ThZeal - The Zeal


Security	Principal		Value

CORPORATE BONDS & NOTES – 20.20%

AEROSPACE & DEFENSE – 0.30%
Boeing Co. (The)
6.13%, 02/15/33^(a)	$	100,000	$	102,946
Lockheed Martin Corp.
6.15%, 09/01/36		100,000		99,721
United Technologies Corp.
6.10%, 05/15/12		100,000		102,606
				305,273

AGRICULTURE – 0.10%
Altria Group Inc.
7.00%, 11/04/13		100,000		106,065
				106,065

AUTO MANUFACTURERS – 0.35%
DaimlerChrysler N.A. Holding Corp.
7.20%, 09/01/09		350,000		361,233
				361,233

BANKS – 2.60%
Abbey National PLC
7.95%, 10/26/29		100,000		120,116
Bank of America Corp.
5.49%, 03/15/19		200,000		189,302
HSBC Holdings PLC
5.25%, 12/12/12		300,000		295,295
KfW Bankengruppe
0.00%, 04/18/36		250,000		50,519
Landwirtschaftliche Rentenbank
3.88%, 03/15/10		500,000		483,427
NationsBank Corp.
7.75%, 08/15/15		250,000		279,551
Royal Bank of Scotland Group PLC
5.00%, 10/01/14		250,000		239,136
Sanwa Bank Ltd.
7.40%, 06/15/11		200,000		213,234
Swiss Bank Corp.
7.00%, 10/15/15		150,000		162,556
US Bank N.A.
6.38%, 08/01/11		250,000		257,538
Wachovia Corp.
5.50%, 08/01/35		150,000		134,464
Wells Fargo Bank N.A.
7.55%, 06/21/10		250,000		264,558
				2,689,696

BEVERAGES – 0.21%
Bottling Group LLC
4.63%, 11/15/12		100,000		95,699
Coca-Cola Enterprises Inc.
8.50%, 02/01/22		100,000		122,287
				217,986


Security	Principal		Value

BUILDING MATERIALS – 0.19%
Masco Corp.
5.88%, 07/15/12	$	200,000	$	198,361
				198,361

CHEMICALS – 0.20%
Dow Chemical Co. (The)
6.00%, 10/01/12^(a)		100,000		101,040
Du Pont (E.I.) de Nemours and Co.
6.88%, 10/15/09		100,000		103,292
				204,332

COMPUTERS – 0.23%
International Business Machines Corp.
4.75%, 11/29/12		250,000		241,651
				241,651

COSMETICS & PERSONAL CARE – 0.35%
Procter & Gamble Co.
6.88%, 09/15/09		350,000		361,252
				361,252

DIVERSIFIED FINANCIAL SERVICES – 3.42%
Bear Stearns Companies Inc. (The)
5.70%, 11/15/14		200,000		196,123
Citigroup Inc.
5.00%, 09/15/14		177,000		168,373
6.63%, 06/15/32		100,000		104,185
Credit Suisse First Boston USA Inc.
4.70%, 06/01/09		250,000		247,235
6.50%, 01/15/12		100,000		103,578
General Electric Capital Corp.
6.75%, 03/15/32		250,000		271,242
Goldman Sachs Group Inc. (The)
6.13%, 02/15/33		200,000		190,774
Household Finance Corp.
6.50%, 11/15/08		375,000		380,266
8.00%, 07/15/10		250,000		267,010
John Deere Capital Corp.
7.00%, 03/15/12		150,000		158,594
JP Morgan Chase Capital XVIII
6.95%, 08/17/36		100,000		101,079
JPMorgan Chase & Co.
5.13%, 09/15/14		250,000		240,065
Lehman Brothers Holdings Inc.
4.80%, 03/13/14		150,000		141,564
Merrill Lynch & Co. Inc.
6.11%, 01/29/37		100,000		93,832
Morgan Stanley
4.75%, 04/01/14		450,000		420,228
National Rural Utilities Cooperative Finance Corp.
7.25%, 03/01/12		200,000		213,087


Security	Principal		Value

DIVERSIFIED FINANCIAL SERVICES *(Continued)*
Residential Capital Corp. 6.50%, 04/17/13	$	250,000	$	241,645
				3,538,880

ELECTRIC – 1.77%
Alabama Power Co. Series Q 5.50%, 10/15/17		100,000		97,127
Arizona Public Service Co. 6.50%, 03/01/12		100,000		102,402
Cincinnati Gas & Electric Co. 5.70%, 09/15/12		100,000		99,946
Consumers Energy Co. 5.00%, 02/15/12		150,000		145,785
Indiana Michigan Power Co. 6.05%, 03/15/37		100,000		95,579
MidAmerican Energy Holdings Co. 6.13%, 04/01/36		100,000		96,610
Northern States Power Co. 8.00%, 08/28/12		100,000		110,274
Oncor Electric Delivery Co. 6.38%, 05/01/12		150,000		153,063
Ontario Hydro Canada 7.45%, 03/31/13		150,000		165,086
Pacific Gas & Electric Co. 6.05%, 03/01/34		100,000		96,869
Pepco Holdings Inc. 6.45%, 08/15/12		100,000		102,610
Public Service Electric & Gas Co. 5.13%, 09/01/12		100,000		97,760
Southern California Edison Co. 5.00%, 01/15/16		200,000		188,901
Toledo Edison Co. 6.15%, 05/15/37		100,000		93,746
Virginia Electric and Power Co. 4.75%, 03/01/13		200,000		190,213
				1,835,971

ENVIRONMENTAL CONTROL – 0.10%
USA Waste Services Inc. 7.00%, 07/15/28		100,000		101,098
				101,098

FOOD – 1.10%
Archer-Daniels-Midland Co. 8.38%, 04/15/17		150,000		175,679
Kellogg Co. 6.60%, 04/01/11		250,000		258,467
Kraft Foods Inc. 5.63%, 11/01/11		150,000		148,826
Safeway Inc. 7.50%, 09/15/09		285,000		296,299
Unilever Capital Corp. 7.13%, 11/01/10		250,000		262,055
				1,141,326


Security	Principal		Value

FOREST PRODUCTS & PAPER – 0.30%
International Paper Co. 6.75%, 09/01/11	$	200,000	$	207,280
MeadWestvaco Corp. 6.85%, 04/01/12		100,000		103,105
				310,385

HEALTH CARE - SERVICES – 0.09%
UnitedHealth Group Inc. 3.75%, 02/10/09		100,000		97,380
				97,380

INSURANCE – 0.92%
Allstate Corp. 7.20%, 12/01/09		250,000		259,793
Berkshire Hathaway Finance Corp. 5.10%, 07/15/14		100,000		97,157
Hartford Financial Services Group Inc. 6.10%, 10/01/41		100,000		96,921
ING Capital Funding Trust III 8.44%, 10/31/49		100,000		108,548
MetLife Inc. 5.38%, 12/15/12		200,000		197,573
5.70%, 06/15/35		100,000		92,415
Travelers Property Casualty Corp. 6.38%, 03/15/33		100,000		99,213
				951,620

MANUFACTURING – 0.29%
General Electric Co. 5.00%, 02/01/13		100,000		96,954
Tyco International Group SA 6.38%, 10/15/11		200,000		206,032
				302,986

MEDIA – 1.28%
AOL Time Warner Inc. 6.88%, 05/01/12		350,000		365,145
Clear Channel Communications Inc. 4.25%, 05/15/09		150,000		144,974
Comcast Corp. 6.45%, 03/15/37		100,000		96,372
Cox Communications Inc. 5.50%, 10/01/15		100,000		96,087
News America Inc. 6.20%, 12/15/34		100,000		93,219
TCI Communications Inc. 8.75%, 08/01/15		200,000		231,280
Viacom Inc. 5.63%, 08/15/12		200,000		196,636
6.88%, 04/30/36		100,000		96,612
				1,320,325


Security	Principal		Value

MINING – 0.46%
Alcan Inc.
4.88%, 09/15/12	$	150,000	$	143,028
Alcoa Inc.
5.90%, 02/01/27		150,000		139,634
BHP Finance (USA) Ltd.
4.80%, 04/15/13		100,000		95,464
Vale Overseas Ltd.
6.88%, 11/21/36		100,000		100,519
				478,645

MULTI-NATIONAL – 0.85%
European Investment Bank
4.88%, 02/16/16		250,000		241,959
International Bank for Reconstruction & Development
4.13%, 08/12/09		650,000		637,471
				879,430

OIL & GAS – 1.15%
Alberta Energy Co. Ltd.
7.38%, 11/01/31		100,000		109,657
Anadarko Petroleum Corp.
6.45%, 09/15/36		100,000		96,183
Apache Corp.
6.00%, 01/15/37		100,000		95,356
Burlington Resources Finance Co.
7.20%, 08/15/31		100,000		112,284
Devon Financing Corp. ULC
6.88%, 09/30/11		250,000		260,984
Enterprise Products Operating LP
5.60%, 10/15/14		200,000		194,426
Marathon Oil Corp.
6.13%, 03/15/12		150,000		152,702
Pemex Project Funding Master Trust
7.38%, 12/15/14		150,000		163,027
				1,184,619

PHARMACEUTICALS – 0.44%
Eli Lilly & Co.
5.50%, 03/15/27		50,000		46,644
Merck & Co. Inc.
5.95%, 12/01/28		100,000		97,863
Pharmacia Corp.
6.50%, 12/01/18		150,000		158,919
Wyeth
5.50%, 03/15/13		150,000		148,432
				451,858

REAL ESTATE INVESTMENT TRUSTS – 0.48%
Boston Properties LP
6.25%, 01/15/13		200,000		205,087
Health Care Property Investors Inc.
6.00%, 01/30/17		100,000		97,907


Security	Principal		Value

REAL ESTATE INVESTMENT TRUSTS *(Continued)*
Simon Property Group LP
5.63%, 08/15/14	$	200,000	$	197,538
				500,532

RETAIL – 0.33%
Home Depot Inc.
5.88%, 12/16/36		100,000		89,100
May Department Stores Co. (The)
6.65%, 07/15/24		125,000		117,380
Penney (J.C.) Corp. Inc.
6.38%, 10/15/36		50,000		47,615
Wal-Mart Stores Inc.
5.25%, 09/01/35		100,000		87,415
				341,510

SAVINGS & LOANS – 0.24%
Washington Mutual Bank
5.65%, 08/15/14		250,000		243,881
				243,881

TELECOMMUNICATIONS – 1.99%
AT&T Wireless Services Inc.
7.88%, 03/01/11		250,000		268,795
BellSouth Corp.
6.88%, 10/15/31		150,000		154,329
Deutsche Telekom International Finance AG
8.25%, 06/15/30		100,000		119,857
Embarq Corp.
7.08%, 06/01/16		100,000		100,560
France Telecom SA
7.75%, 03/01/11		150,000		160,256
Motorola Inc.
7.63%, 11/15/10		16,000		16,864
SBC Communications Inc.
5.10%, 09/15/14		300,000		286,152
Sprint Capital Corp.
6.88%, 11/15/28		100,000		95,186
8.38%, 03/15/12		150,000		163,409
Telecom Italia Capital SA
5.25%, 11/15/13		150,000		142,931
Telefonica Europe BV
8.25%, 09/15/30		50,000		58,113
Verizon Global Funding Corp.
4.38%, 06/01/13		250,000		232,802
Verizon Pennsylvania Inc.
5.65%, 11/15/11		150,000		149,702
Vodafone Group PLC
7.88%, 02/15/30		100,000		111,900
				2,060,856

TRANSPORTATION – 0.46%
Burlington Northern Santa Fe Corp.
7.13%, 12/15/10		250,000		262,130


Security	Principal		Value

TRANSPORTATION *(Continued)*
Norfolk Southern Corp.
7.70%, 05/15/17	$	150,000	$	165,206
Union Pacific Corp.
6.15%, 05/01/37		50,000		48,209
				475,545

TOTAL CORPORATE BONDS & NOTES
(Cost: $21,459,768)				20,902,696

ASSET-BACKED SECURITIES – 0.98%
Connecticut RRB Special Purpose Trust CL&P Series 2001-1 Class A5
6.21%, 12/30/11		1,000,000		1,019,502

TOTAL ASSET-BACKED SECURITIES
(Cost: $1,033,242)				1,019,502

COLLATERALIZED MORTGAGE OBLIGATIONS – 5.42%

MORTGAGE-BACKED SECURITIES – 5.42%
Credit Suisse First Boston Mortgage Securities Corp. Series 1999-C1 Class A2
7.29%, 09/15/41		745,865		766,334
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C2 Class A2
5.42%, 05/15/36		1,000,000		980,028
Greenwich Capital Commercial Funding Corp. Series 2007-GG9 Class A4
5.44%, 01/10/17		1,000,000		968,118
JP Morgan Chase Commercial Mortgage Finance Corp. Series 2000-C10 Class A2
7.37%, 08/15/32		743,664		771,178
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2004-C3 Class A5
4.88%, 01/15/42		500,000		472,696
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2005-CB11 Class A2
5.02%, 08/12/37		210,000		207,506
LB-UBS Commercial Mortgage Trust Series 2004-C2 Class A4
4.37%, 03/15/36		500,000		462,305
Morgan Stanley Capital I Series 2006-HQ8 Class A4
5.56%, 03/12/44		1,000,000		976,658
				5,604,823

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost: $5,913,351)				5,604,823


Security	Principal		Value

MUNICIPAL DEBT OBLIGATIONS – 0.17%

NEW JERSEY – 0.17%
New Jersey State Turnpike Authority
4.25%, 01/01/16	$	190,000	$	176,706
				176,706

TOTAL MUNICIPAL DEBT OBLIGATIONS
(Cost: $181,950)				176,706

FOREIGN GOVERNMENT BONDS & NOTES^(b)– 1.26%
British Columbia (Province of)
6.50%, 01/15/26		100,000		109,647
Finland (Republic of)
6.95%, 02/15/26		100,000		114,805
Hydro-Quebec
6.30%, 05/11/11		150,000		154,886
Israel (State of)
4.63%, 06/15/13		100,000		94,616
Italy (Republic of)
6.88%, 09/27/23		200,000		222,769
Nova Scotia (Province of)
5.75%, 02/27/12		150,000		152,212
Quebec (Province of)
6.13%, 01/22/11		150,000		153,803
United Mexican States
8.13%, 12/30/19		250,000		296,250

TOTAL FOREIGN GOVERNMENT BONDS & NOTES
(Cost: $1,304,054)				1,298,988

U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 70.48%

MORTGAGE-BACKED SECURITIES – 37.95%
Federal Home Loan Mortgage Corp.
4.00%, 05/01/19		717,378		667,601
4.50%, 04/01/18		1,088,585		1,037,596
4.50%, 11/01/18		838,604		799,324
4.50%, 01/01/19		145,037		138,243
4.50%, 02/01/19		854,176		814,167
5.00%, 10/01/18		1,280,249		1,241,936
5.00%, 02/01/34		695,922		655,740
5.00%, 08/01/35		902,115		847,819
5.50%, 04/01/33		1,786,786		1,731,568
6.00%, 08/01/34		3,840,358		3,818,091
6.00%, 08/01/37^(c)		1,000,000		989,688
6.50%, 06/01/31		258,479		263,722
8.00%, 12/01/24		778,547		820,536
Federal National Mortgage Association
4.04%, 10/01/36		3,736,810		3,686,622
5.00%, 01/01/19		3,285,872		3,187,657
5.00%, 11/01/33		5,825,349		5,487,275
5.50%, 07/01/33		4,134,196		4,005,607
5.50%, 12/01/33		845,328		819,032
5.50%, 03/01/34		78,063		75,580


Security	Principal		Value

MORTGAGE-BACKED SECURITIES *(Continued)*
5.50%, 10/01/35	$	1,611,154	$	1,557,876
5.50%, 04/01/36		971,565		939,437
5.88%, 11/01/36^(d)		889,529		895,488
6.00%, 06/01/37		1,000,000		989,292
7.00%, 02/01/32		180,197		186,653
Government National Mortgage Association 5.50%, 12/15/32		779,128		757,891
6.00%, 03/15/35		767,631		764,881
6.50%, 09/15/36		957,837		973,478
7.50%, 12/15/23		1,080,041		1,129,989
				39,282,789

U.S. GOVERNMENT AGENCY OBLIGATIONS – 10.80%
Federal Home Loan Bank 3.75%, 08/18/09^(a)		1,000,000		971,970
5.00%, 09/18/09^(a)		2,500,000		2,491,602
Federal Home Loan Mortgage Corp. 4.88%, 08/16/10		750,000		743,014
5.00%, 06/11/09		2,000,000		1,992,692
6.25%, 07/15/32		320,000		346,907
Federal National Mortgage Association 3.38%, 12/15/08		750,000		730,837
4.38%, 09/15/12^(a)		500,000		479,157
4.63%, 10/15/13^(a)		1,000,000		960,830
5.38%, 11/15/11^(a)		500,000		502,518
6.25%, 02/01/11^(a)		500,000		516,769
7.25%, 01/15/10		500,000		524,047
Financing Corp. 8.60%, 09/26/19		200,000		254,759
Tennessee Valley Authority 6.25%, 12/15/17		400,000		424,069
7.13%, 05/01/30		200,000		239,204
				11,178,375

U.S. GOVERNMENT SECURITIES – 21.73%
U.S. Treasury Bonds 4.50%, 02/15/36^(a)		400,000		362,188
4.75%, 02/15/37^(a)		200,000		188,578
6.13%, 11/15/27^(a)		600,000		668,719
6.25%, 08/15/23^(a)		1,200,000		1,332,469
7.25%, 05/15/16^(a)		1,000,000		1,155,703
7.63%, 02/15/25		350,000		445,703
8.00%, 11/15/21		400,000		511,906
8.75%, 05/15/17		500,000		640,625
8.75%, 05/15/20		500,000		665,742
12.50%, 08/15/14		400,000		460,125
U.S. Treasury Notes 3.13%, 04/15/09^(a)		1,500,000		1,455,000
3.63%, 07/15/09^(a)		2,800,000		2,731,313
4.25%, 11/15/14^(a)		1,700,000		1,622,040
4.25%, 08/15/15^(a)		1,900,000		1,802,773
4.38%, 08/15/12^(a)		500,000		488,711
4.50%, 02/15/09^(a)		1,000,000		993,047


Security	Shares or Principal		Value

U.S. GOVERNMENT SECURITIES *(Continued)*
4.50%, 11/15/10^(a)	$	500,000	$	493,985
4.50%, 02/28/11		250,000		246,602
4.50%, 05/15/17^(a)		750,000		719,063
4.63%, 11/30/08		500,000		497,969
4.63%, 10/31/11^(a)		750,000		741,269
4.63%, 11/15/16^(a)		250,000		242,285
4.75%, 02/15/10^(a)		500,000		498,164
4.88%, 01/31/09^(a)		1,000,000		998,672
4.88%, 08/15/16^(a)		1,000,000		987,734
5.13%, 05/15/16^(a)		250,000		251,406
5.75%, 08/15/10		600,000		614,719
6.00%, 08/15/09^(a)		300,000		306,492
6.50%, 02/15/10		350,000		363,535
				22,486,537

TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost: $74,090,254)				72,947,701

SHORT-TERM INVESTMENTS – 23.79%

MONEY MARKET FUNDS – 23.79%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.31%^(e)(f)		3,038,105		3,038,105
BGI Cash Premier Fund LLC 5.33%^(e)(f)(g)		21,584,230		21,584,230
				24,622,335

TOTAL SHORT-TERM INVESTMENTS
(Cost: $24,622,335)				24,622,335

TOTAL INVESTMENTS IN SECURITIES – 122.30%
(Cost: $128,604,954)				126,572,751

Other Assets, Less Liabilities – (22.30)%				(23,077,791	)

NET ASSETS – 100.00%			$	103,494,960

^(a)

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

^(b)

Investments are denominated in U.S. dollars.

^(c)

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

^(d)

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

^(e)

Affiliated issuer. See Note 2.

^(f)

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

^(g)

This security represents an investment of securities lending collateral. See Note 4.

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


Security	Shares	Value

COMMON STOCKS – 97.41%

ADVERTISING – 0.17%
Interpublic Group of Companies Inc. (The)^(a)(b)	92,872	$	1,058,741
Omnicom Group Inc.	69,842		3,696,039
			4,754,780

AEROSPACE & DEFENSE – 2.13%
Boeing Co. (The)	162,180		15,595,229
General Dynamics Corp.	83,051		6,496,249
Goodrich Corp.^(b)	25,555		1,522,056
L-3 Communications Holdings Inc.^(b)	25,514		2,484,808
Lockheed Martin Corp.	72,809		6,853,511
Northrop Grumman Corp.	70,607		5,498,167
Raytheon Co.	90,883		4,897,685
Rockwell Collins Inc.^(b)	34,478		2,435,526
United Technologies Corp.	205,299		14,561,858
			60,345,089

AGRICULTURE – 1.64%
Altria Group Inc.	433,790		30,426,031
Archer-Daniels-Midland Co.	134,340		4,445,311
Monsanto Co.^(b)	111,532		7,532,871
Reynolds American Inc.	35,001		2,282,065
UST Inc.^(b)	32,833		1,763,460
			46,449,738

AIRLINES – 0.08%
Southwest Airlines Co.^(b)	161,682		2,410,679
			2,410,679

APPAREL – 0.44%
Coach Inc.^(a)	75,727		3,588,703
Jones Apparel Group Inc.	22,672		640,484
Liz Claiborne Inc.^(b)	20,949		781,398
Nike Inc. Class B	77,555		4,520,681
Polo Ralph Lauren Corp.^(b)	12,453		1,221,764
VF Corp.^(b)	18,226		1,669,137
			12,422,167

AUTO MANUFACTURERS – 0.44%
Ford Motor Co.^(b)	385,873		3,634,924
General Motors Corp.^(b)	115,579		4,368,886
PACCAR Inc.	50,734		4,415,887
			12,419,697

AUTO PARTS & EQUIPMENT – 0.22%
Goodyear Tire & Rubber Co. (The)^(a)	41,316		1,436,144
Johnson Controls Inc.	40,343		4,670,509
			6,106,653


Security	Shares	Value

BANKS – 5.91%
Bank of America Corp.	918,829	$	44,921,550
Bank of New York Co. Inc. (The)^(b)	156,244		6,474,751
BB&T Corp.	111,163		4,522,111
Comerica Inc.	32,626		1,940,268
Commerce Bancorp Inc.	38,344		1,418,345
Compass Bancshares Inc.	26,479		1,826,521
Fifth Third Bancorp^(b)	114,063		4,536,285
First Horizon National Corp.^(b)	25,534		995,826
Huntington Bancshares Inc.	75,447		1,715,665
KeyCorp	82,035		2,816,262
M&T Bank Corp.	15,826		1,691,799
Marshall & Ilsley Corp.^(b)	52,668		2,508,577
Mellon Financial Corp.^(b)	84,830		3,732,520
National City Corp.	121,089		4,034,685
Northern Trust Corp.^(b)	38,275		2,458,786
PNC Financial Services Group Inc. (The)	70,844		5,071,014
Regions Financial Corp.	149,042		4,933,290
State Street Corp.^(b)	82,001		5,608,868
SunTrust Banks Inc.^(b)	73,126		6,269,823
Synovus Financial Corp.	66,690		2,047,383
U.S. Bancorp^(b)	362,329		11,938,741
Wachovia Corp.	394,365		20,211,206
Wells Fargo & Co.	685,978		24,125,846
Zions Bancorporation	22,159		1,704,249
			167,504,371

BEVERAGES – 2.02%
Anheuser-Busch Companies Inc.	157,219		8,200,543
Brown-Forman Corp. Class B^(b)	16,146		1,179,950
Coca-Cola Co. (The)	417,150		21,821,116
Coca-Cola Enterprises Inc.	56,780		1,362,720
Constellation Brands Inc. Class A^(a)(b)	42,569		1,033,575
Molson Coors Brewing Co. Class B	9,317		861,450
Pepsi Bottling Group Inc.	27,577		928,793
PepsiCo Inc.	335,937		21,785,514
			57,173,661

BIOTECHNOLOGY – 0.89%
Amgen Inc.^(a)	238,628		13,193,742
Biogen Idec Inc.^(a)	59,034		3,158,319
Celgene Corp.^(a)(b)	77,697		4,454,369
Genzyme Corp.^(a)	53,706		3,458,666
Millipore Corp.^(a)	11,260		845,513
			25,110,609

BUILDING MATERIALS – 0.16%
American Standard Companies Inc.	35,538		2,096,031
Masco Corp.^(b)	80,794		2,300,205
			4,396,236

CHEMICALS – 1.35%
Air Products and Chemicals Inc.	45,016		3,617,936


Security	Shares	Value

CHEMICALS *(Continued)*
Ashland Inc.	12,844	$	821,374
Dow Chemical Co. (The)^(b)	195,888		8,662,167
Du Pont (E.I.) de Nemours and Co.^(b)	189,895		9,654,262
Eastman Chemical Co.	16,934		1,089,364
Ecolab Inc.^(b)	36,468		1,557,184
Hercules Inc.^(a)	22,474		441,614
International Flavors & Fragrances Inc.^(b)	15,978		833,093
PPG Industries Inc.	33,738		2,567,799
Praxair Inc.	65,990		4,750,620
Rohm & Haas Co.^(b)	28,866		1,578,393
Sherwin-Williams Co. (The)^(b)	22,658		1,506,077
Sigma-Aldrich Corp.	26,829		1,144,793
			38,224,676

COAL – 0.15%
CONSOL Energy Inc.^(b)	37,143		1,712,664
Peabody Energy Corp.^(b)	53,854		2,605,457
			4,318,121

COMMERCIAL SERVICES – 0.68%
Apollo Group Inc. Class A^(a)	28,383		1,658,419
Block (H & R) Inc.	65,736		1,536,250
Convergys Corp.^(a)	28,199		683,544
Donnelley (R.R.) & Sons Co.	44,218		1,923,925
Equifax Inc.	29,014		1,288,802
McKesson Corp.	60,651		3,617,226
Monster Worldwide Inc.^(a)	26,164		1,075,340
Moody’s Corp.	48,021		2,986,906
Robert Half International Inc.	34,709		1,266,878
Western Union Co.	157,703		3,284,953
			19,322,243

COMPUTERS – 4.14%
Affiliated Computer Services Inc. Class A^(a)	22,827		1,294,747
Apple Inc.^(a)	178,273		21,756,437
Cognizant Technology Solutions Corp.^(a)	28,952		2,174,006
Computer Sciences Corp.^(a)	35,038		2,072,498
Dell Inc.^(a)	467,542		13,348,324
Electronic Data Systems Corp.	105,920		2,937,162
EMC Corp.^(a)	441,829		7,997,105
Hewlett-Packard Co.	544,003		24,273,414
International Business Machines Corp.	281,719		29,650,925
Lexmark International Inc. Class A^(a)	20,167		994,435
NCR Corp.^(a)	36,237		1,903,892
Network Appliance Inc.^(a)(b)	76,355		2,229,566
SanDisk Corp.^(a)(b)	46,504		2,275,906
Sun Microsystems Inc.^(a)	736,902		3,876,105
Unisys Corp.^(a)(b)	68,634		627,315
			117,411,837


