ThZeal - The Zeal

Description

Notional
Amount

Net
Unrealized
Appreciation

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.

N-CSRS 1 dncsrs.htm CERTIFIED SHAREHOLDER REPORT FOR MASTER INVESTMENT PORTFOLIO Certified Shareholder Report for Master Investment Portfolio

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-08162

Master Investment Portfolio

(Exact name of registrant as specified in charter)

c/o: Investors Bank & Trust Company

200 Clarendon Street, Boston, MA 02116

(Address of principal executive offices) (Zip code)

The Corporation Trust Company

1209 Orange Street, Wilmington, DE 19801

(Name and address of agent for service)

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

Date of fiscal year end: December 31, 2006

Date of reporting period: June 30, 2006

Item 1. Reports to Stockholders.

2006 SEMI-ANNUAL REPORT TO SHAREHOLDERS | JUNE 30, 2006

BOND INDEX FUND

MONEY MARKET FUND

S&P 500 STOCK FUND

BARCLAYS GLOBAL INVESTORS FUNDS

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited)

June 30, 2006


Security	Principal		Value
CORPORATE BONDS & NOTES – 21.71%

AEROSPACE & DEFENSE – 0.44%
Boeing Co. (The)
6.13%, 02/15/33⁽¹⁾	$	100,000	$	100,582
Lockheed Martin Corp.
8.50%, 12/01/29		100,000		125,864
Northrop Grumman Corp.
7.75%, 03/01/16		200,000		225,438
Raytheon Co
7.20%, 08/15/27⁽¹⁾		150,000		165,209
United Technologies Corp.
5.40%, 05/01/35		150,000		134,700
6.10%, 05/15/12		100,000		101,377

				853,170

AGRICULTURE – 0.05%
Altria Group Inc.
7.00%, 11/04/13		100,000		105,500

				105,500

AIRLINES – 0.10%
Continental Airlines Inc.
6.65%, 09/15/17		196,168		195,060

				195,060

AUTO MANUFACTURERS – 0.27%
DaimlerChrysler N.A. Holding Corp.
7.20%, 09/01/09		350,000		361,015
8.50%, 01/18/31		150,000		169,841

				530,856

BANKS – 2.96%
Abbey National PLC
7.95%, 10/26/29		100,000		119,050
Banco Santander Central Hispano Issuances
7.63%, 09/14/10		150,000		160,325
Bank of America Corp.
6.25%, 04/01/08		250,000		252,376
Bank One Corp.
3.70%, 01/15/08		150,000		145,785
5.90%, 11/15/11		250,000		250,832
FleetBoston Financial Corp.
6.88%, 01/15/28		100,000		105,441
HSBC Holdings PLC
5.25%, 12/12/12		600,000		579,515
Key Bank N.A.
5.80%, 07/01/14		250,000		246,863
KFW International Finance Inc.
3.25%, 03/30/09		500,000		472,689
Kreditanstalt fuer Wiederaufbau
0.00%, 04/18/36		250,000		47,576
Landwirtschaftliche Rentenbank
3.25%, 06/16/08		100,000		95,967
3.88%, 03/15/10		500,000		474,274
Mellon Funding Corp.
6.38%, 02/15/10		150,000		153,149
National City Bank (Ohio)
4.25%, 01/29/10		500,000		476,794
NationsBank Corp.
7.75%, 08/15/15		250,000		279,218
Royal Bank of Scotland Group PLC
5.00%, 10/01/14		250,000		236,202
Sanwa Bank Ltd.
7.40%, 06/15/11		200,000		212,253
SunTrust Banks Inc.
5.05%, 07/01/07		150,000		149,094
Swiss Bank Corp.
7.00%, 10/15/15		150,000		161,926
US Bank N.A.
6.38%, 08/01/11		250,000		257,288
Wachovia Corp.
5.25%, 08/01/14		450,000		429,192
Wells Fargo & Co.
5.38%, 02/07/35		250,000		222,461
Wells Fargo Bank N.A.
7.55%, 06/21/10		250,000		266,967

				5,795,237

BEVERAGES – 0.34%
Anheuser-Busch Companies Inc.
5.05%, 10/15/16		200,000		186,876
Bottling Group LLC
4.63%, 11/15/12		100,000		94,441
Coca-Cola Enterprises Inc.
8.50%, 02/01/22		100,000		122,693
Diageo Capital PLC
7.25%, 11/01/09		250,000		261,095

				665,105

BUILDING MATERIALS – 0.10%
Masco Corp.
5.88%, 07/15/12		200,000		196,564

				196,564

CHEMICALS – 0.11%
Dow Chemical Co. (The)
6.00%, 10/01/12		100,000		100,737
Du Pont (E.I.) de Nemours and Co.
6.88%, 10/15/09		100,000		103,654

				204,391

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
COMMERCIAL SERVICES – 0.05%
Cendant Corp.
6.25%, 03/15/10	$	100,000	$	102,312

				102,312

COMPUTERS – 0.20%
Hewlett-Packard Co.
5.50%, 07/01/07		150,000		149,703
International Business Machines Corp.
4.75%, 11/29/12		250,000		236,911

				386,614

COSMETICS & PERSONAL CARE – 0.13%
Procter & Gamble Co.
6.88%, 09/15/09		250,000		259,353

				259,353

DIVERSIFIED FINANCIAL SERVICES – 5.42%
American Express Co.
3.75%, 11/20/07		100,000		97,520
American General Finance Corp.
5.38%, 10/01/12		100,000		97,294
AXA Financial Inc
7.75%, 08/01/10		150,000		159,624
Bear Stearns Companies Inc. (The)
5.70%, 11/15/14		200,000		195,409
Capital One Financial Corp.
5.50%, 06/01/15		250,000		236,441
CIT Group Inc.
5.00%, 02/13/14		250,000		233,687
7.75%, 04/02/12		150,000		162,605
Citigroup Inc.
3.50%, 02/01/08		500,000		484,193
5.00%, 09/15/14		177,000		165,666
5.63%, 08/27/12		100,000		98,802
6.00%, 02/21/12		150,000		151,625
6.63%, 06/15/32		100,000		102,953
Credit Suisse First Boston USA Inc.
4.70%, 06/01/09		250,000		243,364
5.50%, 08/15/13		100,000		97,515
6.50%, 01/15/12		150,000		154,777
General Electric Capital Corp.
6.50%, 12/10/07		800,000		809,042
6.75%, 03/15/32		250,000		266,856
General Electric Capital Corp. Series A
4.75%, 09/15/14		250,000		233,592
General Motors Acceptance Corp.
5.71%, 10/15/38		1,000,000		996,996
Goldman Sachs Group Inc.
4.13%, 01/15/08		200,000		195,719
5.25%, 10/15/13		250,000		239,545
6.13%, 02/15/33		200,000		186,814
6.60%, 01/15/12		325,000		335,419
Household Finance Corp.
6.50%, 11/15/08		375,000		381,627
8.00%, 07/15/10		250,000		269,499
John Deere Capital Corp.
7.00%, 03/15/12		150,000		158,361
JP Morgan & Co. Inc.
6.00%, 01/15/09		350,000		352,030
JP Morgan Chase & Co.
6.75%, 02/01/11		250,000		259,847
Lehman Brothers Holdings Inc.
4.00%, 01/22/08		150,000		146,081
4.80%, 03/13/14		150,000		138,678
MBNA America Bank N.A.
5.38%, 01/15/08		150,000		149,514
Merrill Lynch & Co. Inc.
3.70%, 04/21/08		350,000		338,573
5.45%, 07/15/14		450,000		434,409
Morgan Stanley
4.75%, 04/01/14		450,000		412,569
8.00%, 06/15/10		250,000		267,649
National Rural Utilities Cooperative Finance Corp.
7.25%, 03/01/12		200,000		213,103
Nissan Auto Receivables Owner Trust Series 2004-A Class A4
2.76%, 07/15/09		575,000		557,602
Residential Capital Corp.
6.50%, 04/17/13		250,000		245,337
SLM Corp.
5.13%, 08/27/12		350,000		336,111

				10,606,448

ELECTRIC – 1.48%
AEP Texas Central Co.
6.65%, 02/15/33		100,000		100,003
Alabama Power Co. Series Q
5.50%, 10/15/17		100,000		95,944
Arizona Public Service Co.
6.50%, 03/01/12		100,000		101,259
Cincinnati Gas & Electric Co.
5.70%, 09/15/12		100,000		98,008
Constellation Energy Group Inc.
7.60%, 04/01/32		100,000		109,011
Consumers Energy Co.
5.00%, 02/15/12		150,000		141,844
Dominion Resources Inc.
8.13%, 06/15/10		150,000		160,979
DTE Energy Co
7.05%, 06/01/11		150,000		155,820
FirstEnergy Corp
6.45%, 11/15/11		200,000		203,504
Florida Power & Light Co
5.63%, 04/01/34		100,000		91,816

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
ELECTRIC *(Continued)*
MidAmerican Energy Holdings
5.00%, 02/15/14	$	100,000	$	93,440
6.13%, 04/01/36⁽²⁾		150,000		140,217
NiSource Finance Corp.
7.88%, 11/15/10		100,000		106,983
Northern States Power Co.
8.00%, 08/28/12		100,000		111,020
Oncor Electric Delivery Co.
6.38%, 05/01/12		150,000		151,402
Ontario Hydro Canada
7.45%, 03/31/13		150,000		165,556
Pacific Gas & Electric Co.
6.05%, 03/01/34		100,000		94,382
PECO Energy Co.
3.50%, 05/01/08		100,000		96,204
Pepco Holdings Inc.
6.45%, 08/15/12		100,000		101,201
Progress Energy Inc.
7.75%, 03/01/31		100,000		111,541
Public Service Electric & Gas Co.
5.13%, 09/01/12		100,000		96,346
Southern California Edison Co.
5.00%, 01/15/16		200,000		186,070
Virginia Electric and Power Co.
4.75%, 03/01/13		200,000		185,513

				2,898,063

ELECTRICAL COMPONENTS & EQUIPMENT – 0.10%
Emerson Electric Co.
4.50%, 05/01/13		200,000		186,401

				186,401

ENVIRONMENTAL CONTROL – 0.05%
USA Waste Services Inc.
7.00%, 07/15/28		100,000		103,661

				103,661

FOOD – 0.82%
Archer-Daniels-Midland Co.
8.38%, 04/15/17		150,000		176,771
ConAgra Foods Inc.
7.00%, 10/01/28		200,000		203,371
Fred Meyer Inc.
7.45%, 03/01/08		250,000		256,136
Kellogg Co.
6.60%, 04/01/11		250,000		258,255
Kraft Foods Inc.
5.63%, 11/01/11		150,000		147,746
Safeway Inc.
7.50%, 09/15/09		285,000		297,628
Unilever Capital Corp.
7.13%, 11/01/10		250,000		262,488

				1,602,395

FOREST PRODUCTS & PAPER – 0.37%
International Paper Co.
6.75%, 09/01/11		200,000		206,648
MeadWestvaco Corp.
6.85%, 04/01/12		100,000		101,772
Weyerhaeuser Co.
6.75%, 03/15/12		400,000		408,664

				717,084

GAS – 0.08%
KeySpan Corp.
7.63%, 11/15/10		150,000		159,034

				159,034

HEALTH CARE – PRODUCTS – 0.09%
Johnson & Johnson
4.95%, 05/15/33		200,000		176,493

				176,493

HEALTH CARE – SERVICES – 0.10%
Anthem Inc.
6.80%, 08/01/12		100,000		104,119
UnitedHealth Group Inc.
3.75%, 02/10/09		100,000		95,300

				199,419

INSURANCE – 0.80%
Allstate Corp.
7.20%, 12/01/09		250,000		261,626
American International Group Inc.
4.25%, 05/15/13		400,000		363,608
Berkshire Hathaway Finance Corp.
5.10%, 07/15/14		100,000		95,247
Hartford Life Inc.
7.38%, 03/01/31		100,000		111,064
ING Capital Funding Trust III
8.44%, 10/31/49		100,000		109,421
MetLife Inc.
5.38%, 12/15/12		200,000		193,379
Progressive Corp. (The)
6.63%, 03/01/29		100,000		103,390
Prudential Financial Inc.
5.10%, 09/20/14		250,000		235,545
Travelers Property Casualty Corp.
6.38%, 03/15/33		100,000		94,904

				1,568,184

MACHINERY – 0.14%
Caterpillar Inc.
7.25%, 09/15/09		250,000		262,121

				262,121

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
MANUFACTURING – 0.15%
General Electric Co.
5.00%, 02/01/13	$	100,000	$	95,784
Tyco International Group SA
6.38%, 10/15/11		200,000		204,075

				299,859

MEDIA – 0.98%
AOL Time Warner Inc.
6.88%, 05/01/12		350,000		361,715
Clear Channel Communications Inc.
4.25%, 05/15/09		150,000		142,244
Comcast Corp.
6.45%, 03/15/37		150,000		140,893
Cox Communications Inc. Class A
5.50%, 10/01/15		100,000		92,406
News America Holdings
8.00%, 10/17/16		100,000		112,063
News America Inc.
6.20%, 12/15/34		100,000		90,749
TCI Communications Inc.
8.75%, 08/01/15		350,000		399,899
Time Warner Entertainment Co.
8.38%, 03/15/23		200,000		222,394
Viacom Inc.
5.63%, 08/15/12		200,000		195,447
Walt Disney Co. (The)
7.00%, 03/01/32		150,000		162,048

				1,919,858

MINING – 0.26%
Alcan Inc.
4.88%, 09/15/12		150,000		142,450
Alcoa Inc.
7.38%, 08/01/10		250,000		264,262
BHP Finance (USA) Ltd.
4.80%, 04/15/13		100,000		93,938

				500,650

MULTI-NATIONAL – 0.85%
European Investment Bank
4.88%, 02/16/16		250,000		238,101
Inter-American Development Bank
7.38%, 01/15/10⁽¹⁾		750,000		796,915
International Bank for Reconstruction & Development
4.13%, 08/12/09		650,000		628,654

				1,663,670

OIL & GAS – 1.30%
Alberta Energy Co. Ltd.
7.38%, 11/01/31		100,000		109,342
Amerada Hess Corp.
7.30%, 08/15/31		100,000		105,971
Apache Finance Canada
7.75%, 12/15/29		100,000		117,358
Burlington Resources Finance Co.
7.20%, 08/15/31		100,000		111,949
Conoco Funding Co.
6.35%, 10/15/11		300,000		308,647
Devon Financing Corp. ULC
6.88%, 09/30/11		250,000		259,926
Enterprise Products Operating LP
5.60%, 10/15/14		200,000		189,331
Marathon Oil Corp.
6.13%, 03/15/12		150,000		151,359
Norsk Hydro ASA
6.36%, 01/15/09		140,000		142,303
Pemex Project Funding Master Trust
6.63%, 06/15/35		250,000		226,250
7.38%, 12/15/14		150,000		154,800
Phillips 66 Capital Trust II
8.00%, 01/15/37		250,000		261,958
Texaco Capital Inc.
5.50%, 01/15/09		150,000		150,286
Valero Energy Corp.
6.88%, 04/15/12		250,000		259,141

				2,548,621

PHARMACEUTICALS – 0.33%
Bristol-Myers Squibb Co.
5.75%, 10/01/11		150,000		149,600
Merck & Co. Inc.
5.95%, 12/01/28		100,000		93,408
Pharmacia Corp.
6.50%, 12/01/18		150,000		158,368
Schering-Plough Corp.
6.75%, 12/01/33		100,000		102,536
Wyeth
5.50%, 03/15/13		150,000		146,029

				649,941

PIPELINES – 0.30%
Duke Capital LLC
5.67%, 08/15/14		200,000		193,330
Duke Energy Field Services Corp.
7.88%, 08/16/10		150,000		160,323
Kinder Morgan Energy Partners LP
5.35%, 08/15/07		150,000		148,118
KN Energy Inc.
7.25%, 03/01/28		100,000		90,442

				592,213

REAL ESTATE – 0.08%
EOP Operating LP
7.00%, 07/15/11		150,000		155,830

				155,830

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
REAL ESTATE INVESTMENT TRUSTS – 0.20%
Boston Properties Inc.
6.25%, 01/15/13	$	200,000	$	201,774
Simon Property Group LP
5.63%, 08/15/14		200,000		193,870

				395,644

RETAIL – 0.42%
Home Depot Inc.
5.40%, 03/01/16		250,000		239,645
May Department Stores Co. (The)
6.65%, 07/15/24		125,000		122,431
Target Corp.
7.00%, 07/15/31		150,000		165,135
Wal-Mart Stores Inc.
7.55%, 02/15/30		250,000		290,104

				817,315

SAVINGS & LOANS – 0.12%
Washington Mutual Bank
5.65%, 08/15/14		250,000		241,014

				241,014

TELECOMMUNICATIONS – 2.17%
AT&T Wireless Services Inc.
7.88%, 03/01/11		500,000		538,561
BellSouth Corp.
5.20%, 09/15/14		250,000		232,602
6.88%, 10/15/31		150,000		147,962
British Telecom PLC
8.88%, 12/15/30		100,000		122,901
Cisco Systems Inc.
5.50%, 02/22/16		250,000		240,057
Deutsche Telekom International Finance AG
8.25%, 06/15/30		250,000		288,638
France Telecom SA
7.75%, 03/01/11		150,000		161,131
GTE Corp.
7.51%, 04/01/09		150,000		155,881
Koninklijke KPN NV
8.00%, 10/01/10		150,000		159,101
Motorola Inc.
7.63%, 11/15/10		16,000		17,134
SBC Communications Inc.
5.10%, 09/15/14		300,000		278,314
6.25%, 03/15/11		250,000		252,598
Sprint Capital Corp.
6.88%, 11/15/28		150,000		151,111
8.38%, 03/15/12		150,000		165,735
Telecom Italia Capital SA
5.25%, 11/15/13		150,000		138,670
6.00%, 09/30/34		150,000		129,513
Telefonica Europe BV
8.25%, 09/15/30		150,000		169,418
Verizon Global Funding Corp.
4.38%, 06/01/13		250,000		225,736
Verizon New York Inc.
7.38%, 04/01/32		150,000		147,867
Verizon Pennsylvania Inc.
5.65%, 11/15/11		150,000		145,544
Vodafone Group PLC
7.75%, 02/15/10		200,000		211,385
7.88%, 02/15/30		150,000		165,242

				4,245,101

TRANSPORTATION – 0.35%
Burlington Northern Santa Fe Corp.
7.13%, 12/15/10		250,000		263,195
Norfolk Southern Corp.
7.70%, 05/15/17		150,000		169,619
Union Pacific Corp.
6.79%, 11/09/07		250,000		253,230

				686,044

TOTAL CORPORATE BONDS & NOTES (Cost: $44,146,581)				42,489,225

ASSET-BACKED SECURITIES – 1.52%
Capital One Multi-Asset Execution Trust Series 2003-4A Class A4
3.65%, 07/15/11		1,000,000		961,498
Citibank Credit Card Issuance Trust Series 2006-A4 Class A4
5.45%, 05/10/13		1,000,000		991,576
Connecticut RRB Special Purpose Trust CL&P Series 2001-1 Class A5
6.21%, 12/30/11		1,000,000		1,018,444

TOTAL ASSET-BACKED SECURITIES (Cost: $3,002,266)				2,971,518

COLLATERALIZED MORTGAGE OBLIGATIONS – 3.97%

MORTGAGE-BACKED SECURITIES – 3.97%
Citigroup Commercial Mortgage Trust Series 2005-C3 Class A4
4.86%, 05/15/43		1,000,000		930,802
Credit Suisse First Boston Mortgage Securities Corp. Series 1999-C1 Class A2
7.29%, 09/15/41		790,616		818,609
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CK1 Class A3
6.38%, 12/16/35		1,000,000		1,021,533

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
MORTGAGE-BACKED SECURITIES *(Continued)*
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C2 Class A2
5.42%, 05/15/36	$	1,000,000	$	969,395
JP Morgan Chase Commercial Mortgage Finance Corp. Series 2000-C10 Class A2
7.37%, 08/15/32		779,500		815,546
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2004-C3 Class A5
4.88%, 01/15/42		500,000		465,556
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2005-CB11 Class A2
5.02%, 08/12/37		210,000		205,146
LB-UBS Commercial Mortgage Trust Series 2004-C2 Class A4
4.37%, 03/15/36		500,000		454,188
Morgan Stanley Capital I Series 2004-HQ3 Class A2
4.05%, 01/13/41		1,180,000		1,118,426
Morgan Stanley Capital I Series 2006-HQ8 Class A4
5.39%, 03/12/44		1,000,000		971,041

				7,770,242

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost: $8,278,466)				7,770,242

MUNICIPAL DEBT OBLIGATIONS – 0.18%

ILLINOIS – 0.09%
Illinois State, Pension Funding
5.10%, 06/01/33		200,000		178,738

				178,738

NEW JERSEY – 0.09%
New Jersey State Turnpike Authority
4.25%, 01/01/16		190,000		172,978

				172,978

TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost: $365,781)				351,716

FOREIGN GOVERNMENT BONDS & NOTES⁽³⁾ – 1.47%
British Columbia (Province of)
6.50%, 01/15/26		100,000		109,361
Finland (Republic of)
6.95%, 02/15/26		100,000		114,007
Hydro-Quebec
6.30%, 05/11/11		150,000		154,326
Israel (State of)
4.63%, 06/15/13		100,000		92,610
Italy (Republic of)
6.00%, 02/22/11		450,000		459,859
6.88%, 09/27/23		200,000		220,909
Nova Scotia (Province of)
5.75%, 02/27/12		150,000		151,143
Ontario (Province of)
5.50%, 10/01/08		200,000		199,973
Quebec (Province of)
5.75%, 02/15/09		150,000		150,854
6.13%, 01/22/11		150,000		153,056
7.50%, 09/15/29		150,000		180,984
United Mexican States
6.38%, 01/16/13		600,000		601,500
8.13%, 12/30/19		250,000		282,500

TOTAL FOREIGN GOVERNMENT BONDS & NOTES (Cost: $2,963,663)				2,871,082

U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 69.73%

MORTGAGE-BACKED SECURITIES – 35.03%
Federal Home Loan Mortgage Corp.
4.00%, 05/01/19		3,277,277		3,025,106
4.50%, 04/01/18		1,295,095		1,224,958
4.50%, 11/01/18		989,087		935,522
4.50%, 01/01/19		176,352		166,801
4.50%, 02/01/19		2,544,822		2,407,006
5.00%, 10/01/18		1,511,628		1,458,344
5.00%, 10/01/19		1,599,584		1,541,962
5.00%, 02/01/34		770,301		722,851
5.00%, 08/01/35		2,857,115		2,670,338
5.00%, 09/01/35		946,303		884,441
5.50%, 12/01/18		2,443,667		2,400,753
5.50%, 04/01/33		1,986,944		1,916,861
5.50%, 03/01/34		4,226,319		4,070,056
6.00%, 08/01/34		4,435,856		4,376,330
6.50%, 06/01/31		346,024		349,395
8.00%, 12/01/24		933,691		985,629
Federal National Mortgage Association
5.00%, 01/01/19		3,910,735		3,774,860
5.00%, 06/01/33		944,734		887,439
5.00%, 11/01/33		6,490,274		6,096,324
5.00%, 06/01/34		896,599		840,791
5.00%, 02/01/35		1,680,497		1,575,897
5.50%, 07/01/33		4,778,962		4,610,282

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
MORTGAGE-BACKED SECURITIES *(Continued)*
5.50%, 12/01/33	$	974,294	$	939,902
5.50%, 03/01/34		92,111		88,707
5.50%, 06/01/34		372,658		358,889
5.50%, 08/01/34		408,358		393,437
5.50%, 09/01/34		511,784		492,875
5.50%, 10/01/34		313,059		301,492
5.50%, 11/01/34		2,362,190		2,274,912
5.50%, 12/01/34		984,527		948,152
5.50%, 01/01/35		786,301		757,250
5.50%, 10/01/35		1,832,878		1,761,712
6.00%, 07/01/34		1,465,971		1,445,780
6.00%, 09/01/34		1,885,774		1,859,800
6.50%, 01/01/29		4,041,862		4,101,937
7.00%, 02/01/32		265,262		271,747
Government National Mortgage Association
5.50%, 12/15/32		926,360		899,287
5.50%, 09/15/34		1,521,259		1,475,814
5.50%, 07/01/36⁽⁴⁾		1,000,000		969,062
6.00%, 03/15/35		978,939		972,294
7.50%, 12/15/23		1,285,515		1,343,674

				68,578,669

U.S. GOVERNMENT AGENCY OBLIGATIONS – 10.40%
Federal Home Loan Bank
3.75%, 08/18/09		2,000,000		1,907,424
5.75%, 05/15/12		700,000		709,715
Federal Home Loan Mortgage Corp.
4.00%, 08/17/07		3,500,000		3,442,614
4.88%, 08/16/10		1,500,000		1,466,145
4.88%, 11/15/13		750,000		721,657
6.25%, 07/15/32⁽¹⁾		320,000		347,389
Federal National Mortgage Association
4.38%, 09/15/12		1,000,000		942,395
4.63%, 10/15/13		1,000,000		947,584
5.25%, 01/15/09⁽¹⁾		1,500,000		1,492,957
5.38%, 11/15/11⁽¹⁾		1,000,000		995,389
5.38%, 07/15/16		500,000		493,282
6.00%, 05/15/08		3,000,000		3,027,222
6.25%, 02/01/11		1,000,000		1,024,181
7.25%, 01/15/10⁽¹⁾		1,000,000		1,056,760
Financing Corp.
8.60%, 09/26/19		650,000		827,632
Tennessee Valley Authority
6.25%, 12/15/17		400,000		422,458
7.13%, 05/01/30		450,000		537,668

				20,362,472

U.S. GOVERNMENT SECURITIES – 24.30%
U.S. Treasury Bonds
4.50%, 02/12/36		750,000		672,481
5.38%, 02/15/31⁽¹⁾		1,120,000		1,139,338
6.25%, 08/15/23		2,000,000		2,205,782
7.25%, 05/15/16		1,000,000		1,157,891
7.63%, 02/15/25		2,100,000		2,667,000
8.00%, 11/15/21		1,000,000		1,278,906
8.75%, 05/15/17⁽¹⁾		500,000		645,117
8.75%, 05/15/20		2,000,000		2,671,718
12.50%, 08/15/14		400,000		484,297
U.S. Treasury Notes
3.38%, 02/15/08⁽¹⁾		7,500,000		7,289,647
3.63%, 07/15/09⁽¹⁾		8,100,000		7,761,760
4.25%, 11/15/14⁽¹⁾		3,950,000		3,714,853
4.25%, 08/15/15⁽¹⁾		1,900,000		1,777,762
4.38%, 08/15/12⁽¹⁾		500,000		480,977
4.50%, 02/15/09⁽¹⁾		1,250,000		1,230,225
4.50%, 11/15/10⁽¹⁾		2,500,000		2,441,993
4.50%, 02/28/11⁽¹⁾		250,000		243,770
4.75%, 05/15/14⁽¹⁾		1,200,000		1,170,610
4.88%, 05/31/08⁽¹⁾		1,500,000		1,491,621
5.13%, 06/30/08		4,250,000		4,247,344
5.63%, 05/15/08		800,000		806,313
6.00%, 08/15/09		300,000		307,488
6.50%, 02/15/10		1,600,000		1,671,688

				47,558,581

TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost: $140,420,251)				136,499,722

SHORT-TERM INVESTMENTS – 18.80%

CERTIFICATES OF DEPOSIT⁽⁵⁾– 0.50%
Credit Suisse First Boston NY
5.28%, 04/23/07		31,302		31,302
Fortis Bank NY
4.43%, 07/20/06		78,219		78,219
Societe Generale
5.33%, 12/08/06		313,018		313,018
Toronto-Dominion Bank
3.94%, 07/10/06		156,509		156,509
Washington Mutual Bank
5.28%, 08/07/06		156,509		156,509
Wells Fargo Bank N.A.
4.78%, 12/05/06		250,414		250,414

				985,971

COMMERCIAL PAPER⁽⁵⁾– 3.81%
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06⁽²⁾		873,877		868,968
ASAP Funding Ltd.
5.21%, 08/08/06⁽²⁾		150,249		149,466
Barton Capital Corp.
5.29%, 08/01/06⁽²⁾		299,211		297,936
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06⁽²⁾		118,947		118,667
CC USA Inc.
5.03%, 10/24/06⁽²⁾		62,604		61,615
Chariot Funding LLC
5.30%, 07/28/06⁽²⁾		235,812		234,944

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
COMMERCIAL PAPER *(Continued)*
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06⁽²⁾	$	686,651	$	686,457
Curzon Funding LLC
5.30%, 07/31/06⁽²⁾		313,018		311,727
Edison Asset Securitization LLC
5.22%, 12/11/06⁽²⁾		230,919		225,529
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06⁽²⁾		662,577		660,253
Five Finance Inc.
5.19%, 12/01/06⁽²⁾		140,858		137,792
General Electric Capital Services Inc.
5.22%, 12/11/06		31,302		30,571
Govco Inc.
5.22%, 08/03/06⁽²⁾		313,018		311,611
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06⁽²⁾		106,426		104,776
Jupiter Securitization Corp.
5.29%, 07/27/06⁽²⁾		78,254		77,978
Kitty Hawk Funding Corp.
5.24%, 07/20/06⁽²⁾		287,914		287,201
Landale Funding LLC
5.30%, 08/15/06⁽²⁾		344,320		342,140
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06⁽²⁾		484,645		480,959
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06⁽²⁾		316,148		315,221
Prudential Funding LLC
5.22%, 07/31/06		156,509		155,873
Ranger Funding Co. LLC
5.24%, 07/20/06⁽²⁾		313,018		312,243
Regency Markets No. 1 LLC
5.10%, 07/07/06⁽²⁾		366,760		366,552
Scaldis Capital LLC
5.30%, 07/25/06⁽²⁾		195,658		195,024
Sydney Capital Corp.
5.10%, 07/07/06⁽²⁾		342,410		342,216
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06⁽²⁾		382,599		381,652

				7,457,371

MEDIUM-TERM NOTES⁽⁵⁾– 0.43%
Bank of America N.A.
5.28%, 04/20/07		78,254		78,254
Dorada Finance Inc.
3.93%, 07/07/06⁽²⁾		97,036		97,035
K2 USA LLC
3.94%, 07/07/06⁽²⁾		187,811		187,811
Marshall & Ilsley Bank
5.18%, 12/15/06		313,018		313,505
Sigma Finance Inc.
5.13%, 03/30/07⁽²⁾		109,556		109,556

Security	Shares or Principal		Value
US Bank N.A.
2.85%, 11/15/06	$	62,604	$	62,177

				848,338

MONEY MARKET FUNDS – 1.25%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
5.20%⁽⁶⁾⁽⁷⁾		2,446,420		2,446,420

				2,446,420

REPURCHASE AGREEMENTS⁽⁵⁾– 3.08%
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $626,316 (collateralized by non-U.S. Government debt securities, value $645,707, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	626,036		626,036
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $469,737 (collateralized by non-U.S. Government debt securities, value $517,200, 2.12% to 6.47%, 11/25/34 to 12/25/42).		469,527		469,527
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $626,316 (collateralized by non-U.S. Government debt securities, value $643,026, 5.36% to 6.00%, 12/25/35 to 12/25/42).		626,036		626,036
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $782,894 (collateralized by non-U.S. Government debt securities, value $875,765, 0.00% to 10.00%, 6/1/28 to 12/15/35).		782,544		782,544
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $187,897 (collateralized by non-U.S. Government debt securities, value $212,609, 0.00% to 10.00%, 9/10/34 to 5/9/36).		187,811		187,811
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $ 313,158 (collateralized by non-U.S. Government debt securities, value $319,719, 5.22% to 5.42%, 7/3/06).		313,018		313,018
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $ 501,056 (collateralized by non-U.S. Government debt securities, value $526,596, 0.00% to 10.00%, 1/1/10 to 6/6/16).		500,828		500,828

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
REPURCHASE AGREEMENTS *(Continued)*
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $313,158 (collateralized by non-U.S. Government debt securities, value $322,860, 6.38% to 8.49%, 1/7/09 to 2/23/36).	$	313,018	$	313,018
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $313,158 (collateralized by non-U.S. Government debt securities, value $322,864, 0.07% to 7.75%, 2/22/11 to 12/15/45).		313,018		313,018
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $626,316 (collateralized by non-U.S. Government debt securities, value $658,252, 0.00% to 8.57%, 6/25/23 to 4/25/46).		626,036		626,036
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $313,158 (collateralized by non-U.S. Government debt securities, value $329,407, 3.79% to 7.22%, 5/15/07 to 3/15/42).		313,018		313,018
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $109,606 (collateralized by non-U.S. Government debt securities, value $115,976, 0.00% to 10.00%, 7/3/06 to 6/30/36).		109,556		109,556
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $230,481 (collateralized by non-U.S. Government debt securities, value $231,953, 0.00% to 10.00%, 7/3/06 to 6/30/36).⁽⁸⁾		219,112		219,112
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $626,317 (collateralized by non-U.S. Government debt securities, value $658,245, 0.00% to 10.00%, 1/1/10 to 5/6/16).		626,036		626,036

				6,025,594

TIME DEPOSITS⁽⁵⁾– 1.50%
ABN Amro Bank NV
5.30%, 07/03/06		313,018		313,018
KBC Bank NV
5.32%, 07/03/06		939,053		939,053
Societe Generale
5.32%, 07/03/06		782,544		782,544
UBS AG
5.25% - 5.34%, 07/03/06		902,459		902,459

				2,937,074

VARIABLE & FLOATING RATE NOTES⁽⁵⁾– 8.23%
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07⁽²⁾		801,326		801,437
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		234,763		234,761
American Express Centurion Bank
5.34%, 07/19/07		344,320		344,731
American Express Credit Corp.
5.23%, 07/05/07		93,905		93,968
ASIF Global Financing
5.17%, 05/03/07⁽²⁾		31,302		31,317
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07⁽²⁾		203,462		203,462
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07⁽²⁾		532,130		532,127
BMW US Capital LLC
5.20%, 07/13/07⁽²⁾		313,018		313,018
BNP Paribas
5.14%, 05/18/07⁽²⁾		579,083		579,083
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07⁽²⁾		228,503		228,503
Commodore CDO Ltd.
5.38%, 06/12/07⁽²⁾		78,254		78,254
Credit Agricole SA
5.31%, 07/23/07		313,018		313,018
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07⁽²⁾		313,018		313,017
DEPFA Bank PLC
5.37%, 06/15/07		313,018		313,018
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07⁽²⁾		359,970		359,999
Eli Lilly Services Inc.
5.08%, 06/29/07⁽²⁾		313,018		313,018
Fifth Third Bancorp
5.28%, 06/22/07⁽²⁾		626,036		626,036
First Tennessee Bank N.A.
5.21%, 08/25/06		93,905		93,907
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07⁽²⁾		234,763		234,741
General Electric Capital Corp.
5.25%, 04/09/07		140,858		140,935
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		469,527		469,614
HBOS Treasury Services PLC
5.53%, 04/24/07⁽²⁾		313,018		313,018

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
VARIABLE & FLOATING RATE NOTES *(Continued)*
JP Morgan Chase & Co.
5.12%, 07/02/07	$	234,763	$	234,763
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07⁽²⁾		469,527		469,514
Leafs LLC
5.27%, 01/22/07 - 02/20/07⁽²⁾		327,109		327,109
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		391,272		391,145
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07⁽²⁾		344,320		344,290
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07⁽²⁾		152,124		152,124
Marshall & Ilsley Bank
5.18%, 07/13/07		172,160		172,160
Metropolitan Life Global Funding I
5.15%, 07/06/07⁽²⁾		469,527		469,527
Mortgage Interest Networking Trust
5.54%, 08/25/06⁽²⁾		39,440		39,453
Mound Financing PLC
5.11%, 05/08/07⁽²⁾		294,237		294,237
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07⁽²⁾		313,018		312,999
National City Bank of Indiana
5.17%, 05/21/07		156,509		156,521
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07⁽²⁾		845,148		845,172
Newcastle Ltd.
5.34%, 04/24/07⁽²⁾		110,339		110,312
Northern Rock PLC
5.17%, 05/03/07⁽²⁾		375,621		375,630
Principal Life Global Funding I
5.63%, 02/08/07		140,858		141,255
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07⁽²⁾		234,763		234,750
Sigma Finance Inc.
5.51%, 06/18/07⁽²⁾		256,675		256,675
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07⁽²⁾		313,018		313,018
Strips III LLC
5.37%, 07/24/06⁽²⁾		73,173		73,173
SunTrust Bank
5.08%, 05/01/07		313,018		313,034
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07⁽²⁾		591,604		591,541
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06⁽²⁾		438,225		438,225
US Bank N.A.
5.28%, 09/29/06		140,858		140,849
Wachovia Asset Securitization Inc.
5.31%, 07/25/06⁽²⁾		501,079		501,079
Wachovia Bank N.A.
5.36%, 05/22/07		626,036		626,036
Wells Fargo & Co.
5.19%, 07/13/07⁽²⁾		156,509		156,519
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07⁽²⁾		281,716		281,713
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07⁽²⁾		309,575		308,556
Wind Master Trust
5.32%, 08/25/06 - 09/25/06⁽²⁾		105,719		105,719

				16,108,080

TOTAL SHORT-TERM INVESTMENTS (Cost: $36,808,848)				36,808,848

TOTAL INVESTMENTS IN SECURITIES – 117.38% (Cost: $235,985,856)				229,762,353

Other Assets, Less Liabilities – (17.38)%				(34,025,841	)

NET ASSETS – 100.00%			$	195,736,512

⁽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 may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

⁽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⁾

Affiliated issuer. See Note 2.

⁽⁷⁾

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

⁽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.

