euphrat,

1922

Trustee (since 1993). Private Investor. None.
Richard K. Lyons,

1961

Trustee (since 2001). Executive Associate Dean (since 2005), Sylvan Coleman Chair in Finance (since 2004), Acting Dean (2004-2005) and Professor (since 1993), University of California, Berkeley; Haas School of Business; Consultant for IMF, World Bank, Federal Reserve Bank, and Citibank N.A. (since 2000). Trustee (since 2001) of MIP; Director (since 2003) of the BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 1995) and Chairman of the Matthews Asian Funds (oversees 8 portfolios); Trustee (since 2000) of iShares Trust; Director (since 2002) of iShares, Inc.
Leo Soong,

1946

Trustee (since 2000). President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder of Crystal Geyser Water Co. (President through 1999). Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association.


14

Table of Contents
GOVERNMENT MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Face Amount Value
REPURCHASE AGREEMENTS – 99.98%


Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $60,028,667 (collateralized by U.S. Government obligations, value $61,200,000, 3.88% to 6.00%, 6/1/20 to 1/1/36).

$ 60,000,000 $ 60,000,000
Bank of America N.A. Tri-Party Repurchase Agreement, 4.27%, due 1/3/06, maturity value $75,035,583 (collateralized by U.S. Government obligations, value $76,500,001, 5.00%, 10/1/35).

75,000,000 75,000,000
Credit Suisse First Boston Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $20,009,444 (collateralized by U.S. Government obligations, value $20,401,727, 4.84% to 5.43%, 5/1/35 to 7/1/35).

20,000,000 20,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $60,028,867 (collateralized by U.S. Government obligations, value $61,200,001, 4.00% to 5.16%, 4/1/20 to 12/1/35).

60,000,000 60,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4. 29%, due 1/3/06, maturity value $60,028,600 (collateralized by U.S. Government obligations, value $61,203,452, 3.75% to 5.83%, 1/1/19 to 12/1/35).

60,000,000 60,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $44,420,720 (collateralized by U.S. Government obligations, value $45,286,934, 3.21% to 7.94%, 2/1/16 to 8/1/36).

$ 44,400,000 $ 44,400,000
Merrill Lynch Government Securities Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $75,035,667 (collateralized by U.S. Government obligations, value $77,251,360, 3.50% to 6.00%, 4/25/16 to 3/25/31).

75,000,000 75,000,000

TOTAL REPURCHASE AGREEMENTS

(Cost: $394,400,000)

394,400,000

TOTAL INVESTMENTS IN SECURITIES – 99.98%

(Cost: $394,400,000)

394,400,000

Other Assets, Less Liabilities – 0.02%

66,966

NET ASSETS – 100.00%

$ 394,466,966

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



15

Table of Contents
MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Face Amount Value
CERTIFICATES OF DEPOSIT – 2. 54%


HBOS Treasury Services PLC


3.56%, 03/14/06

$ 50,000,000 $ 50,000,000
3.79%, 06/19/06

50,000,000 49,997,741
Svenska Handelsbanken NY


4.50%, 10/16/06

25,000,000 25,000,000
Toronto-Dominion Bank


3.94%, 07/10/06

35,000,000 35,000,000

TOTAL CERTIFICATES OF DEPOSIT

(Cost: $159,997,741)

159,997,741

COMMERCIAL PAPER – 6. 31%


Amstel Funding Corp.


4.40%, 05/08/06

50,000,000 49,217,778
CC USA Inc.


3.76%, 01/23/06

50,000,000 49,879,889
3.93%, 02/24/06

65,500,000 65,106,727
4.23%, 04/21/06

45,000,000 44,413,087
Dorada Finance Inc.


3.76%, 01/26/06

10,000,000 9,972,844
Grampian Funding LLC


3.74%, 01/13/06

90,000,000 89,878,450
K2 USA LLC


3.85%, 02/07/06

74,600,000 74,297,227
Sigma Finance Inc.


4.16%, 04/06/06

15,000,000 14,833,600

TOTAL COMMERCIAL PAPER

(Cost: $397,599,602)

397,599,602

MEDIUM-TERM NOTES – 1. 43%


K2 USA LLC


3.57%, 03/16/06(1)

15,000,000 15,000,000
Marshall & Ilsley Bank


5.18%, 12/15/06

50,000,000 50,159,679
Sigma Finance Inc.


