UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-07332

Barclays Global Investors Funds

(Exact name of registrant as specified in charter)

c/o: Investors Bank & Trust Company

200 Clarendon Street; Boston, MA 02116

(Address of principal executive offices) (Zip code)

The Corporation Trust Company

1209 Orange Street; Wilmington, DE 19801

(Name and address of agent for service)

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

Date of fiscal year end: December 31, 2005

Date of reporting period: December 31, 2005

Item 1. Reports to Stockholders.

TABLE OF CONTENTS

Management’s Discussion of Fund Performance	1
Shareholder Expenses	5
Barclays Global Investors Funds
Financial Statements	6
Financial Highlights	9
Notes to the Financial Statements	11
Report of Independent Registered Public Accounting Firm	14
Tax Information (Unaudited)	15
Trustee Information (Unaudited)	16
Master Investment Portfolio
Schedules of Investments	18
Bond Index Master Portfolio	18
Money Market Master Portfolio	28
S&P 500 Index Master Portfolio	31
Portfolio Allocations (Unaudited)	41
Financial Statements	42
Notes to the Financial Statements	44
Report of Independent Registered Public Accounting Firm	49
Trustee Information (Unaudited)	50

Management’s Discussion of Fund Performance

Bond Index Fund

Performance as of December 31, 2005

Average Annual Total Returns

Bond Index Fund	One-Year	2.12	%
	Five-Year	5.71	%
	Ten-Year	5.81	%

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

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

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

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

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

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

1

Bond Index Fund

Management’s Discussion of Fund Performance (Continued)

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

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

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

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

2

Management’s Discussion of Fund Performance

S&P 500 Stock Fund

Performance as of December 31, 2005

Average Annual Total Returns

S&P 500 Stock Fund	One-Year	4.72	%
	Five-Year	0.34	%
	Ten-Year	8.83	%

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

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

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

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

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

3

S&P 500 Stock Fund

Management’s Discussion of Fund Performance (Continued)

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

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

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

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

4

BARCLAYS GLOBAL INVESTORS FUNDS

Shareholder Expenses

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

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

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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

Fund	Beginning Account Value (July 1, 2005)		Ending Account Value (December 31, 2005)		Annualized Expense Ratio(a)		Expenses Paid During Period(b) (July 1 to December 31, 2005)
Bond Index
Actual	$	1,000.00	$	997.60	0.23	%	$	1.16
Hypothetical (5% return before expenses)		1,000.00		1,024.05	0.23			1.17
Money Market
Actual		1,000.00		1,017.30	0.41			2.08
Hypothetical (5% return before expenses)		1,000.00		1,023.15	0.41			2.09
S&P 500 Stock
Actual		1,000.00		1,056.60	0.20			1.04
Hypothetical (5% return before expenses)		1,000.00		1,024.20	0.20			1.02

^(a) This ratio includes expenses charged to the corresponding Master Portfolio.

^(b) Expenses are calculated using each Fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).

5

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005

	Bond Index Fund			Money Market Fund			S&P 500 Stock Fund
ASSETS
Investments:
In corresponding Master Portfolio, at value (Note 1)	$	203,644,433		$	218,974,161		$	307,962,783
Receivables:
Capital shares sold		296,018			—			960,137
Total Assets		203,940,451			218,974,161			308,922,920
LIABILITIES
Payables:
Capital shares redeemed		143,510			—			46,306
Distribution to shareholders		—			723,883			—
Administration fees (Note 2)		25,828			62,302			40,141
Total Liabilities		169,338			786,185			86,447
NET ASSETS	$	203,771,113		$	218,187,976		$	308,836,473
Net assets consist of:
Paid-in capital	$	216,877,017		$	218,187,804		$	627,332,740
Undistributed net investment income		336			396			1,436,880
Accumulated net realized loss		(1,574,576	)		(224	)		(176,989,507	)
Net unrealized depreciation		(11,531,664	)		—			(142,943,640	)
NET ASSETS	$	203,771,113		$	218,187,976		$	308,836,473
Shares outstanding		21,131,567			218,186,130			2,057,904
Net asset value and offering price per share	$	9.64		$	1.00		$	150.07
STATEMENTS OF OPERATIONS
For the Year Ended December 31, 2005
	Bond Index Fund			Money Market Fund			S&P 500 Stock Fund
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Dividends	$	—		$	—		$	6,713,139
Interest		9,722,894			6,131,017			291,132
Expenses		(167,502	)		(97,527	)(a)		(185,243	)
Net investment income allocated from corresponding Master Portfolio		9,555,392			6,033,490			6,819,028
FUND EXPENSES (Note 2)
Administration fees		313,960			640,859			555,980
Total fund expenses		313,960			640,859			555,980
Less administration fees waived		—			(36,621	)		—
Net fund expenses		313,960			604,238			555,980
Net investment income		9,241,432			5,429,252			6,263,048
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Net realized gain (loss)		(299,993	)		805			699,964
Net change in unrealized appreciation (depreciation)		(4,384,158	)		—			8,281,127
Net realized and unrealized gain (loss)		(4,684,151	)		805			8,981,091
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	4,557,281		$	5,430,057		$	15,244,139

^(a) Net of investment advisory fee waivers by the Master Portfolio’s investment adviser in the amount of $85,936.

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

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BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS

	Bond Index Fund						Money Market Fund
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	9,241,432		$	7,927,913		$	5,429,252		$	1,731,094
Net realized gain (loss)		(299,993	)		8,118,035			805			(136	)
Net change in unrealized appreciation (depreciation)		(4,384,158	)		(8,693,681	)		—			—
Net increase in net assets resulting from operations		4,557,281			7,352,267			5,430,057			1,730,958
Distributions to shareholders:
From net investment income		(10,537,601	)		(8,963,990	)		(5,428,856	)		(1,731,094	)
Total distributions to shareholders		(10,537,601	)		(8,963,990	)		(5,428,856	)		(1,731,094	)
Capital share transactions:
Proceeds from shares sold		46,271,967			84,630,911			826,965,043			877,010,295
Net asset value of shares issued in reinvestment of dividends and distributions		9,795,669			7,550,832			731			14,113
Cost of shares redeemed		(63,329,532	)		(51,773,654	)		(798,652,832	)		(690,103,877	)
Net increase (decrease) in net assets resulting from capital share transactions		(7,261,896	)		40,408,089			28,312,942			186,920,531
Increase (decrease) in net assets		(13,242,216	)		38,796,366			28,314,143			186,920,395
NET ASSETS:
Beginning of year		217,013,329			178,216,963			189,873,833			2,953,438
End of year	$	203,771,113		$	217,013,329		$	218,187,976		$	189,873,833
Undistributed net investment income included in net assets at end of year	$	336		$	—		$	396		$	—
SHARES ISSUED AND REDEEMED:
Shares sold		4,712,208			8,497,466			826,965,043			877,010,295
Shares issued in reinvestment of dividends and distributions		1,002,106			758,903			731			14,113
Shares redeemed		(6,446,746	)		(5,181,715	)		(798,652,832	)		(690,103,877	)
Net increase (decrease) in shares outstanding		(732,432	)		4,074,654			28,312,942			186,920,531

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

7

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	S&P 500 Stock Fund
	For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	6,263,048		$	15,449,357
Net realized gain		699,964			370,773,395
Net change in unrealized appreciation (depreciation)		8,281,127			(304,907,533	)
Net increase in net assets resulting from operations		15,244,139			81,315,219
Distributions to shareholders:
From net investment income		(6,795,594	)		(15,357,653	)
Total distributions to shareholders		(6,795,594	)		(15,357,653	)
Capital share transactions:
Proceeds from shares sold		87,847,489			248,024,277
Net asset value of shares issued in reinvestment of dividends and distributions		4,871,442			12,060,898
Cost of shares redeemed		(232,695,846	)		(1,280,290,918	)
Net decrease in net assets resulting from capital share transactions		(139,976,915	)		(1,020,205,743	)
Decrease in net assets		(131,528,370	)		(954,248,177	)
NET ASSETS:
Beginning of year		440,364,843			1,394,613,020
End of year	$	308,836,473		$	440,364,843
Undistributed net investment income included in net assets at end of year	$	1,436,880		$	1,991,818
SHARES ISSUED AND REDEEMED:
Shares sold		609,365			1,807,245
Shares issued in reinvestment of dividends and distributions		34,075			87,816
Shares redeemed		(1,602,755	)		(9,228,142	)
Net decrease in shares outstanding		(959,315	)		(7,333,081	)

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

8

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

	Bond Index Fund
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Year ended Dec. 31, 2002			Year ended Dec. 31, 2001
Net asset value, beginning of year	$	9.93		$	10.02		$	10.14		$	9.76		$	9.54
Income from investment operations:
Net investment income		0.44			0.45			0.52			0.58			0.53	(a)
Net realized and unrealized gain (loss)		(0.23	)		(0.05	)		(0.13	)		0.36			0.29	(a)
Total from investment operations		0.21			0.40			0.39			0.94			0.82
Less distributions from:
Net investment income		(0.50	)		(0.49	)		(0.51	)		(0.56	)		(0.60	)
Total distributions		(0.50	)		(0.49	)		(0.51	)		(0.56	)		(0.60	)
Net asset value, end of year	$	9.64		$	9.93		$	10.02		$	10.14		$	9.76
Total return		2.12	%		4.05	%		3.92	%		9.90	%		8.80	%
Ratios/Supplemental data:
Net assets, end of year (000s)	$	203,771		$	217,013		$	178,217		$	96,281		$	82,923
Ratio of expenses to average net assets(b)		0.23	%		0.23	%		0.23	%		0.23	%		0.23	%
Ratio of net investment income to average net assets(b)		4.42	%		4.34	%		4.09	%		5.12	%		5.85	%(a)
Portfolio turnover rate(c)		76	%		148	%		67	%		118	%		53	%
	Money Market Fund
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Year ended Dec. 31, 2002			Year ended Dec. 31, 2001
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01			0.01			0.01			0.04
Net realized and unrealized gain		0.00	(d)		0.00	(d)		0.00	(d)		0.00	(d)		0.00	(d)
Total from investment operations		0.03			0.01			0.01			0.01			0.04
Less distributions from:
Net investment income		(0.03	)		(0.01	)		(0.01	)		(0.01	)		(0.04	)
Net realized gain		—			—			(0.00	)(d)		—			—
Total distributions		(0.03	)		(0.01	)		(0.01	)		(0.01	)		(0.04	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total return		2.95	%		1.05	%		0.81	%		1.49	%		3.88	%
Ratios/Supplemental data:
Net assets, end of year (000s)	$	218,188		$	189,874		$	2,953		$	54,370		$	80,918
Ratio of expenses to average net assets(b)		0.38	%		0.38	%		0.45	%		0.45	%		0.45	%
Ratio of expenses to average net assets prior to waived fees(b)		0.45	%		0.45	%		n/a			n/a			n/a
Ratio of net investment income to average net assets(b)		2.97	%		1.12	%		0.90	%		1.51	%		3.80	%
Ratio of net investment income to average net assets prior to waived fees(b)		2.90	%		1.05	%		n/a			n/a			n/a

^(a) Effective January 1, 2001, the Bond Index Fund adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies and began amortizing premiums on debt securities. The effect of this change on the Bond Index Fund for the year ended December 31, 2001 was to decrease net investment income per share by $0.04, increase net realized and unrealized gain (loss) per share by $0.04 and decrease the ratio of net investment income to average net assets from 6.23% to 5.85%.

^(b) These ratios include the Fund’s share of expenses charged to the corresponding Master Portfolio.

^(c) Represents the portfolio turnover rate of the Fund’s corresponding Master Portfolio.

^(d) Rounds to less than $0.01.

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

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BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)

	S&P 500 Stock Fund
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Year ended Dec. 31, 2002			Year ended Dec. 31, 2001 (a)
Net asset value, beginning of year	$	145.95		$	134.74		$	106.71		$	139.28		$	170.64
Income from investment operations:
Net investment income		2.66			3.51			1.86			0.48			1.76
Net realized and unrealized gain (loss)		4.07			10.69			28.06			(32.63	)		(22.96	)
Total from investment operations		6.73			14.20			29.92			(32.15	)		(21.20	)
Less distributions from:
Net investment income		(2.61	)		(2.99	)		(1.89	)		(0.40	)		(1.76	)
Net realized gain		—			—			—			(0.02	)		(8.40	)
Total distributions		(2.61	)		(2.99	)		(1.89	)		(0.42	)		(10.16	)
Net asset value, end of year	$	150.07		$	145.95		$	134.74		$	106.71		$	139.28
Total return		4.72	%		10.67	%		28.37	%		(22.20	)%		(12.11	)%
Ratios/Supplemental data:
Net assets, end of year (000s)	$	308,836		$	440,365		$	1,394,613		$	945,499		$	1,420,520
Ratio of expenses to average net assets(b)		0.20	%		0.20	%		0.20	%		0.20	%		0.20	%
Ratio of net investment income to average net assets(b)		1.69	%		1.63	%		1.59	%		1.41	%		1.15	%
Portfolio turnover rate(c)		10	%		14	%		8	%		12	%		9	%

^(a) Per share amounts have been adjusted to reflect a 0.125 reverse stock split on December 3, 2002.

^(b) These ratios include the Fund’s share of expenses charged to the corresponding Master Portfolio.

^(c) Represents the portfolio turnover rate of the Fund’s corresponding Master Portfolio.

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

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BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

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

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

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

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

INVESTMENT POLICY AND SECURITY VALUATION

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

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

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

SECURITY TRANSACTIONS AND INCOME RECOGNITION

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

DISTRIBUTIONS TO SHAREHOLDERS

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

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

11

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

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

Fund	Undistributed Ordinary Income		Unrealized Depreciation			Capital and Other Losses			Net Distributable Earnings (Accumulated Losses)
Bond Index	$	336	$	(9,248,300	)	$	(3,857,940	)	$	(13,105,904	)
Money Market		396		—			(224	)		172
S&P 500 Stock		1,402,135		(221,473,062	)		(98,425,340	)		(318,496,267	)

The tax character of distributions paid during the years ended December 31, 2005 and December 31, 2004 were as follows:

Fund	2005		2004
Bond Index
Distributions paid from:
Ordinary income	$	10,537,601	$	8,963,990
Total Distributions	$	10,537,601	$	8,963,990
Money Market
Distributions paid from:
Ordinary income	$	5,428,856	$	1,731,094
Total Distributions	$	5,428,856	$	1,731,094
S&P 500 Stock
Distributions paid from:
Ordinary income	$	6,795,594	$	15,357,653
Total Distributions	$	6,795,594	$	15,357,653

FEDERAL INCOME TAXES

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

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

Fund	Expiring 2008		Expiring 2010		Expiring 2011		Expiring 2012		Expiring 2013		Total
Bond Index	$	1,845,447	$	—	$	159,923	$	—	$	1,501,172	$	3,506,542
Money Market		—		—		—		133		—		133
S&P 500 Stock		—		72,553,461		—		1,601,227		21,068,837		95,223,525

Net capital loss carryforwards may be applied against any net realized taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first.

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

12

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

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

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

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

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

3. CAPITAL SHARE TRANSACTIONS

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

13

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

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

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

14

BARCLAYS GLOBAL INVESTORS FUNDS

TAX INFORMATION — UNAUDITED

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

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

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

15

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED

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

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

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

Interested Trustees and Officers

Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
*Lee T. Kranefuss, 1961	Trustee (since 2001), President and Chief Executive Officer (since 2002).	Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Chief Executive Officer (1997-2003) of the Intermediary Investor Business of BGI.	Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.
Michael A. Latham, 1965	Secretary, Treasurer and Chief Financial Officer (since 2003).	Chief Operating Officer (since 2004) of the Intermediary Investor Business of BGI; Director (2000-2004) of Mutual Fund Delivery of the Intermediary Investor Business of BGI.	None.

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

Independent Trustees

Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii.
Jack S. Euphrat, 1922	Trustee (since 1993).	Private Investor.	None.

16

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED (Continued)

Independent Trustees (Continued)

Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
Richard K. Lyons, 1961	Trustee (since 2001).	Executive Associate Dean (since 2005), Sylvan Coleman Chair in Finance (since 2004), Acting Dean (2004-2005) and Professor (since 1993), University of California, Berkeley: Haas School of Business; Consultant for IMF, World Bank, Federal Reserve Bank, and Citibank N.A. (since 2000).	Trustee (since 2001) of MIP; Director (since 2003) of the BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 1995) and Chairman of the Matthews Asian Funds (oversees 8 portfolios); Trustee (since 2000) of iShares Trust; Director (since 2002) of iShares, Inc.
Leo Soong, 1946	Trustee (since 2000).	President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder of Crystal Geyser Water Co. (President through 1999).	Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association.

17

BOND INDEX MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Principal		Value
CORPORATE BONDS & NOTES – 23.32%
AEROSPACE & DEFENSE – 0.36%
Boeing Co. (The)
6.13%, 02/15/33	$	100,000	$	109,948
Lockheed Martin Corp.
8.50%, 12/01/29		100,000		136,297
Northrop Grumman Corp.
7.75%, 03/01/16(1)		200,000		241,199
United Technologies Corp.
5.40%, 05/01/35		150,000		149,477
6.10%, 05/15/12		100,000		106,015
				742,936
AGRICULTURE – 0.05%
Altria Group Inc.
7.00%, 11/04/13		100,000		109,424
				109,424
AIRLINES – 0.10%
Continental Airlines Inc.
6.65%, 09/15/17		205,310		200,628
				200,628
AUTO MANUFACTURERS – 0.27%
DaimlerChrysler N.A. Holding Corp.
7.20%, 09/01/09		350,000		370,141
8.50%, 01/18/31		150,000		181,503
				551,644
BANKS – 3.01%
Abbey National PLC
7.95%, 10/26/29		100,000		129,639
Banco Santander Central Hispano Issuances
7.63%, 09/14/10		150,000		166,126
Bank of America Corp.
6.25%, 04/01/08		250,000		257,023
Bank One Corp.
3.70%, 01/15/08		150,000		146,848
5.90%, 11/15/11		250,000		259,989
FleetBoston Financial Corp.
6.88%, 01/15/28		100,000		115,174
HSBC Holdings PLC
5.25%, 12/12/12		350,000		351,207
Key Bank N.A.
5.80%, 07/01/14		250,000		259,754
KFW International Finance Inc.
3.25%, 03/30/09		500,000		480,040
4.75%, 01/24/07		150,000		149,761
Landwirtschaftliche Rentenbank
3.25%, 06/16/08		100,000		96,627
3.88%, 03/15/10		500,000		484,860
Mellon Funding Corp.
6.38%, 02/15/10		150,000		157,995
National City Bank (Ohio)
4.25%, 01/29/10		500,000		488,778
NationsBank Corp.
7.75%, 08/15/15		250,000		297,178
Royal Bank of Scotland Group PLC
5.00%, 10/01/14		250,000		247,582
Sanwa Bank Ltd.
7.40%, 06/15/11		200,000		220,848
SunTrust Banks Inc.
5.05%, 07/01/07		150,000		150,318
Swiss Bank Corp.
7.00%, 10/15/15		150,000		170,917
US Bank N.A.
6.38%, 08/01/11		250,000		266,958
Wachovia Corp.
5.25%, 08/01/14		450,000		450,597
Wells Fargo & Co.
5.13%, 02/15/07		250,000		250,520
5.38%, 02/07/35		250,000		246,472
Wells Fargo Bank N.A.
7.55%, 06/21/10		250,000		276,120
				6,121,331
BEVERAGES – 0.34%
Anheuser-Busch Companies Inc.
5.05%, 10/15/16		200,000		199,491
Bottling Group LLC
4.63%, 11/15/12		100,000		98,594
Coca-Cola Enterprises Inc.
8.50%, 02/01/22		100,000		131,477
Diageo Capital PLC
7.25%, 11/01/09		250,000		269,073
				698,635
BUILDING MATERIALS – 0.10%
Masco Corp.
5.88%, 07/15/12		200,000		202,851
				202,851
CHEMICALS – 0.18%
Chevron Phillips Chemical Co.
5.38%, 06/15/07		150,000		150,492
Dow Chemical Co. (The)
6.00%, 10/01/12		100,000		105,098
Du Pont (E.I.) de Nemours and Co.
6.88%, 10/15/09		100,000		106,434
				362,024

18

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
COMMERCIAL SERVICES – 0.05%
Cendant Corp.
6.25%, 03/15/10	$	100,000	$	103,484
				103,484
COMPUTERS – 0.20%
Hewlett-Packard Co.
5.50%, 07/01/07		150,000		151,212
International Business Machines Corp.
4.75%, 11/29/12		250,000		247,984
				399,196
COSMETICS & PERSONAL CARE – 0.13%
Procter & Gamble Co.
6.88%, 09/15/09		250,000		267,173
				267,173
DIVERSIFIED FINANCIAL SERVICES – 6.69%
American Express Co.
3.75%, 11/20/07		100,000		98,162
American General Finance Corp.
5.38%, 10/01/12		100,000		100,508
AXA Financial Inc.
7.75%, 08/01/10		150,000		166,095
Bear Stearns Companies Inc. (The)
5.70%, 01/15/07		100,000		100,793
5.70%, 11/15/14		200,000		206,278
Capital One Financial Corp.
5.50%, 06/01/15		250,000		248,537
CIT Group Inc.
7.75%, 04/02/12		150,000		170,120
Citibank Credit Card Issuance Trust Series 2004-A1 Class A1
2.55%, 01/20/09		2,000,000		1,953,346
Citigroup Inc.
3.50%, 02/01/08		500,000		486,779
5.00%, 09/15/14		177,000		174,231
5.63%, 08/27/12		100,000		103,071
6.00%, 02/21/12		150,000		157,431
6.63%, 06/15/32		100,000		112,999
Countrywide Home Loans Inc.
5.63%, 05/15/07		200,000		201,701
Credit Suisse First Boston USA Inc.
4.70%, 06/01/09		250,000		247,985
5.50%, 08/15/13		100,000		102,009
5.75%, 04/15/07		200,000		202,085
6.50%, 01/15/12		150,000		160,467
First Union National Bank
7.74%, 05/17/32		449,830		462,327
General Electric Capital Corp.
5.38%, 03/15/07		500,000		503,140
6.50%, 12/10/07		800,000		824,178
6.75%, 03/15/32		250,000		293,463
General Motors Acceptance Corp.
5.71%, 10/15/38		1,000,000		1,032,704
Goldman Sachs Group Inc.
4.13%, 01/15/08		200,000		196,930
6.13%, 02/15/33		200,000		209,904
6.60%, 01/15/12		325,000		349,111
Household Finance Corp.
5.75%, 01/30/07		200,000		201,649
6.50%, 11/15/08		375,000		390,291
8.00%, 07/15/10		250,000		278,894
John Deere Capital Corp.
7.00%, 03/15/12		150,000		165,676
JP Morgan & Co. Inc.
6.00%, 01/15/09		350,000		359,302
JP Morgan Chase & Co.
5.25%, 05/30/07		150,000		150,680
6.75%, 02/01/11		250,000		267,769
Lehman Brothers Holdings Inc.
4.00%, 01/22/08		150,000		147,516
4.80%, 03/13/14		150,000		146,459
MBNA America Bank N.A.
5.38%, 01/15/08		150,000		151,302
Merrill Lynch & Co. Inc.
3.70%, 04/21/08		350,000		340,999
5.45%, 07/15/14		200,000		203,268
7.00%, 01/15/07		200,000		204,438
Morgan Stanley
4.75%, 04/01/14		200,000		191,813
5.80%, 04/01/07		150,000		151,529
8.00%, 06/15/10		250,000		278,349
National Rural Utilities Cooperative Finance Corp.
7.25%, 03/01/12		200,000		223,057
Nissan Auto Receivables Owner Trust Series 2004-A Class A4
2.76%, 07/15/09		575,000		557,108
SLM Corp.
5.13%, 08/27/12		350,000		350,508
				13,624,961
ELECTRIC – 1.43%
AEP Texas Central Co.
6.65%, 02/15/33		100,000		109,413
Alabama Power Co. Series Q
5.50%, 10/15/17		100,000		101,850
Arizona Public Service Co.
6.50%, 03/01/12		100,000		106,786
Cincinnati Gas & Electric Co.
5.70%, 09/15/12		100,000		102,640
Constellation Energy Group Inc.
7.60%, 04/01/32		100,000		120,303
Consumers Energy Co.
5.00%, 02/15/12		150,000		146,736

19

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
ELECTRIC (Continued)
Dominion Resources Inc.
8.13%, 06/15/10	$	150,000	$	166,722
DTE Energy Co.
7.05%, 06/01/11		150,000		161,627
FirstEnergy Corp.
6.45%, 11/15/11		200,000		211,999
Florida Power & Light Co.
5.63%, 04/01/34		100,000		100,825
MidAmerican Energy Holdings
5.00%, 02/15/14		100,000		97,613
NiSource Finance Corp.
7.88%, 11/15/10		100,000		110,797
Northern States Power Co.
8.00%, 08/28/12		100,000		116,931
Oncor Electric Delivery Co.
6.38%, 05/01/12		150,000		158,174
Ontario Hydro Canada
7.45%, 03/31/13		150,000		174,082
Pacific Gas & Electric Co.
6.05%, 03/01/34		100,000		103,496
PECO Energy Co.
3.50%, 05/01/08		100,000		96,751
Pepco Holdings Inc.
6.45%, 08/15/12		100,000		105,221
Progress Energy Inc.
7.75%, 03/01/31		100,000		119,955
Public Service Electric & Gas Co.
5.13%, 09/01/12		100,000		100,155
Southern California Edison Co.
5.00%, 01/15/16		200,000		197,731
Virginia Electric and Power Co.
4.75%, 03/01/13		200,000		194,248
				2,904,055
ELECTRICAL COMPONENTS & EQUIPMENT – 0.10%
Emerson Electric Co.
4.50%, 05/01/13		200,000		194,276
				194,276
ENVIRONMENTAL CONTROL – 0.06%
USA Waste Services Inc.
7.00%, 07/15/28		100,000		112,665
				112,665
FOOD – 1.01%
Albertson’s Inc.
7.45%, 08/01/29		100,000		92,708
Archer-Daniels-Midland Co.
8.38%, 04/15/17		150,000		189,496
ConAgra Foods Inc.
7.00%, 10/01/28		200,000		217,283
Fred Meyer Inc.
7.45%, 03/01/08		250,000		260,495
General Mills Inc.
5.13%, 02/15/07		150,000		149,871
Kellogg Co.
6.60%, 04/01/11		250,000		267,647
Kraft Foods Inc.
5.63%, 11/01/11		150,000		153,900
Safeway Inc.
7.50%, 09/15/09		285,000		304,400
SUPERVALU Inc.
7.88%, 08/01/09		150,000		158,847
Unilever Capital Corp.
7.13%, 11/01/10		250,000		272,212
				2,066,859
FOREST PRODUCTS & PAPER – 0.37%
International Paper Co.
6.75%, 09/01/11		200,000		212,757
MeadWestvaco Corp.
6.85%, 04/01/12		100,000		106,357
Weyerhaeuser Co.
6.75%, 03/15/12		400,000		424,555
				743,669
GAS – 0.08%
KeySpan Corp.
7.63%, 11/15/10		150,000		166,745
				166,745
HEALTH CARE – PRODUCTS – 0.10%
Johnson & Johnson
4.95%, 05/15/33		200,000		195,012
				195,012
HEALTH CARE – SERVICES – 0.10%
Anthem Inc.
6.80%, 08/01/12		100,000		109,101
UnitedHealth Group Inc.
3.75%, 02/10/09		100,000		96,767
				205,868
INSURANCE – 0.70%
Allstate Corp.
7.20%, 12/01/09		250,000		269,197
American International Group Inc.
4.25%, 05/15/13		150,000		142,669
Berkshire Hathaway Finance Corp.
5.10%, 07/15/14		100,000		100,167
Hartford Life Inc.
7.38%, 03/01/31		100,000		122,228
ING Capital Funding Trust III
8.44%, 10/31/49		100,000		113,704
MetLife Inc.
5.38%, 12/15/12		200,000		204,162

20

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
INSURANCE (Continued)
Progressive Corp. (The)
6.63%, 03/01/29	$	100,000	$	112,543
Prudential Financial Inc.
5.10%, 09/20/14		250,000		248,832
Travelers Property Casualty Corp.
6.38%, 03/15/33		100,000		106,487
				1,419,989
MACHINERY – 0.18%
Caterpillar Inc.
7.25%, 09/15/09		250,000		269,369
General Electric Co.
5.00%, 02/01/13		100,000		99,948
				369,317
MANUFACTURING – 0.10%
Tyco International Group SA
6.38%, 10/15/11		200,000		207,719
				207,719
MEDIA – 0.91%
AOL Time Warner Inc.
6.88%, 05/01/12		350,000		372,568
Clear Channel Communications Inc.
4.25%, 05/15/09		150,000		144,188
Cox Communications Inc. Class A
5.50%, 10/01/15		100,000		97,059
News America Holdings
8.00%, 10/17/16		100,000		117,882
News America Inc.
6.20%, 12/15/34		100,000		99,330
TCI Communications Inc.
8.75%, 08/01/15		350,000		424,093
Time Warner Entertainment Co.
8.38%, 03/15/23		200,000		231,263
Viacom Inc.
5.63%, 08/15/12		200,000		198,572
Walt Disney Co. (The)
7.00%, 03/01/32		150,000		171,838
				1,856,793
MINING – 0.26%
Alcan Inc.
4.88%, 09/15/12		150,000		146,896
Alcoa Inc.
7.38%, 08/01/10		250,000		273,988
BHP Finance (USA) Ltd.
4.80%, 04/15/13		100,000		98,618
				519,502
MULTI-NATIONAL – 1.30%
Asian Development Bank
6.75%, 06/11/07		250,000		257,398
European Investment Bank
2.38%, 06/15/07		700,000		678,843
4.63%, 03/01/07		250,000		249,927
Inter-American Development Bank
7.38%, 01/15/10(1)		750,000		825,416
International Bank for Reconstruction & Development
4.13%, 08/12/09		650,000		643,381
				2,654,965
OIL & GAS – 1.34%
Alberta Energy Co. Ltd.
7.38%, 11/01/31		100,000		122,553
Amerada Hess Corp.
7.30%, 08/15/31		100,000		115,728
Apache Finance Canada
7.75%, 12/15/29		100,000		130,551
Burlington Resources Finance Co.
7.20%, 08/15/31		100,000		123,679
Conoco Funding Co.
6.35%, 10/15/11		300,000		321,443
Devon Financing Corp. ULC
6.88%, 09/30/11		250,000		273,459
Enterprise Products Operating LP
5.60%, 10/15/14		200,000		199,844
Marathon Oil Corp.
6.13%, 03/15/12		150,000		159,057
Norsk Hydro ASA
6.36%, 01/15/09		140,000		145,656
Occidental Petroleum Corp.
7.38%, 11/15/08		100,000		106,821
Pemex Project Funding Master Trust
7.38%, 12/15/14		150,000		166,650
9.88%, 12/02/08(2)		150,000		166,125
Phillips 66 Capital Trust II
8.00%, 01/15/37		250,000		266,075
Texaco Capital Inc.
5.50%, 01/15/09		150,000		153,876
Valero Energy Corp.
6.88%, 04/15/12		250,000		272,409
				2,723,926
PHARMACEUTICALS – 0.34%
Bristol-Myers Squibb Co.
5.75%, 10/01/11		150,000		154,917
Merck & Co. Inc.
5.95%, 12/01/28		100,000		102,553
Pharmacia Corp.
6.50%, 12/01/18		150,000		168,609
Schering-Plough Corp.
6.75%, 12/01/33		100,000		113,870
Wyeth
5.50%, 03/15/13		150,000		152,065
				692,014