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Unaudited)

June 30, 2006


Security	Face Amount		Value
CERTIFICATES OF DEPOSIT – 3.07%
Calyon
5.18%, 03/30/07	$	50,000,000	$	50,000,000
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
Wells Fargo Bank N.A.
4.80%, 01/29/07		75,000,000		74,983,164

TOTAL CERTIFICATES OF DEPOSIT (Cost: $184,983,164)				184,983,164

COMMERCIAL PAPER – 7.82%
Amstel Funding Corp.
5.20%, 11/21/06⁽¹⁾		60,000,000		58,760,667
5.32%, 07/13/06⁽¹⁾		36,958,000		36,892,461
Cancara Asset Securitisation Ltd.
5.30%, 07/13/06⁽¹⁾		140,179,000		139,931,351
5.31%, 07/07/06⁽¹⁾		50,066,000		50,021,691
Citigroup Funding Inc.
5.27%, 07/21/06		35,000,000		34,897,625
General Electric Capital Corp.
5.30%, 07/03/06		150,000,000		149,955,833

TOTAL COMMERCIAL PAPER (Cost: $470,459,628)				470,459,628

MEDIUM-TERM NOTES – 3.33%
Cullinan Finance Corp.
5.07%, 02/26/07⁽¹⁾		70,000,000		70,000,000
5.18%, 03/15/07⁽¹⁾		20,000,000		20,000,000
Marshall & Ilsley Bank
5.18%, 12/15/06		50,000,000		50,076,409
Sigma Finance Inc.
4.50%, 10/16/06⁽¹⁾		25,000,000		25,000,000
5.35%, 04/27/07⁽¹⁾		35,000,000		34,997,116

TOTAL MEDIUM-TERM NOTES (Cost: $200,073,525)				200,073,525

TIME DEPOSITS – 5.59%
Branch Banking & Trust
5.22%, 07/03/06		130,491,000		130,491,000
JP Morgan Chase Bank N.A.
5.25%, 07/03/06		150,000,000		150,000,000
Societe Generale
5.32%, 07/03/06		50,000,000		50,000,000
UBS AG
5.25%, 07/03/06		5,708,000		5,708,000

TOTAL TIME DEPOSITS (Cost: $336,199,000)				336,199,000

VARIABLE & FLOATING RATE NOTES – 56.58%
Allstate Life Global Funding II
5.11%, 05/04/07		30,000,000		30,000,000
5.18%, 11/09/06⁽¹⁾		20,000,000		20,004,260
5.19%, 07/06/07⁽¹⁾		11,000,000		11,003,944
5.22%, 07/13/07⁽¹⁾		35,000,000		35,013,389
5.26%, 07/13/07⁽¹⁾		25,000,000		25,009,284
5.35%, 07/27/07⁽¹⁾		50,000,000		50,000,000
American Express Bank
5.21%, 07/19/06		40,000,000		40,000,000
5.30%, 09/27/06		90,000,000		90,000,000
American Express Centurion Bank
5.30%, 09/27/06		60,000,000		60,000,000
ANZ National International Ltd.
5.11%, 07/07/07⁽¹⁾		75,000,000		75,000,000
ASIF Global Financing
5.17%, 08/11/06⁽¹⁾		25,000,000		25,000,290
5.31%, 07/23/07⁽¹⁾		75,000,000		74,996,948
5.38%, 12/11/06⁽¹⁾		90,000,000		90,034,195
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07⁽¹⁾		35,000,000		35,000,000
Bank of America N.A.
5.28%, 04/20/07		30,000,000		30,000,000
Bank of Ireland
5.24%, 06/20/07⁽¹⁾		70,000,000		70,000,000
Bank of Nova Scotia
5.29%, 09/29/06		35,000,000		34,997,503
Banque Nationale de Paris
5.07%, 10/04/06		20,000,000		19,998,585
Carlyle Loan Investment Ltd. Series 2006-3A Class 1
5.32%, 07/15/07⁽¹⁾		33,000,000		33,000,000
CC USA Inc.
5.17%, 07/14/06⁽¹⁾		15,000,000		15,000,100
Commodore CDO Ltd. 2003-2A Class A1MM
5.38%, 06/12/07⁽¹⁾		25,000,000		25,000,000
Credit Suisse First Boston NY
5.23%, 07/19/06		75,000,000		75,000,000
5.29%, 09/26/06		100,000,000		100,000,000
DEPFA Bank PLC
5.37%, 06/15/07		100,000,000		100,000,000
Dexia Credit Local
5.29%, 08/30/06		35,000,000		34,998,850
Five Finance Inc.
5.15%, 09/15/06⁽¹⁾		30,000,000		29,998,751
HBOS Treasury Services PLC
5.53%, 04/24/07⁽¹⁾		50,000,000		50,000,000
Holmes Financing PLC Series 2005-9 Class 1A
5.17%, 12/15/06⁽¹⁾		50,000,000		50,000,000
ING USA Annuity & Life Insurance Funding Agreement
5.48%, 12/18/06⁽¹⁾⁽²⁾		20,000,000		20,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Face Amount		Value
Jordan Brick Co. Inc.
5.35%, 07/07/06⁽¹⁾	$	46,000,000	$	46,000,000
JP Morgan Chase & Co.
5.11%, 07/02/07		75,000,000		75,000,000
K2 USA LLC
5.13%, 09/11/06⁽¹⁾		100,000,000		99,997,059
5.39%, 06/04/07⁽¹⁾		60,000,000		60,000,000
Lakeline Austin Development Ltd.
5.35%, 07/07/06⁽¹⁾		9,800,000		9,800,000
Leafs LLC
5.27%, 02/20/07⁽¹⁾		19,872,039		19,872,039
Links Finance LLC
5.15%, 10/16/06⁽¹⁾		82,000,000		81,996,384
Marshall & Ilsley Bank
5.18%, 07/13/07		60,000,000		60,000,000
MetLife Insurance Co. of Connecticut
5.16%, 07/18/06⁽¹⁾⁽²⁾		25,000,000		25,000,000
5.21%, 02/02/07⁽¹⁾⁽²⁾		50,000,000		50,000,000
5.25%, 08/18/06⁽¹⁾⁽²⁾		50,000,000		50,000,000
Monumental Global Funding II
5.49%, 12/27/06⁽¹⁾		100,000,000		100,003,622
Mortgage Interest Networking Trust
5.54%, 08/25/06⁽¹⁾		10,000,000		10,003,478
Natexis Banques Populaires
5.18%, 07/13/07⁽¹⁾		50,000,000		50,000,000
Nationwide Building Society
5.55%, 04/27/07⁽¹⁾		100,000,000		100,000,000
Nordea Bank AB
5.15%, 06/11/07⁽¹⁾		75,000,000		75,000,000
Nordea Bank PLC
5.05%, 10/02/06		75,000,000		74,995,411
Northern Rock PLC
5.17%, 05/03/07⁽¹⁾		70,000,000		70,000,000
Permanent Financing PLC Series 9A Class 1A
5.14%, 03/10/07⁽¹⁾		60,000,000		60,000,000
Principal Life Income Funding Trusts
5.14%, 11/13/06		50,000,000		49,999,258
Royal Bank of Scotland
5.29%, 08/30/06		100,000,000		99,996,711
Sedna Finance Inc.
5.24%, 09/20/06⁽¹⁾		15,000,000		15,000,000
Sigma Finance Inc.
4.00%, 08/11/06⁽¹⁾		75,000,000		74,995,722
5.16%, 08/15/06⁽¹⁾		15,000,000		14,999,815
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07⁽¹⁾		50,000,000		50,000,000
Societe Generale
5.08%, 07/02/07⁽¹⁾		30,000,000		30,000,000
Tango Finance Corp.
5.28%, 09/25/06⁽¹⁾		30,000,000		29,998,947
Trap Rock Industry Inc.
5.35%, 07/07/06⁽¹⁾		19,880,000		19,880,000
Union Hamilton Special Funding LLC
5.49%, 09/28/06⁽¹⁾		50,000,000		50,000,000
US Bank N.A.
5.28%, 09/29/06		15,000,000		14,999,014
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
5.31%, 07/25/06⁽¹⁾		49,478,705		49,478,705
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
5.31%, 07/25/06⁽¹⁾		57,241,338		57,241,338
Westpac Banking Corp.
5.34%, 07/11/07		70,000,000		70,000,000
WhistleJacket Capital Ltd.
5.14%, 10/16/06⁽¹⁾		100,000,000		99,996,998
5.22%, 10/20/06⁽¹⁾		25,000,000		24,997,865
5.25%, 11/22/06⁽¹⁾		75,000,000		74,991,930
5.30%, 07/28/06⁽¹⁾		15,000,000		14,999,724
White Pine Finance LLC
5.15%, 07/17/06⁽¹⁾		50,000,000		49,999,550
5.15%, 09/15/06⁽¹⁾		46,000,000		45,998,562

TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $3,404,298,231)				3,404,298,231

REPURCHASE AGREEMENTS – 23.27%
Bank of America N.A. Tri-Party Repurchase Agreement, 5.25%, due 7/3/06, maturity value $40,017,500 (collateralized by U.S. Government obligations, value $40,800,001, 5.50%, 12/1/35).	$	40,000,000		40,000,000
Bear Stearns Companies Inc. (The) Tri-Party Repurchase Agreement, 5.37%, due 7/3/06, maturity value $150,067,125 (collateralized by non-U.S. Government debt securities, value $165,002,598, 1.50% to 8.63%, 7/15/13 to 6/10/48).		150,000,000		150,000,000
Citigroup Global Markets Holdings Inc. Tri-Party Repurchase Agreement, 5.46%, due 7/3/06, maturity value $250,113,750 (collateralized by non-U.S. Government debt securities, value $279,395,542, 0.00% to 10.00%, 6/1/28 to 12/15/35).		250,000,000		250,000,000
Credit Suisse First Boston Inc. Tri-Party Repurchase Agreement, 5.25%, due 7/3/06, maturity value $40,017,500 (collateralized by U.S. Government obligations, value $40,802,836, 5.48% to 6.19%, 3/1/36 to 6/1/36).		40,000,000		40,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Face Amount		Value
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 5.28%, due 7/3/06, maturity value $40,017,600 (collateralized by U.S. Government obligations, value $40,800,000, 4.50% to 6.00%, 1/1/33 to 3/1/35).	$	40,000,000	$	40,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 5.46%, due 7/3/06, maturity value $100,045,500 (collateralized by non-U.S. Government debt securities, value $105,000,000, 0.00% to 10.00%, 1/1/10).		100,000,000		100,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 5.36%, due 7/3/06, maturity value $100,044,667 (collateralized by non-U.S. Government debt securities, value $103,000,892, 5.00% to 8.75%, 8/15/06 to 3/1/46).		100,000,000		100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 5.25%, due 7/3/06, maturity value $40,017,500 (collateralized by U.S. Government obligations, value $40,802,779, 3.20% to 7.97%, 12/1/18 to 4/1/36).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 5.25%, due 7/3/06, maturity value $40,017,500 (collateralized by U.S. Government obligations, value $41,201,458, 4.00% to 6.00%, 10/25/16 to 10/25/30).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 5.43%, due 7/3/06, maturity value $100,045,250 (collateralized by non-U.S. Government debt securities, value $103,127,698, 0.00% to 10.13%, 10/15/06 to 9/1/23).		100,000,000		100,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 5.45%, due 9/28/06, maturity value $152,043,750 (collateralized by non-U.S. Government debt securities, value $154,502,657, 4.65% to 8.38%, 6/15/07 to 12/1/25).⁽²⁾		150,000,000		150,000,000
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 5.30%, due 7/3/06, maturity value $100,044,167 (collateralized by U.S. Government obligations, value $102,001,212, 3.38% to 6.63%, 8/23/07 to 6/14/13).		100,000,000		100,000,000
Morgan Stanley Tri-Party Repurchase Agreement, 5.51%, due 7/4/07, maturity value $264,119,375 (collateralized by non-U.S. Government debt securities, value $270,740,244, 0.00% to 10.00%, 7/3/06 to 6/30/36).⁽²⁾		250,000,000		250,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $1,400,000,000)				1,400,000,000

TOTAL INVESTMENTS IN SECURITIES – 99.66% (Cost: $5,996,013,548)				5,996,013,548

Other Assets, Less Liabilities – 0.34%				20,414,297

NET ASSETS – 100.00%			$	6,016,427,845

⁽¹⁾

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

⁽²⁾

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

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited)

June 30, 2006


Security	Shares	Value
COMMON STOCKS – 98.96%

ADVERTISING – 0.16%
Interpublic Group of Companies Inc.⁽¹⁾⁽²⁾	89,559	$	747,817
Omnicom Group Inc.	35,220		3,137,750

			3,885,567

AEROSPACE & DEFENSE – 2.13%
Boeing Co. (The)	165,045		13,518,836
General Dynamics Corp.	83,330		5,454,782
Goodrich (B.F.) Co.⁽²⁾	25,866		1,042,141
L-3 Communications Holdings Inc.	25,123		1,894,777
Lockheed Martin Corp.	73,105		5,244,553
Northrop Grumman Corp.	70,963		4,545,890
Raytheon Co.	92,106		4,105,164
Rockwell Collins Inc.⁽²⁾	35,239		1,968,803
United Technologies Corp.	208,658		13,233,090

			51,008,036

AGRICULTURE – 1.90%
Altria Group Inc.	431,011		31,649,138
Archer-Daniels-Midland Co.	135,094		5,576,680
Monsanto Co.	55,855		4,702,432
Reynolds American Inc.⁽²⁾	17,679		2,038,389
UST Inc.⁽²⁾	33,325		1,505,957

			45,472,596

AIRLINES – 0.10%
Southwest Airlines Co.	145,449		2,381,000

			2,381,000

APPAREL – 0.35%
Coach Inc.⁽¹⁾	79,475		2,376,302
Jones Apparel Group Inc.	23,493		746,842
Liz Claiborne Inc.⁽²⁾	21,780		807,167
Nike Inc. Class B	38,974		3,156,894
VF Corp.⁽²⁾	18,209		1,236,755

			8,323,960

AUTO MANUFACTURERS – 0.39%
Ford Motor Co.⁽²⁾	387,290		2,683,920
General Motors Corp.⁽²⁾	116,755		3,478,131
Navistar International Corp.⁽¹⁾	12,553		308,929
PACCAR Inc.⁽²⁾	34,474		2,839,968

			9,310,948

AUTO PARTS & EQUIPMENT – 0.16%
Cooper Tire & Rubber Co.⁽²⁾	13,285		147,995
Goodyear Tire & Rubber Co. (The)⁽¹⁾	36,965		410,311
Johnson Controls Inc.⁽²⁾	40,248		3,309,191

			3,867,497

BANKS – 6.68%
AmSouth Bancorp	71,855		1,900,565
Bank of America Corp.	941,947		45,307,651
Bank of New York Co. Inc. (The)	159,313		5,129,879
BB&T Corp.	113,539		4,722,087
Comerica Inc.	33,536		1,743,537
Commerce Bancorp Inc.⁽²⁾	38,261		1,364,770
Compass Bancshares Inc.⁽²⁾	26,443		1,470,231
Fifth Third Bancorp⁽²⁾	114,880		4,244,816
First Horizon National Corp.⁽²⁾	25,250		1,015,050
Huntington Bancshares Inc.	50,649		1,194,303
KeyCorp	83,443		2,977,246
M&T Bank Corp.⁽²⁾	16,271		1,918,676
Marshall & Ilsley Corp.	46,399		2,122,290
Mellon Financial Corp.	85,370		2,939,289
National City Corp.⁽²⁾	111,983		4,052,665
North Fork Bancorp Inc.	96,034		2,897,346
Northern Trust Corp.	38,396		2,123,299
PNC Financial Services Group	61,103		4,287,598
Regions Financial Corp.	94,130		3,117,586
State Street Corp.⁽²⁾	68,608		3,985,439
SunTrust Banks Inc.	75,063		5,724,304
Synovus Financial Corp.⁽²⁾	66,294		1,775,353
U.S. Bancorp	367,397		11,345,219
Wachovia Corp.⁽²⁾	332,013		17,955,263
Wells Fargo & Co.	346,774		23,261,600
Zions Bancorporation	21,792		1,698,468

			160,274,530

BEVERAGES – 2.13%
Anheuser-Busch Companies Inc.⁽²⁾	159,522		7,272,608
Brown-Forman Corp. Class B⁽²⁾	17,051		1,218,294
Coca-Cola Co. (The)	423,047		18,199,482
Coca-Cola Enterprises Inc.	62,187		1,266,749
Constellation Brands Inc.⁽¹⁾⁽²⁾	41,404		1,035,100
Molson Coors Brewing Co. Class B⁽²⁾	11,740		796,911
Pepsi Bottling Group Inc.	27,765		892,645
PepsiCo Inc.	341,093		20,479,224

			51,161,013

BIOTECHNOLOGY – 1.02%
Amgen Inc.⁽¹⁾	243,406		15,877,373
Biogen Idec Inc.⁽¹⁾	70,985		3,288,735
Genzyme Corp.⁽¹⁾⁽²⁾	53,745		3,281,132
MedImmune Inc.⁽¹⁾⁽²⁾	51,104		1,384,918
Millipore Corp.⁽¹⁾	10,926		688,229

			24,520,387

BUILDING MATERIALS – 0.23%
American Standard Companies Inc.⁽²⁾	36,466		1,577,884
Masco Corp.	82,003		2,430,569
Vulcan Materials Co.⁽²⁾	20,839		1,625,442

			5,633,895

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares	Value
CHEMICALS – 1.35%
Air Products & Chemicals Inc.⁽²⁾	46,279	$	2,958,154
Ashland Inc.⁽²⁾	14,617		974,954
Dow Chemical Co. (The)⁽²⁾	198,517		7,748,119
Du Pont (E.I.) de Nemours and Co.⁽²⁾	190,169		7,911,030
Eastman Chemical Co.	16,647		898,938
Ecolab Inc.⁽²⁾	37,914		1,538,550
Hercules Inc.⁽¹⁾⁽²⁾	23,272		355,131
International Flavors & Fragrances Inc.⁽²⁾	16,021		564,580
PPG Industries Inc.⁽²⁾	34,186		2,256,276
Praxair Inc.	66,704		3,602,016
Rohm & Haas Co.	30,156		1,511,419
Sherwin-Williams Co. (The)	22,974		1,090,806
Sigma-Aldrich Corp.	13,896		1,009,405

			32,419,378

COAL – 0.07%
CONSOL Energy Inc.	37,790		1,765,549

			1,765,549

COMMERCIAL SERVICES – 0.80%
Apollo Group Inc. Class A⁽¹⁾	28,759		1,485,978
Block (H & R) Inc.⁽²⁾	68,135		1,625,701
Cendant Corp.	206,489		3,363,706
Convergys Corp.⁽¹⁾	29,374		572,793
Donnelley (R.R.) & Sons Co.	44,211		1,412,541
Equifax Inc.	26,630		914,474
McKesson Corp.	62,784		2,968,428
Moody’s Corp.	50,429		2,746,363
Paychex Inc.	68,817		2,682,487
Robert Half International Inc.	35,286		1,482,012

			19,254,483

COMPUTERS – 3.60%
Affiliated Computer Services Inc. Class A⁽¹⁾	24,722		1,275,902
Apple Computer Inc.⁽¹⁾	175,559		10,027,930
Computer Sciences Corp.⁽¹⁾	38,687		1,873,998
Dell Inc.⁽¹⁾	468,898		11,445,800
Electronic Data Systems Corp.	107,021		2,574,925
EMC Corp.⁽¹⁾	488,111		5,354,578
Gateway Inc.⁽¹⁾	51,610		98,059
Hewlett-Packard Co.	575,799		18,241,312
International Business Machines Corp.⁽²⁾	320,019		24,583,860
Lexmark International Inc.⁽¹⁾	21,532		1,202,132
NCR Corp.⁽¹⁾	37,708		1,381,621
Network Appliance Inc.⁽¹⁾⁽²⁾	77,062		2,720,289
SanDisk Corp.⁽¹⁾	40,117		2,045,165
Sun Microsystems Inc.⁽¹⁾	722,076		2,996,615
Unisys Corp.⁽¹⁾	71,074		446,345

			86,268,531

COSMETICS & PERSONAL CARE – 2.03%
Alberto-Culver Co.⁽²⁾	15,689		764,368
Avon Products Inc.	92,682		2,873,142
Colgate-Palmolive Co.	106,239		6,363,716
Estee Lauder Companies Inc. (The) Class A⁽²⁾	24,729		956,270
Procter & Gamble Co.	677,326		37,659,326

			48,616,822

DISTRIBUTION & WHOLESALE – 0.11%
Genuine Parts Co.⁽²⁾	35,958		1,498,010
Grainger (W.W.) Inc.	15,920		1,197,662

			2,695,672

DIVERSIFIED FINANCIAL SERVICES – 8.16%
American Express Co.⁽²⁾	254,681		13,554,123
Ameriprise Financial Inc.	50,432		2,252,797
Bear Stearns Companies Inc. (The)	24,898		3,487,712
Capital One Financial Corp.	62,557		5,345,496
CIT Group Inc.	41,350		2,162,191
Citigroup Inc.	1,026,107		49,499,402
Countrywide Financial Corp.	125,430		4,776,374
E*TRADE Financial Corp.⁽¹⁾⁽²⁾	87,702		2,001,360
Federal Home Loan Mortgage Corp.	142,636		8,131,678
Federal National Mortgage Association	199,793		9,610,043
Federated Investors Inc. Class B	17,624		555,156
Franklin Resources Inc.	31,665		2,748,839
Goldman Sachs Group Inc. (The)	89,181		13,415,498
Janus Capital Group Inc.⁽²⁾	43,702		782,266
JP Morgan Chase & Co.	717,183		30,121,686
Legg Mason Inc.	27,262		2,713,114
Lehman Brothers Holdings Inc.	110,524		7,200,639
Merrill Lynch & Co. Inc.	190,729		13,267,109
Morgan Stanley	221,089		13,975,036
Rowe (T.) Price Group Inc.	54,772		2,070,929
Schwab (Charles) Corp. (The)	212,912		3,402,334
SLM Corp.	84,816		4,488,463

			195,562,245

ELECTRIC – 3.09%
AES Corp. (The)⁽¹⁾⁽²⁾	135,912		2,507,576
Allegheny Energy Inc.⁽¹⁾⁽²⁾	33,567		1,244,329
Ameren Corp.⁽²⁾	42,574		2,149,987
American Electric Power Co. Inc.	81,125		2,778,531
CenterPoint Energy Inc.	65,171		814,638
CMS Energy Corp.⁽¹⁾⁽²⁾	46,135		596,987
Consolidated Edison Inc.	50,459		2,242,398
Constellation Energy Group Inc.	37,108		2,023,128
Dominion Resources Inc.⁽²⁾	71,743		5,365,659
DTE Energy Co.⁽²⁾	36,881		1,502,532
Duke Energy Corp.	254,927		7,487,206
Edison International	67,104		2,617,056
Entergy Corp.	42,857		3,032,133
Exelon Corp.	137,992		7,842,085
FirstEnergy Corp.	68,090		3,691,159
FPL Group Inc.	83,454		3,453,327

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares	Value
ELECTRIC *(Continued)*
PG&E Corp.⁽²⁾	71,671	$	2,815,237
Pinnacle West Capital Corp.	20,170		804,985
PPL Corp.⁽²⁾	78,261		2,527,830
Progress Energy Inc.⁽²⁾	52,459		2,248,917
Public Service Enterprise Group Inc.	51,913		3,432,488
Southern Co. (The)⁽²⁾	153,180		4,909,419
TECO Energy Inc.	43,692		652,758
TXU Corp.	95,455		5,707,254
Xcel Energy Inc.⁽²⁾	83,603		1,603,506

			74,051,125

ELECTRICAL COMPONENTS & EQUIPMENT – 0.37%
American Power Conversion Corp.⁽²⁾	34,557		673,516
Emerson Electric Co.	84,729		7,101,137
Molex Inc.⁽²⁾	29,336		984,810

			8,759,463

ELECTRONICS – 0.49%
Agilent Technologies Inc.⁽¹⁾	87,908		2,774,376
Applera Corp. - Applied Biosystems Group	38,131		1,233,538
Fisher Scientific International Inc.⁽¹⁾	25,527		1,864,747
Jabil Circuit Inc.	36,394		931,686
PerkinElmer Inc.	26,161		546,765
Sanmina-SCI Corp.⁽¹⁾	109,718		504,703
Solectron Corp.⁽¹⁾	190,093		650,118
Symbol Technologies Inc.	52,579		567,327
Tektronix Inc.	17,304		509,084
Thermo Electron Corp.⁽¹⁾	33,439		1,211,829
Waters Corp.⁽¹⁾⁽²⁾	21,655		961,482

			11,755,655

ENGINEERING & CONSTRUCTION – 0.07%
Fluor Corp.⁽²⁾	18,033		1,675,807

			1,675,807

ENTERTAINMENT – 0.11%
International Game Technology Inc.	70,004		2,655,952

			2,655,952

ENVIRONMENTAL CONTROL – 0.19%
Allied Waste Industries Inc.⁽¹⁾⁽²⁾	50,238		570,704
Waste Management Inc.	112,348		4,031,046

			4,601,750

FOOD – 1.46%
Campbell Soup Co.⁽²⁾	38,244		1,419,235
ConAgra Foods Inc.⁽²⁾	106,823		2,361,857
Dean Foods Co.⁽¹⁾	28,346		1,054,188
General Mills Inc.⁽²⁾	73,477		3,795,822
Heinz (H.J.) Co.	69,033		2,845,540
Hershey Co. (The)⁽²⁾	36,668		2,019,307
Kellogg Co.⁽²⁾	50,345		2,438,208
Kroger Co.	149,355		3,264,900
McCormick & Co. Inc. NVS	27,403		919,371
Safeway Inc.⁽²⁾	92,478		2,404,428
Sara Lee Corp.	156,554		2,507,995
SUPERVALU Inc.	42,590		1,307,513
Sysco Corp.⁽²⁾	127,686		3,902,084
Tyson Foods Inc. Class A⁽²⁾	51,221		761,144
Whole Foods Market Inc.⁽²⁾	28,827		1,863,377
Wrigley (William Jr.) Co.⁽²⁾	45,834		2,079,030

			34,943,999

FOREST PRODUCTS & PAPER – 0.43%
International Paper Co.⁽²⁾	101,640		3,282,972
Louisiana-Pacific Corp.	21,879		479,150
MeadWestvaco Corp.⁽²⁾	37,750		1,054,358
Plum Creek Timber Co. Inc.⁽²⁾	38,077		1,351,734
Temple-Inland Inc.	23,032		987,382
Weyerhaeuser Co.⁽²⁾	50,831		3,164,230

			10,319,826

GAS – 0.24%
KeySpan Corp.	36,110		1,458,844
Nicor Inc.⁽²⁾	9,189		381,344
NiSource Inc.⁽²⁾	56,244		1,228,369
Peoples Energy Corp.⁽²⁾	7,893		283,438
Sempra Energy	53,731		2,443,686

			5,795,681

HAND & MACHINE TOOLS – 0.10%
Black & Decker Corp.	15,693		1,325,431
Snap-On Inc.⁽²⁾	12,087		488,557
Stanley Works (The)⁽²⁾	14,557		687,382

			2,501,370

HEALTH CARE – PRODUCTS – 3.05%
Bard (C.R.) Inc.⁽²⁾	21,341		1,563,442
Bausch & Lomb Inc.	11,305		554,397
Baxter International Inc.	135,170		4,968,849
Becton, Dickinson & Co.	51,005		3,117,936
Biomet Inc.	50,452		1,578,643
Boston Scientific Corp.⁽¹⁾	250,820		4,223,809
Johnson & Johnson	611,184		36,622,145
Medtronic Inc.⁽²⁾	249,146		11,689,930
Patterson Companies Inc.⁽¹⁾⁽²⁾	28,357		990,510
St. Jude Medical Inc.⁽¹⁾	74,600		2,418,532
Stryker Corp.⁽²⁾	60,197		2,534,896
Zimmer Holdings Inc.⁽¹⁾	51,226		2,905,539

			73,168,628

HEALTH CARE – SERVICES – 1.67%
Aetna Inc.⁽²⁾	117,045		4,673,607
Coventry Health Care Inc.⁽¹⁾	33,338		1,831,590
HCA Inc.	84,231		3,634,568

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares	Value
HEALTH CARE – SERVICES *(Continued)*
Health Management Associates Inc. Class A⁽²⁾	50,021	$	985,914
Humana Inc.⁽¹⁾	33,920		1,821,504
Laboratory Corp. of America Holdings⁽¹⁾⁽²⁾	25,652		1,596,324
Manor Care Inc.⁽²⁾	16,582		778,027
Quest Diagnostics Inc.⁽²⁾	33,542		2,009,837
Tenet Healthcare Corp.⁽¹⁾⁽²⁾	98,616		688,340
UnitedHealth Group Inc.	278,041		12,450,676
WellPoint Inc.⁽¹⁾	131,577		9,574,858

			40,045,245

HOME BUILDERS – 0.24%
Centex Corp.⁽²⁾	24,991		1,257,047
Horton (D.R.) Inc.	55,763		1,328,275
KB Home	15,310		701,964
Lennar Corp. Class A	29,068		1,289,747
Pulte Homes Inc.⁽²⁾	44,160		1,271,366

			5,848,399

HOME FURNISHINGS – 0.10%
Harman International Industries Inc.⁽²⁾	13,789		1,177,167
Whirlpool Corp.⁽²⁾	16,191		1,338,186

			2,515,353

HOUSEHOLD PRODUCTS & WARES – 0.47%
Avery Dennison Corp.⁽²⁾	22,855		1,326,961
Clorox Co. (The)	31,119		1,897,325
Fortune Brands Inc.⁽²⁾	30,430		2,160,834
Kimberly-Clark Corp.	94,904		5,855,577

			11,240,697

HOUSEWARES – 0.06%
Newell Rubbermaid Inc.⁽²⁾	57,131		1,475,694

			1,475,694

INSURANCE – 4.81%
ACE Ltd.	67,131		3,396,157
AFLAC Inc.	102,931		4,770,852
Allstate Corp. (The)	131,154		7,178,058
Ambac Financial Group Inc.⁽²⁾	21,944		1,779,658
American International Group Inc.	536,143		31,659,244
AON Corp.⁽²⁾	65,788		2,290,738
Chubb Corp.	85,651		4,273,985
CIGNA Corp.	24,725		2,435,660
Cincinnati Financial Corp.⁽²⁾	35,658		1,676,283
Genworth Financial Inc. Class A	75,315		2,623,975
Hartford Financial Services Group Inc. (The)	62,567		5,293,168
Lincoln National Corp.⁽²⁾	59,275		3,345,481
Loews Corp.	83,820		2,971,419
Marsh & McLennan Companies Inc.⁽²⁾	113,424		3,049,971
MBIA Inc.⁽²⁾	27,867		1,631,613
MetLife Inc.	156,598		8,019,384
MGIC Investment Corp.⁽²⁾	18,197		1,182,805
Principal Financial Group Inc.⁽²⁾	57,179		3,182,011
Progressive Corp. (The)⁽²⁾	161,532		4,152,988
Prudential Financial Inc.	101,559		7,891,134
SAFECO Corp.⁽²⁾	24,443		1,377,363
St. Paul Travelers Companies Inc.	143,723		6,407,171
Torchmark Corp.⁽²⁾	20,535		1,246,885
UNUMProvident Corp.⁽²⁾	61,419		1,113,526
XL Capital Ltd. Class A⁽²⁾	37,171		2,278,582

			115,228,111

INTERNET – 1.73%
Amazon.com Inc.⁽¹⁾⁽²⁾	64,151		2,481,361
eBay Inc.⁽¹⁾⁽²⁾	238,683		6,991,025
Google Inc. Class A⁽¹⁾	42,542		17,839,137
Monster Worldwide Inc.⁽¹⁾	26,481		1,129,679
Symantec Corp.⁽¹⁾	213,686		3,320,680
VeriSign Inc.⁽¹⁾⁽²⁾	50,803		1,177,106
Yahoo! Inc.⁽¹⁾	258,817		8,540,961

			41,479,949

IRON & STEEL – 0.27%
Allegheny Technologies Inc.	17,891		1,238,773
Nucor Corp.	64,326		3,489,686
United States Steel Corp.	25,659		1,799,209

			6,527,668

LEISURE TIME – 0.34%
Brunswick Corp.	19,658		653,629
Carnival Corp.⁽²⁾	89,658		3,742,325
Harley-Davidson Inc.	55,603		3,052,049
Sabre Holdings Corp.	27,509		605,198

			8,053,201

LODGING – 0.41%
Harrah’s Entertainment Inc.	38,141		2,714,876
Hilton Hotels Corp.⁽²⁾	68,528		1,937,972
Marriott International Inc. Class A	67,458		2,571,499
Starwood Hotels & Resorts Worldwide Inc.	44,848		2,706,128

			9,930,475

MACHINERY – 0.76%
Caterpillar Inc.⁽²⁾	138,224		10,294,924
Cummins Inc.⁽²⁾	9,607		1,174,456
Deere & Co.⁽²⁾	48,325		4,034,654
Rockwell Automation Inc.⁽²⁾	36,648		2,639,022

			18,143,056

MANUFACTURING – 5.31%
Cooper Industries Ltd.⁽²⁾	19,079		1,772,821
Danaher Corp.⁽²⁾	48,705		3,132,706
Dover Corp.	42,096		2,080,805
Eastman Kodak Co.⁽²⁾	59,508		1,415,100
Eaton Corp.	30,961		2,334,459

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares	Value
MANUFACTURING *(Continued)*
General Electric Co.	2,146,313	$	70,742,476
Honeywell International Inc.⁽²⁾	170,905		6,887,472
Illinois Tool Works Inc.⁽²⁾	85,496		4,061,060
Ingersoll-Rand Co. Class A	67,925		2,905,832
ITT Industries Inc.	38,407		1,901,147
Leggett & Platt Inc.⁽²⁾	37,442		935,301
Pall Corp.	26,133		731,724
Parker Hannifin Corp.	24,897		1,932,007
Textron Inc.⁽²⁾	26,868		2,476,692
3M Co.	155,624		12,569,750
Tyco International Ltd.	420,388		11,560,670

			127,440,022

MEDIA – 3.22%
CBS Corp. Class B	159,467		4,313,582
Clear Channel Communications Inc.	103,894		3,215,519
Comcast Corp. Class A⁽¹⁾	436,124		14,278,700
Dow Jones & Co. Inc.	12,194		426,912
Gannett Co. Inc.	49,040		2,742,807
McGraw-Hill Companies Inc. (The)	73,863		3,710,138
Meredith Corp.⁽²⁾	8,656		428,818
New York Times Co. Class A⁽²⁾	29,460		722,948
News Corp. Class A⁽²⁾	488,288		9,365,364
Scripps (E.W.) Co. Class A	17,458		753,138
Time Warner Inc.	883,887		15,291,245
Tribune Co.	45,205		1,465,998
Univision Communications Inc. Class A ⁽¹⁾⁽²⁾	46,053		1,542,776
Viacom Inc. Class B⁽¹⁾	148,842		5,334,497
Walt Disney Co. (The)⁽²⁾	453,045		13,591,350

			77,183,792

MINING – 0.68%
Alcoa Inc.	179,612		5,812,244
Freeport-McMoRan Copper & Gold Inc.	38,760		2,147,692
Newmont Mining Corp.	92,666		4,904,811
Phelps Dodge Corp.	42,076		3,456,964

			16,321,711

OFFICE & BUSINESS EQUIPMENT – 0.19%
Pitney Bowes Inc.	45,743		1,889,186
Xerox Corp.⁽¹⁾⁽²⁾	189,854		2,640,869

			4,530,055

OIL & GAS – 8.14%
Anadarko Petroleum Corp.	94,653		4,514,002
Apache Corp.	68,193		4,654,172
Chesapeake Energy Corp.⁽²⁾	79,841		2,415,190
Chevron Corp.	457,517		28,393,505
ConocoPhillips	340,712		22,326,857
Devon Energy Corp.	90,826		5,486,799
EOG Resources Inc.⁽²⁾	50,016		3,468,109
Exxon Mobil Corp.	1,248,835		76,616,027
Hess Corp.⁽²⁾	49,729		2,628,178
Kerr-McGee Corp.	46,899		3,252,446
Marathon Oil Corp.	74,817		6,232,256
Murphy Oil Corp.⁽²⁾	34,296		1,915,775
Nabors Industries Ltd.⁽¹⁾	64,084		2,165,398
Noble Corp.⁽²⁾	28,519		2,122,384
Occidental Petroleum Corp.	88,404		9,065,830
Rowan Companies Inc.⁽²⁾	22,973		817,609
Sunoco Inc.	27,382		1,897,299
Transocean Inc.⁽¹⁾⁽²⁾	67,070		5,387,062
Valero Energy Corp.	127,042		8,450,834
XTO Energy Inc.	75,173		3,327,909

			195,137,641

OIL & GAS SERVICES – 1.58%
Baker Hughes Inc.	70,343		5,757,575
BJ Services Co.⁽²⁾	66,375		2,473,133
Halliburton Co.	106,552		7,907,224
National Oilwell Varco Inc.⁽¹⁾	36,329		2,300,352
Schlumberger Ltd.⁽²⁾	243,542		15,857,020
Weatherford International Ltd.⁽¹⁾⁽²⁾	71,979		3,571,598

			37,866,902

PACKAGING & CONTAINERS – 0.13%
Ball Corp.	21,721		804,546
Bemis Co. Inc.	21,525		659,096
Pactiv Corp.⁽¹⁾	28,750		711,563
Sealed Air Corp.⁽²⁾	16,909		880,621

			3,055,826

PHARMACEUTICALS – 5.88%
Abbott Laboratories	315,034		13,738,633
Allergan Inc.⁽²⁾	31,515		3,380,299
AmerisourceBergen Corp.	43,338		1,816,729
Barr Pharmaceuticals Inc.⁽¹⁾	22,044		1,051,278
Bristol-Myers Squibb Co.	405,881		10,496,083
Cardinal Health Inc.⁽²⁾	86,220		5,546,533
Caremark Rx Inc.	91,291		4,552,682
Express Scripts Inc.⁽¹⁾	30,355		2,177,668
Forest Laboratories Inc.⁽¹⁾	67,094		2,595,867
Gilead Sciences Inc.⁽¹⁾	93,928		5,556,780
Hospira Inc.⁽¹⁾	32,048		1,376,141
King Pharmaceuticals Inc.⁽¹⁾	50,799		863,583
Lilly (Eli) & Co.	233,276		12,893,165
Medco Health Solutions Inc.⁽¹⁾	62,275		3,567,112
Merck & Co. Inc.	450,498		16,411,642
Mylan Laboratories Inc.⁽²⁾	42,728		854,560
Pfizer Inc.	1,512,444		35,497,061
Schering-Plough Corp.	305,726		5,817,966
Watson Pharmaceuticals Inc.⁽¹⁾⁽²⁾	21,092		491,022
Wyeth⁽²⁾	277,825		12,338,208

			141,023,012

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares	Value
PIPELINES – 0.32%
Dynegy Inc. Class A⁽¹⁾	76,604	$	419,024
El Paso Corp.	144,471		2,167,065
Kinder Morgan Inc.	21,520		2,149,633
Williams Companies Inc.⁽²⁾	122,347		2,858,026

			7,593,748

REAL ESTATE INVESTMENT TRUSTS – 0.89%
Apartment Investment & Management Co. Class A⁽²⁾	20,092		872,997
Archstone-Smith Trust⁽²⁾	44,127		2,244,740
Boston Properties Inc.⁽²⁾	18,748		1,694,819
Equity Office Properties Trust⁽²⁾	75,736		2,765,121
Equity Residential⁽²⁾	60,126		2,689,436
Kimco Realty Corp.⁽²⁾	43,966		1,604,319
ProLogis⁽²⁾	50,565		2,635,448
Public Storage Inc.	16,969		1,287,947
Simon Property Group Inc.	37,845		3,138,864
Vornado Realty Trust	24,553		2,395,145

			21,328,836

RETAIL – 5.85%
AutoNation Inc.⁽¹⁾	30,834		661,081
AutoZone Inc.⁽¹⁾⁽²⁾	10,910		962,262
Bed Bath & Beyond Inc.⁽¹⁾⁽²⁾	58,095		1,927,011
Best Buy Co. Inc.	83,076		4,555,888
Big Lots Inc.⁽¹⁾⁽²⁾	23,994		409,818
Circuit City Stores Inc.⁽²⁾	31,516		857,866
Costco Wholesale Corp.⁽²⁾	97,275		5,557,321
CVS Corp.	168,942		5,186,519
Darden Restaurants Inc.⁽²⁾	26,629		1,049,183
Dillard’s Inc. Class A⁽²⁾	12,577		400,577
Dollar General Corp.⁽²⁾	64,268		898,467
Family Dollar Stores Inc.⁽²⁾	32,407		791,703
Federated Department Stores Inc.	114,202		4,179,793
Gap Inc. (The)	113,558		1,975,909
Home Depot Inc.	426,650		15,269,804
Kohl’s Corp.⁽¹⁾	70,183		4,149,219
Limited Brands Inc.⁽²⁾	70,829		1,812,514
Lowe’s Companies Inc.⁽²⁾	160,140		9,715,694
McDonald’s Corp.	257,214		8,642,390
Nordstrom Inc.	44,264		1,615,636
Office Depot Inc.⁽¹⁾	59,399		2,257,162
OfficeMax Inc.	14,754		601,226
Penney (J.C.) Co. Inc.	48,481		3,272,952
RadioShack Corp.	28,224		395,136
Sears Holdings Corp.⁽¹⁾⁽²⁾	20,023		3,100,361
Staples Inc.	150,309		3,655,515
Starbucks Corp.⁽¹⁾⁽²⁾	158,430		5,982,317
Target Corp.	178,223		8,709,758
Tiffany & Co.⁽²⁾	29,045		959,066
TJX Companies Inc.	94,297		2,155,629
Walgreen Co.	208,511		9,349,633
Wal-Mart Stores Inc.	516,097		24,860,392
Wendy’s International Inc.	24,290		1,415,864
Yum! Brands Inc.⁽²⁾	56,276		2,828,995

			140,162,661

SAVINGS & LOANS – 0.61%
Golden West Financial Corp.	52,874		3,923,251
Sovereign Bancorp Inc.⁽²⁾	77,297		1,569,906
Washington Mutual Inc.	198,317		9,039,289

			14,532,446

SEMICONDUCTORS – 2.71%
Advanced Micro Devices Inc.⁽¹⁾	99,943		2,440,608
Altera Corp.⁽¹⁾	74,518		1,307,791
Analog Devices Inc.	74,562		2,396,423
Applied Materials Inc.	322,808		5,255,314
Broadcom Corp. Class A⁽¹⁾	94,561		2,841,558
Freescale Semiconductor Inc. Class B⁽¹⁾	83,771		2,462,867
Intel Corp.⁽²⁾	1,200,695		22,753,170
KLA-Tencor Corp.⁽²⁾	41,212		1,713,183
Linear Technology Corp.	62,687		2,099,388
LSI Logic Corp.⁽¹⁾	82,159		735,323
Maxim Integrated Products Inc.⁽²⁾	65,888		2,115,664
Micron Technology Inc.⁽¹⁾	141,406		2,129,574
National Semiconductor Corp.	69,476		1,657,003
Novellus Systems Inc.⁽¹⁾	25,570		631,579
NVIDIA Corp.⁽¹⁾	72,197		1,537,074
PMC-Sierra Inc.⁽¹⁾	42,806		402,376
QLogic Corp.⁽¹⁾	33,968		585,608
Teradyne Inc.⁽¹⁾	41,257		574,710
Texas Instruments Inc.	321,607		9,741,476
Xilinx Inc.⁽²⁾	70,620		1,599,543

			64,980,232

SOFTWARE – 3.55%
Adobe Systems Inc.⁽¹⁾	123,596		3,752,375
Autodesk Inc.⁽¹⁾	47,994		1,653,873
Automatic Data Processing Inc.	118,979		5,395,698
BMC Software Inc.⁽¹⁾	43,741		1,045,410
CA Inc.	93,686		1,925,247
Citrix Systems Inc.⁽¹⁾⁽²⁾	37,934		1,522,671
Compuware Corp.⁽¹⁾	77,757		520,972
Electronic Arts Inc.⁽¹⁾⁽²⁾	63,206		2,720,386
First Data Corp.	158,028		7,117,581
Fiserv Inc.⁽¹⁾	36,276		1,645,479
IMS Health Inc.	41,408		1,111,805
Intuit Inc.⁽¹⁾	35,273		2,130,136
Microsoft Corp.	1,810,834		42,192,432
Novell Inc.⁽¹⁾	70,054		464,458
Oracle Corp.⁽¹⁾⁽²⁾	803,846		11,647,729
Parametric Technology Corp.⁽¹⁾	22,648		287,856

			85,134,108

TELECOMMUNICATIONS – 6.05%
ADC Telecommunications Inc.⁽¹⁾	24,377		410,996
Alltel Corp.	80,323		5,127,017
Andrew Corp.⁽¹⁾	33,783		299,317
AT&T Inc.	802,516		22,382,171
Avaya Inc.⁽¹⁾⁽²⁾	84,884		969,375

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares		Value
TELECOMMUNICATIONS *(Continued)*
BellSouth Corp.		373,364	$	13,515,777
CenturyTel Inc.		24,202		899,104
CIENA Corp.⁽¹⁾⁽²⁾		118,783		571,346
Cisco Systems Inc.⁽¹⁾		1,260,061		24,608,991
Citizens Communications Co.⁽²⁾		67,636		882,650
Comverse Technology Inc.⁽¹⁾		41,291		816,323
Corning Inc.⁽¹⁾		321,513		7,777,399
Embarq Corp.⁽¹⁾		30,558		1,252,572
JDS Uniphase Corp.⁽¹⁾⁽²⁾		346,006		875,395
Juniper Networks Inc.⁽¹⁾⁽²⁾		117,506		1,878,921
Lucent Technologies Inc.⁽¹⁾⁽²⁾		928,277		2,246,430
Motorola Inc.		509,840		10,273,276
QUALCOMM Inc.		345,984		13,863,579
Qwest Communications International Inc.⁽¹⁾⁽²⁾		322,954		2,612,698
Sprint Nextel Corp.⁽²⁾		614,917		12,292,191
Tellabs Inc.⁽¹⁾		92,528		1,231,548
Verizon Communications Inc.		602,150		20,166,004

				144,953,080

TEXTILES – 0.05%
Cintas Corp.⁽²⁾		28,211		1,121,669

				1,121,669

TOYS, GAMES & HOBBIES – 0.08%
Hasbro Inc.		34,628		627,113
Mattel Inc.		80,845		1,334,751

				1,961,864

TRANSPORTATION – 1.89%
Burlington Northern Santa Fe Corp.		75,276		5,965,623
CSX Corp.		45,745		3,222,278
FedEx Corp.		62,983		7,360,193
Norfolk Southern Corp.		85,605		4,555,898
Ryder System Inc.		12,517		731,368
Union Pacific Corp.		55,520		5,161,139
United Parcel Service Inc. Class B⁽²⁾		223,888		18,432,699

				45,429,198

TOTAL COMMON STOCKS (Cost: $2,252,768,643)				2,372,896,016


	Principal
SHORT-TERM INVESTMENTS – 12.46%

CERTIFICATES OF DEPOSIT⁽³⁾– 0.33%
Credit Suisse First Boston NY
5.28%, 04/23/07	$	251,892		251,892
Fortis Bank NY
4.43%, 07/20/06		629,466		629,466
Societe Generale
5.33%, 12/08/06		2,519,019		2,519,019
Toronto-Dominion Bank
3.94%, 07/10/06		1,259,509		1,259,509
Washington Mutual Bank
5.28%, 08/07/06		1,259,509		1,259,509
Wells Fargo Bank N.A.
4.78%, 12/05/06		2,015,215		2,015,215

				7,934,610

COMMERCIAL PAPER⁽³⁾– 2.50%
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06⁽⁴⁾		7,032,546		6,993,033
ASAP Funding Ltd.
5.21%, 08/08/06⁽⁴⁾		1,209,129		1,202,829
Barton Capital Corp.
5.29%, 08/01/06⁽⁴⁾		2,407,905		2,397,644
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06⁽⁴⁾		957,227		954,972
CC USA Inc.
5.03%, 10/24/06⁽⁴⁾		503,804		495,849
Chariot Funding LLC
5.30%, 07/28/06⁽⁴⁾		1,897,703		1,890,718
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06⁽⁴⁾		5,525,845		5,524,279
Curzon Funding LLC
5.30%, 07/31/06⁽⁴⁾		2,519,019		2,508,635
Edison Asset Securitization LLC
5.22%, 12/11/06⁽⁴⁾		1,858,330		1,814,948
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06⁽⁴⁾		5,332,107		5,313,408
Five Finance Inc.
5.19%, 12/01/06⁽⁴⁾		1,133,558		1,108,882
General Electric Capital Services Inc.
5.22%, 12/11/06		251,902		246,021
Govco Inc.
5.22%, 08/03/06⁽⁴⁾		2,519,019		2,507,696
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06⁽⁴⁾		856,466		843,194
Jupiter Securitization Corp.
5.29%, 07/27/06⁽⁴⁾		629,755		627,534
Kitty Hawk Funding Corp.
5.24%, 07/20/06⁽⁴⁾		2,316,993		2,311,260
Landale Funding LLC
5.30%, 08/15/06⁽⁴⁾		2,770,920		2,753,379

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares or Principal		Value
COMMERCIAL PAPER *(Continued)*
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06⁽⁴⁾	$	3,900,196	$	3,870,526
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06⁽⁴⁾		2,544,209		2,536,743
Prudential Funding LLC
5.22%, 07/31/06		1,259,509		1,254,396
Ranger Funding Co. LLC
5.24%, 07/20/06⁽⁴⁾		2,519,019		2,512,785
Regency Markets No. 1 LLC
5.10%, 07/07/06⁽⁴⁾		2,951,509		2,949,836
Scaldis Capital LLC
5.30%, 07/25/06⁽⁴⁾		1,574,563		1,569,463
Sydney Capital Corp.
5.10%, 07/07/06⁽⁴⁾		2,755,554		2,753,993
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06⁽⁴⁾		3,078,971		3,071,352

				60,013,375

MEDIUM-TERM NOTES⁽³⁾– 0.29%
Bank of America N.A.
5.28%, 04/20/07		629,755		629,755
Dorada Finance Inc.
3.93%, 07/07/06⁽⁴⁾		780,896		780,895
K2 USA LLC
3.94%, 07/07/06⁽⁴⁾		1,511,411		1,511,410
Marshall & Ilsley Bank
5.18%, 12/15/06		2,519,019		2,522,937
Sigma Finance Inc.
5.13%, 03/30/07⁽⁴⁾		881,656		881,656
US Bank N.A.
2.85%, 11/15/06		503,804		500,375