Security	Shares	Value

COSMETICS & PERSONAL CARE – 1.80%
Avon Products Inc.^(b)	90,814	$	3,337,414
Colgate-Palmolive Co.	105,166		6,820,015
Estee Lauder Companies Inc. (The) Class A	26,094		1,187,538
Procter & Gamble Co.	649,699		39,755,082
			51,100,049

DISTRIBUTION & WHOLESALE – 0.11%
Genuine Parts Co.^(b)	34,947		1,733,371
Grainger (W.W.) Inc.	15,209		1,415,197
			3,148,568

DIVERSIFIED FINANCIAL SERVICES – 8.11%
American Express Co.	246,440		15,077,199
Ameriprise Financial Inc.	49,445		3,143,219
Bear Stearns Companies Inc. (The)^(b)	24,223		3,391,220
Capital One Financial Corp.	84,790		6,650,928
Chicago Mercantile Exchange Holdings Inc.	7,252		3,875,179
CIT Group Inc.	40,489		2,220,012
Citigroup Inc.	1,020,869		52,360,371
Countrywide Financial Corp.	121,365		4,411,618
E*TRADE Financial Corp.^(a)(b)	87,145		1,925,033
Federal Home Loan Mortgage Corp.	138,740		8,421,518
Federal National Mortgage Association	200,327		13,087,363
Federated Investors Inc. Class B	18,457		707,457
Franklin Resources Inc.	34,068		4,512,988
Goldman Sachs Group Inc. (The)	84,967		18,416,597
Janus Capital Group Inc.	42,026		1,170,004
JPMorgan Chase & Co.	708,384		34,321,205
Legg Mason Inc.^(b)	26,859		2,642,388
Lehman Brothers Holdings Inc.	109,430		8,154,724
Merrill Lynch & Co. Inc.	180,831		15,113,855
Morgan Stanley	217,185		18,217,478
Rowe (T.) Price Group Inc.^(b)	54,352		2,820,325
Schwab (Charles) Corp. (The)^(b)	210,858		4,326,806
SLM Corp.	84,111		4,843,111
			229,810,598

ELECTRIC – 3.11%
AES Corp. (The)^(a)	135,652		2,968,066
Allegheny Energy Inc.^(a)	33,702		1,743,741
Ameren Corp.^(b)	42,301		2,073,172
American Electric Power Co. Inc.	81,375		3,665,130
CenterPoint Energy Inc.	64,098		1,115,305
CMS Energy Corp.^(b)	44,548		766,226
Consolidated Edison Inc.^(b)	54,907		2,477,404
Constellation Energy Group Inc.	37,104		3,234,356
Dominion Resources Inc.	72,318		6,241,767
DTE Energy Co.	36,302		1,750,482
Duke Energy Corp.	258,027		4,721,894
Dynegy Inc. Class A^(a)	79,340		748,970
Edison International	66,605		3,737,873


Security	Shares	Value

ELECTRIC *(Continued)*
Entergy Corp.^(b)	42,013	$	4,510,096
Exelon Corp.	138,307		10,041,088
FirstEnergy Corp.	65,105		4,214,247
FPL Group Inc.	83,191		4,720,257
Integrys Energy Group Inc.	15,344		778,401
PG&E Corp.	71,785		3,251,860
Pinnacle West Capital Corp.^(b)	20,488		816,447
PPL Corp.	78,608		3,678,068
Progress Energy Inc.^(b)	52,436		2,390,557
Public Service Enterprise Group Inc.	51,839		4,550,427
Southern Co. (The)^(b)	153,983		5,280,077
TECO Energy Inc.^(b)	42,072		722,797
TXU Corp.	94,417		6,354,264
Xcel Energy Inc.^(b)	83,030		1,699,624
			88,252,596

ELECTRICAL COMPONENTS & EQUIPMENT – 0.30%
Emerson Electric Co.	164,103		7,680,020
Molex Inc.^(b)	28,459		854,055
			8,534,075

ELECTRONICS – 0.45%
Agilent Technologies Inc.^(a)(b)	83,656		3,215,737
Applera Corp. - Applied Biosystems Group	37,353		1,140,761
Jabil Circuit Inc.	37,292		823,034
PerkinElmer Inc.	25,261		658,302
Solectron Corp.^(a)	183,556		675,486
Tektronix Inc.	16,709		563,762
Thermo Fisher Scientific Inc.^(a)	86,293		4,463,074
Waters Corp.^(a)	20,728		1,230,414
			12,770,570

ENGINEERING & CONSTRUCTION – 0.07%
Fluor Corp.^(b)	17,971		2,001,430
			2,001,430

ENTERTAINMENT – 0.10%
International Game Technology Inc.^(b)	69,343		2,752,917
			2,752,917

ENVIRONMENTAL CONTROL – 0.17%
Allied Waste Industries Inc.^(a)	50,926		685,464
Waste Management Inc.	109,393		4,271,797
			4,957,261

FOOD – 1.79%
Campbell Soup Co.	46,437		1,802,220
ConAgra Foods Inc.	104,058		2,794,998
Dean Foods Co.	27,471		875,501
General Mills Inc.	70,993		4,147,411
Heinz (H.J.) Co.	67,308		3,195,111
Hershey Co. (The)^(b)	35,322		1,788,000


Security	Shares	Value

FOOD *(Continued)*
Kellogg Co.	51,243	$	2,653,875
Kraft Foods Inc.	335,283		11,818,726
Kroger Co.	146,597		4,123,774
McCormick & Co. Inc. NVS	26,498		1,011,694
Safeway Inc.^(b)	90,564		3,081,893
Sara Lee Corp.	152,918		2,660,773
SUPERVALU Inc.	42,632		1,974,714
Sysco Corp.	126,333		4,167,726
Tyson Foods Inc. Class A	50,984		1,174,671
Whole Foods Market Inc.^(b)	28,912		1,107,330
Wrigley (William Jr.) Co.^(b)	45,021		2,490,112
			50,868,529

FOREST PRODUCTS & PAPER – 0.40%
International Paper Co.^(b)	92,943		3,629,424
MeadWestvaco Corp.	37,213		1,314,363
Plum Creek Timber Co. Inc.^(b)	36,682		1,528,172
Temple-Inland Inc.	22,099		1,359,751
Weyerhaeuser Co.	42,903		3,386,334
			11,218,044

GAS – 0.22%
KeySpan Corp.	35,776		1,501,876
Nicor Inc.	8,873		380,829
NiSource Inc.^(b)	55,293		1,145,118
Sempra Energy	53,555		3,172,063
			6,199,886

HAND & MACHINE TOOLS – 0.10%
Black & Decker Corp.	14,618		1,290,916
Snap-On Inc.	11,671		589,502
Stanley Works (The)	16,393		995,055
			2,875,473

HEALTH CARE - PRODUCTS – 2.90%
Bard (C.R.) Inc.^(b)	21,110		1,744,319
Bausch & Lomb Inc.	10,948		760,229
Baxter International Inc.	133,815		7,539,137
Becton, Dickinson and Co.	50,400		3,754,800
Biomet Inc.	49,991		2,285,589
Boston Scientific Corp.^(a)(b)	242,549		3,720,702
Johnson & Johnson	597,569		36,822,202
Medtronic Inc.^(b)	236,984		12,289,990
Patterson Companies Inc.^(a)(b)	28,028		1,044,604
St. Jude Medical Inc.^(a)(b)	72,203		2,995,702
Stryker Corp.^(b)	61,123		3,856,250
Varian Medical Systems Inc.^(a)	26,441		1,124,007
Zimmer Holdings Inc.^(a)(b)	48,843		4,146,282
			82,083,813

HEALTH CARE - SERVICES – 1.37%
Aetna Inc.	108,547		5,362,222
Coventry Health Care Inc.^(a)(b)	32,504		1,873,856


Security	Shares	Value

HEALTH CARE - SERVICES *(Continued)*
Humana Inc.^(a)	34,051	$	2,074,046
Laboratory Corp. of America Holdings^(a)(b)	25,588		2,002,517
Manor Care Inc.	15,138		988,360
Quest Diagnostics Inc.^(b)	32,510		1,679,141
Tenet Healthcare Corp.^(a)(b)	95,718		623,124
UnitedHealth Group Inc.	276,005		14,114,896
WellPoint Inc.^(a)	126,807		10,123,003
			38,841,165

HOME BUILDERS – 0.17%
Centex Corp.^(b)	24,290		974,029
Horton (D.R.) Inc.^(b)	56,495		1,125,945
KB Home	15,855		624,211
Lennar Corp. Class A^(b)	28,266		1,033,405
Pulte Homes Inc.^(b)	43,268		971,367
			4,728,957

HOME FURNISHINGS – 0.12%
Harman International Industries Inc.	13,353		1,559,630
Whirlpool Corp.	15,988		1,777,866
			3,337,496

HOUSEHOLD PRODUCTS & WARES – 0.42%
Avery Dennison Corp.^(b)	19,357		1,286,853
Clorox Co. (The)^(b)	31,134		1,933,421
Fortune Brands Inc.^(b)	30,914		2,546,386
Kimberly-Clark Corp.	93,706		6,267,994
			12,034,654

HOUSEWARES – 0.06%
Newell Rubbermaid Inc.^(b)	56,544		1,664,090
			1,664,090

INSURANCE – 4.78%
ACE Ltd.	66,526		4,159,206
AFLAC Inc.^(b)	101,080		5,195,510
Allstate Corp. (The)	123,203		7,578,217
Ambac Financial Group Inc.^(b)	21,649		1,887,576
American International Group Inc.	535,227		37,481,947
Aon Corp.	63,258		2,695,423
Assurant Inc.	20,609		1,214,282
Chubb Corp.	84,132		4,554,906
CIGNA Corp.	62,028		3,239,102
Cincinnati Financial Corp.^(b)	35,503		1,540,830
Genworth Financial Inc. Class A^(b)	90,296		3,106,182
Hartford Financial Services Group Inc. (The)	65,048		6,407,878
Lincoln National Corp.	57,856		4,104,883
Loews Corp.	93,383		4,760,665
Marsh & McLennan Companies Inc.^(b)	113,405		3,501,946
MBIA Inc.^(b)	27,513		1,711,859
MetLife Inc.	151,073		9,741,187


Security	Shares	Value

INSURANCE *(Continued)*
MGIC Investment Corp.	17,102	$	972,420
Principal Financial Group Inc.	55,116		3,212,712
Progressive Corp. (The)	155,380		3,718,243
Prudential Financial Inc.	97,612		9,490,815
SAFECO Corp.	22,968		1,429,988
Torchmark Corp.^(b)	19,892		1,332,764
Travelers Companies Inc. (The)	139,701		7,474,003
Unum Group	69,954		1,826,499
XL Capital Ltd. Class A^(b)	37,854		3,190,714
			135,529,757

INTERNET – 1.74%
Amazon.com Inc.^(a)	63,598		4,350,739
eBay Inc.^(a)	236,434		7,608,446
Google Inc. Class A^(a)	44,957		23,529,595
IAC/InterActiveCorp^(a)(b)	45,533		1,575,897
Symantec Corp.^(a)	193,059		3,899,792
VeriSign Inc.^(a)	50,202		1,592,909
Yahoo! Inc.^(a)	250,169		6,787,085
			49,344,463

IRON & STEEL – 0.30%
Allegheny Technologies Inc.^(b)	20,796		2,181,084
Nucor Corp.	62,038		3,638,529
United States Steel Corp.	24,753		2,691,889
			8,511,502

LEISURE TIME – 0.29%
Brunswick Corp.^(b)	18,920		617,360
Carnival Corp.^(b)	90,954		4,435,827
Harley-Davidson Inc.	53,112		3,166,006
			8,219,193

LODGING – 0.47%
Harrah’s Entertainment Inc.	38,002		3,240,051
Hilton Hotels Corp.	78,966		2,642,992
Marriott International Inc. Class A	69,132		2,989,268
Starwood Hotels & Resorts Worldwide Inc.	43,821		2,939,074
Wyndham Worldwide Corp.^(a)	40,648		1,473,896
			13,285,281

MACHINERY – 0.79%
Caterpillar Inc.	133,036		10,416,719
Cummins Inc.	21,392		2,165,084
Deere & Co.	47,258		5,705,931
Rockwell Automation Inc.	34,629		2,404,638
Terex Corp.^(a)	20,858		1,695,755
			22,388,127

MANUFACTURING – 5.20%
Cooper Industries Ltd.	37,334		2,131,398
Danaher Corp.	48,426		3,656,163


Security	Shares	Value

MANUFACTURING *(Continued)*
Dover Corp.	41,899	$	2,143,134
Eastman Kodak Co.^(b)	58,666		1,632,675
Eaton Corp.	30,481		2,834,733
General Electric Co.	2,123,872		81,301,820
Honeywell International Inc.	163,471		9,200,148
Illinois Tool Works Inc.	85,736		4,646,034
Ingersoll-Rand Co. Class A	64,725		3,548,224
ITT Industries Inc.	37,706		2,574,566
Leggett & Platt Inc.	36,156		797,240
Pall Corp.	25,222		1,159,960
Parker Hannlfin Corp.	24,181		2,367,562
Textron Inc.	25,654		2,824,762
3M Co.	147,169		12,772,797
Tyco International Ltd.	408,157		13,791,625
			147,382,841

MEDIA – 3.12%
CBS Corp. Class B	155,508		5,181,527
Clear Channel Communications Inc.	101,547		3,840,508
Comcast Corp. Class A^(a)	641,114		18,028,126
DIRECTV Group Inc. (The)^(a)	157,516		3,640,195
Dow Jones & Co. Inc.^(b)	13,256		761,557
Gannett Co. Inc.	47,969		2,635,897
McGraw-Hill Companies Inc. (The)	72,401		4,929,060
Meredith Corp.	7,699		474,258
New York Times Co. Class A^(b)	29,444		747,878
News Corp. Class A	478,746		10,154,203
Scripps (E.W.) Co. Class A	16,842		769,511
Time Warner Inc.	788,645		16,593,091
Tribune Co.	17,371		510,707
Viacom Inc. Class B^(a)	142,773		5,943,640
Walt Disney Co. (The)^(b)	413,480		14,116,207
			88,326,365

METAL FABRICATE & HARDWARE – 0.12%
Precision Castparts Corp.	28,147		3,415,920
			3,415,920

MINING – 0.69%
Alcoa Inc.	178,478		7,233,713
Freeport-McMoRan Copper & Gold Inc.	77,012		6,378,134
Newmont Mining Corp.	92,010		3,593,911
Vulcan Materials Co.^(b)	19,406		2,222,763
			19,428,521

OFFICE & BUSINESS EQUIPMENT – 0.20%
Pitney Bowes Inc.^(b)	45,076		2,110,458
Xerox Corp.^(a)	196,818		3,637,197
			5,747,655

OIL & GAS – 8.43%
Anadarko Petroleum Corp.	94,940		4,935,931
Apache Corp.	67,859		5,536,616


Security	Shares	Value

OIL & GAS *(Continued)*
Chesapeake Energy Corp.^(b)	84,925	$	2,938,405
Chevron Corp.	445,651		37,541,640
ConocoPhillips	337,016		26,455,756
Devon Energy Corp.^(b)	91,304		7,148,190
ENSCO International Inc.	31,162		1,901,194
EOG Resources Inc.^(b)	50,067		3,657,895
Exxon Mobil Corp.	1,165,255		97,741,589
Hess Corp.	55,724		3,285,487
Marathon Oil Corp.	139,484		8,363,461
Murphy Oil Corp.	38,172		2,268,944
Nabors Industries Ltd.^(a)(b)	62,218		2,076,837
Noble Corp.	27,589		2,690,479
Occidental Petroleum Corp.	174,639		10,108,105
Rowan Companies Inc.^(b)	22,183		909,059
Sunoco Inc.^(b)	25,748		2,051,601
Transocean Inc.^(a)(b)	59,764		6,333,789
Valero Energy Corp.^(b)	112,874		8,336,874
XTO Energy Inc.	78,442		4,714,364
			238,996,216

OIL & GAS SERVICES – 1.57%
Baker Hughes Inc.	66,198		5,569,238
BJ Services Co.^(b)	60,173		1,711,320
Halliburton Co.	188,862		6,515,739
National Oilwell Varco Inc.^(a)(b)	36,239		3,777,553
Schlumberger Ltd.	242,883		20,630,482
Smith International Inc.^(b)	40,916		2,399,314
Weatherford International Ltd.^(a)(b)	69,616		3,845,588
			44,449,234

PACKAGING & CONTAINERS – 0.13%
Ball Corp.	20,948		1,113,805
Bemis Co. Inc.	21,485		712,872
Pactiv Corp.^(a)	27,728		884,246
Sealed Air Corp.^(b)	32,585		1,010,787
			3,721,710

PHARMACEUTICALS – 5.65%
Abbott Laboratories	317,329		16,992,968
Allergan Inc.	63,276		3,647,229
AmerisourceBergen Corp.	40,540		2,005,514
Barr Pharmaceuticals Inc.^(a)	21,807		1,095,366
Bristol-Myers Squibb Co.	411,191		12,977,188
Cardinal Health Inc.	81,416		5,751,226
Express Scripts Inc.^(a)	55,412		2,771,154
Forest Laboratories Inc.^(a)	64,716		2,954,285
Gilead Sciences Inc.^(a)	191,838		7,437,559
Hospira Inc.^(a)	31,677		1,236,670
King Pharmaceuticals Inc.^(a)	49,069		1,003,952
Lilly (Eli) & Co.	202,991		11,343,137
Medco Health Solutions Inc.^(a)	59,639		4,651,246
Merck & Co. Inc.	446,764		22,248,847
Mylan Laboratories Inc.^(b)	48,862		888,800


Security	Shares	Value

PHARMACEUTICALS *(Continued)*
Pfizer Inc.	1,454,943	$	37,202,892
Schering-Plough Corp.^(b)	306,169		9,319,784
Watson Pharmaceuticals Inc.^(a)	20,369		662,604
Wyeth	277,054		15,886,276
			160,076,697

PIPELINES – 0.41%
El Paso Corp.^(b)	144,037		2,481,758
Questar Corp.	35,056		1,852,710
Spectra Energy Corp.^(b)	129,222		3,354,603
Williams Companies Inc. (The)^(b)	121,831		3,852,296
			11,541,367

REAL ESTATE – 0.05%
CB Richard Ellis Group Inc. Class A^(a)	37,669		1,374,918
			1,374,918

REAL ESTATE INVESTMENT TRUSTS – 1.10%
Apartment Investment & Management Co. Class A	19,785		997,560
Archstone-Smith Trust	45,468		2,687,613
AvalonBay Communities Inc.^(b)	16,428		1,952,961
Boston Properties Inc.	24,445		2,496,568
Developers Diversified Realty Corp.	26,037		1,372,410
Equity Residential	59,683		2,723,335
General Growth Properties Inc.	50,596		2,679,058
Host Hotels & Resorts Inc.^(b)	106,903		2,471,597
Kimco Realty Corp.^(b)	46,754		1,779,925
ProLogis^(b)	52,261		2,973,651
Public Storage^(b)	25,483		1,957,604
Simon Property Group Inc.^(b)	45,932		4,273,513
Vornado Realty Trust^(b)	26,599		2,921,634
			31,287,429

RETAIL – 5.46%
Abercrombie & Fitch Co. Class A^(b)	18,126		1,322,835
AutoNation Inc.^(a)	30,947		694,451
AutoZone Inc.^(a)	10,604		1,448,718
Bed Bath & Beyond Inc.^(a)(b)	57,966		2,086,196
Best Buy Co. Inc.	82,444		3,847,662
Big Lots Inc.^(a)(b)	22,438		660,126
Circuit City Stores Inc.^(b)	28,318		427,035
Costco Wholesale Corp.	94,173		5,511,004
CVS Caremark Corp.^(b)	317,597		11,576,411
Darden Restaurants Inc.^(b)	30,097		1,323,967
Dillard’s Inc. Class A^(b)	12,144		436,334
Dollar General Corp.	63,536		1,392,709
Family Dollar Stores Inc.	30,816		1,057,605
Gap Inc. (The)^(b)	108,320		2,068,912
Home Depot Inc.	411,456		16,190,794
Kohl’s Corp.^(a)(b)	66,845		4,748,000
Limited Brands Inc.^(b)	69,970		1,920,676
Lowe’s Companies Inc.	312,221		9,582,062


Security	Shares	Value

RETAIL *(Continued)*
Macy’s Inc.^(b)	94,483	$	3,758,534
McDonald’s Corp.	249,266		12,652,742
Nordstrom Inc.^(b)	46,828		2,393,847
Office Depot Inc.^(a)	56,980		1,726,494
OfficeMax Inc.	15,379		604,395
Penney (J.C.) Co. Inc.^(b)	45,974		3,327,598
RadioShack Corp.	27,254		903,198
Sears Holdings Corp.^(a)(b)	17,014		2,883,873
Staples Inc.	147,665		3,504,091
Starbucks Corp.^(a)	154,558		4,055,602
Target Corp.	175,667		11,172,421
Tiffany & Co.^(b)	27,920		1,481,435
TJX Companies Inc.^(b)	92,938		2,555,795
Walgreen Co.	205,786		8,959,922
Wal-Mart Stores Inc.	503,538		24,225,213
Wendy’s International Inc.	21,496		789,978
Yum! Brands Inc.	108,944		3,564,648
			154,855,283

SAVINGS & LOANS – 0.38%
Hudson City Bancorp Inc.^(b)	104,226		1,273,642
Sovereign Bancorp Inc.^(b)	73,334		1,550,281
Washington Mutual Inc.^(b)	186,914		7,970,013
			10,793,936

SEMICONDUCTORS – 2.64%
Advanced Micro Devices Inc.^(a)	112,353		1,606,648
Altera Corp.^(b)	73,462		1,625,714
Analog Devices Inc.	70,980		2,671,687
Applied Materials Inc.	283,914		5,641,371
Broadcom Corp. Class A^(a)(b)	95,840		2,803,320
Intel Corp.	1,198,080		28,466,381
KLA-Tencor Corp.^(b)	40,629		2,232,564
Linear Technology Corp.	52,188		1,888,162
LSI Corp.^(a)	158,238		1,188,367
Maxim Integrated Products Inc.^(b)	65,455		2,186,852
MEMC Electronic Materials Inc.^(a)	46,070		2,815,798
Micron Technology Inc.^(a)(b)	154,267		1,932,966
National Semiconductor Corp.	59,855		1,692,101
Novellus Systems Inc.^(a)(b)	25,459		722,272
NVIDIA Corp.^(a)	73,734		3,045,952
QLogic Corp.^(a)	31,492		524,342
Teradyne Inc.^(a)	39,725		698,365
Texas Instruments Inc.^(b)	300,020		11,289,753
Xilinx Inc.	66,604		1,782,989
			74,815,604

SOFTWARE – 3.67%
Adobe Systems Inc.^(a)(b)	120,413		4,834,582
Autodesk Inc.^(a)	47,291		2,226,460
Automatic Data Processing Inc.	113,346		5,493,881
BMC Software Inc.^(a)(b)	41,919		1,270,146
CA Inc.	83,826		2,165,226



Security	Shares	Value

SOFTWARE *(Continued)*
Citrix Systems Inc.^(a)	36,633	$	1,233,433
Compuware Corp.^(a)	50,433		598,135
Electronic Arts Inc.^(a)(b)	63,021		2,982,154
Fidelity National Information Services Inc.^(b)	33,273		1,806,058
First Data Corp.	156,488		5,112,463
Fiserv Inc.^(a)	35,501		2,016,457
IMS Health Inc.^(b)	40,862		1,312,896
Intuit Inc.^(a)(b)	71,188		2,141,335
Microsoft Corp.	1,743,529		51,381,800
Novell Inc.^(a)	67,649		526,986
Oracle Corp.^(a)	818,310		16,128,890
Paychex Inc.^(b)	69,300		2,711,016
			103,941,918

TELECOMMUNICATIONS – 6.24%
Alltel Corp.	73,405		4,958,508
AT&T Inc.	1,277,012		52,995,998
Avaya Inc.^(a)	92,122		1,551,334
CenturyTel Inc.	23,396		1,147,574
Ciena Corp.^(a)(b)	17,352		626,928
Cisco Systems Inc.^(a)	1,252,336		34,877,558
Citizens Communications Co.^(b)	67,725		1,034,161
Corning Inc.^(a)(b)	323,114		8,255,563
Embarq Corp.	30,493		1,932,341
JDS Uniphase Corp.^(a)(b)	43,199		580,163
Juniper Networks Inc.^(a)(b)	116,791		2,939,629
Motorola Inc.	485,793		8,598,536
QUALCOMM Inc.	343,210		14,891,882
Qwest Communications International Inc.^(a)(b)	328,410		3,185,577
Sprint Nextel Corp.	595,638		12,335,663
Tellabs Inc.^(a)	89,351		961,417
Verizon Communications Inc.	598,645		24,646,215
Windstream Corp.	97,365		1,437,107
			176,956,154

TEXTILES – 0.04%
Cintas Corp.	27,820		1,096,943
			1,096,943

TOYS, GAMES & HOBBIES – 0.11%
Hasbro Inc.	33,232		1,043,817
Mattel Inc.	79,486		2,010,201
			3,054,018

TRANSPORTATION – 1.64%
Burlington Northern Santa Fe Corp.	73,439		6,252,596
C.H. Robinson Worldwide Inc.	34,894		1,832,633
CSX Corp.	89,239		4,022,894
FedEx Corp.	63,159		7,008,754
Norfolk Southern Corp.	81,109		4,263,900
Ryder System Inc.	12,552		675,298


Security	Shares or Principal		Value

TRANSPORTATION *(Continued)*
Union Pacific Corp.		55,535	$	6,394,855
United Parcel Service Inc. Class B		219,606		16,031,238
				46,482,168

TOTAL COMMON STOCKS
(Cost: $2,232,475,624)				2,760,573,948

SHORT-TERM INVESTMENTS – 11.44%

MONEY MARKET FUNDS – 11.33%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.31%^(c)(d)		69,565,294		69,565,294
BGI Cash Premier Fund LLC 5.33%^(c)(d)(e)		251,446,245		251,446,245
				321,011,539

U.S. TREASURY OBLIGATIONS – 0.11%
U.S. Treasury Bill 4.70%, 09/27/07^(f)(g)	$	3,150,000		3,114,374
				3,114,374

TOTAL SHORT-TERM INVESTMENTS
(Cost: $324,126,366)				324,125,913

TOTAL INVESTMENTS IN SECURITIES – 108.85%
(Cost: $2,556,601,990)				3,084,699,861

Other Assets, Less Liabilities – (8.85)%				(250,885,230	)

NET ASSETS – 100.00%			$	2,833,814,631

NVS Non-Voting Shares

^(a)

Non-income earning security.