21

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
PIPELINES – 0.31%
Duke Capital LLC
5.67%, 08/15/14	$	200,000	$	201,705
Duke Energy Field Services Corp.
7.88%, 08/16/10		150,000		165,891
Kinder Morgan Energy Partners LP
5.35%, 08/15/07		150,000		150,375
KN Energy Inc.
7.25%, 03/01/28		100,000		111,948
				629,919
REAL ESTATE – 0.08%
EOP Operating LP
7.00%, 07/15/11		150,000		160,551
				160,551
REAL ESTATE INVESTMENT TRUSTS – 0.20%
Boston Properties Inc.
6.25%, 01/15/13		200,000		209,810
Simon Property Group LP
5.63%, 08/15/14		200,000		201,360
				411,170
RETAIL – 0.31%
May Department Stores Co. (The)
6.65%, 07/15/24		125,000		131,425
Target Corp.
7.00%, 07/15/31		150,000		181,827
Wal-Mart Stores Inc.
7.55%, 02/15/30		250,000		318,998
				632,250
SAVINGS & LOANS – 0.12%
Washington Mutual Bank
5.65%, 08/15/14		250,000		253,170
				253,170
TELECOMMUNICATIONS – 2.09%
AT&T Wireless Services Inc.
7.88%, 03/01/11		500,000		561,028
BellSouth Corp.
5.20%, 09/15/14		250,000		248,669
6.88%, 10/15/31		150,000		164,657
British Telecom PLC
8.88%, 12/15/30		100,000		133,794
Deutsche Telekom International Finance AG
8.00%, 06/15/10		300,000		340,131
8.25%, 06/15/30		250,000		317,967
France Telecom SA
7.75%, 03/01/11		150,000		167,541
GTE Corp.
7.51%, 04/01/09		150,000		159,240
Koninklijke KPN NV
8.00%, 10/01/10		150,000		164,737
Motorola Inc.
7.63%, 11/15/10		16,000		17,786
SBC Communications Inc.
5.10%, 09/15/14		300,000		293,065
6.25%, 03/15/11		250,000		261,364
Sprint Capital Corp.
6.88%, 11/15/28		150,000		163,904
8.38%, 03/15/12		150,000		173,844
Telecom Italia Capital SA Series B
5.25%, 11/15/13		150,000		147,191
Telefonica Europe BV
8.25%, 09/15/30		150,000		186,458
Verizon Global Funding Corp.
4.38%, 06/01/13		250,000		236,768
Verizon New York Inc.
7.38%, 04/01/32		150,000		157,697
Verizon Pennsylvania Inc.
5.65%, 11/15/11		150,000		149,567
Vodafone Group PLC
7.75%, 02/15/10		200,000		219,053
				4,264,461
TRANSPORTATION – 0.35%
Burlington Northern Santa Fe Corp.
7.13%, 12/15/10		250,000		272,097
Norfolk Southern Corp.
7.70%, 05/15/17		150,000		178,998
Union Pacific Corp.
6.79%, 11/09/07		250,000		258,044
				709,139
TOTAL CORPORATE BONDS & NOTES (Cost: $47,027,198)				47,478,321
COLLATERALIZED MORTGAGE OBLIGATIONS – 2.78%
MORTGAGE-BACKED SECURITIES – 2.78%
Citigroup Commercial Mortgage Trust Series 2005-C3 Class A4
4.86%, 05/15/43		1,000,000		977,362
Credit Suisse First Boston Mortgage Securities Corp. Series 1999-C1 Class A2
7.29%, 09/15/41		800,000		851,204
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CK1 Class A3
6.38%, 12/16/35		1,000,000		1,051,663
JP Morgan Chase Commercial Mortgage Finance Corp. Series 2000-C10 Class A2
7.37%, 08/15/32		800,000		860,767

22

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
MORTGAGE-BACKED SECURITIES (Continued)
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2004-C3 Class A5
4.88%, 01/15/42	$	500,000	$	488,938
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2005-CB11 Class A2
5.02%, 08/12/37		210,000		209,340
Morgan Stanley Capital I Series 2004-HQ3 Class A2
4.05%, 01/13/41		1,180,000		1,137,267
Morgan Stanley Dean Witter Capital I Series 2001-TOP1 Class A3
6.46%, 02/15/33		75,249		76,767
				5,653,308
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost: $5,928,251)				5,653,308
MUNICIPAL DEBT OBLIGATIONS – 0.19%
ILLINOIS – 0.10%
Illinois State, Pension Funding
5.10%, 06/01/33		200,000		197,544
				197,544
NEW JERSEY – 0.09%
New Jersey State Turnpike Authority
4.25%, 01/01/16		200,000		189,907
				189,907
TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost: $374,816)				387,451
FOREIGN GOVERNMENT BONDS & NOTES(3) – 1.44%
British Columbia (Province of)
6.50%, 01/15/26		100,000		119,181
Finland (Republic of)
6.95%, 02/15/26		100,000		123,875
Hydro-Quebec
6.30%, 05/11/11		150,000		160,006
Israel (State of)
4.63%, 06/15/13		100,000		96,689
Italy (Republic of)
6.00%, 02/22/11		450,000		476,576
6.88%, 09/27/23		200,000		238,574
Mexico Government International Bond
9.88%, 01/15/07		100,000		105,300
Nova Scotia (Province of)
5.75%, 02/27/12		150,000		156,797
Ontario (Province of)
5.50%, 10/01/08		200,000		203,871
Quebec (Province of)
5.75%, 02/15/09		150,000		154,383
6.13%, 01/22/11		150,000		158,556
United Mexican States
6.38%, 01/16/13		600,000		637,500
8.13%, 12/30/19		250,000		306,875
TOTAL FOREIGN GOVERNMENT BONDS & NOTES (Cost: $2,846,250)				2,938,183
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 70.91%
MORTGAGE-BACKED SECURITIES – 34.79%
Federal Home Loan Mortgage Corp.
4.00%, 05/01/19		3,444,579		3,288,298
4.50%, 04/01/18		1,372,432		1,338,558
4.50%, 11/01/18		1,049,908		1,023,995
4.50%, 01/01/19		182,004		177,512
4.50%, 02/01/19		2,765,283		2,697,033
5.00%, 10/01/18		1,636,864		1,622,962
5.00%, 10/01/19		1,740,709		1,724,295
5.00%, 02/01/34		804,683		781,840
5.00%, 08/01/35		2,970,936		2,876,238
5.00%, 09/01/35		980,064		948,825
5.00%, 01/01/36(4)		1,000,000		967,812
5.50%, 12/01/18		2,675,140		2,692,112
5.50%, 04/01/33		2,093,037		2,078,951
5.50%, 03/01/34		4,509,624		4,472,644
6.00%, 08/01/34		4,781,242		4,829,437
6.50%, 06/01/31		377,929		388,086
8.00%, 12/01/24		1,026,996		1,098,965
Federal National Mortgage Association
5.00%, 01/01/19		4,301,688		4,261,848
5.00%, 11/01/33		6,877,164		6,687,500
5.00%, 06/01/34		951,704		924,003
5.00%, 02/01/35		1,757,749		1,706,586
5.50%, 07/01/33		5,200,729		5,162,622
5.50%, 03/01/34		97,298		96,438
5.50%, 06/01/34		400,430		396,892
5.50%, 08/01/34		441,846		438,120
5.50%, 09/01/34		551,076		546,208
5.50%, 10/01/34		339,120		336,124
5.50%, 11/01/34		2,541,074		2,518,625
5.50%, 01/01/35		861,770		854,157
5.50%, 10/01/35		1,996,003		1,976,874
6.00%, 07/01/34		1,570,644		1,585,495
6.00%, 09/01/34		2,075,758		2,095,385
6.50%, 01/01/29		4,429,080		4,562,480
7.00%, 02/01/32		384,505		401,255
Government National Mortgage Association
5.50%, 09/15/34		1,704,108		1,715,817
7.50%, 12/15/23		1,487,417		1,575,079
				70,849,071

23

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS – 10.67%
Federal Home Loan Bank
5.75%, 05/15/12	$	700,000	$	737,094
5.95%, 07/28/08		1,500,000		1,540,375
Federal Home Loan Mortgage Corp.
4.00%, 08/17/07		6,000,000		5,929,824
4.88%, 08/16/10		1,500,000		1,487,899
6.25%, 07/15/32(1)		320,000		380,868
Federal National Mortgage Association
4.38%, 09/15/12(1)		1,000,000		977,113
4.63%, 10/15/13		1,000,000		988,039
5.25%, 01/15/09		1,500,000		1,522,893
5.38%, 11/15/11		1,000,000		1,029,357
6.00%, 05/15/08		3,000,000		3,083,991
6.25%, 02/01/11		1,000,000		1,056,110
7.25%, 01/15/10		1,000,000		1,089,581
Financing Corp.
8.60%, 09/26/19		650,000		876,531
Tennessee Valley Authority
6.25%, 12/15/17		400,000		447,376
7.13%, 05/01/30		450,000		584,734
				21,731,785
U.S. GOVERNMENT SECURITIES – 25.45%
U.S. Treasury Bonds
5.38%, 02/15/31(1)		2,120,000		2,381,356
6.25%, 08/15/23		3,000,000		3,582,423
7.25%, 05/15/16(1)		1,000,000		1,227,891
7.63%, 02/15/25		2,100,000		2,893,571
8.00%, 11/15/21		1,000,000		1,377,695
8.75%, 05/15/17(1)		500,000		686,601
8.75%, 05/15/20(1)		2,000,000		2,869,296
12.50%, 08/15/14		400,000		507,391
U.S. Treasury Notes
3.13%, 01/31/07		1,600,000		1,577,626
3.38%, 02/15/08(1)		7,500,000		7,345,605
3.63%, 07/15/09(1)		9,800,000		9,560,361
4.25%, 11/15/14(1)		6,800,000		6,720,841
4.38%, 05/15/07(1)		4,500,000		4,496,310
4.38%, 08/15/12(1)		1,000,000		999,883
4.50%, 11/15/10		1,500,000		1,508,670
4.75%, 05/15/14(1)		1,200,000		1,229,203
5.63%, 05/15/08		800,000		821,813
6.00%, 08/15/09		300,000		316,172
6.50%, 02/15/10		1,600,000		1,725,938
				51,828,646
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost: $144,918,752)				144,409,502
SHORT-TERM INVESTMENTS – 16.34%
CERTIFICATES OF DEPOSIT(5) – 0.73%
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06		83,365		83,365
Credit Suisse First Boston NY
4.03%, 01/04/06		83,365		83,365
First Tennessee Bank
4.18%, 01/26/06		25,843		25,842
Fortis Bank NY
3.83% - 3.84%, 01/25/06		250,096		250,097
Toronto-Dominion Bank
3.94%, 07/10/06		83,365		83,365
Wells Fargo Bank N.A.
4.26% - 4.78%,
01/09/06 - 12/05/06		716,942		716,942
Wilmington Trust Corp.
4.24% - 4.30%,
01/27/06 - 01/31/06		250,096		250,097
				1,493,073
COMMERCIAL PAPER(5) – 3.60%
Amstel Funding Corp.
3.91% - 4.40%,
01/04/06 - 05/08/06		508,529		506,027
Bryant Park Funding LLC
3.92%, 02/22/06		42,545		42,313
CAFCO LLC
4.19% - 4.23%,
01/27/06 - 02/06/06		358,471		357,214
CC USA Inc.
4.23%, 04/21/06		50,019		49,384
Charta LLC
4.25%, 01/26/06		125,048		124,709
Chesham Finance LLC
4.22% - 4.30%,
01/03/06 - 01/30/06		509,071		508,465
CRC Funding LLC
4.19% - 4.25%,
01/27/06 - 02/06/06		613,569		611,531
Dorada Finance Inc.
3.76%, 01/26/06		16,673		16,633
Ebury Finance Ltd.
4.30%, 01/30/06		233,423		232,670
Edison Asset Securitization LLC
4.37%, 05/08/06		83,365		82,100
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		138,387		138,160
Ford Credit Floorplan Motown
4.05%, 01/06/06		333,462		333,349
Galaxy Funding Inc.
4.23%, 04/18/06		47,852		47,261
Gemini Securitization Corp.
4.25%, 01/30/06		83,365		83,100

24

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares or Principal		Value
COMMERCIAL PAPER (Continued)
Georgetown Funding Co. LLC
4.23% - 4.28%,
01/05/06 - 01/19/06	$	816,129	$	815,537
Giro Funding US Corp.
4.23% - 4.24%,
01/09/06 - 01/13/06		141,721		141,602
Grampian Funding LLC
3.84% - 4.41%,
01/31/06 - 05/15/06		250,096		248,250
HSBC PLC
3.88%, 02/03/06		50,019		49,852
Jupiter Securitization Corp.
4.23%, 01/24/06		58,356		58,212
Liberty Street Funding Corp.
4.23%, 01/04/06		66,692		66,684
Lockhart Funding LLC
4.01% - 4.30%,
01/04/06 - 01/23/06		206,746		206,492
Mortgage Interest Networking Trust
4.28% - 4.34%,
01/17/06 - 01/25/06		175,067		174,693
Nordea North America Inc.
4.16%, 04/04/06		175,067		173,226
Prudential Funding LLC
4.27%, 01/17/06		333,462		332,908
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		166,731		165,916
Sedna Finance Inc.
3.92%, 02/21/06		41,683		41,460
Sigma Finance Inc.
4.16%, 04/06/06		100,038		98,963
Solitaire Funding Ltd.
4.24%, 01/23/06		409,041		408,077
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		44,714		44,709
Three Pillars Funding Corp.
4.03% - 4.27%,
01/03/06 - 01/17/06		531,408		531,281
Thunder Bay Funding Inc.
4.22%, 01/13/06		16,673		16,654
Ticonderoga Funding LLC
4.27%, 01/05/06		41,683		41,673
Tulip Funding Corp.
4.25% - 4.28%,
01/03/06 - 01/31/06		586,829		585,359
				7,334,464
LOAN PARTICIPATIONS(5) – 0.04%
Army & Air Force Exchange Service
4.24%, 02/01/06		83,365		83,365
				83,365
MEDIUM-TERM NOTES(5) – 0.28%
Dorada Finance Inc.
3.93%, 07/07/06		51,687		51,684
K2 USA LLC
3.94%, 07/07/06		100,038		100,036
Marshall & Ilsley Bank
5.18%, 12/15/06		166,731		167,275
Toronto-Dominion Bank
3.81%, 06/20/06		208,413		208,423
US Bank N.A.
2.85%, 11/15/06		33,346		32,815
				560,233
MONEY MARKET FUNDS – 0.92%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
4.25%(6)(7)		1,874,504		1,874,504
				1,874,504
REPURCHASE AGREEMENTS(5) – 1.71%
Banc of America Securities LLC
Repurchase Agreement, due 1/3/06, with a maturity value of $ 834,059 and an effective yield of 4.37%.(8)	$	833,654		833,654
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $66,724 and an effective yield of 4.32%.(8)		66,692		66,692
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $1,334,489 and an effective yield of 4.34%.(9)		1,333,846		1,333,846
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $1,251,083 and an effective yield of 4.33%.(9)		1,250,481		1,250,481
				3,484,673
TIME DEPOSITS(5) – 0.66%
UBS AG
4.06%, 01/03/06		1,000,385		1,000,385
Wells Fargo Bank N.A.
4.00%, 01/03/06		345,434		345,434
				1,345,819
VARIABLE & FLOATING RATE NOTES(5) – 8.40%
Allstate Life Global Funding II
4.36% - 4.43%,
11/09/06 - 01/16/07(2)		586,059		586,202
American Express Bank
4.33% - 4.34%,
01/24/06 - 10/25/06		641,913		641,910

25

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
American Express Centurion Bank
4.33% - 4.34%,
06/29/06 - 07/19/06	$	275,106	$	275,105
American Express Credit Corp.
4.39%, 11/06/07		50,019		50,070
ASIF Global Financing
4.34% - 4.55%,
05/30/06 - 08/11/06(2)		541,875		542,102
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(2)		108,375		108,375
Bank of America N.A.
4.31%, 08/10/06		833,654		833,654
Bank of Ireland
4.34%, 12/20/06(2)		166,731		166,731
Bank of Nova Scotia
4.22%, 01/03/06		66,692		66,692
Beta Finance Inc.
4.29% - 4.33%,
04/25/06 - 06/09/06(2)		415,160		415,143
BMW US Capital LLC
4.34%, 12/15/06(2)		166,731		166,731
CC USA Inc.
4.32% - 4.35%,
03/23/06 - 07/14/06(2)		448,506		448,495
Commodore CDO Ltd.
4.56%, 06/13/06(2)		41,683		41,683
Credit Suisse First Boston NY
4.31% - 4.35%
05/09/06 - 07/19/06		583,558		583,558
DEPFA Bank PLC
4.50%, 12/15/06		166,731		166,731
Descartes Funding Trust
4.37%, 11/15/06(2)		75,029		75,029
Dexia Credit Local
4.33%, 08/30/06		83,365		83,354
Dorada Finance Inc.
4.33% - 4.36%,
03/27/06 - 06/26/06(2)		265,102		265,107
Eli Lilly Services Inc.
4.26%, 09/01/06(2)		166,731		166,731
Fairway Finance Corp.
4.32% - 4.42%,
01/18/06 - 01/20/06		166,731		166,730
Fifth Third Bancorp.
4.35%, 11/22/06(2)		333,462		333,462
Five Finance Inc.
4.34% - 4.37%,
02/27/06 - 06/26/06(2)		116,712		116,712
General Electric Capital Corp.
4.44%, 01/09/07		75,029		75,089
Greenwich Capital Holdings Inc.
4.25% - 4.32%,
02/10/06 - 03/02/06		125,048		125,048
Hartford Life Global Funding Trusts
4.36%, 02/17/07		166,731		166,731
HBOS Treasury Services PLC
4.32% - 4.57%,
01/10/06 - 10/24/06		500,192		500,193
Holmes Financing PLC
4.33%, 12/15/06(2)		458,510		458,510
HSBC Bank USA N.A.
4.27% - 4.39%,
05/04/06 - 08/03/06		141,721		141,754
K2 USA LLC
4.25% - 4.36%,
02/15/06 - 09/11/06(2)		483,519		483,501
Leafs LLC
4.37%, 01/20/06 - 02/21/06(2)		174,814		174,814
Links Finance LLC
4.32% - 4.40%,
01/20/06 - 03/15/06(2)		566,885		566,903
Lothian Mortgages PLC
4.37%, 01/24/06(2)		83,365		83,365
Marshall & Ilsley Bank
4.35% - 4.47%,
02/20/06 - 12/15/06		258,433		258,459
Metropolitan Life Global Funding I
4.31% - 4.55%,
08/28/06 - 01/05/07(2)		498,525		498,794
Mound Financing PLC
4.30%, 11/08/06(2)		333,462		333,462
Natexis Banques Populaires
4.35%, 01/12/07(2)		125,048		125,048
National City Bank (Ohio)
4.26%, 01/06/06		83,365		83,365
Nationwide Building Society
4.33% - 4.58%,
01/13/06 - 01/26/07(2)		616,904		616,926
Nordea Bank AB
4.34%, 12/11/06(2)		291,779		291,779
Nordea Bank PLC
4.23%, 10/02/06		100,038		100,021
Northern Rock PLC
4.32%, 11/03/06(2)		200,077		200,084
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06(2)		453,508		453,508
Pfizer Investment Capital PLC
4.33%, 12/15/06(2)		416,827		416,827
Principal Life Income Funding Trusts
4.29%, 05/10/06		125,048		125,050
Royal Bank of Scotland
4.32% - 4.33%,
06/27/06 - 08/30/06		250,096		250,068

26

BOND INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
Sedna Finance Inc.
4.33% - 4.34%,
01/10/06 - 09/20/06(2)	$	141,721	$	141,720
Sigma Finance Inc.
4.07% - 4.35%,
01/09/06 - 08/15/06(2)		351,802		351,797
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(2)		166,731		166,731
Societe Generale
4.26% - 4.32%,
03/30/06 - 01/02/07(2)		258,433		258,422
Strips III LLC
4.43%, 07/24/06(2)(10)		44,970		44,970
SunTrust Bank
4.19%, 04/28/06		250,096		250,096
Tango Finance Corp.
4.33% - 4.34%,
05/25/06 - 09/27/06(2)		371,810		371,784
Toyota Motor Credit Corp.
4.23% - 4.30%,
01/09/06 - 04/10/06		366,808		366,807
Unicredito Italiano SpA
4.43%, 06/14/06		216,750		216,716
Union Hamilton Special Funding LLC
4.52%, 03/28/06(2)		166,731		166,731
US Bank N.A.
4.31%, 09/29/06		75,029		75,014
Variable Funding Capital Corp.
4.29% - 4.32%,
02/16/06 - 03/13/06		541,875		541,875
Wachovia Asset Securitization Inc.
4.37%, 01/25/06(2)		344,028		344,027
Wells Fargo & Co.
4.36%, 09/15/06(2)		83,365		83,371
WhistleJacket Capital LLC
4.33% - 4.35%,
01/17/06 - 07/28/06(2)		183,404		183,392
White Pine Finance LLC
4.32% - 4.37%,
01/13/06 - 06/20/06(2)		341,798		341,795
Winston Funding Ltd.
4.26%, 01/23/06(2)		119,046		119,046
World Savings Bank
4.29%, 03/09/06		250,096		250,094
				17,103,994
TOTAL SHORT-TERM INVESTMENTS (Cost: $33,280,125)				33,280,125
TOTAL INVESTMENTS IN SECURITIES – 114.98% (Cost: $234,375,392)				234,146,890
Other Assets, Less Liabilities – (14.98)%				(30,502,244	)
NET ASSETS – 100.00%			$	203,644,646

⁽¹⁾ All or a portion of this security represents a security on loan. See Note 4.

⁽²⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽³⁾ Investments are denominated in U.S. dollars.

⁽⁴⁾ To-be-announced (TBA). See Note 1.

⁽⁵⁾ All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

⁽⁶⁾ The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

⁽⁷⁾ The rate quoted is the annualized seven-day yield of the fund at period end.

⁽⁸⁾ Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

⁽⁹⁾ Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

⁽¹⁰⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

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

27

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
CERTIFICATES OF DEPOSIT – 2.54%
HBOS Treasury Services PLC
3.56%, 03/14/06	$	50,000,000	$	50,000,000
3.79%, 06/19/06		50,000,000		49,997,741
Svenska Handelsbanken NY
4.50%, 10/16/06		25,000,000		25,000,000
Toronto-Dominion Bank
3.94%, 07/10/06		35,000,000		35,000,000
TOTAL CERTIFICATES OF DEPOSIT (Cost: $159,997,741)				159,997,741
COMMERCIAL PAPER – 6.31%
Amstel Funding Corp.
4.40%, 05/08/06		50,000,000		49,217,778
CC USA Inc.
3.76%, 01/23/06		50,000,000		49,879,889
3.93%, 02/24/06		65,500,000		65,106,727
4.23%, 04/21/06		45,000,000		44,413,087
Dorada Finance Inc.
3.76%, 01/26/06		10,000,000		9,972,844
Grampian Funding LLC
3.74%, 01/13/06		90,000,000		89,878,450
K2 USA LLC
3.85%, 02/07/06		74,600,000		74,297,227
Sigma Finance Inc.
4.16%, 04/06/06		15,000,000		14,833,600
TOTAL COMMERCIAL PAPER (Cost: $397,599,602)				397,599,602
MEDIUM-TERM NOTES – 1.43%
K2 USA LLC
3.57%, 03/16/06(1)		15,000,000		15,000,000
Marshall & Ilsley Bank
5.18%, 12/15/06		50,000,000		50,159,679
Sigma Finance Inc.
4.50%, 10/16/06(1)		25,000,000		25,000,000
TOTAL MEDIUM-TERM NOTES (Cost: $90,159,679)				90,159,679
TIME DEPOSITS – 6.55%
Branch Banking & Trust
4.02%, 01/03/06		250,000,000		250,000,000
Regions Bank
4.02%, 01/03/06		162,500,000		162,500,000
TOTAL TIME DEPOSITS (Cost: $412,500,000)				412,500,000
VARIABLE & FLOATING RATE NOTES – 65.64%
Allstate Life Global Funding II
4.36%, 12/08/06(1)		11,000,000		11,005,507
4.37%, 11/09/06(1)		20,000,000		20,010,187
4.37%, 12/27/06(1)		50,000,000		50,000,000
4.39%, 01/12/07(1)		35,000,000		35,018,818
4.43%, 01/16/07(1)		25,000,000		25,012,931
American Express Bank
4.33%, 07/19/06		40,000,000		40,000,000
4.34%, 09/27/06		90,000,000		90,000,000
American Express Centurion Bank
4.34%, 06/29/06		35,000,000		35,000,000
4.34%, 09/27/06		60,000,000		60,000,000
American Express Credit Corp.
4.42%, 02/28/06		31,000,000		31,002,173
ANZ National International Ltd.
4.31%, 12/29/06(1)		75,000,000		75,000,000
ASIF Global Financing
4.34%, 08/11/06(1)		25,000,000		25,001,998
4.38%, 01/23/07(1)		75,000,000		74,996,257
4.55%, 05/30/06(1)		61,500,000		61,540,898
4.56%, 12/11/06(1)		90,000,000		90,072,387
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(1)		35,000,000		35,000,000
Bank of Ireland
4.34%, 12/20/06(1)		70,000,000		70,000,000
Bank of Nova Scotia
4.32%, 09/29/06		35,000,000		34,992,555
Banque Nationale de Paris
4.25%, 10/04/06		20,000,000		19,995,934
Beta Finance Inc.
4.33%, 04/25/06(1)		30,000,000		29,997,000
4.33%, 05/25/06(1)		15,000,000		14,999,459
CC USA Inc.
4.32%, 06/15/06(1)		55,000,000		54,997,499
4.33%, 05/25/06(1)		25,000,000		24,998,973
4.34%, 03/23/06(1)		25,000,000		25,000,048
4.35%, 07/14/06(1)		15,000,000		15,001,574
Commodore CDO Ltd. 2003-2A Class A1MM
4.56%, 06/13/06(1)		25,000,000		25,000,000
Credit Suisse First Boston NY
4.31%, 05/09/06		50,000,000		50,000,000
4.35%, 07/19/06		75,000,000		75,000,000
4.35%, 09/26/06		100,000,000		100,000,000
DEPFA Bank PLC
4.50%, 12/15/06		100,000,000		100,000,000
Descartes Funding Trust
4.37%, 11/15/06(1)		45,000,000		45,000,000
Dexia Credit Local
4.33%, 08/30/06		35,000,000		34,995,359
Dorada Finance Inc.
4.33%, 06/26/06(1)		15,000,000		14,999,321

28

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Five Finance Inc.
4.32%, 09/15/06(1)	$	30,000,000	$	29,995,759
4.33%, 05/25/06(1)		22,000,000		21,999,096
4.34%, 06/26/06(1)		14,000,000		13,999,320
Greenwich Capital Holdings Inc.
4.32%, 02/10/06		15,000,000		15,000,000
4.32%, 02/13/06		15,000,000		15,000,000
HBOS Treasury Services PLC
4.57%, 10/24/06(1)		50,000,000		50,000,000
Holmes Financing PLC Series 2005-9 Class 1A
4.36%, 12/15/06(1)		50,000,000		50,000,000
HSBC Bank USA N.A.
4.39%, 05/04/06		15,000,000		15,004,117
ING USA Annuity & Life Insurance Funding Agreement
4.57%, 12/18/06(1)(2)		20,000,000		20,000,000
Jordan Brick Co. Inc.
4.38%, 01/03/06(1)		18,000,000		18,000,000
K2 USA LLC
4.25%, 06/02/06(1)		35,000,000		34,998,533
4.32%, 09/11/06(1)		100,000,000		99,989,630
Lakeline Austin Development Ltd.
4.40%, 01/03/06(1)		9,800,000		9,800,000
Leafs LLC
4.37%, 02/21/06(1)		19,971,050		19,971,050
LEEK Finance Series 14A Class A1
4.37%, 01/23/06		4,835,872		4,835,872
Links Finance LLC
4.32%, 01/20/06(1)		35,000,000		34,999,556
4.32%, 10/16/06(1)		82,000,000		81,990,234
Lothian Mortgages PLC Series 4A Class A1
4.37%, 01/24/06(1)		25,000,000		25,000,000
Marshall & Ilsley Bank
4.35%, 12/15/06		60,000,000		60,000,000
4.47%, 02/20/06		30,000,000		30,004,935
Metropolitan Life Insurance Funding Agreement
4.24%, 07/18/06(1)(2)		25,000,000		25,000,000
Monumental Global Funding II
4.53%, 12/27/06(1)		100,000,000		100,008,042
Natexis Banques Populaires
4.35%, 01/12/07(1)		50,000,000		50,000,000
National City Bank
4.26%, 01/06/06		20,000,000		19,999,917
Nationwide Building Society
4.58%, 10/27/06(1)		100,000,000		100,000,000
Nordea Bank AB
4.34%, 01/11/07(1)		75,000,000		75,000,000
Nordea Bank PLC
4.23%, 10/02/06		75,000,000		74,986,653
Northern Rock PLC
4.32%, 11/03/06(1)		70,000,000		70,000,000
Permanent Financing PLC Series 8 Class 1A
4.32%, 06/12/06(1)		37,000,000		37,000,067
Principal Life Income Funding Trusts
4.30%, 11/13/06		50,000,000		49,998,353
Royal Bank of Scotland
4.23%, 04/05/06		76,250,000		76,241,832
4.33%, 08/30/06		100,000,000		99,986,739
Sedna Finance Inc.
4.34%, 09/20/06(1)		15,000,000		15,000,000
Sigma Finance Inc.
4.00%, 08/11/06(1)		75,000,000		74,976,738
4.33%, 08/15/06(1)		15,000,000		14,999,067
4.35%, 03/20/06(1)		20,000,000		20,000,329
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(1)		50,000,000		50,000,000
Societe Generale
4.26%, 01/02/07(1)		30,000,000		30,000,000
4.30%, 06/13/06		30,000,000		29,997,270
Tango Finance Corp.
4.32%, 06/12/06(1)		50,000,000		49,997,769
4.33%, 05/26/06(1)		15,000,000		14,999,094
4.33%, 09/25/06(1)		30,000,000		29,996,718
Trap Rock Industry Inc.
4.40%, 01/03/06(1)		20,390,000		20,390,000
Travelers Insurance Co. Funding Agreement
4.36%, 02/03/06(1)(2)		50,000,000		50,000,000
4.45%, 08/18/06(1)(2)		50,000,000		50,000,000
Union Hamilton Special Funding LLC
4.52%, 03/28/06(1)		50,000,000		50,000,000
US Bank N.A.
4.31%, 09/29/06		15,000,000		14,997,062
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
4.37%, 01/25/06(1)		65,450,999		65,450,999
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
4.37%, 01/25/06(1)		72,107,202		72,107,202
Westpac Banking Corp.
4.49%, 01/11/07		70,000,000		70,000,000
WhistleJacket Capital LLC
4.32%, 02/15/06(1)		20,000,000		19,999,364
4.33%, 06/22/06(1)		15,000,000		14,999,289
4.33%, 07/28/06(1)		15,000,000		14,997,857
4.33%, 10/16/06(1)		100,000,000		99,991,889
4.33%, 10/20/06(1)		25,000,000		24,994,365
4.33%, 11/22/06(1)		75,000,000		74,981,733
White Pine Finance LLC
4.32%, 03/15/06(1)		46,000,000		45,997,334
4.32%, 07/17/06(1)		50,000,000		49,994,425
4.32%, 09/15/06(1)		46,000,000		45,995,122
Winston Funding Ltd. Series 2003-1 Class A1MA
4.26%, 01/23/06(1)		100,000,000		100,000,000
TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $4,137,312,209)				4,137,312,209