				6,827,028

MONEY MARKET FUNDS – 0.87%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
5.20%⁽⁵⁾⁽⁶⁾		20,938,914		20,938,914

				20,938,914

REPURCHASE AGREEMENTS⁽³⁾– 2.02%
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $5,040,289 (collateralized by non-U.S. Government debt securities, value $5,196,340, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	5,038,037		5,038,037
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $3,780,220 (collateralized by non-U.S. Government debt securities, value $4,162,177, 2.12% to 6.47%, 11/25/34 to 12/25/42).		3,778,528		3,778,528
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $5,040,289 (collateralized by non-U.S. Government debt securities, value $5,174,768, 5.36% to 6.00%, 12/25/35 to 12/25/42).		5,038,037		5,038,037
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $6,300,360 (collateralized by non-U.S. Government debt securities, value $7,047,738, 0.00% to 10.00%, 6/1/28 to 12/15/35).		6,297,546		6,297,546
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $1,512,099 (collateralized by non-U.S. Government debt securities, value $1,710,980, 0.00% to 10.00%, 9/10/34 to 5/9/36).		1,511,411		1,511,411
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $2,520,145 (collateralized by non-U.S. Government debt securities, value $2,572,945, 5.22% to 5.42%, 7/3/06).		2,519,019		2,519,019
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $4,032,265 (collateralized by non-U.S. Government debt securities, value $4,237,791, 0.00% to 10.00%, 1/1/10 to 6/6/16).		4,030,430		4,030,430
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $2,520,145 (collateralized by non-U.S. Government debt securities, value $2,598,222, 6.38% to 8.49%, 1/7/09 to 2/23/36).		2,519,019		2,519,019
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $2,520,145 (collateralized by non-U.S. Government debt securities, value $2,598,255, 0.07% to 7.75%, 2/22/11 to 12/15/45).		2,519,019		2,519,019

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
REPURCHASE AGREEMENTS *(Continued)*
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $5,040,289 (collateralized by non-U.S. Government debt securities, value $5,297,295, 0.00% to 8.57%, 6/25/23 to 4/25/46).	$	5,038,037	$	5,038,037
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $2,520,145 (collateralized by non-U.S. Government debt securities, value $2,650,913, 3.79% to 7.22%, 5/15/07 to 3/15/42).		2,519,019		2,519,019
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $882,057 (collateralized by non-U.S. Government debt securities, value $933,323, 0.00% to 10.00%, 7/3/06 to 6/30/36).		881,656		881,656
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $1,854,804 (collateralized by non-U.S. Government debt securities, value $1,866,646, 0.00% to 10.00%, 7/3/06 to 6/30/36).⁽⁷⁾		1,763,313		1,763,313
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $5,040,297 (collateralized by non-U.S. Government debt securities, value $5,297,239, 0.00% to 10.00%, 1/1/10 to 5/6/16).		5,038,037		5,038,037

				48,491,108

TIME DEPOSITS⁽³⁾– 0.99%
ABN Amro Bank NV
5.30%, 07/03/06		2,519,019		2,519,019
KBC Bank NV
5.32%, 07/03/06		7,557,056		7,557,056
Societe Generale
5.32%, 07/03/06		6,297,546		6,297,546
UBS AG
5.25% - 5.34%, 07/03/06		7,262,557		7,262,557

				23,636,178

U.S. TREASURY OBLIGATIONS – 0.05%
U.S. Treasury Bill
4.73%, 09/21/06⁽⁸⁾⁽⁹⁾		1,300,000		1,286,181

				1,286,181

VARIABLE & FLOATING RATE NOTES⁽³⁾ – 5.41%
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07⁽⁴⁾		6,448,687		6,449,595
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		1,889,264		1,889,252
American Express Centurion Bank
5.34%, 07/19/07		2,770,920		2,774,230
American Express Credit Corp.
5.23%, 07/05/07		755,706		756,206
ASIF Global Financing
5.17%, 05/03/07⁽⁴⁾		251,902		252,020
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07⁽⁴⁾		1,637,362		1,637,362
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07⁽⁴⁾		4,282,331		4,282,304
BMW US Capital LLC
5.20%, 07/13/07⁽⁴⁾		2,519,019		2,519,019
BNP Paribas
5.14%, 05/18/07⁽⁴⁾		4,660,184		4,660,184
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07⁽⁴⁾		1,838,884		1,838,883
Commodore CDO Ltd.
5.38%, 06/12/07⁽⁴⁾		629,755		629,755
Credit Agricole SA
5.31%, 07/23/07		2,519,019		2,519,019
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07⁽⁴⁾		2,519,019		2,519,019
DEPFA Bank PLC
5.37%, 06/15/07		2,519,019		2,519,019
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07⁽⁴⁾		2,896,871		2,897,100
Eli Lilly Services Inc.
5.08%, 06/29/07⁽⁴⁾		2,519,019		2,519,019
Fifth Third Bancorp
5.28%, 06/22/07⁽⁴⁾		5,038,037		5,038,037
First Tennessee Bank N.A.
5.21%, 08/25/06		755,706		755,716
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07⁽⁴⁾		1,889,264		1,889,090
General Electric Capital Corp.
5.25%, 04/09/07		1,133,558		1,134,176
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		3,778,528		3,779,232
HBOS Treasury Services PLC
5.53%, 04/24/07⁽⁴⁾		2,519,019		2,519,019
JP Morgan Chase & Co.
5.12%, 07/02/07		1,889,264		1,889,264

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
VARIABLE & FLOATING RATE NOTES *(Continued)*
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07⁽⁴⁾	$	3,778,528	$	3,778,428
Leafs LLC
5.27%, 01/22/07 - 02/20/07⁽⁴⁾		2,632,422		2,632,422
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		3,148,773		3,147,750
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07⁽⁴⁾		2,770,920		2,770,680
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07⁽⁴⁾		1,224,218		1,224,218
Marshall & Ilsley Bank
5.18%, 07/13/07		1,385,460		1,385,460
Metropolitan Life Global Funding I
5.15%, 07/06/07⁽⁴⁾		3,778,528		3,778,528
Mortgage Interest Networking Trust
5.54%, 08/25/06⁽⁴⁾		317,396		317,503
Mound Financing PLC
5.11%, 05/08/07⁽⁴⁾		2,367,877		2,367,877
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07⁽⁴⁾		2,519,019		2,518,873
National City Bank of Indiana
5.17%, 05/21/07		1,259,509		1,259,603
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07⁽⁴⁾		6,801,350		6,801,542
Newcastle Ltd.
5.34%, 04/24/07⁽⁴⁾		887,954		887,742
Northern Rock PLC
5.17%, 05/03/07⁽⁴⁾		3,022,822		3,022,896
Principal Life Global Funding I
5.63%, 02/08/07		1,133,558		1,136,756
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07⁽⁴⁾		1,889,264		1,889,163
Sigma Finance Inc.
5.51%, 06/18/07⁽⁴⁾		2,065,595		2,065,595
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07⁽⁴⁾		2,519,019		2,519,019
Strips III LLC
5.37%, 07/24/06⁽⁴⁾		588,863		588,863
SunTrust Bank
5.08%, 05/01/07		2,519,019		2,519,147
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07⁽⁴⁾		4,760,945		4,760,438
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06⁽⁴⁾		3,526,626		3,526,626
US Bank N.A.
5.28%, 09/29/06		1,133,558		1,133,487
Wachovia Asset Securitization Inc.
5.31%, 07/25/06⁽⁴⁾		4,032,446		4,032,447
Wachovia Bank N.A.
5.36%, 05/22/07		5,038,037		5,038,037
Wells Fargo & Co.
5.19%, 07/13/07⁽⁴⁾		1,259,509		1,259,591
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07⁽⁴⁾		2,267,117		2,267,092
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07⁽⁴⁾		2,491,309		2,483,117
Wind Master Trust
5.32%, 08/25/06 - 09/25/06⁽⁴⁾		850,773		850,773

				129,630,193

TOTAL SHORT-TERM INVESTMENTS (Cost: $298,757,191)				298,757,587

TOTAL INVESTMENTS IN SECURITIES – 111.42% (Cost: $2,551,525,834)				2,671,653,603

Other Assets, Less Liabilities – (11.42)%				(273,881,567	)

NET ASSETS – 100.00%			$	2,397,772,036

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⁾

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

⁽⁵⁾

Affiliated issuer. See Note 2.

⁽⁶⁾

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

⁽⁷⁾

⁽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.

As of June 30, 2006, the open futures contracts held by the Master Portfolio were as follows:


*Futures Contracts (Expiration Date)*	Number of Contracts	Notional Contract Value		Net Unrealized Appreciation
S&P 500 Index (09/15/06)	382	$	24,436,540	$	262,160

				$	262,160

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

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

June 30, 2006

Bond Index Master Portfolio


*Sector*	*Value*		% of Net Assets
Mortgage-Backed Securities	$	76,348,911	39.00	%
Government		72,314,239	37.20
Financial		19,255,639	9.58
Communications		6,164,959	3.15
Consumer Non-Cyclical		3,760,518	1.91
Energy		3,140,834	1.60
Utilities		3,057,097	1.56
Asset-Backed Securities		2,971,518	1.52
Industrial		2,587,820	1.33
Consumer Cyclical		1,543,231	0.79
Basic Materials		1,422,125	0.74
Technology		386,614	0.20
Short-Term and Other Net Assets		2,783,007	1.42

TOTAL	$	195,736,512	100.00	%


Money Market Master Portfolio
*Asset Type*	*Value*		*% of* *Net Assets*
Variable & Floating Rate Notes	$	3,404,298,231	56.58	%
Repurchase Agreements		1,400,000,000	23.27
Commercial Paper		470,459,628	7.82
Time Deposits		336,199,000	5.59
Medium-Term Notes		200,073,525	3.33
Certificates of Deposit		184,983,164	3.07
Other Net Assets		20,414,297	0.34

TOTAL	$	6,016,427,845	100.00	%


S&P 500 Index Master Portfolio
*Sector/Investment Type*	*Value*		*% of* *Net Assets*
Financial	$	506,926,168	21.14	%
Consumer Non-Cyclical		489,446,882	20.41
Industrial		280,004,078	11.68
Communications		267,502,388	11.16
Energy		242,363,840	10.11
Technology		240,912,926	10.05
Consumer Cyclical		200,304,345	8.35
Utilities		79,846,806	3.33
Basic Materials		65,588,583	2.73
Futures Contracts		262,160	0.01
Short-Term and Other Net Assets		24,613,860	1.03

TOTAL	$	2,397,772,036	100.00	%

These tables are not part of the financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2006


	Bond Index Master Portfolio		Money Market Master Portfolio		S&P 500 Index Master Portfolio
ASSETS
Investments, at cost:
Unaffiliated issuers	$	233,539,436	$	5,996,013,548	$	2,530,586,920

Affiliated issuers^(a)	$	2,446,420	$	—	$	20,938,914

Investments in securities, at value (including securities on loan^(b)) (Note 1):
Unaffiliated issuers	$	221,290,339	$	4,596,013,548	$	2,602,223,581
Affiliated issuers^(a)		2,446,420		—		20,938,914
Repurchase agreements, at value (Note 1)		6,025,594		1,400,000,000		48,491,108
Cash		—		269		—
Receivables:
Investment securities sold		4,711,391		—		—
Dividends and interest		2,045,357		20,762,256		2,816,181

Total Assets		236,519,101		6,016,776,073		2,674,469,784

LIABILITIES
Payables:
Investment securities purchased		6,403,589		—		—
Due to broker—variation margin		—		—		65,107
Collateral for securities on loan (Note 4)		34,362,428		—		276,532,492
Investment advisory fees (Note 2)		9,246		342,099		92,442
Accrued expenses		7,326		6,129		7,707

Total Liabilities		40,782,589		348,228		276,697,748

NET ASSETS	$	195,736,512	$	6,016,427,845	$	2,397,772,036

^(a)

See Note2.

^(b)

Securities on loan with market values of $33,634,845, $ — and $269,381,807, respectively. See Note 4.

STATEMENTS OF OPERATIONS (Unaudited)

For the Six Months Ended June 30, 2006


	Bond Index Master Portfolio			Money Market Master Portfolio			S&P 500 Index Master Portfolio
NET INVESTMENT INCOME
Dividends from unaffiliated issuers	$	—		$	—		$	22,947,028
Interest from unaffiliated issuers		4,999,457			155,855,189			44,461
Interest from affiliated issuers^(a)		56,136			—			596,889
Securities lending income		23,234			—			116,716

Total investment income		5,078,827			155,855,189			23,705,094

EXPENSES (Note 2)
Investment advisory fees		80,390			3,270,958			611,184
Professional fees		7,442			8,967			8,784
Independent trustees’ fees		183			7,015			2,562

Total expenses		88,015			3,286,940			622,530
Less expense reductions (Note 2)		(7,625	)		(553,663	)		(11,346	)

Net expenses		80,390			2,733,277			611,184

Net investment income		4,998,437			153,121,912			23,093,910

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized loss from sale of investments in unaffiliated issuers		(487,488	)		(229	)		(27,174,234	)
Net realized loss on futures contracts		—			—			(743,649	)
Net change in unrealized appreciation (depreciation) of investments		(5,995,001	)		—			67,946,009
Net change in unrealized appreciation (depreciation) of futures contracts		—			—			639,437

Net realized and unrealized gain (loss)		(6,482,489	)		(229	)		40,667,563

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(1,484,052	)	$	153,121,683		$	63,761,473

^(a)

See Note 2.

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

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 six months ended June 30, 2006 (Unaudited)			*For the* year ended December 31, 2005			*For the six* months ended June 30, 2006 (Unaudited)			*For the* year ended December 31, 2005			*For the six* months ended June 30, 2006 (Unaudited)			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	4,998,437		$	9,555,414		$	153,121,912		$	237,180,094		$	23,093,910		$	43,812,074
Net realized gain (loss)		(487,488	)		(299,993	)		(229	)		35,169			(27,917,883	)		7,404,269
Net change in unrealized appreciation (depreciation)		(5,995,001	)		(4,384,176	)		—			—			68,585,446			61,163,102

Net increase (decrease) in net assets resulting from operations		(1,484,052	)		4,871,245			153,121,683			237,215,263			63,761,473			112,379,445

Interestholder transactions:
Contributions		14,121,866			46,465,907			19,351,704,461			58,641,619,347			370,017,752			749,027,738
Withdrawals		(20,545,948	)		(64,378,783	)		(19,790,981,299	)		(58,107,077,434	)		(444,532,839	)		(859,684,082	)

Net increase (decrease) in net assets resulting from interestholder transactions		(6,424,082	)		(17,912,876	)		(439,276,838	)		534,541,913			(74,515,087	)		(110,656,344	)

Increase (decrease) in net assets		(7,908,134	)		(13,041,631	)		(286,155,155	)		771,757,176			(10,753,614	)		1,723,101
NET ASSETS:
Beginning of period		203,644,646			216,686,277			6,302,583,000			5,530,825,824			2,408,525,650			2,406,802,549

End of period	$	195,736,512		$	203,644,646		$	6,016,427,845		$	6,302,583,000		$	2,397,772,036		$	2,408,525,650

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

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited)

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end series management investment company organized as a Delaware statutory trust. As of June 30, 2006, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

These financial statements relate only to the Bond Index, 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.

1. SIGNIFICANT ACCOUNTING POLICIES

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

SECURITY VALUATION

The securities and other assets of the 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 INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)

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 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 June 30, 2006, 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	$	233,702,492	$	3,927,148	$	(7,867,287	)	$	(3,940,139	)
S&P 500 Index		607,943,725		392,085,072		(328,375,194	)		63,709,878

As of June 30, 2006, the Money Market Master Portfolio’s cost of investments for federal income tax purposes was the same as for financial reporting 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 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.

As of June 30, 2006, the S&P 500 Index Master Portfolio has pledged to brokers U.S. Treasury Bills with a total face amount of $1,300,000 for initial margin requirements on outstanding futures contracts.

WHEN ISSUED/TBA TRANSACTIONS

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

REPURCHASE AGREEMENTS

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)

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 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. Beginning May 1, 2006, BGFA has contractually agreed to waive a portion of its advisory fees through April 30, 2007 for the Money Market Master Portfolio. After giving effect to such contractual waiver, the advisory fees for the Money Market Master Portfolio will be 0.07%. From time to time, BGFA may waive an additional portion of its advisory fees. Any such waivers will reduce the expenses of a Master Portfolio and, accordingly, have a favorable impact on its performance.

The fees and expenses of the independent trustees, counsel to the independent trustees and independent auditors (the “independent expenses”) are paid directly by the Master Portfolios. For those Master Portfolios that do not pay an administration fee to Barclays Global Investors, N.A. (“BGI”), BGFA has voluntarily agreed to cap the expenses of the Master Portfolios at the rate at which those Master Portfolios pay an advisory fee to BGFA by providing an offsetting credit against the investment advisory fees paid by the Master Portfolios in an amount equal to the independent expenses.

For the six months ended June 30, 2006, BGFA waived and/or credited investment advisory fees in the amounts of $7,625, $553,663, and $11,346 for the Bond Index, Money Market, and S&P 500 Index Master Portfolios, respectively.

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

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

Pursuant to an exemptive order issued by the 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 six months ended June 30, 2006, BGI earned securities lending agent fees as follows:


*Master Portfolio*	Securities Lending Agent Fees
Bond Index	$	23,234
S&P 500 Index		116,716

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.

The S&P 500 Index Master Portfolio executed cross trades for the six months ended June 30, 2006, pursuant to Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter, for compliance with the requirements and restrictions set forth by Rule 17a-7.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)

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


*Master Portfolio and* *Name of Affiliated Issuer*	Number of Shares Held Beginning of Period (in 000s)	Gross Additions (in 000s)	Gross Reductions (in 000s)	Number of Shares Held End of Period *(in 000s)*	Value at End of Period		*Interest* *Income*
Bond Index
IMMF	1,875	305,545	304,974	2,446	$	2,446,420	$	56,136
S&P 500 Index
IMMF	19,125	3,251,804	3,249,990	20,939		20,938,914		596,889

Certain officers and trustees of MIP are also officers of BGI and/or BGFA. As of June 30, 2006, these officers of BGI and/or BGFA collectively owned less than 1% of MIP’s outstanding beneficial interests.

3. INVESTMENT PORTFOLIO TRANSACTIONS

Investment transactions (excluding short-term investments) for the Master Portfolios for the six months ended June 30, 2006 were as follows:


	*U.S. Government Obligations*				*Other Securities*
*Master Portfolio*	*Purchases*		*Sales*		*Purchases*		*Sales*
Bond Index	$	33,760,636	$	36,223,803	$	9,373,332	$	8,052,420
S&P 500 Index		—		—		64,309,527		119,470,637

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% of the market value of the loaned securities plus the interest accrued, if any, 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 June 30, 2006, 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 or non-U.S. Government debt securities. Income from the joint account is allocated daily to each Master Portfolio, based on each Master Portfolio’s portion of the total cash collateral received. The market value of the securities on loan as of June 30, 2006 and the value of the related collateral are disclosed in the Master Portfolios’ Statements of Assets and Liabilities. Securities lending income, which is disclosed in the Master Portfolios’ Statements of Operations, is presented net of rebates paid to, or fees paid by, borrowers.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)

5. FINANCIAL HIGHLIGHTS

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


*Master Portfolio*	Six Months Ended June 30, 2006 (Unaudited)		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^(a)	0.08	%	0.08	%	0.08	%	0.08	%	0.08	%	0.08	%
Ratio of expenses to average net assets prior to expense reductions^(a)	0.09	%	n/a		n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets^(a)	4.97	%	4.56	%	4.17	%	4.24	%	5.27	%	5.98	%^(d)
Portfolio turnover rate^(b)	22	%	76	%	148	%	67	%	118	%	53	%
Total return	(0.70	)%^(c)	2.27	%	4.20	%	4.07	%	10.05	%	8.94	%
Money Market
Ratio of expenses to average net assets^(a)	0.08	%	0.05	%	0.05	%	0.10	%	0.10	%	0.10	%
Ratio of expenses to average net assets prior to expense reductions^(a)	0.10	%	0.10	%	0.10	%	n/a		n/a		n/a
Ratio of net investment income to average net assets^(a)	4.68	%	3.27	%	1.40	%	1.15	%	1.80	%	3.66	%
Total return	2.36	%^(c)	3.28	%	1.39	%	1.16	%	1.84	%	4.23	%
S&P 500 Index
Ratio of expenses to average net assets^(a)	0.05	%	0.05	%	0.05	%	0.05	%	0.05	%	0.05	%
Ratio of expenses to average net assets prior to expense reductions^(a)	0.05	%	n/a		n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets^(a)	1.89	%	1.84	%	1.91	%	1.74	%	1.57	%	1.31	%
Portfolio turnover rate^(b)	3	%	10	%	14	%	8	%	12	%	9	%
Total return	2.71	%^(c)	4.87	%	10.82	%	28.52	%	(22.05	)%	(11.96	)%

^(a)

Annualized for periods of less than one year.

^(b)

Portfolio turnover rates include in-kind transactions, if any.

^(c)

Not annualized.

^(d)

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%.

MASTER INVESTMENT PORTFOLIO

BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Unaudited)

I. BOND INDEX MASTER PORTFOLIO AND S&P 500 INDEX MASTER PORTFOLIO

Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Master Investment Portfolio (“MIP”) Board of Trustees (the “Board”), including a majority of Trustees who are not interested persons of MIP, as that term is defined in the 1940 Act (the “Independent Trustees”), is required annually to consider each Investment Advisory Contract between MIP and BGFA (each, an “Advisory Contract”) on behalf of Bond Index Master Portfolio and S&P 500 Index Master Portfolio (together, the “Master Portfolios”). As required by Section 15(c), the Board requested and BGFA provided such information as the Board deemed to be reasonably necessary to evaluate the terms of the Advisory Contracts. At a meeting held on March 15, 2006, the Board approved the selection of BGFA and the continuance of the Advisory Contracts, based on its review of qualitative and quantitative information provided by BGFA. In selecting BGFA and approving the Advisory Contracts for the Master Portfolios, the Board, including the Independent Trustees, advised by their independent counsel, considered the following factors, none of which was controlling, and made the following conclusions:

NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY BGFA

The Board determined that there would be no diminution in the scope of services required of BGFA under the Advisory Contracts for the coming year as compared to the scope of services provided by BGFA over the past year. In reviewing the scope of these services, the Board considered BGFA’s investment philosophy and experience, noting that BGFA and its affiliates have committed significant resources over time, including over the past year, to the support of advised accounts, including the Master Portfolios. The Board considered in particular that BGFA’s services for the Master Portfolios capitalize on BGFA’s core competencies as an industry leader in index management, including the effective use of its proprietary investment model that maximizes efficiencies in implementing index changes and in maintaining fully invested portfolios. The Board also considered services provided by BGFA and its affiliates in connection with analyzing corporate actions (for the S&P 500 Index Master Portfolio), managing risk and diversification (for the Bond Index Master Portfolio), employing customized trading strategies, reviewing securities lending opportunities and the oversight of intermediaries that provide BGI feeder fund shareholder support and processing functions.

The Board also considered BGFA’s compliance program and its compliance record with respect to the Master Portfolios. The Board noted that BGFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board and has made appropriate officers available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Master Portfolios. In addition to the above considerations, the Board reviewed and considered BGFA’s investment processes and strategies, and matters related to BGFA’s portfolio transaction policies and procedures. In addition, the Board reviewed the performance of (i) other registered investment companies with substantially similar investment objectives and strategies as the Master Portfolios for which BGFA provides investment advisory services, and (ii) the Master Portfolios’ published performance benchmarks, the S&P 500 Index or the Lehman Brothers U.S. Aggregate Bond Index, as applicable. The Board noted that the Master Portfolios underperformed their published benchmarks on an annualized basis over five years, three years and in 2005 and that they outperformed the similar investment companies, including iShares funds, for all periods shown. The Board also noted that during BGFA’s term as investment adviser, the Master Portfolios have met their investment objectives consistently over time. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by BGFA to the Master Portfolios under the Advisory Contracts were appropriate and mitigated in favor of the Board’s approval of the Advisory Contracts for the coming year.

MASTER PORTFOLIOS’ EXPENSES AND PERFORMANCE OF THE MASTER PORTFOLIOS

The Board reviewed statistical information prepared by Lipper Inc. (“Lipper”), an independent provider of investment company data, regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of each Master Portfolio in comparison with the same information for other registered funds, objectively selected solely by Lipper, as comprising each Master Portfolio’s applicable peer group (the “Lipper Expense Group”). In addition, the Board reviewed statistical information prepared by Lipper regarding the performance of each Master Portfolio for the one-, three-, five-, and 10-year periods (or since inception) ended December 31, 2005, as applicable, as compared to the performance of other registered funds with similar investment objectives, as selected solely by Lipper (the “Lipper Performance Group”, and together with the Lipper Expense Group, the “Lipper Groups”). The Board considered that the component funds of the Lipper Groups are publicly available funds, more analogous in overall expense structure to the Barclays Global Investors Funds Index Funds than to underlying Master Portfolios,

MASTER INVESTMENT PORTFOLIO

BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Unaudited) (Continued)

which are not available for investment except to other investment companies. In support of its review of the statistical information, the Board was provided with a detailed description of the methodology used by Lipper to determine the applicable Lipper Groups and to prepare this information.

The Board noted that the S&P 500 Index Master Portfolio performed on par with or slightly better than, and the Bond Index Master Portfolio outperformed, the median performance of the funds in their respective Lipper Performance Groups over relevant periods. The Board noted that the advisory fee for the S&P 500 Index Master Portfolio was generally lower than, and the advisory fee for the Bond Index Master Portfolio was generally higher than, the advisory fee rates of the funds in their respective Lipper Expense Groups, but the overall expenses for both the Master Portfolios were generally lower than the overall expenses of the funds in their respective Lipper Expense Groups. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Master Portfolios, as managed by BGFA, as compared to the investment advisory fees and expense levels and performance of the funds in the Lipper Groups, were satisfactory for the purposes of approving the Advisory Contracts for the coming year.

COSTS OF SERVICES PROVIDED TO MASTER PORTFOLIOS AND PROFITS REALIZED BY BGFA AND AFFILIATES

The Board reviewed information about the profitability to BGFA of the Master Portfolios, MIP, and the Barclays Global Investors Funds, separately and together, based on the fees payable to BGFA and its affiliates (including fees under the Advisory Contracts), and all other sources of revenue and expense to BGFA and its affiliates for the last calendar year. The Board discussed the sources of direct and ancillary revenue with management, including the revenues to BGI from securities lending by MIP (including any securities lending by a Master Portfolio), revenues received from transactions for MIP executed through affiliates (including any such transactions for a Master Portfolio), and any fee revenue from any investments by a Master Portfolio in other master portfolios and BGFA-advised funds. The Board also discussed the estimated profitability of other mutual fund families advised by BGFA.

ECONOMIES OF SCALE

In connection with its review of BGFA’s profitability analysis, the Board received information regarding economies of scale or other efficiencies that may result from increases in the Master Portfolios’ asset levels. The Board noted that the Advisory Contracts do not provide any breakpoints in the investment advisory fee rates as a result of any increases in the asset levels of the Master Portfolios. However, the Board noted that the investment advisory fee rates for the Master Portfolios had been set initially at the lower end of the marketplace so as to afford the Master Portfolios’ interestholders the opportunity to share in anticipated economies of scale from inception. The Board also noted the difficulty of considering the potential for economies of scale based on advisory services independently and separately from any potential for economies of scale based on other services provided by BGFA and its affiliates. Based on the profitability analysis presented to the Board, which indicated that with respect to each Master Portfolio, BGFA and its affiliates are generally providing services at a loss, with the overall MIP complex posting a slight profit to BGFA and its affiliates for the year, the Board discussed the potential for future economies of scale as the asset levels of the Master Portfolios increase. In light of this analysis and the relatively low investment advisory fee rates for the Master Portfolios, the Board determined that whether further economies of scale may be realized by the Master Portfolios or reflected in fee levels was not a significant factor at this juncture in its consideration of whether to approve the Advisory Contracts.

FEES AND SERVICES PROVIDED FOR OTHER COMPARABLE FUNDS/ACCOUNTS MANAGED BY BGFA AND ITS AFFILIATES

The Board considered the Master Portfolios’ annual investment advisory fee rates under the Advisory Contracts in comparison to the investment advisory/management fee rates for other funds/accounts with substantially similar investment objectives and strategies for which BGFA (or its affiliate BGI) provides investment advisory/management services, including other funds registered under the 1940 Act, collective funds and separate accounts (together, the “Other Accounts”). The Board noted that BGFA had provided information distinguishing the level of services provided to the Other Accounts from the level of services provided to the Master Portfolios. In the context of the comparative fee analysis, the Board compared the nature and extent of services provided to the Master Portfolios in comparison with the nature and extent of services provided to the Other Accounts, including, among other things, the level of complexity in managing the Master Portfolios and the Other Accounts under differing regulatory requirements and client guidelines.

MASTER INVESTMENT PORTFOLIO

BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Unaudited) (Continued)

The Board noted that the investment advisory fee rate under the Advisory Contract for the Bond Index Master Portfolio was lower than the investment advisory fee rates for other funds registered under the 1940 Act, within the ranges of the investment management fee rates for separate accounts and higher than the investment management fee rates for the collective funds. The Board noted that the investment advisory fee rate under the Advisory Contract for the S&P 500 Index Master Portfolio was generally within the ranges of the investment advisory/management fee rates for the other funds registered under the 1940 Act and collective funds and higher than the investment management fee rates for the separate accounts. The Board further noted that any differences between the investment advisory fee rates for the Master Portfolios and the investment advisory/management fee rates for the Other Accounts appeared to be attributable to, among other things, the type and level of services provided and/or the asset levels of the Other Accounts. Based on this review, the Board determined that the investment advisory fee rates under the Advisory Contracts do not constitute fees that are so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded that the investment advisory fee rates under the Advisory Contracts are fair and reasonable.

OTHER BENEFITS TO BGFA AND/OR ITS AFFILIATES

The Board reviewed any ancillary revenue received by BGFA and/or its affiliates in connection with the services provided to MIP and the Master Portfolios by BGFA, such as any payment of revenue to BGI, MIP’s securities lending agent, for loaning any portfolio securities, payment of administration fees to BGI, MIP’s administrator, and payment of advisory fees and/or administration fees to BGFA and BGI in connection with any investments by the Master Portfolios in other funds for which BGFA provides investment advisory services and/or BGI provides administration services, as well as the associated voluntary waivers by BGFA and/or its affiliates of these fees, if any. The Board noted that BGFA does not use soft dollars or consider the value of research or other services that may be provided to BGFA (including its affiliates) in selecting brokers for portfolio transactions for the Master Portfolios. The Board further noted that any portfolio transactions placed through a BGFA affiliate are reported to the Board pursuant to Rule 17e-1 under the 1940 Act. The Board concluded that any ancillary benefits would not be disadvantageous to the Master Portfolios’ interestholders.

Based on this analysis, the Board determined that the Advisory Contracts, including the investment advisory fee rates thereunder, are fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Master Portfolios and their interestholders to approve the Advisory Contracts for the coming year.

II. MONEY MARKET MASTER PORTFOLIO

Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Master Investment Portfolio (“MIP”) Board of Trustees (the “Board”), including a majority of Trustees who are not interested persons of MIP, as that term is defined in the 1940 Act (the “Independent Trustees”), is required annually to consider each Investment Advisory Contract between MIP and BGFA (each, an “Advisory Contract”) on behalf of the Money Market Master Portfolio (the “Master Portfolio”). As required by Section 15(c), the Board requested and BGFA provided such information as the Board deemed to be reasonably necessary to evaluate the terms of the Advisory Contract. At a meeting held on March 15, 2006, the Board approved the selection of BGFA and the continuance of the Advisory Contract, based on its review of qualitative and quantitative information provided by BGFA. In selecting BGFA and approving the Advisory Contract for the Master Portfolio, the Board, including the Independent Trustees, advised by their independent counsel, considered the following factors, none of which was controlling, and made the following conclusions:

NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY BGFA

The Board determined that there would be no diminution in the scope of services required of BGFA under the Advisory Contract for the coming year as compared to the scope of services provided by BGFA over the past year. In reviewing the scope of these services, the Board considered BGFA’s investment philosophy and experience, noting that BGFA and its affiliates have committed significant resources over time, including over the past year, to the support of advised accounts, including the Master Portfolio. The Board considered in particular that BGFA’s services for the Master Portfolio capitalize on BGFA’s core competencies, including the effective use of integrated portfolio management and trading expertise and proprietary technology that provides real-time access to performance, analytics and risk. The Board also considered services provided by BGFA and its affiliates in connection with the review of counterparty and issuer credit risk and the oversight of intermediaries that provide BGI feeder fund shareholder support and processing functions.

MASTER INVESTMENT PORTFOLIO

BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Unaudited) (Continued)

The Board also considered BGFA’s compliance program and its compliance record with respect to the Master Portfolio. The Board noted that BGFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board and has made appropriate officers available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Master Portfolio. In addition to the above considerations, the Board reviewed and considered BGFA’s investment processes and strategies, and matters related to BGFA’s portfolio transaction policies and procedures. In addition, the Board reviewed the investment performance of other registered investment companies with substantially similar investment objectives and strategies as the Master Portfolio. The Board also noted that during BGFA’s term as investment adviser, the Master Portfolio has met its investment objectives. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by BGFA to the Master Portfolio under the Advisory Contract were appropriate and mitigated in favor of the Board’s approval of the Advisory Contract for the coming year.

MASTER PORTFOLIO’S EXPENSES AND PERFORMANCE OF THE MASTER PORTFOLIO

The Board reviewed statistical information prepared by Lipper Inc. (“Lipper”), an independent provider of investment company data, regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of the Master Portfolio in comparison with the same information for other funds registered under the 1940 Act, objectively selected solely by Lipper, as comprising the Master Portfolio’s applicable peer group (the “Lipper Expense Group”). In addition, the Board reviewed statistical information prepared by Lipper regarding the performance of the Master Portfolio for the one-, three-, five-, and 10-year (or since inception) periods ended December 31, 2005, as applicable, and as compared to the performance of other registered funds with similar investment objectives, as selected solely by Lipper (the “Lipper Performance Group”, and together with the Lipper Expense Group, the “Lipper Groups”). The Board considered that the component funds of the Lipper Groups are publicly available funds, more analogous in overall expense structure to the Barclays Global Investors Funds Money Market Funds than to underlying Master Portfolios, which are not available for investment except to other investment companies. In support of its review of the statistical information, the Board was provided with a detailed description of the methodology used by Lipper to determine the applicable Lipper Groups and to prepare this information.

The Board noted that the Master Portfolio outperformed the median performance of the funds in its Lipper Performance Group over relevant periods. The Board noted that the advisory fees and overall expenses for the Master Portfolio were generally lower than the advisory fee rates and overall expenses of the funds in its Lipper Expense Group, both net and gross of BGFA’s voluntary waiver of certain advisory and administration fee amounts for the Master Portfolio during the year ended December 31, 2005 and BGFA’s agreement to contractually waive a portion of its advisory fee for the Master Portfolio, from May 1, 2006 through April 30, 2007. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Master Portfolio, as managed by BGFA, as compared to the investment advisory fees and expense levels and performance of the funds in the Lipper Groups, were satisfactory for the purposes of approving the Advisory Contract for the coming year.

COSTS OF SERVICES PROVIDED TO MASTER PORTFOLIO AND PROFITS REALIZED BY BGFA AND AFFILIATES

The Board reviewed information about the profitability to BGFA of the Master Portfolio, MIP, and the Barclays Global Investors Funds, separately and together, based on the fees payable to BGFA and its affiliates (including fees under the Advisory Contract), and all other sources of revenue and expense to BGFA and its affiliates for the last calendar year. The Board analyzed the Master Portfolio’s expenses, including the investment advisory fees paid to BGFA. The Board discussed the sources of direct and ancillary revenue with management, including the revenues to BGI from securities lending by MIP (including any securities lending by the Master Portfolio), revenues received from transactions for MIP executed through affiliates (including any such transactions for the Master Portfolio), and any fee revenue from any investments by the Master Portfolio in other master portfolios and BGFA-advised funds. The Board also discussed BGFA’s contractual and voluntary fee waivers for the Master Portfolio and the estimated profitability of other mutual fund families advised by BGFA.

ECONOMIES OF SCALE

MASTER INVESTMENT PORTFOLIO

BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Unaudited) (Continued)

the asset levels of the Master Portfolio. However, the Board noted that the investment advisory fee rate for the Master Portfolio had been set initially at the lower end of the marketplace so as to afford the Master Portfolio’s interestholders the opportunity to share in anticipated economies of scale from inception and noted BGFA’s agreement to contractually waive a portion of its advisory fee for the Master Portfolio, as discussed above. The Board also noted the difficulty of considering the potential for economies of scale based on advisory services independently and separately from any potential for economies of scale based on other services provided by BGFA and its affiliates. The profitability analysis presented to the Board indicated that BGFA and its affiliates are profitable with respect to the Master Portfolio with the overall MIP complex posting a slight profit to BGFA and its affiliates for the year. The Board discussed the potential for future economies of scale as the asset levels of the Master Portfolio increase. In light of this analysis and the relatively low investment advisory fee rate for the Master Portfolio, the Board determined that whether further economies of scale may be realized by the Master Portfolio or reflected in fee levels was not a significant factor at this juncture in its consideration of whether to approve the Advisory Contract.

FEES AND SERVICES PROVIDED FOR OTHER COMPARABLE FUNDS/ACCOUNTS MANAGED BY BGFA AND ITS AFFILIATES

The Board considered the Master Portfolio’s annual investment advisory fee rate under the Advisory Contract in comparison to the investment advisory/management fee rates for collective funds with substantially similar investment objectives and strategies for which BGFA (or its affiliate BGI) provides investment advisory/management services. BGFA and its affiliates do not provide investment advisory/management services to separate accounts with substantially similar investment objectives and strategies as the Master Portfolio. The Board noted that BGFA had provided information distinguishing the level of services provided to the collective funds from the level of services provided to the Master Portfolio. In the context of the comparative fee analysis, the Board compared the nature and extent of services provided to the Master Portfolio in comparison with the nature and extent of services provided to the collective funds, including, among other things, the level of complexity in managing the Master Portfolio and the collective funds under differing regulatory requirements and client guidelines.

The Board noted that the investment advisory fee rate under the Master Portfolio’s Advisory Contract was within the range of the investment management fee rates for the collective funds. The Board noted that any differences between the advisory fee rate for the Master Portfolio and the investment management fee rates for the collective funds appeared to be attributable to, among other things, the type and level of services provided and/or the asset levels of the collective funds. Based on this review, the Board determined that the investment advisory fee rate under the Advisory Contract does not constitute fees that are so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded that the investment advisory fee rate under the Advisory Contract is fair and reasonable.

OTHER BENEFITS TO BGFA AND/OR ITS AFFILIATES

The Board reviewed any ancillary revenue received by BGFA and/or its affiliates in connection with the services provided to MIP and the Master Portfolio by BGFA, such as payment of administration fees to BGI, MIP’s administrator. The Board noted that BGFA does not use soft dollars or consider the value of research or other services that may be provided to BGFA (including its affiliates) in selecting brokers for portfolio transactions for the Master Portfolio. The Board further noted that the Master Portfolio may, but generally does not, participate in securities lending activities and generally does not execute transactions with affiliated brokers, as other series of MIP do. The Board concluded that any ancillary benefits would not be disadvantageous to the Master Portfolio’s interestholders.

Based on this analysis, the Board determined that the Advisory Contract, including the investment advisory fee rate thereunder, is fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Master Portfolio and its interestholders to approve the Advisory Contract for the coming year.

LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments (Unaudited)

June 30, 2006


Security	Shares or Principal		Value
MASTER PORTFOLIOS – 70.61%
Active Stock Master Portfolio⁽¹⁾			$	49,222,075
CoreAlpha Bond Master Portfolio⁽¹⁾				128,354,847

TOTAL MASTER PORTFOLIOS				177,576,922

EXCHANGE-TRADED FUNDS – 28.29%
iShares Cohen & Steers Realty Majors Index Fund⁽¹⁾⁽²⁾		79,147		6,627,770
iShares Lehman TIPS Bond Fund⁽¹⁾		259,889		25,877,148
iShares MSCI EAFE Index Fund⁽¹⁾⁽²⁾		397,513		25,993,375
iShares S&P MidCap 400 Index Fund⁽¹⁾⁽²⁾		113,487		8,670,407
iShares S&P SmallCap 600 Index Fund⁽¹⁾		63,873		3,966,513

TOTAL EXCHANGE-TRADED FUNDS (Cost: $64,278,564)				71,135,213

SHORT-TERM INVESTMENTS – 9.43%
CERTIFICATES OF DEPOSIT⁽³⁾– 0.25%
Credit Suisse First Boston NY
5.28%, 04/23/07	$	19,795		19,795
Fortis Bank NY
4.43%, 07/20/06		49,465		49,465
Societe Generale
5.33%, 12/08/06		197,952		197,952
Toronto-Dominion Bank
3.94%, 07/10/06		98,976		98,976
Washington Mutual Bank
5.28%, 08/07/06		98,976		98,976
Wells Fargo Bank N.A.
4.78%, 12/05/06		158,361		158,361

				623,525

COMMERCIAL PAPER⁽³⁾– 1.88%
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06⁽⁴⁾		552,637		549,528
ASAP Funding Ltd.
5.21%, 08/08/06⁽⁴⁾		95,017		94,522
Barton Capital Corp.
5.29%, 08/01/06⁽⁴⁾		189,220		188,414
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06⁽⁴⁾		75,222		75,044
CC USA Inc.
5.03%, 10/24/06⁽⁴⁾		39,590		38,965
Chariot Funding LLC
5.30%, 07/28/06⁽⁴⁾		149,127		148,578
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06⁽⁴⁾		434,237		434,114
Curzon Funding LLC
5.30%, 07/31/06⁽⁴⁾		197,952		197,136
Edison Asset Securitization LLC
5.22%, 12/11/06⁽⁴⁾		146,033		142,624
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06⁽⁴⁾		419,012		417,543
Five Finance Inc.
5.19%, 12/01/06⁽⁴⁾		89,078		87,139
General Electric Capital Services Inc.
5.22%, 12/11/06		19,795		19,333
Govco Inc.
5.22%, 08/03/06⁽⁴⁾		197,952		197,062
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06⁽⁴⁾		67,304		66,261
Jupiter Securitization Corp.
5.29%, 07/27/06⁽⁴⁾		49,488		49,313
Kitty Hawk Funding Corp.
5.24%, 07/20/06⁽⁴⁾		182,076		181,625
Landale Funding LLC
5.30%, 08/15/06⁽⁴⁾		217,747		216,368
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06⁽⁴⁾		306,489		304,157
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06⁽⁴⁾		199,931		199,345
Prudential Funding LLC
5.22%, 07/31/06		98,976		98,574
Ranger Funding Co. LLC
5.24%, 07/20/06⁽⁴⁾		197,952		197,462
Regency Markets No. 1 LLC
5.10%, 07/07/06⁽⁴⁾		231,938		231,807
Scaldis Capital LLC
5.30%, 07/25/06⁽⁴⁾		123,734		123,333
Sydney Capital Corp.
5.10%, 07/07/06⁽⁴⁾		216,539		216,417
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06⁽⁴⁾		241,954		241,356

				4,716,020

MEDIUM-TERM NOTES⁽³⁾– 0.21%
Bank of America N.A.
5.28%, 04/20/07		49,488		49,488
Dorada Finance Inc.
3.93%, 07/07/06⁽⁴⁾		61,365		61,365
K2 USA LLC
3.94%, 07/07/06⁽⁴⁾		118,771		118,771
Marshall & Ilsley Bank
5.18%, 12/15/06		197,952		198,260
Sigma Finance Inc.
5.13%, 03/30/07⁽⁴⁾		69,283		69,283
US Bank N.A.
2.85%, 11/15/06		39,590		39,321

				536,488

LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares or Principal		Value
MONEY MARKET FUNDS – 0.79%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
5.20%⁽¹⁾⁽⁵⁾		1,993,003	$	1,993,003

				1,993,003

REPURCHASE AGREEMENTS⁽³⁾– 1.51%
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $396,080 (collateralized by non-U.S. Government debt securities, value $408,343, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	395,903		395,903
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $297,060 (collateralized by non-U.S. Government debt securities, value $327,076, 2.12% to 6.47%, 11/25/34 to 12/25/42).		296,927		296,927
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $396,080 (collateralized by non-U.S. Government debt securities, value $406,648, 5.36% to 6.00%, 12/25/35 to 12/25/42).		395,903		395,903
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $495,100 (collateralized by non-U.S. Government debt securities, value $553,831, 0.00% to 10.00%, 6/1/28 to 12/15/35).		494,879		494,879
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $118,825 (collateralized by non-U.S. Government debt securities, value $134,454, 0.00% to 10.00%, 9/10/34 to 5/09/36).		118,771		118,771
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $198,040 (collateralized by non-U.S. Government debt securities, value $202,189, 5.22% to 5.42%, 7/3/06).		197,952		197,952
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $316,867 (collateralized by non-U.S. Government debt securities, value $333,018, 0.00% to 10.00%, 1/1/10 to 6/6/16).		316,723		316,723
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $198,040 (collateralized by non-U.S. Government debt securities, value $204,176, 6.38% to 8.49%, 1/7/09 to 2/23/36).		197,952		197,952
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $198,040 (collateralized by non-U.S. Government debt securities, value $204,178, 0.07% to 7.75%, 2/22/11 to 12/15/45).		197,952		197,952
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $396,080 (collateralized by non-U.S. Government debt securities, value $416,277, 0.00% to 8.57%, 6/25/23 to 4/25/46).		395,903		395,903
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $198,040 (collateralized by non-U.S. Government debt securities, value $208,316, 3.79% to 7.22%, 5/15/07 to 3/15/42).		197,952		197,952
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $69,315 (collateralized by non-U.S. Government debt securities, value $73,343, 0.00% to 10.00%, 7/3/06 to 6/30/36).		69,283		69,283
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $145,756 (collateralized by non-U.S. Government debt securities, value $146,686, 0.00% to 10.00%, 7/3/06 to 6/30/36).⁽⁶⁾		138,566		138,566
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $396,081 (collateralized by non-U.S. Government debt securities, value $416,272, 0.00% to 10.00%, 1/1/10 to 5/6/16).		395,903		395,903

				3,810,569

LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
TIME DEPOSITS⁽³⁾– 0.74%
ABN Amro Bank NV
5.30%, 07/03/06	$	197,952	$	197,952
KBC Bank NV
5.32%, 07/03/06		593,855		593,855
Societe Generale
5.32%, 07/03/06		494,879		494,879
UBS AG
5.25% - 5.34%, 07/03/06		570,713		570,713

				1,857,399

VARIABLE & FLOATING RATE NOTES⁽³⁾ – 4.05%
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07⁽⁴⁾		506,756		506,827
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		148,464		148,463
American Express Centurion Bank
5.34%, 07/19/07		217,747		218,007
American Express Credit Corp.
5.23%, 07/05/07		59,385		59,425
ASIF Global Financing
5.17%, 05/03/07⁽⁴⁾		19,795		19,804
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07⁽⁴⁾		128,669		128,669
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07⁽⁴⁾		336,518		336,515
BMW US Capital LLC
5.20%, 07/13/07⁽⁴⁾		197,952		197,952
BNP Paribas
5.14%, 05/18/07⁽⁴⁾		366,211		366,211
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07⁽⁴⁾		144,505		144,504
Commodore CDO Ltd.
5.38%, 06/12/07⁽⁴⁾		49,488		49,488
Credit Agricole SA
5.31%, 07/23/07		197,952		197,952
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07⁽⁴⁾		197,952		197,952
DEPFA Bank PLC
5.37%, 06/15/07		197,952		197,952
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07⁽⁴⁾		227,644		227,662
Eli Lilly Services Inc.
5.08%, 06/29/07⁽⁴⁾		197,952		197,952
Fifth Third Bancorp
5.28%, 06/22/07⁽⁴⁾		395,903		395,903
First Tennessee Bank N.A.
5.21%, 08/25/06		59,385		59,386
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07⁽⁴⁾		148,464		148,450
General Electric Capital Corp.
5.25%, 04/09/07		89,078		89,127
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		296,927		296,983
HBOS Treasury Services PLC
5.53%, 04/24/07⁽⁴⁾		197,952		197,952
JP Morgan Chase & Co.
5.12%, 07/02/07		148,464		148,464
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07⁽⁴⁾		296,927		296,920
Leafs LLC
5.27%, 01/22/07 - 02/20/07⁽⁴⁾		206,863		206,864
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		247,440		247,359
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07⁽⁴⁾		217,747		217,727
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07⁽⁴⁾		96,203		96,203
Marshall & Ilsley Bank
5.18%, 07/13/07		108,873		108,873
Metropolitan Life Global Funding I
5.15%, 07/06/07⁽⁴⁾		296,927		296,927
Mortgage Interest Networking Trust
5.54%, 08/25/06⁽⁴⁾		24,942		24,950
Mound Financing PLC
5.11%, 05/08/07⁽⁴⁾		186,075		186,075
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07⁽⁴⁾		197,952		197,940
National City Bank of Indiana
5.17%, 05/21/07		98,976		98,983
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07⁽⁴⁾		534,469		534,485
Newcastle Ltd.
5.34%, 04/24/07⁽⁴⁾		69,778		69,761
Northern Rock PLC
5.17%, 05/03/07 ⁽⁴⁾		237,542		237,548
Principal Life Global Funding I
5.63%, 02/08/07		89,078		89,330
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07⁽⁴⁾		148,464		148,455
Sigma Finance Inc.
5.51%, 06/18/07⁽⁴⁾		162,320		162,320
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07⁽⁴⁾		197,952		197,952

LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
VARIABLE & FLOATING RATE NOTES *(Continued)*
Strips III LLC
5.37%, 07/24/06⁽⁴⁾	$	46,275	$	46,275
SunTrust Bank
5.08%, 05/01/07		197,952		197,962
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07⁽⁴⁾		374,129		374,088
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06⁽⁴⁾		277,132		277,133
US Bank N.A.
5.28%, 09/29/06		89,078		89,073
Wachovia Asset Securitization Inc.
5.31%, 07/25/06⁽⁴⁾		316,881		316,881
Wachovia Bank N.A.
5.36%, 05/22/07		395,903		395,903
Wells Fargo & Co.
5.19%, 07/13/07⁽⁴⁾		98,976		98,982
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07⁽⁴⁾		178,156		178,154
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07⁽⁴⁾		195,774		195,130
Wind Master Trust
5.32%, 08/25/06 - 09/25/06⁽⁴⁾		66,856		66,856

				10,186,709

TOTAL SHORT-TERM INVESTMENTS (Cost: $23,723,713 )				23,723,713

TOTAL INVESTMENTS – 108.33%				272,435,848

Other Assets, Less Liabilities – (8.33)%				(20,950,147	)

NET ASSETS – 100.00%			$	251,485,701

⁽¹⁾

Affiliated 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⁾

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

⁽⁵⁾

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

⁽⁶⁾

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

LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments (Unaudited)

June 30, 2006


Security	Shares or Principal		Value
MASTER PORTFOLIOS – 67.96%
Active Stock Master Portfolio⁽¹⁾			$	187,138,816
CoreAlpha Bond Master Portfolio⁽¹⁾				319,776,409

TOTAL MASTER PORTFOLIOS				506,915,225

EXCHANGE-TRADED FUNDS – 30.56%
iShares Cohen & Steers Realty Majors Index Fund⁽¹⁾⁽²⁾		293,766		24,599,965
iShares Lehman TIPS Bond Fund⁽¹⁾		623,282		62,060,189
iShares MSCI EAFE Index Fund⁽¹⁾⁽²⁾		1,460,211		95,483,197
iShares S&P MidCap 400 Index Fund⁽¹⁾⁽²⁾		399,029		30,485,815
iShares S&P SmallCap 600 Index Fund⁽¹⁾⁽²⁾		247,388		15,362,795

TOTAL EXCHANGE-TRADED FUNDS (Cost: $201,733,377)				227,991,961

SHORT-TERM INVESTMENTS – 6.81%
CERTIFICATES OF DEPOSIT⁽³⁾– 0.17%
Credit Suisse First Boston NY
5.28%, 04/23/07	$	38,876		38,876
Fortis Bank NY
4.43%, 07/20/06		97,157		97,157
Societe Generale
5.33%, 12/08/06		388,806		388,806
Toronto-Dominion Bank
3.94%, 07/10/06		194,403		194,403
Washington Mutual Bank
5.28%, 08/07/06		194,403		194,403
Wells Fargo Bank N.A.
4.78%, 12/05/06		311,045		311,045

				1,224,690

COMMERCIAL PAPER⁽³⁾– 1.24%
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06⁽⁴⁾		1,085,460		1,079,362
ASAP Funding Ltd.
5.21%, 08/08/06⁽⁴⁾		186,627		185,654
Barton Capital Corp.
5.29%, 08/01/06⁽⁴⁾		371,655		370,072
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06⁽⁴⁾		147,746		147,398
CC USA Inc.
5.03%, 10/24/06⁽⁴⁾		77,761		76,533
Chariot Funding LLC
5.30%, 07/28/06⁽⁴⁾		292,907		291,829
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06⁽⁴⁾		852,904		852,662
Curzon Funding LLC
5.30%, 07/31/06⁽⁴⁾		388,806		387,203
Edison Asset Securitization LLC
5.22%, 12/11/06⁽⁴⁾		286,830		280,134
Falcon Asset Securitization Corp
5.26% - 5.30%, 07/24/06 - 07/28/06⁽⁴⁾		823,001		820,115
Five Finance Inc.
5.19%, 12/01/06⁽⁴⁾		174,963		171,154
General Electric Capital Services Inc.
5.22%, 12/11/06		38,881		37,973
Govco Inc.
5.22%, 08/03/06⁽⁴⁾		388,806		387,058
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06⁽⁴⁾		132,194		130,145
Jupiter Securitization Corp.
5.29%, 07/27/06⁽⁴⁾		97,201		96,859
Kitty Hawk Funding Corp.
5.24%, 07/20/06⁽⁴⁾		357,623		356,739
Landale Funding LLC
5.30%, 08/15/06⁽⁴⁾		427,686		424,979
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06⁽⁴⁾		601,988		597,408
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06⁽⁴⁾		392,694		391,541
Prudential Funding LLC
5.22%, 07/31/06		194,403		193,614
Ranger Funding Co. LLC
5.24%, 07/20/06⁽⁴⁾		388,806		387,844
Regency Markets No. 1 LLC
5.10%, 07/07/06⁽⁴⁾		455,560		455,302
Scaldis Capital LLC
5.30%, 07/25/06⁽⁴⁾		243,031		242,244
Sydney Capital Corp.
5.10%, 07/07/06⁽⁴⁾		425,315		425,074
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06⁽⁴⁾		475,233		474,057

				9,262,953

MEDIUM-TERM NOTES⁽³⁾– 0.14%
Bank of America N.A.
5.28%, 04/20/07		97,201		97,201
Dorada Finance Inc.
3.93%, 07/07/06⁽⁴⁾		120,530		120,530
K2 USA LLC
3.94%, 07/07/06⁽⁴⁾		233,283		233,283
Marshall & Ilsley Bank
5.18%, 12/15/06		388,806		389,411
Sigma Finance Inc.
5.13%, 03/30/07⁽⁴⁾		136,082		136,082
US Bank N.A.
2.85%, 11/15/06		77,761		77,232

				1,053,739

LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares or Principal		Value
MONEY MARKET FUNDS – 1.09%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
5.20%⁽¹⁾⁽⁵⁾		8,119,009	$	8,119,009

				8,119,009

REPURCHASE AGREEMENTS⁽³⁾– 1.00%
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $777,959 (collateralized by non-U.S. Government debt securities, value $802,045, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	777,611		777,611
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $583,470 (collateralized by non-U.S. Government debt securities, value $642,424, 2.12% to 6.47%, 11/25/34 to 12/25/42).		583,209		583,209
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $777,959 (collateralized by non-U.S. Government debt securities, value $798,716, 5.36% to 6.00%, 12/25/35 to 12/25/42).		777,611		777,611
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $972,448 (collateralized by non-U.S. Government debt securities, value $1,087,805, 0.00% to 10.00%, 6/1/28 to 12/15/35).		972,014		972,014
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $233,389 (collateralized by non-U.S. Government debt securities, value $264,086, 0.00% to 10.00%, 9/10/34 to 5/09/36).		233,283		233,283
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $388,980 (collateralized by non-U.S. Government debt securities, value $397,129, 5.22% to 5.42%, 7/3/06).		388,806		388,806
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $622,372 (collateralized by non-U.S. Government debt securities, value $654,095, 0.00% to 10.00%, 1/1/10 to 6/6/16).		622,089		622,089
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $388,980 (collateralized by non-U.S. Government debt securities, value $401,031, 6.38% to 8.49%, 1/7/09 to 2/23/36).		388,806		388,806
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $388,980 (collateralized by non-U.S. Government debt securities, value $401,036, 0.07% to 7.75%, 2/22/11 to 12/15/45).		388,806		388,806
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $777,959 (collateralized by non-U.S. Government debt securities, value $817,627, 0.00% to 8.57%, 6/25/23 to 4/25/46).		777,611		777,611
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $388,980 (collateralized by non-U.S. Government debt securities, value $409,163, 3.79% to 7.22%, 5/15/07 to 3/15/42).		388,806		388,806
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $136,144 (collateralized by non-U.S. Government debt securities, value $144,057, 0.00% to 10.00%, 7/3/06 to 6/30/36).		136,082		136,082
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $286,285 (collateralized by non-U.S. Government debt securities, value $288,113, 0.00% to 10.00%, 7/3/06 to 6/30/36).⁽⁶⁾		272,164		272,164
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $ 777,960 (collateralized by non-U.S. Government debt securities, value $817,619, 0.00% to 10.00%, 1/1/10 to 5/6/16).		777,611		777,611

				7,484,509

LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
TIME DEPOSITS⁽³⁾– 0.49%
ABN Amro Bank NV
5.30%, 07/03/06	$	388,806	$	388,806
KBC Bank NV
5.32%, 07/03/06		1,166,417		1,166,417
Societe Generale
5.32%, 07/03/06		972,014		972,014
UBS AG
5.25% - 5.34%, 07/03/06		1,120,962		1,120,962

				3,648,199

VARIABLE & FLOATING RATE NOTES⁽³⁾ – 2.68%
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07⁽⁴⁾		995,343		995,482
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		291,604		291,602
American Express Centurion Bank
5.34%, 07/19/07		427,686		428,197
American Express Credit Corp.
5.23%, 07/05/07		116,642		116,719
ASIF Global Financing
5.17%, 05/03/07⁽⁴⁾		38,881		38,899
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07⁽⁴⁾		252,724		252,724
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07⁽⁴⁾		660,970		660,966
BMW US Capital LLC
5.20%, 07/13/07⁽⁴⁾		388,806		388,806
BNP Paribas
5.14%, 05/18/07⁽⁴⁾		719,291		719,291
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07⁽⁴⁾		283,828		283,828
Commodore CDO Ltd.
5.38%, 06/12/07⁽⁴⁾		97,201		97,201
Credit Agricole SA
5.31%, 07/23/07		388,806		388,806
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07⁽⁴⁾		388,806		388,805
DEPFA Bank PLC
5.37%, 06/15/07		388,806		388,806
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07⁽⁴⁾		447,127		447,162
Eli Lilly Services Inc.
5.08%, 06/29/07⁽⁴⁾		388,806		388,806
Fifth Third Bancorp
5.28%, 06/22/07⁽⁴⁾		777,611		777,611
First Tennessee Bank N.A.
5.21%, 08/25/06		116,642		116,643
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07⁽⁴⁾		291,604		291,578
General Electric Capital Corp.
5.25%, 04/09/07		174,963		175,058
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		583,209		583,317
HBOS Treasury Services PLC
5.53%, 04/24/07⁽⁴⁾		388,806		388,806
JP Morgan Chase & Co.
5.12%, 07/02/07		291,604		291,604
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07⁽⁴⁾		583,209		583,193
Leafs LLC
5.27%, 01/22/07 - 02/20/07⁽⁴⁾		406,309		406,309
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		486,007		485,849
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07⁽⁴⁾		427,686		427,649
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07⁽⁴⁾		188,956		188,956
Marshall & Ilsley Bank
5.18%, 07/13/07		213,843		213,843
Metropolitan Life Global Funding I
5.15%, 07/06/07⁽⁴⁾		583,209		583,209
Mortgage Interest Networking Trust
5.54%, 08/25/06⁽⁴⁾		48,990		49,006
Mound Financing PLC
5.11%, 05/08/07⁽⁴⁾		365,477		365,477
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07⁽⁴⁾		388,806		388,783
National City Bank of Indiana
5.17%, 05/21/07		194,403		194,417
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07⁽⁴⁾		1,049,775		1,049,805
Newcastle Ltd.
5.34%, 04/24/07⁽⁴⁾		137,054		137,021
Northern Rock PLC
5.17%, 05/03/07⁽⁴⁾		466,567		466,578
Principal Life Global Funding I
5.63%, 02/08/07		174,963		175,456
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07⁽⁴⁾		291,604		291,589
Sigma Finance Inc.
5.51%, 06/18/07⁽⁴⁾		318,821		318,821
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07⁽⁴⁾		388,806		388,806

LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
VARIABLE & FLOATING RATE NOTES *(Continued)*
Strips III LLC
5.37%, 07/24/06⁽⁴⁾	$	90,890	$	90,890
SunTrust Bank
5.08%, 05/01/07		388,806		388,826
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07⁽⁴⁾		734,843		734,765
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06⁽⁴⁾		544,328		544,328
US Bank N.A.
5.28%, 09/29/06		174,963		174,951
Wachovia Asset Securitization Inc.
5.31%, 07/25/06⁽⁴⁾		622,400		622,400
Wachovia Bank N.A.
5.36%, 05/22/07		777,611		777,611
Wells Fargo & Co.
5.19%, 07/13/07⁽⁴⁾		194,403		194,415
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07⁽⁴⁾		349,925		349,922
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07⁽⁴⁾		384,529		383,264
Wind Master Trust
5.32%, 08/25/06 - 09/25/06⁽⁴⁾		131,315		131,315

				20,008,171

TOTAL SHORT-TERM INVESTMENTS (Cost: $50,801,270 )				50,801,270

TOTAL INVESTMENTS – 105.33%				785,708,456

Other Assets, Less Liabilities – (5.33)%				(39,783,429	)

NET ASSETS – 100.00%			$	745,925,027

⁽¹⁾

Affiliated 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⁾

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

⁽⁵⁾

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

⁽⁶⁾

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

LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments (Unaudited)

June 30, 2006


Security	Shares or Principal		Value
MASTER PORTFOLIOS – 64.01%
Active Stock Master Portfolio⁽¹⁾			$	454,432,811
CoreAlpha Bond Master Portfolio⁽¹⁾				348,495,783

TOTAL MASTER PORTFOLIOS				802,928,594

EXCHANGE-TRADED FUNDS – 35.27%
iShares Cohen & Steers Realty Majors Index Fund⁽¹⁾⁽²⁾		667,326		55,881,879
iShares Lehman TIPS Bond Fund⁽¹⁾		634,690		63,196,083
iShares MSCI EAFE Index Fund⁽¹⁾⁽²⁾		3,412,468		223,141,282
iShares S&P MidCap 400 Index Fund⁽¹⁾⁽²⁾		878,924		67,149,794
iShares S&P SmallCap 600 Index Fund⁽¹⁾⁽²⁾		530,797		32,962,494

TOTAL EXCHANGE-TRADED FUNDS (Cost: $381,977,544)				442,331,532

SHORT-TERM INVESTMENTS – 7.09%
CERTIFICATES OF DEPOSIT⁽³⁾– 0.19%
Credit Suisse First Boston NY
5.28%, 04/23/07	$	74,349		74,349
Fortis Bank NY
4.43%, 07/20/06		185,762		185,762
Societe Generale
5.33%, 12/08/06		743,388		743,388
Toronto-Dominion Bank
3.94%, 07/10/06		371,694		371,694
Washington Mutual Bank
5.28%, 08/07/06		371,694		371,694
Wells Fargo Bank N.A.
4.78%, 12/05/06		594,711		594,711

				2,341,598

COMMERCIAL PAPER⁽³⁾– 1.41%
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06⁽⁴⁾		2,075,377		2,063,716
ASAP Funding Ltd.
5.21%, 08/08/06⁽⁴⁾		356,826		354,967
Barton Capital Corp.
5.29%, 08/01/06⁽⁴⁾		710,598		707,569
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06⁽⁴⁾		282,488		281,822
CC USA Inc.
5.03%, 10/24/06⁽⁴⁾		148,678		146,330
Chariot Funding LLC
5.30%, 07/28/06⁽⁴⁾		560,032		557,970
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06⁽⁴⁾		1,630,734		1,630,272
Curzon Funding LLC
5.30%, 07/31/06⁽⁴⁾		743,388		740,324
Edison Asset Securitization LLC
5.22%, 12/11/06⁽⁴⁾		548,413		535,610
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06⁽⁴⁾		1,573,560		1,568,042
Five Finance Inc.
5.19%, 12/01/06⁽⁴⁾		334,525		327,242
General Electric Capital Services Inc.
5.22%, 12/11/06		74,339		72,603
Govco Inc.
5.22%, 08/03/06⁽⁴⁾		743,388		740,047
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06⁽⁴⁾		252,752		248,835
Jupiter Securitization Corp.
5.29%, 07/27/06⁽⁴⁾		185,847		185,192
Kitty Hawk Funding Corp.
5.24%, 07/20/06⁽⁴⁾		683,769		682,077
Landale Funding LLC
5.30%, 08/15/06⁽⁴⁾		817,727		812,551
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06⁽⁴⁾		1,150,988		1,142,232
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06⁽⁴⁾		750,822		748,619
Prudential Funding LLC
5.22%, 07/31/06		371,694		370,185
Ranger Funding Co. LLC
5.24%, 07/20/06⁽⁴⁾		743,388		741,549
Regency Markets No. 1 LLC
5.10%, 07/07/06⁽⁴⁾		871,021		870,527
Scaldis Capital LLC
5.30%, 07/25/06⁽⁴⁾		464,670		463,165
Sydney Capital Corp.
5.10%, 07/07/06⁽⁴⁾		813,193		812,732
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06⁽⁴⁾		908,636		906,388

				17,710,566

MEDIUM-TERM NOTES⁽³⁾– 0.16%
Bank of America N.A.
5.28%, 04/20/07		185,847		185,847
Dorada Finance Inc.
3.93%, 07/07/06⁽⁴⁾		230,450		230,450
K2 USA LLC
3.94%, 07/07/06⁽⁴⁾		446,033		446,033
Marshall & Ilsley Bank
5.18%, 12/15/06		743,388		744,545
Sigma Finance Inc.
5.13%, 03/30/07⁽⁴⁾		260,186		260,186
US Bank N.A.
2.85%, 11/15/06		148,678		147,666

				2,014,727

LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares or Principal		Value
MONEY MARKET FUNDS – 0.58%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
5.20%⁽¹⁾⁽⁵⁾		7,331,328	$	7,331,328

				7,331,328

REPURCHASE AGREEMENTS⁽³⁾– 1.14%
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,487,441 (collateralized by non-U.S. Government debt securities, value $1,533,494, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	1,486,777		1,486,777
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $1,115,582 (collateralized by non-U.S. Government debt securities, value $1,228,302, 2.12% to 6.47%, 11/25/34 to 12/25/42).		1,115,083		1,115,083
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,487,441 (collateralized by non-U.S. Government debt securities, value $1,527,128, 5.36% to 6.00%, 12/25/35 to 12/25/42).		1,486,777		1,486,777
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,859,302 (collateralized by non-U.S. Government debt securities, value $2,079,861, 0.00% to 10.00%, 6/1/28 to 12/15/35).		1,858,471		1,858,471
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $446,236 (collateralized by non-U.S. Government debt securities, value $504,928, 0.00% to 10.00%, 9/10/34 to 5/9/36).		446,033		446,033
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $743,720 (collateralized by non-U.S. Government debt securities, value $759,303, 5.22% to 5.42%, 7/3/06).		743,388		743,388
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $1,189,963 (collateralized by non-U.S. Government debt securities, value $1,250,616, 0.00% to 10.00%, 1/1/10 to 6/6/16).		1,189,422		1,189,422
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,487,441 (collateralized by non-U.S. Government debt securities, value $1,563,287, 0.00% to 8.57%, 6/25/23 to 4/25/46).		1,486,777		1,486,777
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $743,720 (collateralized by non-U.S. Government debt securities, value $766,762, 6.38% to 8.49%, 1/7/09 to 2/23/36).		743,388		743,388
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $743,720 (collateralized by non-U.S. Government debt securities, value $766,772, 0.07% to 7.75%, 2/22/11 to 12/15/45).		743,388		743,388
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $743,720 (collateralized by non-U.S. Government debt securities, value $782,312, 3.79% to 7.22%, 5/15/07 to 3/15/42).		743,388		743,388
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $260,304 (collateralized by non-U.S. Government debt securities, value $275,433, 0.00% to 10.00%, 7/3/06 to 6/30/36).		260,186		260,186
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $547,372 (collateralized by non-U.S. Government debt securities, value $550,867, 0.00% to 10.00%, 7/3/06 to 6/30/36).⁽⁶⁾		520,372		520,372
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $1,487,444 (collateralized by non-U.S. Government debt securities, value $1,563,270, 0.00% to 10.00%, 1/1/10 to 5/6/16).		1,486,777		1,486,777

				14,310,227

LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
TIME DEPOSITS⁽³⁾– 0.56%
ABN Amro Bank NV
5.30%, 07/03/06	$	743,388	$	743,388
KBC Bank NV
5.32%, 07/03/06		2,230,165		2,230,165
Societe Generale
5.32%, 07/03/06		1,858,471		1,858,471
UBS AG
5.25% - 5.34%, 07/03/06		2,143,256		2,143,256

				6,975,280

VARIABLE & FLOATING RATE NOTES⁽³⁾ – 3.05%
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07⁽⁴⁾		1,903,075		1,903,342
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		557,541		557,538
American Express Centurion Bank
5.34%, 07/19/07		817,727		818,704
American Express Credit Corp.
5.23%, 07/05/07		223,017		223,164
ASIF Global Financing
5.17%, 05/03/07⁽⁴⁾		74,339		74,374
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07⁽⁴⁾		483,203		483,203
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07⁽⁴⁾		1,263,760		1,263,752
BMW US Capital LLC
5.20%, 07/13/07⁽⁴⁾		743,388		743,388
BNP Paribas
5.14%, 05/18/07⁽⁴⁾		1,375,269		1,375,269
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07⁽⁴⁾		542,674		542,674
Commodore CDO Ltd.
5.38%, 06/12/07⁽⁴⁾		185,847		185,847
Credit Agricole SA
5.31%, 07/23/07		743,388		743,388
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07⁽⁴⁾		743,388		743,388
DEPFA Bank PLC
5.37%, 06/15/07		743,388		743,388
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07⁽⁴⁾		854,897		854,964
Eli Lilly Services Inc.
5.08%, 06/29/07⁽⁴⁾		743,388		743,388
Fifth Third Bancorp
5.28%, 06/22/07⁽⁴⁾		1,486,777		1,486,777
First Tennessee Bank N.A.
5.21%, 08/25/06		223,017		223,020
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07⁽⁴⁾		557,541		557,491
General Electric Capital Corp.
5.25%, 04/09/07		334,525		334,707
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		1,115,083		1,115,290
HBOS Treasury Services PLC
5.53%, 04/24/07⁽⁴⁾		743,388		743,388
JP Morgan Chase & Co.
5.12%, 07/02/07		557,541		557,541
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07⁽⁴⁾		1,115,083		1,115,053
Leafs LLC
5.27%, 01/22/07 - 02/20/07⁽⁴⁾		776,855		776,855
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		929,236		928,934
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07⁽⁴⁾		817,727		817,657
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07⁽⁴⁾		361,279		361,279
Marshall & Ilsley Bank
5.18%, 07/13/07		408,864		408,864
Metropolitan Life Global Funding I
5.15%, 07/06/07⁽⁴⁾		1,115,083		1,115,083
Mortgage Interest Networking Trust
5.54%, 08/25/06⁽⁴⁾		93,667		93,698
Mound Financing PLC
5.11%, 05/08/07⁽⁴⁾		698,785		698,785
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07⁽⁴⁾		743,388		743,345
National City Bank of Indiana
5.17%, 05/21/07		371,694		371,722
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07⁽⁴⁾		2,007,149		2,007,205
Newcastle Ltd.
5.34%, 04/24/07⁽⁴⁾		262,044		261,982
Northern Rock PLC
5.17%, 05/03/07⁽⁴⁾		892,066		892,088
Principal Life Global Funding I
5.63%, 02/08/07		334,525		335,469
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07⁽⁴⁾		557,541		557,512
Sigma Finance Inc.
5.51%, 06/18/07⁽⁴⁾		609,579		609,579
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07⁽⁴⁾		743,388		743,388

LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
VARIABLE & FLOATING RATE NOTES *(Continued)*
Strips III LLC
5.37%, 07/24/06⁽⁴⁾	$	173,780	$	173,780
SunTrust Bank
5.08%, 05/01/07		743,388		743,426
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07⁽⁴⁾		1,405,004		1,404,855
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06⁽⁴⁾		1,040,744		1,040,743
US Bank N.A.
5.28%, 09/29/06		334,525		334,504
Wachovia Asset Securitization Inc.
5.31%, 07/25/06⁽⁴⁾		1,190,017		1,190,016
Wachovia Bank N.A.
5.36%, 05/22/07		1,486,777		1,486,777
Wells Fargo & Co.
5.19%, 07/13/07⁴⁾		371,694		371,718
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07⁴⁾		669,050		669,042
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07⁽⁴⁾		735,211		732,793
Wind Master Trust
5.32%, 08/25/06 - 09/25/06⁽⁴⁾		251,072		251,072

				38,255,209

TOTAL SHORT-TERM INVESTMENTS (Cost: $88,938,935 )				88,938,935

TOTAL INVESTMENTS – 106.37%				1,334,199,061

Other Assets, Less Liabilities – (6.37)%				(79,917,919	)

NET ASSETS – 100.00%			$	1,254,281,142

⁽¹⁾

Affiliated 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⁾

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

⁽⁵⁾

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

⁽⁶⁾

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

LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments (Unaudited)

June 30, 2006


Security	Shares or Principal		Value
MASTER PORTFOLIOS – 60.07%
Active Stock Master Portfolio⁽¹⁾			$	370,828,249
CoreAlpha Bond Master Portfolio⁽¹⁾				135,287,677

TOTAL MASTER PORTFOLIOS				506,115,926

EXCHANGE-TRADED FUNDS – 38.64%
iShares Cohen & Steers Realty Majors Index Fund⁽¹⁾⁽²⁾		533,080		44,640,119
iShares Lehman TIPS Bond Fund⁽¹⁾⁽²⁾		212,045		21,113,321
iShares MSCI EAFE Index Fund⁽¹⁾⁽²⁾		2,754,737		180,132,253
iShares S&P MidCap 400 Index Fund⁽¹⁾⁽²⁾		694,211		53,037,720
iShares S&P SmallCap 600 Index Fund⁽¹⁾⁽²⁾		428,872		26,632,951

TOTAL EXCHANGE-TRADED FUNDS (Cost: $280,741,704)				325,556,364

SHORT-TERM INVESTMENTS – 8.45%
CERTIFICATES OF DEPOSIT⁽³⁾– 0.23%
Credit Suisse First Boston NY
5.28%, 04/23/07	$	60,767		60,767
Fortis Bank NY
4.43%, 07/20/06		151,849		151,849
Societe Generale
5.33%, 12/08/06		607,673		607,673
Toronto-Dominion Bank
3.94%, 07/10/06		303,837		303,837
Washington Mutual Bank
5.28%, 08/07/06		303,837		303,837
Wells Fargo Bank N.A.
4.78%, 12/05/06		486,139		486,139

				1,914,102

COMMERCIAL PAPER⁽³⁾– 1.72%
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06⁽⁴⁾		1,696,490		1,686,964
ASAP Funding Ltd.
5.21%, 08/08/06⁽⁴⁾		291,683		290,163
Barton Capital Corp.
5.29%, 08/01/06⁽⁴⁾		580,869		578,393
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06⁽⁴⁾		230,916		230,372
CC USA Inc.
5.03%, 10/24/06⁽⁴⁾		121,535		119,616
Chariot Funding LLC
5.30%, 07/28/06⁽⁴⁾		457,791		456,106
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06⁽⁴⁾		1,333,022		1,332,645
Curzon Funding LLC
5.30%, 07/31/06⁽⁴⁾		607,673		605,168
Edison Asset Securitization LLC
5.22%, 12/11/06⁽⁴⁾		448,293		437,827
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06⁽⁴⁾		1,286,286		1,281,775
Five Finance Inc.
5.19%, 12/01/06⁽⁴⁾		273,453		267,500
General Electric Capital Services Inc.
5.22%, 12/11/06		60,767		59,349
Govco Inc.
5.22%, 08/03/06⁽⁴⁾		607,673		604,942
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06⁽⁴⁾		206,609		203,407
Jupiter Securitization Corp.
5.29%, 07/27/06⁽⁴⁾		151,918		151,383
Kitty Hawk Funding Corp.
5.24%, 07/20/06⁽⁴⁾		558,938		557,555
Landale Funding LLC
5.30%, 08/15/06⁽⁴⁾		668,440		664,209
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06⁽⁴⁾		940,860		933,702
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06⁽⁴⁾		613,750		611,948
Prudential Funding LLC
5.22%, 07/31/06		303,837		302,603
Ranger Funding Co. LLC
5.24%, 07/20/06⁽⁴⁾		607,673		606,170
Regency Markets No. 1 LLC
5.10%, 07/07/06⁽⁴⁾		712,005		711,601
Scaldis Capital LLC
5.30%, 07/25/06⁽⁴⁾		379,838		378,608
Sydney Capital Corp.
5.10%, 07/07/06⁽⁴⁾		664,734		664,357
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06⁽⁴⁾		742,753		740,915

				14,477,278

MEDIUM-TERM NOTES⁽³⁾– 0.19%
Bank of America N.A.
5.28%, 04/20/07		151,918		151,918
Dorada Finance Inc.
3.93%, 07/07/06⁽⁴⁾		188,379		188,378
K2 USA LLC
3.94%, 07/07/06⁽⁴⁾		364,604		364,604
Marshall & Ilsley Bank
5.18%, 12/15/06		607,673		608,618
Sigma Finance Inc.
5.13%, 03/30/07⁽⁴⁾		212,686		212,686
US Bank N.A.
2.85%, 11/15/06		121,535		120,707

				1,646,911

LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares or Principal		Value
MONEY MARKET FUNDS – 0.53%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
5.20%⁽¹⁾⁽⁵⁾		4,442,829	$	4,442,829

				4,442,829

REPURCHASE AGREEMENTS⁽³⁾– 1.39%
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,215,889 (collateralized by non-U.S. Government debt securities, value $1,253,534, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	1,215,346		1,215,346
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $911,918 (collateralized by non-U.S. Government debt securities, value $1,004,059, 2.12% to 6.47%, 11/25/34 to 12/25/42).		911,510		911,510
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,215,889 (collateralized by non-U.S. Government debt securities, value $1,248,331, 5.36% to 6.00%, 12/25/35 to 12/25/42).		1,215,346		1,215,346
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,519,862 (collateralized by non-U.S. Government debt securities, value $1,700,155, 0.00% to 10.00%, 6/1/28 to 12/15/35).		1,519,183		1,519,183
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $364,770 (collateralized by non-U.S. Government debt securities, value $412,747, 0.00% to 10.00%, 9/10/34 to 5/9/36).		364,604		364,604
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $607,945 (collateralized by non-U.S. Government debt securities, value $620,682, 5.22% to 5.42%, 7/3/06).		607,673		607,673
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $972,720 (collateralized by non-U.S. Government debt securities, value $1,022,300, 0.00% to 10.00%, 1/1/10 to 6/6/16).		972,277		972,277
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,215,889 (collateralized by non-U.S. Government debt securities, value $1,277,888, 0.00% to 8.57%, 6/25/23 to 4/25/46).		1,215,346		1,215,346
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $607,945 (collateralized by non-U.S. Government debt securities, value $626,780, 6.38% to 8.49%, 1/7/09 to 2/23/36).		607,673		607,673
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $607,945 (collateralized by non-U.S. Government debt securities, value $626,788, 0.07% to 7.75%, 2/22/11 to 12/15/45).		607,673		607,673
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $607,945 (collateralized by non-U.S. Government debt securities, value $639,491, 3.79% to 7.22%, 5/15/07 to 3/15/42).		607,673		607,673
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $212,783 (collateralized by non-U.S. Government debt securities, value $225,149, 0.00% to 10.00%, 7/3/06 to 6/30/36).		212,686		212,686
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $447,442 (collateralized by non-U.S. Government debt securities, value $450,299, 0.00% to 10.00%, 7/3/06 to 6/30/36).⁽⁶⁾		425,371		425,371
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $1,215,891 (collateralized by non-U.S. Government debt securities, value $1,277,875, 0.00% to 10.00%, 1/1/10 to 5/6/16).		1,215,346		1,215,346

				11,697,707

LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
TIME DEPOSITS⁽³⁾– 0.68%
ABN Amro Bank NV
5.30%, 07/03/06	$	607,673	$	607,673
KBC Bank NV
5.32%, 07/03/06		1,823,019		1,823,019
Societe Generale
5.32%, 07/03/06		1,519,183		1,519,183
UBS AG
5.25% - 5.34%, 07/03/06		1,751,977		1,751,977

				5,701,852

VARIABLE & FLOATING RATE NOTES⁽³⁾ – 3.71%
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07⁽⁴⁾		1,555,643		1,555,862
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		455,755		455,752
American Express Centurion Bank
5.34%, 07/19/07		668,440		669,239
American Express Credit Corp.
5.23%, 07/05/07		182,302		182,423
ASIF Global Financing
5.17%, 05/03/07⁽⁴⁾		60,767		60,796
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07⁽⁴⁾		394,988		394,988
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07⁽⁴⁾		1,033,044		1,033,038
BMW US Capital LLC
5.20%, 07/13/07⁽⁴⁾		607,673		607,673
BNP Paribas
5.14%, 05/18/07⁽⁴⁾		1,124,195		1,124,195
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07⁽⁴⁾		443,601		443,601
Commodore CDO Ltd.
5.38%, 06/12/07⁽⁴⁾		151,918		151,918
Credit Agricole SA
5.31%, 07/23/07		607,673		607,673
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07⁽⁴⁾		607,673		607,673
DEPFA Bank PLC
5.37%, 06/15/07		607,673		607,673
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07⁽⁴⁾		698,824		698,879
Eli Lilly Services Inc.
5.08%, 06/29/07⁽⁴⁾		607,673		607,673
Fifth Third Bancorp
5.28%, 06/22/07⁽⁴⁾		1,215,346		1,215,346
First Tennessee Bank N.A.
5.21%, 08/25/06		182,302		182,304
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07⁽⁴⁾		455,755		455,713
General Electric Capital Corp.
5.25%, 04/09/07		273,453		273,602
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		911,510		911,679
HBOS Treasury Services PLC
5.53%, 04/24/07⁽⁴⁾		607,673		607,673
JP Morgan Chase & Co.
5.12%, 07/02/07		455,755		455,755
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07⁽⁴⁾		911,510		911,486
Leafs LLC
5.27%, 01/22/07 - 02/20/07⁽⁴⁾		635,030		635,030
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		759,591		759,345
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07⁽⁴⁾		668,440		668,382
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07⁽⁴⁾		295,323		295,323
Marshall & Ilsley Bank
5.18%, 07/13/07		334,220		334,220
Metropolitan Life Global Funding I
5.15%, 07/06/07⁽⁴⁾		911,510		911,510
Mortgage Interest Networking Trust
5.54%, 08/25/06⁽⁴⁾		76,567		76,592
Mound Financing PLC
5.11%, 05/08/07⁽⁴⁾		571,213		571,213
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07⁽⁴⁾		607,673		607,638
National City Bank of Indiana
5.17%, 05/21/07		303,837		303,859
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07⁽⁴⁾		1,640,718		1,640,763
Newcastle Ltd.
5.34%, 04/24/07⁽⁴⁾		214,205		214,154
Northern Rock PLC
5.17%, 05/03/07⁽⁴⁾		729,208		729,226
Principal Life Global Funding I
5.63%, 02/08/07		273,453		274,224
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07⁽⁴⁾		455,755		455,730
Sigma Finance Inc.
5.51%, 06/18/07⁽⁴⁾		498,292		498,292
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07⁽⁴⁾		607,673		607,673

LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
VARIABLE & FLOATING RATE NOTES *(Continued)*
Strips III LLC
5.37%, 07/24/06⁽⁴⁾	$	142,054	$	142,054
SunTrust Bank
5.08%, 05/01/07		607,673		607,704
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07⁽⁴⁾		1,148,502		1,148,380
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06⁽⁴⁾		850,742		850,742
US Bank N.A.
5.28%, 09/29/06		273,453		273,436
Wachovia Asset Securitization Inc.
5.31%, 07/25/06⁽⁴⁾		972,764		972,763
Wachovia Bank N.A.
5.36%, 05/22/07		1,215,346		1,215,346
Wells Fargo & Co.
5.19%, 07/13/07⁽⁴⁾		303,837		303,856
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07⁽⁴⁾		546,906		546,900
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07⁽⁴⁾		600,989		599,012
Wind Master Trust
5.32%, 08/25/06 - 09/25/06⁽⁴⁾		205,236		205,235

				31,271,216

TOTAL SHORT-TERM INVESTMENTS (Cost: $71,151,895 )				71,151,895

TOTAL INVESTMENTS – 107.16%				902,824,185

Other Assets, Less Liabilities – (7.16)%				(60,344,503	)

NET ASSETS – 100.00%			$	842,479,682

⁽¹⁾

Affiliated 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⁾

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

⁽⁵⁾

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

⁽⁶⁾

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

LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments (Unaudited)

June 30, 2006


Security	Shares or Principal		Value
MASTER PORTFOLIOS – 57.49%
Active Stock Master Portfolio⁽¹⁾			$	287,773,977
CoreAlpha Bond Master Portfolio⁽¹⁾				37,258,364

TOTAL MASTER PORTFOLIOS				325,032,341

EXCHANGE-TRADED FUNDS – 41.01%
iShares Cohen & Steers Realty Majors Index Fund⁽¹⁾⁽²⁾		413,556		34,631,179
iShares MSCI EAFE Index Fund⁽¹⁾		2,104,081		137,585,857
iShares S&P MidCap 400 Index Fund⁽¹⁾⁽²⁾		520,467		39,763,679
iShares S&P SmallCap 600 Index Fund⁽¹⁾⁽²⁾		320,230		19,886,283

TOTAL EXCHANGE-TRADED FUNDS (Cost: $202,553,417)				231,866,998

SHORT-TERM INVESTMENTS – 8.01%
CERTIFICATES OF DEPOSIT⁽³⁾– 0.21%
Credit Suisse First Boston NY
5.28%, 04/23/07	$	37,339		37,339
Fortis Bank NY
4.43%, 07/20/06		93,304		93,304
Societe Generale
5.33%, 12/08/06		373,387		373,387
Toronto-Dominion Bank
3.94%, 07/10/06		186,694		186,694
Washington Mutual Bank
5.28%, 08/07/06		186,694		186,694
Wells Fargo Bank N.A.
4.78%, 12/05/06		298,710		298,710