4.50%, 10/16/06(1)

25,000,000 25,000,000

TOTAL MEDIUM-TERM NOTES

(Cost: $90,159,679)

90,159,679

TIME DEPOSITS – 6.55%


Branch Banking & Trust


4.02%, 01/03/06

250,000,000 250,000,000
Regions Bank


4.02%, 01/03/06

162,500,000 162,500,000

TOTAL TIME DEPOSITS

(Cost: $412,500,000)

412,500,000

VARIABLE & FLOATING RATE NOTES – 65.64%


Allstate Life Global Funding II


4.36%, 12/08/06(1)

11,000,000 11,005,507
4.37%, 11/09/06(1)

20,000,000 20,010,187
4.37%, 12/27/06(1)

50,000,000 50,000,000
4.39%, 01/12/07(1)

35,000,000 35,018,818
4.43%, 01/16/07(1)

25,000,000 25,012,931
American Express Bank


4.33%, 07/19/06

40,000,000 40,000,000
4.34%, 09/27/06

90,000,000 90,000,000
American Express Centurion Bank


4.34%, 06/29/06

35,000,000 35,000,000
4.34%, 09/27/06

60,000,000 60,000,000
American Express Credit Corp.


4.42%, 02/28/06

31,000,000 31,002,173
ANZ National International Ltd.


4.31%, 12/29/06(1)

75,000,000 75,000,000
ASIF Global Financing


4.34%, 08/11/06(1)

25,000,000 25,001,998
4.38%, 01/23/07(1)

75,000,000 74,996,257
4.55%, 05/30/06(1)

61,500,000 61,540,898
4.56%, 12/11/06(1)

90,000,000 90,072,387
Australia & New Zealand Banking Group Ltd.


4.35%, 01/23/07(1)

35,000,000 35,000,000
Bank of Ireland


4.34%, 12/20/06(1)

70,000,000 70,000,000
Bank of Nova Scotia


4.32%, 09/29/06

35,000,000 34,992,555
Banque Nationale de Paris


4.25%, 10/04/06

20,000,000 19,995,934
Beta Finance Inc.


4.33%, 04/25/06(1)

30,000,000 29,997,000
4.33%, 05/25/06(1)

15,000,000 14,999,459
CC USA Inc.


4.32%, 06/15/06(1)

55,000,000 54,997,499
4.33%, 05/25/06(1)

25,000,000 24,998,973
4.34%, 03/23/06(1)

25,000,000 25,000,048
4.35%, 07/14/06(1)

15,000,000 15,001,574
Commodore CDO Ltd. 2003-2A Class A1MM


4.56%, 06/13/06(1)

25,000,000 25,000,000
Credit Suisse First Boston NY


4.31%, 05/09/06

50,000,000 50,000,000
4.35%, 07/19/06

75,000,000 75,000,000
4.35%, 09/26/06

100,000,000 100,000,000
DEPFA Bank PLC


4.50%, 12/15/06

100,000,000 100,000,000
Descartes Funding Trust


4.37%, 11/15/06(1)

45,000,000 45,000,000
Dexia Credit Local


4.33%, 08/30/06

35,000,000 34,995,359
Dorada Finance Inc.


4.33%, 06/26/06(1)

15,000,000 14,999,321


16

Table of Contents
MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Face Amount Value
Five Finance Inc.


4.32%, 09/15/06(1)

$ 30,000,000 $ 29,995,759
4.33%, 05/25/06(1)

22,000,000 21,999,096
4.34%, 06/26/06(1)

14,000,000 13,999,320
Greenwich Capital Holdings Inc.


4.32%, 02/10/06

15,000,000 15,000,000
4.32%, 02/13/06

15,000,000 15,000,000
HBOS Treasury Services PLC


4.57%, 10/24/06(1)

50,000,000 50,000,000
Holmes Financing PLC Series 2005-9 Class 1A


4.36%, 12/15/06(1)

50,000,000 50,000,000
HSBC Bank USA N.A.


4.39%, 05/04/06

15,000,000 15,004,117
ING USA Annuity & Life Insurance Funding Agreement


4.57%, 12/18/06(1)(2)

20,000,000 20,000,000
Jordan Brick Co. Inc.