^(b)

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

^(c)

Affiliated issuer. See Note 2.

^(d)

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

^(e)

This security represents an investment of securities lending collateral. See Note 4.

^(f)

The rate quoted is the yield to maturity.

^(g)

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, 2007, the open futures contracts held by the Master Portfolio were as follows:


Futures Contracts (Expiration Date)	Number of Contracts	*Notional* *Contract* *Value*		*Net* *Unrealized* *Depreciation*
S&P 500 Index (09/21/07)	959	$	72,663,430	$	(1,598,473	)

				$	(1,598,473	)

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


Bond Index Master Portfolio
Sector/Investment Type	Value			% of Net Assets
Mortgage-Backed Securities	$	44,887,612		43.37	%
U.S. Government and Agency		33,664,912		32.52
Financial		7,924,609		7.66
Communications		3,381,181		3.27
Consumer Non-Cyclical		2,375,867		2.30
Utilities		1,835,971		1.77
Industrial		1,383,263		1.34
Foreign Government		1,298,988		1.26
Energy		1,184,619		1.14
Asset-Backed Securities		1,019,502		0.99
Basic Materials		993,362		0.96
Multi-National		879,430		0.85
Consumer Cyclical		702,743		0.68
Technology		241,651		0.23
Municipal Debt Obligations		176,706		0.17
Short-Term and Other Net Assets		1,544,544		1.49

TOTAL	$	103,494,960		100.00	%



S&P 500 Index Master Portfolio
Sector/Investment Type	Value			% of Net Assets
Financial	$	576,301,009		20.34	%
Consumer Non-Cyclical		543,061,158		19.16
Communications		319,381,762		11.27
Industrial		319,270,900		11.27
Technology		301,917,014		10.65
Energy		299,304,938		10.56
Consumer Cyclical		229,501,942		8.10
Utilities		94,452,482		3.33
Basic Materials		77,382,743		2.73
Futures Contracts		(1,598,473	)	(0.05	)
Short-Term and Other Net Assets		74,839,156		2.64

TOTAL	$	2,833,814,631		100.00	%

These tables are not part of the financial statements.

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end series management investment company organized as a Delaware statutory trust. As of June 30, 2007, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

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

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

The following significant accounting policies are consistently followed by MIP in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for investment companies. The preparation of 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.

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

Investments that may be valued using fair value pricing include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (i.e., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (i.e., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Master Portfolio’s net assets are computed and that may materially affect the value of the Master Portfolio’s investments). Examples of events that may be “significant events” are government actions, natural disasters, armed conflict, acts of terrorism, and significant market fluctuations.

Valuing a Master Portfolio’s investments using fair value pricing will result in using prices for those investments that may differ from current market valuations. Accordingly, fair value pricing could result in a difference between the prices used to calculate a Master Portfolio’s net assets and the prices used by the Master Portfolio’s benchmark index, which, in turn, could result in a difference between the Master Portfolio’s performance and the performance of the Master Portfolio’s benchmark index.

Security transactions are accounted for on trade date. Dividend income is recognized on the ex-dividend date, net of any foreign tax withheld at source, and interest income is accrued daily. Distributions received by the S&P 500 Index Master Portfolio may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains. Realized gains and losses on investment transactions are determined

using the specific identification method. The Master Portfolios amortize premiums and accrete discounts on debt securities purchased using a constant yield to maturity method.

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.

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, 2007, the gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes for the Master Portfolios were as follows:

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

As of June 30, 2007, the S&P 500 Index Master Portfolio has pledged to brokers a U.S. Treasury Bill with a face amount of $3,150,000 for initial margin requirements on outstanding futures contracts.

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”). A TBA roll is treated by the Master Portfolio as a purchase transaction and a sale transaction in which the Master Portfolio realizes a gain or loss. The Master Portfolio’s use of TBA rolls may cause the Master Portfolio to experience higher portfolio turnover and higher transaction costs. 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.

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.

Pursuant to an Investment Advisory Contract with each Master Portfolio, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.08% and 0.05% of the average daily net assets of the Bond Index and S&P 500 Index Master Portfolios, respectively, as compensation for investment advisory services. From time to time, BGFA may waive a portion of its advisory fees. Any such waivers will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance.

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

For the six months ended June 30, 2007, BGFA credited investment advisory fees for the Bond Index and S&P 500 Index Master Portfolios in the amounts of $16,048 and $29,159, respectively.

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

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

Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission (“SEC”), BGI serves as securities lending agent for MIP. BGI is an affiliate of BGFA, the Master Portfolios’ investment adviser. As securities lending agent, BGI receives, as fees, a share of the income earned on investment of the cash collateral received for the loan of securities. For the six months ended June 30, 2007, BGI earned securities lending agent fees as follows:

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

Cross trades for the six months ended June 30, 2007, if any, were executed by the Master Portfolios pursuant to Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter for compliance with the requirements and restrictions set forth by Rule 17a-7.

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

Each Master Portfolio may invest its securities lending cash collateral, if any, in the BGI Cash Premier Fund LLC (“Premier Fund”), an affiliated private money market fund managed by BGFA. See Note 4 for additional information regarding the Premier Fund.

Certain officers and trustees of MIP are also officers of BGI and/or BGFA. As of June 30, 2007, these officers of BGI and/or BGFA collectively owned less than 1% of MIP’s outstanding beneficial interests.

Investment transactions (excluding short-term investments) for the Master Portfolios for the six months ended June 30, 2007 were as follows:

For the six months ended June 30, 2007, the S&P 500 Index Master Portfolio paid in-kind redemption proceeds of portfolio securities in the amount of $129,169,877. In-kind redemptions are transactions in which an interestholder in the Master Portfolio redeems interests in the Master Portfolio and the Master Portfolio pays the proceeds of that redemption in the form of portfolio securities, rather than cash. Because capital gains or losses resulting from in-kind redemptions are not taxable to the Master Portfolio, and are not allocated to the other interestholders, the gains or losses are reclassified from accumulated net realized gains or losses to paid-in-capital at the end of the Master Portfolio’s tax year. The net realized gains or losses from in-kind redemptions for the six months ended June 30, 2007 are disclosed in the Master Portfolio’s Statement of Operations.

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.

collateralized by U.S. government securities or non-U.S. government debt securities. The Premier Fund seeks to achieve its investment objective by investing in a portfolio of high-quality, short-term fixed-income instruments, including money market funds (which may be managed by BGFA or its affiliate) and other instruments that, at the time of investment, have remaining maturities of 397 calendar days or less than from the date of acquisition.

The market value of the securities on loan as of June 30, 2007 and the value of the related collateral are disclosed in the Statements of Assets and Liabilities. Securities lending income, as disclosed in the Master Portfolios’ Statements of Operations, represents the income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to BGI as securities lending agent.

In June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes — an interpretation of FASB Statement No. 109.” FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, “Accounting for Income Taxes.” This interpretation prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken in a tax return. It also provides guidance on de-recognition, classification, interest and penalties, accounting in interim periods, disclosure and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006. As of June 30, 2007, management has evaluated the effects of applying the various provisions of FIN 48, and has determined that the Master Portfolios did not have a liability for uncertain tax positions or unrecognized tax benefits.

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

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 14-15, 2007, 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:

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, over the past several years, BGFA and its affiliates have committed significant resources to the support of 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 Index, as applicable. The Board noted that the S&P 500 Index Master Portfolio, net expenses, underperformed its published benchmark on an annualized basis over five years, three years and in 2006, and noted that the published benchmark is an index, which does not have expenses. The Board also noted that the Bond Index Master Portfolio outperformed its published benchmark in 2006 and on an annualized basis over three years, and was in line with its benchmark on an annualized basis over five years. 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 supported the Board’s approval of the Advisory Contracts for the coming year.

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

overall expense structure to the Barclays Global Investors Funds Index 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 respective Lipper Performance Group 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 in line with, 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 Expense 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 funds for which BGFA provides advisory services and/or BGI provides administration services. Based on this review, the Board concluded that the profits to be realized by BGFA and its affiliates under the Advisory Contracts and from other relationships between the Master Portfolios and BGFA and/or its affiliates, if any, were within the range the Board considered reasonable and appropriate.

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 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

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

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 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, higher than the investment management fee rates for separate accounts and within the ranges of 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 Accounts. The Board further noted that any differences between the investment advisory fee rates for certain of 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.

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.


Security	Shares	Value

MASTER PORTFOLIOS – 71.18%
Active Stock Master Portfolio^(a)		$	55,723,922
CoreAlpha Bond Master Portfolio^(a)			153,144,226

TOTAL MASTER PORTFOLIOS			208,868,148

EXCHANGE-TRADED FUNDS – 28.29%
iShares Cohen & Steers Realty Majors Index Fund^(a)(b)	89,094		8,058,552
iShares Lehman TIPS Bond Fund^(a)(b)	280,749		27,788,536
iShares MSCI EAFE Index Fund^(a)	387,517		31,299,748
iShares S&P MidCap 400 Index Fund^(a)	117,527		10,492,811
iShares S&P SmallCap 600 Index Fund^(a)(b)	75,369		5,358,736

TOTAL EXCHANGE-TRADED FUNDS
(Cost: $70,538,630)			82,998,383

SHORT-TERM INVESTMENTS – 5.18%

MONEY MARKET FUNDS – 5.18%
Barclays Global Investors Funds
Institutional Money Market Fund,
Institutional Shares
5.31% ^(a)(c)	842,112		842,112
BGI Cash Premier Fund LLC
5.33% ^(a)(c)(d)	14,362,858		14,362,858
			15,204,970

TOTAL SHORT-TERM INVESTMENTS
(Cost: $15,204,970)			15,204,970

TOTAL INVESTMENTS – 104.65%			307,071,501

Other Assets, Less Liabilities – (4.65)%			(13,646,892	)

NET ASSETS – 100.00%		$	293,424,609

^(a)

Affiliated issuer. See Note 2.

^(b)

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

^(c)

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

^(d)

This security represents an investment of securities lending collateral. See Note 4.

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


Security	Shares	Value

MASTER PORTFOLIOS – 69.46%
Active Stock Master Portfolio^(a)		$	214,809,838
CoreAlpha Bond Master Portfolio^(a)			421,117,124

TOTAL MASTER PORTFOLIOS			635,926,962

EXCHANGE-TRADED FUNDS – 30.30%
iShares Cohen & Steers Realty Majors Index Fund^(a)(b)	324,573		29,357,628
iShares Lehman TIPS Bond Fund^(a)(b)	775,266		76,735,829
iShares MSCI EAFE Index Fund^(a)(b)	1,426,925		115,252,732
iShares S&P MidCap 400 Index Fund^(a)(b)	418,921		37,401,267
iShares S&P SmallCap 600 Index Fund^(a)(b)	262,991		18,698,660

TOTAL EXCHANGE-TRADED FUNDS
(Cost: $228,416,145)			277,446,116

SHORT-TERM INVESTMENTS – 10.29%

MONEY MARKET FUNDS – 10.29%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.31%^(a)(c)	2,255,146		2,255,146
BGI Cash Premier Fund LLC
5.33%^(a)(c)(d)	91,964,855		91,964,855
			94,220,001

TOTAL SHORT-TERM INVESTMENTS
(Cost: $94,220,001)			94,220,001

TOTAL INVESTMENTS – 110.05%			1,007,593,079

Other Assets, Less Liabilities – (10.05)%			(91,990,072	)

NET ASSETS – 100.00%		$	915,603,007

^(a)

Affiliated issuer. See Note 2.

^(b)

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

^(c)

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

^(d)

This security represents an investment of securities lending collateral. See Note 4.

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


Security	Shares	Value

MASTER PORTFOLIOS – 64.69%
Active Stock Master Portfolio^(a)		$	583,013,953
CoreAlpha Bond Master Portfolio^(a)			495,610,062

TOTAL MASTER PORTFOLIOS			1,078,624,015

EXCHANGE-TRADED FUNDS – 35.05%
iShares Cohen & Steers Realty Majors Index Fund^(a)(b)	817,823		73,972,090
iShares Lehman TIPS Bond Fund^(a)(b)	838,718		83,016,308
iShares MSCI EAFE Index Fund^(a)(b)	3,642,084		294,171,125
iShares S&P MidCap 400 Index Fund^(a)(b)	996,743		88,989,215
iShares S&P SmallCap 600 Index Fund^(a)(b)	622,558		44,263,874

TOTAL EXCHANGE-TRADED FUNDS
(Cost: $465,667,407)			584,412,612

SHORT-TERM INVESTMENTS – 12.02%

MONEY MARKET FUNDS – 12.02%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
5.31%^(a)(c)	4,652,684		4,652,684
BGI Cash Premier Fund LLC
5.33%^(a)(c)(d)	195,848,380		195,848,380
			200,501,064

TOTAL SHORT-TERM INVESTMENTS
(Cost: $200,501,064)			200,501,064

TOTAL INVESTMENTS – 111.76%			1,863,537,691

Other Assets, Less Liabilities – (11.76)%			(196,158,926	)

NET ASSETS – 100.00%		$	1,667,378,765

^(a)

Affiliated issuer. See Note 2.

^(b)

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

^(c)

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

^(d)

This security represents an investment of securities lending collateral. See Note 4.

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


Security	Shares	Value

MASTER PORTFOLIOS – 60.98%
Active Stock Master Portfolio^(a)		$	540,196,621
CoreAlpha Bond Master Portfolio^(a)			216,231,761

TOTAL MASTER PORTFOLIOS			756,428,382

EXCHANGE-TRADED FUNDS – 38.75%
iShares Cohen & Steers Realty Majors Index Fund^(a)(b)	736,678		66,632,525
iShares Lehman TIPS Bond Fund^(a)(b)	318,826		31,557,397
iShares MSCI EAFE Index Fund^(a)(b)	3,302,972		266,781,048
iShares S&P MidCap 400 Index Fund^(a)	864,671		77,197,827
iShares S&P SmallCap 600 Index Fund^(a)(b)	542,248		38,553,833

TOTAL EXCHANGE-TRADED FUNDS
(Cost: $384,144,984)			480,722,630

SHORT-TERM INVESTMENTS – 20.09%

MONEY MARKET FUNDS – 20.09%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
5.31%^(a)(c)	3,450,181		3,450,181
BGI Cash Premier Fund LLC
5.33%^(a)(c)(d)	245,724,375		245,724,375
			249,174,556

TOTAL SHORT-TERM INVESTMENTS
(Cost: $249,174,556)			249,174,556

TOTAL INVESTMENTS – 119.82%			1,486,325,568

Other Assets, Less Liabilities – (19.82)%			(245,819,875	)

NET ASSETS – 100.00%		$	1,240,505,693

^(a)

Affiliated issuer. See Note 2.

^(b)

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

^(c)

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

^(d)

This security represents an investment of securities lending collateral. See Note 4.

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


Security	Shares	Value

MASTER PORTFOLIOS – 58.37%
Active Stock Master Portfolio^(a)		$	463,099,320
CoreAlpha Bond Master Portfolio^(a)			69,828,681

TOTAL MASTER PORTFOLIOS			532,928,001

EXCHANGE-TRADED FUNDS – 41.43%
iShares Cohen & Steers Realty Majors Index Fund^(a)(b)	616,181		55,733,571
iShares MSCI EAFE Index Fund^(a)(b)	2,792,869		225,580,029
iShares S&P MidCap 400 Index Fund^(a)(b)	725,471		64,770,051
iShares S&P SmallCap 600 Index Fund^(a)(b)	452,016		32,138,338

TOTAL EXCHANGE-TRADED FUNDS
(Cost: $305,937,387)			378,221,989

SHORT-TERM INVESTMENTS – 14.45%

MONEY MARKET FUNDS – 14.45%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
5.31%^(a)(c)	2,900,267		2,900,267
BGI Cash Premier Fund LLC
5.33%^(a)(c)(d)	129,009,756		129,009,756
			131,910,023

TOTAL SHORT-TERM INVESTMENTS
(Cost: $131,910,023)			131,910,023

TOTAL INVESTMENTS – 114.25%			1,043,060,013

Other Assets, Less Liabilities – (14.25)%			(130,115,181	)

NET ASSETS – 100.00%		$	912,944,832

^(a)

Affiliated issuer. See Note 2.

^(b)

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

^(c)

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

^(d)

This security represents an investment of securities lending collateral. See Note 4.

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


Security	Shares	Value

COMMON STOCKS – 97.62%

AEROSPACE & DEFENSE – 2.43%
Lockheed Martin Corp.	239,109	$	22,507,330
Northrop Grumman Corp.	289,215		22,521,172
			45,028,502

AGRICULTURE – 2.41%
Altria Group Inc.	467,033		32,757,695
Archer-Daniels-Midland Co.^(a)	363,638		12,032,781
			44,790,476

AIRLINES – 0.31%
AMR Corp.^(a)(b)	57,130		1,505,375
Continental Airlines Inc. Class B^(a)(b)	104,319		3,533,285
US Airways Group Inc.^(b)	21,618		654,377
			5,693,037

APPAREL – 0.10%
Jones Apparel Group Inc.	68,277		1,928,825
			1,928,825

AUTO MANUFACTURERS – 0.02%
General Motors Corp.	10,160		384,048
			384,048

AUTO PARTS & EQUIPMENT – 0.07%
Johnson Controls Inc.	11,902		1,377,895
			1,377,895

BANKS – 5.75%
Bank of America Corp.	974,984		47,666,968
KeyCorp^(a)	341,305		11,717,001
PNC Financial Services Group Inc. (The)	2,539		181,742
Regions Financial Corp.	97,007		3,210,932
U.S. Bancorp^(a)	495,442		16,324,814
UnionBanCal Corp.	13,417		800,995
Wachovia Corp.^(a)	523,708		26,840,035
Zions Bancorporation	884		67,988
			106,810,475

BEVERAGES – 2.38%
Anheuser-Busch Companies Inc.	261,705		13,650,533
Coca-Cola Enterprises Inc.^(a)	60,061		1,441,464
Molson Coors Brewing Co. Class B	51,572		4,768,347
Pepsi Bottling Group Inc.^(a)	369,560		12,446,781
PepsiAmericas Inc.	27,228		668,720
PepsiCo Inc.	172,265		11,171,385
			44,147,230

BIOTECHNOLOGY – 1.29%
Amgen Inc.^(b)	429,482		23,746,060
Biogen Idec Inc.^(b)	5,433		290,665
			24,036,725


Security	Shares	Value

BUILDING MATERIALS – 0.01%
Lennox International Inc.	2,723	$	93,208
			93,208

CHEMICALS – 1.57%
Ashland Inc.	10,549		674,609
Celanese Corp. Class A	8,807		341,535
Dow Chemical Co. (The)	539,841		23,871,769
Lyondell Chemical Co.	75,304		2,795,284
Westlake Chemical Corp.^(a)	55,301		1,555,064
			29,238,261

COMMERCIAL SERVICES – 2.34%
Accenture Ltd.	463,560		19,882,088
Block (H & R) Inc.	43,643		1,019,937
Deluxe Corp.^(a)	23,951		972,650
ITT Educational Services Inc.^(b)	732		85,922
Manpower Inc.^(a)	24,109		2,223,814
Moody’s Corp.^(a)	100,172		6,230,698
Robert Half International Inc.^(a)	296,062		10,806,263
Western Union Co.	106,371		2,215,708
			43,437,080

COMPUTERS – 3.38%
Apple Inc.^(b)	119,255		14,553,880
Cadence Design Systems Inc.^(b)	27,363		600,891
Computer Sciences Corp.^(b)	63,645		3,764,602
Electronic Data Systems Corp.^(a)	340,812		9,450,717
Hewlett-Packard Co.	668,846		29,843,909
International Business Machines Corp.	17,648		1,857,452
Western Digital Corp.^(b)	139,658		2,702,382
			62,773,833

COSMETICS & PERSONAL CARE – 0.65%
Colgate-Palmolive Co.	25,843		1,675,919
Procter & Gamble Co.	169,042		10,343,680
			12,019,599

DISTRIBUTION & WHOLESALE – 0.22%
Grainger (W.W.) Inc.^(a)	9,770		909,098
Ingram Micro Inc. Class A^(a)(b)	145,536		3,159,587
			4,068,685

DIVERSIFIED FINANCIAL SERVICES – 10.42%
AmeriCredit Corp.^(a)(b)	67,223		1,784,771
Capital One Financial Corp.	125,955		9,879,910
CIT Group Inc.^(a)	332,291		18,219,516
Citigroup Inc.	325,267		16,682,944
Countrywide Financial Corp.	407,316		14,805,937
Federal Home Loan Mortgage Corp.	115,775		7,027,542
Federal National Mortgage Association	106,315		6,945,559
Goldman Sachs Group Inc. (The)^(a)	133,755		28,991,396
IndyMac Bancorp Inc.^(a)	5,276		153,901
JPMorgan Chase & Co.	839,640		40,680,558


Security	Shares	Value

DIVERSIFIED FINANCIAL SERVICES *(Continued)*
Lehman Brothers Holdings Inc.^(a)	96,028	$	7,156,007
Merrill Lynch & Co. Inc.	130,485		10,905,936
Morgan Stanley	360,676		30,253,503
			193,487,480

ELECTRIC – 2.13%
Alliant Energy Corp.	66,532		2,584,768
American Electric Power Co. Inc.	69,359		3,123,929
Constellation Energy Group Inc.	58,502		5,099,619
Duke Energy Corp.	13,385		244,945
Edison International^(a)	339,738		19,066,097
FirstEnergy Corp.	80,225		5,192,964
TXU Corp.^(a)	62,428		4,201,404
			39,513,726

ELECTRONICS – 0.88%
Arrow Electronics Inc.^(b)	19,283		741,046
Avnet Inc.^(a)(b)	182,788		7,245,716
Flextronics International Ltd.^(a)(b)	606,272		6,547,738
Mettler-Toledo International Inc.^(b)	4,119		393,406
Sanmina-SCI Corp.^(b)	106,891		334,569
Solectron Corp.^(b)	151,959		559,209
Thomas & Betts Corp.^(b)	5,609		325,322
Vishay Intertechnology Inc.^(b)	10,499		166,094
			16,313,100

ENGINEERING & CONSTRUCTION – 0.05%
Foster Wheeler Ltd.^(b)	1,755		187,767
Jacobs Engineering Group Inc.^(a)(b)	11,250		646,988
			834,755

ENVIRONMENTAL CONTROL – 0.66%
Waste Management Inc.	313,279		12,233,545
			12,233,545

FOOD – 1.18%
Campbell Soup Co.	74,546		2,893,130
Corn Products International Inc.	23,794		1,081,437
Dean Foods Co.^(a)	111,338		3,548,342
General Mills Inc.	14,554		850,245
Hormel Foods Corp.	9,133		341,118
Kellogg Co.	11,997		621,325
Kroger Co.	277,120		7,795,386
Smucker (J.M.) Co. (The)	4,035		256,868
SUPERVALU Inc.	28,139		1,303,398
Sysco Corp.	97,991		3,232,723
			21,923,972

GAS – 0.91%
Sempra Energy	262,019		15,519,385
UGI Corp.	51,362		1,401,155
			16,920,540


Security	Shares	Value

HEALTH CARE - PRODUCTS – 4.53%
Alcon Inc.^(a)	120,364	$	16,238,307
Baxter International Inc.^(a)	372,945		21,011,721
Becton, Dickinson and Co.	259,915		19,363,668
DENTSPLY International Inc.	2,626		100,471
Johnson & Johnson	401,472		24,738,705
Kinetic Concepts Inc.^(b)	1,658		86,166
Zimmer Holdings Inc.^(b)	29,837		2,532,863
			84,071,901

HEALTH CARE - SERVICES – 2.18%
Apria Healthcare Group Inc.^(b)	15,512		446,280
Health Net Inc.^(b)	25,327		1,337,266
Humana Inc.^(a)(b)	143,704		8,753,011
UnitedHealth Group Inc.	534,144		27,316,124
WellCare Health Plans Inc.^(a)(b)	28,314		2,562,700
			40,415,381

HOME BUILDERS – 0.29%
Horton (D.R.) Inc.^(a)	20,861		415,760
NVR Inc.^(a)(b)	7,219		4,907,115
			5,322,875

HOUSEHOLD PRODUCTS & WARES – 0.87%
Blyth Inc.^(a)	7,230		192,173
Kimberly-Clark Corp.	237,835		15,908,783
			16,100,956

INSURANCE – 3.96%
ACE Ltd.^(a)	265,801		16,617,879
American International Group Inc.	99,750		6,985,493
Axis Capital Holdings Ltd.	127,636		5,188,403
Hartford Financial Services Group Inc. (The)	42,926		4,228,640
MetLife Inc.^(a)	318,367		20,528,304
Reinsurance Group of America Inc.	5,466		329,272
Travelers Companies Inc. (The)	368,783		19,729,891
			73,607,882

INTERNET – 1.20%
Check Point Software Technologies Ltd.^(a)(b)	263,832		6,018,008
eBay Inc.^(b)	218,264		7,023,736
Google Inc. Class A^(b)	16,996		8,895,366
ValueClick Inc.^(a)(b)	10,486		308,918
			22,246,028

IRON & STEEL – 1.13%
Nucor Corp.^(a)	277,334		16,265,639
United States Steel Corp.	43,775		4,760,531
			21,026,170

LEISURE TIME – 1.11%
Carnival Corp.^(a)	221,332		10,794,362
Royal Caribbean Cruises Ltd.^(a)	227,739		9,788,222
			20,582,584


Security	Shares	Value

LODGING – 0.41%
Choice Hotels International Inc.^(a)	54,855	$	2,167,870
Marriott International Inc. Class A	4,414		190,861
Starwood Hotels & Resorts Worldwide Inc.	40,652		2,726,530
Wyndham Worldwide Corp.^(b)	68,283		2,475,942
			7,561,203

MACHINERY – 0.42%
Caterpillar Inc.	31,217		2,444,291
Cummins Inc.	37,625		3,808,026
Terex Corp.^(b)	19,553		1,589,659
			7,841,976

MANUFACTURING – 4.92%
Eaton Corp.^(a)	157,615		14,658,195
General Electric Co.	940,472		36,001,268
Honeywell International Inc.^(a)	431,557		24,288,028
Ingersoll-Rand Co. Class A^(a)	292,252		16,021,255
Parker Hannifin Corp.	739		72,355
Teleflex Inc.	4,122		337,097
			91,378,198

MEDIA – 1.89%
Comcast Corp. Class A^(a)(b)	207,689		5,840,215
Comcast Corp. Class A Special^(a)(b)	31,228		873,135
DIRECTV Group Inc. (The)^(b)	907,393		20,969,852
EchoStar Communications Corp.^(a)(b)	128,701		5,581,762
Gannett Co. Inc.^(a)	33,228		1,825,879
			35,090,843