29

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
REPURCHASE AGREEMENTS – 17.29%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $100,045,556 (collateralized by U.S. Government obligations, value $102,000,001, 4.50% to 6.00%, 5/1/33 to 11/1/35).	$	100,000,000	$	100,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,000, 5.00%, 8/1/35 to 1/1/36).		40,000,000		40,000,000
Credit Suisse First Boston Inc. Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,801,003, 4.21% to 4.77%, 1/1/33 to 5/1/35).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,000, 4.25% to 5.19%, 4/1/34 to 9/1/35).		40,000,000		40,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $250,122,222 (collateralized by non-U.S. Government debt securities, value $262,500,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)		250,000,000		250,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,801,409, 2.84% to 5.50%, 4/1/23 to 12/1/35).		40,000,000		40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,993,464, 2.73% to 4.58%, 5/15/07 to 9/25/35).(3)		100,000,000		100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,800,562, 3.15% to 7.41%, 11/1/11 to 6/1/44).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $150,073,167 (collateralized by non-U.S. Government debt securities, value $154,504,756, 4.50% to 8.00%, 12/31/06 to 6/1/25).(2)(3)		150,000,000		150,000,000
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,201,372, 4.00% to 6.00%, 10/25/11 to 5/25/34).		40,000,000		40,000,000
Morgan Stanley Tri-Party Repurchase Agreement, 4.45%, due 1/22/07, maturity value $250,123,611 (collateralized by non-U.S. Government debt securities, value $257,841,442, 0.00% to 10.00%, 1/1/06 to 12/31/35).(2)(3)		250,000,000		250,000,000
TOTAL REPURCHASE AGREEMENTS (Cost: $1,090,000,000)				1,090,000,000
TOTAL INVESTMENTS IN SECURITIES – 99.76% (Cost: $6,287,569,231)				6,287,569,231
Other Assets, Less Liabilities – 0.24%				15,013,769
NET ASSETS – 100.00%			$	6,302,583,000

⁽¹⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽²⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

⁽³⁾ The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

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

30

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Shares	Value
COMMON STOCKS – 99.13%
ADVERTISING – 0.17%
Interpublic Group of Companies Inc.(1)(2)	90,464	$	872,978
Omnicom Group Inc.(2)	38,342		3,264,054
			4,137,032
AEROSPACE & DEFENSE – 1.94%
Boeing Co. (The)	171,213		12,026,000
General Dynamics Corp.	42,588		4,857,161
Goodrich (B.F.) Co.	25,866		1,063,093
L-3 Communications Holdings Inc.(2)	25,357		1,885,293
Lockheed Martin Corp.	75,953		4,832,889
Northrop Grumman Corp.(2)	75,252		4,523,398
Raytheon Co.	94,956		3,812,483
Rockwell Collins Inc.	36,857		1,712,745
United Technologies Corp.	216,045		12,079,076
			46,792,138
AGRICULTURE – 1.82%
Altria Group Inc.	441,116		32,960,188
Archer-Daniels-Midland Co.	138,104		3,405,645
Monsanto Co.	56,792		4,403,084
Reynolds American Inc.	18,240		1,738,819
UST Inc.(2)	34,548		1,410,595
			43,918,331
AIRLINES – 0.10%
Southwest Airlines Co.	147,896		2,429,931
			2,429,931
APPAREL – 0.39%
Coach Inc.(1)	80,321		2,677,902
Jones Apparel Group Inc.	25,021		768,645
Liz Claiborne Inc.(2)	22,513		806,416
Nike Inc. Class B	40,410		3,507,184
Reebok International Ltd.	11,367		661,900
VF Corp.	19,056		1,054,559
			9,476,606
AUTO MANUFACTURERS – 0.34%
Ford Motor Co.(2)	392,715		3,031,760
General Motors Corp.(2)	119,501		2,320,709
Navistar International Corp.(1)(2)	13,503		386,456
PACCAR Inc.	36,030		2,494,357
			8,233,282
AUTO PARTS & EQUIPMENT – 0.17%
Cooper Tire & Rubber Co.(2)	13,285		203,526
Dana Corp.(2)	31,195		223,980
Goodyear Tire & Rubber Co. (The)(1)	36,965		642,452
Johnson Controls Inc.(2)	40,789		2,973,926
			4,043,884
BANKS – 6.26%
AmSouth Bancorp(2)	73,737		1,932,647
Bank of America Corp.	850,776		39,263,312
Bank of New York Co. Inc. (The)	163,568		5,209,641
BB&T Corp.(2)	115,183		4,827,320
Comerica Inc.	35,206		1,998,293
Compass Bancshares Inc.	26,244		1,267,323
Fifth Third Bancorp	117,382		4,427,649
First Horizon National Corp.	26,516		1,019,275
Huntington Bancshares Inc.	48,471		1,151,186
KeyCorp	86,202		2,838,632
M&T Bank Corp.	17,014		1,855,377
Marshall & Ilsley Corp.	44,151		1,900,259
Mellon Financial Corp.	88,384		3,027,152
National City Corp.(2)	117,128		3,931,987
North Fork Bancorp Inc.(2)	100,740		2,756,246
Northern Trust Corp.	39,527		2,048,289
PNC Financial Services Group	61,807		3,821,527
Regions Financial Corp.	96,998		3,313,452
State Street Corp.	69,682		3,863,170
SunTrust Banks Inc.	76,478		5,564,539
Synovus Financial Corp.	65,920		1,780,499
U.S. Bancorp	385,244		11,514,943
Wachovia Corp.	329,375		17,410,763
Wells Fargo & Co.	354,505		22,273,549
Zions Bancorporation	22,022		1,663,982
			150,661,012
BEVERAGES – 2.11%
Anheuser-Busch Companies Inc.	164,327		7,059,488
Brown-Forman Corp. Class B(2)	17,770		1,231,816
Coca-Cola Co. (The)	438,666		17,682,626
Coca-Cola Enterprises Inc.	64,799		1,242,197
Constellation Brands Inc.(1)	41,404		1,086,027
Molson Coors Brewing Co. Class B	12,145		813,594
Pepsi Bottling Group Inc.	29,465		842,994
PepsiCo Inc.	351,755		20,781,685
			50,740,427
BIOTECHNOLOGY – 1.30%
Amgen Inc.(1)	261,435		20,616,764
Biogen Idec Inc.(1)	71,755		3,252,654
Chiron Corp.(1)	23,446		1,042,409
Genzyme Corp.(1)	54,613		3,865,508
MedImmune Inc.(1)	51,935		1,818,764
Millipore Corp.(1)	10,926		721,553
			31,317,652
BUILDING MATERIALS – 0.24%
American Standard Companies Inc.	38,585		1,541,471
Masco Corp.	90,195		2,722,987
Vulcan Materials Co.	21,506		1,457,031
			5,721,489

31

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares	Value
CHEMICALS – 1.41%
Air Products & Chemicals Inc.(2)	47,193	$	2,793,354
Ashland Inc.	15,416		892,586
Dow Chemical Co. (The)(2)	204,332		8,953,828
Du Pont (E.I.) de Nemours and Co.	194,632		8,271,860
Eastman Chemical Co.	17,126		883,530
Ecolab Inc.	39,397		1,428,929
Engelhard Corp.(2)	25,165		758,725
Hercules Inc.(1)	23,272		262,974
International Flavors & Fragrances Inc.	17,485		585,747
PPG Industries Inc.(2)	35,603		2,061,414
Praxair Inc.	68,157		3,609,595
Rohm & Haas Co.	30,762		1,489,496
Sherwin-Williams Co. (The)(2)	24,062		1,092,896
Sigma-Aldrich Corp.(2)	14,283		903,971
			33,988,905
COMMERCIAL SERVICES – 0.87%
Apollo Group Inc. Class A(1)	31,013		1,875,046
Block (H & R) Inc.	69,124		1,696,994
Cendant Corp.	217,772		3,756,567
Convergys Corp.(1)(2)	29,374		465,578
Donnelley (R.R.) & Sons Co.	45,836		1,568,050
Equifax Inc.	27,323		1,038,820
McKesson Corp.(2)	65,053		3,356,084
Moody’s Corp.(2)	52,772		3,241,256
Paychex Inc.	70,944		2,704,385
Robert Half International Inc.(2)	35,903		1,360,365
			21,063,145
COMPUTERS – 3.90%
Affiliated Computer Services Inc. Class A(1)	26,401		1,562,411
Apple Computer Inc.(1)	178,467		12,829,993
Computer Sciences Corp.(1)	39,056		1,977,796
Dell Inc.(1)	499,035		14,966,060
Electronic Data Systems Corp.	110,202		2,649,256
EMC Corp.(1)	507,428		6,911,169
Gateway Inc.(1)(2)	60,571		152,033
Hewlett-Packard Co.	606,794		17,372,512
International Business Machines Corp.	334,814		27,521,711
Lexmark International Inc.(1)	24,844		1,113,757
NCR Corp.(1)	39,034		1,324,814
Network Appliance Inc.(1)	78,602		2,122,254
Sun Microsystems Inc.(1)	721,784		3,024,275
Unisys Corp.(1)	71,074		414,361
			93,942,402
COSMETICS & PERSONAL CARE – 2.10%
Alberto-Culver Co.	16,259		743,849
Avon Products Inc.	97,541		2,784,796
Colgate-Palmolive Co.	109,639		6,013,699
Procter & Gamble Co.	710,376		41,116,563
			50,658,907
DISTRIBUTION & WHOLESALE – 0.12%
Genuine Parts Co.	36,608		1,607,823
Grainger (W.W.) Inc.	16,278		1,157,366
			2,765,189
DIVERSIFIED FINANCIAL SERVICES – 8.33%
American Express Co.	262,951		13,531,458
Ameriprise Financial Inc.	52,348		2,146,268
Bear Stearns Companies Inc. (The)	23,944		2,766,250
Capital One Financial Corp.	63,376		5,475,686
CIT Group Inc.	42,563		2,203,912
Citigroup Inc.	1,072,143		52,031,100
Countrywide Financial Corp.	126,331		4,319,257
E*TRADE Financial Corp.(1)(2)	86,325		1,800,739
Federal Home Loan Mortgage Corp.	146,300		9,560,705
Federal National Mortgage Association	204,931		10,002,682
Federated Investors Inc. Class B	18,262		676,424
Franklin Resources Inc.	31,579		2,968,742
Goldman Sachs Group Inc. (The)	95,609		12,210,225
Janus Capital Group Inc.(2)	46,341		863,333
JP Morgan Chase & Co.	741,202		29,418,307
Lehman Brothers Holdings Inc.	56,858		7,287,490
MBNA Corp.	265,666		7,212,832
Merrill Lynch & Co. Inc.	194,885		13,199,561
Morgan Stanley	228,602		12,970,877
Rowe (T.) Price Group Inc.	27,595		1,987,668
Schwab (Charles) Corp. (The)	219,355		3,217,938
SLM Corp.	88,290		4,863,896
			200,715,350
ELECTRIC – 3.08%
AES Corp. (The)(1)(2)	137,955		2,183,828
Allegheny Energy Inc.(1)	34,279		1,084,930
Ameren Corp.(2)	43,145		2,210,750
American Electric Power Co. Inc.(2)	83,225		3,086,815
CenterPoint Energy Inc.	65,171		837,447
Cinergy Corp.	42,087		1,787,014
CMS Energy Corp.(1)	46,135		669,419
Consolidated Edison Inc.(2)	51,748		2,397,485
Constellation Energy Group Inc.	37,700		2,171,520
Dominion Resources Inc.(2)	73,493		5,673,660
DTE Energy Co.(2)	37,516		1,620,316
Duke Energy Corp.(2)	196,273		5,387,694
Edison International	68,880		3,003,857
Entergy Corp.	43,954		3,017,442
Exelon Corp.	141,393		7,513,624
FirstEnergy Corp.	69,740		3,416,563
FPL Group Inc.	83,496		3,470,094
PG&E Corp.(2)	72,506		2,691,423
Pinnacle West Capital Corp.(2)	20,809		860,452
PPL Corp.	80,307		2,361,026
Progress Energy Inc.(2)	53,163		2,334,919
Public Service Enterprise Group Inc.	53,009		3,443,995
Southern Co. (The)(2)	157,428		5,435,989
TECO Energy Inc.(2)	43,692		750,629

32

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares	Value
ELECTRIC (Continued)
TXU Corp.	102,168	$	5,127,812
Xcel Energy Inc.(2)	84,985		1,568,823
			74,107,526
ELECTRICAL COMPONENTS & EQUIPMENT - 0.34%
American Power Conversion Corp.	36,937		812,614
Emerson Electric Co.	87,085		6,505,249
Molex Inc.(2)	30,864		800,921
			8,118,784
ELECTRONICS – 0.49%
Agilent Technologies Inc.(1)	86,903		2,893,001
Applera Corp. - Applied
Biosystems Group	40,262		1,069,359
Fisher Scientific International Inc.(1)	25,871		1,600,380
Jabil Circuit Inc.(1)	37,083		1,375,408
PerkinElmer Inc.	27,412		645,827
Sanmina-SCI Corp.(1)	109,718		467,399
Solectron Corp.(1)	196,887		720,606
Symbol Technologies Inc.	52,579		674,063
Tektronix Inc.	18,107		510,798
Thermo Electron Corp.(1)	34,130		1,028,337
Waters Corp.(1)	23,757		898,015
			11,883,193
ENGINEERING & CONSTRUCTION– 0.06%
Fluor Corp.	18,302		1,414,013
			1,414,013
ENTERTAINMENT – 0.09%
International Game Technology Inc.(2)	71,766		2,208,957
			2,208,957
ENVIRONMENTAL CONTROL – 0.17%
Allied Waste Industries Inc.(1)(2)	47,565		415,718
Waste Management Inc.	117,317		3,560,571
			3,976,289
FOOD – 1.47%
Albertson’s Inc.	77,836		1,661,799
Campbell Soup Co.	39,798		1,184,786
ConAgra Foods Inc.	109,595		2,222,587
General Mills Inc.	75,518		3,724,548
Heinz (H.J.) Co.	71,259		2,402,853
Hershey Co. (The)(2)	38,580		2,131,545
Kellogg Co.	54,567		2,358,386
Kroger Co.(1)	153,213		2,892,661
McCormick & Co. Inc. NVS(2)	28,126		869,656
Safeway Inc.(2)	94,901		2,245,358
Sara Lee Corp.	161,598		3,054,202
SUPERVALU Inc.	28,633		930,000
Sysco Corp.	131,802		4,092,452
Tyson Foods Inc. Class A(2)	52,902		904,624
Whole Foods Market Inc.	29,146		2,255,609
Wrigley (William Jr.) Co.(2)	38,191		2,539,320
			35,470,386
FOREST PRODUCTS & PAPER – 0.46%
International Paper Co.(2)	103,715		3,485,861
Louisiana-Pacific Corp.(2)	22,787		625,959
MeadWestvaco Corp.	38,657		1,083,556
Plum Creek Timber Co. Inc.	38,807		1,398,992
Temple-Inland Inc.	23,700		1,062,945
Weyerhaeuser Co.(2)	51,607		3,423,608
			11,080,921
GAS – 0.23%
KeySpan Corp.	36,737		1,311,144
Nicor Inc.(2)	9,189		361,220
NiSource Inc.(2)	57,433		1,198,052
Peoples Energy Corp.(2)	7,893		276,808
Sempra Energy	54,318		2,435,619
			5,582,843
HAND & MACHINE TOOLS – 0.11%
Black & Decker Corp.	16,757		1,457,189
Snap-On Inc.(2)	12,087		453,988
Stanley Works (The)	15,628		750,769
			2,661,946
HEALTH CARE – PRODUCTS – 3.48%
Bard (C.R.) Inc.	22,135		1,459,139
Bausch & Lomb Inc.	11,305		767,609
Baxter International Inc.	131,948		4,967,842
Becton, Dickinson & Co.	53,281		3,201,122
Biomet Inc.	52,586		1,923,070
Boston Scientific Corp.(1)	125,496		3,073,397
Guidant Corp.	70,194		4,545,061
Johnson & Johnson	630,210		37,875,621
Medtronic Inc.	256,163		14,747,304
Patterson Companies Inc.(1)	29,090		971,606
St. Jude Medical Inc.(1)	77,531		3,892,056
Stryker Corp.	61,762		2,744,086
Zimmer Holdings Inc.(1)	52,395		3,533,519
			83,701,432
HEALTH CARE – SERVICES – 2.04%
Aetna Inc.	60,725		5,726,975
Coventry Health Care Inc.(1)(2)	34,298		1,953,614
HCA Inc.	89,683		4,528,991
Health Management Associates
Inc. Class A	52,067		1,143,391
Humana Inc.(1)	34,343		1,865,855
Laboratory Corp. of America Holdings(1)	28,381		1,528,317
Manor Care Inc.(2)	16,582		659,466
Quest Diagnostics Inc.	35,342		1,819,406

33

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares	Value
HEALTH CARE – SERVICES (Continued)
Tenet Healthcare Corp.(1)(2)	98,616	$	755,399
UnitedHealth Group Inc.	288,821		17,947,337
WellPoint Inc.(1)	139,789		11,153,764
			49,082,515
HOME BUILDERS – 0.36%
Centex Corp.(2)	27,000		1,930,230
Horton (D.R.) Inc.	57,488		2,054,046
KB Home	16,670		1,211,242
Lennar Corp. Class A	28,984		1,768,604
Pulte Homes Inc.(2)	45,738		1,800,248
			8,764,370
HOME FURNISHINGS – 0.06%
Maytag Corp.	16,562		311,697
Whirlpool Corp.(2)	14,211		1,190,313
			1,502,010
HOUSEHOLD PRODUCTS & WARES– 0.47%
Avery Dennison Corp.(2)	23,279		1,286,630
Clorox Co. (The)	31,964		1,818,432
Fortune Brands Inc.	30,865		2,408,087
Kimberly-Clark Corp.	99,194		5,916,922
			11,430,071
HOUSEWARES – 0.06%
Newell Rubbermaid Inc.	58,078		1,381,095
			1,381,095
INSURANCE – 5.15%
ACE Ltd.	68,165		3,642,738
AFLAC Inc.	105,869		4,914,439
Allstate Corp. (The)	137,654		7,442,952
Ambac Financial Group Inc.(2)	22,443		1,729,458
American International Group Inc.	549,850		37,516,266
AON Corp.	67,609		2,430,544
Chubb Corp.	42,284		4,129,033
CIGNA Corp.	26,757		2,988,757
Cincinnati Financial Corp.	36,861		1,646,949
Genworth Financial Inc. Class A	79,594		2,752,361
Hartford Financial Services Group Inc.	63,563		5,459,426
Jefferson-Pilot Corp.	28,328		1,612,713
Lincoln National Corp.(2)	36,569		1,939,254
Loews Corp.	28,847		2,736,138
Marsh & McLennan Companies Inc.	115,189		3,658,403
MBIA Inc.(2)	28,288		1,701,806
MetLife Inc.	160,309		7,855,141
MGIC Investment Corp.(2)	19,410		1,277,566
Principal Financial Group Inc.(2)	59,512		2,822,654
Progressive Corp. (The)	41,735		4,873,813
Prudential Financial Inc.	107,158		7,842,894
SAFECO Corp.	26,385		1,490,752
St. Paul Travelers Companies Inc.	146,558		6,546,746
Torchmark Corp.(2)	21,911		1,218,252
UNUMProvident Corp.(2)	62,820		1,429,155
XL Capital Ltd. Class A(2)	36,839		2,482,212
			124,140,422
INTERNET – 1.21%
Amazon.com Inc.(1)	64,841		3,057,253
eBay Inc.(1)	241,998		10,466,413
Monster Worldwide Inc.(1)(2)	25,908		1,057,565
Symantec Corp.(1)	228,741		4,002,967
Yahoo! Inc.(1)	267,363		10,475,282
			29,059,480
IRON & STEEL – 0.17%
Allegheny Technologies Inc.	18,373		662,898
Nucor Corp.	33,157		2,212,235
United States Steel Corp.(2)	23,984		1,152,911
			4,028,044
LEISURE TIME – 0.39%
Brunswick Corp.	20,402		829,545
Carnival Corp.	91,666		4,901,381
Harley-Davidson Inc.(2)	58,359		3,004,905
Sabre Holdings Corp.	27,509		663,242
			9,399,073
LODGING – 0.41%
Harrah’s Entertainment Inc.	38,833		2,768,405
Hilton Hotels Corp.	70,038		1,688,616
Marriott International Inc. Class A	35,057		2,347,767
Starwood Hotels & Resorts
Worldwide Inc.(2)	46,341		2,959,336
			9,764,124
MACHINERY – 0.62%
Caterpillar Inc.(2)	144,001		8,318,938
Cummins Inc.(2)	9,840		882,943
Deere & Co.	51,108		3,480,966
Rockwell Automation Inc.	38,157		2,257,368
			14,940,215
MANUFACTURING – 5.54%
Cooper Industries Ltd.	19,465		1,420,945
Danaher Corp.(2)	50,476		2,815,551
Dover Corp.	42,770		1,731,757
Eastman Kodak Co.(2)	60,560		1,417,104
Eaton Corp.	31,247		2,096,361
General Electric Co.	2,238,563		78,461,633
Honeywell International Inc.	178,888		6,663,578
Illinois Tool Works Inc.	43,520		3,829,325
Ingersoll-Rand Co. Class A	70,397		2,841,927
ITT Industries Inc.(2)	19,515		2,006,532
Leggett & Platt Inc.(2)	39,481		906,484

34

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares	Value
MANUFACTURING (Continued)
Pall Corp.	26,133	$	701,932
Parker Hannifin Corp.	25,272		1,666,941
Textron Inc.	28,149		2,166,910
3M Co.	161,171		12,490,752
Tyco International Ltd.(2)	426,863		12,319,266
			133,536,998
MEDIA – 3.12%
Clear Channel Communications Inc.(2)	114,336		3,595,867
Comcast Corp. Class A(1)	460,555		11,956,008
Dow Jones & Co. Inc.	12,839		455,656
Gannett Co. Inc.	51,026		3,090,645
Knight Ridder Inc.(2)	14,592		923,674
McGraw-Hill Companies Inc. (The)	79,298		4,094,156
Meredith Corp.	9,114		477,027
New York Times Co. Class A(2)	30,489		806,434
News Corp. Class A	516,336		8,029,025
Scripps (E.W.) Co. Class A	18,018		865,224
Time Warner Inc.	988,595		17,241,097
Tribune Co.	55,864		1,690,445
Univision Communications
Inc. Class A(1)	47,767		1,403,872
Viacom Inc. Class B	327,796		10,686,150
Walt Disney Co. (The)	408,061		9,781,222
			75,096,502
MINING – 0.65%
Alcoa Inc.	184,130		5,444,724
Freeport-McMoRan Copper & Gold Inc.	38,861		2,090,722
Newmont Mining Corp.(2)	94,521		5,047,421
Phelps Dodge Corp.	21,464		3,088,026
			15,670,893
OFFICE & BUSINESS EQUIPMENT – 0.21%
Pitney Bowes Inc.(2)	48,165		2,034,971
Xerox Corp.(1)(2)	203,014		2,974,155
			5,009,126
OIL & GAS – 7.67%
Amerada Hess Corp.	17,026		2,159,237
Anadarko Petroleum Corp.	50,187		4,755,218
Apache Corp.	69,673		4,773,994
Burlington Resources Inc.	80,239		6,916,602
Chevron Corp.	475,547		26,996,803
ConocoPhillips	293,875		17,097,647
Devon Energy Corp.	94,317		5,898,585
EOG Resources Inc.	51,098		3,749,060
Exxon Mobil Corp.	1,318,606		74,066,099
Kerr-McGee Corp.(2)	24,501		2,226,161
Marathon Oil Corp.(2)	77,538		4,727,492
Murphy Oil Corp.(2)	34,858		1,881,983
Nabors Industries Ltd.(1)	33,390		2,529,293
Noble Corp.	28,914		2,039,594
Occidental Petroleum Corp.	85,091		6,797,069
Rowan Companies Inc.	22,973		818,758
Sunoco Inc.	28,750		2,253,425
Transocean Inc.(1)(2)	69,835		4,866,801
Valero Energy Corp.	130,310		6,723,996
XTO Energy Inc.(2)	76,802		3,374,680
			184,652,497
OIL & GAS SERVICES – 1.28%
Baker Hughes Inc.	72,316		4,395,366
BJ Services Co.	68,117		2,497,850
Halliburton Co.	108,553		6,725,944
National Oilwell Varco Inc.(1)	36,821		2,308,677
Schlumberger Ltd.(2)	124,747		12,119,171
Weatherford International Ltd.(1)(2)	73,466		2,659,469
			30,706,477
PACKAGING & CONTAINERS – 0.13%
Ball Corp.	22,349		887,702
Bemis Co. Inc.	22,374		623,563
Pactiv Corp.(1)	30,929		680,438
Sealed Air Corp.(1)	17,361		975,167
			3,166,870
PHARMACEUTICALS – 5.86%
Abbott Laboratories	328,494		12,952,518
Allergan Inc.	27,819		3,003,339
AmerisourceBergen Corp.	44,006		1,821,848
Bristol-Myers Squibb Co.(2)	414,223		9,518,845
Cardinal Health Inc.	90,628		6,230,675
Caremark Rx Inc.(1)	95,163		4,928,492
Express Scripts Inc.(1)	30,993		2,597,213
Forest Laboratories Inc.(1)	71,598		2,912,607
Gilead Sciences Inc.(1)	96,887		5,099,163
Hospira Inc.(1)	33,918		1,451,012
King Pharmaceuticals Inc.(1)	50,799		859,519
Lilly (Eli) & Co.	240,701		13,621,270
Medco Health Solutions Inc.(1)	65,040		3,629,232
Merck & Co. Inc.	463,093		14,730,988
Mylan Laboratories Inc.	45,974		917,641
Pfizer Inc.	1,561,541		36,415,136
Schering-Plough Corp.	312,777		6,521,400
Watson Pharmaceuticals Inc.(1)	21,838		709,953
Wyeth	284,239		13,094,891
			141,015,742
PIPELINES – 0.28%
Dynegy Inc. Class A(1)(2)	65,377		316,425
El Paso Corp.	139,119		1,691,687
Kinder Morgan Inc.	22,221		2,043,221
Williams Companies Inc.	121,120		2,806,350
			6,857,683

35

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares	Value
REAL ESTATE INVESTMENT TRUSTS – 0.68%
Apartment Investment & Management Co. Class A	20,092	$	760,884
Archstone-Smith Trust(2)	44,750		1,874,578
Equity Office Properties Trust	86,470		2,622,635
Equity Residential(2)	60,881		2,381,665
ProLogis	51,852		2,422,525
Public Storage Inc.	17,690		1,197,967
Simon Property Group Inc.	39,415		3,020,371
Vornado Realty Trust(2)	24,931		2,080,991
			16,361,616
RETAIL – 5.90%
AutoNation Inc.(1)	38,912		845,558
AutoZone Inc.(1)	11,826		1,085,036
Bed Bath & Beyond Inc.(1)	62,729		2,267,653
Best Buy Co. Inc.	86,442		3,758,498
Big Lots Inc.(1)(2)	23,994		288,168
Circuit City Stores Inc.	33,746		762,322
Costco Wholesale Corp.(2)	100,275		4,960,604
CVS Corp.(2)	172,266		4,551,268
Darden Restaurants Inc.(2)	28,097		1,092,411
Dillard’s Inc. Class A(2)	13,546		336,212
Dollar General Corp.	67,445		1,286,176
Family Dollar Stores Inc.(2)	33,427		828,655
Federated Department Stores Inc.	57,569		3,818,552
Gap Inc. (The)	122,270		2,156,843
Home Depot Inc.	450,380		18,231,382
Kohl’s Corp.(1)	72,892		3,542,551
Limited Brands Inc.(2)	74,303		1,660,672
Lowe’s Companies Inc.(2)	165,570		11,036,896
McDonald’s Corp.	266,465		8,985,200
Nordstrom Inc.(2)	46,647		1,744,598
Office Depot Inc.(1)(2)	65,852		2,067,753
OfficeMax Inc.	14,754		374,161
Penney (J.C.) Co. Inc.	49,429		2,748,252
RadioShack Corp.	28,224		593,551
Sears Holdings Corp.(1)	21,245		2,454,435
Staples Inc.	154,808		3,515,690
Starbucks Corp.(1)	162,598		4,879,566
Target Corp.	186,504		10,252,125
Tiffany & Co.	29,961		1,147,207
TJX Companies Inc.(2)	98,064		2,278,027
Walgreen Co.	214,699		9,502,578
Wal-Mart Stores Inc.	529,153		24,764,360
Wendy’s International Inc.	24,500		1,353,870
Yum! Brands Inc.	60,074		2,816,269
			141,987,099
SAVINGS & LOANS – 0.60%
Golden West Financial Corp.(2)	54,176		3,575,616
Sovereign Bancorp Inc.	76,079		1,644,828
Washington Mutual Inc.	209,339		9,106,247
			14,326,691
SEMICONDUCTORS – 3.22%
Advanced Micro Devices Inc.(1)	85,355		2,611,863
Altera Corp.(1)	77,420		1,434,593
Analog Devices Inc.(2)	78,042		2,799,367
Applied Materials Inc.	343,397		6,160,542
Applied Micro Circuits Corp.(1)	65,253		167,700
Broadcom Corp. Class A(1)(2)	61,130		2,882,280
Freescale Semiconductor Inc. Class B(1)	86,687		2,181,912
Intel Corp.	1,277,883		31,895,960
KLA-Tencor Corp.(2)	41,691		2,056,617
Linear Technology Corp.	64,593		2,329,870
LSI Logic Corp.(1)	82,159		657,272
Maxim Integrated Products Inc.	69,271		2,510,381
Micron Technology Inc.(1)	130,412		1,735,784
National Semiconductor Corp.(2)	72,560		1,885,109
Novellus Systems Inc.(1)	28,748		693,402
NVIDIA Corp.(1)	36,076		1,318,939
PMC-Sierra Inc.(1)	37,852		291,839
QLogic Corp.(1)	16,984		552,150
Teradyne Inc.(1)	41,257		601,114
Texas Instruments Inc.	343,162		11,005,205
Xilinx Inc.	73,585		1,855,078
			77,626,977
SOFTWARE – 4.00%
Adobe Systems Inc.	127,179		4,700,536
Autodesk Inc.	48,737		2,093,254
Automatic Data Processing Inc.	122,296		5,612,163
BMC Software Inc.(1)	45,946		941,434
Citrix Systems Inc.(1)	37,101		1,067,767
Computer Associates International Inc.(2)	97,640		2,752,472
Compuware Corp.(1)	81,304		729,297
Electronic Arts Inc.(1)	63,913		3,343,289
First Data Corp.	162,166		6,974,760
Fiserv Inc.(1)	39,373		1,703,670
IMS Health Inc.	48,807		1,216,270
Intuit Inc.(1)	37,712		2,010,050
Mercury Interactive Corp.(1)(2)	18,123		503,638
Microsoft Corp.	1,940,090		50,733,354
Novell Inc.(1)	80,109		707,362
Oracle Corp.(1)	797,508		9,737,573
Parametric Technology Corp.(1)	56,621		345,388
Siebel Systems Inc.(2)	111,425		1,178,877
			96,351,154
TELECOMMUNICATIONS – 5.66%
ADC Telecommunications Inc.(1)	24,377		544,582
Alltel Corp.	81,022		5,112,488
Andrew Corp.(1)	33,783		362,492
AT&T Inc.	828,177		20,282,055
Avaya Inc.(1)	89,879		959,009
BellSouth Corp.	387,190		10,492,849
CenturyTel Inc.(2)	27,546		913,425
CIENA Corp.(1)	119,960		356,281