4.38%, 01/03/06(1)

18,000,000 18,000,000
K2 USA LLC


4.25%, 06/02/06(1)

35,000,000 34,998,533
4.32%, 09/11/06(1)

100,000,000 99,989,630
Lakeline Austin Development Ltd.


4.40%, 01/03/06(1)

9,800,000 9,800,000
Leafs LLC


4.37%, 02/21/06(1)

19,971,050 19,971,050
LEEK Finance Series 14A Class A1


4.37%, 01/23/06

4,835,872 4,835,872
Links Finance LLC


4.32%, 01/20/06(1)

35,000,000 34,999,556
4.32%, 10/16/06(1)

82,000,000 81,990,234
Lothian Mortgages PLC Series 4A Class A1


4.37%, 01/24/06(1)

25,000,000 25,000,000
Marshall & Ilsley Bank


4.35%, 12/15/06

60,000,000 60,000,000
4.47%, 02/20/06

30,000,000 30,004,935
Metropolitan Life Insurance Funding Agreement


4.24%, 07/18/06(1)(2)

25,000,000 25,000,000
Monumental Global Funding II


4.53%, 12/27/06(1)

100,000,000 100,008,042
Natexis Banques Populaires


4.35%, 01/12/07(1)

50,000,000 50,000,000
National City Bank


4.26%, 01/06/06

20,000,000 19,999,917
Nationwide Building Society


4.58%, 10/27/06(1)

100,000,000 100,000,000
Nordea Bank AB


4.34%, 01/11/07(1)

75,000,000 75,000,000
Nordea Bank PLC


4.23%, 10/02/06

75,000,000 74,986,653
Northern Rock PLC


4.32%, 11/03/06(1)

70,000,000 70,000,000
Permanent Financing PLC Series 8 Class 1A


4.32%, 06/12/06(1)

37,000,000 37,000,067
Principal Life Income Funding Trusts


4.30%, 11/13/06

50,000,000 49,998,353
Royal Bank of Scotland


4.23%, 04/05/06

76,250,000 76,241,832
4.33%, 08/30/06

100,000,000 99,986,739
Sedna Finance Inc.


4.34%, 09/20/06(1)

15,000,000 15,000,000
Sigma Finance Inc.


4.00%, 08/11/06(1)

75,000,000 74,976,738
4.33%, 08/15/06(1)

15,000,000 14,999,067
4.35%, 03/20/06(1)

20,000,000 20,000,329
Skandinaviska Enskilda Bank NY


4.36%, 11/16/06(1)

50,000,000 50,000,000
Societe Generale


4.26%, 01/02/07(1)

30,000,000 30,000,000
4.30%, 06/13/06

30,000,000 29,997,270
Tango Finance Corp.


4.32%, 06/12/06(1)

50,000,000 49,997,769
4.33%, 05/26/06(1)

15,000,000 14,999,094
4.33%, 09/25/06(1)

30,000,000 29,996,718
Trap Rock Industry Inc.


4.40%, 01/03/06(1)

20,390,000 20,390,000
Travelers Insurance Co. Funding Agreement


4.36%, 02/03/06(1)(2)

50,000,000 50,000,000
4.45%, 08/18/06(1)(2)

50,000,000 50,000,000
Union Hamilton Special Funding LLC


4.52%, 03/28/06(1)

50,000,000 50,000,000
US Bank N.A.


4.31%, 09/29/06

15,000,000 14,997,062
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A


4.37%, 01/25/06(1)

65,450,999 65,450,999
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM


4.37%, 01/25/06(1)

72,107,202 72,107,202
Westpac Banking Corp.