METAL FABRICATE & HARDWARE – 0.03%
Commercial Metals Co.	10,517		355,159
Precision Castparts Corp.	829		100,607
Timken Co. (The)	1,491		53,840
			509,606

MINING – 0.06%
Freeport-McMoRan Copper & Gold Inc.	12,754		1,056,286
			1,056,286

OFFICE & BUSINESS EQUIPMENT – 0.10%
Xerox Corp.^(b)	104,387		1,929,072
			1,929,072

OIL & GAS – 11.09%
Chevron Corp.	73,642		6,203,602
ConocoPhillips	474,512		37,249,192
ENSCO International Inc.^(a)	256,485		15,648,150
Exxon Mobil Corp.	989,843		83,028,031
GlobalSantaFe Corp.^(a)	75,392		5,447,072
Marathon Oil Corp.	369,199		22,137,172
Noble Corp.	5,341		520,854
Occidental Petroleum Corp.	401,333		23,229,154


Security	Shares	Value

OIL & GAS *(Continued)*
Patterson-UTI Energy Inc.^(a)	174,964	$	4,585,806
Tesoro Corp.^(a)	105,075		6,005,036
Unit Corp.^(a)(b)	20,039		1,260,653
Valero Energy Corp.	9,056		668,876
			205,983,598

OIL & GAS SERVICES – 0.06%
Global Industries Ltd.^(b)	21,183		568,128
Tidewater Inc.^(a)	8,393		594,896
			1,163,024

PACKAGING & CONTAINERS – 0.40%
Pactiv Corp.^(b)	185,246		5,907,495
Sonoco Products Co.	36,426		1,559,397
			7,466,892

PHARMACEUTICALS – 5.19%
Barr Pharmaceuticals Inc.^(b)	15,055		756,213
Endo Pharmaceuticals Holdings Inc.^(a)(b)	42,545		1,456,315
Forest Laboratories Inc.^(a)(b)	427,106		19,497,389
Gilead Sciences Inc.^(b)	113,460		4,398,844
King Pharmaceuticals Inc.^(a)(b)	214,628		4,391,289
Lilly (Eli) & Co.	128,773		7,195,835
Medco Health Solutions Inc.^(b)	16,600		1,294,634
Pfizer Inc.	1,668,631		42,666,895
Wyeth	258,126		14,800,945
			96,458,359

REAL ESTATE – 0.00%
CB Richard Ellis Group Inc. Class A^(b)	2,459		89,754
			89,754

REAL ESTATE INVESTMENT TRUSTS – 0.70%
Hospitality Properties Trust^(a)	8,277		343,413
Host Hotels & Resorts Inc.^(a)	508,696		11,761,052
HRPT Properties Trust^(a)	10,622		110,469
iStar Financial Inc.	2,583		114,504
ProLogis	12,446		708,177
			13,037,615

RETAIL – 3.89%
AutoNation Inc.^(a)(b)	375,671		8,430,057
Brinker International Inc.	6,556		191,894
CBRL Group Inc.^(a)	4,625		196,470
Costco Wholesale Corp.^(a)	87,259		5,106,397
Darden Restaurants Inc.^(a)	135,698		5,969,355
Family Dollar Stores Inc.	7,678		263,509
Office Depot Inc.^(a)(b)	543,792		16,476,898
Penney (J.C.) Co. Inc.	9,309		673,785
RadioShack Corp.	15,783		523,049
Staples Inc.	123,199		2,923,512
TJX Companies Inc.	24,392		670,780
United Auto Group Inc.^(a)	40,916		871,102
Wal-Mart Stores Inc.^(a)	623,242		29,984,173
			72,280,981


Security	Shares	Value

SAVINGS & LOANS – 0.49%
Washington Mutual Inc.	211,499	$	9,018,317
			9,018,317

SEMICONDUCTORS – 2.76%
Applied Materials Inc.^(a)	1,164,643		23,141,456
Lam Research Corp.^(a)(b)	96,715		4,971,151
MEMC Electronic Materials Inc.^(b)	48,047		2,936,633
Novellus Systems Inc.^(a)(b)	28,969		821,851
NVIDIA Corp.^(a)(b)	467,052		19,293,918
			51,165,009

SOFTWARE – 3.17%
Autodesk Inc.^(a)(b)	31,829		1,498,509
Dun & Bradstreet Corp. (The)	419		43,149
Microsoft Corp.	1,769,775		52,155,269
Oracle Corp.^(b)	260,107		5,126,709
			58,823,636

TELECOMMUNICATIONS – 5.90%
Alltel Corp.	4,229		285,669
AT&T Inc.	383,132		15,899,978
Avaya Inc.^(b)	187,599		3,159,167
Cisco Systems Inc.^(b)	1,524,829		42,466,488
Embarq Corp.	36,284		2,299,317
Harris Corp.	7,894		430,618
Polycom Inc.^(b)	5,050		169,680
RF Micro Devices Inc.^(b)	73,573		459,096
Sprint Nextel Corp.	447,530		9,268,346
Tellabs Inc.^(b)	5,659		60,891
Verizon Communications Inc.^(a)	850,573		35,018,090
			109,517,340

TOYS, GAMES & HOBBIES – 0.89%
Hasbro Inc.^(a)	114,932		3,610,014
Mattel Inc.^(a)	514,255		13,005,509
			16,615,523

TRANSPORTATION – 0.82%
C.H. Robinson Worldwide Inc.	9,494		498,625
FedEx Corp.	866		96,100
Landstar System Inc.	14,194		684,861
Norfolk Southern Corp.	48,859		2,568,518
Ryder System Inc.^(a)	102,578		5,518,696
Union Pacific Corp.	23,393		2,693,704
YRC Worldwide Inc.^(a)(b)	87,888		3,234,278
			15,294,782

TOTAL COMMON STOCKS
(Cost: $1,609,305,377)			1,812,710,788


Security	Shares or Principal		Value

SHORT-TERM INVESTMENTS – 10.86%

MONEY MARKET FUNDS – 10.77%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.31%^(c)(d)		39,748,782	$	39,748,782
BGI Cash Premier Fund LLC 5.33%^(c)(d)(e)		160,205,728		160,205,728
				199,954,510

U.S. TREASURY OBLIGATIONS – 0.09%
U.S. Treasury Bill 4.70%, 09/27/07^(f)(g)	$	1,750,000		1,730,207
				1,730,207

TOTAL SHORT-TERM INVESTMENTS
(Cost: $201,684,722)				201,684,717

TOTAL INVESTMENTS IN SECURITIES – 108.48%
(Cost: $1,810,990,099)				2,014,395,505

Other Assets, Less Liabilities – (8.48)%				(157,551,849	)

NET ASSETS – 100.00%			$	1,856,843,656

^(a)

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

^(b)

Non-income earning security.

^(c)

Affiliated issuer. See Note 2.

^(d)

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

^(e)

This security represents an investment of securities lending collateral. See Note 4.

^(f)

The rate quoted is the yield to maturity.

^(g)

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, 2007, the open futures contracts held by the Master Portfolio were as follows:


Futures Contracts (Expiration Date)	Number of Contracts	Notional Contract Value		Net Unrealized Depreciation
S&P 500 Index (09/21/07)	543	$	41,143,110	$	(441,059	)

				$	(441,059	)

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


Security	Principal		Value

CORPORATE BONDS & NOTES – 30.49%

AEROSPACE & DEFENSE – 0.05%
Alliant Techsystems Inc.
6.75%, 04/01/16	$	500,000	$	486,250
TransDigm Inc.
7.75%, 07/15/14^(a)		250,000		252,500
				738,750

AGRICULTURE – 0.45%
Alliance One International Inc.
8.50%, 05/15/12^(a)		250,000		255,625
Reynolds American Inc.
6.06%, 06/15/11^(b)		5,060,000		5,072,650
7.25%, 06/15/37		750,000		772,082
				6,100,357

APPAREL – 0.04%
Levi Strauss & Co.
9.75%, 01/15/15		500,000		535,000
				535,000

AUTO MANUFACTURERS – 0.84%
DaimlerChrysler N.A. Holding Corp.
4.75%, 01/15/08		4,000,000		3,986,172
5.71%, 03/13/09		5,000,000		5,009,300
8.50%, 01/18/31		1,950,000		2,464,194
				11,459,666

AUTO PARTS & EQUIPMENT – 0.11%
ArvinMeritor Inc.
8.75%, 03/01/12^(c)		250,000		252,500
Goodyear Tire & Rubber Co. (The)
7.86%, 08/15/11		1,250,000		1,275,000
				1,527,500

BANKS – 1.34%
Bank of America Corp.
5.49%, 03/15/19		3,500,000		3,312,788
Bank of America N.A.
6.00%, 10/15/36		2,150,000		2,075,150
HSBC Bank USA
5.88%, 11/01/34		3,000,000		2,856,951
HSBC Holdings PLC
5.25%, 12/12/12		3,000,000		2,952,954
SunTrust Banks Inc.
6.10%, 12/01/66		2,000,000		1,831,512
Wachovia Bank N.A.
5.85%, 02/01/37		2,550,000		2,413,098
Wachovia Corp.
5.30%, 10/15/11		2,750,000		2,721,529
				18,163,982


Security	Principal		Value

BIOTECHNOLOGY – 0.10%
Genentech Inc.
4.75%, 07/15/15	$	1,500,000	$	1,401,849
				1,401,849

BUILDING MATERIALS – 0.19%
CRH America Inc.
6.00%, 09/30/16		800,000		790,995
Masco Corp.
6.13%, 10/03/16		1,600,000		1,573,830
Nortek Inc.
8.50%, 09/01/14		250,000		238,125
				2,602,950

CHEMICALS – 0.30%
Lubrizol Corp.
4.63%, 10/01/09		2,592,000		2,541,155
Lyondell Chemical Co.
6.88%, 06/15/17		750,000		723,750
8.25%, 09/15/16		250,000		261,250
Mosaic Co. (The)
7.63%, 12/01/16^(a)		250,000		255,625
Nova Chemicals Corp.
6.50%, 01/15/12		250,000		233,750
				4,015,530

COMMERCIAL SERVICES – 0.14%
Avis Budget Car Rental LLC
7.63%, 05/15/14		250,000		252,500
Convergys Corp.
4.88%, 12/15/09		1,200,000		1,172,356
Service Corp International
6.75%, 04/01/15^(a)		250,000		240,937
Williams Scotsman Inc.
8.50%, 10/01/15		250,000		258,125
				1,923,918

COMPUTERS – 0.07%
Sungard Data Systems Inc.
9.13%, 08/15/13		250,000		255,937
10.25%, 08/15/15		250,000		264,375
Unisys Corp.
8.00%, 10/15/12		500,000		486,250
				1,006,562

DIVERSIFIED FINANCIAL SERVICES – 5.58%
Ameriprise Financial Inc.
7.52%, 06/01/66		500,000		520,763
Capital One Financial Corp.
5.64%, 09/10/09		2,940,000		2,948,229
Caterpillar Financial Services Corp.
4.35%, 03/04/09		6,500,000		6,397,794
CIT Group Funding Company of Canada
4.65%, 07/01/10		2,150,000		2,087,059


Security	Principal		Value

DIVERSIFIED FINANCIAL SERVICES *(Continued)*
CIT Group Inc.
5.40%, 02/13/12	$	1,750,000	$	1,716,143
6.10%, 03/15/67		1,250,000		1,138,402
Citigroup Inc.
5.50%, 02/15/17		6,250,000		6,053,256
5.88%, 05/29/37		6,500,000		6,196,755
E*Trade Financial Corp.
8.00%, 06/15/11		250,000		256,250
Ford Motor Credit Co.
7.38%, 10/28/09		3,000,000		2,977,968
General Electric Capital Corp.
6.75%, 03/15/32^(c)		3,000,000		3,254,904
General Motors Acceptance Corp.
6.13%, 01/22/08		250,000		249,965
6.88%, 09/15/11		1,250,000		1,229,567
7.25%, 03/02/11		500,000		498,360
Genworth Global Funding Trusts
5.75%, 05/15/13		2,000,000		2,005,912
Household Finance Corp.
4.13%, 12/15/08		2,000,000		1,964,020
JPMorgan Chase & Co.
5.60%, 06/01/11		8,300,000		8,319,447
Lehman Brothers Holdings Inc.
4.80%, 03/13/14		1,000,000		943,762
5.00%, 01/14/11		3,000,000		2,934,333
5.25%, 02/06/12		2,750,000		2,703,055
Merrill Lynch & Co. Inc.
6.11%, 01/29/37		750,000		703,742
Petroplus Finance Ltd.
6.75%, 05/01/14^(a)		250,000		240,625
Residential Capital Corp.
6.00%, 02/22/11		1,500,000		1,451,454
6.38%, 06/30/10		6,000,000		5,922,552
SLM Corp.
4.00%, 01/15/09		3,350,000		3,218,770
5.56%, 01/26/09		4,450,000		4,381,425
Vanguard Health Holding Co. II LLC
9.00%, 10/01/14		250,000		247,500
Williams Companies Inc. (The) Credit Linked Certificate Trust
6.75%, 04/15/09^(a)		5,000,000		5,050,000
				75,612,012

ELECTRIC – 2.09%
CMS Energy Corp.
7.75%, 08/01/10		500,000		519,944
Commonwealth Edison Co.
4.70%, 04/15/15		1,000,000		913,358
5.88%, 02/01/33		3,500,000		3,235,767
DPL Inc.
8.00%, 03/31/09		3,750,000		3,898,515
Edison Mission Energy
7.63%, 05/15/27^(a)		750,000		708,750


Security	Principal		Value

ELECTRIC *(Continued)*
Mirant Americas Generation LLC
8.30%, 05/01/11	$	500,000	$	516,250
9.13%, 05/01/31		250,000		273,750
Northern States Power
5.25%, 07/15/35		2,500,000		2,212,287
NRG Energy Inc.
7.25%, 02/01/14		250,000		250,625
7.38%, 02/01/16		500,000		501,250
PSEG Energy Holdings LLC
10.00%, 10/01/09		4,000,000		4,300,548
PSEG Power LLC
6.95%, 06/01/12		2,300,000		2,407,371
Reliant Energy Inc.
6.75%, 12/15/14		250,000		255,000
Southern California Edison Co.
5.00%, 01/15/16		1,300,000		1,227,856
TXU Electric Delivery Co.
5.74%, 09/16/08^(a)		1,325,000		1,325,437
TXU Energy Co.
6.13%, 03/15/08		5,750,000		5,762,334
				28,309,042

ELECTRICAL COMPONENTS & EQUIPMENT – 0.02%
Belden CDT Inc.
7.00%, 03/15/17^(a)		250,000		246,250
				246,250

ELECTRONICS – 0.02%
NXP BV / NXP Funding LLC
9.50%, 10/15/15		250,000		246,250
				246,250

ENTERTAINMENT – 0.13%
Fontainebleau Las Vegas Holdings LLC/Fontainebleau Las Vegas Capital Corp. 10.25%, 06/15/15^(a)		250,000		246,250
Gaylord Entertainment Co.
8.00%, 11/15/13		250,000		253,437
Pinnacle Entertainment Inc.
7.50%, 06/15/15^(a)		250,000		241,250
Six Flags Inc.
9.75%, 04/15/13^(c)		250,000		235,312
Tropicana Entertainment
9.63%, 12/15/14^(a)		750,000		721,875
				1,698,124

ENVIRONMENTAL CONTROL – 0.41%
Aleris International Inc.
9.00%, 12/15/14^(a)		500,000		504,375
10.00%, 12/15/16^(a)		500,000		496,250
Allied Waste North America
7.25%, 03/15/15		250,000		247,500


Security	Principal		Value

ENVIRONMENTAL CONTROL *(Continued)*
Waste Management Inc.
6.50%, 11/15/08	$	2,722,000	$	2,752,734
7.13%, 10/01/07		1,543,000		1,547,348
				5,548,207

FOOD – 0.72%
Ahold Finance USA Inc.
8.25%, 07/15/10		500,000		533,929
Dean Foods Co.
7.00%, 06/01/16		500,000		477,500
8.15%, 08/01/07		4,500,000		4,500,000
Kroger Co. (The)
8.05%, 02/01/10		930,000		980,668
Safeway Inc.
4.80%, 07/16/07		3,000,000		2,998,368
SUPERVALU Inc.
7.88%, 08/01/09		250,000		258,302
				9,748,767

FOREST PRODUCTS & PAPER – 0.18%
Bowater Canada Finance
7.95%, 11/15/11		250,000		235,313
Domtar Inc.
7.88%, 10/15/11		250,000		255,938
Georgia-Pacific Corp.
7.13%, 01/15/17^(a)		500,000		480,000
7.70%, 06/15/15		250,000		247,500
Weyerhaeuser Co.
7.38%, 03/15/32		1,250,000		1,268,060
				2,486,811

HEALTH CARE - SERVICES – 0.75%
Community Health Systems Inc.
8.88%, 07/15/15^(a)		500,000		506,875
HCA Inc.
6.50%, 02/15/16		1,250,000		1,057,813
9.25%, 11/15/16^(a)		750,000		798,750
Res-Care Inc.
7.75%, 10/15/13		250,000		256,250
UnitedHealth Group Inc.
5.54%, 06/21/10^(a)		5,320,000		5,318,830
5.80%, 03/15/36		2,400,000		2,208,706
				10,147,224

HOLDING COMPANIES - DIVERSIFIED – 0.18%
Capmark Financial Group Inc.
5.88%, 05/10/12^(a)		2,500,000		2,467,238
				2,467,238

HOUSEHOLD PRODUCTS & WARES – 0.02%
Jarden Corp.
7.50%, 05/01/17		250,000		246,875
				246,875


Security	Principal		Value

INSURANCE – 1.48%
Allstate Financial Global Funding
2.50%, 06/20/08^(a)	$	4,970,000	$	4,830,254
Genworth Financial Inc.
6.15%, 11/15/66		2,500,000		2,369,530
Hancock (John) Financial
Services Inc.
5.63%, 12/01/08		4,000,000		4,012,680
Lincoln National Corp.
6.05%, 04/20/67		1,100,000		1,050,262
Markel Corp.
7.35%, 08/15/34		1,000,000		1,033,103
MetLife Inc.
5.38%, 12/15/12		4,500,000		4,445,384
6.40%, 12/15/36		1,000,000		926,352
Travelers Companies Inc. (The)
6.25%, 03/15/37		500,000		480,475
6.25%, 06/15/37		1,000,000		968,355
				20,116,395

IRON & STEEL – 0.57%
Ispat Inland ULC
9.75%, 04/01/14		6,150,000		6,816,205
Steel Dynamics Inc.
6.75%, 04/01/15^(a)		1,000,000		980,000
				7,796,205

LODGING – 0.54%
Caesars Entertainment Inc.
8.88%, 09/15/08		3,775,000		3,878,813
Choice Hotels International Inc.
7.13%, 05/01/08		1,000,000		1,010,287
MGM Mirage
8.50%, 09/15/10		750,000		784,688
Starwood Hotels & Resorts
Worldwide Inc.
7.88%, 05/01/12		1,600,000		1,666,152
				7,339,940

MACHINERY – 0.62%
Case New Holland Inc.
6.00%, 06/01/09		2,000,000		1,990,000
9.25%, 08/01/11		5,750,000		6,027,150
Columbus McKinnon Corp.
10.00%, 08/01/10		325,000		342,875
				8,360,025

MEDIA – 2.56%
AMFM Inc.
8.00%, 11/01/08		2,500,000		2,564,238
Belo Corp.
8.00%, 11/01/08		2,855,000		2,931,691
CCH I Holdings LLC
9.92%, 04/01/14		1,250,000		1,156,250


Security	Principal		Value

MEDIA *(Continued)*
Charter Communications Holdings LLC
10.25%, 09/15/10	$	750,000	$	783,750
Clear Channel Communications Inc.
4.25%, 05/15/09		3,000,000		2,899,470
CMP Susquehanna Corp.
10.13%, 05/15/14^(a)		250,000		250,000
Comcast Corp.
6.45%, 03/15/37		4,250,000		4,095,827
CSC Holdings Inc.
7.63%, 04/01/11		500,000		496,250
Echostar DBS Corp.
5.75%, 10/01/08		5,100,000		5,087,250
6.38%, 10/01/11		500,000		490,000
Liberty Media Corp.
7.75%, 07/15/09		2,750,000		2,845,560
7.88%, 07/15/09		5,500,000		5,705,139
8.25%, 02/01/30		250,000		242,454
PRIMEDIA Inc.
8.88%, 05/15/11		250,000		257,500
Time Warner Cable Inc.
5.40%, 07/02/12^(a)		1,600,000		1,571,238
Time Warner Entertainment Co.
8.38%, 03/15/23		350,000		401,778
8.38%, 07/15/33		1,300,000		1,508,703
Time Warner Inc.
6.50%, 11/15/36		700,000		664,628
Tribune Co.
5.50%, 10/06/08		750,000		740,221
				34,691,947

MINING – 0.30%
Freeport-McMoRan Copper & Gold Inc.
8.25%, 04/01/15		1,500,000		1,582,500
8.38%, 04/01/17		500,000		533,750
Vale Overseas Ltd.
6.88%, 11/21/36		1,900,000		1,909,853
				4,026,103

OFFICE & BUSINESS EQUIPMENT – 0.63%
Xerox Corp.
6.11%, 12/18/09		2,750,000		2,784,628
6.88%, 08/15/11		250,000		259,389
7.13%, 06/15/10		3,000,000		3,111,366
9.75%, 01/15/09		2,200,000		2,327,219
				8,482,602

OIL & GAS – 0.99%
Burlington Resources Finance Co.
7.20%, 08/15/31		2,300,000		2,582,523
Chesapeake Energy Corp.
6.88%, 01/15/16		500,000		488,750
Enterprise Products Operating LP
5.75%, 03/01/35		1,500,000		1,333,539
7.50%, 02/01/11		3,600,000		3,794,972


Security	Principal		Value

OIL & GAS *(Continued)*
Enterprise Products Operating LP Series B
4.63%, 10/15/09	$	2,000,000	$	1,958,848
Forest Oil Corp.
7.25%, 06/15/19^(a)		250,000		242,500
8.00%, 12/15/11		500,000		515,000
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%, 11/01/15^(a)		250,000		242,500
Parker Drilling Co.
9.63%, 10/01/13		500,000		533,750
Pemex Project Funding Master Trust
8.50%, 02/15/08		1,000,000		1,017,000
Range Resources Corp.
7.50%, 05/15/16		250,000		253,125
W&T Offshore Inc.
8.25%, 06/15/14^(a)		500,000		493,750
				13,456,257

OIL & GAS SERVICES – 0.01%
Grant Prideco Inc.
6.13%, 08/15/15		100,000		94,750
				94,750

PACKAGING & CONTAINERS – 0.11%
Berry Plastics Holding Corp.
8.88%, 09/15/14		250,000		253,125
Crown Americas Inc.
7.63%, 11/15/13		500,000		505,000
Graham Packaging Co. Inc.
8.50%, 10/15/12		250,000		251,563
Smurfit-Stone Container Enterprises Inc.
8.00%, 03/15/17		500,000		485,000
				1,494,688

PHARMACEUTICALS – 0.05%
AmerisourceBergen Corp.
5.88%, 09/15/15		250,000		240,396
Bristol-Myers Squibb Co.
5.88%, 11/15/36		525,000		495,267
				735,663

PIPELINES – 0.53%
Colorado Interstate Gas Co.
6.80%, 11/15/15		250,000		257,104
Copano Energy LLC
8.13%, 03/01/16		250,000		253,750
El Paso Corp.
7.80%, 08/01/31		250,000		253,164
Kinder Morgan Energy Partners LP
6.30%, 02/01/09		3,890,000		3,931,732
Pacific Energy Partners LP
6.25%, 09/15/15		250,000		245,582


Security	Principal		Value

PIPELINES *(Continued)*
Plains All American Pipeline LP
6.70%, 05/15/36	$	1,000,000	$	1,001,161
SemGroup LP
8.75%, 11/15/15^(a)		500,000		502,500
Williams Companies Inc. (The)
7.13%, 09/01/11		500,000		512,500
Williams Partners LP
7.25%, 02/01/17		250,000		251,250
				7,208,743

REAL ESTATE – 0.37%
Realogy Corp.
7.06%, 10/20/09^(a)		4,000,000		4,006,116
Westfield Capital Corp. Ltd.
4.38%, 11/15/10^(a)		1,000,000		963,174
				4,969,290

REAL ESTATE INVESTMENT TRUSTS – 0.78%
Omega Healthcare Investors Inc.
7.00%, 01/15/16		250,000		248,750
Simon Property Group LP
5.00%, 03/01/12		2,000,000		1,947,280
5.75%, 05/01/12		3,000,000		3,013,491
6.38%, 11/15/07		5,341,000		5,355,944
				10,565,465

RETAIL – 1.45%
Asbury Automotive Group Inc.
7.63%, 03/15/17^(a)		250,000		246,250
CVS Caremark Corp.
5.66%, 06/01/10		4,000,000		4,000,800
Federated Retail Holdings Inc.
5.90%, 12/01/16		4,500,000		4,385,831
Home Depot Inc.
5.49%, 12/16/09		1,000,000		998,445
Inergy LP
6.88%, 12/15/14		750,000		710,625
8.25%, 03/01/16		250,000		256,875
May Department Stores Co. (The)
5.95%, 11/01/08		4,980,000		4,985,832
NPC International Inc.
9.50%, 05/01/14		250,000		242,500
Penney (J.C.) Co. Inc.
7.65%, 08/15/16		250,000		270,760
7.95%, 04/01/17		250,000		277,151
Rite Aid Corp.
7.50%, 03/01/17		250,000		241,250
Tricon Global Restaurants
7.65%, 05/15/08		3,000,000		3,047,775
				19,664,094


Security	Principal		Value

SAVINGS & LOANS – 0.13%
Washington Mutual Inc.
8.25%, 04/01/10	$	1,720,000	$	1,830,199
				1,830,199

SEMICONDUCTORS – 0.05%
Advanced Micro Devices Inc.
7.75%, 11/01/12		162,000		152,685
Sensata Technologies BV
8.00%, 05/01/14		500,000		482,500
				635,185

SOFTWARE – 0.11%
Oracle Corp.
5.25%, 01/15/16		1,500,000		1,438,271
				1,438,271