36

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares or Principal	Value
TELECOMMUNICATIONS (Continued)
Cisco Systems Inc.(1)	1,302,172	$	22,293,185
Citizens Communications Co.	71,691		876,781
Comverse Technology Inc.(1)	42,545		1,131,272
Corning Inc.(1)(2)	322,561		6,341,549
JDS Uniphase Corp.(1)	347,446		819,973
Lucent Technologies Inc.(1)(2)	939,177		2,498,211
Motorola Inc.	527,436		11,914,779
QUALCOMM Inc.	348,216		15,001,145
Qwest Communications International Inc.(1)	327,938		1,852,850
Scientific-Atlanta Inc.	32,372		1,394,262
Sprint Nextel Corp.	625,708		14,616,539
Tellabs Inc.(1)	94,365		1,028,579
Verizon Communications Inc.	585,610		17,638,573
			136,430,879
TEXTILES – 0.05%
Cintas Corp.	29,466		1,213,410
			1,213,410
TOYS, GAMES & HOBBIES – 0.09%
Hasbro Inc.	37,518		757,113
Mattel Inc.(2)	85,357		1,350,348
			2,107,461
TRANSPORTATION – 1.70%
Burlington Northern Santa Fe Corp.	79,014		5,595,771
CSX Corp.	45,883		2,329,480
FedEx Corp.	64,136		6,631,021
Norfolk Southern Corp.	85,949		3,853,094
Ryder System Inc.	13,427		550,776
Union Pacific Corp.	56,042		4,511,941
United Parcel Service Inc. Class B	233,726		17,564,508
			41,036,591
TOTAL COMMON STOCKS (Cost: $2,335,276,700)			2,387,458,057
SHORT-TERM INVESTMENTS – 8.41%
CERTIFICATES OF DEPOSIT(3) – 0.36%
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06	482,541		482,543
Credit Suisse First Boston NY
4.03%, 01/04/06	482,541		482,541
First Tennessee Bank
4.18%, 01/26/06	149,588		149,580
Fortis Bank NY
3.83% - 3.84%, 01/25/06	1,447,622		1,447,623
Toronto-Dominion Bank
3.94%, 07/10/06	482,541		482,541
Wells Fargo Bank N.A.
4.26% - 4.78%,
01/09/06 - 12/05/06	4,149,850		4,149,842
Wilmington Trust Corp.
4.24% - 4.30%,
01/27/06 - 01/31/06	1,447,622		1,447,630
			8,642,300
COMMERCIAL PAPER(3) – 1.76%
Amstel Funding Corp.
3.91% - 4.40%,
01/04/06 - 05/08/06	2,943,498		2,929,026
Bryant Park Funding LLC
3.92%, 02/22/06	246,260		244,919
CAFCO LLC
4.19% - 4.23%,
01/27/06 - 02/06/06	2,074,925		2,067,649
CC USA Inc.
4.23%, 04/21/06	289,524		285,850
Charta LLC
4.25%, 01/26/06	723,811		721,846
Chesham Finance LLC
4.22% - 4.30%,
01/03/06 - 01/30/06	2,946,635		2,943,123
CRC Funding LLC
4.19% - 4.25%,
01/27/06 - 02/06/06	3,551,499		3,539,698
Dorada Finance Inc.
3.76%, 01/26/06	96,508		96,276
Ebury Finance Ltd.
4.30%, 01/30/06	1,351,114		1,346,757
Edison Asset Securitization LLC
4.37%, 05/08/06	482,541		475,219
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06	801,018		799,702
Ford Credit Floorplan Motown
4.05%, 01/06/06	1,930,163		1,929,511
Galaxy Funding Inc.
4.23%, 04/18/06	276,978		273,561
Gemini Securitization Corp.
4.25%, 01/30/06	482,541		481,003
Georgetown Funding Co. LLC
4.23% - 4.28%,
01/05/06 - 01/19/06	4,723,967		4,720,544
Giro Funding US Corp.
4.23% - 4.24%,
01/09/06 - 01/13/06	820,319		819,627
Grampian Funding LLC
3.84% - 4.41%,
01/31/06 - 05/15/06	1,447,622		1,436,937
HSBC PLC
3.88%, 02/03/06	289,524		288,557
Jupiter Securitization Corp.
4.23%, 01/24/06	337,778		336,945
Liberty Street Funding Corp.
4.23%, 01/04/06	386,033		385,987
Lockhart Funding LLC
4.01% - 4.30%,
01/04/06 - 01/23/06	1,196,701		1,195,231

37

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares or Principal		Value
COMMERCIAL PAPER (Continued)
Mortgage Interest Networking Trust
4.28% - 4.34%,
01/17/06 - 01/25/06	$	1,013,335	$	1,011,173
Nordea North America Inc.
4.16%, 04/04/06		1,013,335		1,002,680
Prudential Funding LLC
4.27%, 01/17/06		1,930,163		1,926,958
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		965,081		960,365
Sedna Finance Inc.
3.92%, 02/21/06		241,270		239,983
Sigma Finance Inc.
4.16%, 04/06/06		579,049		572,826
Solitaire Funding Ltd.
4.24%, 01/23/06		2,367,634		2,362,057
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		258,816		258,785
Three Pillars Funding Corp.
4.03% - 4.27%,
01/03/06 - 01/17/06		3,075,927		3,075,196
Thunder Bay Funding Inc.
4.22%, 01/13/06		96,508		96,395
Ticonderoga Funding LLC
4.27%, 01/05/06		241,270		241,213
Tulip Funding Corp.
4.25% - 4.28%,
01/03/06 - 01/31/06		3,396,720		3,388,212
				42,453,811
LOAN PARTICIPATIONS(3) – 0.02%
Army & Air Force Exchange Service
4.24%, 02/01/06		482,541		482,541
				482,541
MEDIUM-TERM NOTES(3) – 0.14%
Dorada Finance Inc.
3.93%, 07/07/06		299,175		299,160
K2 USA LLC
3.94%, 07/07/06		579,049		579,034
Marshall & Ilsley Bank
5.18%, 12/15/06		965,081		968,230
Toronto-Dominion Bank
3.81%, 06/20/06		1,206,352		1,206,406
US Bank N.A.
2.85%, 11/15/06		193,016		189,941
				3,242,771
MONEY MARKET FUNDS – 0.79%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
4.25%(4)(5)		19,124,728		19,124,728
				19,124,728
REPURCHASE AGREEMENTS(3) – 0.84%
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $4,827,750 and an effective yield of 4.37%.(6)	$	4,825,407		4,825,407
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $386,218 and an effective yield of 4.32%.(6)		386,033		386,033
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $7,724,374 and an effective yield of 4.34%.(7)		7,720,651		7,720,651
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $7,241,592 and an effective yield of 4.33%.(7)		7,238,110		7,238,110
				20,170,201
TIME DEPOSITS(3) – 0.32%
UBS AG
4.06%, 01/03/06		5,790,488		5,790,488
Wells Fargo Bank N.A.
4.00%, 01/03/06		1,999,465		1,999,465
				7,789,953
U.S. TREASURY OBLIGATIONS – 0.07%
U.S. Treasury Bill
3.89%, 03/23/06(8)(9)		1,700,000		1,685,281
				1,685,281
VARIABLE & FLOATING RATE NOTES(3) – 4.11%
Allstate Life Global Funding II
4.36% - 4.43%,
11/09/06 - 01/16/07(10)		3,392,261		3,393,090
American Express Bank
4.33% - 4.34%,
01/24/06 - 10/25/06		3,715,563		3,715,545
American Express Centurion Bank
4.33% - 4.34%,
06/29/06 - 07/19/06		1,592,384		1,592,385
American Express Credit Corp.
4.39%, 11/06/07		289,524		289,816
ASIF Global Financing
4.34% - 4.55%,
05/30/06 - 08/11/06(10)		3,136,514		3,137,829
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(10)		627,303		627,303
Bank of America N.A.
4.31%, 08/10/06		4,825,407		4,825,407
Bank of Ireland
4.34%, 12/20/06(10)		965,081		965,081

38

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
Bank of Nova Scotia
4.22%, 01/03/06	$	386,033	$	386,033
Beta Finance Inc.
4.29% - 4.33%,
04/25/06 - 06/09/06(10)		2,403,053		2,402,959
BMW US Capital LLC
4.34%, 12/15/06(10)		965,081		965,081
CC USA Inc.
4.32% - 4.35%,
03/23/06 - 07/14/06(10)		2,596,069		2,596,010
Commodore CDO Ltd.
4.56%, 06/13/06(10)		241,270		241,270
Credit Suisse First Boston NY
4.31% - 4.35%
05/09/06 - 07/19/06		3,377,784		3,377,784
DEPFA Bank PLC
4.50% - 12/15/06		965,081		965,081
Descartes Funding Trust
4.37% - 11/15/06(10)		434,287		434,287
Dexia Credit Local
4.33%, 08/30/06		482,541		482,478
Dorada Finance Inc.
4.33% - 4.36%,
03/27/06 - 06/26/06(10)		1,534,479		1,534,508
Eli Lilly Services Inc.
4.26%, 09/01/06(10)		965,081		965,081
Fairway Finance Corp.
4.32% - 4.42%,
01/18/06 - 01/20/06		965,081		965,080
Fifth Third Bancorp.
4.35%, 11/22/06(10)		1,930,163		1,930,163
Five Finance Inc.
4.34% - 4.37%,
02/27/06 - 06/26/06(10)		675,557		675,557
General Electric Capital Corp.
4.44%, 01/09/07		434,287		434,638
Greenwich Capital Holdings Inc.
4.25% - 4.32%,
02/10/06 - 03/02/06		723,811		723,811
Hartford Life Global Funding Trusts
4.36%, 02/17/07		965,081		965,081
HBOS Treasury Services PLC
4.32% - 4.57%,
01/10/06 - 10/24/06		2,895,244		2,895,243
Holmes Financing PLC
4.33%, 12/15/06(10)		2,653,974		2,653,974
HSBC Bank USA N.A.
4.27% - 4.39%,
05/04/06 - 08/03/06		820,319		820,509
K2 USA LLC
4.25% - 4.36%,
02/15/06 - 09/11/06(10)		2,798,736		2,798,627
Leafs LLC
4.37%, 01/20/06 - 02/21/06(10)		1,011,869		1,011,868
Links Finance LLC
4.32% - 4.40%,
01/20/06 - 03/15/06(10)		3,281,277		3,281,384
Lothian Mortgages PLC
4.37%, 01/24/06(10)		482,541		482,541
Marshall & Ilsley Bank
4.35% - 4.47%,
02/20/06 - 12/15/06		1,495,876		1,496,029
Metropolitan Life Global Funding I
4.31% - 4.55%,
08/28/06 - 01/05/07(10)		2,885,593		2,887,151
Mound Financing PLC
4.30%, 11/08/06(10)		1,930,163		1,930,163
Natexis Banques Populaires
4.35%, 01/12/07(10)		723,811		723,811
National City Bank (Ohio)
4.26%, 01/06/06		482,541		482,539
Nationwide Building Society
4.33% - 4.58%,
01/13/06 - 01/26/07(10)		3,570,801		3,570,925
Nordea Bank AB
4.34%, 12/11/06(10)		1,688,892		1,688,892
Nordea Bank PLC
4.23%, 10/02/06		579,049		578,948
Northern Rock PLC
4.32%, 11/03/06(10)		1,158,098		1,158,137
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06(10)		2,625,021		2,625,022
Pfizer Investment Capital PLC
4.33%, 12/15/06(10)		2,412,703		2,412,703
Principal Life Income Funding Trusts
4.29%, 05/10/06		723,811		723,822
Royal Bank of Scotland
4.32% - 4.33%,
06/27/06 - 08/30/06		1,447,622		1,447,461
Sedna Finance Inc.
4.33% - 4.34%,
01/10/06 - 09/20/06(10)		820,319		820,315
Sigma Finance Inc.
4.07% - 4.35%,
01/09/06 - 08/15/06(10)		2,036,322		2,036,298
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(10)		965,081		965,081
Societe Generale
4.26% - 4.32%,
03/30/06 - 01/02/07(10)		1,495,876		1,495,811
Strips III LLC
4.43%, 07/24/06(10)(11)		260,297		260,297
SunTrust Bank
4.19%, 04/28/06		1,447,622		1,447,622
Tango Finance Corp.
4.33% - 4.34%,
05/25/06 - 09/27/06(10)		2,152,131		2,151,984

39

S&P 500 INDEX MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
Toyota Motor Credit Corp.
4.23% - 4.30%,
01/09/06 - 04/10/06	$	2,123,179	$	2,123,174
Unicredito Italiano SpA
4.43%, 06/14/06		1,254,606		1,254,408
Union Hamilton Special Funding LLC
4.52%, 03/28/06(10)		965,081		965,081
US Bank N.A.
4.31%, 09/29/06		434,287		434,203
Variable Funding Capital Corp.
4.29% - 4.32%,
02/16/06 - 03/13/06		3,136,514		3,136,514
Wachovia Asset Securitization Inc.
4.37%, 01/25/06(10)		1,991,323		1,991,323
Wells Fargo & Co.
4.36%, 09/15/06(10)		482,541		482,573
WhistleJacket Capital LLC
4.33% - 4.35%,
01/17/06 - 07/28/06(10)		1,061,590		1,061,519
White Pine Finance LLC
4.32% - 4.37%,
01/13/06 - 06/20/06(10)		1,978,417		1,978,403
Winston Funding Ltd.
4.26%, 01/23/06(10)		689,068		689,068
World Savings Bank
4.29%, 03/09/06		1,447,622		1,447,608
				99,002,389
TOTAL SHORT-TERM INVESTMENTS (Cost: $202,593,572)				202,593,975
TOTAL INVESTMENTS IN SECURITIES – 107.54% (Cost: $2,537,870,272)				2,590,052,032
Other Assets, Less Liabilities – (7.54)%				(181,526,382	)
NET ASSETS – 100.00%			$	2,408,525,650

NVS Non-Voting Shares

⁽¹⁾ Non-income earning security.

⁽²⁾ All or a portion of this security represents a security on loan. See Note 4.

⁽³⁾ All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

⁽⁴⁾ The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

⁽⁵⁾ The rate quoted is the annualized seven-day yield of the fund at period end.

⁽⁶⁾ Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

⁽⁷⁾ Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

⁽⁸⁾ The rate quoted is the yield to maturity.

⁽⁹⁾ This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio’s holdings of index futures contracts. See Note 1.

⁽¹⁰⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽¹¹⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

As of December 31, 2005, the open futures contracts held by the Master Portfolio were as follows:

Futures Contracts (Expiration Date)	Number of Contracts	Notional Contract Value		Net Unrealized Depreciation
S&P 500 Index (03/17/06)	364	$	22,837,360	$	(377,277	)
				$	(377,277	)

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

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MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2005

Bond Index Master Portfolio

Sector	Value		% of Net Assets
Government	$	79,541,030	39.05	%
Mortgage-Backed Securities		76,502,379	37.57
Financial		21,991,172	10.80
Communications		6,121,254	3.00
Consumer Non-Cyclical		4,338,469	2.12
Energy		3,353,845	1.65
Utilities		3,070,800	1.51
Industrial		2,538,903	1.25
Basic Materials		1,625,195	0.81
Consumer Cyclical		1,384,522	0.68
Technology		399,196	0.20
Short-Term and Other Net Assets		2,777,881	1.36
TOTAL	$	203,644,646	100.00	%

Money Market Master Portfolio

Asset Type	Value		% of Net Assets
Variable & Floating Rate Notes	$	4,137,312,209	65.64	%
Repurchase Agreements		1,090,000,000	17.29
Time Deposits		412,500,000	6.55
Commercial Paper		397,599,602	6.31
Certificates of Deposit		159,997,741	2.54
Medium-Term Notes		90,159,679	1.43
Other Net Assets		15,013,769	0.24
TOTAL	$	6,302,583,000	100.00	%

S&P 500 Index Master Portfolio

Sector/Investment Type	Value			% of Net Assets
Consumer Non-Cyclical	$	518,398,608		21.52	%
Financial		506,205,091		21.02
Industrial		273,248,526		11.34
Technology		272,929,659		11.33
Communications		244,723,893		10.16
Energy		222,216,657		9.23
Consumer Cyclical		205,276,491		8.53
Utilities		79,690,369		3.31
Basic Materials		64,768,763		2.69
Futures Contracts		(377,277	)	(0.02	)
Short-Term and Other Net Assets		21,444,870		0.89
TOTAL	$	2,408,525,650		100.00	%

These tables are not part of the financial statements.

41

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005

	Bond Index Master Portfolio		Money Market Master Portfolio		S&P 500 Index Master Portfolio
ASSETS
Investments, at cost:
Unaffiliated issuers	$	232,500,888	$	6,287,569,231	$	2,518,745,544
Affiliated issuers(a)	$	1,874,504	$	—	$	19,124,728
Investments in securities, at value (including securities on loan(b)) (Note 1):
Unaffiliated issuers	$	228,787,713	$	5,197,569,231	$	2,550,757,103
Affiliated issuers(a)		1,874,504		—		19,124,728
Repurchase agreements, at value (Note 1)		3,484,673		1,090,000,000		20,170,201
Cash		—		3,268		—
Receivables:
Investment securities sold		2,994,069		—		168,514
Dividends and interest		2,162,665		15,549,343		3,308,631
Total Assets		239,303,624		6,303,121,842		2,593,529,177
LIABILITIES
Payables:
Investment securities purchased		4,239,573		—		3,001,210
Due to broker — variation margin		—		—		114,653
Collateral for securities on loan (Note 4)		31,405,621		—		181,783,966
Investment advisory fees (Note 2)		13,784		538,842		103,698
Total Liabilities		35,658,978		538,842		185,003,527
NET ASSETS	$	203,644,646	$	6,302,583,000	$	2,408,525,650

^(a) The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.

^(b) Securities on loan with market values of $30,908,086, $— and $175,893,005, respectively. See Note 4.

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005

	Bond Index Master Portfolio			Money Market Master Portfolio			S&P 500 Index Master Portfolio
NET INVESTMENT INCOME
Dividends from unaffiliated issuers	$	—		$	—		$	43,202,282
Interest from unaffiliated issuers		9,481,346			240,993,254			103,577
Interest from affiliated issuers(a)		187,528			—			1,497,181
Securities lending income(b)		54,042			—			197,608
Total investment income		9,722,916			240,993,254			45,000,648
EXPENSES (Note 2)
Investment advisory fees		167,502			7,249,677			1,188,574
Total expenses		167,502			7,249,677			1,188,574
Less investment advisory fees waived		—			(3,436,517	)		—
Net expenses		167,502			3,813,160			1,188,574
Net investment income		9,555,414			237,180,094			43,812,074
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from sale of investments in unaffiliated issuers		(299,993	)		35,169			(34,203,870	)
Net realized gain from in-kind redemptions		—			—			37,267,402
Net realized gain on futures contracts		—			—			4,340,737
Net change in unrealized appreciation (depreciation) of investments		(4,384,176	)		—			62,101,667
Net change in unrealized appreciation (depreciation) of futures contracts		—			—			(938,565	)
Net realized and unrealized gain (loss)		(4,684,169	)		35,169			68,567,371
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	4,871,245		$	237,215,263		$	112,379,445

^(a) The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.

^(b) Includes income earned from issuers of which the Master Portfolios’ investment adviser is an affiliate. See Note 2.

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

42

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS

	Bond Index Master Portfolio						Money Market Master Portfolio						S&P 500 Index Master Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	9,555,414		$	12,282,381		$	237,180,094		$	75,589,172		$	43,812,074		$	53,575,520
Net realized gain (loss)		(299,993	)		26,489,863			35,169			(3,023	)		7,404,269			538,623,460
Net change in unrealized appreciation (depreciation)		(4,384,176	)		(15,857,497	)		—			—			61,163,102			(290,833,407	)
Net increase in net assets resulting from operations		4,871,245			22,914,747			237,215,263			75,586,149			112,379,445			301,365,573
Interestholder transactions:
Contributions		46,465,907			219,605,684			58,641,619,347			27,939,964,264			749,027,738			820,705,368
Withdrawals		(64,378,783	)		(688,185,575	)		(58,107,077,434	)		(27,213,733,782	)		(859,684,082	)		(2,346,660,989	)
Net increase (decrease) in net assets resulting from interestholder transactions		(17,912,876	)		(468,579,891	)		534,541,913			726,230,482			(110,656,344	)		(1,525,955,621	)
Increase (decrease) in net assets		(13,041,631	)		(445,665,144	)		771,757,176			801,816,631			1,723,101			(1,224,590,048	)
NET ASSETS:
Beginning of year		216,686,277			662,351,421			5,530,825,824			4,729,009,193			2,406,802,549			3,631,392,597
End of year	$	203,644,646		$	216,686,277		$	6,302,583,000		$	5,530,825,824		$	2,408,525,650		$	2,406,802,549

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

43

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company organized as a Delaware statutory trust. As of December 31, 2005, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

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

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

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

SECURITY VALUATION

The securities and other assets of the Bond Index and S&P 500 Index Master Portfolios are generally valued using market valuations. A market valuation generally means a valuation (i) obtained from an exchange, a pricing service or a major market maker (or dealer), (ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service or a major market maker (or dealer) or (iii) based on amortized cost. In the case of shares of funds that are not traded on an exchange, a market valuation means such fund’s published net asset value per share. The investment adviser may use various pricing services or discontinue the use of any pricing service. A price obtained from a pricing service based on such pricing service’s valuation matrix may be considered a market valuation. In the event that current market valuations are not readily available or such valuations do not reflect current market values, the affected investments will be valued using fair value pricing pursuant to the pricing policy and procedures approved by the Board of Trustees of MIP (the “Board”).

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

SECURITY TRANSACTIONS AND INCOME RECOGNITION

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

FEDERAL INCOME TAXES

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

44

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

It is intended that each Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualification not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2005, the aggregate unrealized appreciation and depreciation based on cost for federal income tax purposes for the Master Portfolios were as follows:

Master Portfolio	Tax Cost		Unrealized Appreciation		Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
Bond Index	$	232,092,028	$	2,706,079	$	(651,217	)	$	2,054,862
S&P 500 Index		2,593,214,650		352,850,885		(356,013,503	)		(3,162,618	)

As of December 31, 2005, the Money Market Master Portfolio’s cost of investments for federal income tax purposes was the same as for financial statement purposes.

FUTURES CONTRACTS

The Bond Index and S&P 500 Index Master Portfolios may purchase futures contracts to gain exposure to market changes, as this may be more efficient or cost effective than actually buying the securities. A futures contract is an agreement between two parties to buy and sell a security at a set price on a future date and is exchange-traded. Upon entering into a futures contract, a Master Portfolio is required to pledge to the broker an amount of cash, U.S. Government securities or other high-quality debt and equity securities equal to the minimum “initial margin” requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the Master Portfolio as receivables or payables in the accompanying Statements of Assets and Liabilities. When the contract is closed, the Master Portfolio records a “realized gain (loss) on futures contracts” in its Statement of Operations, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Pursuant to regulations and/or published positions of the U.S. Securities and Exchange Commission (“SEC”), the Master Portfolio is required to segregate cash, U.S. Government securities or high-quality, liquid debt instruments and equity in connection with futures transactions. Risks of entering into futures contracts include the possibility that there may be an illiquid market and that a change in the value of the contracts may not correlate with changes in the value of the underlying securities. The amount at risk for futures contracts may exceed the amount reflected in the financial statements.

The S&P 500 Index Master Portfolio has pledged to brokers U.S. Treasury Bills with a total face amount of $1,700,000 for initial margin requirements.

WHEN ISSUED/TBA TRANSACTIONS

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

REPURCHASE AGREEMENTS

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

45

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with each Master Portfolio, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.08%, 0.10% and 0.05% of the average daily net assets of the Bond Index, Money Market and S&P 500 Index Master Portfolios, respectively, as compensation for investment advisory services. From time to time, BGFA may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGFA waived $3,436,517 in investment advisory fees for the Money Market Master Portfolio. Investors Bank & Trust Company (“IBT”) serves as the custodian and sub-administrator of the Master Portfolios. IBT will not be entitled to receive fees for its custodial services, so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. (“BGI”) for its services as sub-administrator of the Master Portfolios.

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

Pursuant to an exemptive order issued by the SEC, BGI serves as securities lending agent for MIP. BGI is an affiliate of BGFA, the Master Portfolios’ investment adviser. As securities lending agent, BGI receives, as fees, a share of the income earned on investment of the cash collateral received for the loan of securities. For the year ended December 31, 2005, BGI earned securities lending agent fees as follows:

Master Portfolio	Securities Lending Agent Fees
Bond Index	$	54,042
S&P 500 Index		197,608

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

Barclays Global Investors Services (“BGIS”), a subsidiary of BGI, may serve as a broker-dealer for the Master Portfolios. For the year ended December 31, 2005, BGIS did not receive any brokerage commissions from the Master Portfolios.

Pursuant to Rule 17a-7 under the 1940 Act, the S&P 500 Index Master Portfolio executed cross trades for the year ended December 31, 2005. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter, for compliance with the requirements and restrictions set forth by Rule 17a-7.

Pursuant to an exemptive order issued by the SEC, each Master Portfolio may invest in the Institutional Shares of the Government Money Market Fund (“GMMF”), Institutional Money Market Fund (“IMMF”) and Prime Money Market Fund (“PMMF”) of Barclays Global Investors Funds. The GMMF, IMMF and PMMF are feeder funds in a master/feeder fund structure that invest substantially all of their assets in the Government Money Market Master Portfolio, Money Market Master Portfolio and Prime Money Market Master Portfolio, respectively, which are managed by BGFA, the Master Portfolios’ investment adviser. The GMMF, IMMF and PMMF are open-end money market funds available to institutional and accredited investors, including other investment companies managed by BGFA. The GMMF, IMMF and PMMF seek a high level of income consistent with liquidity and the preservation of capital. While the GMMF, IMMF and PMMF do not directly charge an investment advisory fee, the Master Portfolios in which they invest do charge an investment advisory fee. Income distributions from the GMMF, IMMF and PMMF are declared daily and paid monthly from net investment income. Income distributions earned by the Master Portfolios from temporary cash investments or from investment of securities lending collateral are recorded as either interest from affiliated issuers or securities lending income, respectively, in the accompanying Master Portfolios’ Statements of Operations.

46

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

The following table provides information about the investment by each Master Portfolio in shares of issuers of which BGFA is an affiliate for the year ended December 31, 2005, including income earned from these affiliated issuers.

Master Portfolio and Name of Affiliated Issuer	Number of Shares Held Beginning of Year (in 000s)	Gross Additions (in 000s)	Gross Reductions (in 000s)	Number of Shares Held End of Year (in 000s)	Value at End of Year		Interest Income
Bond Index
IMMF	3,744	1,449,247	1,451,116	1,875	$	1,874,504	$	187,528
S&P 500 Index
IMMF	17,466	12,616,569	12,614,910	19,125		19,124,728		1,497,181

During the year ended December 31, 2005, the Bond Index and S&P 500 Index Master Portfolios invested cash collateral from securities on loan in the GMMF, IMMF and PMMF. Due to the nature of the structure of the joint account used for the investment of the collateral for securities on loan, the information reported above for each Master Portfolio does not include the Master Portfolio’s holdings of the GMMF, IMMF and PMMF in connection with the investment of collateral for securities on loan.

Certain officers and trustees of MIP are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of MIP’s outstanding beneficial interests.

3. INVESTMENT PORTFOLIO TRANSACTIONS

Investment transactions (excluding short-term investments) for the Master Portfolios for the year ended December 31, 2005 were as follows:

	U.S. Government Obligations				Other Securities
Master Portfolio	Purchases		Sales		Purchases		Sales
Bond Index	$	146,038,688	$	152,704,785	$	10,192,478	$	11,565,637
S&P 500 Index		—		—		238,771,926		299,483,118

For the year ended December 31, 2005, the S&P 500 Index Master Portfolio paid in-kind redemption proceeds of portfolio securities in the amount of $156,000,305. In-kind redemptions are transactions in which an interestholder in the Master Portfolio redeems interests in the Master Portfolio and the Master Portfolio pays the proceeds of that redemption in the form of portfolio securities, rather than cash. Because capital gains or losses resulting from in-kind redemptions are not taxable to the Master Portfolio, and are not allocated to the other interestholders, the gains or losses are reclassified from accumulated net realized gains or losses to paid-in-capital at the end of the Master Portfolio’s tax year. The net realized gains or losses from in-kind redemptions for the year ended December 31, 2005 are disclosed in the Master Portfolio’s Statement of Operations.

4. PORTFOLIO SECURITIES LOANED

Each Master Portfolio may lend its investment securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Master Portfolio is required to have a value of at least 102% of the market value of the loaned securities plus the interest accrued on such securities, if any, for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan plus accrued interest, if any. The risks to the Master Portfolios of securities lending are that the borrower may not provide additional collateral when required or may not return the securities when due.

As of December 31, 2005, the Bond Index and S&P 500 Index Master Portfolios had loaned securities which were collateralized by cash. Pursuant to an exemptive order issued by the SEC, the cash collateral received was invested in a joint account with other investment funds managed by BGFA. The joint account invests in securities with remaining maturities of 397 days or less, repurchase agreements and money market mutual funds, including money market funds managed by BGFA. Repurchase agreements held in the joint account are fully collateralized by U.S. Government securities and non-U.S. Government debt securities. Income from the joint account is allocated daily to each Master Portfolio, based

47

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

on each Master Portfolio’s portion of the total cash collateral received. The market value of the securities on loan as of December 31, 2005 and the value of the related collateral are disclosed in the Master Portfolios’ Statements of Assets and Liabilities. Securities lending income, which is disclosed in the Master Portfolios’ Statements of Operations, is presented net of rebates paid to, or fees paid by, borrowers.

5. FINANCIAL HIGHLIGHTS

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

Master Portfolio	Year Ended December 31, 2005		Year Ended December 31, 2004		Year Ended December 31, 2003		Year Ended December 31, 2002		Year Ended December 31, 2001
Bond Index
Ratio of expenses to average net assets	0.08	%	0.08	%	0.08	%	0.08	%	0.08	%
Ratio of net investment income to average net assets	4.56	%	4.17	%	4.24	%	5.27	%	5.98	%(a)
Portfolio turnover rate(b)	76	%	148	%	67	%	118	%	53	%
Total return	2.27	%	4.20	%	4.07	%	10.05	%	8.94	%
Money Market
Ratio of expenses to average net assets	0.05	%	0.05	%	0.10	%	0.10	%	0.10	%
Ratio of expenses to average net assets prior to waived fees	0.10	%	0.10	%	n/a		n/a		n/a
Ratio of net investment income to average net assets	3.27	%	1.40	%	1.15	%	1.80	%	3.66	%
Ratio of net investment income to average net assets prior to waived fees	3.22	%	1.35	%	n/a		n/a		n/a
Total return	3.28	%	1.39	%	1.16	%	1.84	%	4.23	%
S&P 500 Index
Ratio of expenses to average net assets	0.05	%	0.05	%	0.05	%	0.05	%	0.05	%
Ratio of net investment income to average net assets	1.84	%	1.91	%	1.74	%	1.57	%	1.31	%
Portfolio turnover rate(b)	10	%	14	%	8	%	12	%	9	%
Total return	4.87	%	10.82	%	28.52	%	(22.05	)%	(11.96	)%

^(a) Effective January 1, 2001, the Bond Index Master Portfolio adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies and began amortizing premiums on debt securities. The effect of this change for the year ended December 31, 2001 for the Bond Index Master Portfolio was to decrease the ratio of net investment income to average net assets from 6.37% to 5.98%.

^(b) Portfolio turnover rates include in-kind transactions, if any.

48

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

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

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

49

MASTER INVESTMENT PORTFOLIO

TRUSTEE INFORMATION — UNAUDITED

The Board of Trustees has responsibility for the overall management and operations of the Master Portfolios. The Trustees and Officers of Master Investment Portfolio (“MIP”) also serve as Trustees and Officers of Barclays Global Investors Funds (“BGIF”). Please see the Trustees Information for BGIF (found elsewhere in this report), for information regarding the Trustees and Officers of MIP.

Additional information about MIP’s Trustees may be found in Part B of each Master Portfolio’s Registration Statement, which is available without charge, upon request, by calling toll-free 1-877-244-1544.