4.49%, 01/11/07

70,000,000 70,000,000
WhistleJacket Capital LLC


4.32%, 02/15/06(1)

20,000,000 19,999,364
4.33%, 06/22/06(1)

15,000,000 14,999,289
4.33%, 07/28/06(1)

15,000,000 14,997,857
4.33%, 10/16/06(1)

100,000,000 99,991,889
4.33%, 10/20/06(1)

25,000,000 24,994,365
4.33%, 11/22/06(1)

75,000,000 74,981,733
White Pine Finance LLC


4.32%, 03/15/06(1)

46,000,000 45,997,334
4.32%, 07/17/06(1)

50,000,000 49,994,425
4.32%, 09/15/06(1)

46,000,000 45,995,122


17

Table of Contents
MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Face Amount Value
Winston Funding Ltd. Series 2003-1 Class A1MA


4.26%, 01/23/06(1)

$ 100,000,000 $ 100,000,000

TOTAL VARIABLE & FLOATING RATE NOTES

(Cost: $4,137,312,209)

4,137,312,209

REPURCHASE AGREEMENTS – 17.29%


Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $100,045,556 (collateralized by U.S. Government obligations, value $102,000,001, 4.50% to 6.00%, 5/1/33 to 11/1/35).

100,000,000 100,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,000, 5.00%, 8/1/35 to 1/1/36).

40,000,000 40,000,000
Credit Suisse First Boston Inc. Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,801,003, 4.21% to 4.77%, 1/1/33 to 5/1/35).

40,000,000 40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,000, 4.25% to 5.19%, 4/1/34 to 9/1/35).

40,000,000 40,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $250,122,222 (collateralized by non-U.S. Government debt securities, value $262,500,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)

250,000,000 250,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,801,409, 2.84% to 5.50%, 4/1/23 to 12/1/35).

40,000,000 40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,993,464, 2.73% to 4.58%, 5/15/07 to 9/25/35).(3)

100,000,000 100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,800,562, 3.15% to 7.41%, 11/1/11 to 6/1/44).

40,000,000 40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $150,073,167 (collateralized by non-U.S. Government debt securities, value $154,504,756, 4.50% to 8.00%, 12/31/06 to 6/1/25).(2)(3)

150,000,000 150,000,000
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,201,372, 4.00% to 6.00%, 10/25/11 to 5/25/34).

40,000,000 40,000,000
Morgan Stanley Tri-Party Repurchase Agreement, 4.45%, due 1/22/07, maturity value $250,123,611 (collateralized by non-U.S. Government debt securities, value $257,841,442, 0.00% to 10.00%, 1/1/06 to 12/31/35).(2)(3)

250,000,000 250,000,000

TOTAL REPURCHASE AGREEMENTS

(Cost: $1,090,000,000)

1,090,000,000

TOTAL INVESTMENTS IN SECURITIES – 99.76%

(Cost: $6,287,569,231)

6,287,569,231

Other Assets, Less Liabilities – 0.24%

15,013,769

NET ASSETS – 100 .00%

$ 6,302,583,000

(1) This security or a portion of these securities is exempt from registration pursuant Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(2) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
(3) The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
The accompanying notes are an integral part of these financial statements.



18

Table of Contents
PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Face Amount Value
CERTIFICATES OF DEPOSIT – 3 .57%


Credit Suisse First Boston NY


4.03%, 01/04/06

$ 50,000,000 $ 50,000,000
Fortis Bank NY


3.70%, 01/05/06

150,000,000 150,000,100
HBOS Treasury Services PLC


3.79%, 06/19/06

125,000,000 124,994,268
Svenska Handelsbanken NY


4.50%, 10/16/06

50,000,000 50,000,000
Toronto-Dominion Bank


3.94%, 07/10/06

35,000,000 35,000,000

TOTAL CERTIFICATES OF DEPOSIT

(Cost: $409,994,368)

409,994,368

COMMERCIAL PAPER – 7. 67%


Amstel Funding Corp.


3.91%, 02/15/06

50,000,000 49,750,195
CAFCO LLC


3.99%, 01/06/06

100,000,000 99,933,500
CC USA Inc.


3.76%, 01/23/06

50,000,000 49,879,889
4.23%, 04/21/06

45,000,000 44,413,087
Chesham Finance LLC


4.25%, 01/03/06

75,000,000 74,973,438
Ford Credit Floorplan Motown


4.02%, 01/03/06

64,000,000 63,978,560
Grampian Funding LLC


3.74%, 01/13/06

100,000,000 99,864,946
3.84%, 01/31/06

100,000,000 99,669,334
HSBC PLC


4.16%, 04/04/06

15,000,000 14,837,066
K2 USA LLC


3.85%, 02/07/06

41,000,000 40,833,597
Nordea North America Inc.