				1,176,128

COMMERCIAL PAPER⁽³⁾– 1.57%
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06⁽⁴⁾		1,042,416		1,036,557
ASAP Funding Ltd.
5.21%, 08/08/06⁽⁴⁾		179,226		178,292
Barton Capital Corp.
5.29%, 08/01/06⁽⁴⁾		356,917		355,396
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06⁽⁴⁾		141,887		141,553
CC USA Inc.
5.03%, 10/24/06⁽⁴⁾		74,677		73,498
Chariot Funding LLC
5.30%, 07/28/06⁽⁴⁾		281,291		280,256
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06⁽⁴⁾		819,081		818,849
Curzon Funding LLC
5.30%, 07/31/06⁽⁴⁾		373,387		371,848
Edison Asset Securitization LLC
5.22%, 12/11/06⁽⁴⁾		275,455		269,025
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06⁽⁴⁾		790,364		787,592
Five Finance Inc.
5.19%, 12/01/06⁽⁴⁾		168,024		164,367
General Electric Capital Services Inc.
5.22%, 12/11/06		37,339		36,467
Govco Inc.
5.22%, 08/03/06⁽⁴⁾		373,387		371,709
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06⁽⁴⁾		126,952		124,985
Jupiter Securitization Corp.
5.29%, 07/27/06⁽⁴⁾		93,347		93,018
Kitty Hawk Funding Corp.
5.24%, 07/20/06⁽⁴⁾		343,442		342,592
Landale Funding LLC
5.30%, 08/15/06⁽⁴⁾		410,726		408,126
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06⁽⁴⁾		578,116		573,717
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06⁽⁴⁾		377,121		376,015
Prudential Funding LLC
5.22%, 07/31/06		186,694		185,936
Ranger Funding Co. LLC
5.24%, 07/20/06⁽⁴⁾		373,387		372,463
Regency Markets No. 1 LLC
5.10%, 07/07/06⁽⁴⁾		437,494		437,246
Scaldis Capital LLC
5.30%, 07/25/06⁽⁴⁾		233,393		232,637
Sydney Capital Corp.
5.10%, 07/07/06⁽⁴⁾		408,448		408,217
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06⁽⁴⁾		456,388		455,258

				8,895,619

MEDIUM-TERM NOTES⁽³⁾– 0.18%
Bank of America N.A.
5.28%, 04/20/07		93,347		93,347
Dorada Finance Inc.
3.93%, 07/07/06⁽⁴⁾		115,750		115,750
K2 USA LLC
3.94%, 07/07/06⁽⁴⁾		224,032		224,032
Marshall & Ilsley Bank
5.18%, 12/15/06		373,387		373,968
Sigma Finance Inc.
5.13%, 03/30/07⁽⁴⁾		130,686		130,686
US Bank N.A.
2.85%, 11/15/06		74,677		74,169

				1,011,952

LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares or Principal		Value
MONEY MARKET FUNDS – 0.76%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
5.20%⁽¹⁾⁽⁵⁾		4,318,765	$	4,318,765

				4,318,765

REPURCHASE AGREEMENTS⁽³⁾– 1.27%
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $747,109 (collateralized by non-U.S. Government debt securities, value $770,240, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	746,775		746,775
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $560,332 (collateralized by non-U.S. Government debt securities, value $616,948, 2.12% to 6.47%, 11/25/34 to 12/25/42).		560,081		560,081
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $747,109 (collateralized by non-U.S. Government debt securities, value $767,042, 5.36% to 6.00%, 12/25/35 to 12/25/42).		746,775		746,775
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $933,886 (collateralized by non-U.S. Government debt securities, value $1,044,668, 0.00% to 10.00%, 6/1/28 to 12/15/35).		933,469		933,469
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $224,134 (collateralized by non-U.S. Government debt securities, value $253,614, 0.00% to 10.00%, 9/10/34 to 5/9/36).		224,032		224,032
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $373,554 (collateralized by non-U.S. Government debt securities, value $381,381, 5.22% to 5.42%, 7/3/06).		373,387		373,387
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $597,692 (collateralized by non-U.S. Government debt securities, value $628,157, 0.00% to 10.00%, 1/1/10 to 6/6/16).		597,420		597,420
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $373,554 (collateralized by non-U.S. Government debt securities, value $385,128, 6.38% to 8.49%, 1/7/09 to 2/23/36).		373,387		373,387
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $373,554 (collateralized by non-U.S. Government debt securities, value $385,132, 0.07% to 7.75%, 2/22/11 to 12/15/45).		373,387		373,387
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $747,109 (collateralized by non-U.S. Government debt securities, value $785,204, 0.00% to 8.57%, 6/25/23 to 4/25/46).		746,775		746,775
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $373,554 (collateralized by non-U.S. Government debt securities, value $392,938, 3.79% to 7.22%, 5/15/07 to 3/15/42).		373,387		373,387
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $130,745 (collateralized by non-U.S. Government debt securities, value $138,344, 0.00% to 10.00%, 7/3/06 to 6/30/36).		130,686		130,686
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $274,932 (collateralized by non-U.S. Government debt securities, value $276,688, 0.00% to 10.00%, 7/3/06 to 6/30/36).⁽⁶⁾		261,371		261,371
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $747,110 (collateralized by non-U.S. Government debt securities, value $785,196, 0.00% to 10.00%, 1/1/10 to 5/6/16).		746,775		746,775

				7,187,707

LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
TIME DEPOSITS⁽³⁾– 0.62%
ABN Amro Bank NV
5.30%, 07/03/06	$	373,387	$	373,387
KBC Bank NV
5.32%, 07/03/06		1,120,162		1,120,162
Societe Generale
5.32%, 07/03/06		933,469		933,469
UBS AG
5.25% - 5.34%, 07/03/06		1,076,510		1,076,510

				3,503,528

VARIABLE & FLOATING RATE NOTES⁽³⁾ – 3.40%
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07⁽⁴⁾		955,872		956,007
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		280,041		280,039
American Express Centurion Bank
5.34%, 07/19/07		410,726		411,217
American Express Credit Corp.
5.23%, 07/05/07		112,016		112,090
ASIF Global Financing
5.17%, 05/03/07⁽⁴⁾		37,339		37,356
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07⁽⁴⁾		242,702		242,702
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07⁽⁴⁾		634,759		634,755
BMW US Capital LLC
5.20%, 07/13/07⁽⁴⁾		373,387		373,387
BNP Paribas
5.14%, 05/18/07⁽⁴⁾		690,767		690,767
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07⁽⁴⁾		272,573		272,573
Commodore CDO Ltd.
5.38%, 06/12/07⁽⁴⁾		93,347		93,347
Credit Agricole SA
5.31%, 07/23/07		373,387		373,387
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07⁽⁴⁾		373,387		373,388
DEPFA Bank PLC
5.37%, 06/15/07		373,387		373,387
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07⁽⁴⁾		429,396		429,430
Eli Lilly Services Inc.
5.08%, 06/29/07⁽⁴⁾		373,387		373,387
Fifth Third Bancorp
5.28%, 06/22/07⁽⁴⁾		746,775		746,775
First Tennessee Bank N.A.
5.21%, 08/25/06		112,016		112,018
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07⁽⁴⁾		280,041		280,014
General Electric Capital Corp.
5.25%, 04/09/07		168,024		168,116
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		560,081		560,185
HBOS Treasury Services PLC
5.53%, 04/24/07⁽⁴⁾		373,387		373,387
JP Morgan Chase & Co.
5.12%, 07/02/07		280,041		280,041
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07⁽⁴⁾		560,081		560,067
Leafs LLC
5.27%, 01/22/07 - 02/20/07⁽⁴⁾		390,197		390,197
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		466,734		466,583
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07⁽⁴⁾		410,726		410,691
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07⁽⁴⁾		181,463		181,463
Marshall & Ilsley Bank
5.18%, 07/13/07		205,363		205,363
Metropolitan Life Global Funding I
5.15%, 07/06/07⁽⁴⁾		560,081		560,081
Mortgage Interest Networking Trust
5.54%, 08/25/06⁽⁴⁾		47,047		47,063
Mound Financing PLC
5.11%, 05/08/07⁽⁴⁾		350,984		350,984
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07⁽⁴⁾		373,387		373,366
National City Bank of Indiana
5.17%, 05/21/07		186,694		186,708
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07⁽⁴⁾		1,008,146		1,008,174
Newcastle Ltd.
5.34%, 04/24/07⁽⁴⁾		131,619		131,588
Northern Rock PLC
5.17%, 05/03/07⁽⁴⁾		448,065		448,076
Principal Life Global Funding I
5.63%, 02/08/07		168,024		168,498
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07⁽⁴⁾		280,041		280,025
Sigma Finance Inc.
5.51%, 06/18/07⁽⁴⁾		306,178		306,178
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07⁽⁴⁾		373,387		373,387

LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
VARIABLE & FLOATING RATE NOTES *(Continued)*
Strips III LLC
5.37%, 07/24/06⁽⁴⁾	$	87,286	$	87,286
SunTrust Bank
5.08%, 05/01/07		373,387		373,406
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07⁽⁴⁾		705,702		705,628
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06⁽⁴⁾		522,742		522,742
US Bank N.A.
5.28%, 09/29/06		168,024		168,014
Wachovia Asset Securitization Inc.
5.31%, 07/25/06⁽⁴⁾		597,719		597,719
Wachovia Bank N.A.
5.36%, 05/22/07		746,775		746,775
Wells Fargo & Co.
5.19%, 07/13/07⁽⁴⁾		186,694		186,706
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07⁽⁴⁾		336,049		336,045
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07⁽⁴⁾		369,280		368,066
Wind Master Trust
5.32%, 08/25/06 - 09/25/06⁽⁴⁾		126,108		126,108

				19,214,742

TOTAL SHORT-TERM INVESTMENTS (Cost: $45,308,441 )				45,308,441

TOTAL INVESTMENTS – 106.51%				602,207,780

Other Assets, Less Liabilities – (6.51)%				(36,785,378	)

NET ASSETS – 100.00%			$	565,422,402

⁽¹⁾

Affiliated 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⁾

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

⁽⁵⁾

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

⁽⁶⁾

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

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Unaudited)

June 30, 2006


Security	Shares	Value
COMMON STOCKS – 100.88%

AEROSPACE & DEFENSE – 1.53%
Lockheed Martin Corp.⁽¹⁾	238,654	$	17,121,038
Northrop Grumman Corp.	35,296		2,261,062
Raytheon Co.	28,276		1,260,261

			20,642,361

AGRICULTURE – 2.20%
Altria Group Inc.	45,846		3,366,472
Archer-Daniels-Midland Co.	421,805		17,412,110
Reynolds American Inc.⁽¹⁾	67,568		7,790,590
UST Inc.⁽¹⁾	24,755		1,118,678

			29,687,850

AUTO MANUFACTURERS – 0.03%
PACCAR Inc.	4,147		341,630

			341,630

AUTO PARTS & EQUIPMENT – 0.22%
Autoliv Inc.	51,153		2,893,725

			2,893,725

BANKS – 5.66%
AmSouth Bancorp	20,345		538,125
Bank of America Corp.	787,502		37,878,846
Comerica Inc.	21,399		1,112,534
TD Banknorth Inc.	6,129		180,499
U.S. Bancorp⁽¹⁾	387,350		11,961,368
UnionBanCal Corp.	3,876		250,351
Wachovia Corp.⁽¹⁾	453,100		24,503,648

			76,425,371

BEVERAGES – 2.65%
Anheuser-Busch Companies Inc.	234,458		10,688,940
Coca-Cola Co. (The)	289,353		12,447,966
Coca-Cola Enterprises Inc.	122,788		2,501,192
Pepsi Bottling Group Inc.⁽¹⁾	296,711		9,539,259
PepsiAmericas Inc.	27,690		612,226

			35,789,583

BIOTECHNOLOGY – 0.52%
Amgen Inc.⁽²⁾	80,419		5,245,731
Genentech Inc.⁽²⁾	21,448		1,754,446

			7,000,177

BUILDING MATERIALS – 0.52%
Florida Rock Industries Inc.⁽¹⁾	10,927		542,744
Masco Corp.⁽¹⁾	220,047		6,522,193

			7,064,937

CHEMICALS – 1.55%
Dow Chemical Co. (The)⁽¹⁾	464,814		18,141,690
Eastman Chemical Co.⁽¹⁾	37,421		2,020,734
Huntsman Corp.⁽²⁾	12,298		213,001
Rohm & Haas Co.	1,367		68,514
Sherwin-Williams Co. (The)	9,728		461,885

			20,905,824

COMMERCIAL SERVICES – 2.51%
Accenture Ltd.	498,153		14,107,693
Apollo Group Inc. Class A⁽²⁾	25,717		1,328,797
Block (H & R) Inc.⁽¹⁾	38,941		929,132
Career Education Corp.⁽¹⁾⁽²⁾	49,294		1,473,398
Cendant Corp.	620,903		10,114,510
Convergys Corp.⁽²⁾	84,998		1,657,461
Deluxe Corp.	3,692		64,536
Equifax Inc.	31,409		1,078,585
Moody’s Corp.	20,809		1,133,258
Robert Half International Inc.⁽¹⁾	45,863		1,926,246

			33,813,616

COMPUTERS – 2.87%
Apple Computer Inc.⁽²⁾	211,043		12,054,776
Computer Sciences Corp.⁽²⁾	193,981		9,396,440
Dell Inc.⁽²⁾	234,327		5,719,922
Hewlett-Packard Co.	35,413		1,121,884
International Business Machines Corp.	67,853		5,212,467
Seagate Technology	191,335		4,331,824
Western Digital Corp.⁽²⁾	45,172		894,857

			38,732,170

COSMETICS & PERSONAL CARE – 0.59%
Colgate-Palmolive Co.	7,842		469,736
Procter & Gamble Co.	135,423		7,529,519

			7,999,255

DISTRIBUTION & WHOLESALE – 0.73%
CDW Corp.⁽¹⁾	82,225		4,493,596
Grainger (W.W.) Inc.	45,944		3,456,367
Ingram Micro Inc. Class A⁽²⁾	84,538		1,532,674
Tech Data Corp.⁽²⁾	8,743		334,944

			9,817,581

DIVERSIFIED FINANCIAL SERVICES – 12.15%
Ameriprise Financial Inc.	23,516		1,050,460
CIT Group Inc.	288,087		15,064,069
Citigroup Inc.	881,184		42,508,316
Countrywide Financial Corp.⁽¹⁾	435,303		16,576,338
Federal Home Loan Mortgage Corp.⁽¹⁾	73,671		4,199,984
Federal National Mortgage Association	85,973		4,135,301
Goldman Sachs Group Inc. (The)⁽¹⁾	142,000		21,361,060
IndyMac Bancorp Inc.⁽¹⁾	48,262		2,212,813
JP Morgan Chase & Co.	744,718		31,278,156
Merrill Lynch & Co. Inc.	37,393		2,601,057
Morgan Stanley	361,060		22,822,603
Student Loan Corp. (The)	783		158,166

			163,968,323

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares	Value
ELECTRIC – 2.93%
Alliant Energy Corp.⁽¹⁾	50,623	$	1,736,369
American Electric Power Co. Inc.	19,748		676,369
Constellation Energy Group Inc.	72,568		3,956,407
Edison International	188,487		7,350,993
Energy East Corp.	5,357		128,193
FirstEnergy Corp.	139,706		7,573,462
NSTAR	8,045		230,087
Pepco Holdings Inc.⁽¹⁾	7,995		188,522
Puget Energy Inc.	8,500		182,580
TXU Corp.	292,248		17,473,508

			39,496,490

ELECTRONICS – 0.27%
Agilent Technologies Inc.⁽²⁾	109,583		3,458,440
Arrow Electronics Inc.⁽¹⁾⁽²⁾	2,632		84,750
Jabil Circuit Inc.	2,158		55,245

			3,598,435

ENVIRONMENTAL CONTROL – 0.05%
Republic Services Inc.⁽¹⁾	16,325		658,551

			658,551

FOOD – 0.67%
Campbell Soup Co.	3,450		128,030
Hormel Foods Corp.⁽¹⁾	9,288		344,956
Pilgrim’s Pride Corp.⁽¹⁾	53,206		1,372,715
Smithfield Foods Inc.⁽¹⁾⁽²⁾	56,949		1,641,840
SUPERVALU Inc.	132,358		4,063,391
Tyson Foods Inc. Class A⁽¹⁾	95,868		1,424,599

			8,975,531

FOREST PRODUCTS & PAPER – 0.23%
Louisiana-Pacific Corp.⁽¹⁾	98,010		2,146,419
Plum Creek Timber Co. Inc.	24,878		883,169

			3,029,588

GAS – 0.26%
Sempra Energy⁽¹⁾	58,258		2,649,574
UGI Corp.	37,092		913,205

			3,562,779

HAND & MACHINE TOOLS – 0.17%
Black & Decker Corp.⁽¹⁾	27,843		2,351,620

			2,351,620

HEALTH CARE - PRODUCTS – 4.18%
Alcon Inc.⁽¹⁾	56,377		5,555,953
Becton, Dickinson & Co.	258,632		15,810,174
Johnson & Johnson⁽¹⁾	584,724		35,036,662

			56,402,789

HEALTH CARE - SERVICES – 2.28%
Community Health Systems Inc.⁽²⁾	3,729		137,041
HCA Inc.⁽¹⁾	360,442		15,553,072
Health Management Associates Inc. Class A	25,164		495,982
Health Net Inc.⁽²⁾	59,013		2,665,617
Humana Inc.⁽¹⁾⁽²⁾	163,894		8,801,108
Sierra Health Services Inc.⁽¹⁾⁽²⁾	42,861		1,930,031
UnitedHealth Group Inc.	27,673		1,239,197

			30,822,048

HOME BUILDERS – 0.14%
NVR Inc.⁽¹⁾⁽²⁾	3,795		1,864,294

			1,864,294

HOME FURNISHINGS – 0.09%
Harman International Industries Inc.	14,536		1,240,938

			1,240,938

HOUSEHOLD PRODUCTS & WARES – 1.23%
Blyth Inc.⁽¹⁾	14,126		260,766
Clorox Co. (The)⁽¹⁾	86,973		5,302,744
Kimberly-Clark Corp.⁽¹⁾	178,372		11,005,552

			16,569,062

INSURANCE – 4.12%
ACE Ltd.	215,919		10,923,342
American International Group Inc.	81,196		4,794,624
AON Corp.	15,074		524,877
Axis Capital Holdings Ltd.⁽¹⁾	124,395		3,558,941
Everest Re Group Ltd.⁽¹⁾	42,585		3,686,583
Hartford Financial Services Group Inc. (The)	20,282		1,715,857
MetLife Inc.⁽¹⁾	241,811		12,383,141
Nationwide Financial Services Inc.⁽¹⁾	13,541		596,887
Protective Life Corp.	18,350		855,477
Reinsurance Group of America Inc.⁽¹⁾	29,740		1,461,721
St. Paul Travelers Companies Inc.⁽¹⁾	316,285		14,099,985
StanCorp Financial Group Inc.	20,219		1,029,349

			55,630,784

INTERNET – 1.19%
Amazon.com Inc.⁽¹⁾⁽²⁾	125,426		4,851,478
Check Point Software Technologies Ltd.⁽²⁾	59,355		1,043,461
Google Inc. Class A⁽²⁾	24,365		10,216,975

			16,111,914

IRON & STEEL – 0.72%
Nucor Corp.	169,513		9,196,080
Steel Dynamics Inc.⁽¹⁾	8,539		561,354

			9,757,434

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares	Value
LEISURE TIME – 1.24%
Brunswick Corp.	52,776	$	1,754,802
Harley-Davidson Inc.	1,414		77,615
Polaris Industries Inc.⁽¹⁾	27,388		1,185,900
Royal Caribbean Cruises Ltd.⁽¹⁾	357,708		13,682,331
Sabre Holdings Corp.	54		1,188

			16,701,836

LODGING – 0.14%
Choice Hotels International Inc.⁽¹⁾	30,633		1,856,360

			1,856,360

MACHINERY – 0.69%
Cummins Inc.⁽¹⁾	56,105		6,858,836
Graco Inc.⁽¹⁾	53,334		2,452,297

			9,311,133

MANUFACTURING – 3.71%
Eaton Corp.	10,533		794,188
General Electric Co.	890,833		29,361,856
Illinois Tool Works Inc.	1,832		87,020
Ingersoll-Rand Co. Class A	24,308		1,039,896
Parker Hannifin Corp.⁽¹⁾	27,027		2,097,295
3M Co.	206,000		16,638,620

			50,018,875

MEDIA – 1.84%
CBS Corp. Class B⁽¹⁾	90,211		2,440,208
Comcast Corp. Class A⁽¹⁾⁽²⁾	358,829		11,748,062
Comcast Corp. Class A Special⁽¹⁾⁽²⁾	10,673		349,861
DIRECTV Group Inc. (The)⁽²⁾	12,084		199,386
EchoStar Communications Corp.⁽¹⁾⁽²⁾	99,671		3,070,864
Gannett Co. Inc.⁽¹⁾	24,795		1,386,784
Tribune Co.⁽¹⁾	102,860		3,335,750
Viacom Inc. Class B⁽²⁾	65,639		2,352,502

			24,883,417

MINING – 0.79%
Freeport-McMoRan Copper & Gold Inc.	22,483		1,245,783
Phelps Dodge Corp.	113,992		9,365,583

			10,611,366

OIL & GAS – 10.29%
Anadarko Petroleum Corp.⁽¹⁾	170,986		8,154,322
Chevron Corp.	66,367		4,118,736
ConocoPhillips	419,567		27,494,226
Devon Energy Corp.⁽¹⁾	197,942		11,957,676
Exxon Mobil Corp.	552,713		33,908,943
Helmerich & Payne Inc.	3,461		208,560
Marathon Oil Corp.	115,827		9,648,389
Nabors Industries Ltd.⁽¹⁾⁽²⁾	157,395		5,318,377
Occidental Petroleum Corp.	128,730		13,201,262
Patterson-UTI Energy Inc.⁽¹⁾	183,060		5,182,429
Tesoro Corp.⁽¹⁾	10,081		749,623
Unit Corp.⁽¹⁾⁽²⁾	18,920		1,076,359
Valero Energy Corp.	268,762		17,878,048

			138,896,950

OIL & GAS SERVICES – 0.61%
BJ Services Co.⁽¹⁾	205,276		7,648,584
Tidewater Inc.	11,542		567,866

			8,216,450

PHARMACEUTICALS – 5.49%
Abbott Laboratories	105,461		4,599,154
Barr Pharmaceuticals Inc.⁽¹⁾⁽²⁾	98,775		4,710,580
Forest Laboratories Inc.⁽²⁾	16,747		647,941
Gilead Sciences Inc.⁽¹⁾⁽²⁾	307,499		18,191,641
King Pharmaceuticals Inc.⁽¹⁾⁽²⁾	164,236		2,792,012
Kos Pharmaceuticals Inc.⁽²⁾	3,288		123,695
Merck & Co. Inc.	258,123		9,403,421
Pfizer Inc.	1,106,300		25,964,861
Sepracor Inc.⁽¹⁾⁽²⁾	1,553		88,738
Wyeth	168,585		7,486,860

			74,008,903

REAL ESTATE INVESTMENT TRUSTS – 0.39%
American Financial Realty Trust	25,161		243,559
CBL & Associates Properties Inc.⁽¹⁾	4,973		193,599
Health Care Property Investors Inc.⁽¹⁾	31,597		844,904
Hospitality Properties Trust⁽¹⁾	6,529		286,754
Host Hotels & Resorts Inc.⁽¹⁾	51,830		1,133,522
HRPT Properties Trust⁽¹⁾	13,656		157,863
Mack-Cali Realty Corp.⁽¹⁾	25,587		1,174,955
New Plan Excel Realty Trust Inc.⁽¹⁾	20,102		496,318
Simon Property Group Inc.	9,413		780,714

			5,312,188

RETAIL – 6.48%
American Eagle Outfitters Inc.⁽¹⁾	278,923		9,494,539
AutoNation Inc.⁽¹⁾⁽²⁾	389,006		8,340,289
Brinker International Inc.	10,264		372,583
CBRL Group Inc.	38,202		1,295,812
Claire’s Stores Inc.	43,144		1,100,603
Costco Wholesale Corp.⁽¹⁾	311,938		17,821,018
Darden Restaurants Inc.	37,157		1,463,986
GameStop Corp. Class B⁽²⁾	2,031		69,562
Gap Inc. (The)⁽¹⁾	130,638		2,273,101
Home Depot Inc.	613,075		21,941,954
Lowe’s Companies Inc.	7,622		462,427
Penney (J.C.) Co. Inc.⁽¹⁾	9,478		639,860
Sonic Corp.⁽¹⁾⁽²⁾	36,945		768,087
Staples Inc.	39,787		967,620
Wal-Mart Stores Inc.	423,069		20,379,234

			87,390,675

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares or Principal		Value
SAVINGS & LOANS – 1.09%
Washington Mutual Inc.⁽¹⁾		323,702	$	14,754,337

				14,754,337

SEMICONDUCTORS – 2.61%
Advanced Micro Devices Inc.⁽²⁾		49,771		1,215,408
Analog Devices Inc.		2,394		76,943
Freescale Semiconductor Inc. Class B⁽²⁾		23,035		677,229
Lam Research Corp.⁽¹⁾⁽²⁾		106,171		4,949,692
National Semiconductor Corp.		81,719		1,948,998
NVIDIA Corp.⁽¹⁾⁽²⁾		231,868		4,936,470
QLogic Corp.⁽²⁾		126,646		2,183,377
Texas Instruments Inc.⁽¹⁾		635,207		19,240,420

				35,228,537

SOFTWARE – 4.14%
Autodesk Inc.⁽¹⁾⁽²⁾		254,159		8,758,319
Fiserv Inc.⁽¹⁾⁽²⁾		76,127		3,453,121
Global Payments Inc.		968		46,996
Intuit Inc.⁽¹⁾⁽²⁾		81,949		4,948,900
Microsoft Corp.		1,661,406		38,710,760

				55,918,096

TELECOMMUNICATIONS – 7.36%
ADTRAN Inc.		19,612		439,897
AT&T Inc.		203,517		5,676,089
CenturyTel Inc.⁽¹⁾		45,785		1,700,913
Cisco Systems Inc.⁽²⁾		1,426,654		27,862,553
Motorola Inc.⁽¹⁾		966,763		19,480,274
QUALCOMM Inc.		444,066		17,793,725
Verizon Communications Inc.⁽¹⁾		786,355		26,335,029

				99,288,480

TRANSPORTATION – 1.75%
Burlington Northern Santa Fe Corp.⁽¹⁾		137,509		10,897,588
C.H. Robinson Worldwide Inc.		8,852		471,812
Expeditors International Washington Inc.		2,060		115,381
Hunt (J.B.) Transport Services Inc.⁽¹⁾		98,324		2,449,251
Norfolk Southern Corp.		39,222		2,087,395
Overseas Shipholding Group Inc.⁽¹⁾		18,337		1,084,634
Ryder System Inc.⁽¹⁾		99,077		5,789,069
Teekay Shipping Corp.		18,474		772,952

				23,668,082

TOTAL COMMON STOCKS (Cost: $1,260,916,766)				1,361,220,345

SHORT-TERM INVESTMENTS – 11.65%

CERTIFICATES OF DEPOSIT⁽³⁾– 0.32%
Credit Suisse First Boston NY
5.28%, 04/23/07	$	138,501		138,501
Fortis Bank NY
4.43%, 07/20/06		346,093		346,093
Societe Generale
5.33%, 12/08/06		1,385,009		1,385,009
Toronto-Dominion Bank
3.94%, 07/10/06		692,505		692,505
Washington Mutual Bank
5.28%, 08/07/06		692,512		692,512
Wells Fargo Bank N.A.
4.78%, 12/05/06		1,108,008		1,108,008

				4,362,628

COMMERCIAL PAPER⁽³⁾– 2.44%
Amstel Funding Corp.
5.20% - 5.31%, 7/27/06 - 11/22/06⁽⁴⁾		3,866,641		3,844,917
ASAP Funding Ltd.
5.21%, 08/08/06⁽⁴⁾		664,805		661,341
Barton Capital Corp.
5.29%, 08/01/06⁽⁴⁾		1,323,917		1,318,275
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06⁽⁴⁾		526,304		525,064
CC USA Inc.
5.03%, 10/24/06⁽⁴⁾		277,002		272,628
Chariot Funding LLC
5.30%, 07/28/06⁽⁴⁾		1,043,397		1,039,557
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06⁽⁴⁾		3,038,226		3,037,365
Curzon Funding LLC
5.30%, 07/31/06⁽⁴⁾		1,385,009		1,379,300
Edison Asset Securitization LLC
5.22%, 12/11/06⁽⁴⁾		1,021,749		997,896
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06⁽⁴⁾		2,931,705		2,921,423
Five Finance Inc.
5.19%, 12/01/06⁽⁴⁾		623,254		609,686
General Electric Capital Services Inc.
5.22%, 12/11/06		138,501		135,268
Govco Inc.
5.22%, 08/03/06⁽⁴⁾		1,385,009		1,378,784
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06⁽⁴⁾		470,903		463,605
Jupiter Securitization Corp.
5.29%, 07/27/06⁽⁴⁾		346,252		345,031
Kitty Hawk Funding Corp.
5.24%, 07/20/06⁽⁴⁾		1,273,932		1,270,779
Landale Funding LLC
5.30%, 08/15/06⁽⁴⁾		1,523,510		1,513,866
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06⁽⁴⁾		2,144,410		2,128,097

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares or Principal		Value
COMMERCIAL PAPER *(Continued)*
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06⁽⁴⁾	$	1,398,859	$	1,394,754
Prudential Funding LLC
5.22%, 07/31/06		692,505		689,693
Ranger Funding Co. LLC
5.24%, 07/20/06⁽⁴⁾		1,385,009		1,381,582
Regency Markets No. 1 LLC
5.10%, 07/07/06⁽⁴⁾		1,622,802		1,621,882
Scaldis Capital LLC
5.30%, 07/25/06⁽⁴⁾		865,728		862,924
Sydney Capital Corp.
5.10%, 07/07/06⁽⁴⁾		1,515,062		1,514,203
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06⁽⁴⁾		1,692,883		1,688,694

				32,996,614

MEDIUM-TERM NOTES⁽³⁾– 0.28%
Bank of America N.A.
5.28%, 04/20/07		346,252		346,252
Dorada Finance Inc.
3.93%, 07/07/06⁽⁴⁾		429,353		429,352
K2 USA LLC
3.94%, 07/07/06⁽⁴⁾		831,006		831,005
Marshall & Ilsley Bank
5.18%, 12/15/06		1,385,009		1,387,164
Sigma Finance Inc.
5.13%, 03/30/07⁽⁴⁾		484,753		484,753
US Bank N.A.
2.85%, 11/15/06		277,002		275,116

				3,753,642

MONEY MARKET FUNDS – 0.37%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
5.20% ⁽⁵⁾⁽⁶⁾		4,943,221		4,943,221

				4,943,221

REPURCHASE AGREEMENTS⁽³⁾– 1.98%
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $2,771,257 (collateralized by non-U.S. Government debt securities, value $2,857,057, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	2,770,019		2,770,019
Bear Stearns Companies (The) Inc. Repurchase Agreement, 5.37%, due 07/3/06, maturity value $2,078,444 (collateralized by non-U.S. Government debt securities, value $2,288,452, 2.12% to 6.47%, 11/25/34 to 12/25/42).		2,077,514		2,077,514
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $2,771,257 (collateralized by non-U.S. Government debt securities, value $2,845,197, 5.36% to 6.00%, 12/25/35 to 12/25/42).		2,770,019		2,770,019
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 07/03/06, maturity value $3,464,070 (collateralized by non-U.S. Government debt securities, value $3,874,995, 0.00% to 10.00%, 6/1/28 to 12/15/35).		3,462,523		3,462,523
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $831,384 (collateralized by non-U.S. Government debt securities, value $940,733, 0.00% to 10.00%, 9/10/34 to 5/9/36).		831,006		831,006
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,385,628 (collateralized by non-U.S. Government debt securities, value $1,414,659, 5.22% to 5.42%, 7/3/06).		1,385,009		1,385,009
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $2,217,024 (collateralized by non-U.S. Government debt securities, value $2,330,027, 0.00% to 10.00%, 1/1/10 to 6/6/16).		2,216,015		2,216,015
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,385,628 (collateralized by non-U.S. Government debt securities, value $1,428,557, 6.38% to 8.49%, 1/7/09 to 2/23/36).		1,385,009		1,385,009
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,385,628 (collateralized by non-U.S. Government debt securities, value $1,428,575, 0.07% to 7.75%, 2/22/11 to 12/15/42).		1,385,009		1,385,009
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $2,771,257 (collateralized by non-U.S. Government debt securities, value $2,912,564, 0.00% to 8.57%, 6/25/23 to 4/25/46).		2,770,019		2,770,019

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
REPURCHASE AGREEMENTS *(Continued)*
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,385,628 (collateralized by non-U.S. Government debt securities, value $1,457,528, 3.79% to 7.22%, 5/15/07 to 3/15/42).	$	1,385,009	$	1,385,009
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $484,974 (collateralized by non-U.S. Government debt securities, value $513,161, 0.00% to 10.00%, 7/3/06 to 6/30/36).		484,753		484,753
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $1,019,811 (collateralized by non-U.S. Government debt securities, value $1,026,321, 0.00% to 10.00%, 7/3/06 to 6/30/36).⁽⁷⁾		969,507		969,507
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $2,771,262 (collateralized by non-U.S. Government debt securities, value $2,912,534, 0.00% to 10.00%, 1/1/10 to 5/6/16).		2,770,019		2,770,019

				26,661,430

TIME DEPOSITS⁽³⁾– 0.96%
ABN Amro Bank NV
5.30%, 07/03/06		1,385,009		1,385,009
KBC Bank NV
5.32%, 07/03/06		4,155,028		4,155,028
Societe Generale
5.32%, 07/03/06		3,462,523		3,462,523
UBS AG
5.25% - 5.34%, 07/03/06		3,993,107		3,993,107

				12,995,667

U.S. TREASURY OBLIGATIONS – 0.02%
U.S. Treasury Bill
4.73%, 09/21/06⁽⁸⁾⁽⁹⁾		300,000		296,811

				296,811

VARIABLE & FLOATING RATE NOTES⁽³⁾– 5.28%
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07⁽⁴⁾		3,545,624		3,546,122
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		1,038,757		1,038,750
American Express Centurion Bank
5.34%, 07/19/07		1,523,510		1,525,330
American Express Credit Corp.
5.23%, 07/05/07		415,503		415,778
ASIF Global Financing
5.17%, 05/03/07⁽⁴⁾		138,501		138,566
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07⁽⁴⁾		900,256		900,256
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07⁽⁴⁾		2,354,516		2,354,501
BMW US Capital LLC
5.20%, 07/13/07⁽⁴⁾		1,385,009		1,385,009
BNP Paribas
5.14%, 05/18/07⁽⁴⁾		2,562,267		2,562,267
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07⁽⁴⁾		1,011,057		1,011,057
Commodore CDO Ltd.
5.38%, 06/12/07⁽⁴⁾		346,252		346,252
Credit Agricole SA
5.31%, 07/23/07		1,385,009		1,385,009
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07⁽⁴⁾		1,385,009		1,385,009
DEPFA Bank PLC
5.37%, 06/15/07		1,385,009		1,385,009
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07⁽⁴⁾		1,592,761		1,592,887
Eli Lilly Services Inc.
5.08%, 06/29/07⁽⁴⁾		1,385,009		1,385,009
Fifth Third Bancorp
5.28%, 06/22/07⁽⁴⁾		2,770,019		2,770,019
First Tennessee Bank N.A.
5.21%, 08/25/06		415,503		415,508
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07⁽⁴⁾		1,038,757		1,038,662
General Electric Capital Corp.
5.25%, 04/09/07		623,254		623,594
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		2,077,514		2,077,901
HBOS Treasury Services PLC
5.53%, 04/24/07⁽⁴⁾		1,385,009		1,385,009
JP Morgan Chase & Co.
5.12%, 07/02/07		1,038,757		1,038,757
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07⁽⁴⁾		2,077,514		2,077,459
Leafs LLC
5.27%, 01/22/07 - 02/20/07⁽⁴⁾		1,447,361		1,447,361
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		1,731,262		1,730,699
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07⁽⁴⁾		1,523,510		1,523,378
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07⁽⁴⁾		673,101		673,101
Marshall & Ilsley Bank
5.18%, 07/13/07		761,755		761,755

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
VARIABLE & FLOATING RATE NOTES *(Continued)*
Metropolitan Life Global Funding I
5.15%, 07/06/07⁽⁴⁾	$	2,077,514	$	2,077,514
Mortgage Interest Networking Trust
5.54%, 08/25/06⁽⁴⁾		174,511		174,570
Mound Financing PLC
5.11%, 05/08/07⁽⁴⁾		1,301,909		1,301,909
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07⁽⁴⁾		1,385,009		1,384,929
National City Bank of Indiana
5.17%, 05/21/07		692,505		692,556
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07⁽⁴⁾		3,739,525		3,739,630
Newcastle Ltd.
5.34%, 04/24/07⁽⁴⁾		488,216		488,099
Northern Rock PLC
5.17%, 05/03/07⁽⁴⁾		1,662,011		1,662,052
Principal Life Global Funding I
5.63%, 02/08/07		623,254		625,012
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07⁽⁴⁾		1,038,757		1,038,702
Sigma Finance Inc.
5.51%, 06/18/07⁽⁴⁾		1,135,708		1,135,708
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07⁽⁴⁾		1,385,009		1,385,009
Strips III LLC
5.37%, 07/24/06⁽⁴⁾		323,770		323,770
SunTrust Bank
5.08%, 05/01/07		1,385,009		1,385,080
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07⁽⁴⁾		2,617,668		2,617,388
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06⁽⁴⁾		1,939,013		1,939,013
US Bank N.A.
5.28%, 09/29/06		623,254		623,215
Wachovia Asset Securitization Inc.
5.31%, 07/25/06⁽⁴⁾		2,217,124		2,217,124
Wachovia Bank N.A.
5.36%, 05/22/07		2,770,019		2,770,019
Wells Fargo & Co.
5.19%, 07/13/07⁽⁴⁾		692,505		692,550
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07⁽⁴⁾		1,246,508		1,246,495
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07⁽⁴⁾		1,369,774		1,365,270
Wind Master Trust
5.32%, 08/25/06 - 09/25/06⁽⁴⁾		467,773		467,773

				71,273,401

TOTAL SHORT-TERM INVESTMENTS (Cost: $157,283,326)				157,283,414

TOTAL INVESTMENTS IN SECURITIES – 112.53% (Cost: $1,418,200,092)				1,518,503,759

Other Assets, Less Liabilities – (12.53)%				(169,107,820	)

NET ASSETS – 100.00%			$	1,349,395,939

⁽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⁾

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

⁽⁵⁾

Affiliated issuer. See Note 2.

⁽⁶⁾

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

⁽⁷⁾

⁽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.