50

TABLE OF CONTENTS

Management’s Discussion of Fund Performance	1
Shareholder Expenses	6
Barclays Global Investors Funds
Financial Statements	8
Financial Highlights	13
Notes to the Financial Statements	18
Report of Independent Registered Public Accounting Firm	23
Tax Information (Unaudited)	24
Trustee Information (Unaudited)	25
Master Investment Portfolio
Schedules of Investments	27
LifePath Retirement Master Portfolio	27
LifePath 2010 Master Portfolio	31
LifePath 2020 Master Portfolio	35
LifePath 2030 Master Portfolio	39
LifePath 2040 Master Portfolio	43
Active Stock Master Portfolio	47
CoreAlpha Bond Master Portfolio	54
Portfolio Allocations (Unaudited)	65
Financial Statements	66
Notes to the Financial Statements	71
Report of Independent Registered Public Accounting Firm	81
Trustee Information (Unaudited)	82

Management’s Discussion of Fund Performance

LifePath^® Portfolios

Performance as of December 31, 2005

Average Annual Total Returns

	One-Year		Five-Year		Ten-Year (1)
Class I Shares
LifePath Retirement Portfolio	4.32	%	4.60	%	5.99	%
LifePath 2010 Portfolio	5.20	%	3.52	%	6.98	%
LifePath 2020 Portfolio	6.54	%	2.81	%	7.62	%
LifePath 2030 Portfolio	7.63	%	2.31	%	8.12	%
LifePath 2040 Portfolio	8.24	%	1.61	%	8.42	%

	One-Year		Since Inception (2)
Class R Shares
LifePath Retirement Portfolio	4.05	%	9.70	%
LifePath 2010 Portfolio	4.94	%	4.26	%
LifePath 2020 Portfolio	6.28	%	4.85	%
LifePath 2030 Portfolio	7.37	%	15.08	%
LifePath 2040 Portfolio	8.01	%	16.79	%

⁽¹⁾ The Class I shares of the LifePath Portfolios are successors to the assets of the Institutional Class shares of the Stagecoach Trust LifePath Funds (the “predecessor funds”), that began operations on March 1, 1994. Performance information for the periods before March 26, 1996, the date the LifePath Portfolios began operations, reflects the performance of the predecessor funds.

⁽²⁾ Total returns are calculated from an inception date of April 11, 2003 for the LifePath Retirement Portfolio, an inception date of March 7, 2002 for the LifePath 2010 and LifePath 2020 Portfolios, and an inception date of April 8, 2003 for the LifePath 2030 and LifePath 2040 Portfolios. These inception dates represent the date investors began investing in the Class R shares of the respective LifePath Portfolios. To establish the new share class, the LifePath Portfolios’ distributor privately seeded each Portfolio’s Class R on April 30, 2001. The class had no activity from April 30, 2001 until investment began on the Class R inception date for the relevant LifePath Portfolio. Since inception returns calculated from April 30, 2001 for the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Portfolios were 4.34%, 3.44%, 3.06%, 2.92% and 2.83%, respectively.

1

LifePath^® Portfolios

Management’s Discussion of Fund Performance (Continued)

2

LifePath^® Portfolios

Management’s Discussion of Fund Performance (Continued)

⁽¹⁾ The LifePath custom benchmarks are hypothetical representations of the performance of the respective LifePath Portfolios’ asset classes according to their weightings as of the most recent quarter-end. The weightings of the various indexes that are included in the LifePath Portfolios’ custom benchmarks are adjusted quarterly to reflect the funds’ changing asset allocations over time. The following indexes are used to calculate the LifePath Portfolios’ custom benchmarks: S&P 500 Index, S&P 400 Index, S&P 600 Index, MSCI EAFE Index, Lehman Brothers Aggregate Bond Index, and the Citigroup 3-Month Treasury Bill Index. On March 15, 2004, the LifePath Portfolios were restructured to be fund-of-funds. Prior to that date, the LifePath Portfolios held portfolio securities directly. In addition, as of December 31, 2003, the investment adviser made certain changes to its asset allocation strategy for the LifePath Portfolios, including a change to the frequency with which the LifePath Portfolios’ holdings are rebalanced among the asset classes, from monthly to quarterly.

3

LifePath^® Portfolios

Management’s Discussion of Fund Performance (Continued)

Average annual total returns represent each LifePath Portfolio’s average annual increase or decrease in value during the time periods noted above.

Performance figures for each class of each LifePath Portfolio assume that dividends and capital gain distributions have been reinvested in the applicable class of the applicable LifePath Portfolio at net asset value. The “net asset value” of a class of a LifePath Portfolio is the value of one share of that class. The performance shown in the table and charts above do not reflect the deduction of taxes that a shareholder would pay on LifePath Portfolio distributions or the redemption of LifePath Portfolio shares. The investment return and principal value of shares of each LifePath Portfolio will vary with changes in market conditions. Shares of each LifePath Portfolio may be worth more or less than their original cost when they are redeemed.

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

The broad domestic equity markets, as represented by the S&P 1500 Index, posted gains for the 12 months ended December 31, 2005 (the “reporting period”), returning 5.66%. International equities, as represented by the MSCI EAFE Index, gained 13.54% for the reporting period, and bond prices, as represented by the Lehman Brothers Aggregate Bond Index, rose 2.43% for the reporting period. Cash, as represented by the Citigroup 3-Month Treasury Bill Index, returned 3.00% for the reporting period.

The large-capitalization domestic equity markets, as represented by the S&P 500 Index, delivered modest gains for 2005 despite increasing short-term interest rates, rising oil prices, and low consumer confidence levels. The Federal Reserve Board increased the federal funds rate eight times in 2005, resulting in a rate of 4.25% at year-end, the highest level in 4 1/2 years. Oil prices continued to escalate during the reporting period. Already on the rise due to growing global demand, the price of oil surged in the wake of Hurricane Katrina, which curtailed oil supply. By the end of 2005, oil topped $61 per barrel, an increase of 40% for the year. Consumer confidence levels remained relatively low for most of the year, but appeared to rebound in December, buoyed by the resilience of the U.S. economy and improving employment figures.

Despite the increase in short-term interest rates, 10-year government bond yields moved only moderately higher over the course of the year. Among Treasury securities, two-year note yields rose by more than 1.30%, while yields on 10-year notes rose a slight 0.20%. Yields on longer-term Treasury securities declined during the reporting period. Corporate bonds also delivered positive results, despite downgrades from investment grade to junk for two of the world’s largest issuers of corporate debt. Helping corporate bond prices was an increase in demand from foreign investors during the year. Mortgage-backed securities had positive performance during the reporting period but underperformed Treasury securities for the first time since 2001.

International markets generally delivered gains during the reporting period. Low interest rates around the world contributed to the economic strength of many of the constituent countries, spurring investment and borrowing levels. Healthy economic growth in the U.S. also contributed to the positive results, translating into ongoing demand for foreign goods and services from the U.S. Many countries also benefited from ongoing demand from China, whose economy continued to expand. Oil prices, which escalated during the year and ultimately topped $61 per barrel, generally had a dampening effect on markets, although they did help those markets with substantial representation in the energy industry.

The LifePath Portfolios are invested in a combination of stock, bond and money market funds for which Barclays Global Fund Advisors is the investment adviser. Each LifePath Portfolio invested in the same underlying funds but in differing proportions, depending upon the acceptable risk level of the LifePath Portfolio.

During 2005, each LifePath Portfolio invested a portion of its assets in various iShares Funds, including the iShares MSCI EAFE Index Fund and the iShares S&P MidCap 400 Index Fund. For the reporting period, the iShares MSCI EAFE Index Fund returned 13.40% and the iShares S&P MidCap 400 Index Fund delivered 12.48%.

The LifePath Portfolios invested a significant amount of their assets in the Active Stock and CoreAlpha Bond Master Portfolios. Both of these Master Portfolios seek to outperform their respective indices by employing sophisticated quantitative models that help to identify attractive securities. For 2005, the Active Stock Master Portfolio delivered a strong performance of 8.79%, which exceeded its benchmark index, the S&P 500, which had a return of 4.91% for the full year. The performance of the CoreAlpha Bond Master Portfolio for 2005 was 1.98%, falling short of its respective benchmark, the Lehman Brothers Aggregate Bond Index.

4

LifePath^® Portfolios

Management’s Discussion of Fund Performance (Continued)

Each LifePath Portfolio seeks to maximize assets for retirement or other purposes consistent with the quantitatively measured risk that investors on average may be willing to accept given their investment time horizon. An investor’s time horizon marks the point when the investors plan to start making net withdrawals. Each LifePath Portfolio has its own time horizon, which affects the acceptable risk level of the LifePath Portfolio and, in turn, its asset allocation.

The LifePath Portfolios with longer time horizons, such as the LifePath 2040 Portfolio, invested a greater share of their assets in equity funds, such as the iShares MSCI EAFE Index Fund and the Active Stock Master Portfolio. The more conservative LifePath portfolios, such as the LifePath Retirement Portfolio, allocated more of their assets to more income-producing investments, such as the CoreAlpha Bond Master Portfolio. As a result, the LifePath 2040 Portfolio posted a higher return than the more conservative LifePath Portfolios, because equities, particularly international equities, outperformed bonds for the reporting period.

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

5

BARCLAYS GLOBAL INVESTORS FUNDS

Shareholder Expenses

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

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

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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

Portfolio	Beginning Account Value (July 1, 2005)		Ending Account Value (December 31, 2005)		Annualized Expense Ratio(a)		Expenses Paid During Period(b) (July 1 to December 31, 2005)
LifePath Retirement
Class I Shares
Actual	$	1,000.00	$	1,029.10	0.81	%	$	4.14
Hypothetical (5% return before expenses)		1,000.00		1,021.12	0.81			4.13
Class R Shares
Actual		1,000.00		1,027.80	1.06			5.42
Hypothetical (5% return before expenses)		1,000.00		1,019.86	1.06			5.40
LifePath 2010
Class I Shares
Actual		1,000.00		1,040.20	0.79			4.06
Hypothetical (5% return before expenses)		1,000.00		1,021.22	0.79			4.02
Class R Shares
Actual		1,000.00		1,038.70	1.05			5.40
Hypothetical (5% return before expenses)		1,000.00		1,019.91	1.05			5.35

6

BARCLAYS GLOBAL INVESTORS FUNDS

Shareholder Expenses (Continued)

Portfolio	Beginning Account Value (July 1, 2005)		Ending Account Value (December 31, 2005)		Annualized Expense Ratio(a)		Expenses Paid During Period(b) (July 1 to December 31, 2005)
LifePath 2020
Class I Shares
Actual	$	1,000.00	$	1,056.90	0.78	%	$	4.04
Hypothetical (5% return before expenses)		1,000.00		1,021.27	0.78			3.97
Class R Shares
Actual		1,000.00		1,055.20	1.03			5.34
Hypothetical (5% return before expenses)		1,000.00		1,020.01	1.03			5.24
LifePath 2030
Class I Shares
Actual		1,000.00		1,069.90	0.76			3.97
Hypothetical (5% return before expenses)		1,000.00		1,021.37	0.76			3.87
Class R Shares
Actual		1,000.00		1,068.40	1.02			5.32
Hypothetical (5% return before expenses)		1,000.00		1,020.06	1.02			5.19
LifePath 2040
Class I Shares
Actual		1,000.00		1,078.00	0.76			3.98
Hypothetical (5% return before expenses)		1,000.00		1,021.37	0.76			3.87
Class R Shares
Actual		1,000.00		1,076.10	1.01			5.29
Hypothetical (5% return before expenses)		1,000.00		1,020.11	1.01			5.14

^(a) This ratio includes expenses charged to the corresponding Master Portfolio.

^(b) Expenses are calculated using each LifePath Portfolio’s annualized expense ratio for each share class (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).

7

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005

	LifePath Retirement Portfolio			LifePath 2010 Portfolio			LifePath 2020 Portfolio			LifePath 2030 Portfolio		LifePath 2040 Portfolio
ASSETS
Investments:
In corresponding Master Portfolio, at value (Note 1)	$	108,914,366		$	381,567,663		$	636,775,923		$	391,531,815	$	255,813,095
Receivables:
Capital shares sold		1,708,545			646,574			4,515,668			1,003,183		1,830,666
Total Assets		110,622,911			382,214,237			641,291,591			392,534,998		257,643,761
LIABILITIES
Payables:
Capital shares redeemed		1,655,229			503,121			4,966,495			413,846		1,446,339
Administration fees (Note 2)		46,029			161,068			269,397			164,966		107,890
Distribution fees - Class R (Note 2)		5,713			18,650			33,690			22,217		20,112
Total Liabilities		1,706,971			682,839			5,269,582			601,029		1,574,341
NET ASSETS	$	108,915,940		$	381,531,398		$	636,022,009		$	391,933,969	$	256,069,420
Net assets consist of:
Paid-in capital	$	103,639,141		$	355,887,048		$	572,653,990		$	357,303,489	$	223,674,650
Undistributed (distributions in excess of) net investment income		(649,909	)		(1,589,548	)		(1,800,336	)		271,134		306,475
Undistributed net realized gain (accumulated net realized loss)		1,916,360			6,490,679			(7,107,562	)		7,126,104		(12,692,760	)
Net unrealized appreciation		4,010,348			20,743,219			72,275,917			27,233,242		44,781,055
NET ASSETS	$	108,915,940		$	381,531,398		$	636,022,009		$	391,933,969	$	256,069,420
Class I Shares
Net Assets	$	99,348,856		$	350,225,757		$	578,496,619		$	352,800,259	$	221,358,982
Shares outstanding		8,852,444			27,096,866			36,492,245			22,925,632		12,175,771
Net asset value and offering price per share	$	11.22		$	12.92		$	15.85		$	15.39	$	18.18
Class R Shares
Net Assets	$	9,567,084		$	31,305,641		$	57,525,390		$	39,133,710	$	34,710,438
Shares outstanding		905,822			2,457,969			3,778,764			2,582,986		1,987,033
Net asset value and offering price per share	$	10.56		$	12.74		$	15.22		$	15.15	$	17.47

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

8

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005

	LifePath Retirement Portfolio			LifePath 2010 Portfolio			LifePath 2020 Portfolio			LifePath 2030 Portfolio			LifePath 2040 Portfolio
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Dividends	$	643,193		$	2,918,997		$	6,652,994		$	4,843,217		$	3,358,952
Interest		3,050,026			8,326,449			9,153,131			3,395,641			1,050,881
Expenses(a)		(321,606	)		(1,025,480	)		(1,575,903	)		(887,246	)		(517,124	)
Net investment income allocated from corresponding Master Portfolio		3,371,613			10,219,966			14,230,222			7,351,612			3,892,709
FUND EXPENSES (Note 2)
Administration fees		523,176			1,732,045			2,830,389			1,675,108			998,578
Distribution fees - Class R		18,645			61,313			103,965			69,458			68,894
Total fund expenses		541,821			1,793,358			2,934,354			1,744,566			1,067,472
Net investment income		2,829,792			8,426,608			11,295,868			5,607,046			2,825,237
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Net realized gain		1,141,033			4,565,717			11,190,255			7,999,028			5,677,336
Net change in unrealized appreciation (depreciation)		586,644			5,314,719			16,086,965			13,056,181			9,921,759
Net realized and unrealized gain		1,727,677			9,880,436			27,277,220			21,055,209			15,599,095
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	4,557,469		$	18,307,044		$	38,573,088		$	26,662,255		$	18,424,332

^(a) Net of investment advisory fee waivers by the Master Portfolios’ investment adviser in the amounts of $356,480, $1,175,962, $1,908,574, $1,122,173 and $663,532, respectively.

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

9

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS

	LifePath Retirement Portfolio						LifePath 2010 Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	2,829,792		$	2,020,378		$	8,426,608		$	5,229,479
Net realized gain		1,141,033			4,655,486			4,565,717			14,576,311
Net change in unrealized appreciation (depreciation)		586,644			227,750			5,314,719			3,533,318
Net increase in net assets resulting from operations		4,557,469			6,903,614			18,307,044			23,339,108
Distributions to shareholders:
From net investment income:
Class I Shares		(2,902,716	)		(2,251,832	)		(8,631,475	)		(5,743,458	)
Class R Shares		(232,284	)		(118,153	)		(628,574	)		(256,827	)
		(3,135,000	)		(2,369,985	)		(9,260,049	)		(6,000,285	)
From net realized gain:
Class I Shares		(886,064	)		(3,132,385	)		(3,618,530	)		(5,791,517	)
Class R Shares		(90,415	)		(161,085	)		(326,995	)		(277,520	)
		(976,479	)		(3,293,470	)		(3,945,525	)		(6,069,037	)
Total distributions to shareholders		(4,111,479	)		(5,663,455	)		(13,205,574	)		(12,069,322	)
Capital share transactions (Note 3):
Class I Shares		8,040,098			28,758,819			49,080,565			113,565,467
Class R Shares		3,494,551			3,185,032			13,953,296			6,227,224
Net increase in net assets resulting from capital share transactions		11,534,649			31,943,851			63,033,861			119,792,691
Increase in net assets		11,980,639			33,184,010			68,135,331			131,062,477
NET ASSETS:
Beginning of year		96,935,301			63,751,291			313,396,067			182,333,590
End of year	$	108,915,940		$	96,935,301		$	381,531,398		$	313,396,067
Distributions in excess of net investment income included in net assets at end of year	$	(649,909	)	$	(344,180	)	$	(1,589,548	)	$	(331,112	)

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

10

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	LifePath 2020 Portfolio						LifePath 2030 Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	11,295,868		$	8,460,888		$	5,607,046		$	4,049,978
Net realized gain		11,190,255			11,362,503			7,999,028			27,569,679
Net change in unrealized appreciation (depreciation)		16,086,965			30,140,646			13,056,181			(62,748	)
Net increase in net assets resulting from operations		38,573,088			49,964,037			26,662,255			31,556,909
Distributions to shareholders:
From net investment income:
Class I Shares		(11,337,684	)		(8,982,423	)		(5,424,198	)		(3,623,549	)
Class R Shares		(908,242	)		(389,081	)		(447,102	)		(160,578	)
		(12,245,926	)		(9,371,504	)		(5,871,300	)		(3,784,127	)
From net realized gain:
Class I Shares		—			—			(7,647,361	)		(13,047,937	)
Class R Shares		—			—			(859,784	)		(710,132	)
		—			—			(8,507,145	)		(13,758,069	)
Total distributions to shareholders		(12,245,926	)		(9,371,504	)		(14,378,445	)		(17,542,196	)
Capital share transactions (Note 3):
Class I Shares		107,734,952			21,211,141			76,354,552			75,123,937
Class R Shares		26,782,362			9,687,862			18,966,314			11,767,495
Net increase in net assets resulting from capital share transactions		134,517,314			30,899,003			95,320,866			86,891,432
Increase in net assets		160,844,476			71,491,536			107,604,676			100,906,145
NET ASSETS:
Beginning of year		475,177,533			403,685,997			284,329,293			183,423,148
End of year	$	636,022,009		$	475,177,533		$	391,933,969		$	284,329,293
Undistributed (distributions in excess of) net investment income included in net assets at end of year	$	(1,800,336	)	$	(856,821	)	$	271,134		$	653,565

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

11

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	LifePath 2040 Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	2,825,237		$	2,121,169
Net realized gain		5,677,336			1,601,955
Net change in unrealized appreciation (depreciation)		9,921,759			16,434,759
Net increase in net assets resulting from operations		18,424,332			20,157,883
Distributions to shareholders:
From net investment income:
Class I Shares		(2,568,816	)		(1,891,194	)
Class R Shares		(352,909	)		(201,178	)
		(2,921,725	)		(2,092,372	)
Total distributions to shareholders		(2,921,725	)		(2,092,372	)
Capital share transactions (Note 3):
Class I Shares		82,738,786			(18,480,227	)
Class R Shares		9,638,347			6,387,389
Net increase (decrease) in net assets resulting from capital share transactions		92,377,133			(12,092,838	)
Increase in net assets		107,879,740			5,972,673
NET ASSETS:
Beginning of year		148,189,680			142,217,007
End of year	$	256,069,420		$	148,189,680
Undistributed net investment income included in net assets at end of year	$	306,475		$	399,698

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

12

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

	LifePath Retirement Portfolio - Class I Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period ended Dec. 31, 2002 (a)			Year ended Feb. 28, 2002			Year ended Feb. 28, 2001
Net asset value, beginning of period	$	11.18		$	11.03		$	10.03		$	10.59		$	10.77		$	11.18
Income from investment operations:
Net investment income		0.30			0.20			0.19			0.21			0.34	(b)		0.44
Net realized and unrealized gain (loss)		0.17			0.49			1.00			(0.40	)		(0.10	)(b)		0.23
Total from investment operations		0.47			0.69			1.19			(0.19	)		0.24			0.67
Less distributions from:
Net investment income		(0.33	)		(0.24	)		(0.19	)		(0.28	)		(0.35	)		(0.44	)
Net realized gain		(0.10	)		(0.30	)		(0.00	)(c)		(0.09	)		(0.07	)		(0.64	)
Total distributions		(0.43	)		(0.54	)		(0.19	)		(0.37	)		(0.42	)		(1.08	)
Net asset value, end of period	$	11.22		$	11.18		$	11.03		$	10.03		$	10.59		$	10.77
Total return		4.32	%		6.35	%		11.95	%		(1.78	)%(d)		2.25	%		6.16	%
Ratios/Supplemental data:
Net assets, end of period (000s)	$	99,349		$	90,871		$	60,944		$	40,509		$	36,936		$	32,763
Ratio of expenses to average net assets(e)		0.81	%		0.82	%		0.85	%		0.85	%		0.89	%		0.95	%
Ratio of expenses to average net assets prior to waived fees(e)		1.15	%		1.10	%		n/a			n/a			n/a			n/a
Ratio of net investment income to average net assets(e)		2.72	%		1.92	%		1.81	%		2.47	%		3.19	%(b)		4.00	%
Ratio of net investment income to average net assets prior to waived fees(e)		2.38	%		1.64	%		n/a			n/a			n/a			n/a
Portfolio turnover rate(f)		11	%		138	%		29	%		56	%		116	%		58	%

	LifePath Retirement Portfolio - Class R Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Period from Apr. 11, 2003 (g) to Dec. 31, 2003
Net asset value, beginning of period	$	10.55		$	10.44		$	9.05
Income from investment operations:
Net investment income		0.28			0.18			0.17
Net realized and unrealized gain		0.14			0.45			1.39
Total from investment operations		0.42			0.63			1.56
Less distributions from:
Net investment income		(0.31	)		(0.22	)		(0.17	)
Net realized gain		(0.10	)		(0.30	)		(0.00	)(c)
Total distributions		(0.41	)		(0.52	)		(0.17	)
Net asset value, end of period	$	10.56		$	10.55		$	10.44
Total return		4.05	%		6.07	%		16.75	%(d)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	9,567		$	6,064		$	2,807
Ratio of expenses to average net assets(e)		1.06	%		1.07	%		1.10	%
Ratio of expenses to average net assets prior to waived fees(e)		1.40	%		1.35	%		n/a
Ratio of net investment income to average net assets(e)		2.51	%		1.69	%		1.52	%
Ratio of net investment income to average net assets prior to waived fees(e)		2.17	%		1.41	%		n/a
Portfolio turnover rate(f)		11	%		138	%		29	%(h)

^(a) For the ten months ended December 31, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.

^(b) Effective March 1, 2001, the LifePath Portfolio adopted the provisions of the revised AICPA Audit and Accounting Guide for the Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratios and per share data for the year ended February 28, 2002. Ratios and per share data for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy.

^(c) Rounds to less than $0.01.

^(d) Not annualized.

^(e) Annualized for periods of less than one year. These ratios include expenses charged to the corresponding Master Portfolio.

^(f) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

^(g) Commencement of operations. April 11, 2003 is the date investors began investing in Class R of the LifePath Portfolio. To establish the new share class, the LifePath Portfolio’s distributor privately seeded Class R on April 30, 2001. The class had no activity from that date until investment began on April 11, 2003.

^(h) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the year ended December 31, 2003.

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

13

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)

	LifePath 2010 Portfolio - Class I Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period ended Dec. 31, 2002(a)			Year ended Feb. 28, 2002			Year ended Feb. 28, 2001
Net asset value, beginning of period	$	12.74		$	12.30		$	10.82		$	11.85		$	12.46		$	13.49
Income from investment operations:
Net investment income		0.31			0.20			0.18			0.19			0.31	(b)		0.41
Net realized and unrealized gain (loss)		0.34			0.69			1.49			(1.00	)		(0.46	)(b)		(0.16	)
Total from investment operations		0.65			0.89			1.67			(0.81	)		(0.15	)		0.25
Less distributions from:
Net investment income		(0.34	)		(0.24	)		(0.19	)		(0.20	)		(0.33	)		(0.41	)
Net realized gain		(0.13	)		(0.21	)		—			(0.02	)		(0.13	)		(0.87	)
Total distributions		(0.47	)		(0.45	)		(0.19	)		(0.22	)		(0.46	)		(1.28	)
Net asset value, end of period	$	12.92		$	12.74		$	12.30		$	10.82		$	11.85		$	12.46
Total return		5.20	%		7.38	%		15.66	%		(6.85	)%(c)		(1.13	)%		1.73	%
Ratios/Supplemental data:
Net assets, end of period (000s)	$	350,226		$	296,439		$	172,075		$	121,627		$	108,601		$	89,988
Ratio of expenses to average net assets(d)		0.80	%		0.81	%		0.85	%		0.86	%		0.89	%		0.95	%
Ratio of expenses to average net assets prior to waived fees(d)		1.14	%		1.09	%		n/a			n/a			n/a			n/a
Ratio of net investment income to average net assets(d)		2.45	%		1.78	%		1.64	%		1.98	%		2.59	%(b)		3.09	%
Ratio of net investment income to average net assets prior to waived fees(d)		2.11	%		1.50	%		n/a			n/a			n/a			n/a
Portfolio turnover rate(e)		12	%		130	%		23	%		72	%		86	%		54	%

	LifePath 2010 Portfolio - Class R Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period from Mar. 7, 2002(f) to Dec. 31, 2002
Net asset value, beginning of period	$	12.57		$	12.13		$	10.67		$	11.98
Income from investment operations:
Net investment income		0.29			0.18			0.16			0.13
Net realized and unrealized gain (loss)		0.32			0.68			1.47			(1.30	)
Total from investment operations		0.61			0.86			1.63			(1.17	)
Less distributions from:
Net investment income		(0.31	)		(0.21	)		(0.17	)		(0.12	)
Net realized gain		(0.13	)		(0.21	)		—			(0.02	)
Total distributions		(0.44	)		(0.42	)		(0.17	)		(0.14	)
Net asset value, end of period	$	12.74		$	12.57		$	12.13		$	10.67
Total return		4.94	%		7.23	%		15.45	%		(9.72	)%(c)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	31,306		$	16,957		$	10,258		$	28
Ratio of expenses to average net assets(d)		1.05	%		1.06	%		1.10	%		1.58	%
Ratio of expenses to average net assets prior to waived fees(d)		1.39	%		1.34	%		n/a			n/a
Ratio of net investment income to average net assets(d)		2.23	%		1.56	%		1.21	%		1.84	%
Ratio of net investment income to average net assets prior to waived fees(d)		1.89	%		1.28	%		n/a			n/a
Portfolio turnover rate(e)		12	%		130	%		23	%		72	%(g)

^(a) For the ten months ended December 31, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.

^(b) Effective March 1, 2001, the LifePath Portfolio adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratios and per share data for the year ended February 28, 2002. Ratios and per share data for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy.

^(c) Not annualized.

^(d) Annualized for periods of less than one year. These ratios include expenses charged to the corresponding Master Portfolio. ^(e) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

^(f) Commencement of operations. March 7, 2002 is the date investors began investing in Class R of the LifePath Portfolio. To establish the new share class, the LifePath Portfolio’s distributor privately seeded Class R on April 30, 2001. The class had no activity from that date until investment began on March 7, 2002.

^(g) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the ten months ended December 31, 2002.

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

14

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)

	LifePath 2020 Portfolio - Class I Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period ended Dec. 31, 2002(a)			Year ended Feb. 28, 2002			Year ended Feb. 28, 2001
Net asset value, beginning of period	$	15.19		$	14.13		$	11.89		$	13.52		$	14.55		$	16.18
Income from investment operations:
Net investment income		0.30			0.21			0.19			0.17			0.23	(b)		0.31
Net realized and unrealized gain (loss)		0.68			1.09			2.24			(1.59	)		(1.02	)(b)		(0.83	)
Total from investment operations		0.98			1.30			2.43			(1.42	)		(0.79	)		(0.52	)
Less distributions from:
Net investment income		(0.32	)		(0.24	)		(0.19	)		(0.21	)		(0.24	)		(0.31	)
Net realized gain		—			—			—			—			(0.00	)(c)		(0.80	)
Total distributions		(0.32	)		(0.24	)		(0.19	)		(0.21	)		(0.24	)		(1.11	)
Net asset value, end of period	$	15.85		$	15.19		$	14.13		$	11.89		$	13.52		$	14.55
Total return		6.54	%		9.27	%		20.61	%		(10.58	)%(d)		(5.44	)%		(3.54	)%
Ratios/Supplemental data:
Net assets, end of period (000s)	$	578,497		$	446,486		$	386,387		$	270,696		$	319,935		$	182,807
Ratio of expenses to average net assets(e)		0.78	%		0.79	%		0.85	%		0.83	%		0.89	%		0.95	%
Ratio of expenses to average net assets prior to waived fees(e)		1.12	%		1.07	%		n/a			n/a			n/a			n/a
Ratio of net investment income to average net assets(e)		2.01	%		1.49	%		1.54	%		1.59	%		1.74	%(b)		1.99	%
Ratio of net investment income to average net assets prior to waived fees(e)		1.67	%		1.21	%		n/a			n/a			n/a			n/a
Portfolio turnover rate(f)		17	%		140	%		23	%		67	%		86	%		39	%

	LifePath 2020 Portfolio - Class R Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period from Mar.7, 2002(g) to Dec. 31, 2002
Net asset value, beginning of period	$	14.60		$	13.59		$	11.44		$	13.45
Income from investment operations:
Net investment income		0.27			0.19			0.17			0.11
Net realized and unrealized gain (loss)		0.64			1.03			2.14			(1.99	)
Total from investment operations		0.91			1.22			2.31			(1.88	)
Less distributions from:
Net investment income		(0.29	)		(0.21	)		(0.16	)		(0.13	)
Total distributions		(0.29	)		(0.21	)		(0.16	)		(0.13	)
Net asset value, end of period	$	15.22		$	14.60		$	13.59		$	11.44
Total return		6.28	%		9.01	%		20.37	%		(14.05	)%(d)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	57,525		$	28,692		$	17,299		$	202
Ratio of expenses to average net assets(e)		1.03	%		1.04	%		1.10	%		1.59	%
Ratio of expenses to average net assets prior to waived fees(e)		1.37	%		1.32	%		n/a			n/a
Ratio of net investment income to average net assets(e)		1.82	%		1.33	%		1.26	%		1.42	%
Ratio of net investment income to average net assets prior to waived fees(e)		1.48	%		1.05	%		n/a			n/a
Portfolio turnover rate(f)		17	%		140	%		23	%		67	%(h)

^(a) For the ten months ended December 31, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.

^(b) Effective March 1, 2001, the LifePath Portfolio adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratios and per share data for the year ended February 28, 2002. Ratios and per share data for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy.

^(c) Rounds to less than $0.01.

^(d) Not annualized.

^(e) Annualized for periods of less than one year. These ratios include expenses charged to the corresponding Master Portfolio. (f) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

^(g) Commencement of operations. March 7, 2002 is the date investors began investing in Class R of the LifePath Portfolio. To establish the new share class, the LifePath Portfolio’s distributor privately seeded Class R on April 30, 2001. The class had no activity from that date until investment began on March 7, 2002.