4.16%, 04/04/06

70,000,000 69,239,645
Santander Central Hispano Finance Inc.


3.91%, 02/17/06

100,000,000 99,478,667
Sedna Finance Inc.


3.92%, 02/21/06

50,000,000 49,716,888
Sigma Finance Inc.


4.16%, 04/06/06

25,000,000 24,722,667

TOTAL COMMERCIAL PAPER

(Cost: $881,291,479)

881,291,479

MEDIUM-TERM NOTES – 1. 78%


K2 USA LLC


3.56%, 03/15/06(1)

85,000,000 85,000,000
3.57%, 03/16/06(1)

45,000,000 45,000,000
Sigma Finance Inc.


4.50%, 10/16/06(1)

75,000,000 75,000,000

TOTAL MEDIUM-TERM NOTES

(Cost: $205,000,000)

205,000,000

TIME DEPOSITS – 6.97%


Regions Bank


4.02%, 01/03/06

100,571,000 100,571,000
Societe Generale


4.06%, 01/03/06

300,000,000 300,000,000
UBS AG


4.06%, 01/03/06

400,000,000 400,000,000

TOTAL TIME DEPOSITS

(Cost: $800,571,000)

800,571,000

VARIABLE & FLOATING RATE NOTES – 52 . 13%


Allstate Life Global Funding II


4.36%, 12/08/06(1)

58,000,000 58,013,630
4.37%, 12/27/06(1)

110,000,000 110,000,000
4.39%, 01/12/07(1)

85,000,000 85,045,730
American Express Bank


4.33%, 07/19/06

85,000,000 85,000,000
ASIF Global Financing


4.34%, 08/11/06(1)

74,000,000 74,011,988
4.38%, 01/23/07(1)

75,000,000 74,996,257
4.55%, 05/30/06(1)

90,550,000 90,611,121
Bank of Nova Scotia


4.22%, 01/03/06

35,000,000 34,999,940
Banque Nationale de Paris


4.25%, 10/04/06

165,000,000 164,966,390
Bear Stearns Companies Inc. (The)


4.42%, 08/14/06(2)

200,000,000 200,000,000
Beta Finance Inc.


4.32%, 06/20/06(1)

68,000,000 67,996,814
4.33%, 04/25/06(1)

65,000,000 64,993,500
4.33%, 05/25/06(1)

65,000,000 64,997,329
4.33%, 05/26/06(1)

80,000,000 79,996,800
CC USA Inc.


4.32%, 05/22/06(1)

20,000,000 19,999,220
4.32%, 06/15/06(1)

95,000,000 94,995,680
4.33%, 05/25/06(1)

55,000,000 54,997,741
4.33%, 05/26/06(1)

30,000,000 29,998,800
4.33%, 06/26/06(1)

25,000,000 24,998,823
4.34%, 03/23/06(1)

50,000,000 50,000,100
4.35%, 07/14/06(1)

30,000,000 30,003,150
Citigroup Global Markets


Holdings Inc.


4.33%, 08/01/06

500,000,000 500,000,000
DEPFA Bank PLC


4.50%, 12/15/06

50,000,000 50,000,000
Dexia Credit Local


4.33%, 08/30/06

65,000,000 64,991,381


19

Table of Contents
PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Face Amount Value
Dorada Finance Inc.


4.33%, 06/26/06(1)

$ 110,000,000 $ 109,994,788
Five Finance Inc.


4.32%, 09/15/06(1)

70,000,000 69,990,105
Goldman Sachs Group Inc. (The)


4.38%, 02/07/06(1)(2)

100,000,000 100,000,000
Greenwich Capital Holdings Inc.


4.30%, 03/09/06

50,000,000 50,000,000
4.32%, 02/10/06

35,000,000 35,000,000
4.32%, 02/13/06

35,000,000 35,000,000
Hartford Life Global Funding Trust


4.36%, 02/17/07

100,000,000 100,000,000
HBOS Treasury Services PLC


4.32%, 01/10/06

100,000,000 100,000,000
Holmes Financing PLC Series 2005-9 Class 1A


4.36%, 12/15/06(1)

100,000,000 100,000,000
HSBC Bank USA N.A.