TELECOMMUNICATIONS – 5.19%
American Cellular Corp.
10.00%, 08/01/11		41,000		42,948
AT&T Wireless Services Inc.
8.75%, 03/01/31		1,000,000		1,246,620
BellSouth Corp.
6.55%, 06/15/34		4,000,000		3,993,260
Citizens Communications Co.
6.25%, 01/15/13		500,000		479,375
Deutsche Telekom International Finance AG
8.00%, 06/15/10		5,000,000		5,329,295
8.25%, 06/15/30		3,000,000		3,595,695
Dobson Communications Corp.
8.88%, 10/01/13		250,000		261,250
Embarq Corp.
6.74%, 06/01/13		1,750,000		1,783,385
France Telecom SA
7.75%, 03/01/11		4,000,000		4,273,500
8.50%, 03/01/31		2,000,000		2,512,994
Intelsat Ltd.
5.25%, 11/01/08		1,000,000		985,000
Koninklijke KPN NV
8.00%, 10/01/10		1,500,000		1,605,413
Level 3 Financing Inc.
9.25%, 11/01/14		1,500,000		1,515,000
Motorola Inc.
4.61%, 11/16/07		5,700,000		5,679,457
Nextel Partners Inc.
8.13%, 07/01/11		3,000,000		3,129,087
Qwest Corp.
6.50%, 06/01/17^(a)		500,000		476,250
8.88%, 03/15/12		250,000		269,375
Rogers Wireless Inc.
6.38%, 03/01/14		2,000,000		2,021,354
7.50%, 03/15/15		750,000		803,407


Security	Principal		Value

TELECOMMUNICATIONS *(Continued)*
Sprint Capital Corp.
6.13%, 11/15/08	$	2,400,000	$	2,413,596
Sprint Nextel Corp.
5.76%, 06/28/10		5,380,000		5,378,537
Telecom Italia Capital SA
4.00%, 11/15/08		3,480,000		3,406,029
4.00%, 01/15/10		3,680,000		3,537,676
5.25%, 10/01/15		2,500,000		2,324,665
6.20%, 07/18/11		2,750,000		2,784,078
Telefonica Emisiones SAU
5.66%, 06/19/09		3,630,000		3,641,620
5.86%, 02/04/13		3,600,000		3,592,184
6.22%, 07/03/17		2,100,000		2,094,742
Vodafone Group PLC
5.63%, 02/27/17		950,000		908,382
West Corp.
9.50%, 10/15/14		250,000		256,250
				70,340,424

TRANSPORTATION – 0.29%
CNF Inc.
6.70%, 05/01/34		2,500,000		2,315,945
CSX Corp.
6.15%, 05/01/37		1,750,000		1,680,630
				3,996,575

TOTAL CORPORATE BONDS & NOTES
(Cost: $421,496,437)				413,475,685

ASSET-BACKED SECURITIES – 3.62%
Bear Stearns Asset Backed Securities Inc. Series 2006-EC1 Class M2
5.75%, 12/25/35		2,500,000		2,503,786
Countrywide Asset-Backed Certificates Series 2004-10 Class AF4
4.51%, 07/25/32		5,966,615		5,891,801
Countrywide Asset-Backed Certificates Series 2006-7 Class M2
5.62%, 04/25/46		6,000,000		5,999,944
Dunkin Securitization Series 2006-1 Class A2
5.78%, 06/20/31^(a)		13,000,000		13,031,681
First Franklin Mortgage Loan Asset Backed Certificates Series 2006-FF8 Class M1
5.57%, 07/25/36		6,200,000		6,190,699
Home Equity Asset Trust Series 2006-2 Class M2
5.72%, 05/25/36^(a)		6,000,000		6,008,499


Security	Principal		Value
JP Morgan Mortgage Acquisition Corp. Series 2006-HE1 Class M2
5.72%, 01/25/36	$	2,558,000	$	2,563,716
MASTR Asset Backed Securities Trust Series 2006-HE2 Class M1
5.58%, 06/25/36		2,200,000		2,197,112
MASTR Asset Backed Securities Trust Series 2006-HE2 Class M2
5.61%, 06/25/36		2,450,000		2,449,182
Option One Mortgage Loan Trust Series 2002-2 Class M2
7.05%, 06/25/32		665,385		472,095
Sasco Net Interest Margin Trust Series 2005-NC2A Class A
5.50%, 05/27/35^(a)		116,291		115,530
SG Mortgage Securities NIM Trust Series 2006-FRE2 Class N1
6.00%, 07/25/36^(a)(b)		2,641,151		1,650,719

TOTAL ASSET-BACKED SECURITIES
(Cost: $50,284,750)				49,074,764

COLLATERALIZED MORTGAGE OBLIGATIONS – 16.91%

MORTGAGE-BACKED SECURITIES – 16.91%
Banc of America Funding Corp. Series 2006-H Class 2A1
6.10%, 10/20/11		4,952,697		4,989,830
Bank of America Alternative Loan Trust Series 2003-5 Class 2A1
5.00%, 07/25/18		3,134,220		3,012,769
Bear Stearns Commercial Mortgage Securities Series 2002-PBW1 Class X1
0.70%, 11/11/35^(a)		81,903,848		2,627,222
Bear Stearns Commercial Mortgage Securities Series 2006-T22 Class A3
5.63%, 04/12/38		7,000,000		6,944,352
Chase Mortgage Finance Corp. Series 2006-A1 Class 1A1
6.03%, 09/25/36		4,219,202		4,219,468
Commercial Mortgage Pass Through Certificates Series 2001-J2A Class XC
0.60%, 07/16/34^(a)		99,998,446		1,894,541
Commercial Mortgage Pass Through Certificates Series 2005-F10A Class AJ2
5.51%, 04/15/17^(a)		9,000,000		9,004,491
Countrywide Alternative Loan Trust Series 2006-4CB Class 1A1
6.00%, 04/25/36		4,383,633		4,402,795
Countrywide Alternative Loan Trust Series 2006-5T2 Class A3
6.00%, 04/25/36		7,222,244		7,231,773


Security	Principal		Value

MORTGAGE-BACKED SECURITIES *(Continued)*
Countrywide Alternative Loan Trust Series 2006-7CB Class 1A9
6.00%, 05/25/36	$	8,359,395	$	8,396,722
Countrywide Alternative Loan Trust Series 2006-9T Class 1A1
6.00%, 05/25/36		3,336,679		3,348,496
Countrywide Alternative Loan Trust Series 2006-OA6 Class 2A
7.74%, 07/25/46		5,713,950		5,872,647
Countrywide Home Loan Mortgage Pass Through Trust Series 2006-HYB4 Class 1A1
5.55%, 06/20/36		10,081,557		10,072,133
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-5 Class 5A1
5.00%, 08/25/19		4,274,392		4,095,402
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C2 Class A5
0.16%, 05/15/36^(a)		225,762,816		3,337,790
Credit Suisse First Boston Mortgage Securities Corp. Series 2005-C3 Class A2
4.51%, 07/15/37		10,000,000		9,741,057
Global Signal Trust Series 2006-1 Class C
5.71%, 02/15/36^(a)		3,000,000		2,981,486
JP Morgan Mortgage Trust Series 2006-A1 Class 2A2
5.35%, 02/25/36		7,253,714		7,200,421
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2002-CIB5 Class X1
0.79%, 10/12/37^(a)		230,163,917		9,297,448
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP5 Class A3
5.37%, 12/15/44		4,000,000		3,915,753
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2006-LDP6 Class A3B
5.56%, 04/15/43		10,000,000		9,865,694
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2007-LDPX Class A1S
4.93%, 01/15/49		9,991,809		9,698,001
LB-UBS Commercial Mortgage Trust Series 2003-C3 Class XCL
0.55%, 02/15/37^(a)		117,824,808		3,056,399
LB-UBS Commercial Mortgage Trust Series 2004-C7 Class A2
3.99%, 10/15/29		5,635,000		5,461,743


Security	Principal		Value

MORTGAGE-BACKED SECURITIES *(Continued)*
MASTR Adjustable Rate Mortgages Trust Series 2004-11 Class 2A1
5.70%, 11/25/34	$	75,392	$	75,639
MASTR Alternative Loans Trust Series 2006-2 Class 1A2
6.00%, 03/25/36		8,606,728		8,662,039
MASTR Asset Securitization Trust Series 2003-5 Class 4A4
5.50%, 06/25/33		2,207,153		2,153,488
MASTR Asset Securitization Trust Series 2003-7 Class 1A1
5.50%, 09/25/33		2,696,275		2,579,578
MASTR Asset Securitization Trust Series 2003-8 Class 1A1
5.50%, 09/25/33		4,261,081		4,081,983
Merrill Lynch Mortgage Investors Inc. Series 2005-WMC2 Class A1B
5.58%, 04/25/36		901,016		901,407
Merrill Lynch Mortgage Investors Inc. Series 2006-A1 Class 1A1
5.86%, 03/25/36		7,112,096		7,106,041
Merrill Lynch Mortgage Trust Series 2005-LC1 Class A3
5.29%, 01/12/44		3,000,000		2,946,702
Morgan Stanley Capital I Series 2003-T11 Class X1
0.17%, 06/13/41^(a)		543,476,642		5,171,506
Residential Accredit Loans Inc. Series 2006-QS3 Class 1A10
6.00%, 03/25/36		1,649,127		1,656,656
Residential Funding Mortgage Securities I Series 2003-S15 Class A1
4.50%, 08/25/18		1,817,536		1,714,209
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8 Class 4A1
5.99%, 09/25/36		5,303,881		5,260,787
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 Class A3
5.46%, 12/15/44		10,000,000		9,841,952
Wachovia Bank Commercial
Mortgage Trust
Series 2005-WHL6
5.82%, 10/15/17^(a)		5,000,000		5,000,763
5.87%, 10/15/17^(a)		5,000,000		5,000,794
Washington Mutual Inc.
Series 2006-AR10 Class 1A2
5.95%, 09/25/36		6,055,280		6,057,008
Washington Mutual Inc.
Series 2006-AR14 Class 1A1
5.65%, 11/25/36		11,201,687		11,150,921


Security	Principal		Value

MORTGAGE-BACKED SECURITIES *(Continued)*
Wells Fargo Mortgage-Backed Securities Trust Series 2003-10 Class A1 4.50%, 09/25/18	$	1,870,382	$	1,765,173
Wells Fargo Mortgage-Backed Securities Trust Series 2006-AR13 Class A1 5.77%, 09/25/36		7,510,109		7,525,983
				229,321,062

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost: $231,846,817)				229,321,062

U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 49.74%

MORTGAGE-BACKED SECURITIES – 44.15%
Federal Home Loan Mortgage Corp.
4.50%, 11/01/18		6,236,145		5,944,048
4.50%, 08/01/20		3,728,397		3,547,979
5.00%, 07/01/22^(d)		9,000,000		8,696,250
5.00%, 12/15/34		2,170,660		249,230
5.00%, 07/01/37^(d)		34,000,000		31,864,392
5.50%, 03/15/20		1,273,547		31,203
5.50%, 05/15/24		7,419,825		476,562
5.50%, 03/15/25		2,882,512		207,498
5.50%, 11/15/26		13,000,000		12,970,230
5.50%, 05/15/29		6,244,364		645,629
5.50%, 10/01/32		15,186,310		14,716,706
5.50%, 05/01/34		76,256		73,826
5.50%, 10/01/34		567,604		549,515
5.50%, 12/01/36		11,046,866		10,659,887
5.52%, 04/15/28		2,815,346		2,813,514
5.59%, 01/01/37^(b)		5,747,191		5,741,310
5.81%, 06/01/36		8,717,880		8,657,968
6.00%, 01/15/24		6,216,691		6,255,500
6.00%, 05/15/27		7,656,396		7,705,452
6.00%, 07/15/27		7,038,708		7,092,460
6.00%, 12/01/28		4,769,662		4,763,218
6.00%, 02/15/34		6,850,873		6,892,735
6.00%, 09/01/34		1,909,433		1,898,361
6.00%, 08/01/37^(d)		24,000,000		23,752,512
6.50%, 05/01/21		1,850		1,895
6.50%, 09/01/21		1,812,662		1,845,912
6.50%, 01/01/36		14,243		14,409
6.50%, 08/01/36		19,852,324		20,065,793
6.50%, 12/01/36		4,684,914		4,735,291
6.50%, 01/01/37		1,493,428		1,509,486
6.50%, 02/01/37		232,253		234,750
6.50%, 07/01/37^(d)		9,000,000		9,092,808


Security	Principal		Value

MORTGAGE-BACKED SECURITIES *(Continued)*
Federal National Mortgage Association
4.41%, 02/01/36	$	5,075,585	$	5,133,627
4.50%, 05/01/18		4,371,740		4,165,546
4.50%, 07/01/18		6,376,639		6,075,884
4.50%, 11/01/18		4,422,905		4,214,256
4.50%, 07/01/22^(d)		9,000,000		8,541,558
4.50%, 08/01/35		8,776,277		7,988,596
4.56%, 06/01/35		7,440,505		7,352,421
5.00%, 01/01/18		1,341,155		1,300,887
5.00%, 09/01/18		8,687,004		8,427,347
5.00%, 12/01/18		696,129		675,321
5.00%, 01/01/19		587,479		569,919
5.00%, 06/01/19		1,340,222		1,299,330
5.00%, 08/01/19		741,755		718,668
5.00%, 09/01/19		599,755		581,088
5.00%, 11/01/19		1,392,556		1,349,212
5.00%, 01/01/20		694,590		671,742
5.00%, 05/01/20		6,790,234		6,566,872
5.00%, 06/01/20		649,963		628,583
5.00%, 10/01/20		6,914,384		6,687,361
5.00%, 11/01/33		51,216,470		48,244,122
5.00%, 12/01/33		16,304,863		15,358,611
5.00%, 03/01/34		8,164,096		7,690,293
5.00%, 07/01/35		2,924,139		2,869,030
5.00%, 09/01/35		409,665		384,899
5.00%, 07/01/37^(d)		2,200,000		2,061,125
5.15%, 04/01/37^(b)		2,457,946		2,453,316
5.24%, 05/01/35		2,378,282		2,345,181
5.50%, 09/01/19		4,460,649		4,404,858
5.50%, 10/01/19		3,496,901		3,453,164
5.50%, 07/01/33		30,612,251		29,659,962
5.50%, 01/01/34		6,802,058		6,590,459
5.50%, 04/01/34		14,520,233		14,068,537
5.50%, 07/01/34		11,649,919		11,279,278
5.50%, 02/01/35		4,937,177		4,780,101
5.50%, 03/01/35		1,138,883		1,101,222
5.50%, 12/01/35		4,599,085		4,447,002
5.50%, 03/01/36		4,558,325		4,398,588
5.50%, 04/01/36		10,687,217		10,333,810
5.50%, 12/01/36		5,880,450		5,674,382
5.50%, 01/01/37		3,508,885		3,515,224
5.50%, 08/01/37^(d)		21,000,000		20,238,750
6.00%, 03/01/33		676,791		672,823
6.00%, 08/01/34		427,320		424,186
6.00%, 06/01/37		5,000,000		4,946,458
6.00%, 07/01/37^(d)		52,200,000		51,629,036
6.04%, 09/01/36		2,417,401		2,423,597
6.05%, 12/01/36^(b)		2,351,602		2,362,901
6.50%, 05/01/37		112,262		113,327
6.50%, 07/01/37^(d)		32,400,000		32,703,750
7.00%, 07/01/37^(d)		3,600,000		3,695,623
Government National Mortgage Association
5.50%, 06/15/34		1,769,844		1,720,647
5.50%, 07/01/37^(d)		7,000,000		6,792,184
6.50%, 07/01/31		9,077,779		9,225,248
				598,716,241


Security	Shares or Principal			Value

U.S. GOVERNMENT SECURITIES – 5.59%
U.S. Treasury Bonds
5.38%, 02/15/31^(c)	$	34,050,000		$	34,965,094
6.13%, 08/15/29^(c)		7,800,000			8,749,408
U.S. Treasury Inflation Indexed Bonds
1.88%, 07/15/15^(c)		23,362,020			22,081,891
U.S. Treasury Notes
2.63%, 05/15/08		398,000			389,916
3.13%, 04/15/09		605,000			586,850
4.00%, 02/15/14^(c)(e)		9,500,000			8,993,090
					75,766,249

TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost: $686,948,070)					674,482,490

SHORT-TERM INVESTMENTS – 22.53%

MONEY MARKET FUNDS – 22.02%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.31%^(f)(g)		227,052,608			227,052,608
BGI Cash Premier Fund LLC 5.33%^(f)(g)(h)		71,474,666			71,474,666
					298,527,274

VARIABLE & FLOATING RATE NOTES – 0.51%
FedEx Corp.
5.44%, 08/08/07	$	5,000,000			5,000,000
Goldman Sachs International
5.26%, 07/02/07⁽ⁱ⁾		90,000			90,000
JPMorgan Chase & Co.
5.26%, 07/02/07⁽ⁱ⁾		1,800,000			1,800,000
					6,890,000

TOTAL SHORT-TERM INVESTMENTS
(Cost: $305,417,274)					305,417,274

TOTAL INVESTMENTS IN SECURITIES – 123.29%
(Cost: $1,695,993,348)					1,671,771,275

SECURITIES SOLD SHORT – (4.78)%

U.S. GOVERNMENT AND AGENCY OBLIGATIONS – (4.78)%
Federal National Mortgage Association
5.00%, 07/01/37^(d)		(21,200,000	)		(19,861,750	)
6.50%, 11/01/36		(112,262	)		(113,354	)
6.50%, 07/01/37^(d)		(44,400,000	)		(44,816,250	)
					(64,791,354	)

TOTAL SECURITIES SOLD SHORT
(Proceeds: $64,640,865)					(64,791,354	)

Other Assets, Less Liabilities – (18.51)%					(251,048,069	)

NET ASSETS – 100.00%				$	1,355,931,852

^(a)

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

^(b)

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

^(c)

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

^(d)

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

^(e)

All or a portion of this U.S. Treasury Note is held in a segregated account in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

^(f)

Affiliated issuer. See Note 2.

^(g)

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

^(h)

This security represents an investment of securities lending collateral. See Note 4.

⁽ⁱ⁾

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

As of June 30, 2007, the open futures contracts held by the Master Portfolio were as follows:


Futures Contracts (Expiration Date)	Number of Contracts		Notional Contract Value			Net Unrealized Depreciation
2 Year U.S. Treasury Notes (10/03/07)	886		$	180,550,188		$	(68,972	)
5 Year U.S. Treasury Notes (10/03/07)	(1,594	)		(165,900,531	)		(882,380	)
10 Year U.S. Treasury Notes (09/28/07)	953			100,735,078			(617,634	)
30 Year U.S. Treasury Bonds (09/28/07)	(4	)		(431,000	)		(3,386	)

						$	(1,572,372	)

As of June 30, 2007, the Master Portfolio held the following open swap contracts:


*Description*	Notional Amount		Net Unrealized Appreciation (Depreciation)
Credit Default Swaps
Agreement with Bear Stearns International Ltd. dated 1/22/07 to receive 0.12% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Anadarko Petroleum Corp. 0.00% due 3/13/21. Expiring 9/20/07.	$	4,250,000	$	194
Agreement with Deutsche Bank AG dated 9/28/06 to pay 3.25% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Dow Jones Credit Derivatives Index, Investment Grade High Volatility. Expiring 12/20/11.		13,000,000		(157,112	)


*Description*	Notional Amount		Net Unrealized Appreciation (Depreciation)
Credit Default Swaps *(Continued)*
Agreement with JPMorgan Chase & Co. dated 10/16/06 to pay 0.71% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Con-Way Inc. 6.70% due 5/1/34. Expiring 12/20/13.	$	3,000,000	$	(6,443	)
Agreement with JPMorgan Chase & Co. dated 2/21/07 to receive 0.06% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Lehman Brothers Holdings Inc. 6.63% due 1/18/12. Expiring 9/20/07.		11,000,000		(2,091	)
Agreement with JPMorgan Chase & Co. dated 2/22/07 to receive 0.07% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Morgan Stanley 6.60% due 4/1/12. Expiring 9/20/07.		5,500,000		(1,070	)
Agreement with JPMorgan Chase & Co. dated 8/10/06 to pay 0.65% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Con-Way Inc. 8.88% due 5/1/10. Expiring 9/20/13.		2,500,000		168
Agreement with JPMorgan Chase & Co. dated 9/1/04 to receive 1.19% per year times the notional amount. The Master Portfolio makes payment only upon a default event of iStar Financial Inc. 6.00% due 12/15/10. Expiring 12/20/09.		2,000,000		42,063
Agreement with JPMorgan Chase & Co. dated 9/28/06 to pay 3.25% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Dow Jones Credit Derivatives Index, Investment Grade High Volatility. Expiring 12/20/11.		20,000,000		(241,711	)


*Description*	Notional Amount		Net Unrealized Appreciation (Depreciation)
Credit Default Swaps *(Continued)*
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	$	5,993
Agreement with Lehman Brothers Inc. dated 4/25/07 to receive 1.17% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Residential Capital LLC 6.50% due 4/17/13. Expiring 6/20/08.		6,400,000		(18,069	)
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		2,756
Agreement with UBS AG dated 1/22/07 to receive 0.15% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Anadarko Petroleum Corp. 6.13% due 3/15/12. Expiring 9/20/07.		1,250,000		141
Agreement with UBS AG dated 6/26/07 to receive 1.28% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Reynolds American Inc. 7.63% due 6/1/16. Expiring 9/20/17.		1,750,000		(10,552	)
Agreement with UBS AG dated 6/26/07 to receive 3.00% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Beazer Homes USA Inc. 6.50% due 11/15/13. Expiring 9/22/08.		1,000,000		(16,501	)

			$	(402,234	)


*Description*	Notional Amount		Net Unrealized Appreciation (Depreciation)
Interest-Rate Swaps
Agreement with Deutsche Bank AG dated 12/1/05 receiving the notional amount multiplied by the three-month LIBOR rate and paying a fixed rate of 4.98%. Expiring 12/5/10.	$	9,000,000	$	(126,925	)
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		(176,202	)
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		180,465
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		(2,635	)
Agreement with Deutsche Bank AG dated 8/22/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.22%. Expiring 8/24/09.		2,500,000		6,963
Agreement with Goldman Sachs Group Inc. dated 10/13/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.26%. Expiring 10/17/08.		7,100,000		10,462
Agreement with Goldman Sachs Group Inc. dated 10/13/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.27%. Expiring 10/17/11.		1,250,000		9,243
Agreement with Goldman Sachs Group Inc. dated 5/11/07 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.05%. Expiring 5/15/11.		10,700,000		146,367


*Description*	Notional Amount		Net Unrealized Appreciation (Depreciation)
Interest-Rate Swaps *(Continued)*
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	$	(6,465	)
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		5,465
Agreement with JPMorgan Chase & Co. dated 5/11/07 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.06%. Expiring 5/17/10.		14,000,000		126,201
Agreement with JPMorgan Chase & Co. dated 1/5/06 receiving the notional amount multiplied by the three-month LIBOR rate and paying a fixed rate of 4.90%. Expiring 1/9/16.		6,250,000		(308,286	)
Agreement with JPMorgan Chase & Co. dated 11/4/05 receiving the notional amount multiplied by the three-month LIBOR rate and paying a fixed rate of 5.19%. Expiring 11/8/15.		40,000,000		(1,146,041	)
Agreement with JPMorgan Chase & Co. dated 3/8/06 receiving the notional amount multiplied by the three-month LIBOR rate and paying a fixed rate of 5.28%. Expiring 3/10/16.		4,000,000		(95,841	)
Agreement with JPMorgan Chase & Co. dated 3/8/06 receiving the notional amount multiplied by the three-month LIBOR rate and paying a fixed rate of 5.32%. Expiring 3/10/26.		2,000,000		(108,011	)
Agreement with JPMorgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.30%. Expiring 4/20/08.		3,400,000		3,503


*Description*	Notional Amount		Net Unrealized Appreciation (Depreciation)
Interest-Rate Swaps *(Continued)*
Agreement with JPMorgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.31%. Expiring 4/20/09.	$	2,900,000	$	1,850
Agreement with JPMorgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.38%. Expiring 4/20/11.		1,700,000		3,684
Agreement with JPMorgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.45%. Expiring 4/20/13.		900,000		3,893
Agreement with JPMorgan Chase & Co. dated 8/2/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.40%. Expiring 8/4/08.		7,000,000		(145	)
Agreement with JPMorgan Chase & Co. dated 8/24/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.27%. Expiring 8/29/11.		1,000,000		6,947
Agreement with JPMorgan Chase & Co. dated 8/24/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.31%. Expiring 8/29/08.		5,600,000		6,605
Agreement with UBS AG dated 6/15/07 receiving the notional amount multiplied by the three-month LIBOR rate and paying a fixed rate of 5.63%. Expiring 6/19/12.		76,100,000		407,556


LifePath Retirement Master Portfolio
Security Type	Value		% of Net Assets
Domestic Fixed Income	$	180,932,762	61.66	%
Domestic Equity		79,634,021	27.14
Foreign Equity		31,299,748	10.67
Short-Term and Other Net Assets		1,558,078	0.53

TOTAL	$	293,424,609	100.00	%




LifePath 2010 Master Portfolio
Security Type	Value		% of Net Assets
Domestic Fixed Income	$	497,852,953	54.37	%
Domestic Equity		300,267,393	32.80
Foreign Equity		115,252,732	12.59
Short-Term and Other Net Assets		2,229,929	0.24

TOTAL	$	915,603,007	100.00	%




LifePath 2020 Master Portfolio
Security Type	Value		% of Net Assets
Domestic Equity	$	790,239,133	47.40	%
Domestic Fixed Income		578,626,369	34.70
Foreign Equity		294,171,125	17.64
Short-Term and Other Net Assets		4,342,138	0.26

TOTAL	$	1,667,378,765	100.00	%



LifePath 2030 Master Portfolio
Security Type	Value		% of Net Assets
Domestic Equity	$	722,580,806	58.25	%
Foreign Equity		266,781,048	21.51
Domestic Fixed Income		247,789,158	19.97
Short-Term and Other Net Assets		3,354,681	0.27

TOTAL	$	1,240,505,693	100.00	%




LifePath 2040 Master Portfolio
Security Type	Value		% of Net Assets
Domestic Equity	$	615,741,280	67.44	%
Foreign Equity		225,580,029	24.71
Domestic Fixed Income		69,828,681	7.65
Short-Term and Other Net Assets		1,794,842	0.20

TOTAL	$	912,944,832	100.00	%


Active Stock Master Portfolio
Sector/Investment Type	Value			% of Net Assets
Consumer Non-Cyclical	$	427,401,679		23.02	%
Financial		396,051,523		21.33
Energy		207,146,622		11.15
Industrial		196,994,564		10.61
Technology		174,691,550		9.41
Communications		166,854,211		8.99
Consumer Cyclical		135,815,656		7.31
Utilities		56,434,266		3.04
Basic Materials		51,320,717		2.76
Futures Contracts		(441,059	)	(0.02	)
Short-Term and Other Net Assets		44,573,927		2.40

TOTAL	$	1,856,843,656		100.00	%




CoreAlpha Bond Master Portfolio
Sector/Investment Type	Value			% of Net Assets
Mortgage-Backed Securities	$	828,037,303		61.07	%
Financial		131,257,343		9.68
Communications		105,032,371		7.75
Government		75,766,249		5.59
Asset-Backed Securities		49,074,764		3.62
Consumer Cyclical		42,224,324		3.12
Consumer Non-Cyclical		30,304,653		2.24
Utilities		28,309,042		2.09
Industrial		23,233,695		1.71
Energy		20,759,750		1.53
Basic Materials		18,324,649		1.35
Technology		11,562,620		0.85
Diversified		2,467,238		0.18
Futures Contracts		(1,572,372	)	(0.12	)
Swap Agreements		(889,736	)	(0.07	)
Securities sold short		(64,791,354	)	(4.78	)
Short-Term and Other Net Assets		56,831,313		4.19

TOTAL	$	1,355,931,852		100.00	%

These tables are not part of the financial statements.