As of June 30, 2006, the open futures contracts held by the Master Portfolio were as follows:


*Futures Contracts* *(Expiration Date)*	Number of Contracts	Notional Contract Value		Net Unrealized Appreciation
S&P 500 Index (09/15/06)	16	$	5,117,600	$	47,378

				$	47,378

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

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Unaudited)

June 30, 2006


Security	Principal		Value
CORPORATE BONDS& NOTES – 27.85%
AEROSPACE & DEFENSE – 0.05%
Alliant Techsystems Inc.
6.75%, 04/01/16	$	500,000	$	481,250

				481,250

AGRICULTURE – 0.05%
Reynolds American Inc.
7.30%, 07/15/15⁽¹⁾		500,000		484,375

				484,375

APPAREL – 0.05%
Levi Strauss & Co.
9.75%, 01/15/15		500,000		500,000

				500,000

AUTO MANUFACTURERS – 0.31%
DaimlerChrysler N.A. Holding Corp.
4.13%, 03/07/07		2,000,000		1,977,480
4.75%, 01/15/08		1,000,000		983,649

				2,961,129

BANKS – 1.47%
Bank of America Corp.
7.80%, 02/15/10		4,500,000		4,805,208
HSBC Bank USA N.A.
5.88%, 11/01/34		3,000,000		2,740,344
HSBC Holdings PLC
5.25%, 12/12/12		3,000,000		2,897,574
Wachovia Corp.
5.50%, 08/01/35		3,000,000		2,638,425
WellPoint Inc.
5.00%, 12/15/14		1,250,000		1,162,615

				14,244,166

BIOTECHNOLOGY – 0.14%
Genentech Inc.
4.75%, 07/15/15		1,500,000		1,373,706

				1,373,706

BUILDING MATERIALS – 0.02%
Ainsworth Lumber Co. Ltd.
7.25%, 10/01/12		250,000		205,000

				205,000

CHEMICALS – 0.03%
PolyOne Corp.
8.88%, 05/01/12		250,000		250,937

				250,937

COMMERCIAL SERVICES – 0.63%
Avis Budget Car Rental LLC/Avis Budget Finance Inc.
7.63%, 05/15/14⁽¹⁾		250,000		242,500
Cendant Corp.
6.25%, 01/15/08		4,000,000		4,035,936
7.38%, 01/15/13		1,000,000		1,094,120
United Rentals North America Inc.
6.50%, 02/15/12		250,000		236,250
7.00%, 02/15/14		250,000		228,437
Williams Scotsman Inc.
8.50%, 10/01/15⁽¹⁾		250,000		246,875

				6,084,118

COMPUTERS – 0.08%
Sungard Data Systems Inc.
9.13%, 08/15/13⁽¹⁾		250,000		259,375
10.25%, 08/15/15⁽¹⁾		250,000		258,437
Unisys Corp.
8.00%, 10/15/12		250,000		232,500

				750,312

DIVERSIFIED FINANCIAL SERVICES – 5.82%
Boeing Capital Corp.
6.50%, 02/15/12		1,750,000		1,810,118
Caterpillar Financial Services Corp.
4.35%, 03/04/09		6,500,000		6,291,168
CIT Group Funding Company of Canada
4.65%, 07/01/10		2,150,000		2,061,583
CIT Group Inc.
5.26%, 02/21/08		1,250,000		1,250,171
5.75%, 09/25/07		5,000,000		4,997,170
E*Trade Financial Corp.
8.00%, 06/15/11		250,000		255,000
General Electric Capital Corp.
3.45%, 07/16/07		6,000,000		5,870,280
6.75%, 03/15/32		3,000,000		3,202,272
General Motors Acceptance Corp.
6.88%, 09/15/11		1,000,000		954,160
7.25%, 03/02/11		500,000		484,754
Genworth Global Funding Trusts
5.75%, 05/15/13		2,000,000		1,994,876
Goldman Sachs Group Inc.
3.88%, 01/15/09		3,000,000		2,874,225
5.13%, 01/15/15		1,500,000		1,402,318
Household Finance Corp.
4.13%, 12/15/08		2,000,000		1,932,838
HSBC Finance Corp.
4.13%, 03/11/08		2,000,000		1,952,558
Lehman Brothers Holdings Inc.
4.80%, 03/13/14		1,000,000		924,519
5.00%, 01/14/11		3,000,000		2,905,989
Merrill Lynch & Co. Inc.
5.20%, 10/19/07		8,000,000		8,012,896

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
DIVERSIFIED FINANCIAL SERVICES *(Continued)*
Residential Capital Corp.
6.00%, 02/22/11	$	5,000,000	$	4,844,875
6.38%, 06/30/10		2,200,000		2,170,060
SLM Corp.
5.63%, 04/10/07		1,000		999
Vanguard Health Holding Co. II LLC
9.00%, 10/01/14		250,000		249,375

				56,442,204

ELECTRIC – 2.41%
CMS Energy Corp.
7.75%, 08/01/10		500,000		507,500
Commonwealth Edison Co.
4.70%, 04/15/15		1,000,000		909,735
5.88%, 02/01/33		3,500,000		3,225,187
Constellation Energy Group Inc.
7.60%, 04/01/32		1,250,000		1,362,641
Mirant North America LLC
7.38%, 12/31/13⁽¹⁾		750,000		723,750
Northern States Power
5.25%, 07/15/35		2,500,000		2,152,430
NRG Energy Inc.
7.25%, 02/01/14		250,000		243,750
7.38%, 02/01/16		500,000		487,500
Pacific Gas & Electric Corp.
4.80%, 03/01/14		2,500,000		2,329,635
PSEG Power LLC
6.95%, 06/01/12		2,300,000		2,386,416
8.63%, 04/15/31		700,000		856,878
Reliant Energy Inc.
6.75%, 12/15/14		250,000		230,000
Sierra Pacific Resources
6.75%, 08/15/17		750,000		708,616
Southern California Edison Co.
5.00%, 01/15/16		1,300,000		1,209,458
TXU Corp.
5.55%, 11/15/14		250,000		226,754
TXU Energy Co.
6.13%, 03/15/08		5,750,000		5,758,682

				23,318,932

ELECTRONICS – 0.13%
Midwest Generation LLC
8.75%, 05/01/34		750,000		795,000
Sanmina-SCI Corp.
6.75%, 03/01/13⁽²⁾		250,000		233,125
8.13%, 03/01/16		250,000		243,750

				1,271,875

ENTERTAINMENT – 0.21%
AMC Entertainment Inc.
8.00%, 03/01/14		250,000		229,062
11.00%, 02/01/16		500,000		535,000
Gaylord Entertainment Co.
8.00%, 11/15/13		1,000,000		998,750
Six Flags Inc.
9.75%, 04/15/13		250,000		229,687

				1,992,499

ENVIRONMENTAL CONTROL – 0.47%
Allied Waste North America
7.25%, 03/15/15		250,000		238,750
Waste Management Inc.
6.50%, 11/15/08		2,722,000		2,764,545
7.13%, 10/01/07		1,543,000		1,564,719

				4,568,014

FOOD – 0.49%
Dean Foods Co.
7.00%, 06/01/16		500,000		483,750
Delhaize America Inc.
8.13%, 04/15/11		1,250,000		1,314,605
Safeway Inc.
4.80%, 07/16/07		3,000,000		2,965,797

				4,764,152

FOREST PRODUCTS & PAPER – 0.20%
Bowater Canada Finance
7.95%, 11/15/11		250,000		237,500
Domtar Inc.
7.88%, 10/15/11		250,000		235,000
Georgia-Pacific Corp.
7.70%, 06/15/15		250,000		238,750
Weyerhaeuser Co.
7.38%, 03/15/32		1,250,000		1,265,525

				1,976,775

HEALTH CARE – PRODUCTS – 0.02%
CDRV Investors Inc.
9.63%, 01/01/15		250,000		168,750

				168,750

HEALTH CARE – SERVICES – 1.15%
HCA Inc.
5.75%, 03/15/14		500,000		447,095
6.25%, 02/15/13		250,000		233,442
Res-Care Inc.
7.75%, 10/15/13		250,000		248,125
UnitedHealth Group Inc.
3.30%, 01/30/08		3,665,000		3,529,472
5.80%, 03/15/36		2,400,000		2,148,221
WellPoint Inc.
3.75%, 12/14/07		4,680,000		4,547,355

				11,153,710

HOLDING COMPANIES – DIVERSIFIED – 0.02%

Marquee Holdings Inc.
12.00%, 08/15/14		250,000		178,437

				178,437

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
HOME BUILDERS – 0.05%
Standard Pacific Corp.
7.00%, 08/15/15	$	500,000	$	443,750

				443,750

HOUSEHOLD PRODUCTS & WARES – 0.54%
Clorox Co. (The)
5.44%, 12/14/07		5,250,000		5,255,833

				5,255,833

INSURANCE – 2.51%
Allstate Financial Global Funding
2.50%, 06/20/08⁽¹⁾		4,970,000		4,685,636
American International Group Inc.
2.88%, 05/15/08		2,500,000		2,382,395
ASIF Global Financing XVII
3.85%, 11/26/07⁽¹⁾		6,500,000		6,346,210
Berkshire Hathaway Finance Corp.
5.08%, 01/11/08		1,400,000		1,401,424
Fairfax Financial Holdings Ltd.
7.75%, 04/26/12		250,000		217,500
Hancock (John) Financial Services Inc.
5.63%, 12/01/08		4,000,000		4,004,780
Markel Corp.
7.35%, 08/15/34		1,000,000		976,807
MetLife Inc.
5.38%, 12/15/12		4,500,000		4,351,023

				24,365,775

LEISURE TIME – 0.05%
Royal Caribbean Cruises Ltd.
7.00%, 06/15/13		500,000		495,464

				495,464

LODGING – 0.56%
Hilton Hotels Corp.
7.63%, 12/01/12		500,000		515,414
Marriott International Inc.
4.63%, 06/15/12		750,000		691,916
5.81%, 11/10/15		3,530,000		3,404,064
MGM Mirage
8.50%, 09/15/10		750,000		779,062

				5,390,456

MACHINERY – 0.06%
Case Corp.
7.25%, 01/15/16		250,000		236,250
Columbus McKinnon Corp.
10.00%, 08/01/10		325,000		352,625

				588,875

MEDIA – 0.72%
CCH I LLC
11.00%, 10/01/15		500,000		437,500
CCO Holdings LLC/CCO Holdings Capital Corp.
8.75%, 11/15/13		500,000		487,500
CMP Susquehanna Corp.
9.88%, 05/15/14⁽¹⁾		250,000		232,500
Comcast Corp.
6.45%, 03/15/37		3,000,000		2,817,855
CSC Holdings Inc.
7.63%, 04/01/11		500,000		500,000
Dex Media East LLC
12.13%, 11/15/12		325,000		364,813
DirecTV Holdings LLC
6.38%, 06/15/15		750,000		691,875
Echostar DBS Corp.
6.38%, 10/01/11		500,000		478,750
Liberty Media Corp.
8.25%, 02/01/30		250,000		239,285
NTL Cable PLC
8.75%, 04/15/04		500,000		496,250
PRIMEDIA Inc.
8.88%, 05/15/11⁽²⁾		250,000		240,000

				6,986,328

OFFICE & BUSINESS EQUIPMENT – 0.05%
Xerox Corp.
6.88%, 08/15/11		250,000		248,438
7.20%, 04/01/16		250,000		250,625

				499,063

OIL & GAS – 1.32%
Burlington Resources Finance Co.
7.20%, 08/15/31		2,300,000		2,574,827
Chesapeake Energy Corp.
6.50%, 08/15/17		250,000		228,125
6.88%, 01/15/16		500,000		472,500
Devon Financing Corp. ULC
7.88%, 09/30/31		700,000		799,375
Diamond Offshore Drilling Inc.
4.88%, 07/01/15		1,750,000		1,603,355
Enterprise Products Operating LP
4.63%, 10/15/09		2,000,000		1,916,094
5.75%, 03/01/35		1,500,000		1,272,531
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%, 11/01/15⁽¹⁾		250,000		238,750
Mariner Energy Inc.
7.50%, 04/15/13⁽¹⁾		250,000		240,625
Parker Drilling Co.
9.63%, 10/01/13		500,000		542,500
Pemex Project Funding Master Trust
8.50%, 02/15/08		1,000,000		1,040,000
Range Resources Corp.
7.50%, 05/15/16		250,000		246,875
Tesoro Corp.
6.25%, 11/01/12⁽¹⁾		250,000		237,500
Valero Energy Corp.
7.50%, 04/15/32		1,250,000		1,357,134

				12,770,191

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
OIL & GAS SERVICES – 0.06%
Grant Prideco Inc.
6.13%, 08/15/15	$	100,000	$	93,250
Weatherford International Ltd.
5.50%, 02/15/16		500,000		476,998

				570,248

PACKAGING & CONTAINERS – 0.17%
Crown Americas Inc.
7.63%, 11/15/13⁽¹⁾		500,000		491,250
Graham Packaging Co. Inc.
8.50%, 10/15/12		250,000		245,000
Stone Container Corp.
9.75%, 02/01/11		860,000		883,650

				1,619,900

PHARMACEUTICALS – 0.58%
AmerisourceBergen Corp.
5.63%, 09/15/12⁽¹⁾		1,750,000		1,671,250
5.88%, 09/15/15⁽¹⁾		250,000		235,625
Coventry Health Care Inc.
5.88%, 01/15/12		1,000,000		960,000
6.13%, 01/15/15		750,000		713,034
Omnicare Inc.
6.13%, 06/01/13		250,000		231,875
6.88%, 12/15/15		250,000		237,500
Teva Pharmaceutical Finance LLC
6.15%, 02/01/36		750,000		673,439
Warner Chilcott Corp.
8.75%, 02/01/15		900,000		927,000

				5,649,723

PIPELINES – 0.86%
ANR Pipeline Co.
8.88%, 03/15/10		500,000		528,127
Colorado Interstate Gas Co.
6.80%, 11/15/15		250,000		240,961
Copano Energy LLC
8.13%, 03/01/16⁽¹⁾		250,000		248,750
El Paso Corp.
7.80%, 08/01/31		250,000		242,813
Kinder Morgan Energy Partners LP
6.75%, 03/15/11		4,500,000		4,597,052
Pacific Energy Partners LP
6.25%, 09/15/15		250,000		242,500
Plains All American Pipeline LP
6.70%, 05/15/36⁽¹⁾		1,000,000		974,710
SemGroup LP
8.75%, 11/15/15⁽¹⁾		500,000		497,500
Williams Companies Inc.
7.13%, 09/01/11		500,000		500,000
8.75%, 03/15/32		250,000		271,875

				8,344,288

REAL ESTATE INVESTMENT TRUSTS – 1.37%
Duke Realty LP
5.70%, 12/22/06		4,250,000		4,253,536
Omega Healthcare Investors Inc.
7.00%, 01/15/16		250,000		238,125
Rouse Co. LP/TRC Co-Issuer Inc.
6.75%, 05/01/13⁽¹⁾		500,000		486,953
Simon Property Group LP
5.75%, 05/01/12		3,000,000		2,955,462
6.38%, 11/15/07		5,341,000		5,363,229

				13,297,305

RETAIL – 0.83%
Asbury Automotive Group Inc.
9.00%, 06/15/12		250,000		247,500
Denny’s Corp./Denny’s Holdings Inc.
10.00%, 10/01/12		500,000		497,500
Inergy LP
6.88%, 12/15/14		750,000		697,500
8.25%, 03/01/16		250,000		252,500
NPC International Inc.
9.50%, 05/01/14⁽¹⁾		250,000		241,875
Penney (J.C.) Co. Inc.
7.65%, 08/15/16		250,000		271,615
7.95%, 04/01/17		250,000		279,309
Staples Inc.
7.38%, 10/01/12		740,000		790,007
Tricon Global Restaurants
7.65%, 05/15/08		3,000,000		3,091,734
8.88%, 04/15/11		1,550,000		1,726,300

				8,095,840

SEMICONDUCTORS – 0.11%
Advanced Micro Devices Inc.
7.75%, 11/01/12		162,000		165,240
Amkor Technology Inc.
7.13%, 03/15/11		250,000		226,875
9.25%, 06/01/16		250,000		236,875
Sensata Technologies BV
8.00%, 05/01/14⁽¹⁾		500,000		482,500

				1,111,490

SOFTWARE – 0.35%
Oracle Corp.
5.25%, 01/15/16		1,500,000		1,404,765
5.28%, 01/13/09		2,000,000		2,001,208

				3,405,973

TELECOMMUNICATIONS – 3.48%
Ameritech Capital Funding Corp.
6.15%, 01/15/08		1,265,000		1,268,428
AT&T Wireless Services Inc.
8.75%, 03/01/31		1,000,000		1,226,024

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
TELECOMMUNICATIONS *(Continued)*
Citizens Communications Co.
6.25%, 01/15/13	$	500,000	$	472,500
Corning Inc.
6.05%, 06/15/15		2,500,000		2,459,945
Deutsche Telekom International Finance AG
8.00%, 06/15/10		5,000,000		5,367,850
8.25%, 06/15/30		3,000,000		3,463,650
Dobson Communications Corp.
8.88%, 10/01/13		250,000		245,625
Embarq Corp.
6.74%, 06/01/13		1,750,000		1,744,706
8.00%, 06/01/36		1,250,000		1,256,379
France Telecom SA
7.75%, 03/01/11		2,500,000		2,685,513
Motorola Inc.
4.61%, 11/16/07		5,700,000		5,617,966
Nextel Communications Inc.
5.95%, 03/15/14		2,200,000		2,113,417
Nextel Partners Inc.
8.13%, 07/01/11		3,000,000		3,138,750
Qwest Corp.
8.88%, 03/15/12		250,000		263,750
Telecom Italia Capital SA
5.25%, 10/01/15		2,500,000		2,262,815
Verizon New York Inc.
7.38%, 04/01/32		150,000		147,867

				33,735,185

TRANSPORTATION – 0.43%
CNF Inc.
6.70%, 05/01/34		2,500,000		2,350,313
Norfolk Southern Corp.
5.59%, 05/17/25		598,000		557,082
7.25%, 02/15/31		652,000		723,953
8.63%, 05/15/10		500,000		548,468

				4,179,816

TOTAL CORPORATE BONDS & NOTES (Cost: $281,541,658)				269,975,844

ASSET-BACKED SECURITIES – 8.81%
Aegis Asset Backed Securities Trust Series 2005-1N Class N1
4.25%, 03/25/35⁽¹⁾		133,359		133,243
Asset Backed Funding Certificates Series 2005-AQ1 Class A2
4.30%, 06/25/35		7,700,000		7,566,507
Bear Stearns Asset Backed Securities Inc. Series 2006-EC1 Class M2
5.75%, 12/25/35		2,500,000		2,506,554
Bear Stearns Asset Backed Securities NIM Series 2005-FR1 Class A1
5.00%, 06/25/35⁽¹⁾		518,195		516,368
Bear Stearns Asset Backed Securities NIM Series 2005-HE9N Class A1
1 5.50%, 10/25/35⁽¹⁾		1,860,289		1,857,212
Countrywide Asset-Backed Certificates Series 2004-10 Class AF3
3.84%, 10/25/30		2,245,589		2,224,186
Countrywide Asset-Backed Certificates Series 2004-10 Class AF4
4.51%, 07/25/32		7,500,000		7,383,251
Countrywide Asset-Backed Certificates Series 2006-7 Class M2
5.38%, 06/28/16⁽³⁾		6,000,000		6,000,000
Dunkin Securitization Series 2006-1 Class A2
5.78%, 06/20/31⁽¹⁾		13,000,000		12,904,762
First Franklin Mortgage Loan Asset Backed Certificates Series 2006-FF8 Class M1
5.34%, 07/25/36⁽³⁾		6,200,000		6,200,000
First Franklin NIM Trust Series 2005-FFH2 Class B
6.00%, 04/27/35⁽¹⁾		3,903,691		3,881,995
Home Equity Asset Trust Series 2006-2 Class M2
5.72%, 05/25/36⁽¹⁾		6,000,000		6,019,613
JP Morgan Mortgage Acquisition Corp. Series 2006-HE1 Class M2
5.72%, 01/25/36		2,558,000		2,566,259
Long Beach Asset Holdings Corp. Series 2005-1 Class N1
4.12%, 02/25/35⁽¹⁾		264,677		264,331
MASTR ABS NIM Trust Series 2004-CIass N1
5.50%, 04/26/34⁽¹⁾⁽³⁾		335,023		334,185
MASTR Asset Backed Securities Trust Series 2006-HE2 Class M1
5.53%, 06/25/36⁽³⁾		2,200,000		2,200,000
MASTR Asset Backed Securities Trust Series 2006-HE2 Class M2
5.56%, 06/25/36⁽³⁾		2,450,000		2,450,000
New Century Home Equity Loan Trust Series 2005-2 Class A2MZ
5.58%, 06/25/35		8,510,597		8,522,782
Novastar Home Equity Loan Series 2006-2 Class M1
5.47%, 06/25/36⁽³⁾		4,000,000		4,000,000
Novastar NIM Trust Series 2004-N3
3.97%, 03/25/35⁽¹⁾		439,512		438,510
Sasco Net Interest Margin Trust Series 2005-NC2A Class A
5.50%, 05/27/35⁽¹⁾		1,500,042		1,496,757
Sasco Net Interest Margin Trust Series 2005-WF1A Class A
4.75%, 02/27/35⁽¹⁾		1,906,074		1,899,963

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
ASSET-BACKED SECURITIES *(Continued)*
Structured Asset Investment Loan Trust Series 2005-HE3 Class M3
5.85%, 09/25/35	$	4,000,000	$	4,023,736

TOTAL ASSET-BACKED SECURITIES (Cost: $85,459,838)				85,390,214

COLLATERALIZED MORTGAGE OBLIGATIONS – 19.79%
MORTGAGE-BACKED SECURITIES – 19.79%
Ameriquest Mortgage Securities Inc. Series 2005-R3 Class A1A
5.28%, 05/25/35		2,765,614		2,767,632
Bank of America Alternative Loan Trust Series 2003-5 Class 2A1
5.00%, 07/25/18		3,639,580		3,470,114
Bear Stearns Commercial Mortgage Securities Series 2002-PBW1 Class X1
0.37%, 11/11/35⁽¹⁾		88,104,017		3,066,311
Bear Stearns Commercial Mortgage Securities Series 2006-T22 Class A3
5.63%, 04/12/38		7,000,000		6,874,883
Commercial Mortgage Pass Through Certificates Series 2001-J2A Class XC
0.62%, 07/16/34⁽¹⁾		101,705,284		2,266,136
Commercial Mortgage Pass Through Certificates Series 2005-F10A Class AJ2
5.39%, 04/15/17⁽¹⁾		9,000,000		9,001,101
Commercial Mortgage Pass Through Certificates Series 2005-F10A Class MOA1
5.38%, 03/15/20⁽¹⁾		6,000,000		6,000,872
Countrywide Alternative Loan Trust Series 2006-4CB Class 1A1
6.00%, 04/25/36		5,453,884		5,453,125
Countrywide Alternative Loan Trust Series 2006-5T2 Class A3
6.00%, 04/25/36		14,100,886		14,102,087
Countrywide Alternative Loan Trust Series 2006-7CB Class 1A9
6.00%, 05/25/36		9,671,879		9,666,907
Countrywide Alternative Loan Trust Series 2006-9T Class 1A1
6.00%, 05/25/36		7,734,671		7,732,265
Countrywide Alternative Loan Trust Series 2006-OA6 Class 2A
6.99%, 07/25/46⁽³⁾		9,265,656		9,506,852
Countrywide Home Loan Mortgage Pass Through Trust Series 2006-HYB4 Class 1A1
5.65%, 06/20/36		14,973,896		14,900,047
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-5 Class 5A1
5.00%, 08/25/19		4,737,285		4,501,904
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C2 Class A5
0.10%, 05/15/36⁽¹⁾		229,388,050		3,466,971
Global Signal Trust Series 2006-1 Class C
5.71%, 02/15/36⁽¹⁾		3,000,000		2,942,843
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2002-CIB5 Class X1
0.58%, 10/12/37⁽¹⁾		237,645,972		10,181,538
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP5 Class A3
5.37%, 12/15/44		4,000,000		3,875,508
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2006-FL1A Class H
5.95%, 02/15/20⁽¹⁾		2,000,000		1,999,388
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2006-LDP6 Class A3B
5.56%, 04/15/43		10,000,000		9,783,395
LB-UBS Commercial Mortgage Trust Series 2003-C3 Class XCL
0.49%, 02/15/37⁽¹⁾		120,065,302		3,374,723
Master Asset Securitization Trust Series 2003-5 Class 4A4
5.50%, 06/25/33		2,583,584		2,500,183
MASTR Adjustable Rate Mortgages Trust Series 2004-11 Class 2A1
5.70%, 11/25/34		296,439		297,695
MASTR Alternative Loans Trust Series 2006-2 Class 1A2
6.00%, 03/25/36		9,881,346		9,896,981
Merrill Lynch Mortgage Investors Inc. Series 2005-WMC2 Class A1B
5.58%, 04/25/36		3,360,720		3,362,553
Merrill Lynch Mortgage Trust Series 2005-LC1 Class A3
5.29%, 01/12/44		3,000,000		2,913,425
Morgan Stanley Capital I Series 2003-T11 Class X1
0.20%, 06/13/41⁽¹⁾		575,405,152		7,006,651
Opteum NIM Trust Series 2005-1
6.00%, 02/25/35⁽¹⁾		956,196		954,864
Option One Mortgage Loan Trust Series 2002-2 Class M2
6.47%, 06/25/32		747,885		748,425

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
MORTGAGE-BACKED SECURITIES *(Continued)*
Park Place Securities Inc. Series 2004-MHQ1 Class A3
5.68%, 01/25/33	$	1,109,315	$	1,110,587
Residential Accredit Loans Inc. Series 2006-QS3 Class 1A10
6.00%, 03/25/36		4,342,107		4,342,559
Residential Funding Mortgage Securities I Series 2003-S15 Class A1
4.50%, 08/25/18		2,083,762		1,944,463
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 Class A3
5.46%, 12/15/44		10,000,000		9,725,782
Wachovia Bank Commercial Mortgage Trust Series 2005-WHL6
5.70%, 10/15/17⁽¹⁾		5,000,000		5,000,319
5.75%, 10/15/17⁽¹⁾		5,000,000		5,000,634
Wells Fargo Mortgage-Backed Securities Trust Series 2003-10 Class A1
4.50%, 09/25/18		2,183,638		2,038,972

				191,778,695

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost: $193,438,240)				191,778,695

FOREIGN GOVERNMENT BONDS & NOTES⁽⁴⁾– 0.28%
United Mexican States
7.50%, 04/08/33		1,000,000		1,062,500
8.38%, 01/14/11		1,500,000		1,635,000

TOTAL FOREIGN GOVERNMENT BONDS & NOTES (Cost: $2,874,926)				2,697,500

U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 42.35%
MORTGAGE-BACKED SECURITIES – 34.64%
Federal Home Loan Mortgage Corp.
4.50%, 11/01/18		7,230,203		6,838,647
5.00%, 07/01/21⁽⁵⁾		15,000,000		14,432,820
5.00%, 12/15/34		2,690,210		322,229
5.40%, 04/15/28		4,333,256		4,333,559
5.50%, 03/15/20		2,593,241		128,721
5.50%, 05/15/24		9,962,206		887,667
5.50%, 03/15/25		3,838,424		360,369
5.50%, 05/15/29		7,731,018		941,291
5.50%, 10/01/32		17,070,348		16,465,223
5.50%, 05/01/34		88,452		85,182
5.50%, 10/01/34		677,410		652,364
5.88%, 05/15/16		12,805,354		12,762,400
6.00%, 07/01/36⁽⁵⁾		39,000,000		38,390,625
6.50%, 07/01/36⁽⁵⁾		10,000,000		10,056,250
Federal National Mortgage Association
4.50%, 05/01/18		5,059,074		4,792,919
4.50%, 07/01/18		7,859,786		7,446,286
4.50%, 11/01/18		5,209,451		4,935,385
4.57%, 06/01/35		8,336,784		8,094,795
5.00%, 01/01/18		1,609,963		1,554,101
5.00%, 09/01/18		9,740,668		9,402,238
5.00%, 12/01/18		815,295		786,968
5.00%, 01/01/19		716,247		691,362
5.00%, 06/01/19		1,583,650		1,528,089
5.00%, 08/01/19		879,730		848,579
5.00%, 09/01/19		707,896		682,829
5.00%, 11/01/19		1,654,593		1,596,005
5.00%, 01/01/20		825,858		795,631
5.00%, 05/01/20		8,465,590		8,155,745
5.00%, 06/01/20		786,233		757,457
5.00%, 11/01/33		57,062,493		53,598,881
5.00%, 12/01/33		18,319,722		17,207,741
5.00%, 03/01/34		9,132,370		8,578,048
5.00%, 09/01/35		449,961		420,882
5.00%, 07/01/36⁽⁵⁾		4,000,000		3,738,752
5.03%, 07/01/35		3,410,274		3,314,187
5.23%, 05/01/35		2,636,140		2,576,656
5.50%, 09/01/19		5,693,703		5,593,452
5.50%, 10/01/19		4,282,090		4,206,694
5.50%, 07/01/33		35,247,950		34,003,712
5.50%, 01/01/34		7,940,929		7,660,618
5.50%, 03/01/35		1,378,125		1,324,616
5.50%, 07/01/36⁽⁵⁾		10,000,000		9,603,120
6.00%, 03/01/33		688,894		680,154
6.00%, 08/01/34		677,864		668,527
7.00%, 07/01/35		998,335		1,021,462
7.00%, 01/01/36		1,874,890		1,918,090
7.00%, 02/01/36		1,897,331		1,941,049
7.00%, 03/01/36		3,716,375		3,802,007
7.00%, 04/01/36		638,592		653,307
Government National Mortgage Association
5.50%, 07/01/36⁽⁵⁾		15,000,000		14,535,930

				335,773,621

U.S. GOVERNMENT SECURITIES – 7.71%
U.S. Treasury Bonds
5.38%, 02/15/31⁽²⁾		34,050,000		34,637,907
6.13%, 08/15/29⁽²⁾		7,800,000		8,672,625
U.S. Treasury Inflation Indexed Bond
1.88%, 07/15/15		22,777,920		21,613,217
U.S. Treasury Notes
2.63%, 05/15/08⁽⁶⁾		398,000		380,043
3.13%, 04/15/09⁽⁶⁾		605,000		573,852
4.00%, 02/15/14⁽²⁾⁽⁶⁾		9,500,000		8,825,348

				74,702,992

TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost: $425,051,298)				410,476,613

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Shares or Principal		Value
SHORT-TERM INVESTMENTS – 14.39%
CERTIFICATES OF DEPOSIT⁽⁷⁾– 0.15%
Credit Suisse First Boston NY
5.28%, 04/23/07	$	44,895	$	44,895
Fortis Bank NY
4.43%, 07/20/06		112,186		112,186
Societe Generale
5.33%, 12/08/06		448,952		448,952
Toronto-Dominion Bank
3.94%, 07/10/06		224,476		224,476
Washington Mutual Bank
5.28%, 08/07/06		224,476		224,476
Wells Fargo Bank N.A.
4.78%, 12/05/06		359,162		359,162

				1,414,147

COMMERCIAL PAPER⁽⁷⁾– 1.10%
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06⁽¹⁾		1,253,375		1,246,340
ASAP Funding Ltd.
5.21%, 08/08/06⁽¹⁾		215,497		214,374
Barton Capital Corp.
5.29%, 08/01/06⁽¹⁾		429,149		427,320
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06⁽¹⁾		170,602		170,200
CC USA Inc.
5.03%, 10/24/06⁽¹⁾		89,790		88,373
Chariot Funding LLC
5.30%, 07/28/06⁽¹⁾		338,218		336,973
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06⁽¹⁾		984,844		984,565
Curzon Funding LLC
5.30%, 07/31/06⁽¹⁾		448,952		447,101
Edison Asset Securitization LLC
5.22%, 12/11/06⁽¹⁾		331,201		323,469
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06⁽¹⁾		950,315		946,982
Five Finance Inc.
5.19%, 12/01/06⁽¹⁾		202,028		197,630
General Electric Capital Services Inc.
5.22%, 12/11/06		44,895		43,847
Govco Inc.
5.22%, 08/03/06⁽¹⁾		448,952		446,934
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06⁽¹⁾		152,644		150,278
Jupiter Securitization Corp.
5.29%, 07/27/06⁽¹⁾		112,238		111,842
Kitty Hawk Funding Corp.
5.24%, 07/20/06⁽¹⁾		412,946		411,924
Landale Funding LLC
5.30%, 08/15/06⁽¹⁾		493,847		490,721
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06⁽¹⁾		695,112		689,824
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06⁽¹⁾		453,442		452,111
Prudential Funding LLC
5.22%, 07/31/06		224,476		223,565
Ranger Funding Co. LLC
5.24%, 07/20/06⁽¹⁾		448,952		447,841
Regency Markets No. 1 LLC
5.10%, 07/07/06⁽¹⁾		526,033		525,735
Scaldis Capital LLC
5.30%, 07/25/06⁽¹⁾		280,626		279,718
Sydney Capital Corp.
5.10%, 07/07/06⁽¹⁾		491,109		490,830
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06⁽¹⁾		548,750		547,392

				10,695,889

MEDIUM-TERM NOTES⁽⁷⁾– 0.13%
Bank of America N.A.
5.28%, 04/20/07		112,238		112,238
Dorada Finance Inc.
3.93%, 07/07/06⁽¹⁾		139,175		139,175
K2 USA LLC
3.94%, 07/07/06⁽¹⁾		269,371		269,371
Marshall & Ilsley Bank
5.18%, 12/15/06		448,952		449,650
Sigma Finance Inc.
5.13%, 03/30/07⁽¹⁾		157,133		157,133
US Bank N.A.
2.85%, 11/15/06		89,790		89,179

				1,216,746

MONEY MARKET FUNDS – 9.16%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
5.20%⁽⁸⁾⁽⁹⁾		88,814,596		88,814,596

				88,814,596

REPURCHASE AGREEMENTS^{(7 )}– 0.89%
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $898,305 (collateralized by non-U.S. Government debt securities, value $926,118, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	897,904		897,904
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $673,730 (collateralized by non-U.S. Government debt securities, value $741,804, 2.12% to 6.47%, 11/25/34 to 12/25/42).		673,428		673,428

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
REPURCHASE AGREEMENTS *(Continued)*
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,122,882 (collateralized by non-U.S. Government debt securities, value $1,256,083, 0.00% to 10.00%, 6/1/28 to 12/15/35).	$	1,122,380	$	1,122,380
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $898,305 (collateralized by non-U.S. Government debt securities, value $922,273, 5.36% to 6.00%, 12/25/35 to 12/25/42).		897,904		897,904
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $269,494 (collateralized by non-U.S. Government debt securities, value $304,939, 0.00% to 10.00%, 9/10/34 to 5/09/36).		269,371		269,371
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $449,153 (collateralized by non-U.S. Government debt securities, value $458,563, 5.22% to 5.42%, 7/3/06).		448,952		448,952
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $718,650 (collateralized by non-U.S. Government debt securities, value $755,280, 0.00% to 10.00%, 1/1/10 to 6/6/16).		718,323		718,323
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $449,153 (collateralized by non-U.S. Government debt securities, value $463,068, 6.38% to 8.49%, 1/7/09 to 2/23/36).		448,952		448,952
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $449,153 (collateralized by non-U.S. Government debt securities, value $463,074, 0.07% to 7.75%, 2/22/11 to 12/15/45).		448,952		448,952
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $898,305 (collateralized by non-U.S. Government debt securities, value $944,110, 0.00% to 8.57%, 6/25/23 to 4/25/46).		897,904		897,904
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $449,153 (collateralized by non-U.S. Government debt securities, value $472,459, 3.79% to 7.22%, 5/15/07 to 3/15/42).		448,952		448,952
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $157,205 (collateralized by non-U.S. Government debt securities, value $166,342, 0.00% to 10.00%, 7/3/06 to 6/30/36).		157,133		157,133
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $330,572 (collateralized by non-U.S. Government debt securities, value $332,683, 0.00% to 10.00%, 7/3/06 to 6/30/36).⁽¹⁰⁾		314,266		314,266
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $898,307 (collateralized by non-U.S. Government debt securities, value $944,100, 0.00% to 10.00%, 1/1/10 to 5/6/16).		897,904		897,904

				8,642,325

TIME DEPOSITS⁽⁷⁾– 0.44%
ABN Amro Bank NV
5.30%, 07/03/06		448,952		448,952
KBC Bank NV
5.32%, 07/03/06		1,346,856		1,346,856
Societe Generale
5.32%, 07/03/06		1,122,380		1,122,380
UBS AG
5.25% - 5.34%, 07/03/06		1,294,369		1,294,369

				4,212,557

VARIABLE & FLOATING RATE NOTES – 2.52%
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07⁽¹⁾⁽⁷⁾		1,149,317		1,149,479
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07⁽⁷⁾		336,714		336,712
American Express Centurion Bank
5.34%, 07/19/07⁽⁷⁾		493,847		494,437
American Express Credit Corp.
5.23%, 07/05/07⁽⁷⁾		134,686		134,775
ASIF Global Financing
5.17%, 05/03/07⁽¹⁾⁽⁷⁾		44,895		44,916
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07⁽¹⁾⁽⁷⁾		291,819		291,819

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal		Value
VARIABLE & FLOATING RATE NOTES *(Continued)*
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07⁽¹⁾⁽⁷⁾	$	763,218	$	763,214
BMW US Capital LLC
5.20%, 07/13/07⁽¹⁾⁽⁷⁾		448,952		448,952
BNP Paribas
5.14%, 05/18/07⁽¹⁾⁽⁷⁾		830,561		830,561
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07⁽¹⁾⁽⁷⁾		327,735		327,735
Collateral JP Morgan Chase
5.13%, 04/01/20⁽¹¹⁾		1,350,000		1,350,000
Commodore CDO Ltd.
5.38%, 06/12/07⁽¹⁾⁽⁷⁾		112,238		112,238
Credit Agricole SA
5.31%, 07/23/07⁽⁷⁾		448,952		448,952
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07⁽¹⁾⁽⁷⁾		448,952		448,952
DEPFA Bank PLC
5.37%, 06/15/07⁽⁷⁾		448,952		448,952
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07⁽¹⁾⁽⁷⁾		516,295		516,336
Eli Lilly Services Inc.
5.08%, 06/29/07⁽¹⁾⁽⁷⁾		448,952		448,952
Fifth Third Bancorp
5.28%, 06/22/07⁽¹⁾⁽⁷⁾		897,904		897,904
First Tennessee Bank N.A.
5.21%, 08/25/06⁽⁷⁾		134,686		134,687
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07⁽¹⁾⁽⁷⁾		336,714		336,683
General Electric Capital Corp.
5.25%, 04/09/07⁽⁷⁾		202,028		202,138
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07⁽⁷⁾		673,428		673,553
HBOS Treasury Services PLC
5.53%, 04/24/07⁽¹⁾⁽⁷⁾		448,952		448,952
JP Morgan Chase & Co.
5.12%, 07/02/07⁽⁷⁾		336,714		336,714
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07⁽¹⁾⁽⁷⁾		673,428		673,410
Leafs LLC
5.27%, 01/22/07 - 02/20/07⁽¹⁾⁽⁷⁾		469,163		469,163
Lexington Parker Capital Co. LLC
4.96%, 01/10/07⁽⁷⁾		561,190		561,008
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07⁽¹⁾⁽⁷⁾		493,847		493,804
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07⁽¹⁾⁽⁷⁾		218,186		218,186
Marshall & Ilsley Bank
5.18%, 07/13/07⁽⁷⁾		246,924		246,924
Metropolitan Life Global Funding I
5.15%, 07/06/07⁽¹⁾⁽⁷⁾		673,428		673,428
Mortgage Interest Networking Trust
5.54%, 08/25/06⁽¹⁾⁽⁷⁾		56,568		56,587
Mound Financing PLC
5.11%, 05/08/07⁽¹⁾⁽⁷⁾		422,015		422,015
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07⁽¹⁾⁽⁷⁾		448,952		448,926
National City Bank of Indiana
5.17%, 05/21/07⁽⁷⁾		224,476		224,493
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07⁽¹⁾⁽⁷⁾		1,212,171		1,212,205
Newcastle Ltd.
5.34%, 04/24/07⁽¹⁾⁽⁷⁾		158,256		158,218
Northern Rock PLC
5.17%, 05/03/07⁽¹⁾⁽⁷⁾		538,742		538,756
Principal Life Global Funding I
5.63%, 02/08/07⁽⁷⁾		202,028		202,598
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07⁽¹⁾⁽⁷⁾		336,714		336,696
Sigma Finance Inc.
5.51%, 06/18/07⁽¹⁾⁽⁷⁾		368,141		368,141
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07⁽¹⁾⁽⁷⁾		448,952		448,952
Strips III LLC
5.37%, 07/24/06⁽¹⁾⁽⁷⁾		104,950		104,950
SunTrust Bank
5.08%, 05/01/07⁽⁷⁾		448,952		448,975
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07⁽¹⁾⁽⁷⁾		848,519		848,429
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06⁽¹⁾⁽⁷⁾		628,533		628,533
US Bank N.A.
5.28%, 09/29/06⁽⁷⁾		202,028		202,016
Wachovia Asset Securitization Inc.
5.31%, 07/25/06⁽¹⁾⁽⁷⁾		718,683		718,682
Wachovia Bank N.A.
5.36%, 05/22/07⁽⁷⁾		897,904		897,904
Wells Fargo & Co.
5.19%, 07/13/07⁽¹⁾⁽⁷⁾		224,476		224,491
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07⁽¹⁾⁽⁷⁾		404,057		404,052
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07⁽¹⁾⁽⁷⁾		444,014		442,553
Wind Master Trust
5.32%, 08/25/06 - 09/25/06⁽¹⁾⁽⁷⁾		151,629		151,629

				24,453,337

TOTAL SHORT-TERM INVESTMENTS (Cost: $139,449,597)				139,449,597

TOTAL INVESTMENTS IN SECURITIES – 113.47% (Cost: $1,127,815,557)				1,099,768,463

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Principal			Value
SECURITIES SOLD SHORT – (1.46)%
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – (1.46)%
Federal National Mortgage Association
4.50%, 07/01/21⁽⁵⁾	$	(15,000,000	)	$	(14,175,000	)

					(14,175,000	)

TOTAL SECURITIES SOLD SHORT (Proceeds: $14,292,188)					(14,175,000	)

Other Assets, Less Liabilities – (12.01)%					(116,420,402	)

NET ASSETS – 100.00%				$	969,173,061

⁽¹⁾

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

⁽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⁾

Affiliated issuer. See Note 2.

⁽⁹⁾

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

⁽¹⁰⁾

⁽¹¹⁾

All or a portion of this security is held as collateral for open swaps contracts. See Note 1.

As of June 30, 2006, the open futures contracts held by the Master Portfolio were as follows:


*Futures Contracts* *(Expiration Date)*	Number of Contracts		Notional Contract Value			Net Unrealized Appreciation (Depreciation)
U.S. 5-Year Note (10/04/06)	813		$	84,069,281		$	(403,783	)
U.S. 10-Year Note (09/29/06)	253			26,529,422			10,188
U.S. 2-Year Note (10/04/06)	157			31,836,656			(7,201	)
U.S. Long Bond (09/29/06)	(27	)		(2,879,719	)		10,107

						$	(390,689	)

As of June 30, 2006, the Master Portfolio held the following open swap contracts:


*Description*	Notional Amount		Net Unrealized Appreciation (Depreciation)
Credit Default Swaps
Agreement with Deutsche Bank AG dated 5/28/06 to pay 3.45% 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 6/20/11.	$	3,500,000	$	17,062
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		2,522
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		56,740
Agreement with J.P. Morgan Chase & Co. dated 3/28/06 to pay 3.45% 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 6/20/11.		7,000,000		33,769
Agreement with Lehman Brothers, Inc. dated 3/20/06 to receive 0.36% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Petroleos Mexicanos 9.50% due 9/15/27. Expiring 4/20/08.		5,250,000		(12,080	)

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


*Description*	Notional Amount		Net Unrealized Appreciation (Depreciation)
Credit Default Swaps *(Continued)*
Agreement with Lehman Brothers, Inc. dated 4/5/06 to receive 0.39% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Petroleos Mexicanos 9.50% due 9/15/27. Expiring 4/20/08.	$	2,000,000	$	(3,765	)

			$	94,248

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	$	(228,620	)
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		(225,147	)
Agreement with Deutsche Bank AG dated 3/24/06 paying the notional amount multiplied by the three-month LIBOR rate, and receiving a fixed rate of 5.16%. Expiring 3/28/13.		10,000,000		289,224
Agreement with Deutsche Bank AG dated 5/16/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.46%. Expiring 5/18/11.		5,000,000		37,816
Agreement with Goldman Sachs Group Inc. dated 5/17/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.53%. Expiring 5/19/11.		2,400,000		11,779
Agreement with Goldman Sachs Group Inc. dated 5/22/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.43%. Expiring 5/24/11.		10,500,000		92,983
Agreement with J.P Morgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.30%. Expiring 4/20/08.		3,400,000		20,332
Agreement with J.P. Morgan Chase & Co. dated 1/17/06 paying the notional amount multiplied by the three-month LIBOR rate, and receiving a fixed rate of 4.90%. Expiring 1/9/16.		29,000,000		(376,895	)
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		(1,519,917	)
Agreement with J.P. Morgan Chase & Co. dated 3/8/06 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 5.28%. Expiring 3/10/16.		4,000,000		(130,534	)
Agreement with J.P. Morgan Chase & Co. dated 3/8/06 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 5.32%. Expiring 3/10/26.		2,000,000		(112,901	)
Agreement with J.P. Morgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.31%. Expiring 4/20/09.		2,900,000		22,603
Agreement with J.P. Morgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.38%. Expiring 4/20/11.		1,700,000		18,700
Agreement with J.P. Morgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.45%. Expiring 4/20/13.		900,000		11,832

			$	(2,088,745	)

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006

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

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

June 30, 2006

LifePath Retirement Master Portfolio


*Security Type*	*Value*		*% of Net* *Assets*
Domestic Fixed Income	$	154,231,995	61.33	%
Domestic Equity		68,486,765	27.23
Foreign Equity		25,993,375	10.34
Short-Term and Other Net Assets		2,773,566	1.10

TOTAL	$	251,485,701	100.00	%


LifePath 2010 Master Portfolio
*Security Type*	*Value*		*% of* Net Assets
Domestic Fixed Income	$	381,836,598	51.19	%
Domestic Equity		257,587,391	34.53
Foreign Equity		95,483,197	12.80
Short-Term and Other Net Assets		11,017,841	1.48

TOTAL	$	745,925,027	100.00	%


LifePath 2020 Master Portfolio
*Security Type*	*Value*		*% of* Net Assets
Domestic Equity	$	610,426,978	48.67	%
Domestic Fixed Income		411,691,866	32.82
Foreign Equity		223,141,282	17.79
Short-Term and Other Net Assets		9,021,016	0.72

TOTAL	$	1,254,281,142	100.00	%


LifePath 2030 Master Portfolio
*Security Type*	*Value*		*% of* Net Assets
Domestic Equity	$	495,139,039	58.77	%
Foreign Equity		180,132,253	21.38
Domestic Fixed Income		156,400,998	18.57
Short-Term and Other Net Assets		10,807,392	1.28

TOTAL	$	842,479,682	100.00	%


LifePath 2040 Master Portfolio
*Security Type*	*Value*		*% of* Net Assets
Domestic Equity	$	382,055,118	67.57	%
Foreign Equity		137,585,857	24.33
Domestic Fixed Income		37,258,364	6.59
Short-Term and Other Net Assets		8,523,063	1.51

TOTAL	$	565,422,402	100.00	%

Active Stock Master Portfolio


*Sector/Investment Type*	*Value*			*% of* Net Assets
Financial	$	316,091,003		23.43	%
Consumer Non-Cyclical		301,068,814		22.30
Energy		147,113,400		10.90
Communications		140,283,811		10.40
Technology		129,878,803		9.63
Consumer Cyclical		122,107,039		9.05
Industrial		117,313,994		8.70
Basic Materials		44,304,212		3.28
Utilities		43,059,269		3.19
Futures Contracts		47,378		0.01
Short-Term and Other Net Assets		(11,871,784	)	(0.89	)

TOTAL	$	1,349,395,939		100.00	%


CoreAlpha Bond Master Portfolio
*Sector/Investment Type*	*Value*			*% of Net* *Assets*
Mortgage-Backed Securities	$	527,552,317		54.43	%
Financial		108,349,450		11.18
Asset-Backed Securities		85,390,213		8.81
Government		77,400,492		7.99
Communications		40,721,513		4.20
Consumer Non-Cyclical		34,934,367		3.60
Utilities		23,318,932		2.41
Energy		21,684,727		2.24
Consumer Cyclical		19,879,138		2.05
Industrial		12,914,730		1.33
Technology		5,766,838		0.60
Basic Materials		2,227,712		0.23
Diversified		178,437		0.02
Futures Contracts		(390,689	)	(0.04	)
Swap Agreements		(1,599,908	)	(0.17	)
Securities sold short		(14,175,000	)	(1.46	)
Short-Term and Other Net Assets		25,019,792		2.58

TOTAL	$	969,173,061		100.00	%

These tables are not part of the financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2006


	LifePath Retirement Master Portfolio		LifePath 2010 Master Portfolio		LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio		LifePath 2040 Master Portfolio
ASSETS
Investments, at cost:
Unaffiliated issuers	$	21,730,710	$	42,682,261	$	81,607,607	$	66,709,066	$	40,989,676

Affiliated issuers^(a)	$	66,271,567	$	209,852,386	$	389,308,872	$	285,184,533	$	206,872,182

Investments, at value (including securities on loan^(b)) (Note 1):
Unaffiliated issuers	$	21,730,710	$	42,682,261	$	81,607,607	$	66,709,066	$	40,989,676
Affiliated issuers^(a)		73,128,216		236,110,970		449,662,860		329,999,193		236,185,763
Affiliated Master Portfolios^(a)		177,576,922		506,915,225		802,928,594		506,115,926		325,032,341
Receivables:
Investment securities sold		1,188,595		5,154,569		8,690,285		11,081,107		7,153,100
Dividends and interest		12,781		35,458		81,488		45,617		37,488
Contributions		2,000,000		9,970,000		8,160,000		10,500,000		7,400,000

Total Assets		275,637,224		800,868,483		1,351,130,834		924,450,909		616,798,368


LIABILITIES
Payables:
Investment securities purchased		2,413,024		12,244,771		15,218,621		15,245,887		10,375,362
Collateral for securities on loan (Note 4)		21,730,710		42,682,261		81,607,607		66,709,066		40,989,676
Investment advisory fees (Note 2)		1,979		10,609		17,651		10,479		5,119
Accrued expenses		5,810		5,815		5,813		5,795		5,809

Total Liabilities		24,151,523		54,943,456		96,849,692		81,971,227		51,375,966

NET ASSETS	$	251,485,701	$	745,925,027	$	1,254,281,142	$	842,479,682	$	565,422,402

^(a)

See Note2.