4.39%, 05/04/06

20,000,000 20,005,480
ING USA Annuity & Life Insurance Funding Agreement


4.57%, 12/18/06(1)(2)

35,000,000 35,000,000
K2 USA LLC


4.32%, 01/19/06(1)

90,000,000 89,998,594
4.32%, 09/11/06(1)

100,000,000 99,989,630
4.33%, 05/25/06(1)

50,000,000 49,997,021
4.36%, 02/15/06(1)

25,000,000 25,000,700
4.40%, 01/20/06(1)

70,000,000 70,002,170
Leafs LLC


4.37%, 01/20/06(1)

74,891,436 74,891,436
4.37%, 12/20/06(1)

49,927,000 49,927,000
Links Finance LLC


4.32%, 01/20/06(1)

65,000,000 64,999,173
4.33%, 05/18/06(1)

50,000,000 49,996,220
Marshall & Ilsley Bank


4.47%, 02/20/06

50,000,000 50,008,200
Metropolitan Life Global Funding I


4.31%, 01/05/07(1)

100,000,000 100,000,000
Metropolitan Life Insurance Funding Agreement


4.30%, 07/25/06(1)(2)

50,000,000 50,000,000
Morgan Stanley


4.30%, 01/03/07

100,000,000 100,000,000
Natexis Banques Populaires


4.35%, 01/12/07(1)

125,000,000 125,000,000
National City Bank


4.26%, 01/06/06

35,000,000 34,999,853
Nationwide Building Society


4.33%, 01/05/07(1)

100,000,000 100,000,000
4.41%, 01/13/06(1)

100,000,000 100,002,300
4.58%, 10/27/06(1)

50,000,000 50,000,000
Permanent Financing PLC


Series 8 Class 1A


4.32%, 06/12/06(1)

50,000,000 50,000,000
Principal Life Income


Funding Trusts


4.30%, 11/13/06

50,000,000 49,998,355
Royal Bank of Scotland


4.23%, 04/05/06

100,000,000 99,989,880
4.32%, 06/27/06

50,000,000 49,996,359
4.33%, 08/30/06

200,000,000 199,974,176
Sedna Finance Inc.


4.33%, 01/10/06(1)

20,000,000 19,999,880
4.34%, 01/17/06(1)

35,000,000 34,999,673
4.34%, 09/20/06(1)

25,000,000 25,000,000
4.35%, 08/31/06(1)

25,000,000 24,998,336
Sigma Finance Inc.


4.33%, 08/15/06(1)

35,000,000 34,997,823
4.35%, 03/20/06(1)

35,000,000 35,000,560
Societe Generale


4.26%, 11/24/06(1)

45,000,000 45,000,000
4.30%, 06/13/06

55,000,000 54,994,995
Strips III LLC


4.43%, 07/24/06(1)(2)

30,741,246 30,741,246
Tango Finance Corp.


4.32%, 06/12/06(1)

100,000,000 99,995,540
4.32%, 09/11/06(1)

50,000,000 49,996,511
4.33%, 05/26/06(1)

30,000,000 29,998,188
4.33%, 06/21/06(1)

60,000,000 59,995,759
4.33%, 09/25/06(1)

70,000,000 69,992,342
Union Hamilton Special


Funding LLC


4.50%, 06/21/06(1)

50,000,000 50,000,000
4.52%, 03/28/06(1)

100,000,000 100,000,000
US Bank N.A.


4.31%, 09/29/06

30,000,000 29,994,123
Wachovia Asset Securitization Inc.


Series 2004-HM1A Class A


4.37%, 01/25/06(1)

32,725,499 32,725,499
Wachovia Asset Securitization Inc.


Series 2004-HM2A Class AMM


4.37%, 01/25/06(1)

108,160,804 108,160,804
WhistleJacket Capital LLC


4.32%, 02/15/06(1)

30,000,000 29,999,048
4.33%, 07/28/06(1)

25,000,000 24,996,427
4.35%, 01/17/06(1)

40,000,000 39,999,976
White Pine Finance LLC


4.32%, 05/22/06(1)

50,000,000 49,996,615
4.32%, 09/15/06(1)

100,000,000 99,989,398
4.33%, 03/27/06(1)

30,000,000 29,998,490
4.34%, 01/13/06(1)

90,000,000 89,999,694
4.37%, 06/20/06(1)

25,000,000 25,003,300

TOTAL VARIABLE & FLOATING RATE NOTES

(Cost: $5,991,950,061)

5,991,950,061



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PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Face Amount Value
REPURCHASE AGREEMENTS – 27.67%


Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $300,136,667 (collateralized by U.S. Government obligations, value $306,000,000, 4.40% to 5.50%, 4/1/25 to 12/1/35).