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

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

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”).

Investments that may be valued using fair value pricing include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (i.e., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (i.e., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Master Portfolio’s net assets are computed and that may materially affect the value of the Master Portfolio’s investments). Examples of events that may be “significant events” are government actions, natural disasters, armed conflict, acts of terrorism, and significant market fluctuations.

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, 2007, the interests of the Active Stock and CoreAlpha Bond Master Portfolios held by each LifePath Master Portfolio were as follows:

Security transactions are accounted for on trade date. Dividend income is recognized on the ex-dividend date, net of any foreign tax withheld at source, and interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premiums and accrete discounts on debt securities purchased using a constant yield to maturity method.

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

The accounting records of the Master Portfolios are maintained in U.S. dollars. Foreign currencies, as well as 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.

As of June 30, 2007, the gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes for the Master Portfolios were as follows:

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

As of June 30, 2007, the Active Stock and CoreAlpha Bond Master Portfolios have pledged to brokers U.S. Treasury Bills and U.S. Treasury Notes with face amounts of $1,750,000 and $1,350,000, respectively, for initial margin requirements on outstanding futures contracts.

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”). A TBA roll is treated by the Master Portfolio as a purchase transaction and a sale transaction in which the Master Portfolio realizes a gain or loss. The Master Portfolio’s use of TBA rolls may cause the Master Portfolio to experience higher portfolio turnover and higher transaction costs. 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 CoreAlpha Bond Master Portfolio may enter into swaps, including, but not limited to, interest-rate, index and credit default swaps. Swap transactions generally do not involve the delivery of securities or other underlying assets or principal. If the Master Portfolio enters into a swap transaction, cash or securities may be posted by or to the Master Portfolio as collateral in accordance with the terms of the swap agreement. If there is a default by the other party to such a transaction, the Master Portfolio will have contractual remedies pursuant to the agreements related to the transaction. Upon early termination of a swap agreement due to an event of default or termination event with respect to the Master Portfolio or 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(s), it is determined that the Master Portfolio would be obligated to make a net payment with respect to the swap transaction(s). In the event the other party to the swap transaction(s) were to owe a net amount to the Master Portfolio upon an early termination of the swap agreement as described above, the Master Portfolio could be exposed to the risk of loss in the event that any collateral held by the Master Portfolio would be insufficient. The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with conventional securities transactions. The Master Portfolio segregates liquid assets in connection with transactions in swaps.

Interest-rate swaps involve the exchange by the Master Portfolio with another party of their respective commitments to pay or receive interest (for example, an exchange of floating-rate payments or fixed-rate payments). Index swaps (sometimes referred to as total return swaps) involve the exchange by the Master Portfolio with another party of cash flows based upon the performance of an index of securities or a portion of an index of securities that usually include, but are not limited to, dividends or income. In each case, the exchange of commitments can involve payments to be made in the same currency or in different currencies. Details of interest-rate swaps held by the Master Portfolio as of June 30, 2007 are included in its Schedule of Investments.

A credit default swap is a contract between two parties which transfers the credit risk of an entity (the “reference entity”) for a defined period whereby if there is a Credit Event then the seller of protection pays a predetermined amount to the buyer of protection. A “Credit Event” is commonly defined as the reference entity’s (a) failing to pay principal or interest on time, (b) restructuring its debt, (c) accelerating its debt, or (d) entering bankruptcy. The buyer of credit protection pays a premium to the seller of credit protection until the earlier of a Credit Event or the scheduled termination date of the credit default swap. Credit default swaps can be used to implement BGFA’s view that a particular credit, or group of credits, will experience credit improvement. In the case of expected credit improvement, the Master Portfolio may sell credit default protection in which it receives a premium to take on the risk. In such an instance, the obligation of the Master Portfolio to make payments upon the occurrence of a Credit Event creates leveraged exposure to the credit risk of the referenced entity. The Master Portfolio may also buy credit default protection with respect to a reference entity if, in the judgment of BGFA, there is a high likelihood of credit deterioration. In such instance, the Master Portfolio will pay a premium regardless of whether there is a Credit Event. The credit default swap market in high yield securities is comparatively new and rapidly evolving compared to the credit default swap market for more seasoned and liquid investment grade securities creating the risk that the newer markets will be less liquid and it may be difficult to exit or enter into a particular transaction. In the event of counterparty default, the Master Portfolio would have rights solely against the counterparty and will have no recourse against the reference entity as a result of the counterparty default. Details of credit default swaps held by the Master Portfolio as of June 30, 2007 are included in its Schedule of Investments.

In a cash-settled credit default swap where the Master Portfolio is buying protection, the Master Portfolio makes a stream of fixed payments to the counterparty in exchange for the right to receive compensation for the loss in market value of the designated obligation that is being hedged, in the event the reference entity experiences a Credit Event. In a cash-settled credit default swap where the Master Portfolio is selling protection, the Master Portfolio would be compensated for assuming the transfer of credit risk from the counterparty by receiving the fixed premium over the life of the transaction. Alternatively, if the transaction were to be physically settled, the counterparty, as seller of protection, would agree that if a specified Credit Event occurs, it would take delivery of an obligation specified by the Master Portfolio and pay to the Master Portfolio an amount equal to the notional amount of the transaction. In exchange for this risk protection, the Master Portfolio would pay the counterparty a fixed premium over the specified life of the credit default swap. In instances where the Master Portfolio sells protection, the Master Portfolio would be compensated for assuming the transfer of credit risk from the counterparty by receiving a fixed premium over the life of the credit default swap. The Master Portfolio would be required to compensate the counterparty for the loss in market value of the designated

obligation if the reference entity suffered a Credit Event and the credit default swap were to be cash settled. In the event that the transaction were to be physically settled on the occurrence of a specified Credit Event with respect to the reference entity, the Master Portfolio would be required to take physical delivery of an obligation specified at the time of the occurrence of the relevant Credit Event and would pay to the counterparty an amount equal to the notional amount of the transaction. As of June 30, 2007, the Master Portfolio did not hold any cash-settled credit default swap contracts.

The Master Portfolio may also write (sell) and purchase put and call options on swaps. An option on a swap (commonly referred to as a “swaption”) is a contract that gives a counterparty the right (but not the obligation) in return for payment of a premium, to enter into a new swap transaction at some designated future time on specified terms as described in the swaption. Depending on the terms of the particular swaption, the Master Portfolio may incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When the Master Portfolio purchases a swaption, it risks losing only the amount of the premium it has paid if it decides to let the swaption expire unexercised. When the Master Portfolio writes a swaption, upon exercise of the swaption, the Master Portfolio becomes obligated according to the terms of the underlying agreement. Details of swaptions held by the Master Portfolio as of June 30, 2007 are included in its Schedule of Investments.

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, 2007 are included in its Schedule of Investments.

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

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

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, 2009.

The fees and expenses of the Master Portfolios’ trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered public accounting firm (the “independent expenses”) are paid directly by the Master Portfolios. For those Master Portfolios that do not pay an administration fee to Barclays Global Investors, N.A. (“BGI”), BGFA has contractually 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, 2007, BGFA waived and/or credited investment advisory fees as follows:

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 contractually 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, 2007, BGI credited administration fees of $23,725 and $24,927 for the Active Stock and CoreAlpha Bond Master Portfolios, respectively.

State Street Bank and Trust Company (“State Street”) serves as the custodian and sub-administrator of the Master Portfolios. State Street 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.

The Master Portfolios may invest in the shares of exchange-traded funds (“ETFs”), including shares of ETFs of which BGI is an affiliate, to obtain exposure to the bond and stock markets while maintaining flexibility to meet the liquidity needs of the Master Portfolios.

The following table provides information about the direct investment by each Master Portfolio (exclusive of short-term investments) 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, 2007, including income earned from these affiliated issuers and net realized capital gains (losses) from sales of these affiliated issuers.

Investment transactions (excluding short-term investments and investments in any underlying Master Portfolios) for the Master Portfolios for the six months ended June 30, 2007 were as follows:

During the six months ended June 30, 2007, the Master Portfolios received cash as collateral for securities loaned. The cash collateral received was invested in a joint account and in the Premier Fund. Pursuant to an exemptive order issued by the SEC, a portion of 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 are fully collateralized by U.S. government securities or non-U.S. government debt securities. The Premier Fund seeks to achieve its investment objective by investing in a portfolio of high-quality, short-term fixed-income instruments, including money market funds (which may be managed by BGFA or its affiliate) and other instruments that, at the time of investment, have remaining maturities of 397 calendar days or less than from the date of acquisition.

In June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes – an interpretation of FASB Statement No. 109.” FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, “Accounting for Income Taxes.” This interpretation prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken in a tax return. It also provides guidance on de-recognition, classification, interest and penalties, accounting in interim periods, disclosure and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006. As of June 30, 2007, management has evaluated the effects of applying the various provisions of FIN 48, and has determined that the Master Portfolios did not have a liability for uncertain tax positions or unrecognized tax benefits.

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 14-15, 2007, 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:

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, over the past several years, BGFA and its affiliates have committed significant resources to the support of 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 models 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. The Board 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 LifePath Master Portfolios; therefore, no such comparisons were available with respect to the LifePath Master Portfolios. 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 supported the Board’s approval of the Advisory Contracts for the coming year.

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 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 (each a “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 ten-year (or “since inception”) periods ended December 31, 2006, as applicable, as compared to the performance of other registered funds with similar investment objectives, as selected solely by Lipper (each a “Lipper Performance Group”, and together with the Lipper Expense Groups, 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, 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.

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

The Board noted that each of the LifePath Master Portfolios and the Active Stock Master Portfolio performed in line with or outperformed the median performance of their respective Lipper Performance Groups over all relevant periods, while the CoreAlpha Bond Master Portfolio underperformed the median performance of its Lipper Performance Group over all relevant periods. The Board noted that the CoreAlpha Bond Master Portfolio’s underperformance in relation to its benchmark was in part attributable to the effect of fees, and in part attributable to the relatively low volatility and decreased alpha opportunities during the periods covered. The Board noted the inherent challenges of comparing the performance of the LifePath Master Portfolios to other lifecycle funds, as lifecycle funds can differ significantly in their asset mixes. BGFA has developed custom benchmarks for purposes of providing a comparison for the performance of the LifePath Master Portfolios, but the custom benchmarks are composed of indices and do not reflect the fees, expenses and taxes incurred by funds. The Board noted that the LifePath Master Portfolios underperformed their custom benchmarks in 2006 and on an annualized basis over five years. 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 respective Lipper Expense Groups. 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, 2006 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, 2007 through April 30, 2009. 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 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 funds for which BGFA provides advisory services and/or BGI provides administration services. The Board also discussed BGFA’s contractual and voluntary fee waivers for the Master Portfolios and the profitability to BGFA and its affiliates of those Master Portfolios in which the LifePath Master Portfolios invest, as reflected in the materials, and noted the profitability to BGFA and its affiliates of the other funds advised by BGFA in which the LifePath Master Portfolios invest, as represented by BGFA during the meetings. Based on this review, the Board concluded that the profits to be realized by BGFA and its affiliates under the Advisory Contracts and from other relationships between the Master Portfolios and BGFA and/or its affiliates, if any, were within the range the Board considered reasonable and appropriate.

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 and the CoreAlpha Bond Master Portfolio, BGFA and its affiliates are providing services at a loss, with the overall MIP complex posting a profit to BGFA and its affiliates for the year, the Board discussed the potential for future

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

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 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 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: (i) the investment advisory fee rates under the LifePath Master Portfolios’ Advisory Contract were within the ranges of the investment management fee rates for the Other Accounts; and (ii) the investment advisory fee rates under the Advisory Contracts for the CoreAlpha Bond and Active Stock Master Portfolios were within the ranges of the investment management fee rates for the Other 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.


Security	Face Amount		Value

REPURCHASE AGREEMENTS – 100.01%
Banc of America Securities LLC Tri-Party 5.35%, dated 6/29/07, due 7/2/07, maturity value $9,404,191 (collateralized by U.S. government obligations, value $9,588,001, 5.00%, 5/1/35).	$	9,400,000	$	9,400,000
Bank of America N.A. Tri-Party 5.37%, dated 6/29/07, due 7/2/07, maturity value $10,004,475 (collateralized by U.S. government obligations, value $10,200,000, 5.50%, 6/1/33).		10,000,000		10,000,000
Credit Suisse First Boston Tri-Party 5.38%, dated 6/29/07, due 7/2/07, maturity value $9,404,214 (collateralized by U.S. government obligations, value $9,588,955, 4.71% to 6.00%, 4/1/17 to 6/1/37).		9,400,000		9,400,000
Goldman Sachs Group Inc. (The) Tri-Party 5.35%, dated 6/29/07, due 7/2/07, maturity value $9,404,191 (collateralized by U.S. government obligations, value $9,588,000, 4.00% to 8.00%, 10/1/08 to 6/1/37).		9,400,000		9,400,000
Lehman Brothers Holdings Inc. Tri-Party 5.35%, dated 6/29/07, due 7/2/07, maturity value $9,559,260 (collateralized by U.S. government obligations, value $9,748,035, 3.73% to 10.00%, 12/1/11 to 10/1/44).		9,555,000		9,555,000
Merrill Lynch & Co. Inc. Tri-Party 5.34%, dated 6/29/07, due 7/2/07, maturity value $15,006,675 (collateralized by U.S. government obligations, value $15,451,448, 0.00% to 6.00%, 12/15/21 to 1/25/37).		15,000,000		15,000,000

TOTAL REPURCHASE AGREEMENTS
(Cost: $62,755,000)				62,755,000

TOTAL INVESTMENTS IN SECURITIES – 100.01%
(Cost: $62,755,000)				62,755,000

Other Assets, Less Liabilities – (0.01)%				(6,131	)

NET ASSETS – 100.00%			$	62,748,869

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


Security	Face Amount		Value

CERTIFICATES OF DEPOSIT – 2.02%
Credit Suisse First Boston NY
5.43%, 08/21/07	$	15,000,000	$	15,000,000
HBOS Treasury Services PLC
5.26%, 05/14/08		90,000,000		90,000,000
5.27%, 02/04/08		50,000,000		50,000,000
5.29%, 01/22/08		150,000,000		150,000,000
5.34%, 07/25/07		75,000,000		75,000,000
5.36%, 11/13/07		70,000,000		70,000,000
Societe Generale
5.27%, 05/14/08		65,000,000		65,000,000

TOTAL CERTIFICATES OF DEPOSIT
(Cost: $515,000,000)				515,000,000

COMMERCIAL PAPER – 43.40%
Amstel Funding Corp.
5.28%, 07/20/07^(a)		250,000,000		249,266,667
Amsterdam Funding Corp.
5.30%, 07/06/07^(a)		200,000,000		199,823,333
Asscher Finance Corp.
5.23%, 12/03/07^(a)		150,400,000		146,994,694
Atlantis One Funding
5.24%, 07/30/07^(a)		225,400,000		224,415,753
Beta Finance Inc.
5.24%, 07/30/07^(a)		49,000,000		48,786,033
CAFCO LLC
5.27%, 08/21/07^(a)		100,000,000		99,239,500
CC USA Inc.
5.24%, 08/01/07^(a)		57,000,000		56,734,506
Chariot Funding LLC
5.28%, 07/09/07^(a)		151,694,000		151,493,764
5.28%, 07/10/07^(a)		129,289,000		129,099,376
5.28%, 07/12/07^(a)		75,334,000		75,201,412
5.28%, 07/13/07^(a)		101,450,000		101,256,386
5.29%, 07/16/07^(a)		342,173,000		341,368,514
Charta LLC
5.27%, 08/20/07^(a)		250,000,000		248,133,542
Cheyne Finance LLC
5.15%, 10/10/07^(a)		20,000,000		19,708,166
5.17%, 10/24/07^(a)		50,000,000		49,167,056
5.17%, 11/05/07^(a)		25,000,000		24,540,889
5.24%, 07/18/07^(a)		50,000,000		49,869,000
Cobbler Funding Ltd.
5.32%, 07/16/07^(a)		60,000,000		59,858,133
Concord Minutemen Capital Co. LLC
5.19%, 08/15/07^(a)		26,293,000		26,118,633
5.21%, 08/28/07^(a)		125,000,000		123,932,673
5.24%, 07/12/07^(a)		50,000,000		49,912,667
5.29%, 07/10/07^(a)		271,466,000		271,067,096
5.29%, 07/11/07^(a)		252,085,000		251,677,532


Security	Face Amount		Value
Crown Point Capital Co. LLC
5.14%, 10/05/07^(a)	$	20,000,000	$	19,723,012
5.19%, 10/19/07^(a)		120,535,000		118,606,139
5.28%, 07/09/07^(a)		135,623,000		135,443,978
5.30%, 07/12/07^(a)		95,943,000		95,773,501
Cullinan Finance Corp.
5.16%, 10/26/07^(a)		75,000,000		73,731,500
5.24%, 07/23/07^(a)		50,000,000		49,832,611
5.24%, 07/25/07^(a)		115,700,000		115,278,981
5.24%, 07/30/07^(a)		100,000,000		99,563,333
Edison Asset Securitization LLC
5.27%, 08/22/07^(a)		50,000,000		49,612,069
Falcon Asset Securitization
5.27%, 08/01/07^(a)		101,000,000		100,526,422
5.29%, 07/16/07^(a)		100,000,000		99,765,111
Five Finance Inc.
5.24%, 07/25/07^(a)		54,229,000		54,031,667
5.24%, 07/27/07^(a)		30,000,000		29,882,100
General Electric Capital Corp.
5.05%, 09/07/07		40,000,000		39,612,833
5.12%, 09/18/07		75,000,000		74,146,667
5.15%, 10/19/07		75,000,000		73,809,063
5.19%, 07/16/07		20,000,000		19,953,866
Giro Multi-Funding Corp.
5.30%, 07/09/07^(a)		150,000,000		149,801,063
5.30%, 07/13/07^(a)		150,000,000		149,712,917
Grampian Funding LLC
5.18%, 07/06/07^(a)		50,000,000		49,956,833
Harrier Finance Funding LLC
5.16%, 10/25/07^(a)		25,000,000		24,580,750
5.17%, 10/29/07^(a)		128,431,000		126,199,261
Jupiter Securitization Corp.
5.28%, 07/13/07^(a)		75,334,000		75,190,227
5.28%, 08/03/07^(a)		101,677,000		101,170,451
5.29%, 07/12/07^(a)		100,000,000		99,823,667
5.29%, 07/20/07^(a)		151,697,000		151,251,179
KKR Pacific Funding Trust
5.29%, 07/11/07^(a)		105,709,000		105,538,133
5.32%, 07/17/07^(a)		250,000,000		249,371,355
Lexington Parker Capital Co. LLC
5.12%, 02/22/08^(a)		156,121,000		150,858,681
5.24%, 07/25/07^(a)		42,030,000		41,877,057
5.28%, 07/09/07^(a)		202,326,000		202,058,929
Nationwide Building Society
5.18%, 10/15/07^(a)		30,000,000		29,538,117
5.21%, 08/08/07^(a)		100,000,000		99,435,583
Natixis
5.17%, 11/08/07^(a)		25,000,000		24,530,129
Nestle Capital Corp.
5.19%, 08/09/07		15,000,000		14,913,500
Scaldis Capital LLC
5.17%, 10/26/07^(a)		45,061,000		44,297,391
5.28%, 07/09/07^(a)		412,000,000		411,456,160
Sedna Finance Inc.
5.24%, 07/27/07^(a)		100,000,000		99,607,000
5.24%, 07/30/07^(a)		50,000,000		49,781,667


Security	Face Amount		Value
Sigma Finance Inc.
5.09%, 01/10/08	$	90,000,000	$	87,528,925
5.09%, 02/12/08^(a)		100,000,000		96,793,625
5.10%, 01/10/08^(a)		60,000,000		58,352,617
5.16%, 10/23/07^(a)		100,000,000		98,351,667
5.16%, 10/26/07^(a)		100,000,000		98,308,667
5.17%, 11/01/07^(a)		75,000,000		73,665,709
5.20%, 12/03/07^(a)		250,000,000		244,372,084
Simba Funding Corp.
5.27%, 08/17/07^(a)		170,909,000		169,709,219
5.27%, 08/20/07^(a)		617,507,000		612,899,262
Societe Generale North America Inc.
5.10%, 08/13/07		140,000,000		139,128,189
5.16%, 11/05/07		100,000,000		98,163,556
Solitaire Funding Ltd.
5.16%, 10/26/07^(a)		100,000,000		98,308,666
5.24%, 07/30/07^(a)		143,000,000		142,375,566
5.28%, 07/09/07^(a)		370,000,000		369,511,138
Sydney Capital Corp.
5.28%, 08/20/07^(a)		46,940,000		46,588,889
5.29%, 07/03/07^(a)		108,140,000		108,092,328
5.29%, 07/18/07^(a)		222,260,000		221,672,122
Tango Finance Corp.
5.24%, 07/23/07^(a)		37,000,000		36,876,132
Thames Asset Global Securitization No. 1 Inc.
5.24%, 08/14/07^(a)		70,961,000		70,496,206
5.29%, 07/16/07^(a)		79,154,000		78,967,900
5.29%, 07/18/07^(a)		246,708,000		246,056,009
5.29%, 07/23/07^(a)		49,282,000		49,115,441
Thornburg Mortgage Capital Resources LLC
5.28%, 07/18/07^(a)		69,000,000		68,817,840
5.29%, 07/20/07^(a)		100,000,000		99,706,111
5.31%, 07/10/07^(a)		213,496,000		213,181,093
Ticonderoga Master Funding Ltd.
5.28%, 07/17/07^(a)		75,429,000		75,240,930
Tulip Funding Corp.
5.29%, 07/05/07^(a)		262,139,000		261,946,401
UBS Finance Delaware LLC
5.17%, 11/09/07		100,000,000		98,104,334
5.20%, 07/17/07		120,000,000		119,705,616
WhistleJacket Capital Ltd.
5.21%, 12/12/07^(a)		25,679,000		25,065,807


White Pine Finance LLC
5.22%, 12/10/07^(a)	22,879,000	22,338,773
5.24%, 08/09/07^(a)	20,977,000	20,854,867
5.24%, 08/10/07^(a)	25,537,000	25,384,601
Zela Finance Inc.
5.23%, 12/07/07^(a)	100,000,000	97,677,778

TOTAL COMMERCIAL PAPER
(Cost: $11,071,266,296)		11,071,266,296


Security	Face Amount		Value

MEDIUM-TERM NOTES – 4.33%
Asscher Finance Corp.
5.42%, 06/25/08^(a)	$	100,000,000	$	100,000,000
Cullinan Finance Corp.
5.31%, 05/27/08^(a)		100,000,000		99,995,489
5.40%, 02/05/08^(a)		25,000,000		25,000,000
Dorada Finance Inc.
5.32%, 05/29/08^(a)		115,000,000		114,994,739
Goldman Sachs Group Inc. (The)
5.36%, 04/16/08^(b)		100,000,000		100,000,000
5.46%, 06/09/08^(b)		250,000,000		250,000,000
K2 USA LLC
5.42%, 06/16/08^(a)		130,000,000		130,000,000
Kimberly-Clark Corp.
5.26%, 12/19/07^(a)		35,000,000		35,000,000
Sedna Finance Inc.
5.33%, 02/29/08^(a)		100,000,000		100,000,000
Zela Finance Inc.
5.41%, 06/25/08^(a)		150,000,000		149,985,204

TOTAL MEDIUM-TERM NOTES
(Cost: $1,104,975,432)				1,104,975,432

REPURCHASE AGREEMENTS – 14.02%
Banc of America Securities LLC Tri-Party 5.40%, dated 6/29/07, due 7/2/07, maturity value $300,135,000 (collateralized by non-U.S. government debt securities, value $315,000,000, 0.00% to 7.80%, 4/22/13 to 1/15/49).		300,000,000		300,000,000
Banc of America Securities LLC Tri-Party 5.43%, dated 6/29/07, due 7/2/07, maturity value $94,042,535 (collateralized by non-U.S. government debt securities, value $96,820,001, 5.13% to 7.55%, 11/1/10 to 11/15/23).		94,000,000		94,000,000
Bank of America N.A. Tri-Party 5.35%, dated 6/29/07, due 7/2/07, maturity value $40,017,833 (collateralized by U.S. government obligations, value $40,800,001, 5.00%, 5/1/35).		40,000,000		40,000,000
Bank of America N.A. Tri-Party 5.37%, dated 6/29/07, due 7/2/07, maturity value $290,129,775 (collateralized by U.S. government obligations, value $295,800,001, 5.00% to 5.50%, 6/1/33 to 3/1/34).		290,000,000		290,000,000


Security	Face Amount		Value
Bear Stearns Companies Inc. (The) Tri-Party 5.40%, dated 6/29/07, due 7/2/07, maturity value $175,570,971 (collateralized by U.S. government obligations, value $179,311,274, 4.00% to 15.00%, 12/1/07 to 7/1/37).	$	175,492,000	$	175,492,000
Bear Stearns Companies Inc. (The) Tri-Party 5.44%, dated 6/29/07, due 7/2/07, maturity value $150,068,000 (collateralized by U.S. government obligations and non-U.S. government debt securities, value $153,021,101, 3.02% to 9.13%, 8/15/08 to 3/1/47).		150,000,000		150,000,000
Citigroup Global Markets Holdings Inc. Tri-Party 5.43%, dated 6/29/07, due 7/2/07, maturity value $150,067,875 (collateralized by non-U.S. government debt securities, value $156,460,175, 5.88% to 7.20%, 4/17/09 to 9/15/26).		150,000,000		150,000,000
Citigroup Global Markets Holdings Inc. Tri-Party 5.49%, dated 6/29/07, due 7/2/07, maturity value $160,073,200 (collateralized by non-U.S. government debt securities, value $180,620,805, 0.00%, 1/28/34 to 6/25/37).		160,000,000		160,000,000
Citigroup Global Markets Holdings Inc. Tri-Party 5.53%, dated 6/29/07, due 7/2/07, maturity value $310,142,858 (collateralized by non-U.S. government debt securities, value $349,992,607, 0.00%, 1/28/34 to 6/25/37).		310,000,000		310,000,000
Goldman Sachs Co. Tri-Party 5.35%, dated 6/29/07, due 7/2/07, maturity value $100,044,583 (collateralized by U.S. government obligations, value $103,000,001, 5.67% to 5.72%, 5/15/33 to 12/15/36).		100,000,000		100,000,000
Goldman Sachs Co. Tri-Party 5.42%, dated 6/29/07, due 7/2/07, maturity value $12,112,468 (collateralized by non-U.S. government debt securities, value $13,537,651, 7.32% to 7.42%, 4/15/10 to 7/25/35).		12,107,000		12,107,000
Greenwich Capital Markets Inc. Tri-Party 5.53%, dated 6/29/07, due 7/2/07, maturity value $450,207,375 (collateralized by non-U.S. government debt securities, value $495,788,063, 0.00% to 7.34%, 2/1/34 to 4/1/37).		450,000,000		450,000,000