^(b)

Securities on loan with market values of $21,272,184, $41,733,892, $79,832,329, $65,190,034 and $40,092,021, respectively. See Note 4.


	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
ASSETS
Investments, at cost:
Unaffiliated issuers	$	1,413,256,871	$	1,039,000,961

Affiliated issuers^(a)	$	4,943,221	$	88,814,596

Investments in securities, at value (including securities on loan^(b)) (Note 1):
Unaffiliated issuers	$	1,513,560,538	$	1,010,953,867
Affiliated issuers^(a)		4,943,221		88,814,596
Deposits with brokers for securities sold short		—		14,295,165
Receivables:
Investment securities sold		1,770,178		60,480,550
Dividends and interest		1,626,900		8,221,355
Due from broker - variation margin		—		173,442

Total Assets		1,521,900,837		1,182,938,975


LIABILITIES
Payables:
Investment securities purchased		20,064,231		148,408,266
Due to broker - variation margin		12,800		—
Collateral for securities on loan (Note 4)		152,043,382		49,285,001
Open swap contracts (Note 1)		—		1,614,949
Securities sold short, at value (Proceeds: $– and $14,292,188) (Note 1)		—		14,175,000
Investment advisory fees (Note 2)		272,526		199,024
Administration fees (Note 2)		104,300		74,360
Accrued expenses		7,659		9,314

Total Liabilities		172,504,898		213,765,914

NET ASSETS	$	1,349,395,939	$	969,173,061

^(a)

See Note 2.

^(b)

Securities on loan with market values of $148,327,151 and $48,184,031, respectively. See Note 4.

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

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS (Unaudited)

For the Six Months Ended June 30, 2006


	LifePath Retirement Master Portfolio			LifePath 2010 Master Portfolio			LifePath 2020 Master Portfolio			LifePath 2030 Master Portfolio			LifePath 2040 Master Portfolio
NET INVESTMENT INCOME
Dividends from affiliated issuers^(a)	$	560,113		$	1,509,618		$	2,253,309		$	1,376,958		$	792,132
Dividends allocated from Master Portfolios		492,710			1,864,012			4,424,715			3,539,871			2,689,482
Interest from affiliated issuers^(a)		31,190			79,117			146,598			114,828			90,007
Interest allocated from Master Portfolios		3,388,505			8,249,147			8,941,094			3,439,350			1,007,004
Securities lending income		13,339			46,357			97,759			60,410			47,813
Expenses allocated from Master Portfolios		(308,450	)		(866,768	)		(1,357,794	)		(841,901	)		(534,471	)

Total investment income		4,177,407			10,881,483			14,505,681			7,689,516			4,091,967

EXPENSES (Note 2)
Investment advisory fees		419,371			1,218,784			2,032,510			1,329,277			874,393
Professional fees		5,917			6,100			6,344			6,161			6,039
Independent trustees’ fees		244			732			1,159			732			488

Total expenses		425,532			1,225,616			2,040,013			1,336,170			880,920
Less expense reductions (Note 2)		(399,564	)		(1,151,406	)		(1,924,321	)		(1,262,577	)		(835,761	)

Net expenses		25,968			74,210			115,692			73,593			45,159

Net investment income		4,151,439			10,807,273			14,389,989			7,615,923			4,046,808

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain from sale of investments in unaffiliated issuers		1,064			9,353			10,615			8,256			14,585
Net realized gain from sale of investments in affiliated issuers^(a)		1,338,986			4,527,077			6,023,530			3,892,836			2,876,973
Net realized gain (loss) allocated from Master Portfolios		(563,408	)		152,784			3,791,829			5,358,090			4,626,552
Net change in unrealized appreciation (depreciation) of investments		1,131,719			4,883,252			16,454,533			13,831,949			10,069,639
Net change in unrealized appreciation (depreciation) of investments allocated from Master Portfolios		(1,923,877	)		(4,240,648	)		(2,399,881	)		(725,827	)		522,060
Net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies		207			593			1,726			629			500

Net realized and unrealized gain (loss)		(15,309	)		5,332,411			23,882,352			22,365,933			18,110,309

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	4,136,130		$	16,139,684		$	38,272,341		$	29,981,856		$	22,157,117

^(a)

See Note 2.

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

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS (Unaudited) (Continued)

For the Six Months Ended June 30, 2006


	Active Stock Master Portfolio			CoreAlpha Bond Master Portfolio
NET INVESTMENT INCOME
Dividends from unaffiliated issuers^(a)	$	13,010,788		$	—
Interest from unaffiliated issuers		8,272			23,223,646
Interest from affiliated issuers^(b)		96,589			1,575,677
Securities lending income		46,757			74,159

Total investment income		13,162,408			24,873,482

EXPENSES
Investment advisory fees (Note 2)		1,626,146			1,166,270
Administration fees (Note 2)		650,458			466,508
Professional fees (Note 2)		8,235			9,699
Independent trustees’ fees (Note 2)		1,342			976
Interest expense on short sales		—			9,858

Total expenses		2,286,181			1,653,311
Less expense reductions (Note 2)		(9,577	)		(10,675	)

Net expenses		2,276,604			1,642,636

Net investment income		10,885,804			23,230,846

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from sale of investments in unaffiliated issuers		22,845,677			(11,228,000	)
Net realized gain (loss) on futures contracts		(102,521	)		1,880,143
Net realized loss on swap contracts		—			(22,345	)
Net change in unrealized appreciation (depreciation) of investments		9,177,410			(14,453,279	)
Net change in unrealized appreciation (depreciation) of futures contracts		157,072			(1,177,529	)
Net change in unrealized appreciation (depreciation) of securities sold short		—			463,168
Net change in unrealized appreciation (depreciation) of swap contracts		—			(2,932,279	)

Net realized and unrealized gain (loss)		32,077,638			(27,470,121	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	42,963,442		$	(4,239,275	)

^(a)

Net of foreign withholding tax of $9,476 and $—, respectively.

^(b)

See Note 2.

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

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS


	*LifePath Retirement Master Portfolio*						*LifePath 2010 Master Portfolio*
	*For the six* *months ended* *June 30, 2006* *(Unaudited)*			*For the* year ended December 31, 2005			*For the six* *months ended* *June 30, 2006* *(Unaudited)*			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	4,151,439		$	6,705,422		$	10,807,273		$	17,099,696
Net realized gain		776,642			2,065,260			4,689,214			7,302,171
Net change in unrealized appreciation (depreciation)		(791,951	)		1,512,499			643,197			9,847,546

Net increase in net assets resulting from operations		4,136,130			10,283,181			16,139,684			34,249,413

Interestholder Transactions:
Contributions		61,061,530			92,431,167			153,075,009			241,472,922
Withdrawals		(44,376,945	)		(52,923,002	)		(89,281,428	)		(102,507,218	)

Net increase in net assets resulting from interestholder transactions		16,684,585			39,508,165			63,793,581			138,965,704

Increase in net assets		20,820,715			49,791,346			79,933,265			173,215,117
NET ASSETS:
Beginning of period		230,664,986			180,873,640			665,991,762			492,776,645

End of period	$	251,485,701		$	230,664,986		$	745,925,027		$	665,991,762


	*LifePath 2020 Master Portfolio*						*LifePath 2030 Master Portfolio*
	*For the six* *months ended* June 30, 2006 (Unaudited)			*For the* year ended December 31, 2005			*For the six* *months ended* June 30, 2006 (Unaudited)			*For the* year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	14,389,989		$	22,872,338		$	7,615,923		$	12,176,059
Net realized gain		9,825,974			17,582,125			9,259,182			12,886,484
Net change in unrealized appreciation (depreciation)		14,056,378			27,196,604			13,106,751			22,735,523

Net increase in net assets resulting from operations		38,272,341			67,651,067			29,981,856			47,798,066

Interestholder Transactions:
Contributions		264,352,313			396,332,869			200,376,127			281,688,243
Withdrawals		(113,433,133	)		(124,842,737	)		(64,622,836	)		(85,036,609	)

Net increase in net assets resulting from interestholder transactions		150,919,180			271,490,132			135,753,291			196,651,634

Increase in net assets		189,191,521			339,141,199			165,735,147			244,449,700
NET ASSETS:
Beginning of period		1,065,089,621			725,948,422			676,744,535			432,294,835

End of period	$	1,254,281,142		$	1,065,089,621		$	842,479,682		$	676,744,535

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

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	*LifePath 2040 Master Portfolio*
	*For the six* *months ended* *June 30, 2006* *(Unaudited)*			*For the year* ended December 31, *2005*
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	4,046,808		$	6,526,179
Net realized gain		7,518,110			9,471,814
Net change in unrealized appreciation (depreciation)		10,592,199			16,755,738

Net increase in net assets resulting from operations		22,157,117			32,753,731

Interestholder Transactions:
Contributions		178,281,822			245,110,300
Withdrawals		(70,946,110	)		(76,545,321	)

Net increase in net assets resulting from interestholder transactions		107,335,712			168,564,979

Increase in net assets		129,492,829			201,318,710
NET ASSETS:
Beginning of period		435,929,573			234,610,863

End of period	$	565,422,402		$	435,929,573


	*Active Stock Master Portfolio*						*CoreAlpha Bond Master Portfolio*
	*For the six* *months ended* June 30, 2006 (Unaudited)			For the year ended December 31, *2005*			*For the six* *months ended* June 30, 2006 (Unaudited)			For the year ended December 31, *2005*
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	10,885,804		$	15,754,431		$	23,230,846		$	37,852,251
Net realized gain (loss)		22,743,156			49,417,857			(9,370,202	)		(6,683,492	)
Net change in unrealized appreciation (depreciation)		9,334,482			29,848,334			(18,099,919	)		(13,290,033	)

Net increase (decrease) in net assets resulting from operations		42,963,442			95,020,622			(4,239,275	)		17,878,726

Interestholder Transactions:
Contributions		171,720,000			275,385,000			143,935,005			363,341,556
Withdrawals		(53,500,000	)		(36,000,000	)		(256,105,000	)		(19,545,000	)

Net increase (decrease) in net assets resulting from interestholder transactions		118,220,000			239,385,000			(112,169,995	)		343,796,556

Increase (decrease) in net assets		161,183,442			334,405,622			(116,409,270	)		361,675,282
NET ASSETS:
Beginning of period		1,188,212,497			853,806,875			1,085,582,331			723,907,049

End of period	$	1,349,395,939		$	1,188,212,497		$	969,173,061		$	1,085,582,331

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

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited)

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

Each of the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Master Portfolios (each, a “LifePath Master Portfolio,” collectively, the “LifePath Master Portfolios”) seeks to achieve its investment objective by investing in a combination of stock, bond and money market funds (the “Underlying Funds”) in proportions suggested by its own comprehensive investment strategy. The Underlying Funds are advised by Barclays Global Fund Advisors (“BGFA”), and include the Active Stock and CoreAlpha Bond Master Portfolios, the Barclays Global Investors Funds Institutional Money Market Fund and exchange-traded funds in the iShares^® family of funds.

1. SIGNIFICANT ACCOUNTING POLICIES

SECURITY VALUATION

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

The value of each LifePath Master Portfolio’s investment in each of the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio reflects that LifePath Master Portfolio’s proportionate interest in the net assets of that Master Portfolio. As of June 30, 2006, the interests of the Active Stock and CoreAlpha Bond Master Portfolios held by each LifePath Master Portfolio were as follows:


*Master Portfolio*	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
LifePath Retirement	3.65	%	13.24	%
LifePath 2010	13.87		33.00
LifePath 2020	33.68		35.96
LifePath 2030	27.48		13.96
LifePath 2040	21.32		3.84

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Each LifePath Master Portfolio records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of the Active Stock and CoreAlpha Bond Master Portfolios. In addition, each LifePath Master Portfolio accrues its own expenses.

FOREIGN CURRENCY TRANSLATION

The accounting records of the Master Portfolios are maintained in U.S. dollars. Foreign currencies, investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates deemed appropriate by the investment adviser. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars on the respective dates of such transactions.

Each Master Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuation in the market prices of securities. Such fluctuations are reflected by the Master Portfolios as a component of realized and unrealized gains and losses from investments for financial reporting purposes.

FEDERAL INCOME TAXES

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

As of June 30, 2006, 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)	$	88,008,622	$	7,646,838	$	(796,534	)	$	6,850,304
LifePath 2010^(a)		252,544,124		28,119,130		(1,870,023	)		26,249,107
LifePath 2020^(a)		470,916,479		62,302,077		(1,948,089	)		60,353,988
LifePath 2030^(a)		351,894,576		45,496,137		(682,454	)		44,813,683
LifePath 2040^(a)		247,899,555		29,275,884		—			29,275,884
Active Stock		1,430,254,833		121,264,325		(33,015,399	)		88,248,926
CoreAlpha Bond		1,127,887,857		1,258,401		(29,377,795	)		(28,119,394	)

^(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 futures contract, a Master Portfolio is required to pledge to the broker an amount of cash, U.S. Government

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)

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.

As of June 30, 2006, 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 $300,000 and $1,103,000, respectively, for initial margin requirements on outstanding futures contracts.

WHEN ISSUED/TBA TRANSACTIONS

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

REPURCHASE AGREEMENTS

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 June 30, 2006, the Master Portfolio did not hold any index swap contracts. Details of interest-rate swaps held by the Master Portfolio as of June 30, 2006 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” in the case of a particular company and an “Obligation” in the case of a loan or security) and to sell protection to a

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)

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 June 30, 2006 are included in its Schedule of Investments.

OPTION 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 June 30, 2006 are included in its Schedule of Investments.

SHORT SALES

The CoreAlpha Bond Master Portfolio may make short sales of securities as part of its overall portfolio management strategies or to offset potential declines in long positions in similar securities. A short sale involves the sale of securities, with the ultimate obligation to deliver these securities. To make delivery to the buyer of the securities, the seller purchases or borrows the securities to offset the short obligation. When making a short sale, the Master Portfolio must cover its position. Short sales expose the Master Portfolio to the risk that it will be required to acquire, convert or exchange securities to replace the securities sold short at a time when the securities sold short have appreciated in value, thus resulting in a loss to the Master Portfolio. The successful use of short selling may be adversely affected by an imperfect correlation between movements in the price of the security sold short and the securities being hedged. The amount at risk for short sales may exceed the amount reflected in the financial statements. Details of short sales held by the Master Portfolio as of June 30, 2006 are included in its Schedule of Investments.

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with each Master Portfolio, BGFA provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)

For its investment advisory services to the following Master Portfolios, BGFA is entitled to receive an annual investment advisory fee based on the average daily net assets for each Master Portfolio as follows:


*Master Portfolio*	Investment Advisory Fee
LifePath Retirement	0.35	%
LifePath 2010	0.35
LifePath 2020	0.35
LifePath 2030	0.35
LifePath 2040	0.35
Active Stock	0.25
CoreAlpha Bond	0.25

Beginning May 1, 2006, BGFA has contractually agreed to waive investment advisory fees charged to the LifePath Master Portfolios in an amount equal to investment advisory fees and administration fees, if any, charged to the Underlying Funds through April 30, 2007. Prior to May 1, 2006, such waiver was voluntary.

For the six months ended June 30, 2006, BGFA waived and/or credited investment advisory fees as follows:


*Master Portfolio*	Investment Advisory Fees Waived/Credited
LifePath Retirement	$	399,564
LifePath 2010		1,151,406
LifePath 2020		1,924,321
LifePath 2030		1,262,577
LifePath 2040		835,761

BGI is not entitled to compensation for providing administration services to the LifePath Master Portfolios, for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the LifePath Master Portfolios, or BGI (or an affiliate) receives investment advisory fees from the LifePath Master Portfolios.

BGI is entitled to receive a monthly fee for administration services from each of the Active Stock and CoreAlpha Bond Master Portfolios at an annual rate of 0.10% of their respective average daily net assets. BGI has agreed to bear all costs of each of these Master Portfolios, excluding, generally, investment advisory fees, administration fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by each Master Portfolio. With respect to the independent expenses discussed above, BGI has voluntarily agreed to provide an offsetting credit against the administration fees paid by these Master Portfolios in an amount equal to the independent expenses. For the six months ended June 30, 2006, BGI credited administration fees of $9,577 and $10,675 for the Active Stock and CoreAlpha Bond Master Portfolios, respectively.

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

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)


*Master Portfolio*	Securities Lending Agent Fees
LifePath Retirement	$	13,339
LifePath 2010		46,357
LifePath 2020		97,759
LifePath 2030		60,410
LifePath 2040		47,813
Active Stock		46,757
CoreAlpha Bond		74,159

Certain Master Portfolios executed cross trades for the six months ended June 30, 2006, pursuant to Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter, for compliance with the requirements and restrictions set forth by Rule 17a-7.

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.

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

The following table provides information about the direct investment by each Master Portfolio (exclusive of investments of securities lending collateral) in issuers of which BGFA is an affiliate, other than the Active Stock and CoreAlpha Bond Master Portfolios, for the six months ended June 30, 2006, including income earned from these affiliated issuers and net realized capital gains (losses) from sales of these affiliated issuers.


*Master Portfolio and* *Name of Affiliated Issuer*	Number of Shares Held Beginning of Period (in 000s)	Gross Additions (in 000s)	Gross Reductions (in 000s)	Number of Shares Held End of Period (in 000s)	*Value at End* *of Period*		Dividend and Interest Income		Net Realized Gain (Loss)
LifePath Retirement
IMMF	1,923	167,373	167,303	1,993	$	1,993,003	$	31,190	$	—
iShares Cohen & Steers Realty Majors Index Fund	—	79	—	79		6,627,770		99,339		—
iShares Lehman TIPS Bond Fund	—	260	—	260		25,877,148		395,535		—
iShares MSCI EAFE Index Fund	348	90	40	398		25,993,375		—		566,205
iShares S&P MidCap 400 Index Fund	126	19	32	113		8,670,407		43,086		576,986
iShares S&P SmallCap 600 Index Fund	84	6	26	64		3,966,513		13,428		149,432
iShares S&P 500 Index Fund	—	36	36	—		—		8,725		46,363

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)


*Master Portfolio and* *Name of Affiliated Issuer*	Number of Shares Held Beginning of Period (in 000s)	Gross Additions (in 000s)	Gross Reductions (in 000s)	Number of Shares Held End of Period (in 000s)	*Value at End* *of Period*		Dividend and Interest Income		*Net* Realized Gain (Loss)
LifePath 2010
IMMF	4,736	425,219	421,836	8,119	$	8,119,009	$	79,117	$	—
iShares Cohen & Steers Realty Majors Index Fund	—	301	7	294		24,599,965		355,901		26,588
iShares Lehman TIPS Bond Fund	—	628	5	623		62,060,189		935,755		(9,477	)
iShares MSCI EAFE Index Fund	1,309	315	164	1,460		95,483,197		—		2,358,938
iShares S&P MidCap 400 Index Fund	420	70	91	399		30,485,815		149,157		1,613,630
iShares S&P SmallCap 600 Index Fund	267	51	71	247		15,362,795		47,285		393,387
iShares S&P 500 Index Fund	—	130	130	—		—		21,520		144,011
LifePath 2020
IMMF	7,669	804,874	805,212	7,331		7,331,328		146,598		—
iShares Cohen & Steers Realty Majors Index Fund	—	667	—	667		55,881,879		800,681		—
iShares Lehman TIPS Bond Fund	—	635	—	635		63,196,083		963,359		—
iShares MSCI EAFE Index Fund	2,882	744	214	3,412		223,141,282		—		2,615,580
iShares S&P MidCap 400 Index Fund	815	222	158	879		67,149,794		321,830		2,745,692
iShares S&P SmallCap 600 Index Fund	525	121	115	531		32,962,494		102,775		422,294
iShares S&P 500 Index Fund	—	442	442	—		—		64,664		239,964
LifePath 2030
IMMF	6,725	632,908	635,190	4,443		4,442,829		114,828		—
iShares Cohen & Steers Realty Majors Index Fund	—	535	2	533		44,640,119		626,967		(143	)
iShares Lehman TIPS Bond Fund	—	212	—	212		21,113,321		331,593		—
iShares MSCI EAFE Index Fund	2,206	687	138	2,755		180,132,253		—		1,585,032
iShares S&P MidCap 400 Index Fund	596	208	110	694		53,037,720		250,562		1,902,508
iShares S&P SmallCap 600 Index Fund	379	140	90	429		26,632,951		78,163		284,798
iShares S&P 500 Index Fund	—	509	509	—		—		89,673		120,641
LifePath 2040
IMMF	4,479	503,576	503,736	4,319		4,318,765		90,007		—
iShares Cohen & Steers Realty Majors Index Fund	—	438	24	414		34,631,179		475,520		(32,805	)
iShares MSCI EAFE Index Fund	1,469	735	100	2,104		137,585,857		—		1,003,337
iShares S&P MidCap 400 Index Fund	438	176	94	520		39,763,679		186,091		1,673,753
iShares S&P SmallCap 600 Index Fund	277	131	88	320		19,886,283		59,472		298,831
iShares S&P 500 Index Fund	—	457	457	—		—		71,049		(66,143	)
Active Stock
IMMF	5,678	572,823	573,558	4,943		4,943,221		96,589		—
CoreAlpha Bond
IMMF	79,553	8,416,710	8,407,448	88,815		88,814,596		1,575,677		—

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)

3. INVESTMENT PORTFOLIO TRANSACTIONS

Investment transactions (excluding short-term investments and investments in any underlying Master Portfolios) for the Master Portfolios for the six months ended June 30, 2006 were as follows:


	*U.S. Government Obligations*				*Other Securities*
*Master Portfolio*	*Purchases*		*Sales*		*Purchases*		*Sales*
LifePath Retirement	$	—	$	—	$	67,395,997	$	49,118,241
LifePath 2010		—		—		196,971,820		126,026,503
LifePath 2020		—		—		353,343,626		190,338,212
LifePath 2030		—		—		276,313,473		133,363,769
LifePath 2040		—		—		216,489,920		105,706,112
Active Stock		—		—		459,516,479		342,332,883
CoreAlpha Bond		1,291,828,236		1,458,967,065		306,248,373		259,290,769

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 June 30, 2006, the Master Portfolios had loaned securities which were collateralized by cash. Pursuant to an exemptive order issued by the SEC, the cash collateral received was invested in a joint account with other investment funds managed by BGFA. The joint account invests in securities with remaining maturities of 397 days or less, repurchase agreements and money market mutual funds, including money market funds managed by BGFA. Repurchase agreements held in the joint account are fully collateralized by U.S. Government securities or non-U.S. Government debt securities. Income from the joint account is allocated daily to each Master Portfolio, based on each Master Portfolio’s portion of the total cash collateral received. The market value of the securities on loan as of June 30, 2006 and the value of the related collateral are disclosed in the Master Portfolios’ Statements of Assets and Liabilities. Securities lending income, which is disclosed in the Master Portfolios’ Statements of Operations, is presented net of rebates paid to, or fees paid by, borrowers.

5. FINANCIAL HIGHLIGHTS

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


*Master Portfolio*	*Six Months* Ended June 30, 2006 (Unaudited)		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)	0.28	%	0.31	%	0.31	%	0.35	%	0.35	%	0.46	%	0.55	%
Ratio of expenses to average net assets prior to expense reductions^(c) (e)	0.61	%	0.65	%	0.60	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets^(c)(d)	3.46	%	3.24	%	2.46	%	2.27	%	2.98	%	3.73	%^(f)	4.40	%
Portfolio turnover rate^(g)	20	%	11	%	138	%^(h)	29	%	56	%	116	%	58	%
Total return	1.78	%⁽ⁱ⁾	4.82	%	6.85	%	12.45	%	(1.36	)%⁽ⁱ⁾	2.68	%	6.56	%

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)


*Master Portfolio*	*Six Months* Ended June 30, 2006 (Unaudited)		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)	0.27	%	0.30	%	0.30	%	0.35	%	0.35	%	0.46	%	0.55	%
Ratio of expenses to average net assets prior to expense reductions^(c)(e)	0.60	%	0.64	%	0.59	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets^(c)(d)	3.10	%	2.96	%	2.32	%	2.12	%	2.49	%	3.11	%^(f)	3.49	%
Portfolio turnover rate^(g)	18	%	12	%	130	%^(h)	23	%	72	%	86	%	54	%
Total return	2.40	%⁽ⁱ⁾	5.70	%	7.88	%	16.16	%	(6.43	)%⁽ⁱ⁾	(0.70	)%	2.13	%
LifePath 2020
Ratio of expenses to average net assets^(c)(d)	0.25	%	0.28	%	0.29	%	0.35	%	0.35	%	0.44	%	0.55	%
Ratio of expenses to average net assets prior to expense reductions^(c)(e)	0.58	%	0.62	%	0.57	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets^(c)(d)	2.48	%	2.53	%	2.05	%	2.04	%	2.14	%	2.23	%^(f)	2.38	%
Portfolio turnover rate^(g)	16	%	17	%	140	%^(h)	23	%	67	%	86	%	39	%
Total return	3.58	%⁽ⁱ⁾	7.04	%	9.77	%	21.11	%	(10.18	)%⁽ⁱ⁾	(4.99	)%	(3.14	)%
LifePath 2030
Ratio of expenses to average net assets^(c)(d)	0.24	%	0.26	%	0.28	%	0.35	%	0.35	%	0.46	%	0.55	%
Ratio of expenses to average net assets prior to expense reductions^(c)(e)	0.57	%	0.60	%	0.56	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets^(c)(d)	2.01	%	2.22	%	1.93	%	1.98	%	1.81	%	1.74	%^(f)	1.72	%
Portfolio turnover rate^(g)	17	%	24	%	138	%^(h)	32	%	68	%	53	%	27	%
Total return	4.37	%⁽ⁱ⁾	8.13	%	11.28	%	24.36	%	(13.05	)%⁽ⁱ⁾	(7.82	)%	(5.59	)%
LifePath 2040
Ratio of expenses to average net assets^(c)(d)	0.23	%	0.26	%	0.28	%	0.35	%	0.35	%	0.49	%	0.55	%
Ratio of expenses to average net assets prior to expense reductions^(c)(e)	0.56	%	0.59	%	0.56	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets^(c)(d)	1.62	%	1.96	%	1.74	%	1.86	%	1.57	%	1.13	%^(f)	0.90	%
Portfolio turnover rate^(g)	21	%	38	%	147	%^(h)	29	%	62	%	15	%	20	%
Total return	5.08	%⁽ⁱ⁾	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	%	0.35	%	n/a		n/a		n/a		n/a
Ratio of expenses to average net assets prior to expense reductions^(c)	0.35	%	n/a		n/a		n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets^(c)	1.68	%	1.50	%	1.57	%	n/a		n/a		n/a		n/a
Portfolio turnover rate^(g)	26	%	54	%	70	%	n/a		n/a		n/a		n/a
Total return	3.50	%⁽ⁱ⁾	8.79	%	10.40	%⁽ⁱ⁾	n/a		n/a		n/a		n/a

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)

Master Portfolio

Six Months

Ended
June 30, 2006
(Unaudited)

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

CoreAlpha Bond

Ratio of expenses to average net assets^(c)

0.35

n/a

Ratio of expenses to average net assets prior to expense reductions^(c)

0.35

n/a

Ratio of net investment income to average net assets^(c)

4.98

4.19

3.08

n/a

Portfolio turnover rate^(g)

162

270

313

n/a

Total return

(0.48

)%⁽ⁱ⁾

1.98

1.30

%⁽ⁱ⁾

n/a

^(a)	For the period from March 15, 2004 (commencement of operations) to December 31, 2004 for the Active Stock and CoreAlpha Bond Master Portfolios.

^(b)	For the ten months ended December 31, 2002. The LifePath Master Portfolios changed their fiscal year-end from February 28 to December 31.

^(c)	Annualized for periods of less than one year.

^(d)

After March 15, 2004, the date the LifePath Master Portfolio converted to a fund-of-funds structure, the expense ratio includes the LifePath Master Portfolio’s pro rata portion of the advisory and administration fees of the Active Stock and CoreAlpha Bond Master Portfolios. The ratio also reflects BGFA’s waiver of these pro rata advisory and administration fees of the Active Stock and CoreAlpha Bond Master Portfolios and the waiver of the advisory and administration fees of the other Underlying Funds. (See Note 2 above)

^(e)	After March 15, 2004, the date the LifePath Master Portfolio converted to a fund-of-funds structure, the expense ratio includes the LifePath Master Portfolio’s pro rata portion of the advisory and administration fees of the Active Stock and CoreAlpha Bond Master Portfolios.

^(f)

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.

MASTER INVESTMENT PORTFOLIO

BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Unaudited)

Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Master Investment Portfolio (“MIP”) Board of Trustees (the “Board”), including a majority of Trustees who are not interested persons of MIP, as that term is defined in the 1940 Act (the “Independent Trustees”), is required annually to consider each Investment Advisory Contract between MIP and BGFA (each, an “Advisory Contract”) on behalf of the LifePath Master Portfolios, CoreAlpha Bond Master Portfolio and Active Stock Master Portfolio (together, the “Master Portfolios”). As required by Section 15(c), the Board requested and BGFA provided such information as the Board deemed to be reasonably necessary to evaluate the terms of the Advisory Contracts. At a meeting held on March 15, 2006, the Board approved the selection of BGFA and the continuance of the Advisory Contracts, based on its review of qualitative and quantitative information provided by BGFA. In selecting BGFA and approving the Advisory Contracts for the Master Portfolios, the Board, including the Independent Trustees, advised by their independent counsel, considered the following factors, none of which was controlling, and made the following conclusions:

NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY BGFA

The Board determined that there would be no diminution in the scope of services required of BGFA under the Advisory Contracts for the coming year as compared to the scope of services provided by BGFA over the past year. In reviewing the scope of these services, the Board considered BGFA’s investment philosophy and experience, noting that BGFA and its affiliates have committed significant resources over time, including over the past year, to the support of advised accounts, including the Master Portfolios. The Board considered in particular that BGFA’s services for the Master Portfolios capitalize on BGFA’s core competencies, including the effective use of its proprietary investment model analyzing securities market risk, asset class correlations and expected returns. The Board also considered services provided by BGFA and its affiliates in connection with the review of counterparty and issuer credit risk and securities lending opportunities and the oversight of intermediaries that provide BGI feeder fund shareholder support and processing functions.

The Board also considered BGFA’s compliance program and its compliance record with respect to the Master Portfolios. The Board noted that BGFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and has made appropriate officers available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Master Portfolios. In addition to the above considerations, the Board reviewed and considered BGFA’s investment processes and strategies, and matters related to BGFA’s portfolio transaction policies and procedures. In addition, the Board reviewed the performance of (i) other registered investment companies with substantially similar investment objectives and strategies as the LifePath Master Portfolios for which BGFA provides investment advisory services, and (ii) the LifePath Master Portfolios’ custom benchmark. The Board noted that the LifePath Master Portfolios underperformed their custom benchmarks on an annualized basis over five years, that annualized relative performance over three years showed an improving trend, and the LifePath Master Portfolios all outperformed their custom benchmarks in 2005. The Board further noted that BGFA does not serve as investment adviser for any other series of registered investment companies with substantially similar investment objectives and strategies as the Active Stock and CoreAlpha Bond Master Portfolios; therefore, no such comparisons were available with respect to those Master Portfolios. The Board also noted that all the Master Portfolios had met their investment objectives since their relevant inception dates. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by BGFA to the Master Portfolios under the Advisory Contracts were appropriate and mitigated in favor of the Board’s approval of the Advisory Contracts for the coming year.

MASTER PORTFOLIOS’ EXPENSES AND PERFORMANCE OF THE MASTER PORTFOLIOS

The Board reviewed statistical information prepared by Lipper Inc. (“Lipper”), an independent provider of investment company data, regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of LifePath Master Portfolio 2020 (as an example of the LifePath Master Portfolios), Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio in comparison with the same information for other registered funds objectively selected solely by Lipper as comprising each Master Portfolio’s applicable peer group (the “Lipper Expense Group”). In addition, the Board reviewed statistical information prepared by Lipper regarding the performance of each Master Portfolio for the one-, three-, five- and 10-year (or “since inception”) periods ended December 31, 2005, as applicable, as compared to the performance of other registered funds with similar investment objectives, as selected solely by Lipper (the “Lipper Performance Group”, and together with the Lipper Expense Group, the “Lipper Groups”). The Board considered that the component funds of the Lipper Groups are publicly available funds, more analogous in overall expense structure to the Barclays Global Investors Funds LifePath Portfolios than to underlying Master Portfolios,

MASTER INVESTMENT PORTFOLIO

BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Unaudited) (Continued)

The Board noted that the Master Portfolios outperformed or performed in line with the median performance of the Lipper Performance Group over almost all relevant periods. The Board also noted that the advisory fees and overall expenses for the LifePath Master Portfolios were generally lower than the advisory fee rates and overall expenses of the funds in their Lipper Expense Group. The Board noted BGFA’s voluntary waiver of certain advisory fee amounts based on the advisory fees and/or administrative fees received by BGFA and/or BGI from the funds in which the LifePath Master Portfolios invested during the year ended December 31, 2005 and BGFA’s agreement to contractually waive certain advisory fee amounts based on the advisory fees and/or administrative fees received by BGFA and/or BGI from the funds in which the LifePath Master Portfolios will invest for the period May 1, 2006 through April 30, 2007. The Board noted that the advisory fees for each of the Active Stock and CoreAlpha Bond Master Portfolios were generally lower than the advisory fee rates of the funds in their respective Lipper Expense Groups, and the overall expenses for each of the Active Stock and CoreAlpha Bond Master Portfolios were the lowest of the overall expenses of the funds in their respective Lipper Expense Groups. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Master Portfolios, as managed by BGFA, as compared to the investment advisory fees and expense levels and performance of the funds in the Lipper Groups, were satisfactory for the purposes of approving the Advisory Contracts for the coming year.

COSTS OF SERVICES PROVIDED TO MASTER PORTFOLIOS AND PROFITS REALIZED BY BGFA AND AFFILIATES

The Board reviewed information about the profitability to BGFA of the Master Portfolios, MIP, and the Barclays Global Investors Funds, separately and together, based on the fees payable to BGFA and its affiliates (including fees under the Advisory Contracts), and all other sources of revenue and expense to BGFA and its affiliates for the last calendar year. The Board discussed the sources of direct and ancillary revenue with management, including the revenues to BGI from securities lending by MIP (including any securities lending by a Master Portfolio), revenues received from transactions for MIP executed through affiliates (including any such transactions for a Master Portfolio), and any fee revenue from any investments by a Master Portfolio in other master portfolios and BGFA-advised funds. The Board also discussed BGFA’s contractual and voluntary fee waivers for the Master Portfolios and the estimated profitability of other mutual fund families advised by BGFA.

ECONOMIES OF SCALE

In connection with its review of BGFA’s profitability analysis, the Board received information regarding economies of scale or other efficiencies that may result from increases in the Master Portfolios’ asset levels. The Board noted that the Advisory Contracts do not provide any breakpoints in the investment advisory fee rates as a result of any increases in the asset levels of the Master Portfolios. However, the Board noted that the investment advisory fee rates for the Master Portfolios had been set initially at the lower end of the marketplace so as to afford the Master Portfolios’ interestholders the opportunity to share in anticipated economies of scale from inception. The Board also noted the difficulty of considering the potential for economies of scale based on advisory services independently and separately from any potential for economies of scale based on other services provided by BGFA and its affiliates. Based on the profitability analysis presented to the Board, which indicated that with respect to each Master Portfolio other than the Active Stock Master Portfolio, BGFA and its affiliates are providing services at a loss, with the overall MIP complex posting a slight profit to BGFA and its affiliates for the year, the Board discussed the potential for future economies of scale as the asset levels of the Master Portfolios increase. In light of this analysis and the relatively low investment advisory fee rates for the Master Portfolios, the Board determined that whether further economies of scale may be realized by the Master Portfolios or reflected in fee levels was not a significant factor at this juncture in its consideration of whether to approve the Advisory Contracts.

FEES AND SERVICES PROVIDED FOR OTHER COMPARABLE FUNDS/ACCOUNTS MANAGED BY BGFA AND ITS AFFILIATES

MASTER INVESTMENT PORTFOLIO

BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY CONTRACTS (Unaudited) (Continued)

to the Other Accounts from the level of services provided to the Master Portfolios. In the context of the comparative fee analysis, the Board compared the nature and extent of services provided to the Master Portfolios to the nature and extent of services provided to the Other Accounts, including, among other things, the level of complexity in managing the Master Portfolios and the Other Accounts under differing regulatory requirements and client guidelines.

The Board noted that the investment advisory fee rates under the LifePath Master Portfolios’Advisory Contract were lower than the investment management fee rates for the collective funds and within the range of the investment advisory fee rates for other funds registered under the 1940 Act. The Board noted that the investment advisory fee rates under the Advisory Contracts for the CoreAlpha Bond and Active Stock Master Portfolios were the same as or within the ranges of the investment management fee rates for collective funds and separate accounts. The Board noted that any differences between the investment advisory fee rates for the Master Portfolios and the investment advisory/management fee rates for the Other Accounts appeared to be attributable to, among other things, the type and level of services provided and/or the asset levels of the Other Accounts. Based on this review, the Board determined that the investment advisory fee rates under the Advisory Contracts do not constitute fees that are so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded that the investment advisory fee rates under the Advisory Contracts are fair and reasonable.