$ 300,000,000 $ 300,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,001, 4.25% to 6.00%, 4/1/34 to 9/1/35).

40,000,000 40,000,000
Bank of America Securities Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $400,191,111 (collateralized by non-U.S. Government debt securities, value $423,388,504, 2.75% to 9.88%, 5/15/06 to 11/1/25).(3)

400,000,000 400,000,000
Credit Suisse First Boston Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,800,700, 4.18% to 4.67%, 5/1/35).

40,000,000 40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,001, 4.25% to 6.00%, 4/1/34 to 9/1/35).

40,000,000 40,000,000
Goldman Sachs & Co.Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $1,000,481,111 (collateralized by U.S. Government obligations, value $1,020,000,000, 3.41% to 8.50%, 4/1/09 to 1/1/36).

1,000,000,000 1,000,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $400,195,556 (collateralized by non-U.S. Government debt securities, value $408,000,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)

400,000,000 400,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,802,922, 3.45% to 5.68%, 9/1/16 to 8/1/44).

40,000,000 40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $225,107,500 (collateralized by non-U.S. Government debt securities, value $236,222,842, 0.01% to 9.03%, 10/25/06 to 7/15/25).(3)

225,000,000 225,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,994,737, 1.83% to 5.10%, 5/15/07 to 1/27/20).(3)

100,000,000 100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $15,607,280 (collateralized by U.S. Government obligations, value $15,913,440, 3.62% to 6.30%, 11/1/24 to 11/1/35).

15,600,000 15,600,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,797,959, 3.74% to 7.27%, 6/1/07 to 12/1/35).

40,000,000 40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.37%, due 6/28/06, maturity value $125,060,694 (collateralized by non-U.S. Government debt securities, value $129,204,388, 2.88% to 10.13%, 5/15/06 to 1/20/24).(2)(3)

125,000,000 125,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $375,182,917 (collateralized by non-U.S. Government debt securities, value $386,251,598, 2.63% to 10.38%, 1/15/06 to 5/15/25).(2)(3)

375,000,000 375,000,000


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PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005



Security

Face Amount Value
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,203,427, 4.00% to 5.00%, 3/25/16 to 10/25/29).

$ 40,000,000 $ 40,000,000

TOTAL REPURCHASE AGREEMENTS

(Cost: $3,180,600,000)

3,180,600,000

TOTAL INVESTMENTS IN SECURITIES – 99.79%

(Cost: $11,469,406,908)

11,469,406,908

Other Assets, Less Liabilities – 0.21%

23,979,992

NET ASSETS – 100.00%

$ 11,493,386,900

(1) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(2) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.
(3) The credit exposure of the collateral is viewed as unsecured debt of the counterparty.
The accompanying notes are an integral part of these financial statements.



22

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TREASURY MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005



Security

Face Amount Value
REPURCHASE AGREEMENTS – 99.98%


Banc of America Securities LLC Tri-Party Repurchase Agreement, 3.25%, due 1/3/06, maturity value $20,702,320 (collateralized by U.S. Government obligations, value $21,109,111, 3.88%, 5/15/09)

$ 20,694,847 $ 20,694,847
Credit Suisse First Boston Tri-Party Repurchase Agreement, 3.45%, due 1/3/06, maturity value $20,702,780 (collateralized by U.S. Government obligations, value $21,109,929, 4.13% to 4.50%, 5/15/15 to 11/15/15)

20,694,847 20,694,847
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 3.30%, due 1/3/06, maturity value $20,702,435 (collateralized by U.S. Government obligations, value $21,109,656, 4.25%, 8/15/14)

20,694,847 20,694,847
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 3.25%, due 1/3/06, maturity value $20,702,320 (collateralized by U.S. Government obligations, value $21,114,565, 6.25% to 9.13%, 5/15/18 to 5/15/30)