Security	Face Amount		Value
HSBC Securities Inc. Tri-Party 5.43%, dated 6/29/07, due 7/2/07, maturity value $100,045,250 (collateralized by non-U.S. government debt securities, value $105,101,038, 6.00% to 7.98%, 4/25/37 to 5/25/37).	$	100,000,000	$	100,000,000
Lehman Brothers Holdings Inc. Tri-Party 5.35%, dated 6/29/07, due 7/2/07, maturity value $100,044,583 (collateralized by U.S. government obligations, value $102,000,410, 3.33% to 9.74%, 1/1/09 to 6/1/44).		100,000,000		100,000,000
Lehman Brothers Holdings Inc. Tri-Party 5.43%, dated 6/29/07, due 8/30/07, maturity value $201,870,333 (collateralized by non-U.S. government debt securities, value $210,007,938, 0.00% to 8.06%, 8/15/08 to 10/15/49).^(b)		200,000,000		200,000,000
Lehman Brothers Holdings Inc. Tri-Party 5.46%, dated 6/29/07, due 8/30/07, maturity value $126,175,417 (collateralized by non-U.S. government debt securities, value $131,254,724, 5.10% to 6.66%, 1/11/35 to 4/25/46).^(b)		125,000,000		125,000,000
Merrill Lynch & Co. Inc. Tri-Party 5.43%, dated 6/29/07, due 7/2/07, maturity value $100,045,250 (collateralized by non-U.S. government debt securities, value $103,003,959, 5.13% to 6.05%, 6/15/12 to 4/15/16).		100,000,000		100,000,000
Morgan Stanley Tri-Party 5.58%, dated 6/29/07, due 7/4/08, maturity value $338,352,000 (collateralized by non-U.S. government debt securities, value $352,599,279, 0.00% to 10.25%, 7/2/07 to 10/12/52).^(b)		320,000,000		320,000,000
Wachovia Capital Tri-Party 5.45%, dated 6/29/07, due 7/2/07, maturity value $400,181,667 (collateralized by non-U.S. government debt securities, value $420,000,001, 0.00% to 8.32%, 11/20/08 to 12/12/49).		400,000,000		400,000,000

TOTAL REPURCHASE AGREEMENTS
(Cost: $3,576,599,000)				3,576,599,000

TIME DEPOSITS – 0.75%
Deutsche Bank AG 5.34%, 07/02/07		189,247,000		189,247,000

TOTAL TIME DEPOSITS
(Cost: $189,247,000)				189,247,000


Security	Face Amount		Value

VARIABLE & FLOATING RATE NOTES – 35.31%
Aire Valley Mortgages PLC Series 2007-1A Class 1A1
5.31%, 04/21/08^(a)	$	75,000,000	$	75,000,000
Allstate Life Global Funding II
5.32%, 07/03/08		55,000,000		54,999,644
5.35%, 07/25/08^(a)		140,000,000		140,031,671
5.36%, 06/13/08^(a)		65,000,000		65,028,577
5.39%, 07/08/08^(a)		67,000,000		67,046,427
5.40%, 06/13/08^(a)		80,000,000		80,054,076
American Express Bank
5.33%, 05/16/08		247,500,000		247,563,455
American Express Credit Corp.
5.42%, 03/05/08		30,000,000		30,023,091
ANZ National International Ltd.
5.32%, 07/03/08^(a)		75,000,000		75,000,000
Arkle Master Issuer PLC
Series 2006-1A Class 1A
5.30%, 05/19/08^(a)		75,000,000		75,001,319
ASIF Global Financing
5.34%, 06/23/08^(a)		75,000,000		74,997,897
Australia & New Zealand Banking Group Ltd.
5.34%, 06/20/08^(a)		100,000,000		100,017,775
Bank of Ireland
5.30%, 06/18/08^(a)		70,000,000		69,999,876
5.32%, 06/18/08^(a)		145,000,000		145,013,219
Beta Finance Inc.
5.32%, 07/17/07^(a)		100,000,000		99,999,680
5.35%, 07/25/07^(a)		85,000,000		85,001,405
BMW US Capital LLC
5.30%, 07/03/08		30,000,000		30,001,299
5.34%, 06/13/08^(a)		200,000,000		200,060,666
BNP Paribas
5.35%, 05/19/08^(a)		185,000,000		185,000,970
Brigantine High Grade Funding Ltd. 2006-1A Class A1A
5.35%, 09/05/07^(a)		144,000,000		143,992,854
CC USA Inc.
5.35%, 07/30/07^(a)		50,000,000		49,998,550
Commodore CDO Ltd. 2003-2A Class A1MM
5.44%, 12/12/07^(a)		37,058,519		37,058,519
Credit Agricole SA
5.33%, 05/23/08^(a)		100,000,000		99,991,055
Cullinan Finance Corp.
5.30%, 01/15/08^(a)		75,000,000		74,995,975
DEPFA Bank PLC
5.42%, 03/14/08^(a)		200,000,000		200,041,946
Dorada Finance Inc.
5.32%, 07/17/07^(a)		60,000,000		59,999,678
Fifth Third Bancorp
5.32%, 06/20/08^(a)		200,000,000		200,033,379


Security	Face Amount		Value
Florida Heart Group PA/Florida Heart Group Holdings
5.32%, 07/06/07	$	8,540,000	$	8,540,000
General Electric Capital Corp.
5.28%, 07/23/08		60,000,000		60,003,470
5.45%, 07/09/07		45,000,000		45,001,593
Granite Master Issuer PLC Series 2005-3 Class A
5.29%, 08/20/07		350,000,000		350,003,814
Great America Leasing Receivables Series 2006-1 Class A1
5.40%, 11/15/07^(a)		3,964,776		3,964,776
Guiding Light Church
5.32%, 07/06/07		10,400,000		10,400,000
Harrier Finance Funding LLC
5.29%, 08/07/07^(a)		50,000,000		49,998,952
5.33%, 07/20/07^(a)		25,000,000		25,000,230
5.33%, 07/25/07^(a)		15,000,000		15,000,187
5.33%, 08/13/07^(a)		30,000,000		30,000,709
5.36%, 08/15/07		50,000,000		50,001,680
Hartford Life Global Funding Trust
5.36%, 06/13/08		100,000,000		100,034,515
5.40%, 07/13/07		50,000,000		50,000,706
HBOS Treasury Services PLC
5.43%, 04/24/08^(a)		150,000,000		150,067,599
Holmes Financing PLC Series 10A Class 1A
5.29%, 07/16/07^(a)		175,000,000		175,000,000
Holmes Master Issuer PLC Series 2006-1A Class 1A
5.30%, 10/15/07^(a)		82,000,000		82,000,000
ING USA Annuity & Life Insurance Co.
5.43%, 01/10/08^(a)(b)		30,000,000		30,000,000
Jordan Brick Co. Inc.
5.32%, 07/06/07^(a)		46,000,000		46,000,000
JP Morgan Securities Inc.
5.47%, 07/27/07		100,000,000		100,000,000
5.47%, 11/16/07		300,000,000		300,000,000
5.52%, 07/27/07^(b)		200,000,000		200,000,000
JPMorgan Chase & Co.
5.29%, 07/02/08		150,000,000		150,000,617
Kestrel Funding LLC
5.30%, 07/11/07^(a)		25,000,000		24,999,920
Kommunalkredit Austria AG
5.32%, 07/09/08^(a)		40,000,000		40,000,000
Lakeline Austin Development Ltd.
5.32%, 07/06/07^(a)		9,800,000		9,800,000
Leafs LLC
5.32%, 01/22/08^(a)		96,353,716		96,353,716
5.32%, 02/20/08^(a)		49,355,781		49,355,781
Lothian Mortgages Master Issuer PLC Series 2006-1A Class A1
5.30%, 04/24/08^(a)		112,040,250		112,040,250
Marshall & Ilsley Bank
5.32%, 06/13/08		115,000,000		115,009,360


Security	Face Amount		Value
Master Funding LLC
5.35%, 10/25/07^(a)	$	109,564,000	$	109,564,000
5.35%, 11/26/07		71,442,000		71,442,000
Merrill Lynch & Co. Inc.
5.52%, 11/26/07^(b)		170,000,000		170,000,000
MetLife Insurance Co. of Connecticut
5.44%, 08/17/07^(a)(b)		50,000,000		50,000,000
Metropolitan Life Global Funding I
5.31%, 07/21/08^(a)		75,000,000		75,000,000
5.35%, 07/03/08^(a)		150,000,000		150,061,748
5.41%, 07/14/08^(a)		40,000,000		40,043,948
Metropolitan Life Insurance Co.
5.44%, 07/18/07^(a)(b)		25,000,000		25,000,000
Metropolitan Life Insurance Funding
5.43%, 02/01/08^(b)		50,000,000		50,000,000
Natexis Banques Populaires
5.33%, 07/15/08^(a)		125,000,000		125,021,417
5.35%, 06/09/08^(a)		100,000,000		100,005,916
Nationwide Building Society
5.37%, 07/03/08^(a)		100,000,000		100,055,866
5.44%, 07/27/08^(a)		315,000,000		315,181,229
5.48%, 07/20/07^(a)		60,000,000		60,005,338
Newcastle CDO Ltd. Series 2005-6A Class IM1
5.34%, 04/24/08^(a)		35,250,000		35,235,881
Newcastle CDO Ltd. Series 2005-6A Class IM2
5.34%, 01/24/08^(a)		65,000,000		64,989,588
Nordea Bank AB
5.33%, 06/10/08^(a)		75,000,000		75,000,000
Northern Rock PLC
5.38%, 05/02/08^(a)		190,000,000		190,082,176
Pricoa Global Funding I
5.31%, 06/27/08^(a)		200,000,000		200,004,028
Royal Bank of Canada
5.29%, 07/03/08^(a)		200,000,000		200,000,000
Sedna Finance Inc.
5.33%, 11/15/07^(a)		78,000,000		77,995,411
5.34%, 08/21/07^(a)		100,000,000		100,001,111
Skandinaviska Enskilda Banken
5.32%, 07/17/08^(a)		150,000,000		150,017,259
Societe Generale
5.31%, 07/01/08^(a)		30,000,000		30,000,000
Strips III LLC
5.37%, 07/24/07^(a)		17,676,900		17,676,900
5.37%, 08/24/07^(a)		12,880,499		12,880,499
Tango Finance Corp.
5.33%, 07/16/07^(a)		55,000,000		55,000,011
Trap Rock Industry Inc.
5.32%, 07/06/07^(a)		18,860,000		18,860,000
Union Hamilton Special Funding LLC
5.36%, 09/28/07^(a)		150,000,000		150,000,000
5.36%, 12/17/07		50,000,000		50,000,000
5.36%, 12/21/07		40,000,000		40,000,000


Security	Face Amount		Value
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
5.31%, 07/25/07^(a)	$	73,771,690	$	73,771,690
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
5.31%, 07/25/07^(a)		86,324,944		86,324,944
Wachovia Bank Commercial Mortgage Trust Series 2007-C32 Class A4M
5.32%, 07/15/08^(a)		54,273,000		54,273,000
Wachovia Bank Commercial Mortgage Trust Series 2007-C32 Class AMM
5.34%, 07/15/08^(a)		187,623,000		187,623,000
Wells Fargo & Co.
5.33%, 06/13/08^(a)		50,000,000		50,023,676
Westpac Banking Corp.
5.42%, 07/11/08		70,000,000		70,000,000
White Pine Finance LLC
5.29%, 06/02/08^(a)		70,000,000		69,987,106
5.30%, 06/20/08^(a)		75,000,000		74,991,076
5.32%, 08/20/07^(a)		85,000,000		84,995,035
5.32%, 05/19/08^(a)		37,000,000		36,991,997
Wind Master Trust Series 2005-J2A Class A2
5.31%, 07/25/07^(a)		65,000,000		65,000,000

TOTAL VARIABLE & FLOATING RATE NOTES
(Cost: $9,007,636,728)				9,007,636,728

TOTAL INVESTMENTS IN SECURITIES – 99.83%
(Cost: $25,464,724,456)				25,464,724,456

Other Assets, Less Liabilities – 0.17%				44,069,826

NET ASSETS – 100.00%			$	25,508,794,282

^(a)

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

^(b)

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

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


Security	Face Amount		Value

CERTIFICATES OF DEPOSIT – 4.03%
HBOS Treasury Services PLC
5.26%, 05/14/08	$	60,000,000	$	60,000,000
5.27%, 02/04/08		50,000,000		50,000,000
5.29%, 01/22/08		50,000,000		50,000,000
5.36%, 11/13/07		80,000,000		80,000,000
Rabobank Nederland NV NY
5.25%, 09/06/07		48,800,000		48,796,295
Royal Bank of Scotland NY
5.35%, 11/16/07		80,000,000		80,000,000
Societe Generale
5.27%, 05/14/08		35,000,000		35,000,000

TOTAL CERTIFICATES OF DEPOSIT
(Cost: $403,796,295)				403,796,295

COMMERCIAL PAPER – 23.83%
Cancara Asset Securitisation Ltd.
5.23%, 07/23/07^(a)		50,000,000		49,832,931
5.32%, 07/27/07^(a)		92,500,000		92,130,925
Cantabric Finance LLC
5.24%, 07/24/07^(a)		25,000,000		24,912,667
Cheyne Finance LLC
5.15%, 10/10/07^(a)		75,000,000		73,905,625
5.20%, 11/26/07^(a)		20,000,000		19,569,556
Concord Minutemen Capital Co. LLC
5.19%, 08/15/07^(a)		25,000,000		24,834,209
5.21%, 08/28/07^(a)		60,000,000		59,487,683
5.21%, 11/28/07^(a)		86,226,000		84,341,698
Crown Point Capital Co. LLC
5.14%, 10/05/07^(a)		52,033,000		51,312,371
5.33%, 08/02/07^(a)		150,000,000		149,267,125
Gemini Securitization Corp.
5.23%, 07/05/07^(a)		20,950,000		20,934,782
5.23%, 07/19/07^(a)		50,000,000		49,861,986
General Electric Capital Corp.
5.05%, 09/07/07		40,000,000		39,612,833
5.07%, 09/07/07		40,000,000		39,611,299
5.15%, 10/19/07		75,000,000		73,809,063
5.19%, 07/16/07		80,000,000		79,815,466
Grampian Funding LLC
5.14%, 09/19/07^(a)		100,000,000		98,844,625
5.18%, 07/06/07^(a)		50,000,000		49,956,833
Lexington Parker Capital Co. LLC
5.20%, 07/25/07^(a)		25,000,000		24,909,722
Nationwide Building Society
5.21%, 08/08/07		85,500,000		85,017,423
Natixis
5.24%, 07/27/07^(a)		100,000,000		99,607,000
Nelnet Student Asset Funding LLC
5.32%, 07/11/07^(a)		38,151,000		38,088,984
5.35%, 07/26/07^(a)		50,000,000		49,806,806
Nestle Capital Corp.
5.19%, 08/09/07		25,000,000		24,855,834


Security	Face Amount		Value
Scaldis Capital LLC
5.14%, 09/21/07^(a)	$	100,000,000	$	98,814,945
Sigma Finance Inc.
5.09%, 01/10/08^(a)		50,000,000		48,627,181
5.09%, 02/12/08^(a)		50,000,000		48,396,812
5.10%, 01/10/08^(a)		40,000,000		38,901,744
Societe Generale North America Inc.
5.10%, 08/13/07		125,000,000		124,221,597
Solitaire Funding Ltd.
5.23%, 07/03/07^(a)		65,000,000		64,971,670
Sydney Capital Corp.
5.32%, 07/16/07^(a)		39,477,000		39,383,659
Thames Asset Global Securitization No. 1 Inc.
5.24%, 08/13/07^(a)		34,284,000		34,064,430
Thornburg Mortgage Capital Resources LLC
5.28%, 07/18/07^(a)		250,000,000		249,340,000
Ticonderoga Master Funding Ltd.
5.33%, 08/07/07^(a)		64,798,000		64,433,439
UBS Finance Delaware LLC
5.17%, 11/09/07		100,000,000		98,104,334
5.20%, 07/17/07		75,000,000		74,816,011

TOTAL COMMERCIAL PAPER
(Cost: $2,388,403,268)				2,388,403,268

MEDIUM-TERM NOTES – 4.89%
Asscher Finance Corp.
5.42%, 06/25/08^(a)		50,000,000		50,000,000
Cheyne Finance LLC
5.38%, 10/31/07^(a)		30,000,000		29,997,978
Cullinan Finance Corp.
5.37%, 06/05/08^(a)		70,000,000		69,996,739
5.40%, 02/05/08^(a)		75,000,000		75,000,000
5.44%, 08/23/07^(a)		25,000,000		25,000,000
Goldman Sachs Group Inc. (The)
5.36%, 04/16/08^(b)		50,000,000		50,000,000
5.46%, 06/09/08^(b)		100,000,000		100,000,000
Sedna Finance Inc.
5.34%, 03/05/08^(a)		30,000,000		30,000,000
3M Co.
5.66%, 12/12/07^(a)		50,000,000		50,082,452
Wal-Mart Stores Inc.
5.50%, 07/15/07^(a)		10,000,000		10,000,279

TOTAL MEDIUM-TERM NOTES
(Cost: $490,077,448)				490,077,448

REPURCHASE AGREEMENTS – 22.84%
Banc of America Securities LLC Tri-Party 5.35%, dated 6/29/07, due 7/2/07, maturity value $40,017,833 (collateralized by U.S. government obligations, value $41,179,928, 5.00% to 6.00%, 3/25/28 to 3/1/34).		40,000,000		40,000,000


Security	Face Amount		Value
Banc of America Securities LLC Tri-Party 5.43%, dated 6/29/07, due 7/2/07, maturity value $200,090,500 (collateralized by non-U.S. government debt securities, value $210,000,001, 2.49% to 6.11%, 4/15/09 to 12/27/22).	$	200,000,000	$	200,000,000
Banc of America Securities LLC Tri-Party 5.43%, dated 6/29/07, due 7/2/07, maturity value $250,113,125 (collateralized by non-U.S. government debt securities, value $257,500,000, 4.82% to 7.25%, 7/15/10 to 6/15/18).		250,000,000		250,000,000
Bank of America N.A. Tri-Party 5.37%, dated 6/29/07, due 7/2/07, maturity value $250,111,875 (collateralized by U.S. government obligations, value $255,000,000, 5.00%, 2/1/34).		250,000,000		250,000,000
Bear Stearns Companies Inc. (The) Tri-Party 5.38%, dated 6/29/07, due 7/2/07, maturity value $300,134,500 (collateralized by U.S. government obligations, value $306,002,298, 4.00% to 10.00%, 10/1/07 to 7/1/37).		300,000,000		300,000,000
Citigroup Global Markets Holdings Inc. Tri-Party 5.43%, dated 6/29/07, due 7/2/07, maturity value $350,158,375 (collateralized by non-U.S. government debt securities, value $367,500,000, 5.15% to 10.25%, 1/15/08 to 9/20/51).		350,000,000		350,000,000
Goldman Sachs & Co. Tri-Party 5.35%, dated 6/29/07, due 7/2/07, maturity value $100,044,583 (collateralized by U.S. government obligations, value $103,000,000, 5.70% to 6.32%, 11/15/36 to 12/15/36).		100,000,000		100,000,000
Goldman Sachs Group Inc. (The) Tri-Party 5.42%, dated 6/29/07, due 7/2/07, maturity value $100,045,167 (collateralized by non-U.S. government debt securities, value $105,000,000, 0.00% to 6.50%, 11/15/17 to 2/25/46).		100,000,000		100,000,000
Goldman Sachs Group Inc. (The) Tri-Party 5.50%, dated 6/29/07, due 7/2/07, maturity value $125,057,292 (collateralized by non-U.S. government debt securities, value $131,250,001, 0.00% to 10.00%, 12/1/08 to 6/6/17).		125,000,000		125,000,000


Security	Face Amount		Value
Lehman Brothers Inc. Tri-Party 5.35%, dated 6/29/07, due 7/2/07, maturity value $100,044,583 (collateralized by U.S. government obligations, value $102,000,783, 4.13% to 7.65%, 4/1/12 to 1/1/40).	$	100,000,000	$	100,000,000
Lehman Brothers Inc. Tri-Party 5.43%, dated 6/29/07, due 8/30/07, maturity value $151,402,750 (collateralized by non-U.S. government debt securities, value $157,506,572, 0.12% to 7.53%, 1/15/21 to 12/25/46).^(b)		150,000,000		150,000,000
Lehman Brothers Inc. Tri-Party 5.46%, dated 6/29/07, due 8/30/07, maturity value $75,705,250 (collateralized by non-U.S. government debt securities, value $78,750,538, 0.00% to 9.07%, 5/25/32 to 2/12/49).^(b)		75,000,000		75,000,000
Merrill Lynch & Co. Inc. Tri-Party 5.45%, dated 6/29/07, due 7/2/07, maturity value $250,113,542 (collateralized by non-U.S. government debt securities, value $257,501,114, 4.95% to 6.25%, 5/15/10 to 6/1/27).		250,000,000		250,000,000

TOTAL REPURCHASE AGREEMENTS
(Cost: $2,290,000,000)				2,290,000,000

TIME DEPOSITS – 6.68%
Danske Bank
5.37%, 07/02/07		350,000,000		350,000,000
Deutsche Bank AG
5.34%, 07/02/07		19,384,000		19,384,000
KBC Bank
5.40%, 07/02/07		300,000,000		300,000,000

TOTAL TIME DEPOSITS
(Cost: $669,384,000)				669,384,000

VARIABLE & FLOATING RATE NOTES – 37.48%
AIG Matched Funding Corp.
5.36%, 06/16/08^(a)		10,000,000		9,999,821
Aire Valley Mortgages PLC
Series 2007-1A Class 1A1
5.31%, 04/21/08^(a)		45,000,000		45,000,000
Allstate Life Global Funding II
5.32%, 07/03/08		45,000,000		45,000,000
5.35%, 07/25/08^(a)		160,000,000		160,004,043
5.36%, 06/13/08^(a)		85,000,000		85,019,724
5.39%, 07/08/08^(a)		58,000,000		58,006,252


Security	Face Amount		Value
Arkle Master Issuer PLC
Series 2006-1A Class 1A
5.30%, 05/19/08^(a)	$	50,000,000	$	50,000,000
Arkle Master Issuer PLC
Series 2007-1A Class 1A
5.30%, 05/19/08^(a)		125,000,000		125,000,000
ASIF Global Financing
5.34%, 06/23/08^(a)		75,000,000		74,997,897
Bear Stearns Companies Inc. (The)
5.36%, 07/09/07^(b)		300,000,000		300,000,000
Brigantine High Grade Funding Ltd.
2006-1A Class A1A
5.35%, 09/05/07^(a)		55,000,000		54,998,194
Citigroup Global Markets
Holdings Inc.
5.32%, 01/25/08		350,000,000		350,000,000
DEPFA Bank PLC
5.42%, 03/14/08^(a)		50,000,000		50,000,000
Deutsche Bank NY
5.29%, 07/01/08		100,000,000		99,990,590
General Electric Capital Corp.
5.28%, 07/23/08		65,000,000		65,000,000
Harrier Finance Funding LLC
5.33%, 08/13/07^(a)		45,000,000		45,001,063
Hartford Life Global Funding Trust
5.36%, 06/13/08		100,000,000		100,000,000
Holmes Financing PLC
Series 10A Class 1A
5.29%, 07/16/07^(a)		150,000,000		150,000,000
Holmes Master Issuer PLC
Series 2006-1A Class 1A
5.30%, 10/15/07^(a)		93,000,000		93,000,000
ING USA Annuity & Life Insurance Co.
5.43%, 01/10/08^(a)(b)		45,000,000		45,000,000
Kestrel Funding LLC
5.30%, 07/11/07^(a)		35,000,000		34,999,886
Leafs LLC
5.32%, 12/20/07^(a)		49,354,732		49,354,732
5.32%, 01/22/08^(a)		51,713,783		51,713,783
Merrill Lynch & Co. Inc.
5.52%, 11/26/07^(b)		65,000,000		65,000,000
Metropolitan Life Global Funding I
5.35%, 07/03/08^(a)		139,680,000		139,685,571
5.41%, 07/14/08^(a)		40,000,000		40,043,948
Metropolitan Life Insurance Funding
5.43%, 08/01/07^(a)(b)		15,000,000		15,000,000
5.46%, 07/25/07^(a)(b)		50,000,000		50,000,000
Morgan Stanley
5.36%, 07/02/08		100,000,000		100,000,000
Nationwide Building Society
5.37%, 07/03/08^(a)		100,000,000		100,000,000
5.44%, 07/27/08^(a)		50,000,000		50,000,000
Newcastle CDO Ltd.
Series 2005-6A Class IM1
5.34%, 04/24/08^(a)		45,000,000		44,981,973
Newcastle CDO Ltd.
Series 2005-6A Class IM2
5.34%, 01/24/08^(a)		35,000,000		34,996,023


Security	Face Amount		Value
Rabobank Nederland NV
5.32%, 06/13/08^(a)	$	140,000,000	$	140,000,000
Royal Bank of Canada
5.29%, 07/03/08^(a)		100,000,000		100,000,000
Strips III LLC
5.37%, 07/24/07^(a)		16,805,783		16,805,783
Tango Finance Corp.
5.33%, 07/16/07^(a)		53,000,000		52,999,762
UBS AG/Stamford Branch
5.29%, 06/16/08		100,000,000		100,000,000
Union Hamilton Special Funding LLC
5.36%, 09/28/07^(a)		100,000,000		100,000,000
5.36%, 12/21/07		50,000,000		50,000,000
Wachovia Asset Securitization Inc.
Series 2004-HM1A Class A
5.31%, 07/25/07^(a)		14,754,339		14,754,339
Wachovia Asset Securitization Inc.
Series 2004-HM2A Class AMM
5.31%, 07/25/07^(a)		51,794,966		51,794,966
Wachovia Bank Commercial Mortgage Trust Series 2007-C32 Class A4M
5.32%, 07/15/08^(a)		23,000,000		23,000,000
Wachovia Bank Commercial Mortgage Trust Series 2007-C32 Class AMM
5.34%, 07/15/08^(a)		80,000,000		80,000,000
White Pine Finance LLC
5.28%, 07/16/07^(a)		70,000,000		69,999,384
5.30%, 06/20/08^(a)		35,000,000		34,995,835
5.32%, 08/20/07^(a)		80,000,000		79,996,822
Wind Master Trust
Series 2005-J2A Class A2
5.31%, 07/25/07^(a)		32,870,000		32,870,000
Wind Master Trust
Series 2007-K1
5.32%, 03/25/08^(a)		27,452,000		27,452,000