OTHER BENEFITS TO BGFA AND/OR ITS AFFILIATES

GOVERNMENT MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Unaudited)

June 30, 2006


Security	Face Amount		Value
REPURCHASE AGREEMENTS – 99.99%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 5.25%, due 7/3/06, maturity value $26,611,638 (collateralized by U.S. Government obligations, value $27,132,001, 5.00%, 4/1/33).	$	26,600,000	$	26,600,000
Credit Suisse First Boston Tri-Party Repurchase Agreement, 5.25%, due 7/3/06, maturity value $26,611,638 (collateralized by U.S. Government obligations, value $27,133,927, 4.27% to 6.44%, 1/1/27 to 3/1/35).		26,600,000		26,600,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 5.28%, due 7/3/06, maturity value $26,611,704 (collateralized by U.S. Government obligations, value $27,132,000, 4.50% to 5.50%, 3/1/18 to 7/1/33).		26,600,000		26,600,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 5.25%, due 7/3/06, maturity value $26,611,638 (collateralized by U.S. Government obligations, value $27,399,961, 2.71% to 5.67%, 5/16/17 to 12/16/46).		26,600,000		26,600,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 5.25%, due 7/3/06, maturity value $26,910,768 (collateralized by U.S. Government obligations, value $27,440,346, 3.50% to 9.34%, 11/1/14 to 8/1/36).		26,899,000		26,899,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 5.25%, due 7/3/06, maturity value $25,010,938 (collateralized by U.S. Government obligations, value $25,751,603, 4.00% to 6.00%, 10/25/11 to 6/25/36).		25,000,000		25,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $158,299,000)				158,299,000

TOTAL INVESTMENTS IN SECURITIES – 99.99% (Cost: $158,299,000)				158,299,000

Other Assets, Less Liabilities – 0.01%				10,744

NET ASSETS – 100.00%			$	158,309,744

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

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Unaudited)

June 30, 2006


Security	Face Amount		Value
CERTIFICATES OF DEPOSIT – 3.07%
Calyon
5.18%, 03/30/07	$	50,000,000	$	50,000,000
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
Wells Fargo Bank N.A.
4.80%, 01/29/07		75,000,000		74,983,164

TOTAL CERTIFICATES OF DEPOSIT (Cost: $184,983,164)				184,983,164

COMMERCIAL PAPER – 7.82%
Amstel Funding Corp.
5.20%, 11/21/06⁽¹⁾		60,000,000		58,760,667
5.32%, 07/13/06⁽¹⁾		36,958,000		36,892,461
Cancara Asset Securitisation Ltd.
5.30%, 07/13/06⁽¹⁾		140,179,000		139,931,351
5.31%, 07/07/06⁽¹⁾		50,066,000		50,021,691
Citigroup Funding Inc.
5.27%, 07/21/06		35,000,000		34,897,625
General Electric Capital Corp.
5.30%, 07/03/06		150,000,000		149,955,833

TOTAL COMMERCIAL PAPER (Cost: $470,459,628)				470,459,628

MEDIUM-TERM NOTES – 3.33%
Cullinan Finance Corp.
5.07%, 02/26/07⁽¹⁾		70,000,000		70,000,000
5.18%, 03/15/07⁽¹⁾		20,000,000		20,000,000
Marshall & Ilsley Bank
5.18%, 12/15/06		50,000,000		50,076,409
Sigma Finance Inc.
4.50%, 10/16/06⁽¹⁾		25,000,000		25,000,000
5.35%, 04/27/07⁽¹⁾		35,000,000		34,997,116

TOTAL MEDIUM-TERM NOTES (Cost: $200,073,525)				200,073,525

TIME DEPOSITS – 5.59%
Branch Banking & Trust
5.22%, 07/03/06		130,491,000		130,491,000
JP Morgan Chase Bank N.A.
5.25%, 07/03/06		150,000,000		150,000,000
Societe Generale
5.32%, 07/03/06		50,000,000		50,000,000
UBS AG
5.25%, 07/03/06		5,708,000		5,708,000

TOTAL TIME DEPOSITS (Cost: $336,199,000)				336,199,000

VARIABLE & FLOATING RATE NOTES – 56.58%
Allstate Life Global Funding II
5.11%, 05/04/07		30,000,000		30,000,000
5.18%, 11/09/06⁽¹⁾		20,000,000		20,004,260
5.19%, 07/06/07⁽¹⁾		11,000,000		11,003,944
5.22%, 07/13/07⁽¹⁾		35,000,000		35,013,389
5.26%, 07/13/07⁽¹⁾		25,000,000		25,009,284
5.35%, 07/27/07⁽¹⁾		50,000,000		50,000,000
American Express Bank
5.21%, 07/19/06		40,000,000		40,000,000
5.30%, 09/27/06		90,000,000		90,000,000
American Express Centurion Bank
5.30%, 09/27/06		60,000,000		60,000,000
ANZ National International Ltd.
5.11%, 07/07/07⁽¹⁾		75,000,000		75,000,000
ASIF Global Financing
5.17%, 08/11/06⁽¹⁾		25,000,000		25,000,290
5.31%, 07/23/07⁽¹⁾		75,000,000		74,996,948
5.38%, 12/11/06⁽¹⁾		90,000,000		90,034,195
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07⁽¹⁾		35,000,000		35,000,000
Bank of America N.A.
5.28%, 04/20/07		30,000,000		30,000,000
Bank of Ireland
5.24%, 06/20/07⁽¹⁾		70,000,000		70,000,000
Bank of Nova Scotia
5.29%, 09/29/06		35,000,000		34,997,503
Banque Nationale de Paris
5.07%, 10/04/06		20,000,000		19,998,585
Carlyle Loan Investment Ltd. Series 2006-3A Class 1
5.32%, 07/15/07⁽¹⁾		33,000,000		33,000,000
CC USA Inc.
5.17%, 07/14/06⁽¹⁾		15,000,000		15,000,100
Commodore CDO Ltd. 2003-2A
Class A1MM
5.38%, 06/12/07⁽¹⁾		25,000,000		25,000,000
Credit Suisse First Boston NY
5.23%, 07/19/06		75,000,000		75,000,000
5.29%, 09/26/06		100,000,000		100,000,000
DEPFA Bank PLC
5.37%, 06/15/07		100,000,000		100,000,000
Dexia Credit Local
5.29%, 08/30/06		35,000,000		34,998,850
Five Finance Inc.
5.15%, 09/15/06⁽¹⁾		30,000,000		29,998,751
HBOS Treasury Services PLC
5.53%, 04/24/07⁽¹⁾		50,000,000		50,000,000
Holmes Financing PLC Series 2005-9 Class 1A
5.17%, 12/15/06⁽¹⁾		50,000,000		50,000,000
ING USA Annuity & Life Insurance Funding Agreement
5.48%, 12/18/06⁽¹⁾⁽²⁾		20,000,000		20,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Face Amount		Value
Jordan Brick Co. Inc.
5.35%, 07/07/06⁽¹⁾	$	46,000,000	$	46,000,000
JP Morgan Chase & Co.
5.11%, 07/02/07		75,000,000		75,000,000
K2 USA LLC
5.13%, 09/11/06⁽¹⁾		100,000,000		99,997,059
5.39%, 06/04/07⁽¹⁾		60,000,000		60,000,000
Lakeline Austin Development Ltd.
5.35%, 07/07/06⁽¹⁾		9,800,000		9,800,000
Leafs LLC
5.27%, 02/20/07⁽¹⁾		19,872,039		19,872,039
Links Finance LLC
5.15%, 10/16/06⁽¹⁾		82,000,000		81,996,384
Marshall & Ilsley Bank
5.18%, 07/13/07		60,000,000		60,000,000
MetLife Insurance Co. of Connecticut
5.16%, 07/18/06⁽¹⁾⁽²⁾		25,000,000		25,000,000
5.21%, 02/02/07⁽¹⁾⁽²⁾		50,000,000		50,000,000
5.25%, 08/18/06⁽¹⁾⁽²⁾		50,000,000		50,000,000
Monumental Global Funding II
5.49%, 12/27/06⁽¹⁾		100,000,000		100,003,622
Mortgage Interest Networking Trust
5.54%, 08/25/06⁽¹⁾		10,000,000		10,003,478
Natexis Banques Populaires
5.18%, 07/13/07⁽¹⁾		50,000,000		50,000,000
Nationwide Building Society
5.55%, 04/27/07⁽¹⁾		100,000,000		100,000,000
Nordea Bank AB
5.15%, 06/11/07⁽¹⁾		75,000,000		75,000,000
Nordea Bank PLC
5.05%, 10/02/06		75,000,000		74,995,411
Northern Rock PLC
5.17%, 05/03/07⁽¹⁾		70,000,000		70,000,000
Permanent Financing PLC Series 9A Class 1A
5.14%, 03/10/07⁽¹⁾		60,000,000		60,000,000
Principal Life Income Funding Trusts
5.14%, 11/13/06		50,000,000		49,999,258
Royal Bank of Scotland
5.29%, 08/30/06		100,000,000		99,996,711
Sedna Finance Inc.
5.24%, 09/20/06⁽¹⁾		15,000,000		15,000,000
Sigma Finance Inc.
4.00%, 08/11/06⁽¹⁾		75,000,000		74,995,722
5.16%, 08/15/06⁽¹⁾		15,000,000		14,999,815
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07⁽¹⁾		50,000,000		50,000,000
Societe Generale
5.08%, 07/02/07⁽¹⁾		30,000,000		30,000,000
Tango Finance Corp.
5.28%, 09/25/06⁽¹⁾		30,000,000		29,998,947
Trap Rock Industry Inc.
5.35%, 07/07/06⁽¹⁾		19,880,000		19,880,000
Union Hamilton Special Funding LLC
5.49%, 09/28/06⁽¹⁾		50,000,000		50,000,000
US Bank N.A.
5.28%, 09/29/06		15,000,000		14,999,014
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
5.31%, 07/25/06⁽¹⁾		49,478,705		49,478,705
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
5.31%, 07/25/06⁽¹⁾		57,241,338		57,241,338
Westpac Banking Corp.
5.34%, 07/11/07		70,000,000		70,000,000
WhistleJacket Capital Ltd.
5.14%, 10/16/06⁽¹⁾		100,000,000		99,996,998
5.22%, 10/20/06⁽¹⁾		25,000,000		24,997,865
5.25%, 11/22/06⁽¹⁾		75,000,000		74,991,930
5.30%, 07/28/06⁽¹⁾		15,000,000		14,999,724
White Pine Finance LLC
5.15%, 07/17/06⁽¹⁾		50,000,000		49,999,550
5.15%, 09/15/06⁽¹⁾		46,000,000		45,998,562

TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $3,404,298,231)				3,404,298,231

REPURCHASE AGREEMENTS – 23.27%
Bank of America N.A. Tri-Party Repurchase Agreement, 5.25%, due 7/3/06, maturity value $40,017,500 (collateralized by U.S. Government obligations, value $40,800,001, 5.50%, 12/1/35).	$	40,000,000		40,000,000
Bear Stearns Companies Inc. (The) Tri-Party Repurchase Agreement, 5.37%, due 7/3/06, maturity value $150,067,125 (collateralized by non-U.S. Government debt securities, value $165,002,598, 1.50% to 8.63%, 7/15/13 to 6/10/48).		150,000,000		150,000,000
Citigroup Global Markets Holdings Inc. Tri-Party Repurchase Agreement, 5.46%, due 7/3/06, maturity value $250,113,750 (collateralized by non-U.S. Government debt securities, value $279,395,542, 0.00% to 10.00%, 6/1/28 to 12/15/35).		250,000,000		250,000,000

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Face Amount		Value
Credit Suisse First Boston Inc. Tri-Party Repurchase Agreement, 5.25%, due 7/3/06, maturity value $40,017,500 (collateralized by U.S. Government obligations, value $40,802,836, 5.48% to 6.19%, 3/1/36 to 6/1/36).	$	40,000,000	$	40,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 5.28%, due 7/3/06, maturity value $40,017,600 (collateralized by U.S. Government obligations, value $40,800,000, 4.50% to 6.00%, 1/1/33 to 3/1/35).		40,000,000		40,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 5.46%, due 7/3/06, maturity value $100,045,500 (collateralized by non-U.S. Government debt securities, value $105,000,000, 0.00% to 10.00%, 1/1/10).		100,000,000		100,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 5.36%, due 7/3/06, maturity value $100,044,667 (collateralized by non-U.S. Government debt securities, value $103,000,892, 5.00% to 8.75%, 8/15/06 to 3/1/46).		100,000,000		100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 5.25%, due 7/3/06, maturity value $40,017,500 (collateralized by U.S. Government obligations, value $40,802,779, 3.20% to 7.97%, 12/1/18 to 4/1/36).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 5.25%, due 7/3/06, maturity value $40,017,500 (collateralized by U.S. Government obligations, value $41,201,458, 4.00% to 6.00%, 10/25/16 to 10/25/30).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 5.43%, due 7/3/06, maturity value $100,045,250 (collateralized by non-U.S. Government debt securities, value $103,127,698, to 10.13%, 10/15/06 to 9/1/23).		100,000,000		100,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 5.45%, due 9/28/06, maturity value $152,043,750 (collateralized by non-U.S. Government debt securities, value $154,502,657, 4.65% to 8.38%, 6/15/07 to 12/1/25).⁽²⁾		150,000,000		150,000,000
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 5.30%, due 7/3/06, maturity value $100,044,167 (collateralized by U.S. Government obligations, value $102,001,212, 3.38% to 6.63%, 8/23/07 to 6/14/13).		100,000,000		100,000,000
Morgan Stanley Tri-Party Repurchase Agreement, 5.51%, due 7/4/07, maturity value $264,119,375 (collateralized by non-U.S. Government debt securities, value $270,740,244, 0.00% to 10.00%, 7/3/06 to 6/30/36).⁽²⁾		250,000,000		250,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $1,400,000,000)				1,400,000,000

TOTAL INVESTMENTS IN SECURITIES – 99.66% (Cost: $5,996,013,548)				5,996,013,548

Other Assets, Less Liabilities – 0.34%				20,414,297

NET ASSETS – 100.00%			$	6,016,427,845

⁽¹⁾

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

⁽²⁾

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

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

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Unaudited)

June 30, 2006


Security	Face Amount		Value
CERTIFICATES OF DEPOSIT – 5.34%
Calyon
4.84%, 01/30/07	$	50,000,000	$	50,001,409
5.18%, 03/30/07		70,000,000		70,000,000
5.43%, 06/25/07		50,000,000		49,999,674
Credit Suisse First Boston NY
5.40%, 06/04/07		100,000,000		100,000,000
DEPFA Bank PLC
4.69%, 07/14/06		75,000,000		75,000,000
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
5.32%, 08/04/06		100,000,000		100,000,000
Washington Mutual Bank
5.28%, 08/07/06		50,000,000		50,000,000

TOTAL CERTIFICATES OF DEPOSIT (Cost: $580,001,083)				580,001,083

COMMERCIAL PAPER – 24.69%
Amstel Funding Corp.
4.81%, 08/22/06⁽¹⁾		50,000,000		49,652,972
5.20%, 11/21/06⁽¹⁾		110,000,000		107,727,889
5.31%, 07/31/06⁽¹⁾		100,000,000		99,557,500
Amsterdam Funding Corp.
5.24%, 07/20/06⁽¹⁾		200,000,000		199,446,888
Aspen Funding Corp.
5.27%, 07/25/06⁽¹⁾		50,000,000		49,824,333
5.30%, 07/31/06⁽¹⁾		25,000,000		24,889,583
Atlantis One Funding
5.24%, 08/08/06⁽¹⁾		200,000,000		198,893,778
CAFCO LLC
5.22%, 08/03/06⁽¹⁾		50,000,000		49,760,750
Cancara Asset Securitisation Ltd.
5.26%, 07/24/06⁽¹⁾		100,000,000		99,663,944
Charta LLC
5.30%, 08/08/06⁽¹⁾		99,300,000		98,744,471
5.30%, 07/26/06⁽¹⁾		50,000,000		49,815,972
Citigroup Funding Inc.
5.27%, 07/21/06		65,000,000		64,809,875
CRC Funding LLC
5.22%, 08/03/06⁽¹⁾		100,000,000		99,521,500
Cullinan Finance Corp.
4.81%, 08/23/06⁽¹⁾		50,000,000		49,646,298
Falcon Asset Securitization Corp.
5.26%, 07/24/06⁽¹⁾		90,427,000		90,123,115
Five Finance Inc.
5.19%, 12/01/06⁽¹⁾		39,500,000		38,628,729
Gemini Securitization Corp.
5.30%, 07/25/06⁽¹⁾		92,756,000		92,428,262
General Electric Capital Corp.
5.30%, 07/03/06		150,000,000		149,955,833
Giro Multi-Funding Corp.
5.32%, 08/02/06⁽¹⁾		125,000,000		124,408,889
5.32%, 08/07/06⁽¹⁾		50,000,000		49,726,611
Grampian Funding LLC
5.11%, 10/24/06⁽¹⁾		115,000,000		113,122,785
5.25%, 12/11/06⁽¹⁾		100,000,000		97,622,917
Jupiter Securitization Corp.
5.29%, 07/26/06⁽¹⁾		100,000,000		99,632,639
5.30%, 07/28/06⁽¹⁾		70,313,000		70,033,506
Kitty Hawk Funding Corp
5.24%, 07/20/06⁽¹⁾		50,000,000		49,861,722
Mont Blanc Capital Corp
5.24%, 07/18/06⁽¹⁾		74,509,000		74,324,632
Preferred Receivables Funding Corp.
5.30%, 08/02/06⁽¹⁾		101,527,000		101,048,695
Ranger Funding Co. LLC
5.24%, 07/20/06⁽¹⁾		40,000,000		39,889,378
Sedna Finance Inc.
5.33%, 08/01/06⁽¹⁾		50,000,000		49,770,514
Sydney Capital Corp.
5.22%, 07/25/06⁽¹⁾		80,780,000		80,498,886
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/18/06⁽¹⁾		55,434,000		55,296,832
5.24%, 07/20/06⁽¹⁾		65,000,000		64,820,239

TOTAL COMMERCIAL PAPER (Cost: $2,683,149,937)				2,683,149,937


MEDIUM-TERM NOTES – 3.55%
Cullinan Finance Corp.
5.07%, 02/26/07⁽¹⁾		110,000,000		110,000,000
5.18%, 03/15/07⁽¹⁾		30,000,000		30,000,000
5.36%, 04/25/07⁽¹⁾		31,000,000		31,000,000
Sigma Finance Inc.
4.50%, 10/16/06⁽¹⁾		75,000,000		75,000,000
4.78%, 01/26/07⁽¹⁾		75,000,000		75,000,000
5.35%, 04/27/07⁽¹⁾		65,000,000		64,994,643

TOTAL MEDIUM-TERM NOTES (Cost: $385,994,643)				385,994,643

TIME DEPOSITS – 5.13%
Bank of America N.A.
4.75%, 07/03/06		100,000,000		100,000,000
Branch Banking & Trust
5.22%, 07/03/06		214,608,000		214,608,000
JP Morgan Chase Bank N.A.
5.25%, 07/03/06		100,000,000		100,000,000
Societe Generale
5.30%, 07/03/06		100,000,000		100,000,000
UBS AG
5.25%, 07/03/06		42,904,000		42,904,000

TOTAL TIME DEPOSITS (Cost: $557,512,000)				557,512,000

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Face Amount		Value
VARIABLE & FLOATING RATE NOTES – 48.83%
Allstate Life Global Funding II
5.11%, 05/04/07	$	45,000,000	$	45,000,000
5.19%, 07/06/07⁽¹⁾		58,000,000		58,009,814
5.22%, 07/13/07⁽¹⁾		85,000,000		85,032,515
5.35%, 07/27/07⁽¹⁾		160,000,000		160,007,440
American Express Bank
5.21%, 07/19/06		85,000,000		85,000,000
ASIF Global Financing
5.17%, 05/03/07⁽¹⁾		30,400,000		30,413,545
5.17%, 08/11/06⁽¹⁾		74,000,000		74,001,981
5.31%, 07/23/07⁽¹⁾		75,000,000		74,996,948
Bank of America N.A.
5.28%, 04/20/07		50,000,000		50,000,000
Banque Nationale de Paris
5.07%, 10/04/06		165,000,000		164,988,298
Bear Stearns Companies Inc. (The)
5.23%, 08/14/06⁽²⁾		200,000,000		200,000,000
Beta Finance Inc.
5.03%, 07/17/07⁽¹⁾		30,000,000		29,994,332
5.41%, 06/27/07⁽¹⁾		55,000,000		55,022,250
BNP Paribas
5.14%, 05/18/07⁽¹⁾		90,000,000		90,000,000
Carlyle Loan Investment Ltd. Series 2006-1A Class 1
5.25%, 04/13/07⁽¹⁾		12,000,000		12,000,000
Carlyle Loan Investment Ltd. Series 2006-2A Class 1
5.25%, 05/15/07⁽¹⁾		15,000,000		15,000,000
Carlyle Loan Investment Ltd. Series 2006-3A Class 1
5.32%, 07/15/07⁽¹⁾		62,000,000		62,000,000
CC USA Inc.
5.17%, 07/14/06⁽¹⁾		30,000,000		30,000,201
Citigroup Global Markets Holdings Inc.
5.13%, 08/01/06		500,000,000		500,000,000
Credit Agricole SA
5.31%, 07/23/07		150,000,000		150,000,000
DEPFA Bank PLC
5.37%, 06/15/07		50,000,000		50,000,000
Dexia Credit Local
5.29%, 08/30/06		65,000,000		64,997,864
Dorada Finance Inc.
5.03%, 07/17/07⁽¹⁾		40,000,000		39,991,231
5.41%, 06/27/07⁽¹⁾		70,000,000		70,028,318
Five Finance Inc.
5.45%, 06/29/07⁽¹⁾		60,000,000		59,988,066
Hartford Life Global Funding Trust
5.22%, 07/16/07		100,000,000		100,000,000
Holmes Financing PLC Series 2005-9 Class 1A
5.17%, 12/15/06⁽¹⁾		100,000,000		100,000,000
ING USA Annuity & Life Insurance Funding Agreement
5.48%, 12/18/06⁽¹⁾⁽²⁾		35,000,000		35,000,000
K2 USA LLC
5.13%, 09/11/06⁽¹⁾		100,000,000		99,997,060
5.46%, 06/28/07⁽¹⁾		60,000,000		59,994,049
Leafs LLC
5.27%, 12/20/06⁽¹⁾		49,794,478		49,794,478
5.27%, 01/22/07⁽¹⁾		74,806,022		74,806,022
Links Finance LLC
5.13%, 05/10/07⁽¹⁾		85,000,000		84,992,565
5.35%, 05/16/07⁽¹⁾		55,000,000		54,995,193
Lothian Mortgages Master Issuer PLC Series 2006-1A Class A1
5.29%, 04/24/07⁽¹⁾		66,401,000		66,401,000
Metropolitan Life Global Funding I
5.15%, 07/06/07⁽¹⁾		139,680,000		139,691,036
Metropolitan Life Insurance Funding Agreement
5.20%, 07/25/06⁽¹⁾⁽²⁾		50,000,000		50,000,000
Morgan Stanley
5.15%, 07/03/07		100,000,000		100,000,000
Mound Financing PLC
5.11%, 05/08/07⁽¹⁾		81,000,000		81,000,000
Nationwide Building Society
5.16%, 07/06/07⁽¹⁾		100,000,000		100,000,000
5.55%, 04/27/07⁽¹⁾		50,000,000		50,000,000
Newcastle CDO Ltd. Series 2005-6A Class IM1
5.34%, 04/24/07⁽¹⁾		45,000,000		44,989,102
Permanent Financing PLC Series 9A Class 1A
5.14%, 03/10/07⁽¹⁾		100,000,000		100,000,000
Principal Life Global Funding I
5.63%, 02/08/07⁽¹⁾		55,000,000		55,156,568
Principal Life Income Funding Trusts
5.14%, 11/13/06		50,000,000		49,999,258
Royal Bank of Scotland
4.81%, 01/29/07		50,000,000		49,988,777
5.29%, 08/30/06		200,000,000		199,993,426
Sedna Finance Inc.
5.17%, 05/25/07⁽¹⁾		55,000,000		54,995,058
5.24%, 09/20/06⁽¹⁾		25,000,000		25,000,000
5.29%, 08/31/06⁽¹⁾		25,000,000		24,999,582
Sigma Finance Inc.
5.16%, 08/15/06⁽¹⁾		35,000,000		34,999,569
Societe Generale
5.30%, 07/02/07		100,000,000		99,981,501
Strips III LLC
5.37%, 07/24/06⁽¹⁾		26,643,987		26,643,987
SunTrust Bank
5.08%, 05/01/07		100,000,000		100,005,135
Tango Finance Corp.
5.12%, 07/11/07⁽¹⁾		55,000,000		54,988,923
5.13%, 09/11/06⁽¹⁾		50,000,000		49,999,012
5.28%, 09/25/06⁽¹⁾		70,000,000		69,997,543
5.38%, 06/21/07⁽¹⁾		40,000,000		39,996,079
5.43%, 06/15/07⁽¹⁾		50,000,000		49,997,947

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Unaudited) (Continued)

June 30, 2006


Security	Face Amount		Value
Union Hamilton Special Funding LLC
5.42%, 12/21/06⁽¹⁾	$	50,000,000	$	50,000,000
5.49%, 09/28/06⁽¹⁾		100,000,000		100,000,000
US Bank N.A.
5.28%, 09/29/06		30,000,000		29,998,027
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
5.31%, 07/25/06⁽¹⁾		24,739,352		24,739,352
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
5.31%, 07/25/06⁽¹⁾		85,862,006		85,862,006
WhistleJacket Capital Ltd.
5.21%, 04/18/07⁽¹⁾		60,000,000		59,990,433
5.23%, 03/01/07⁽¹⁾		25,000,000		25,002,683
5.35%, 06/13/07⁽¹⁾		45,000,000		45,007,256
White Pine Finance LLC
5.14%, 05/22/07⁽¹⁾		70,000,000		69,984,418
5.15%, 09/15/06⁽¹⁾		100,000,000		99,996,878
5.28%, 08/25/06⁽¹⁾		35,000,000		34,998,155
Wind Master Trust Notes Series 2006-I2 Class A1
5.32%, 08/25/06⁽¹⁾		15,000,000		15,000,000
5.32%, 09/25/06⁽¹⁾		30,000,000		30,000,000

TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $5,305,454,881)				5,305,454,881

REPURCHASE AGREEMENTS – 12.19%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 5.28%, due 7/3/06, maturity value $40,017,600 (collateralized by U.S. Government obligations, value $40,800,000, 5.00%, 6/1/35).	$	40,000,000		40,000,000
Banc of America Securities LLC Tri-Party Repurchase Agreement, 5.36%, due 7/3/06, maturity value $300,134,000 (collateralized by non-U.S. Government debt securities, value $318,243,774, 3.88% to 8.25%, 7/12/06 to 11/15/27).		300,000,000		300,000,000
Bear Stearns Companies Inc. (The) Tri-Party Repurchase Agreement, 5.30%, due 7/3/06, maturity value $300,132,500 (collateralized by U.S. Government obligations, value $306,001,091, 4.00% to 9.00%, 3/1/07 to 7/1/36).		300,000,000		300,000,000
Credit Suisse First Boston Inc. Tri-Party Repurchase Agreement, 5.28%, due 7/3/06, maturity value $40,017,600 (collateralized by U.S. Government obligations, value $40,802,096, 4.39% to 6.03%, 1/1/35 to 7/1/36).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 5.36%, due 7/3/06, maturity value $100,044,667 (collateralized by non-U.S. Government debt securities, value $102,000,001, 5.00% to 5.19%, 7/5/06 to 8/7/06).		100,000,000		100,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 5.26%, due 7/3/06, maturity value $40,017,533 (collateralized by U.S. Government obligations, value $40,800,001, 5.00% to 6.00%, 2/1/33 to 7/1/35).		40,000,000		40,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 5.46%, due 7/3/06, maturity value $200,091,000 (collateralized by non-U.S. Government debt securities, value $210,000,001, 0.00% to 10.00%, 1/1/10 to 5/6/16).		200,000,000		200,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 5.36%, due 7/3/06, maturity value $225,100,500 (collateralized by non-U.S. Government debt securities, value $236,250,538, 4.97% to 8.17%, 5/20/09 to 11/15/25).		225,000,000		225,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 5.27%, due 7/3/06, maturity value $40,017,567 (collateralized by U.S. Government obligations, value $40,801,741, 3.25% to 9.64%, 2/1/28 to 11/1/37).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 5.28%, due 7/3/06, maturity value $40,017,600 (collateralized by U.S. Government obligations, value $41,200,596, 4.00% to 5.00%, 4/25/16 to 5/25/30).		40,000,000		40,000,000

TOTAL REPURCHASE AGREEMENTS (Cost: $1,325,000,000)				1,325,000,000

TOTAL INVESTMENTS IN SECURITIES – 99.73% (Cost: $10,837,112,544)				10,837,112,544

Other Assets, Less Liabilities – 0.27%				29,480,106

NET ASSETS – 100.00%			$	10,866,592,650

⁽¹⁾

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

⁽²⁾

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

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

TREASURY MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Unaudited)

June 30, 2006


Security	Face Amount		Value
REPURCHASE AGREEMENTS – 99.99%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.25%, due 7/3/06, maturity value $10,003,542 (collateralized by U.S. Government obligations, value $10,200,634, 3.63%, 7/15/09).	$	10,000,000	$	10,000,000
Credit Suisse First Boston Tri-Party Repurchase Agreement, 4.50%, due 7/3/06, maturity value $17,986,142 (collateralized by U.S. Government obligations, value $18,344,768, 7.25%, 8/15/22).		17,979,400		17,979,400
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 7/3/06, maturity value $8,762,212 (collateralized by U.S. Government obligations, value $8,934,852, 3.88%, 2/15/13).		8,759,000		8,759,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.45%, due 7/3/06, maturity value $17,986,067 (collateralized by U.S. Government obligations, value $18,342,523, 2.75% to 7.00%, 12/15/06 to 7/15/32).		17,979,400		17,979,400
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.50%, due 7/3/06, maturity value $17,986,142 (collateralized by U.S. Government obligations, value $18,344,994, 2.38% to 9.88%, 8/31/06 to 8/15/27).		17,979,400		17,979,400

TOTAL REPURCHASE AGREEMENTS (Cost: $72,697,200)				72,697,200

TOTAL INVESTMENTS IN SECURITIES – 99.99% (Cost: $72,697,200)				72,697,200

Other Assets, Less Liabilities – 0.01%				6,316

NET ASSETS – 100.00%			$	72,703,516

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

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

June 30, 2006

Government Money Market Master Portfolio


*Asset Type*	*Value*		*% of* *Net Assets*
Repurchase Agreements	$	158,299,000	99.99	%
Other Net Assets		10,744	0.01

TOTAL	$	158,309,744	100.00	%


Money Market Master Portfolio
*Asset Type*	*Value*		*% of* *Net Assets*
Variable & Floating Rate Notes	$	3,404,298,231	56.58	%
Repurchase Agreements		1,400,000,000	23.27
Commercial Paper		470,459,628	7.82
Time Deposits		336,199,000	5.59
Medium-Term Notes		200,073,525	3.33
Certificates of Deposit		184,983,164	3.07
Other Net Assets		20,414,297	0.34

TOTAL	$	6,016,427,845	100.00	%


Prime Money Market Master Portfolio
*Asset Type*	*Value*		*% of* *Net Assets*
Variable & Floating Rate Notes	$	5,305,454,881	48.83	%
Commercial Paper		2,683,149,937	24.69
Repurchase Agreements		1,325,000,000	12.19
Certificates of Deposit		580,001,083	5.34
Time Deposits		557,512,000	5.13
Medium-Term Notes		385,994,643	3.55
Other Net Assets		29,480,106	0.27

TOTAL	$	10,866,592,650	100.00	%


Treasury Money Market Master Portfolio
*Asset Type*	*Value*		*% of* *Net Assets*
Repurchase Agreements	$	72,697,200	99.99	%
Other Net Assets		6,316	0.01

TOTAL	$	72,703,516	100.00	%

These tables are not part of the financial statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2006


	*Government* *Money Market* *Master Portfolio*			*Money Market* *Master Portfolio*			*Prime* *Money Market* *Master Portfolio*			*Treasury* *Money Market* *Master Portfolio*
ASSETS
Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1)	$	—		$	4,596,013,548		$	9,512,112,544		$	—
Repurchase agreements, at value and cost (Note 1)		158,299,000			1,400,000,000			1,325,000,000			72,697,200
Cash		556			269			531			199
Receivables:
Interest		23,108			20,762,256			30,147,644			8,968
Due from investment adviser		—			—			—			2,820

Total Assets		158,322,664			6,016,776,073			10,867,260,719			72,709,187

LIABILITIES
Payables:
Investment advisory fees (Note 2)		7,248			342,099			661,712			—
Accrued expenses		5,672			6,129			6,357			5,671

Total Liabilities		12,920			348,228			668,069			5,671

NET ASSETS	$	158,309,744		$	6,016,427,845		$	10,866,592,650		$	72,703,516


STATEMENTS OF OPERATIONS (Unaudited)
For the Six Months Ended June 30, 2006

	*Government* *Money Market* *Master Portfolio*			*Money Market* *Master Portfolio*			*Prime* *Money Market* *Master Portfolio*			*Treasury* *Money Market* *Master Portfolio*
NET INVESTMENT INCOME
Interest from unaffiliated issuers	$	4,726,038		$	155,855,189		$	267,262,692		$	1,361,681

Total investment income		4,726,038			155,855,189			267,262,692			1,361,681

EXPENSES (Note 2)
Investment advisory fees		100,146			3,270,958			5,611,728			29,323
Professional fees		5,795			8,967			11,102			5,673
Independent trustees’ fees		183			7,015			11,712			61

Total expenses		106,124			3,286,940			5,634,542			35,057
Less expense reductions (Note 2)		(14,757	)		(553,663	)		(596,180	)		(35,057	)

Net expenses		91,367			2,733,277			5,038,362			—

Net investment income		4,634,671			153,121,912			262,224,330			1,361,681

REALIZED GAIN (LOSS)
Net realized gain (loss) from sale of investments in unaffiliated issuers		—			(229	)		9,262			—

Net realized gain (loss)		—			(229	)		9,262			—

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	4,634,671		$	153,121,683		$	262,233,592		$	1,361,681

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

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS


	*Government Money Market* *Master Portfolio*						*Money Market* *Master Portfolio*
	*For the six* *months ended* *June 30, 2006* *(Unaudited)*			*For the* *year ended* *December 31, 2005*			*For the six* *months ended* *June 30, 2006* *(Unaudited)*			*For the* *year ended* *December 31, 2005*
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	4,634,671		$	29,247,583		$	153,121,912		$	237,180,094
Net realized gain (loss)		—			—			(229	)		35,169

Net increase in net assets resulting from operations		4,634,671			29,247,583			153,121,683			237,215,263

Interestholder transactions:
Contributions		505,454,194			7,564,992,045			19,351,704,461			58,641,619,347
Withdrawals		(746,246,087	)		(7,648,995,142	)		(19,790,981,299	)		(58,107,077,434	)

Net increase (decrease) in net assets resulting from interestholder transactions		(240,791,893	)		(84,003,097	)		(439,276,838	)		534,541,913

Increase (decrease) in net assets		(236,157,222	)		(54,755,514	)		(286,155,155	)		771,757,176
NET ASSETS:
Beginning of period		394,466,966			449,222,480			6,302,583,000			5,530,825,824

End of period	$	158,309,744		$	394,466,966		$	6,016,427,845		$	6,302,583,000


	*Prime Money Market* *Master Portfolio*						*Treasury Money Market* *Master Portfolio*
	*For the six* *months ended* *June 30, 2006* *(Unaudited)*			*For the* *year ended* *December 31, 2005*			*For the six* *months ended* *June 30, 2006* *(Unaudited)*			*For the* *year ended* *December 31, 2005*
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	262,224,330		$	452,846,366		$	1,361,681		$	685,155
Net realized gain		9,262			9,750			—			—

Net increase in net assets resulting from operations		262,233,592			452,856,116			1,361,681			685,155

Interestholder transactions:
Contributions		38,912,895,120			79,992,322,542			376,907,759			219,416,585
Withdrawals		(39,801,922,962	)		(81,445,952,186	)		(409,059,421	)		(117,010,598	)

Net increase (decrease) in net assets resulting from interestholder transactions		(889,027,842	)		(1,453,629,644	)		(32,151,662	)		102,405,987

Increase (decrease) in net assets		(626,794,250	)		(1,000,773,528	)		(30,789,981	)		103,091,142
NET ASSETS:
Beginning of period		11,493,386,900			12,494,160,428			103,493,497			402,355

End of period	$	10,866,592,650		$	11,493,386,900		$	72,703,516		$	103,493,497

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

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited)

These financial statements relate only to the Government Money Market, Money Market, Prime Money Market and Treasury Money Market Master Portfolios (each, a “Master Portfolio,” collectively, the “Master Portfolios”).

1. SIGNIFICANT ACCOUNTING POLICIES

SECURITY VALUATION

The Master Portfolios use the amortized cost method of valuation to determine the value of 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 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.

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)

As of June 30, 2006, the Master Portfolios’ costs of investments for federal income tax purposes were the same as for financial reporting purposes.

REPURCHASE AGREEMENTS

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

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with the Master Portfolios, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.10% of the average daily net assets of each of the Master Portfolios, as compensation for investment advisory services. Beginning May 1, 2006, BGFA has contractually agreed to waive a portion of its advisory fees through April 30, 2007. After giving effect to such contractual waiver, the advisory fees will be 0.07%. From time to time, BGFA may waive an additional portion of its advisory fees. Any such waivers will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance.

For the six months ended June 30, 2006, BGFA waived and/or credited investment advisory fees of $14,757, $553,663, $596,180, and $35,057 for the Government Money Market, Money Market, Prime Money Market and Treasury Money Market Master Portfolios, respectively.

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

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)

3. FINANCIAL HIGHLIGHTS

Financial highlights for the Master Portfolios were as follows:


*Master Portfolio*	*Six Months Ended* June 30, 2006 (Unaudited)		*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)	0.09	%	0.03	%	0.00	%^(b)	n/a		n/a		n/a
Ratio of expenses to average net assets prior to expense reductions^(a)	0.11	%	0.10	%	0.10	%^(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets^(a)	4.63	%	3.16	%	1.93	%^(b)	n/a		n/a		n/a
Total return	2.32	%^(c)	3.28	%	0.64	%^(b)(c)	n/a		n/a		n/a
Money Market
Ratio of expenses to average net assets^(a)	0.08	%	0.05	%	0.05	%	0.10	%	0.10	%	0.10	%
Ratio of expenses to average net assets prior to expense reductions^(a)	0.10	%	0.10	%	0.10	%	n/a		n/a		n/a
Ratio of net investment income to average net assets^(a)	4.68	%	3.27	%	1.40	%	1.15	%	1.80	%	3.66	%
Total return	2.36	%^(c)	3.28	%	1.39	%	1.16	%	1.84	%	4.23	%
Prime Money Market
Ratio of expenses to average net assets^(a)	0.09	%	0.08	%	0.03	%	0.03	%^(d)	n/a		n/a
Ratio of expenses to average net assets prior to expense reductions^(a)	0.10	%	0.10	%	0.10	%	0.10	%^(d)	n/a		n/a
Ratio of net investment income to average net assets^(a)	4.67	%	3.22	%	1.52	%	1.12	%^(d)	n/a		n/a
Total return	2.35	%^(c)	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	%	0.00	%^(b)	n/a		n/a		n/a
Ratio of expenses to average net assets prior to expense reductions^(a)	0.12	%	0.10	%	0.10	%^(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets^(a)	4.64	%	3.99	%	1.82	%^(b)	n/a		n/a		n/a
Total return	2.31	%^(c)	3.20	%	0.61	%^(b)(c)	n/a		n/a		n/a

^(a)

Annualizedforperiodsoflessthanoneyear.

^(b)

FortheperiodfromSeptember 1,2004(commencementofoperations)toDecember 31,2004.

^(c)

Notannualized.

^(d)

FortheperiodfromApril 16,2003(commencementofoperations)toDecember 31,2003.

MASTER INVESTMENT PORTFOLIO

Board Review and Approval of Investment Advisory Contracts (Unaudited)

Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Master Investment Portfolio (“MIP”) Board of Trustees (the “Board”), including a majority of Trustees who are not interested persons of MIP, as that term is defined in the 1940 Act (the “Independent Trustees”), is required annually to consider each Investment Advisory Contract between MIP and BGFA (each, an “Advisory Contract”) on behalf of Money Market Master Portfolio, Prime Money Market Master Portfolio, Government Money Market Master Portfolio, and Treasury Money Market Master Portfolio (together, the “Master Portfolios”). As required by Section 15(c), the Board requested and BGFA provided such information as the Board deemed to be reasonably necessary to evaluate the terms of the Advisory Contracts. At a meeting held on March 15, 2006, the Board approved the selection of BGFA and the continuance of the Advisory Contracts, based on its review of qualitative and quantitative information provided by BGFA. In selecting BGFA and approving the Advisory Contracts for the Master Portfolios, the Board, including the Independent Trustees, advised by their independent counsel, considered the following factors, none of which was controlling, and made the following conclusions:

NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY BGFA

The Board determined that there would be no diminution in the scope of services required of BGFA under the Advisory Contracts for the coming year as compared to the scope of services provided by BGFA over the past year. In reviewing the scope of these services, the Board considered BGFA’s investment philosophy and experience, noting that BGFA and its affiliates have committed significant resources over time, including over the past year, to the support of advised accounts, including the Master Portfolios. The Board considered in particular that BGFA’s services for the Master Portfolios capitalize on BGFA’s core competencies, including the effective use of integrated portfolio management and trading expertise and proprietary technology that provides real-time access to performance, analytics and risk. The Board also considered services provided by BGFA and its affiliates in connection with the review of counterparty and issuer credit risk and the oversight of intermediaries that provide BGI feeder fund shareholder support and processing functions.

MASTER PORTFOLIOS’ EXPENSES AND PERFORMANCE OF THE MASTER PORTFOLIOS

The Board reviewed statistical information prepared by Lipper Inc. (“Lipper”), an independent provider of investment company data, regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of each Master Portfolio in comparison with the same information for other funds registered under the 1940 Act, objectively selected solely by Lipper, as comprising each Master Portfolio’s applicable peer group (the “Lipper Expense Group”). In addition, the Board reviewed statistical information prepared by Lipper regarding the performance of each Master Portfolio for the one-, three-, five-, and 10-year (or since inception) periods ended December 31, 2005, as applicable, and as compared to the performance of other registered funds with similar investment objectives, as selected solely by Lipper (the “Lipper Performance Group”, and together with the Lipper Expense Group, the “Lipper Groups”). The Board considered that the component funds of the Lipper Groups are publicly available funds, more analogous in overall expense structure to the Barclays Global Investors Funds Money Market Funds than to underlying Master Portfolios, which are not available for investment except to other investment companies. In support of its review of the statistical information, the Board was provided with a detailed description of the methodology used by Lipper to determine the applicable Lipper Groups and to prepare this information.

The Board noted that the Master Portfolios outperformed the median performance of the funds in their Lipper Performance Groups over relevant periods. The Board noted that the advisory fees and overall expenses for the Master Portfolios were generally lower than the advisory fee rates and overall expenses of the funds in their Lipper Expense

MASTER INVESTMENT PORTFOLIO

Board Review and Approval of Investment Advisory Contracts (Unaudited) (Continued)

Groups, both net and gross of BGFA’s voluntary waiver of certain advisory and administration fee amounts for certain of the Master Portfolios during the year ended December 31, 2005 and BGFA’s agreement to contractually waive a portion of its advisory fee for each of the Master Portfolios, from May 1, 2006 through April 30, 2007. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Master Portfolios, as managed by BGFA, as compared to the investment advisory fees and expense levels and performance of the funds in the Lipper Groups, were satisfactory for the purposes of approving the Advisory Contracts for the coming year.

COSTS OF SERVICES PROVIDED TO MASTER PORTFOLIOS AND PROFITS REALIZED BY BGFA AND AFFILIATES

The Board reviewed information about the profitability to BGFA of the Master Portfolios, MIP, and the Barclays Global Investors Funds, separately and together, based on the fees payable to BGFA and its affiliates (including fees under the Advisory Contracts), and all other sources of revenue and expense to BGFA and its affiliates for the last calendar year. The Board analyzed the Master Portfolios’ expenses, including the investment advisory fees paid to BGFA. The Board discussed the sources of direct and ancillary revenue with management, including the revenues to BGI from securities lending by MIP (including any securities lending by a Master Portfolio), revenues received from transactions for MIP executed through affiliates (including any such transactions for a Master Portfolio), and any fee revenue from any investments by a Master Portfolio in other master portfolios and BGFA-advised funds. The Board also discussed BGFA’s contractual and voluntary fee waivers for the Master Portfolios and the estimated profitability of other mutual fund families advised by BGFA.

ECONOMIES OF SCALE

In connection with its review of BGFA’s profitability analysis, the Board received information regarding economies of scale or other efficiencies that may result from increases in the Master Portfolios’ asset levels. The Board noted that the Advisory Contracts do not provide any breakpoints in the investment advisory fee rates as a result of any increases in the asset levels of the Master Portfolios. However, the Board noted that the investment advisory fee rates for the Master Portfolios had been set initially at the lower end of the marketplace so as to afford the Master Portfolios’ interestholders the opportunity to share in anticipated economies of scale from inception and noted BGFA’s agreement to contractually waive a portion of its advisory fee for each of the Master Portfolios, as discussed above. The Board also noted the difficulty of considering the potential for economies of scale based on advisory services independently and separately from any potential for economies of scale based on other services provided by BGFA and its affiliates. Based on the profitability analysis presented to the Board, which indicated that BGFA and its affiliates are profitable with respect to certain of the Master Portfolios while providing services at a loss to certain other Master Portfolios, with the overall MIP complex posting a slight profit to BGFA and its affiliates for the year, the Board discussed the potential for future economies of scale as the asset levels of the Master Portfolios increase. In light of this analysis and the relatively low investment advisory fee rates for the Master Portfolios, the Board determined that whether further economies of scale may be realized by the Master Portfolios or reflected in fee levels was not a significant factor at this juncture in its consideration of whether to approve the Advisory Contracts.

FEES AND SERVICES PROVIDED FOR OTHER COMPARABLE FUNDS/ACCOUNTS MANAGED BY BGFA AND ITS AFFILIATES

The Board considered the Master Portfolios’ annual investment advisory fee rates under the Advisory Contracts in comparison to the investment advisory/management fee rates for collective funds with substantially similar investment objectives and strategies for which BGFA (or its affiliate BGI) provides investment advisory/management services. BGFA and its affiliates do not provide investment advisory/management services to other funds registered under the 1940 Act or separate accounts with substantially similar investment objectives and strategies as the Master Portfolios. The Board noted that BGFA had provided information distinguishing the level of services provided to the collective funds from the level of services provided to the Master Portfolios. In the context of the comparative fee analysis, the Board compared the nature and extent of services provided to the Master Portfolios in comparison with the nature and extent of services provided to the collective funds, including, among other things, the level of complexity in managing the Master Portfolios and the collective funds under differing regulatory requirements and client guidelines.

The Board noted that the investment advisory fee rates under the Master Portfolios’ Advisory Contracts were within the range of the investment management fee rates for the collective funds. The Board noted that any differences between the advisory fee rates for the Master Portfolios and the investment management fee rates for the collective funds appeared

MASTER INVESTMENT PORTFOLIO

Board Review and Approval of Investment Advisory Contracts (Unaudited) (Continued)

to be attributable to, among other things, the type and level of services provided and/or the asset levels of the collective funds. Based on this review, the Board determined that the investment advisory fee rates under the Advisory Contracts do not constitute fees that are so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded that the investment advisory fee rates under the Advisory Contracts are fair and reasonable.

OTHER BENEFITS TO BGFA AND/OR ITS AFFILIATES

The Board reviewed any ancillary revenue received by BGFA and/or its affiliates in connection with the services provided to MIP and the Master Portfolios by BGFA, such as payment of administration fees to BGI, MIP’s administrator. The Board noted that BGFA does not use soft dollars or consider the value of research or other services that may be provided to BGFA (including its affiliates) in selecting brokers for portfolio transactions for the Master Portfolios. The Board further noted that the Master Portfolios may, but generally do not, participate in securities lending activities and generally do not execute transactions with affiliated brokers, as do other series of MIP. The Board concluded that any ancillary benefits would not be disadvantageous to the Master Portfolios’ interestholders.

Item 2. Code of Ethics.

Not applicable to this semi-annual filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this semi-annual filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this semi-annual filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to the Registrant.

Item 6. Schedule of Investments.

The Registrant’s full schedules of investments are included as part of the semi-annual reports filed under Item 1 of this Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the Registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

The Nominating Committee of Registrant’s Board of Trustees (the “Nominating Committee”) is charged with identifying nominees to serve as Board members and recommending such nominees to the Board. The Board believes that interestholders as a group are best served by the efficient allocation of Registrant and Board resources. As such, the Board is not required to consider any person nominated by any interestholder of the Registrant (acting solely in the capacity as interestholder and not in any other capacity) to serve as an independent Trustee, although the Nominating Committee may consider any such person if the Nominating Committee deems it appropriate after considering all circumstances the Nominating Committee’s members deem relevant.

Item 11. Controls and Procedures.

(a) The Chief Executive Officer and Chief Financial Officer have concluded that, based on their evaluation as of a date within 90 days of the filing date of this report, the disclosure controls and procedures of the Registrant (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) are reasonably designed to achieve the purposes described in Section 4(a) of the attached certification.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a) (1) Not applicable to this semi-annual filing.

(a) (2) Section 302 Certifications are attached.

(a) (3) Not applicable to the Registrant.

(b) Section 906 Certifications are attached.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


		Master Investment Portfolio

		By:		/s/ Lee T. Kranefuss
				Lee T. Kranefuss, Chief Executive Officer
		Date: August 30, 2006

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.



		By:		/s/ Lee T. Kranefuss
				Lee T. Kranefuss, Chief Executive Officer
		Date: August 30, 2006



		By:		/s/ Michael A. Latham
				Michael A. Latham, Chief Financial Officer
		Date: August 30, 2006