20,694,847 20,694,847
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 3.50%, due 1/3/06, maturity value $20,702,895 (collateralized by U.S. Government obligations, value $21,106,652, 1.50% to 8.00%, 1/31/06 to 8/15/28)

20,694,847 20,694,847

TOTAL REPURCHASE AGREEMENTS

(Cost: $103,474,235)

103,474,235

TOTAL INVESTMENTS IN SECURITIES – 99.98%

(Cost: $103,474,235)

103,474,235

Other Assets, Less Liabilities – 0.02%

19,262

NET ASSETS – 100.00%

$ 103,493,497

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



23

Table of Contents
MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2005

Government Money Market Master Portfolio



Asset Type

Value % of
Net Assets
Repurchase Agreements

$ 394,400,000 99.98 %
Other Net Assets

66,966 0.02

TOTAL

$ 394,466,966 100.00 %

Money Market Master Portfolio



Asset Type

Value % of
Net Assets
Variable & Floating Rate Notes

$ 4,137,312,209 65.64 %
Repurchase Agreements

1,090,000,000 17.29
Time Deposits

412,500,000 6.55
Commercial Paper

397,599,602 6.31
Certificates of Deposit

159,997,741 2.54
Medium-Term Notes

90,159,679 1.43
Other Net Assets

15,013,769 0.24

TOTAL

$ 6,302,583,000 100.00 %

Prime Money Market Master Portfolio



Asset Type

Value % of
Net Assets
Variable & Floating Rate Notes

$ 5,991,950,061 52.13 %
Repurchase Agreements

3,180,600,000 27.67
Commercial Paper

881,291,479 7.67
Time Deposits

800,571,000 6.97
Certificates of Deposit

409,994,368 3.57
Medium-Term Notes

205,000,000 1.78
Other Net Assets

23,979,992 0.21

TOTAL

$ 11,493,386,900 100.00 %

Treasury Money Market Master Portfolio



Asset Type

Value % of
Net Assets
Repurchase Agreements

$ 103,474,235 99.98 %
Other Net Assets

19,262 0.02

TOTAL

$ 103,493,497 100.00 %

These tables are not part of the financial statements.



24

Table of Contents
MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005



Government
Money Market
Master Portfolio
Money Market

Master Portfolio


Prime

Money Market

Master Portfolio


Treasury

Money Market

Master Portfolio

ASSETS


Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1)

$ — $ 5,197,569,231 $ 8,288,806,908 $ —
Repurchase agreements, at value and cost (Note 1)

394,400,000 1,090,000,000 3,180,600,000 103,474,235
Cash

2,501 3,268 3,428 —
Receivables:


Interest

93,774 15,549,343 24,973,966 19,262

Total Assets

394,496,275 6,303,121,842 11,494,384,302 103,493,497

LIABILITIES


Payables:


Investment advisory fees (Note 2)

29,309 538,842 997,402 —

Total Liabilities

29,309 538,842 997,402 —

NET ASSETS

$ 394,466,966 $ 6,302,583,000 $ 11,493,386,900 $ 103,493,497

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005



Government
Money Market
Master Portfolio
Money Market

Master Portfolio


Prime

Money Market

Master Portfolio


Treasury

Money Market

Master Portfolio


NET INVESTMENT INCOME


Interest from unaffiliated issuers

$ 29,369,301 $ 240,993,254 $ 463,852,373 $ 685,155

Total investment income

29,369,301 240,993,254 463,852,373 685,155

EXPENSES (Note 2)


Investment advisory fees

920,783 7,249,677 14,041,065 17,151

Total expenses

920,783 7,249,677 14,041,065 17,151
Less investment advisory fees waived

(799,065 ) (3,436,517 ) (3,035,058 ) (17,151 )

Net expenses

121,718 3,813,160 11,006,007 —

Net investment income

29,247,583 237,180,094 452,846,366 685,155

REALIZED GAIN (LOSS)


Net realized gain from sale of investments in unaffiliated issuers

— 35,169 9,750 —

Net realized gain

— 35,169 9,750 —

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

$ 29,247,583 $ 237,215,263 $ 452,856,116 $ 685,155
https://www.sec.gov/Archives/edgar/data/893818/000119312506049607/dncsr.htm