^(h) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the ten months ended December 31, 2002.

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

15

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)

	LifePath 2030 Portfolio - Class I Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period ended Dec. 31, 2002(a)			Year ended Feb. 28, 2002			Year ended Feb. 28, 2001
Net asset value, beginning of period	$	14.87		$	14.13		$	11.56		$	13.69		$	15.77		$	17.84
Income from investment operations:
Net investment income		0.24			0.19			0.18			0.13			0.18	(b)		0.23
Net realized and unrealized gain (loss)		0.88			1.32			2.55			(1.97	)		(1.48	)(b)		(1.22	)
Total from investment operations		1.12			1.51			2.73			(1.84	)		(1.30	)		(0.99	)
Less distributions from:
Net investment income		(0.26	)		(0.19	)		(0.16	)		(0.13	)		(0.19	)		(0.23	)
Net realized gain		(0.34	)		(0.58	)		—			(0.16	)		(0.59	)		(0.85	)
Total distributions		(0.60	)		(0.77	)		(0.16	)		(0.29	)		(0.78	)		(1.08	)
Net asset value, end of period	$	15.39		$	14.87		$	14.13		$	11.56		$	13.69		$	15.77
Total return		7.63	%		10.78	%		23.86	%		(13.46	)%(c)		(8.25	)%		(5.99	)%
Ratios/Supplemental data:
Net assets, end of period (000s)	$	352,800		$	265,166		$	176,647		$	103,485		$	108,538		$	79,665
Ratio of expenses to average net assets(d)		0.76	%		0.78	%		0.85	%		0.84	%		0.89	%		0.95	%
Ratio of expenses to average net assets prior to waived fees(d)		1.10	%		1.06	%		n/a			n/a			n/a			n/a
Ratio of net investment income to average net assets(d)		1.69	%		1.37	%		1.48	%		1.28	%		1.25	%(b)		1.32	%
Ratio of net investment income to average net assets prior to waived fees(d)		1.35	%		1.09	%		n/a			n/a			n/a			n/a
Portfolio turnover rate(e)		24	%		138	%		32	%		68	%		53	%		27	%

	LifePath 2030 Portfolio - Class R Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Period from Apr. 8, 2003(f) to Dec. 31, 2003
Net asset value, beginning of period	$	14.65		$	13.94		$	11.33
Income from investment operations:
Net investment income		0.22			0.15			0.17
Net realized and unrealized gain		0.85			1.30			2.59
Total from investment operations		1.07			1.45			2.76
Less distributions from:
Net investment income		(0.23	)		(0.16	)		(0.15	)
Net realized gain		(0.34	)		(0.58	)		—
Total distributions		(0.57	)		(0.74	)		(0.15	)
Net asset value, end of period	$	15.15		$	14.65		$	13.94
Total return		7.37	%		10.51	%		23.85	%(c)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	39,134		$	19,163		$	6,776
Ratio of expenses to average net assets(d)		1.01	%		1.04	%		1.10	%
Ratio of expenses to average net assets prior to waived fees(d)		1.35	%		1.32	%		n/a
Ratio of net investment income to average net assets(d)		1.52	%		1.24	%		1.27	%
Ratio of net investment income to average net assets prior to waived fees(d)		1.18	%		0.96	%		n/a
Portfolio turnover rate(e)		24	%		138	%		32	%(g)

^(a) For the ten months ended December 1, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.

^(b) Effective March 1, 2001, the LifePath Portfolio adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratios and per share data for the year ended February 28, 2002. Ratios and per share data for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy.

^(c) Not annualized.

^(d) Annualized for periods of less than one year. These ratios include expenses charged to the corresponding Master Portfolio.

^(e) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

^(f) Commencement of operations. April 8, 2003 is the date investors began investing in Class R of the LifePath Portfolio. To establish the new share class, the LifePath Portfolio’s distributor privately seeded Class R on April 30, 2001. The class had no activity from the date until investment began on April 8, 2003.

^(g) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the year ended December 31, 2003.

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

16

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)

	LifePath 2040 Portfolio - Class I Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period ended Dec. 31, 2002 (a)			Year ended Feb. 28, 2002			Year ended Feb. 28, 2001
Net asset value, beginning of period	$	17.03		$	15.47		$	12.27		$	14.73		$	16.74		$	20.64
Income from investment operations:
Net investment income		0.21			0.21			0.18			0.12			0.10	(b)		0.11
Net realized and unrealized gain (loss)		1.18			1.55			3.18			(2.48	)		(1.93	)(b)		(2.20	)
Total from investment operations		1.39			1.76			3.36			(2.36	)		(1.83	)		(2.09	)
Less distributions from:
Net investment income		(0.24	)		(0.20	)		(0.16	)		(0.10	)		(0.10	)		(0.10	)
Net realized gain		—			—			—			—			(0.08	)		(1.71	)
Total distributions		(0.24	)		(0.20	)		(0.16	)		(0.10	)		(0.18	)		(1.81	)
Net asset value, end of period	$	18.18		$	17.03		$	15.47		$	12.27		$	14.73		$	16.74
Total return		8.24	%		11.43	%		27.64	%		(16.03	)%(c)		(10.89	)%		(10.81	)%
Ratios/Supplemental data:
Net assets, end of period (000s)	$	221,359		$	125,063		$	127,357		$	74,352		$	84,961		$	97,863
Ratio of expenses to average net assets(d)		0.76	%		0.78	%		0.85	%		0.83	%		0.90	%		0.95	%
Ratio of expenses to average net assets prior to waived fees(d)		1.09	%		1.06	%		n/a			n/a			n/a			n/a
Ratio of net investment income to average net assets(d)		1.45	%		1.15	%		1.36	%		1.05	%		0.64	%(b)		0.50	%
Ratio of net investment income to average net assets prior to waived fees(d)		1.12	%		0.87	%		n/a			n/a			n/a			n/a
Portfolio turnover rate(e)		38	%		147	%		29	%		62	%		15	%		20	%

	LifePath 2040 Portfolio - Class R Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Period from Apr. 8, 2003(f) to Dec. 31, 2003
Net asset value, beginning of period	$	16.37		$	14.89		$	11.74
Income from investment operations:
Net investment income		0.19			0.16			0.17
Net realized and unrealized gain		1.11			1.48			3.13
Total from investment operations		1.30			1.64			3.30
Less distributions from:
Net investment income		(0.20	)		(0.16	)		(0.15	)
Total distributions		(0.20	)		(0.16	)		(0.15	)
Net asset value, end of period	$	17.47		$	16.37		$	14.89
Total return		8.01	%		11.08	%		27.65	%(c)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	34,710		$	23,126		$	14,860
Ratio of expenses to average net assets(d)		1.01	%		1.03	%		1.10	%
Ratio of expenses to average net assets prior to waived fees(d)		1.34	%		1.31	%		n/a
Ratio of net investment income to average net assets(d)		1.20	%		1.06	%		1.07	%
Ratio of net investment income to average net assets prior to waived fees(d)		0.87	%		0.78	%		n/a
Portfolio turnover rate(e)		38	%		147	%		29	%(g)

^(a) For the ten months ended December 31, 2002. The LifePath Portfolio changed its fiscal year-end from February 28 to December 31.

^(b) Effective March 1, 2001, the LifePath Portfolio adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratios and per share data for the year ended February 28, 2002. Ratios and per share data for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy.

^(c) Not annualized.

^(d) Annualized for periods of less than one year. These ratios include expenses charged to the corresponding Master Portfolio.

^(e) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio.

^(f) Commencement of operations. April 8, 2003 is the date investors began investing in Class R of the LifePath Portfolio. To establish the new share class, the LifePath Portfolio’s distributor privately seeded Class R on April 30, 2001. The class had no activity from that date until investment began on April 8, 2003.

^(g) Represents the portfolio turnover rate of the LifePath Portfolio’s corresponding Master Portfolio for the year ended December 31, 2003.

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

17

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

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

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

The LifePath Portfolios offer two classes of shares: Class I and Class R. Both classes of shares have equal rights to assets and earnings, and differ principally in that the Class R shares bear distribution fees.

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

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

INVESTMENT POLICY AND SECURITY VALUATION

Each LifePath Portfolio invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objective as its corresponding LifePath Portfolio. The value of each LifePath Portfolio’s investment in its corresponding Master Portfolio reflects that LifePath Portfolio’s interest in the net assets of that Master Portfolio (47.22%, 57.29%, 59.79%, 57.86% and 58.68% for the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Portfolios, respectively, as of December 31, 2005). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

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

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Each LifePath Portfolio records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of its corresponding Master Portfolio. In addition, each LifePath Portfolio accrues its own expenses. Net investment income, common fund expenses and realized and unrealized gains and losses are allocated among the classes of shares of each LifePath Portfolio based on the relative net assets of each class.

DISTRIBUTIONS TO SHAREHOLDERS

Distributions to shareholders from net investment income, if any, are declared and distributed quarterly. Distributions to shareholders from any net realized capital gains, if any, are declared and distributed annually. Dividends are determined separately for each class based on income and expenses allocable to each class.

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

18

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

As of December 31, 2005, the tax year-end of the LifePath Portfolios, the components of net distributable earnings on a tax basis were as follows:

Portfolio	Undistributed Ordinary Income		Unrealized Appreciation		Capital Gains (Losses) and Other Losses			Net Distributable Earnings
LifePath Retirement	$	193,989	$	4,726,979	$	355,831		$	5,276,799
LifePath 2010		516,208		23,784,161		1,343,981			25,644,350
LifePath 2020		98,800		86,416,596		(23,147,377	)		63,368,019
LifePath 2030		901,567		31,937,368		1,791,545			34,630,480
LifePath 2040		474,777		49,266,915		(17,346,922	)		32,394,770

The tax character of distributions paid for the years ended December 31, 2005 and December 31, 2004, were as follows:

Portfolio	2005		2004
LifePath Retirement
Distributions paid from:
Ordinary income	$	3,135,000	$	3,747,894
Long-term capital gain		976,479		1,915,561
Total Distributions	$	4,111,479	$	5,663,455
LifePath 2010
Distributions paid from:
Ordinary income	$	9,913,696	$	7,068,214
Long-term capital gain		3,291,878		5,001,108
Total Distributions	$	13,205,574	$	12,069,322
LifePath 2020
Distributions paid from:
Ordinary income	$	12,245,926	$	9,371,504
Total Distributions	$	12,245,926	$	9,371,504
LifePath 2030
Distributions paid from:
Ordinary income	$	9,260,387	$	3,784,127
Long-term capital gain		5,118,058		13,758,069
Total Distributions	$	14,378,445	$	17,542,196
LifePath 2040
Distributions paid from:
Ordinary income	$	2,921,725	$	2,092,372
Total Distributions	$	2,921,725	$	2,092,372

19

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

FEDERAL INCOME TAXES

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

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

Portfolio	Expiring 2010		Expiring 2011		Expiring 2012		Total
LifePath 2020	$	5,094,468	$	13,111,842	$	4,941,067	$	23,147,377
LifePath 2040		5,151,964		8,863,120		3,331,838		17,346,922

Net capital loss carryforwards may be applied against any net realized taxable gains in each succeeding year, or until their respective expiration date, whichever occurs first.

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

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

SEI Investments Distribution Company (“SEI”) is the LifePath Portfolios’ distributor. The LifePath Portfolios have adopted a plan pursuant to Rule 12b-1 under the 1940 Act, which authorizes Class R of the LifePath Portfolios to pay expenses relating to the distribution of its shares. Under the plan, SEI is entitled to receive an annual fee for these services of 0.25% of the average daily net assets of each LifePath Portfolio’s Class R. Class I shareholders do not pay any fees for distribution services. Class R of each LifePath Portfolio paid distribution fees for the year ended December 31, 2005 as follows:

Portfolio	Distribution Fees
LifePath Retirement – Class R	$	18,645
LifePath 2010 – Class R		61,313
LifePath 2020 – Class R		103,965
LifePath 2030 – Class R		69,458
LifePath 2040 – Class R		68,894

The Trust has entered into an administration services arrangement with BGI which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the LifePath Portfolios’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the LifePath Portfolios for which BGI receives a fee paid by each LifePath Portfolio. This fee is an “all-in” or “semi-unified” fee and BGI, in consideration thereof, has agreed to bear all of the LifePath Portfolios’ ordinary operating expenses, excluding, generally, investment advisory fees and costs related to securities transactions. BGI may delegate certain of its administration duties to sub-administrators. BGI is entitled to receive for these administration services an annual fee of 0.50% of the average daily net assets of each LifePath Portfolio.

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

20

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

3. CAPITAL SHARE TRANSACTIONS

As of December 31, 2005, there were an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the LifePath Portfolios were as follows:

	For the Year Ended December 31, 2005					For the Year Ended December 31, 2004
	Shares		Amount			Shares		Amount
LifePath Retirement
Class I Shares:
Shares sold	3,319,407		$	37,110,296		9,338,462		$	103,574,213
Shares issued in reinvestment of dividends and distributions	302,634			3,389,301		445,479			4,954,468
Shares redeemed	(2,897,759	)		(32,459,499	)	(7,181,876	)		(79,769,862	)
Net increase	724,282		$	8,040,098		2,602,065		$	28,758,819
Class R Shares:
Shares sold	499,383		$	5,269,507		780,984		$	8,186,633
Shares issued in reinvestment of dividends and distributions	30,562			322,701		26,585			279,233
Shares redeemed	(199,096	)		(2,097,657	)	(501,518	)		(5,280,834	)
Net increase	330,849		$	3,494,551		306,051		$	3,185,032
LifePath 2010
Class I Shares:
Shares sold	7,738,773		$	98,914,967		19,608,599		$	242,682,348
Shares issued in reinvestment of dividends and distributions	895,395			11,499,813		868,243			10,928,633
Shares redeemed	(4,798,692	)		(61,334,215	)	(11,207,783	)		(140,045,514	)
Net increase	3,835,476		$	49,080,565		9,269,059		$	113,565,467
Class R Shares:
Shares sold	1,486,787		$	18,730,748		1,037,184		$	12,702,808
Shares issued in reinvestment of dividends and distributions	75,306			954,834		43,025			534,339
Shares redeemed	(453,633	)		(5,732,286	)	(576,210	)		(7,009,923	)
Net increase	1,108,460		$	13,953,296		503,999		$	6,227,224
LifePath 2020
Class I Shares:
Shares sold	11,566,591		$	176,538,923		23,451,837		$	336,429,515
Shares issued in reinvestment of dividends and distributions	707,484			10,974,301		599,586			8,780,502
Shares redeemed	(5,184,665	)		(79,778,272	)	(21,988,934	)		(323,998,876	)
Net increase	7,089,410		$	107,734,952		2,062,489		$	21,211,141
Class R Shares:
Shares sold	2,305,778		$	34,061,646		1,526,727		$	21,091,129
Shares issued in reinvestment of dividends and distributions	60,613			907,063		27,532			389,049
Shares redeemed	(553,148	)		(8,186,347	)	(861,447	)		(11,792,316	)
Net increase	1,813,243		$	26,782,362		692,812		$	9,687,862

21

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

	For the Year Ended December 31, 2005					For the Year Ended December 31, 2004
	Shares		Amount			Shares		Amount
LifePath 2030
Class I Shares:
Shares sold	7,961,482		$	119,322,662		15,359,629		$	220,621,937
Shares issued in reinvestment of dividends and distributions	823,021			12,570,833		1,105,168			16,215,705
Shares redeemed	(3,695,390	)		(55,538,943	)	(11,129,957	)		(161,713,705	)
Net increase	5,089,113		$	76,354,552		5,334,840		$	75,123,937
Class R Shares:
Shares sold	1,563,771		$	23,281,438		1,135,664		$	16,146,925
Shares issued in reinvestment of dividends and distributions	86,652			1,306,880		60,145			870,691
Shares redeemed	(375,786	)		(5,622,004	)	(373,475	)		(5,250,121	)
Net increase	1,274,637		$	18,966,314		822,334		$	11,767,495
LifePath 2040
Class I Shares:
Shares sold	7,749,231		$	133,344,210		7,462,330		$	117,597,151
Shares issued in reinvestment of dividends and distributions	139,058			2,439,767		112,742			1,812,792
Shares redeemed	(3,057,850	)		(53,045,191	)	(8,461,377	)		(137,890,170	)
Net increase (decrease)	4,830,439		$	82,738,786		(886,305	)	$	(18,480,227	)
Class R Shares:
Shares sold	1,031,838		$	17,207,568		779,107		$	11,876,660
Shares issued in reinvestment of dividends and distributions	20,938			352,922		12,860			201,166
Shares redeemed	(478,371	)		(7,922,143	)	(377,493	)		(5,690,437	)
Net increase	574,405		$	9,638,347		414,474		$	6,387,389

22

R EPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

In our opinion, the accompanying statements of assets and liabilities, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the LifePath Retirement Portfolio, LifePath 2010 Portfolio, LifePath 2020 Portfolio, LifePath 2030 Portfolio and LifePath 2040 Portfolio, each a series of Barclays Global Investors Funds (the “Portfolios”), at December 31, 2005, and the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and their financial highlights for each of the periods presented after February 28, 2001, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolios’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

The financial highlights of the Portfolios at February 28, 2001 and for the year then ended were audited by other auditors whose report dated April 13, 2001 expressed an unqualified opinion on those financial highlights.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

23

BARCLAYS GLOBAL INVESTORS FUNDS

TAX INFORMATION — UNAUDITED

Pursuant to Section 852 of the Internal Revenue Code (the “Code”), the LifePath Portfolios designate the following amounts as capital gains distributions for the tax year ended December 31, 2005:

Portfolio	Capital Gains Distributions
LifePath Retirement	$	976,479
LifePath 2010		3,291,878
LifePath 2030		5,118,058

For corporate shareholders, the following percentages of the income dividends paid by the LifePath Portfolios during the tax year ended December 31, 2005 qualified for the dividends-received deduction:

Portfolio	Dividends- Received Deduction
LifePath Retirement	13.10	%
LifePath 2010	19.56	%
LifePath 2020	36.22	%
LifePath 2030	38.72	%
LifePath 2040	70.11	%

Under Section 845(b)(2) of the Code, the LifePath Portfolios hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the tax year ended December 31, 2005:

Portfolio	Qualified Dividend Income
LifePath Retirement	$	471,093
LifePath 2010		2,147,802
LifePath 2020		4,917,372
LifePath 2030		3,573,422
LifePath 2040		2,494,344

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

24

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED

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

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

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

Interested Trustees and Officers

Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
*Lee T. Kranefuss, 1961	Trustee (since 2001), President and Chief Executive Officer (since 2002).	Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Chief Executive Officer (1997-2003) of the Intermediary Investor Business of BGI.	Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.
Michael A. Latham, 1965	Secretary, Treasurer and Chief Financial Officer (since 2003).	Chief Operating Officer (since 2004) of the Intermediary Investor Business of BGI; Director (2000-2004) of Mutual Fund Delivery of the Intermediary Investor Business of BGI.	None.

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

25

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED (Continued)

Independent Trustees

Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii.
Jack S. Euphrat, 1922	Trustee (since 1993).	Private Investor.	None.
Richard K. Lyons, 1961	Trustee (since 2001).	Executive Associate Dean (since 2005), Sylvan Coleman Chair in Finance (since 2004), Acting Dean (2004-2005) and Professor (since 1993), University of California, Berkeley: Haas School of Business; Consultant for IMF, World Bank, Federal Reserve Bank, and Citibank N.A. (since 2000).	Trustee (since 2001) of MIP; Director (since 2003) of the BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 1995) and Chairman of the Matthews Asian Funds (oversees 8 portfolios); Trustee (since 2000) of iShares Trust; Director (since 2002) of iShares, Inc.
Leo Soong, 1946	Trustee (since 2000).	President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder of Crystal Geyser Water Co. (President through 1999).	Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association.

26

LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Shares or Principal		Value
MASTER PORTFOLIOS – 84.43%
Active Stock Master Portfolio(1)			$	45,631,226
CoreAlpha Bond Master Portfolio(1)				149,115,210
TOTAL MASTER PORTFOLIOS				194,746,436
EXCHANGE-TRADED FUNDS – 15.12%
iShares MSCI EAFE Index Fund(1)		348,254		20,707,183
iShares S&P MidCap 400 Index Fund(1)(2)		126,121		9,307,730
iShares S&P SmallCap 600 Index Fund(1)(2)		84,385		4,877,453
TOTAL EXCHANGE-TRADED FUNDS (Cost: $ 29,167,436)				34,892,366
SHORT-TERM INVESTMENTS – 3.15%
CERTIFICATES OF DEPOSIT(3) – 0.11%
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06	$	14,164		14,164
Credit Suisse First Boston NY
4.03%, 01/04/06		14,164		14,164
First Tennessee Bank
4.18%, 01/26/06		4,391		4,391
Fortis Bank NY
3.83% - 3.84%, 01/25/06		42,493		42,493
Toronto-Dominion Bank
3.94%, 07/10/06		14,164		14,164
Wells Fargo Bank N.A.
4.26% - 4.78%,
01/09/06 - 12/05/06		121,813		121,813
Wilmington Trust Corp.
4.24% - 4.30%,
01/27/06 - 01/31/06		42,493		42,493
				253,682
COMMERCIAL PAPER(3) – 0.54%
Amstel Funding Corp.
3.91% - 4.40%,
01/04/06 - 05/08/06		86,402		85,980
Bryant Park Funding LLC
3.92%, 02/22/06		7,229		7,189
CAFCO LLC
4.19% - 4.23%,
01/27/06 - 02/06/06		60,906		60,693
CC USA Inc.
4.23%, 04/21/06		8,499		8,391
Charta LLC
4.25%, 01/26/06		21,246		21,189
Chesham Finance LLC
4.22% - 4.30%,
01/03/06 - 01/30/06		86,494		86,392
CRC Funding LLC
4.19% - 4.25%,
01/27/06 - 02/06/06		104,249		103,903
Dorada Finance Inc.
3.76%, 01/26/06		2,833		2,826
Ebury Finance Ltd.
4.30%, 01/30/06		39,660		39,532
Edison Asset Securitization LLC
4.37%, 05/08/06		14,164		13,949
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		23,513		23,474
Ford Credit Floorplan Motown
4.05%, 01/06/06		56,657		56,638
Galaxy Funding Inc.
4.23%, 04/18/06		8,130		8,030
Gemini Securitization Corp.
4.25%, 01/30/06		14,164		14,119
Georgetown Funding Co. LLC
4.23% - 4.28%,
01/05/06 - 01/19/06		138,665		138,564
Giro Funding US Corp.
4.23% - 4.24%,
01/09/06 - 01/13/06		24,079		24,059
Grampian Funding LLC
3.84% - 4.41%,
01/31/06 - 05/15/06		42,493		42,179
HSBC PLC
3.88%, 02/03/06		8,499		8,470
Jupiter Securitization Corp.
4.23%, 01/24/06		9,915		9,891
Liberty Street Funding Corp.
4.23%, 01/04/06		11,331		11,330
Lockhart Funding LLC
4.01% - 4.30%,
01/04/06 - 01/23/06		35,127		35,084
Mortgage Interest Networking Trust
4.28% - 4.34%,
01/17/06 - 01/25/06		29,745		29,681
Nordea North America Inc.
4.16%, 04/04/06		29,745		29,432
Prudential Funding LLC
4.27%, 01/17/06		56,657		56,563
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		28,329		28,190
Sedna Finance Inc.
3.92%, 02/21/06		7,082		7,044
Sigma Finance Inc.
4.16%, 04/06/06		16,997		16,814
Solitaire Funding Ltd.
4.24%, 01/23/06		69,498		69,335
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		7,597		7,596
Three Pillars Funding Corp.
4.03% - 4.27%,
01/03/06 - 01/17/06		90,289		90,267

27

LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares or Principal		Value
COMMERCIAL PAPER (Continued)
Thunder Bay Funding Inc.
4.22%, 01/13/06	$	2,833	$	2,830
Ticonderoga Funding LLC
4.27%, 01/05/06		7,082		7,080
Tulip Funding Corp.
4.25% - 4.28%,
01/03/06 - 01/31/06		99,706		99,456
				1,246,170
LOAN PARTICIPATIONS(3) – 0.01%
Army & Air Force Exchange Service
4.24%, 02/01/06		14,164		14,164
				14,164
MEDIUM-TERM NOTES(3) – 0.04%
Dorada Finance Inc.
3.93%, 07/07/06		8,782		8,781
K2 USA LLC
3.94%, 07/07/06		16,997		16,997
Marshall & Ilsley Bank
5.18%, 12/15/06		28,329		28,421
Toronto-Dominion Bank
3.81%, 06/20/06		35,411		35,412
US Bank N.A.
2.85%, 11/15/06		5,666		5,575
				95,186
MONEY MARKET FUNDS – 0.83%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
4.25%(1)(4)		1,923,052		1,923,052
				1,923,052
REPURCHASE AGREEMENTS(3) – 0.26%
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $141,712 and an effective yield of 4.37%.(5)	$	141,643		141,643
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $11,336 and an effective yield of 4.32%.(5)		11,331		11,331
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $226,737 and an effective yield of 4.34%.(6)		226,628		226,628
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $212,566 and an effective yield of 4.33%.(6)		212,464		212,464
				592,066
TIME DEPOSITS(3) – 0.10%
UBS AG
4.06%, 01/03/06		169,971		169,972
Wells Fargo Bank N.A.
4.00%, 01/03/06		58,691		58,691
				228,663
VARIABLE & FLOATING RATE NOTES(3) – 1.26%
Allstate Life Global Funding II
4.36% - 4.43%,
11/09/06 - 01/16/07(7)		99,575		99,600
American Express Bank
4.33% - 4.34%,
01/24/06 - 10/25/06		109,065		109,064
American Express Centurion Bank
4.33% - 4.34%,
06/29/06 - 07/19/06		46,742		46,742
American Express Credit Corp.
4.39%, 11/06/07		8,499		8,507
ASIF Global Financing
4.34% - 4.55%,
05/30/06 - 08/11/06(7)		92,068		92,106
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(7)		18,414		18,414
Bank of America N.A.
4.31%, 08/10/06		141,643		141,643
Bank of Ireland
4.34%, 12/20/06(7)		28,329		28,329
Bank of Nova Scotia
4.22%, 01/03/06		11,331		11,331
Beta Finance Inc.
4.29% - 4.33%,
04/25/06 - 06/09/06(7)		70,538		70,535
BMW US Capital LLC
4.34%, 12/15/06(7)		28,329		28,329
CC USA Inc.
4.32% - 4.35%,
03/23/06 - 07/14/06(7)		76,204		76,201
Commodore CDO Ltd.
4.56%, 06/13/06(7)		7,082		7,082
Credit Suisse First Boston NY
4.31% - 4.35%
05/09/06 - 07/19/06		99,150		99,150
DEPFA Bank PLC
4.50%, 12/15/06		28,329		28,329
Descartes Funding Trust
4.37%, 11/15/06(7)		12,748		12,748
Dexia Credit Local
4.33%, 08/30/06		14,164		14,162
Dorada Finance Inc.
4.33% - 4.36%,
03/27/06 - 06/26/06(7)		45,042		45,043

28

LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
Eli Lilly Services Inc.
4.26%, 09/01/06(7)	$	28,329	$	28,329
Fairway Finance Corp.
4.32% - 4.42%,
01/18/06 - 01/20/06		28,329		28,328
Fifth Third Bancorp.
4.35%, 11/22/06(7)		56,657		56,657
Five Finance Inc.
4.34% - 4.37%,
02/27/06 - 06/26/06(7)		19,830		19,830
General Electric Capital Corp.
4.44%, 01/09/07		12,748		12,758
Greenwich Capital Holdings Inc.
4.25% - 4.32%,
02/10/06 - 03/02/06		21,246		21,246
Hartford Life Global Funding Trusts
4.36%, 02/17/07		28,329		28,329
HBOS Treasury Services PLC
4.32% - 4.57%,
01/10/06 - 10/24/06		84,986		84,987
Holmes Financing PLC
4.33%, 12/15/06(7)		77,903		77,903
HSBC Bank USA N.A.
4.27% - 4.39%,
05/04/06 - 08/03/06		24,079		24,085
K2 USA LLC
4.25% - 4.36%,
02/15/06 - 09/11/06(7)		82,153		82,150
Leafs LLC
4.37%, 01/20/06 - 02/21/06(7)		29,702		29,702
Links Finance LLC
4.32% - 4.40%,
01/20/06 - 03/15/06(7)		96,317		96,320
Lothian Mortgages PLC
4.37%, 01/24/06(7)		14,164		14,164
Marshall & Ilsley Bank
4.35% - 4.47%,
02/20/06 - 12/15/06		43,909		43,914
Metropolitan Life Global Funding I
4.31% - 4.55%,
08/28/06 - 01/05/07(7)		84,702		84,748
Mound Financing PLC
4.30%, 11/08/06(7)		56,657		56,657
Natexis Banques Populaires
4.35%, 01/12/07(7)		21,246		21,246
National City Bank (Ohio)
4.26%, 01/06/06		14,164		14,164
Nationwide Building Society
4.33% - 4.58%,
01/13/06 - 01/26/07(7)		104,816		104,820
Nordea Bank AB
4.34%, 12/11/06(7)		49,575		49,575
Nordea Bank PLC
4.23%, 10/02/06		16,997		16,994
Northern Rock PLC
4.32%, 11/03/06(7)		33,994		33,995
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06(7)		77,054		77,053
Pfizer Investment Capital PLC
4.33%, 12/15/06(7)		70,821		70,821
Principal Life Income Funding Trusts
4.29%, 05/10/06		21,246		21,247
Royal Bank of Scotland
4.32% - 4.33%,
06/27/06 - 08/30/06		42,493		42,488
Sedna Finance Inc.
4.33% - 4.34%,
01/10/06 - 09/20/06(7)		24,079		24,080
Sigma Finance Inc.
4.07% - 4.35%,
01/09/06 - 08/15/06(7)		59,773		59,772
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(7)		28,329		28,329
Societe Generale
4.26% - 4.32%,
03/30/06 - 01/02/07(7)		43,909		43,907
Strips III LLC
4.43%, 07/24/06(7)(8)		7,641		7,641
SunTrust Bank
4.19%, 04/28/06		42,493		42,493
Tango Finance Corp.
4.33% - 4.34%,
05/25/06 - 09/27/06(7)		63,173		63,168
Toyota Motor Credit Corp.
4.23% - 4.30%,
01/09/06 - 04/10/06		62,323		62,323
Unicredito Italiano SpA
4.43%, 06/14/06		36,827		36,821
Union Hamilton Special Funding LLC
4.52%, 03/28/06(7)		28,329		28,329
US Bank N.A.
4.31%, 09/29/06		12,748		12,745
Variable Funding Capital Corp.
4.29% - 4.32%,
02/16/06 - 03/13/06		92,068		92,068
Wachovia Asset Securitization Inc.
4.37%, 01/25/06(7)		58,452		58,452
Wells Fargo & Co.
4.36%, 09/15/06(7)		14,164		14,165
WhistleJacket Capital LLC
4.33% - 4.35%,
01/17/06 - 07/28/06(7)		31,161		31,160
White Pine Finance LLC
4.32% - 4.37%,
01/13/06 - 06/20/06(7)		58,073		58,072

29

LIFEPATH RETIREMENT MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
Winston Funding Ltd.
4.26%, 01/23/06(7)	$	20,227	$	20,227
World Savings Bank
4.29%, 03/09/06		42,493		42,492
				2,906,069
TOTAL SHORT-TERM INVESTMENTS (Cost: $7,259,052)				7,259,052
TOTAL INVESTMENTS – 102.70%				236,897,854
Other Assets, Less Liabilities – (2.70)%				(6,232,868	)
NET ASSETS – 100.00%			$	230,664,986

⁽¹⁾ The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

⁽²⁾ All or a portion of this security represents a security on loan. See Note 4.

⁽³⁾ All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

⁽⁴⁾ The rate quoted is the annualized seven-day yield of the fund at period end.