TOTAL VARIABLE & FLOATING RATE NOTES
(Cost: $3,756,462,391)				3,756,462,391

TOTAL INVESTMENTS IN SECURITIES – 99.75%
(Cost: $9,998,123,402)				9,998,123,402

Other Assets, Less Liabilities – 0.25%				25,328,325

NET ASSETS – 100.00%			$	10,023,451,727

^(a)

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

^(b)

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


Security	Face Amount		Value

REPURCHASE AGREEMENTS – 100.00%
Banc of America Securities LLC Tri-Party 4.00%, dated 6/29/07, due 7/2/07, maturity value $19,406,467 (collateralized by U.S. government obligations, value $19,788,317, 3.00% to 6.25%, 11/15/07 to 8/15/23).	$	19,400,000	$	19,400,000
Credit Suisse First Boston Tri-Party 4.45%, dated 6/29/07, due 7/2/07, maturity value $9,503,523 (collateralized by U.S. government obligations, value $9,691,492, 4.50% to 11.75%, 11/15/12 to 2/15/36).		9,500,000		9,500,000
Goldman Sachs Group Inc. (The) Tri-Party 4.30%, dated 6/29/07, due 7/2/07, maturity value $24,008,600 (collateralized by U.S. government obligations, value $24,480,612, 3.88%, 7/31/07).		24,000,000		24,000,000
Lehman Brothers Holdings Inc. Tri-Party 4.00%, dated 6/29/07, due 7/2/07, maturity value $24,695,229 (collateralized by U.S. government obligations, value $25,182,082, 2.63% to 9.50%, 8/15/07 to 11/15/27).		24,687,000		24,687,000
Merrill Lynch & Co. Inc. Tri-Party 4.00%, dated 6/29/07, due 7/2/07, maturity value $20,006,667 (collateralized by U.S. government obligations, value $20,401,803, 4.25%, 10/5/11).		20,000,000		20,000,000

TOTAL REPURCHASE AGREEMENTS
(Cost: $97,587,000)				97,587,000

TOTAL INVESTMENTS IN SECURITIES – 100.00%
(Cost: $97,587,000)				97,587,000

Other Assets, Less Liabilities – 0.00%				1,332

NET ASSETS – 100.00%			$	97,588,332

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


Government Money Market Master Portfolio
Asset Type	Value			% of Net Assets
Repurchase Agreements	$	62,755,000		100.01	%
Other Net Assets		(6,131	)	(0.01	)

TOTAL	$	62,748,869		100.00	%



Money Market Master Portfolio
Asset Type	Value			% of Net Assets
Commercial Paper	$	11,071,266,296		43.40	%
Variable & Floating Rate Notes		9,007,636,728		35.31
Repurchase Agreements		3,576,599,000		14.02
Medium-Term Notes		1,104,975,432		4.33
Certificates of Deposit		515,000,000		2.02
Time Deposits		189,247,000		0.75
Other Net Assets		44,069,826		0.17

TOTAL	$	25,508,794,282		100.00	%



Prime Money Market Master Portfolio
Asset Type	Value			% of Net Assets
Variable & Floating Rate Notes	$	3,756,462,391		37.48	%
Commercial Paper		2,388,403,268		23.83
Repurchase Agreements		2,290,000,000		22.84
Time Deposits		669,384,000		6.68
Medium-Term Notes		490,077,448		4.89
Certificates of Deposit		403,796,295		4.03
Other Net Assets		25,328,325		0.25

TOTAL	$	10,023,451,727		100.00	%



Treasury Money Market Master Portfolio
Asset Type	Value			% of Net Assets
Repurchase Agreements	$	97,587,000		100.00	%
Other Net Assets		1,332		0.00

TOTAL	$	97,588,332		100.00	%

These tables are not part of the financial statements.

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

The Master Portfolios use the amortized cost method of valuation to determine the value of their portfolio securities in accordance with Rule 2a-7 under the 1940 Act. The amortized cost method, which involves valuing a security at its cost and accreting or amortizing any discount or premium, respectively, over the period until maturity, approximates market value.

Security transactions 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.

In the case of Master Portfolios with only one interestholder, such as the Government Money Market and Treasury Money Market Master Portfolios, MIP believes that such Master Portfolios will not be treated as a separate entity for federal income tax purposes, and, therefore, will not be subject to any federal income tax on their income and gains (if any). Rather, such Master Portfolios’ assets and interest, dividends and gains or losses will be treated as assets and interest, dividends and gains or losses of the interestholders.

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, 2007, the Master Portfolios’ costs of investments for federal income tax purposes were the same as for financial reporting purposes.

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.

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. BGFA has contractually agreed to waive a portion of its advisory fees through April 30, 2009. 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, 2007, BGFA waived and/or credited investment advisory fees of $30,073, $1,895,412, $1,431,368 and $96,178 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.

Income Taxes.” This interpretation prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken in a tax return. It also provides guidance on de-recognition, classification, interest and penalties, accounting in interim periods, disclosure and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006. As of June 30, 2007, management has evaluated the effects of applying the various provisions of FIN 48, and has determined that the Master Portfolios did not have a liability for uncertain tax positions or unrecognized tax benefits.

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 14-15, 2007, 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:

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, over the past several years, BGFA and its affiliates have committed significant resources to the support of 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.

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 ten-year (or since inception) periods ended December 31, 2006, 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 each Master Portfolio outperformed the median performance of the funds in its Lipper Performance Groups over relevant periods. The Board noted that the advisory fees for the Master Portfolios were generally in line with

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

or lower than the advisory fee rates of the funds in their Lipper Expense Groups. The Board also noted that overall expenses for the Master Portfolios were lower than the overall expenses for the funds in their Lipper Expense 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, 2006 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, 2009. 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 funds for which BGFA provides advisory services and/or BGI provides administration services. The Board also discussed BGFA’s contractual and voluntary fee waivers for the Master Portfolios. Based on this review, the Board concluded that the profits to be realized by BGFA and its affiliates under the Advisory Contracts and from other relationships between the Master Portfolios and BGFA and/or its affiliates, if any, were within the range the Board considered reasonable and appropriate.

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 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.

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

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 certain of the Master Portfolios 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 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.

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.

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.

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

There are no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

(a) The President 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.

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.

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.


	Bond Index Master Portfolio		S&P 500 Index Master Portfolio
ASSETS
Investments, at cost:
Unaffiliated issuers	$	103,982,619	$	2,235,590,451
Affiliated issuers (Note 2)		24,622,335		321,011,539

Total cost of investments	$	128,604,954	$	2,556,601,990

Investments in securities, at value (including securities on loan^(a)) (Note 1):
Unaffiliated issuers	$	101,950,416	$	2,763,688,322
Affiliated issuers (Note 2)		24,622,335		321,011,539

Total value of investments		126,572,751		3,084,699,861
Receivables:
Investment securities sold		2,962,513		1,708,139
Dividends and interest		1,046,706		3,282,404

Total Assets		130,581,970		3,089,690,404

LIABILITIES
Payables:
Investment securities purchased		5,471,626		4,205,429
Due to broker – variation margin		—		82,191
Collateral for securities on loan (Note 4)		21,584,230		251,446,245
Investment advisory fees (Note 2)		4,140		111,922
Accrued expenses (Note 2)		27,014		29,986

Total Liabilities		27,087,010		255,875,773

NET ASSETS	$	103,494,960	$	2,833,814,631


	Bond Index Master Portfolio			S&P 500 Index Master Portfolio
NET INVESTMENT INCOME
Dividends from unaffiliated issuers	$	—		$	26,224,105
Interest from unaffiliated issuers		2,627,812			56,079
Interest from affiliated issuers (Note 2)		74,344			1,149,015
Securities lending income from unaffiliated issuers		8,353			97,865
Securities lending income from affiliated issuers (Note 2)		5,206			45,283

Total investment income		2,715,715			27,572,347

EXPENSES (Note 2)
Investment advisory fees		41,614			699,964
Professional fees		15,686			21,785
Independent trustees’ fees		362			7,374

Total expenses		57,662			729,123
Less expense reductions (Note 2)		(16,048	)		(29,159	)

Net expenses		41,614			699,964

Net investment income		2,674,101			26,872,383


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized loss from sale of investments in unaffiliated issuers		(128,802	)		(1,386,808	)
Net realized gain from in-kind redemptions		—			53,910,341
Net realized gain on futures contracts		—			2,558,725
Net change in unrealized appreciation (depreciation) of investments		(1,437,738	)		111,661,626
Net change in unrealized appreciation (depreciation) of futures contracts		—			(1,560,695	)

Net realized and unrealized gain (loss)		(1,566,540	)		165,183,189

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	1,107,561		$	192,055,572


	*Bond Index Master Portfolio*						*S&P 500 Index Master Portfolio*
	For the six months ended June 30, 2007 (Unaudited)			For the year ended December 31, 2006			For the six months ended June 30, 2007 (Unaudited)			For the year ended December 31, 2006
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	2,674,101		$	8,908,965		$	26,872,383		$	48,133,776
Net realized gain (loss)		(128,802	)		(905,036	)		55,082,258			(46,155,589	)
Net change in unrealized appreciation (depreciation)		(1,437,738	)		(365,963	)		110,100,931			364,703,698

Net increase in net assets resulting from operations		1,107,561			7,637,966			192,055,572			366,681,885

Interestholder transactions:
Contributions		13,241,095			27,189,870			405,486,231			725,880,991
Withdrawals		(14,549,385	)		(134,776,793	)		(491,176,502	)		(773,639,196	)

Net decrease in net assets resulting from interestholder transactions		(1,308,290	)		(107,586,923	)		(85,690,271	)		(47,758,205	)

Increase (decrease) in net assets		(200,729	)		(99,948,957	)		106,365,301			318,923,680

NET ASSETS:
Beginning of period		103,695,689			203,644,646			2,727,449,330			2,408,525,650

End of period	$	103,494,960		$	103,695,689		$	2,833,814,631		$	2,727,449,330


*Master Portfolio*	*Tax Cost*		Gross Unrealized Appreciation		*Gross* Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
Bond Index	$	129,319,483	$	380,674	$	(3,127,406	)	$	(2,746,732	)
S&P 500 Index		2,604,285,144		663,493,538		(183,078,821	)		480,414,717


*Master Portfolio*	Securities Lending Agent Fees
Bond Index	$	13,559
S&P 500 Index		143,148


	*U.S. Government Obligations*				*Other Securities*
*Master Portfolio*	*Purchases*		*Sales*		*Purchases*		*Sales*
Bond Index	$	35,285,934	$	32,864,406	$	4,807,265	$	4,387,075
S&P 500 Index		—		—		74,649,818		24,668,028


*Master Portfolio*	Six Months Ended June 30, 2007 (Unaudited)		Year Ended December 31, 2006		Year Ended December 31, 2005		Year Ended December 31, 2004		Year Ended December 31, 2003		Year Ended December 31, 2002
Bond Index
Ratio of expenses to average net assets^(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)	0.11	%	0.10	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets^(a)	5.14	%	4.97	%	4.56	%	4.17	%	4.24	%	5.27	%
Portfolio turnover rate^(b)	36	%	57	%	76	%	148	%	67	%	118	%
Total return	1.03	%^(c)	4.91	%	2.27	%	4.20	%	4.07	%	10.05	%
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	%	0.05	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets^(a)	1.92	%	1.93	%	1.84	%	1.91	%	1.74	%	1.57	%
Portfolio turnover rate^(b)	3	%	14	%	10	%	14	%	8	%	12	%
Total return	6.96	%^(c)	15.75	%	4.87	%	10.82	%	28.52	%	(22.05	)%


	LifePath Retirement Master Portfolio		LifePath 2010 Master Portfolio		LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio		LifePath 2040 Master Portfolio
ASSETS
Investments, at cost:
Affiliated issuers (Note 2)	$	85,743,600	$	322,636,146	$	666,168,471	$	633,319,540	$	437,847,410

Total cost of investments	$	85,743,600	$	322,636,146	$	666,168,471	$	633,319,540	$	437,847,410

Investments, at value (including securities on loan^(a)) (Note 1):
Affiliated issuers (Note 2)	$	98,203,353	$	371,666,117	$	784,913,676	$	729,897,186	$	510,132,012
Affiliated Master Portfolios		208,868,148		635,926,962		1,078,624,015		756,428,382		532,928,001

Total value of investments		307,071,501		1,007,593,079		1,863,537,691		1,486,325,568		1,043,060,013
Receivables:
Investment securities sold		699,195		1,200,000		—		—		750,000
Dividends and interest		114,895		406,495		997,095		878,981		733,307
Contributions		800,288		2,519,118		1,266,831		1,466,526		934,976

Total Assets		308,685,879		1,011,718,692		1,865,801,617		1,488,671,075		1,045,478,296

LIABILITIES
Payables:
Investment securities purchased		870,477		2,909,754		2,519,005		2,395,408		2,735,665
Collateral for securities on loan (Note 4)		14,362,858		91,964,855		195,848,380		245,724,375		129,009,756
Investment advisory fees (Note 2)		4,194		16,783		30,587		21,359		14,071
Withdrawals		—		1,200,000		—		—		750,000
Accrued expenses (Note 2)		23,741		24,293		24,880		24,240		23,972

Total Liabilities		15,261,270		96,115,685		198,422,852		248,165,382		132,533,464

NET ASSETS	$	293,424,609	$	915,603,007	$	1,667,378,765	$	1,240,505,693	$	912,944,832


	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
ASSETS
Investments, at cost:
Unaffiliated issuers	$	1,611,035,589	$	1,397,466,074
Affiliated issuers (Note 2)		199,954,510		298,527,274

Total cost of investments	$	1,810,990,099	$	1,695,993,348

Investments in securities, at value (including securities on loan^(a)) (Note 1):
Unaffiliated issuers	$	1,814,440,995	$	1,373,244,001
Affiliated issuers (Note 2)		199,954,510		298,527,274

Total value of investments		2,014,395,505		1,671,771,275
Deposits with brokers for securities sold short^(b)		—		64,646,699
Cash		—		228,597
Receivables:
Investment securities sold		4,186,190		812,405,328
Dividends and interest		2,313,966		12,194,780
Due from broker – variation margin		—		116,751

Total Assets		2,020,895,661		2,561,363,430

LIABILITIES
Payables:
Investment securities purchased		3,229,982		1,067,656,211
Due to broker – variation margin		53,711		—
Collateral for securities on loan (Note 4)		160,205,728		71,474,666
Open swap contracts (Note 1)		—		1,097,197
Securities sold short, at value (Proceeds: $– and $64,640,865) (Note 1)		—		64,791,354
Investment advisory fees (Note 2)		384,428		274,830
Administration fees (Note 2)		149,421		105,522
Accrued expenses (Note 2)		28,735		31,798

Total Liabilities		164,052,005		1,205,431,578

NET ASSETS	$	1,856,843,656	$	1,355,931,852


	Active Stock Master Portfolio			CoreAlpha Bond Master Portfolio
NET INVESTMENT INCOME
Dividends from unaffiliated issuers	$	17,443,501		$	—
Interest from unaffiliated issuers		43,873			29,090,119
Interest from affiliated issuers (Note 2)		1,168,582			5,526,836
Securities lending income from unaffiliated issuers		51,441			16,005
Securities lending income from affiliated issuers (Note 2)		24,008			12,365

Total investment income		18,731,405			34,645,325

EXPENSES
Investment advisory fees (Note 2)		2,176,324			1,541,361
Administration fees (Note 2)		870,529			616,544
Professional fees (Note 2)		19,371			21,783
Independent trustees’ fees (Note 2)		4,354			3,144
Interest expense on short sales		—			2,663

Total expenses		3,070,578			2,185,495
Less expense reductions (Note 2)		(23,725	)		(24,927	)

Net expenses		3,046,853			2,160,568

Net investment income		15,684,552			32,484,757


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from sale of investments in unaffiliated issuers		71,274,466			(2,315,125	)
Net realized gain (loss) on futures contracts		2,050,643			(4,831,497	)
Net realized gain on swap contracts		—			534,625
Net change in unrealized appreciation (depreciation) of investments		(1,695,014	)		(16,079,878	)
Net change in unrealized appreciation (depreciation) of futures contracts		(355,757	)		204,357
Net change in unrealized appreciation (depreciation) of securities sold short		—			(717,410	)
Net change in unrealized appreciation (depreciation) of swap contracts		—			(653,003	)

Net realized and unrealized gain (loss)		71,274,338			(23,857,931	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	86,958,890		$	8,626,826


	*LifePath Retirement Master Portfolio*						*LifePath 2010 Master Portfolio*
	For the six months ended June 30, 2007 (Unaudited)			For the year ended December 31, 2006			For the six months ended June 30, 2007 (Unaudited)			For the year ended December 31, 2006
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	4,870,462		$	9,558,823		$	13,784,624		$	26,154,449
Net realized gain		1,838,221			5,869,046			7,303,961			21,390,525
Net change in unrealized appreciation (depreciation)		1,272,014			7,446,355			6,387,637			31,358,366

Net increase in net assets resulting from operations		7,980,697			22,874,224			27,476,222			78,903,340

Interestholder transactions:
Contributions		71,377,157			109,551,839			196,408,514			285,815,972
Withdrawals		(46,211,929	)		(102,812,365	)		(95,262,277	)		(243,730,526	)

Net increase in net assets resulting from interestholder transactions		25,165,228			6,739,474			101,146,237			42,085,446

Increase in net assets		33,145,925			29,613,698			128,622,459			120,988,786

NET ASSETS:
Beginning of period		260,278,684			230,664,986			786,980,548			665,991,762

End of period	$	293,424,609		$	260,278,684		$	915,603,007		$	786,980,548



	*LifePath 2020 Master Portfolio*						*LifePath 2030 Master Portfolio*
	For the six months ended June 30, 2007 (Unaudited)			For the year ended December 31, 2006			For the six months ended June 30, 2007 (Unaudited)			For the year ended December 31, 2006
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	19,544,652		$	36,907,011		$	11,348,188		$	21,211,979
Net realized gain		21,964,194			44,950,648			20,714,210			33,851,669
Net change in unrealized appreciation (depreciation)		22,578,854			83,645,833			21,903,340			72,941,295

Net increase in net assets resulting from operations		64,087,700			165,503,492			53,965,738			128,004,943

Interestholder transactions:
Contributions		336,883,570			517,707,844			287,136,727			406,831,899
Withdrawals		(124,745,800	)		(357,147,662	)		(89,237,021	)		(222,941,128	)

Net increase in net assets resulting from interestholder transactions		212,137,770			160,560,182			197,899,706			183,890,771

Increase in net assets		276,225,470			326,063,674			251,865,444			311,895,714

NET ASSETS:
Beginning of period		1,391,153,295			1,065,089,621			988,640,249			676,744,535

End of period	$	1,667,378,765		$	1,391,153,295		$	1,240,505,693		$	988,640,249


	*LifePath 2040 Master Portfolio*
	For the six months ended June 30, 2007 (Unaudited)			For the year ended December 31, 2006
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	6,658,651		$	12,430,609
Net realized gain		18,858,550			24,513,874
Net change in unrealized appreciation (depreciation)		18,502,538			58,768,367

Net increase in net assets resulting from operations		44,019,739			95,712,850

Interestholder transactions:
Contributions		244,888,269			356,970,096
Withdrawals		(84,230,434	)		(180,345,261	)

Net increase in net assets resulting from interestholder transactions		160,657,835			176,624,835

Increase in net assets		204,677,574			272,337,685

NET ASSETS:
Beginning of period		708,267,258			435,929,573

End of period	$	912,944,832		$	708,267,258


	*Active Stock Master Portfolio*						*CoreAlpha Bond Master Portfolio*
	For the six months ended June 30, 2007 (Unaudited)			For the year ended December 31, 2006			For the six months ended June 30, 2007 (Unaudited)			For the year ended December 31, 2006
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	15,684,552		$	22,905,434		$	32,484,757		$	51,401,633
Net realized gain (loss)		73,325,109			73,405,775			(6,611,997	)		(7,462,451	)
Net change in unrealized appreciation (depreciation)		(2,050,771	)		113,998,555			(17,245,934	)		2,231,848

Net increase in net assets resulting from operations		86,958,890			210,309,764			8,626,826			46,171,030

Interestholder transactions:
Contributions		346,392,119			359,796,839			315,997,996			330,412,726
Withdrawals		(138,447,257	)		(196,379,196	)		(51,160,997	)		(379,698,060	)

Net increase (decrease) in net assets resulting from interestholder transactions		207,944,862			163,417,643			264,836,999			(49,285,334	)

Increase (decrease) in net assets		294,903,752			373,727,407			273,463,825			(3,114,304	)

NET ASSETS:
Beginning of period		1,561,939,904			1,188,212,497			1,082,468,027			1,085,582,331

End of period	$	1,856,843,656		$	1,561,939,904		$	1,355,931,852		$	1,082,468,027


*Master Portfolio*	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
LifePath Retirement	3.00	%	11.29	%
LifePath 2010	11.57		31.06
LifePath 2020	31.40		36.55
LifePath 2030	29.09		15.95
LifePath 2040	24.94		5.15


*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


*Master Portfolio*	Investment Advisory Fees Waived/Credited
LifePath Retirement	$	464,130
LifePath 2010		1,403,590
LifePath 2020		2,532,184
LifePath 2030		1,850,603
LifePath 2040		1,365,392


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 Income		*Net Realized* *Gain (Loss)*
LifePath Retirement
iShares Cohen & Steers
Realty Majors Index Fund	70	22	3	89	$	8,058,552	$	61,782	$	81,746
iShares Lehman TIPS
Bond Fund	265	28	12	281		27,788,536		408,479		(55,525	)
iShares MSCI EAFE
Index Fund	343	51	6	388		31,299,748		—		77,464
iShares S&P MidCap 400
Index Fund	119	9	10	118		10,492,811		74,537		101,109
iShares S&P SmallCap 600
Index Fund	75	10	10	75		5,358,736		29,527		102,089
LifePath 2010
iShares Cohen & Steers
Realty Majors Index Fund	243	90	8	325		29,357,628		221,609		215,243
iShares Lehman TIPS
Bond Fund	693	96	14	775		76,735,829		1,081,782		(60,372	)
iShares MSCI EAFE
Index Fund	1,234	193	—	1,427		115,252,732		—		—
iShares S&P MidCap 400
Index Fund	408	29	18	419		37,401,267		265,433		159,695
iShares S&P SmallCap 600
Index Fund	253	35	25	263		18,698,660		102,441		322,423


*Master Portfolio*	Six Months Ended June 30, 2007 (Unaudited)		Year Ended December 31, 2006		Year Ended December 31, 2005		Year Ended December 31, 2004^(a)		Year Ended December 31, 2003		Period Ended December 31, 2002^(b)		Year Ended February 28, 2002
LifePath Retirement
Ratio of expenses to average net assets^(c)(d)	0.28	%	0.28	%	0.31	%	0.31	%	0.35	%	0.35	%	0.46	%
Ratio of expenses to average net assets prior to expense reductions^(c)(e)	0.61	%	0.61	%	0.65	%	0.60	%	n/a		n/a		n/a


	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)	$	—	$	21,888,125,456	$	7,708,123,402	$	—
Repurchase agreements, at value and cost (Note 1)		62,755,000		3,576,599,000		2,290,000,000		97,587,000

Total value of investments	$	62,755,000	$	25,464,724,456	$	9,998,123,402	$	97,587,000
Cash		566		808		847		76
Receivables:
Interest		18,671		45,484,427		25,945,053		22,323
Due from investment adviser		—		—		—		2,190

Total Assets		62,774,237		25,510,209,691		10,024,069,302		97,611,589

LIABILITIES
Payables:
Investment advisory fees (Note 2)		1,906		1,388,263		577,951		—
Accrued expenses (Note 2)		23,462		27,146		39,624		23,257

Total Liabilities		25,368		1,415,409		617,575		23,257

NET ASSETS	$	62,748,869	$	25,508,794,282	$	10,023,451,727	$	97,588,332


	*Government Money Market Master Portfolio*						*Money Market Master Portfolio*
	For the six months ended June 30, 2007 (Unaudited)			For the year ended December 31, 2006			For the six months ended June 30, 2007 (Unaudited)			For the year ended December 31, 2006
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	3,039,456		$	8,595,707		$	327,183,266		$	326,145,594
Net realized gain		—			—			41			1,615

Net increase in net assets resulting from operations		3,039,456			8,595,707			327,183,307			326,147,209

Interestholder transactions:
Contributions		276,969,232			797,609,141			32,113,075,932			38,273,990,665
Withdrawals		(384,544,828	)		(1,033,386,805	)		(13,856,429,846	)		(37,977,755,985	)

Net increase (decrease) in net assets resulting from interestholder transactions		(107,575,596	)		(235,777,664	)		18,256,646,086			296,234,680

Increase (decrease) in net assets		(104,536,140	)		(227,181,957	)		18,583,829,393			622,381,889

NET ASSETS:
Beginning of period		167,285,009			394,466,966			6,924,964,889			6,302,583,000

End of period	$	62,748,869		$	167,285,009		$	25,508,794,282		$	6,924,964,889



	*Prime Money Market Master Portfolio*						*Treasury Money Market Master Portfolio*
	For the six months ended June 30, 2007 (Unaudited)			For the year ended December 31, 2006			For the six months ended June 30, 2007 (Unaudited)			For the year ended December 31, 2006
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	241,990,825		$	505,426,117		$	4,351,637		$	4,303,455
Net realized gain		10,874			65,629			—			—

Net increase in net assets resulting from operations		242,001,699			505,491,746			4,351,637			4,303,455

Interestholder transactions:
Contributions		41,227,808,945			64,798,575,033			479,036,878			778,069,880
Withdrawals		(39,719,441,542	)		(68,524,371,054	)		(571,284,451	)		(700,382,564	)

Net increase (decrease) in net assets resulting from interestholder transactions		1,508,367,403			(3,725,796,021	)		(92,247,573	)		77,687,316

Increase (decrease) in net assets		1,750,369,102			(3,220,304,275	)		(87,895,936	)		81,990,771

NET ASSETS:
Beginning of period		8,273,082,625			11,493,386,900			185,484,268			103,493,497

End of period	$	10,023,451,727		$	8,273,082,625		$	97,588,332		$	185,484,268


Master Investment Portfolio

By:		/s/ H. Michael Williams
		H. Michael Williams, President
		Date: August 28, 2007


By:		/s/ Geoffrey D. Flynn
		Geoffrey D. Flynn, Treasurer and Chief Financial Officer
		Date: August 28, 2007