⁽⁵⁾ Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

⁽⁶⁾ Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

⁽⁷⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽⁸⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

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

30

LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Shares or Principal		Value
MASTER PORTFOLIOS – 80.51%
Active Stock Master Portfolio(1)			$	178,144,721
CoreAlpha Bond Master Portfolio(1)				358,006,967
TOTAL MASTER PORTFOLIOS				536,151,688
EXCHANGE-TRADED FUNDS – 18.65%
iShares MSCI EAFE Index Fund(1)		1,308,729		77,817,026
iShares S&P MidCap 400 Index Fund(1)(2)		420,131		31,005,668
iShares S&P SmallCap 600 Index Fund(1)(2)		266,625		15,410,925
TOTAL EXCHANGE-TRADED FUNDS (Cost: $102,858,287)				124,233,619
SHORT-TERM INVESTMENTS – 4.58%
CERTIFICATES OF DEPOSIT(3) – 0.18%
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06	$	68,393		68,390
Credit Suisse First Boston NY
4.03%, 01/04/06		68,393		68,393
First Tennessee Bank
4.18%, 01/26/06		21,202		21,201
Fortis Bank NY
3.83% - 3.84%, 01/25/06		205,179		205,179
Toronto-Dominion Bank
3.94%, 07/10/06		68,393		68,393
Wells Fargo Bank N.A.
4.26% - 4.78%,
01/09/06 - 12/05/06		588,180		588,179
Wilmington Trust Corp.
4.24% - 4.30%,
01/27/06 - 01/31/06		205,179		205,180
				1,224,915
COMMERCIAL PAPER(3) – 0.90%
Amstel Funding Corp.
3.91% - 4.40%,
01/04/06 - 05/08/06		417,198		415,146
Bryant Park Funding LLC
3.92%, 02/22/06		34,904		34,714
CAFCO LLC
4.19% - 4.23%,
01/27/06 - 02/06/06		294,090		293,058
CC USA Inc.
4.23%, 04/21/06		41,036		40,515
Charta LLC
4.25%, 01/26/06		102,590		102,311
Chesham Finance LLC
4.22% - 4.30%,
01/03/06 - 01/30/06		417,642		417,144
CRC Funding LLC
4.19% - 4.25%,
01/27/06 - 02/06/06		503,373		501,701
Dorada Finance Inc.
3.76%, 01/26/06		13,679		13,646
Ebury Finance Ltd.
4.30%, 01/30/06		191,501		190,883
Edison Asset Securitization LLC
4.37%, 05/08/06		68,393		67,355
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		113,532		113,346
Ford Credit Floorplan Motown
4.05%, 01/06/06		273,572		273,480
Galaxy Funding Inc.
4.23%, 04/18/06		39,258		38,773
Gemini Securitization Corp.
4.25%, 01/30/06		68,393		68,175
Georgetown Funding Co. LLC
4.23% - 4.28%,
01/05/06 - 01/19/06		669,553		669,068
Giro Funding US Corp.
4.23% - 4.24%,
01/09/06 - 01/13/06		116,268		116,170
Grampian Funding LLC
3.84% - 4.41%,
01/31/06 - 05/15/06		205,179		203,665
HSBC PLC
3.88%, 02/03/06		41,036		40,899
Jupiter Securitization Corp.
4.23%, 01/24/06		47,875		47,757
Liberty Street Funding Corp.
4.23%, 01/04/06		54,714		54,708
Lockhart Funding LLC
4.01% - 4.30%,
01/04/06 - 01/23/06		169,615		169,407
Mortgage Interest Networking Trust
4.28% - 4.34%,
01/17/06 - 01/25/06		143,625		143,320
Nordea North America Inc.
4.16%, 04/04/06		143,625		142,115
Prudential Funding LLC
4.27%, 01/17/06		273,572		273,118
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		136,786		136,118
Sedna Finance Inc.
3.92%, 02/21/06		34,197		34,014
Sigma Finance Inc.
4.16%, 04/06/06		82,072		81,190
Solitaire Funding Ltd.
4.24%, 01/23/06		335,577		334,787
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		36,683		36,679
Three Pillars Funding Corp.
4.03% - 4.27%,
01/03/06 - 01/17/06		435,967		435,863

31

LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares or Principal		Value
COMMERCIAL PAPER (Continued)
Thunder Bay Funding Inc.
4.22%, 01/13/06	$	13,679	$	13,663
Ticonderoga Funding LLC
4.27%, 01/05/06		34,197		34,188
Tulip Funding Corp.
4.25% - 4.28%,
01/03/06 - 01/31/06		481,435		480,229
				6,017,205
LOAN PARTICIPATIONS(3) – 0.01%
Army & Air Force Exchange Service
4.24%, 02/01/06		68,393		68,393
				68,393
MEDIUM-TERM NOTES(3) – 0.07%
Dorada Finance Inc.
3.93%, 07/07/06		42,404		42,402
K2 USA LLC
3.94%, 07/07/06		82,072		82,070
Marshall & Ilsley Bank
5.18%, 12/15/06		136,786		137,232
Toronto-Dominion Bank
3.81%, 06/20/06		170,983		170,990
US Bank N.A.
2.85%, 11/15/06		27,357		26,921
				459,615
MONEY MARKET FUNDS – 0.71%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
4.25%(1)(4)		4,735,755		4,735,755
				4,735,755
REPURCHASE AGREEMENTS(3) – 0.43%
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $684,262 and an effective yield of 4.37%.(5)	$	683,930		683,930
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $54,740 and an effective yield of 4.32%.(5)		54,714		54,714
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $1,094,817 and an effective yield of 4.34%.(6)		1,094,289		1,094,289
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $1,026,390 and an effective yield of 4.33%.(6)		1,025,896		1,025,896
				2,858,829
TIME DEPOSITS(3) – 0.17%
UBS AG
4.06%, 01/03/06		820,716		820,716
Wells Fargo Bank N.A.
4.00%, 01/03/06		283,395		283,395
				1,104,111
VARIABLE & FLOATING RATE NOTES(3) – 2.11%
Allstate Life Global Funding II
4.36% - 4.43%,
11/09/06 - 01/16/07(7)		480,803		480,920
American Express Bank
4.33% - 4.34%,
01/24/06 - 10/25/06		526,626		526,625
American Express Centurion Bank
4.33% - 4.34%,
06/29/06 - 07/19/06		225,697		225,697
American Express Credit Corp.
4.39%, 11/06/07		41,036		41,077
ASIF Global Financing
4.34% - 4.55%,
05/30/06 - 08/11/06(7)		444,555		444,741
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(7)		88,911		88,911
Bank of America N.A.
4.31%, 08/10/06		683,930		683,930
Bank of Ireland
4.34%, 12/20/06(7)		136,786		136,786
Bank of Nova Scotia
4.22%, 01/03/06		54,714		54,714
Beta Finance Inc.
4.29% - 4.33%,
04/25/06 - 06/09/06(7)		340,597		340,583
BMW US Capital LLC
4.34%, 12/15/06(7)		136,786		136,786
CC USA Inc.
4.32% - 4.35%,
03/23/06 - 07/14/06(7)		367,955		367,946
Commodore CDO Ltd.
4.56%, 06/13/06(7)		34,197		34,197
Credit Suisse First Boston NY
4.31% - 4.35%
05/09/06 - 07/19/06		478,751		478,751
DEPFA Bank PLC
4.50%, 12/15/06		136,786		136,786
Descartes Funding Trust
4.37%, 11/15/06(7)		61,554		61,554
Dexia Credit Local
4.33%, 08/30/06		68,393		68,384
Dorada Finance Inc.
4.33% - 4.36%,
03/27/06 - 06/26/06(7)		217,490		217,494

32

LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
Eli Lilly Services Inc.
4.26%, 09/01/06(7)	$	136,786	$	136,786
Fairway Finance Corp.
4.32% - 4.42%,
01/18/06 - 01/20/06		136,786		136,786
Fifth Third Bancorp.
4.35%, 11/22/06(7)		273,572		273,572
Five Finance Inc.
4.34% - 4.37%,
02/27/06 - 06/26/06(7)		95,750		95,750
General Electric Capital Corp.
4.44%, 01/09/07		61,554		61,603
Greenwich Capital Holdings Inc.
4.25% - 4.32%,
02/10/06 - 03/02/06		102,590		102,590
Hartford Life Global Funding Trusts
4.36%, 02/17/07		136,786		136,786
HBOS Treasury Services PLC
4.32% - 4.57%,
01/10/06 - 10/24/06		410,358		410,358
Holmes Financing PLC
4.33%, 12/15/06(7)		376,162		376,162
HSBC Bank USA N.A.
4.27% - 4.39%,
05/04/06 - 08/03/06		116,268		116,295
K2 USA LLC
4.25% - 4.36%,
02/15/06 - 09/11/06(7)		396,680		396,664
Leafs LLC
4.37%, 01/20/06 - 02/21/06(7)		143,417		143,417
Links Finance LLC
4.32% - 4.40%,
01/20/06 - 03/15/06(7)		465,073		465,088
Lothian Mortgages PLC
4.37%, 01/24/06(7)		68,393		68,393
Marshall & Ilsley Bank
4.35% - 4.47%,
02/20/06 - 12/15/06		212,018		212,040
Metropolitan Life Global Funding I
4.31% - 4.55%,
08/28/06 - 01/05/07(7)		408,990		409,211
Mound Financing PLC
4.30%, 11/08/06(7)		273,572		273,572
Natexis Banques Populaires
4.35%, 01/12/07(7)		102,590		102,590
National City Bank (Ohio)
4.26%, 01/06/06		68,393		68,393
Nationwide Building Society
4.33% - 4.58%,
01/13/06 - 01/26/07(7)		506,108		506,126
Nordea Bank AB
4.34%, 12/11/06(7)		239,376		239,376
Nordea Bank PLC
4.23%, 10/02/06		82,072		82,057
Northern Rock PLC
4.32%, 11/03/06(7)		164,143		164,149
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06(7)		372,058		372,058
Pfizer Investment Capital PLC
4.33%, 12/15/06(7)		341,965		341,965
Principal Life Income Funding Trusts
4.29%, 05/10/06		102,590		102,591
Royal Bank of Scotland
4.32% - 4.33%,
06/27/06 - 08/30/06		205,179		205,156
Sedna Finance Inc.
4.33% - 4.34%,
01/10/06 - 09/20/06(7)		116,268		116,268
Sigma Finance Inc.
4.07% - 4.35%,
01/09/06 - 08/15/06(7)		288,619		288,616
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(7)		136,786		136,786
Societe Generale
4.26% - 4.32%,
03/30/06 - 01/02/07(7)		212,018		212,009
Strips III LLC
4.43%, 07/24/06(7)(8)		36,893		36,893
SunTrust Bank
4.19%, 04/28/06		205,179		205,179
Tango Finance Corp.
4.33% - 4.34%,
05/25/06 - 09/27/06(7)		305,033		305,011
Toyota Motor Credit Corp.
4.23% - 4.30%,
01/09/06 - 04/10/06		300,929		300,928
Unicredito Italiano SpA
4.43%, 06/14/06		177,822		177,794
Union Hamilton Special Funding LLC
4.52%, 03/28/06(7)		136,786		136,786
US Bank N.A.
4.31%, 09/29/06		61,554		61,542
Variable Funding Capital Corp.
4.29% - 4.32%,
02/16/06 - 03/13/06		444,555		444,555
Wachovia Asset Securitization Inc.
4.37%, 01/25/06(7)		282,241		282,241
Wells Fargo & Co.
4.36%, 09/15/06(7)		68,393		68,398
WhistleJacket Capital LLC
4.33% - 4.35%,
01/17/06 - 07/28/06(7)		150,465		150,455
White Pine Finance LLC
4.32% - 4.37%,
01/13/06 - 06/20/06(7)		280,411		280,410
Winston Funding Ltd.
4.26%, 01/23/06(7)		97,665		97,665

33

LIFEPATH 2010 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
World Savings Bank
4.29%, 03/09/06	$	205,179	$	205,177
				14,032,129
TOTAL SHORT-TERM INVESTMENTS (Cost: $30,500,952)				30,500,952
TOTAL INVESTMENTS – 103.74%				690,886,259
Other Assets, Less Liabilities – (3.74)%				(24,894,497	)
NET ASSETS – 100.00%			$	665,991,762

⁽¹⁾ The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

⁽²⁾ All or a portion of this security represents a security on loan. See Note 4.

⁽³⁾ All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

⁽⁴⁾ The rate quoted is the annualized seven-day yield of the fund at period end.

⁽⁵⁾ Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

⁽⁶⁾ Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

⁽⁷⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽⁸⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

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

34

LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Shares or Principal		Value
MASTER PORTFOLIOS – 74.30%
Active Stock Master Portfolio(1)			$	409,416,336
CoreAlpha Bond Master Portfolio(1)				381,902,290
TOTAL MASTER PORTFOLIOS				791,318,626
EXCHANGE-TRADED FUNDS – 24.59%
iShares MSCI EAFE Index Fund(1)		2,881,861		171,355,455
iShares S&P MidCap 400
Index Fund(1)(2)		815,390		60,175,782
iShares S&P SmallCap 600
Index Fund(1)(2)		525,284		30,361,415
TOTAL EXCHANGE-TRADED FUNDS (Cost: $217,993,197)				261,892,652
SHORT-TERM INVESTMENTS – 6.71%
CERTIFICATES OF DEPOSIT(3) – 0.28%
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06	$	169,363		169,364
Credit Suisse First Boston NY
4.03%, 01/04/06		169,363		169,363
First Tennessee Bank
4.18%, 01/26/06		52,502		52,500
Fortis Bank NY
3.83% - 3.84%, 01/25/06		508,088		508,088
Toronto-Dominion Bank
3.94%, 07/10/06		169,363		169,363
Wells Fargo Bank N.A.
4.26% - 4.78%,
01/09/06 - 12/05/06		1,456,519		1,456,515
Wilmington Trust Corp.
4.24% - 4.30%,
01/27/06 - 01/31/06		508,088		508,091
				3,033,284
COMMERCIAL PAPER(3) – 1.40%
Amstel Funding Corp.
3.91% - 4.40%,
01/04/06 - 05/08/06		1,033,112		1,028,032
Bryant Park Funding LLC
3.92%, 02/22/06		86,433		85,962
CAFCO LLC
4.19% - 4.23%,
01/27/06 - 02/06/06		728,259		725,706
CC USA Inc.
4.23%, 04/21/06		101,618		100,328
Charta LLC
4.25%, 01/26/06		254,044		253,354
Chesham Finance LLC
4.22% - 4.30%,
01/03/06 - 01/30/06		1,034,213		1,032,981
CRC Funding LLC
4.19% - 4.25%,
01/27/06 - 02/06/06		1,246,509		1,242,367
Dorada Finance Inc.
3.76%, 01/26/06		33,873		33,791
Ebury Finance Ltd.
4.30%, 01/30/06		474,215		472,686
Edison Asset Securitization LLC
4.37%, 05/08/06		169,363		166,793
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		281,142		280,680
Ford Credit Floorplan Motown
4.05%, 01/06/06		677,450		677,222
Galaxy Funding Inc.
4.23%, 04/18/06		97,214		96,015
Gemini Securitization Corp.
4.25%, 01/30/06		169,363		168,823
Georgetown Funding Co. LLC
4.23% - 4.28%,
01/05/06 - 01/19/06		1,658,023		1,656,822
Giro Funding US Corp.
4.23% - 4.24%,
01/09/06 - 01/13/06		287,916		287,674
Grampian Funding LLC
3.84% - 4.41%,
01/31/06 - 05/15/06		508,088		504,338
HSBC PLC
3.88%, 02/03/06		101,618		101,278
Jupiter Securitization Corp.
4.23%, 01/24/06		118,554		118,261
Liberty Street Funding Corp.
4.23%, 01/04/06		135,490		135,474
Lockhart Funding LLC
4.01% - 4.30%,
01/04/06 - 01/23/06		420,019		419,503
Mortgage Interest Networking Trust
4.28% - 4.34%,
01/17/06 - 01/25/06		355,661		354,901
Nordea North America Inc.
4.16%, 04/04/06		355,661		351,922
Prudential Funding LLC
4.27%, 01/17/06		677,450		676,326
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		338,725		337,070
Sedna Finance Inc.
3.92%, 02/21/06		84,681		84,229
Sigma Finance Inc.
4.16%, 04/06/06		203,235		201,051
Solitaire Funding Ltd.
4.24%, 01/23/06		830,995		829,037
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		90,839		90,829

35

LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares or Principal		Value
COMMERCIAL PAPER (Continued)
Three Pillars Funding Corp.
4.03% - 4.27%,
01/03/06 - 01/17/06	$	1,079,592	$	1,079,335
Thunder Bay Funding Inc.
4.22%, 01/13/06		33,873		33,833
Ticonderoga Funding LLC
4.27%, 01/05/06		84,681		84,661
Tulip Funding Corp.
4.25% - 4.28%,
01/03/06 - 01/31/06		1,192,184		1,189,199
				14,900,483
LOAN PARTICIPATIONS(3) – 0.02%
Army & Air Force Exchange Service
4.24%, 02/01/06		169,363		169,363
				169,363
MEDIUM-TERM NOTES(3) – 0.11%
Dorada Finance Inc.
3.93%, 07/07/06		105,005		104,999
K2 USA LLC
3.94%, 07/07/06		203,235		203,230
Marshall & Ilsley Bank
5.18%, 12/15/06		338,725		339,830
Toronto-Dominion Bank
3.81%, 06/20/06		423,407		423,426
US Bank N.A.
2.85%, 11/15/06		67,745		66,666
				1,138,151
MONEY MARKET FUNDS – 0.72%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
4.25%(1)(4)		7,668,859		7,668,859
				7,668,859
REPURCHASE AGREEMENTS(3) – 0.66%
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $1,694,448 and an effective yield of 4.37%.(5)	$	1,693,626		1,693,626
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $135,555 and an effective yield of 4.32%.(5)		135,490		135,490
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $2,711,109 and an effective yield of 4.34%.(6)		2,709,802		2,709,802
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $2,541,661 and an effective yield of 4.33%.(6)		2,540,439		2,540,439
				7,079,357
TIME DEPOSITS(3) – 0.26%
UBS AG
4.06%, 01/03/06		2,032,351		2,032,351
Wells Fargo Bank N.A.
4.00%, 01/03/06		701,774		701,774
				2,734,125
VARIABLE & FLOATING RATE NOTES(3) – 3.26%
Allstate Life Global Funding II
4.36% - 4.43%,
11/09/06 - 01/16/07 (7)		1,190,619		1,190,910
American Express Bank
4.33% - 4.34%,
01/24/06 - 10/25/06		1,304,092		1,304,086
American Express Centurion Bank
4.33% - 4.34%,
06/29/06 - 07/19/06		558,897		558,897
American Express Credit Corp.
4.39%, 11/06/07		101,618		101,720
ASIF Global Financing
4.34% - 4.55%,
05/30/06 - 08/11/06 (7)		1,100,857		1,101,318
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(7)		220,171		220,171
Bank of America N.A.
4.31%, 08/10/06		1,693,626		1,693,626
Bank of Ireland
4.34%, 12/20/06(7)		338,725		338,725
Bank of Nova Scotia
4.22%, 01/03/06		135,490		135,490
Beta Finance Inc.
4.29% - 4.33%,
04/25/06 - 06/09/06 (7)		843,426		843,393
BMW US Capital LLC
4.34%, 12/15/06(7)		338,725		338,725
CC USA Inc.
4.32% - 4.35%,
03/23/06 - 07/14/06 (7)		911,171		911,150
Commodore CDO Ltd.
4.56%, 06/13/06(7)		84,681		84,681
Credit Suisse First Boston NY
4.31% - 4.35%
05/09/06 - 07/19/06		1,185,538		1,185,538
DEPFA Bank PLC
4.50%, 12/15/06		338,725		338,725

36

LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
Descartes Funding Trust
4.37%, 11/15/06(7)	$	152,426	$	152,426
Dexia Credit Local
4.33%, 08/30/06		169,363		169,340
Dorada Finance Inc.
4.33% - 4.36%,
03/27/06 - 06/26/06(7)		538,573		538,583
Eli Lilly Services Inc.
4.26%, 09/01/06(7)		338,725		338,725
Fairway Finance Corp.
4.32% - 4.42%,
01/18/06 - 01/20/06		338,725		338,724
Fifth Third Bancorp.
4.35%, 11/22/06(7)		677,450		677,450
Five Finance Inc.
4.34% - 4.37%,
02/27/06 - 06/26/06(7)		237,108		237,108
General Electric Capital Corp.
4.44%, 01/09/07		152,426		152,550
Greenwich Capital Holdings Inc.
4.25% - 4.32%,
02/10/06 - 03/02/06		254,044		254,044
Hartford Life Global Funding Trusts
4.36%, 02/17/07		338,725		338,725
HBOS Treasury Services PLC
4.32% - 4.57%,
01/10/06 - 10/24/06		1,016,176		1,016,175
Holmes Financing PLC
4.33%, 12/15/06(7)		931,494		931,494
HSBC Bank USA N.A.
4.27% - 4.39%,
05/04/06 - 08/03/06		287,916		287,983
K2 USA LLC
4.25% - 4.36%,
02/15/06 - 09/11/06(7)		982,303		982,265
Leafs LLC
4.37%, 01/20/06 - 02/21/06(7)		355,147		355,146
Links Finance LLC
4.32% - 4.40%,
01/20/06 - 03/15/06(7)		1,151,666		1,151,704
Lothian Mortgages PLC
4.37%, 01/24/06(7)		169,363		169,363
Marshall & Ilsley Bank
4.35% - 4.47%,
02/20/06 - 12/15/06		525,024		525,078
Metropolitan Life Global Funding I
4.31% - 4.55%,
08/28/06 - 01/05/07(7)		1,012,788		1,013,335
Mound Financing PLC
4.30%, 11/08/06(7)		677,450		677,450
Natexis Banques Populaires
4.35%, 01/12/07(7)		254,044		254,044
National City Bank (Ohio)
4.26%, 01/06/06		169,363		169,362
Nationwide Building Society
4.33% - 4.58%,
01/13/06 - 01/26/07(7)		1,253,283		1,253,327
Nordea Bank AB
4.34%, 12/11/06(7)		592,769		592,769
Nordea Bank PLC
4.23%, 10/02/06		203,235		203,200
Northern Rock PLC
4.32%, 11/03/06(7)		406,470		406,484
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06(7)		921,333		921,333
Pfizer Investment Capital PLC
4.33%, 12/15/06(7)		846,813		846,813
Principal Life Income Funding Trusts
4.29%, 05/10/06		254,044		254,048
Royal Bank of Scotland
4.32% - 4.33%,
06/27/06 - 08/30/06		508,088		508,031
Sedna Finance Inc.
4.33% - 4.34%,
01/10/06 - 09/20/06(7)		287,916		287,916
Sigma Finance Inc.
4.07% - 4.35%,
01/09/06 - 08/15/06(7)		714,710		714,702
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(7)		338,725		338,725
Societe Generale
4.26% - 4.32%,
03/30/06 - 01/02/07(7)		525,024		525,002
Strips III LLC
4.43%, 07/24/06(7)(8)		91,359		91,359
SunTrust Bank
4.19%, 04/28/06		508,088		508,088
Tango Finance Corp.
4.33% - 4.34%,
05/25/06 - 09/27/06(7)		755,357		755,306
Toyota Motor Credit Corp.
4.23% - 4.30%,
01/09/06 - 04/10/06		745,196		745,194
Unicredito Italiano SpA
4.43%, 06/14/06		440,343		440,274
Union Hamilton Special Funding LLC
4.52%, 03/28/06(7)		338,725		338,725
US Bank N.A.
4.31%, 09/29/06		152,426		152,397
Variable Funding Capital Corp.
4.29% - 4.32%,
02/16/06 - 03/13/06		1,100,857		1,100,857
Wachovia Asset Securitization Inc.
4.37%, 01/25/06(7)		698,917		698,917
Wells Fargo & Co.
4.36%, 09/15/06(7)		169,363		169,374

37

LIFEPATH 2020 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
WhistleJacket Capital LLC
4.33% - 4.35%,
01/17/06 - 07/28/06(7)	$	372,598	$	372,573
White Pine Finance LLC
4.32% - 4.37%,
01/13/06 - 06/20/06(7)		694,387		694,381
Winston Funding Ltd.
4.26%, 01/23/06(7)		241,850		241,850
World Savings Bank
4.29%, 03/09/06		508,088		508,083
				34,747,957
TOTAL SHORT-TERM INVESTMENTS (Cost: $71,471,579)				71,471,579
TOTAL INVESTMENTS – 105.60%				1,124,682,857
Other Assets, Less Liabilities – (5.60)%				(59,593,236	)
NET ASSETS – 100.00%			$	1,065,089,621

⁽¹⁾ The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

⁽²⁾ All or a portion of this security represents a security on loan. See Note 4.

⁽³⁾ All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

⁽⁴⁾ The rate quoted is the annualized seven-day yield of the fund at period end.

⁽⁵⁾ Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

⁽⁶⁾ Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

⁽⁷⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽⁸⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

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

38

LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Shares or Principal		Value
MASTER PORTFOLIOS – 68.54%
Active Stock Master Portfolio(1)			$	315,001,257
CoreAlpha Bond Master Portfolio(1)				148,830,081
TOTAL MASTER PORTFOLIOS				463,831,338
EXCHANGE-TRADED FUNDS – 29.12%
iShares MSCI EAFE Index Fund(1)		2,206,118		131,175,776
iShares S&P MidCap 400 Index Fund(1)(2)		596,383		44,013,065
iShares S&P SmallCap 600 Index Fund(1)(2)		379,244		21,920,303
TOTAL EXCHANGE-TRADED FUNDS
(Cost: $166,126,439)				197,109,144
SHORT-TERM INVESTMENTS – 4.39%
CERTIFICATES OF DEPOSIT(3) – 0.16%
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06	$	60,956		60,956
Credit Suisse First Boston NY
4.03%, 01/04/06		60,961		60,961
First Tennessee Bank
4.18%, 01/26/06		18,898		18,897
Fortis Bank NY
3.83% - 3.84%, 01/25/06		182,883		182,883
Toronto-Dominion Bank
3.94%, 07/10/06		60,961		60,961
Wells Fargo Bank N.A.
4.26% - 4.78%,
01/09/06 - 12/05/06		524,264		524,263
Wilmington Trust Corp.
4.24% - 4.30%,
01/27/06 - 01/31/06		182,883		182,884
				1,091,805
COMMERCIAL PAPER(3) – 0.79%
Amstel Funding Corp.
3.91% - 4.40%,
01/04/06 - 05/08/06		371,862		370,034
Bryant Park Funding LLC
3.92%, 02/22/06		31,111		30,941
CAFCO LLC
4.19% - 4.23%,
01/27/06 - 02/06/06		262,132		261,212
CC USA Inc.
4.23%, 04/21/06		36,577		36,112
Charta LLC
4.25%, 01/26/06		91,441		91,193
Chesham Finance LLC
4.22% - 4.30%,
01/03/06 - 01/30/06		372,258		371,813
CRC Funding LLC
4.19% - 4.25%,
01/27/06 - 02/06/06		448,672		447,182
Dorada Finance Inc.
3.76%, 01/26/06		12,192		12,163
Ebury Finance Ltd.
4.30%, 01/30/06		170,691		170,140
Edison Asset Securitization LLC
4.37%, 05/08/06		60,961		60,036
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		101,195		101,029
Ford Credit Floorplan Motown
4.05%, 01/06/06		243,844		243,761
Galaxy Funding Inc.
4.23%, 04/18/06		34,992		34,560
Gemini Securitization Corp.
4.25%, 01/30/06		60,961		60,767
Georgetown Funding Co. LLC
4.23% - 4.28%,
01/05/06 - 01/19/06		596,794		596,362
Giro Funding US Corp.
4.23% - 4.24%,
01/09/06 - 01/13/06		103,634		103,546
Grampian Funding LLC
3.84% - 4.41%,
01/31/06 - 05/15/06		182,883		181,533
HSBC PLC
3.88%, 02/03/06		36,577		36,454
Jupiter Securitization Corp.
4.23%, 01/24/06		42,673		42,567
Liberty Street Funding Corp.
4.23%, 01/04/06		48,769		48,763
Lockhart Funding LLC
4.01% - 4.30%,
01/04/06 - 01/23/06		151,183		150,997
Mortgage Interest Networking Trust
4.28% - 4.34%,
01/17/06 - 01/25/06		128,018		127,745
Nordea North America Inc.
4.16%, 04/04/06		128,018		126,672
Prudential Funding LLC
4.27%, 01/17/06		243,844		243,439
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		121,922		121,326
Sedna Finance Inc.
3.92%, 02/21/06		30,480		30,318
Sigma Finance Inc.
4.16%, 04/06/06		73,153		72,367
Solitaire Funding Ltd.
4.24%, 01/23/06		299,111		298,406
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		32,697		32,693

39

LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares or Principal		Value
COMMERCIAL PAPER (Continued)
Three Pillars Funding Corp.
4.03% - 4.27%,
01/03/06 - 01/17/06	$	388,592	$	388,499
Thunder Bay Funding Inc.
4.22%, 01/13/06		12,192		12,178
Ticonderoga Funding LLC
4.27%, 01/05/06		30,480		30,473
Tulip Funding Corp.
4.25% - 4.28%,
01/03/06 - 01/31/06		429,118		428,044
				5,363,325
LOAN PARTICIPATIONS(3) – 0.01%
Army & Air Force Exchange Service
4.24%, 02/01/06		60,961		60,961
				60,961
MEDIUM-TERM NOTES(3) – 0.06%
Dorada Finance Inc.
3.93%, 07/07/06		37,796		37,794
K2 USA LLC
3.94%, 07/07/06		73,153		73,151
Marshall & Ilsley Bank
5.18%, 12/15/06		121,922		122,320
Toronto-Dominion Bank
3.81%, 06/20/06		152,402		152,409
US Bank N.A.
2.85%, 11/15/06		24,384		23,996
				409,670
MONEY MARKET FUNDS – 0.99%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
4.25%(1)(4)		6,724,758		6,724,758
				6,724,758
REPURCHASE AGREEMENTS(3) – 0.38%
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $609,905 and an effective yield of 4.37%.(5)	$	609,609		609,609
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $48,792 and an effective yield of 4.32%.(5)		48,769		48,769
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $975,845 and an effective yield of 4.34%.(6)		975,375		975,375
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $914,854 and an effective yield of 4.33%.(6)		914,414		914,414
				2,548,167
TIME DEPOSITS(3) – 0.15%
UBS AG
4.06%, 01/03/06		731,531		731,531
Wells Fargo Bank N.A.
4.00%, 01/03/06		252,599		252,599
				984,130
VARIABLE & FLOATING RATE NOTES(3) – 1.85%
Allstate Life Global Funding II
4.36% - 4.43%,
11/09/06 - 01/16/07 (7)		428,555		428,660
American Express Bank
4.33% - 4.34%,
01/24/06 - 10/25/06		469,399		469,396
American Express Centurion Bank
4.33% - 4.34%,
06/29/06 - 07/19/06		201,171		201,171
American Express Credit Corp.
4.39%, 11/06/07		36,577		36,613
ASIF Global Financing
4.34% - 4.55%,
05/30/06 - 08/11/06 (7)		396,246		396,412
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(7)		79,249		79,249
Bank of America N.A.
4.31%, 08/10/06		609,609		609,609
Bank of Ireland
4.34%, 12/20/06(7)		121,922		121,922
Bank of Nova Scotia
4.22%, 01/03/06		48,769		48,769
Beta Finance Inc.
4.29% - 4.33%,
04/25/06 - 06/09/06 (7)		303,585		303,574
BMW US Capital LLC
4.34%, 12/15/06(7)		121,922		121,922
CC USA Inc.
4.32% - 4.35%,
03/23/06 - 07/14/06 (7)		327,970		327,962
Commodore CDO Ltd.
4.56%, 06/13/06(7)		30,480		30,480
Credit Suisse First Boston NY
4.31% - 4.35%
05/09/06 - 07/19/06		426,727		426,727
DEPFA Bank PLC
4.50%, 12/15/06		121,922		121,922

40

LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
Descartes Funding Trust
4.37%, 11/15/06(7)	$	54,865	$	54,865
Dexia Credit Local
4.33%, 08/30/06		60,961		60,953
Dorada Finance Inc.
4.33% - 4.36%,
03/27/06 - 06/26/06(7)		193,856		193,859
Eli Lilly Services Inc.
4.26%, 09/01/06(7)		121,922		121,922
Fairway Finance Corp.
4.32% - 4.42%,
01/18/06 - 01/20/06		121,922		121,922
Fifth Third Bancorp.
4.35%, 11/22/06(7)		243,844		243,844
Five Finance Inc.
4.34% - 4.37%,
02/27/06 - 06/26/06(7)		85,345		85,345
General Electric Capital Corp.
4.44%, 01/09/07		54,865		54,909
Greenwich Capital Holdings Inc.
4.25% - 4.32%,
02/10/06 - 03/02/06		91,441		91,441
Hartford Life Global Funding Trusts
4.36%, 02/17/07		121,922		121,922
HBOS Treasury Services PLC
4.32% - 4.57%,
01/10/06 - 10/24/06		365,765		365,766
Holmes Financing PLC
4.33%, 12/15/06(7)		335,285		335,285
HSBC Bank USA N.A.
4.27% - 4.39%,
05/04/06 - 08/03/06		103,634		103,657
K2 USA LLC
4.25% - 4.36%,
02/15/06 - 09/11/06(7)		353,573		353,559
Leafs LLC
4.37%, 01/20/06 - 02/21/06(7)		127,833		127,833
Links Finance LLC
4.32% - 4.40%,
01/20/06 - 03/15/06(7)		414,534		414,547
Lothian Mortgages PLC
4.37%, 01/24/06(7)		60,961		60,961
Marshall & Ilsley Bank
4.35% - 4.47%,
02/20/06 - 12/15/06		188,979		188,998
Metropolitan Life Global Funding I
4.31% - 4.55%,
08/28/06 - 01/05/07(7)		364,546		364,743
Mound Financing PLC
4.30%, 11/08/06(7)		243,844		243,844
Natexis Banques Populaires
4.35%, 01/12/07(7)		91,441		91,441
National City Bank (Ohio)
4.26%, 01/06/06		60,961		60,961
Nationwide Building Society
4.33% - 4.58%,
01/13/06 - 01/26/07(7)		451,111		451,126
Nordea Bank AB
4.34%, 12/11/06(7)		213,363		213,363
Nordea Bank PLC
4.23%, 10/02/06		73,153		73,140
Northern Rock PLC
4.32%, 11/03/06(7)		146,306		146,311
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06(7)		331,627		331,627
Pfizer Investment Capital PLC
4.33%, 12/15/06(7)		304,805		304,805
Principal Life Income Funding Trusts
4.29%, 05/10/06		91,441		91,443
Royal Bank of Scotland
4.32% - 4.33%,
06/27/06 - 08/30/06		182,883		182,863
Sedna Finance Inc.
4.33% - 4.34%,
01/10/06 - 09/20/06(7)		103,634		103,633
Sigma Finance Inc.
4.07% - 4.35%,
01/09/06 - 08/15/06(7)		257,255		257,252
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(7)		121,922		121,922
Societe Generale
4.26% - 4.32%,
03/30/06 - 01/02/07(7)		188,979		188,970
Strips III LLC
4.43%, 07/24/06(7)(8)		32,884		32,884
SunTrust Bank
4.19%, 04/28/06		182,883		182,883
Tango Finance Corp.
4.33% - 4.34%,
05/25/06 - 09/27/06(7)		271,886		271,867
Toyota Motor Credit Corp.
4.23% - 4.30%,
01/09/06 - 04/10/06		268,228		268,228
Unicredito Italiano SpA
4.43%, 06/14/06		158,498		158,473
Union Hamilton Special Funding LLC
4.52%, 03/28/06(7)		121,922		121,922
US Bank N.A.
4.31%, 09/29/06		54,865		54,854
Variable Funding Capital Corp.
4.29% - 4.32%,
02/16/06 - 03/13/06		396,246		396,246
Wachovia Asset Securitization Inc.
4.37%, 01/25/06(7)		251,570		251,571
Wells Fargo & Co.
4.36%, 09/15/06(7)		60,961		60,965

41

LIFEPATH 2030 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
WhistleJacket Capital LLC
4.33% - 4.35%,
01/17/06 - 07/28/06(7)	$	134,114	$	134,106
White Pine Finance LLC
4.32% - 4.37%,
01/13/06 - 06/20/06(7)		249,940		249,937
Winston Funding Ltd.
4.26%, 01/23/06(7)		87,052		87,052
World Savings Bank
4.29%, 03/09/06		182,883		182,881
				12,507,289
TOTAL SHORT-TERM INVESTMENTS
(Cost: $29,690,105)				29,690,105
TOTAL INVESTMENTS – 102.05%				690,630,587
Other Assets, Less Liabilities – (2.05)%				(13,886,052	)
NET ASSETS – 100.00%			$	676,744,535

⁽¹⁾ The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

⁽²⁾ All or a portion of this security represents a security on loan. See Note 4.

⁽³⁾ All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

⁽⁴⁾ The rate quoted is the annualized seven-day yield of the fund at period end.

⁽⁵⁾ Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

⁽⁶⁾ Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

⁽⁷⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽⁸⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

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

42

LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Shares or Principal		Value
MASTER PORTFOLIOS – 66.01%
Active Stock Master Portfolio(1)			$	240,018,965
CoreAlpha Bond Master Portfolio(1)				47,727,754
TOTAL MASTER PORTFOLIOS				287,746,719
EXCHANGE-TRADED FUNDS – 31.13%
iShares MSCI EAFE Index Fund(1)(2)		1,469,305		87,364,875
iShares S&P MidCap 400 Index Fund(1)(2)		438,143		32,334,953
iShares S&P SmallCap 600 Index Fund(1)(2)		277,052		16,013,606
TOTAL EXCHANGE-TRADED FUNDS (Cost: $116,469,492)				135,713,434
SHORT-TERM INVESTMENTS – 5.65%
CERTIFICATES OF DEPOSIT(3) – 0.22%
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06	$	53,526		53,531
Credit Suisse First Boston NY
4.03%, 01/04/06		53,526		53,526
First Tennessee Bank
4.18%, 01/26/06		16,593		16,592
Fortis Bank NY
3.83% - 3.84%, 01/25/06		160,577		160,577
Toronto-Dominion Bank
3.94%, 07/10/06		53,526		53,526
Wells Fargo Bank N.A.
4.26% - 4.78%,
01/09/06 - 12/05/06		460,320		460,319
Wilmington Trust Corp.
4.24% - 4.30%,
01/27/06 - 01/31/06		160,577		160,578
				958,649
COMMERCIAL PAPER(3) – 1.08%
Amstel Funding Corp.
3.91% - 4.40%,
01/04/06 - 05/08/06		326,506		324,901
Bryant Park Funding LLC
3.92%, 02/22/06		27,316		27,168
CAFCO LLC
4.19% - 4.23%,
01/27/06 - 02/06/06		230,160		229,354
CC USA Inc.
4.23%, 04/21/06		32,115		31,708
Charta LLC
4.25%, 01/26/06		80,288		80,070
Chesham Finance LLC
4.22% - 4.30%,
01/03/06 - 01/30/06		326,854		326,465
CRC Funding LLC
4.19% - 4.25%,
01/27/06 - 02/06/06		393,948		392,639
Dorada Finance Inc.
3.76%, 01/26/06		10,705		10,679
Ebury Finance Ltd.
4.30%, 01/30/06		149,872		149,388
Edison Asset Securitization LLC
4.37%, 05/08/06		53,526		52,713
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		88,852		88,707
Ford Credit Floorplan Motown
4.05%, 01/06/06		214,102		214,030
Galaxy Funding Inc.
4.23%, 04/18/06		30,724		30,345
Gemini Securitization Corp.
4.25%, 01/30/06		53,526		53,355
Georgetown Funding Co. LLC
4.23% - 4.28%,
01/05/06 - 01/19/06		524,004		523,624
Giro Funding US Corp.
4.23% - 4.24%,
01/09/06 - 01/13/06		90,994		90,916
Grampian Funding LLC
3.84% - 4.41%,
01/31/06 - 05/15/06		160,577		159,391
HSBC PLC
3.88%, 02/03/06		32,115		32,008
Jupiter Securitization Corp.
4.23%, 01/24/06		37,468		37,375
Liberty Street Funding Corp.
4.23%, 01/04/06		42,820		42,815
Lockhart Funding LLC
4.01% - 4.30%,
01/04/06 - 01/23/06		132,743		132,580
Mortgage Interest Networking Trust
4.28% - 4.34%,
01/17/06 - 01/25/06		112,404		112,164
Nordea North America Inc.
4.16%, 04/04/06		112,404		111,222
Prudential Funding LLC
4.27%, 01/17/06		214,102		213,747
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		107,051		106,528
Sedna Finance Inc.
3.92%, 02/21/06		26,763		26,620
Sigma Finance Inc.
4.16%, 04/06/06		64,231		63,540
Solitaire Funding Ltd.
4.24%, 01/23/06		262,629		262,010
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		28,709		28,706

43

LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares or Principal		Value
COMMERCIAL PAPER (Continued)
Three Pillars Funding Corp.
4.03% - 4.27%,
01/03/06 - 01/17/06	$	341,196	$	341,115
Thunder Bay Funding Inc.
4.22%, 01/13/06		10,705		10,693
Ticonderoga Funding LLC
4.27%, 01/05/06		26,763		26,756
Tulip Funding Corp.
4.25% - 4.28%,
01/03/06 - 01/31/06		376,780		375,836
				4,709,168
LOAN PARTICIPATIONS(3) – 0.01%
Army & Air Force Exchange Service
4.24%, 02/01/06		53,526		53,526
				53,526
MEDIUM-TERM NOTES(3) – 0.08%
Dorada Finance Inc.
3.93%, 07/07/06		33,186		33,184
K2 USA LLC
3.94%, 07/07/06		64,231		64,229
Marshall & Ilsley Bank
5.18%, 12/15/06		107,051		107,400
Toronto-Dominion Bank
3.81%, 06/20/06		133,814		133,820
US Bank N.A.
2.85%, 11/15/06		21,410		21,069
				359,702
MONEY MARKET FUNDS – 1.03%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
4.25%(1)(4)		4,478,589		4,478,589
				4,478,589
REPURCHASE AGREEMENTS(3) – 0.51%
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $535,516 and an effective yield of 4.37%.(5)	$	535,256		535,256
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $42,841 and an effective yield of 4.32%.(5)		42,820		42,820
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $856,823 and an effective yield of 4.34%.(6)		856,410		856,410
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $803,270 and an effective yield of 4.33%.(6)		802,884		802,884
				2,237,370
TIME DEPOSITS(3) – 0.20%
UBS AG
4.06%, 01/03/06		642,307		642,307
Wells Fargo Bank N.A.
4.00%, 01/03/06		221,790		221,790
				864,097
VARIABLE & FLOATING RATE NOTES(3) – 2.52%
Allstate Life Global Funding II
4.36% - 4.43%,
11/09/06 - 01/16/07(7)		376,285		376,377
American Express Bank
4.33% - 4.34%,
01/24/06 - 10/25/06		412,147		412,145
American Express Centurion Bank
4.33% - 4.34%,
06/29/06 - 07/19/06		176,634		176,634
American Express Credit Corp.
4.39%, 11/06/07		32,115		32,148
ASIF Global Financing
4.34% - 4.55%,
05/30/06 - 08/11/06(7)		347,916		348,062
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(7)		69,583		69,583
Bank of America N.A.
4.31%, 08/10/06		535,256		535,256
Bank of Ireland
4.34%, 12/20/06(7)		107,051		107,051
Bank of Nova Scotia
4.22%, 01/03/06		42,820		42,820
Beta Finance Inc.
4.29% - 4.33%,
04/25/06 - 06/09/06(7)		266,557		266,547
BMW US Capital LLC
4.34%, 12/15/06(7)		107,051		107,051
CC USA Inc.
4.32% - 4.35%,
03/23/06 - 07/14/06(7)		287,968		287,961
Commodore CDO Ltd.
4.56%, 06/13/06(7)		26,763		26,763
Credit Suisse First Boston NY
4.31% - 4.35%
05/09/06 - 07/19/06		374,679		374,679
DEPFA Bank PLC
4.50%, 12/15/06		107,051		107,051

44

LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
Descartes Funding Trust
4.37%, 11/15/06(7)	$	48,173	$	48,173
Dexia Credit Local
4.33%, 08/30/06		53,526		53,519
Dorada Finance Inc.
4.33% - 4.36%,
03/27/06 - 06/26/06(7)		170,211		170,215
Eli Lilly Services Inc.
4.26%, 09/01/06(7)		107,051		107,051
Fairway Finance Corp.
4.32% - 4.42%,
01/18/06 - 01/20/06		107,051		107,050
Fifth Third Bancorp.
4.35%, 11/22/06(7)		214,102		214,102
Five Finance Inc.
4.34% - 4.37%,
02/27/06 - 06/26/06(7)		74,936		74,936
General Electric Capital Corp.
4.44%, 01/09/07		48,173		48,212
Greenwich Capital Holdings Inc.
4.25% - 4.32%,
02/10/06 - 03/02/06		80,288		80,289
Hartford Life Global Funding Trusts
4.36%, 02/17/07		107,051		107,051
HBOS Treasury Services PLC
4.32% - 4.57%,
01/10/06 - 10/24/06		321,154		321,153
Holmes Financing PLC
4.33%, 12/15/06(7)		294,391		294,391
HSBC Bank USA N.A.
4.27% - 4.39%,
05/04/06 - 08/03/06		90,994		91,015
K2 USA LLC
4.25% - 4.36%,
02/15/06 - 09/11/06(7)		310,448		310,436
Leafs LLC
4.37%, 01/20/06 - 02/21/06(7)		112,241		112,241
Links Finance LLC
4.32% - 4.40%,
01/20/06 - 03/15/06(7)		363,974		363,986
Lothian Mortgages PLC
4.37%, 01/24/06(7)		53,526		53,526
Marshall & Ilsley Bank
4.35% - 4.47%,
02/20/06 - 12/15/06		165,929		165,946
Metropolitan Life Global Funding I
4.31% - 4.55%,
08/28/06 - 01/05/07(7)		320,083		320,256
Mound Financing PLC
4.30%, 11/08/06(7)		214,102		214,102
Natexis Banques Populaires
4.35%, 01/12/07(7)		80,288		80,288
National City Bank (Ohio)
4.26%, 01/06/06		53,526		53,525
Nationwide Building Society
4.33% - 4.58%,
01/13/06 - 01/26/07(7)		396,089		396,103
Nordea Bank AB
4.34%, 12/11/06(7)		187,340		187,340
Nordea Bank PLC
4.23%, 10/02/06		64,231		64,219
Northern Rock PLC
4.32%, 11/03/06(7)		128,461		128,466
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06(7)		291,179		291,179
Pfizer Investment Capital PLC
4.33%, 12/15/06(7)		267,628		267,628
Principal Life Income Funding Trusts
4.29%, 05/10/06		80,288		80,290
Royal Bank of Scotland
4.32% - 4.33%,
06/27/06 - 08/30/06		160,577		160,559
Sedna Finance Inc.
4.33% - 4.34%,
01/10/06 - 09/20/06(7)		90,993		90,993
Sigma Finance Inc.
4.07% - 4.35%,
01/09/06 - 08/15/06(7)		225,878		225,875
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(7)		107,051		107,051
Societe Generale
4.26% - 4.32%,
03/30/06 - 01/02/07(7)		165,929		165,922
Strips III LLC
4.43%, 07/24/06(7)(8)		28,873		28,873
SunTrust Bank
4.19%, 04/28/06		160,577		160,577
Tango Finance Corp.
4.33% - 4.34%,
05/25/06 - 09/27/06(7)		238,724		238,707
Toyota Motor Credit Corp.
4.23% - 4.30%,
01/09/06 - 04/10/06		235,513		235,512
Unicredito Italiano SpA
4.43%, 06/14/06		139,167		139,145
Union Hamilton Special Funding LLC
4.52%, 03/28/06(7)		107,051		107,051
US Bank N.A.
4.31%, 09/29/06		48,173		48,164
Variable Funding Capital Corp.
4.29% - 4.32%,
02/16/06 - 03/13/06		347,916		347,917
Wachovia Asset Securitization Inc.
4.37%, 01/25/06(7)		220,887		220,886
Wells Fargo & Co.
4.36%, 09/15/06(7)		53,526		53,529
WhistleJacket Capital LLC
4.33% - 4.35%,
01/17/06 - 07/28/06(7)		117,756		117,748

45

LIFEPATH 2040 MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
White Pine Finance LLC
4.32% - 4.37%,
01/13/06 - 06/20/06(7)	$	219,455	$	219,453
Winston Funding Ltd.
4.26%, 01/23/06(7)		76,435		76,435
World Savings Bank
4.29%, 03/09/06		160,577		160,575
				10,981,788
TOTAL SHORT-TERM INVESTMENTS (Cost: $24,642,889)				24,642,889
TOTAL INVESTMENTS – 102.79%				448,103,042
Other Assets, Less Liabilities – (2.79)%				(12,173,469	)
NET ASSETS – 100.00%			$	435,929,573

⁽¹⁾ The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2. ⁽²⁾ All or a portion of this security represents a security on loan. See Note 4.

⁽³⁾ All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

⁽⁴⁾ The rate quoted is the annualized seven-day yield of the fund at period end.

⁽⁵⁾ Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

⁽⁶⁾ Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

⁽⁷⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽⁸⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

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

46

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Shares	Value
COMMON STOCKS – 102.01%
AEROSPACE & DEFENSE – 1.49%
Lockheed Martin Corp.	226,691	$	14,424,348
Rockwell Collins Inc.	71,006		3,299,649
			17,723,997
AGRICULTURE – 2.50%
Altria Group Inc.	52,009		3,886,112
Archer-Daniels-Midland Co.(1)	530,202		13,074,781
Bunge Ltd.(1)	41,352		2,340,937
Reynolds American Inc.(1)	55,832		5,322,465
UST Inc.(1)	123,852		5,056,877
			29,681,172
AIRLINES – 0.08%
Southwest Airlines Co.	54,721		899,066
			899,066
AUTO PARTS & EQUIPMENT – 0.26%
American Axle & Manufacturing
Holdings Inc.(1)	31,121		570,448
Autoliv Inc.	55,375		2,515,132
			3,085,580
BANKS – 5.27%
Bank of America Corp.	706,334		32,597,314
Comerica Inc.	19,681		1,117,094
National City Corp.	15,259		512,245
TCF Financial Corp.	2,621		71,134
U.S. Bancorp	317,378		9,486,428
UnionBanCal Corp.	8,745		600,956
Wachovia Corp.(1)	344,479		18,209,160
			62,594,331
BEVERAGES – 2.61%
Anheuser-Busch Companies Inc.	217,054		9,324,640
Coca-Cola Co. (The)	291,191		11,737,909
Coca-Cola Enterprises Inc.	76,244		1,461,597
Pepsi Bottling Group Inc.(1)	275,936		7,894,529
PepsiAmericas Inc.	25,419		591,246
			31,009,921
BIOTECHNOLOGY – 0.84%
Amgen Inc.(2)	126,826		10,001,498
			10,001,498
BUILDING MATERIALS – 0.30%
Masco Corp.	117,289		3,540,955
			3,540,955
CHEMICALS – 1.42%
Dow Chemical Co. (The)	345,415		15,136,085
Eastman Chemical Co.(1)	29,287		1,510,916
Huntsman Corp.(2)	11,290		194,414
			16,841,415
COMMERCIAL SERVICES – 2.49%
Accenture Ltd.(1)	312,905		9,033,567
Apollo Group Inc. Class A(2)	15,679		947,952
Block (H & R) Inc.	94,641		2,323,437
Career Education Corp.(1)(2)	45,214		1,524,616
Cendant Corp.	685,537		11,825,513
Convergys Corp.(1)(2)	105,254		1,668,276
Deluxe Corp.(1)	3,844		115,858
Education Management Corp.(2)	4,168		139,670
Equifax Inc.	4,901		186,336
Manpower Inc.	26,274		1,221,741
PHH Corp.(2)	11,160		312,703
Rent-A-Center Inc.(2)	18,004		339,555
			29,639,224
COMPUTERS – 2.91%
Apple Computer Inc.(2)	268,711		19,317,634
Computer Sciences Corp.(1)(2)	132,393		6,704,382
Dell Inc.(2)	163,995		4,918,210
International Business Machines Corp.	21,929		1,802,564
Seagate Technology	91,739		1,833,863
			34,576,653
COSMETICS & PERSONAL CARE – 0.75%
Avon Products Inc.	14,982		427,736
Procter & Gamble Co.	147,219		8,521,036
			8,948,772
DISTRIBUTION & WHOLESALE – 0.62%
CDW Corp.(1)	62,088		3,574,406
Grainger (W.W.) Inc.	42,507		3,022,248
Ingram Micro Inc. Class A(2)	36,722		731,869
			7,328,523
DIVERSIFIED FINANCIAL SERVICES – 11.70%
Ameriprise Financial Inc.(1)	26,557		1,088,837
CIT Group Inc.	89,964		4,658,336
Citigroup Inc.	807,928		39,208,746
Countrywide Financial Corp.(1)	431,425		14,750,421
Federal Home Loan Mortgage Corp.	79,043		5,165,460
Federal National Mortgage Association	125,669		6,133,904
Goldman Sachs Group Inc. (The)	61,269		7,824,664
IndyMac Bancorp Inc.	43,527		1,698,424
JP Morgan Chase & Co.	699,866		27,777,682
MBNA Corp.	131,007		3,556,840
Merrill Lynch & Co. Inc.	114,904		7,782,448

47

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares	Value
DIVERSIFIED FINANCIAL SERVICES (Continued)
Morgan Stanley	338,856	$	19,226,689
Student Loan Corp.	857		179,310
			139,051,761
ELECTRIC – 2.28%
Alliant Energy Corp.	46,169		1,294,579
Constellation Energy Group Inc.	67,832		3,907,123
Edison International	192,738		8,405,304
Energy East Corp.	7,318		166,850
Entergy Corp.	75,784		5,202,572
FirstEnergy Corp.	140,263		6,871,484
NSTAR	7,387		212,007
Pepco Holdings Inc.	5,779		129,276
Puget Energy Inc.	16,686		340,728
TXU Corp.	12,072		605,894
			27,135,817
ELECTRONICS – 0.55%
Agilent Technologies Inc.(2)	194,709		6,481,863
			6,481,863
ENTERTAINMENT – 0.01%
Regal Entertainment Group Class A(1)	5,991		113,949
			113,949
FOOD – 0.91%
Hormel Foods Corp.	8,526		278,630
Pilgrim’s Pride Corp.(1)	24,355		807,612
Smithfield Foods Inc.(1)(2)	51,274		1,568,984
SUPERVALU Inc.(1)	120,410		3,910,917
Tyson Foods Inc. Class A(1)	245,850		4,204,035
			10,770,178
FOREST PRODUCTS & PAPER – 0.20%
Louisiana-Pacific Corp.	86,471		2,375,358
			2,375,358
GAS – 0.30%
NiSource Inc.	28,448		593,425
ONEOK Inc.	21,202		564,609
Sempra Energy	51,267		2,298,812
UGI Corp.	7,360		151,616
			3,608,462
HAND & MACHINE TOOLS – 0.31%
Black & Decker Corp.(1)	42,050		3,656,668
			3,656,668
HEALTH CARE – PRODUCTS – 5.29%
Alcon Inc.	34,579		4,481,438
Becton, Dickinson & Co.	216,450		13,004,316
Boston Scientific Corp.(2)	550,877		13,490,978
Guidant Corp.	5,244		339,549
Hillenbrand Industries Inc.	4,266		210,783
Johnson & Johnson	521,902		31,366,310
			62,893,374
HEALTH CARE – SERVICES – 2.09%
HCA Inc.	135,823		6,859,061
Health Management Associates Inc. Class A	13,352		293,210
Health Net Inc.(2)	4,000		206,200
Humana Inc.(2)	139,957		7,603,864
Lincare Holdings Inc.(2)	29,526		1,237,435
Quest Diagnostics Inc.	10,255		527,927
Sierra Health Services Inc.(1)(2)	25,983		2,077,601
UnitedHealth Group Inc.	96,583		6,001,668
			24,806,966
HOME BUILDERS – 0.51%
M.D.C. Holdings Inc.(1)	7,838		485,799
NVR Inc.(1)(2)	7,972		5,596,344
			6,082,143
HOME FURNISHINGS – 0.38%
Harman International Industries Inc.(1)	46,196		4,520,279
			4,520,279
HOUSEHOLD PRODUCTS & WARES – 1.36%
American Greetings Corp. Class A(1)	18,033		396,185
Blyth Inc.(1)	13,345		279,578
Clorox Co. (The)(1)	138,150		7,859,354
Kimberly-Clark Corp.(1)	128,273		7,651,484
			16,186,601
INSURANCE – 4.27%
ACE Ltd.(1)	138,042		7,376,964
Allstate Corp. (The)	74,608		4,034,055
American International Group Inc.	85,263		5,817,494
Axis Capital Holdings Ltd.	72,610		2,271,241
Everest Re Group Ltd.	47,689		4,785,591
Fidelity National Financial Inc.	55,504		2,041,992
Lincoln National Corp.(1)	99,419		5,272,190
MetLife Inc.	98,626		4,832,674
MGIC Investment Corp.(1)	11,939		785,825
Nationwide Financial Services Inc.(1)	29,954		1,317,976
Protective Life Corp.	13,870		607,090
Radian Group Inc.(1)	53,178		3,115,699
Reinsurance Group of America Inc.	25,699		1,227,384
RenaissanceRe Holdings Ltd.(1)	45,114		1,989,979
St. Paul Travelers Companies Inc.	76,822		3,431,639
StanCorp Financial Group Inc.	36,087		1,802,546
			50,710,339

48

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares	Value
INTERNET – 0.88%
Amazon.com Inc.(2)	48,511	$	2,287,294
Google Inc. Class A(2)	19,769		8,201,367
			10,488,661
INVESTMENT COMPANIES – 0.08%
American Capital Strategies Ltd.	25,732		931,756
			931,756
IRON & STEEL – 0.69%
Nucor Corp.	98,864		6,596,206
Steel Dynamics Inc.(1)	45,883		1,629,305
			8,225,511
LEISURE TIME – 1.18%
Brunswick Corp.	46,507		1,890,975
Polaris Industries Inc.(1)	25,794		1,294,859
Royal Caribbean Cruises Ltd.	195,028		8,787,962
Sabre Holdings Corp.	85,858		2,070,036
			14,043,832
LODGING – 0.07%
Choice Hotels International Inc.(1)	21,177		884,352
			884,352
MACHINERY – 0.57%
AGCO Corp.(2)	10,453		173,206
Cummins Inc.(1)	53,395		4,791,133
Graco Inc.(1)	48,582		1,772,271
			6,736,610
MANUFACTURING – 3.85%
General Electric Co.	773,980		27,127,999
Ingersoll-Rand Co. Class A	16,670		672,968
Parker Hannifin Corp.	21,671		1,429,419
3M Co.	213,166		16,520,365
			45,750,751
MEDIA – 1.66%
Comcast Corp. Class A(2)	363,867		9,445,987
Comcast Corp. Class A Special(2)	22,390		575,199
EchoStar Communications Corp.(2)	69,088		1,877,121
Gannett Co. Inc.	17,982		1,089,170
Media General Inc. Class A	1,533		77,723
Meredith Corp.	9,515		498,015
Tribune Co.	74,548		2,255,822
Viacom Inc. Class B	120,513		3,928,724
			19,747,761
MINING – 0.75%
Phelps Dodge Corp.	61,723		8,880,088
			8,880,088
OIL & GAS – 9.70%
Anadarko Petroleum Corp.	79,884		7,569,009
Chevron Corp.	71,118		4,037,369
ConocoPhillips	363,127		21,126,729
Devon Energy Corp.	91,821		5,742,485
Exxon Mobil Corp.	541,942		30,440,882
Marathon Oil Corp.(1)	80,599		4,914,121
Nabors Industries Ltd.(2)	18,282		1,384,862
Occidental Petroleum Corp.(1)	194,515		15,537,858
Patterson-UTI Energy Inc.(1)	169,029		5,569,506
Pogo Producing Co.(1)	54,031		2,691,284
Valero Energy Corp.(1)	313,688		16,186,301
			115,200,406
OIL & GAS SERVICES – 0.55%
Baker Hughes Inc.(1)	107,545		6,536,585
			6,536,585
PHARMACEUTICALS – 5.89%
Abbott Laboratories	28,785		1,134,993
Allergan Inc.(1)	105,422		11,381,359
Barr Pharmaceuticals Inc.(2)	47,085		2,932,925
Forest Laboratories Inc.(2)	31,074		1,264,090
Gilead Sciences Inc.(2)	289,717		15,247,806
King Pharmaceuticals Inc.(2)	66,908		1,132,083
Merck & Co. Inc.	235,248		7,483,239
Pfizer Inc.	1,028,445		23,983,337
Wyeth	117,713		5,423,038
			69,982,870
REAL ESTATE INVESTMENT TRUSTS – 0.25%
CBL & Associates Properties Inc.	3,681		145,436
Health Care Property Investors Inc.(1)	29,006		741,393
Health Care REIT Inc.	10,880		368,832
Hospitality Properties Trust	6,750		270,675
HRPT Properties Trust	12,790		132,377
Mack-Cali Realty Corp.	5,893		254,578
Mills Corp.	10,530		441,628
Trizec Properties Inc.(1)	24,558		562,869
			2,917,788
RETAIL – 6.39%
American Eagle Outfitters Inc.(1)	265,667		6,105,028
Applebee’s International Inc.	7,266		164,139
AutoNation Inc.(1)(2)	316,471		6,876,915
Barnes & Noble Inc.(1)	8,028		342,555
Brinker International Inc.	16,353		632,207
CBRL Group Inc.(1)	41,548		1,460,412
Claire’s Stores Inc.	31,404		917,625
Costco Wholesale Corp.	248,937		12,314,913
Darden Restaurants Inc.	6,269		243,739
GameStop Corp. Class B(2)	14,463		417,981
Gap Inc. (The)	161,407		2,847,219
Home Depot Inc.	530,758		21,485,084

49

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares or Principal	Value
RETAIL (Continued)
PETCO Animal Supplies Inc.(2)	15,179	$	333,179
Sonic Corp.(2)	23,606		696,377
Staples Inc.	66,014		1,499,178
Wal-Mart Stores Inc.	414,607		19,403,608
Yum! Brands Inc.	3,843		180,160
			75,920,319
SAVINGS & LOANS – 1.10%
Washington Mutual Inc.	301,052		13,095,762
			13,095,762
SEMICONDUCTORS – 3.74%
Intel Corp.	1,148,810		28,674,298
Lam Research Corp.(2)	95,872		3,420,713
QLogic Corp.(2)	62,736		2,039,547
Texas Instruments Inc.	322,096		10,329,619
			44,464,177
SOFTWARE – 4.74%
Adobe Systems Inc.	158,943		5,874,533
Autodesk Inc.	236,426		10,154,497
Dun & Bradstreet Corp.(2)	18,128		1,213,851
Fiserv Inc.(2)	15,504		670,858
Intuit Inc.(2)	3,751		199,928
Microsoft Corp.	1,459,651		38,169,874
			56,283,541
TELECOMMUNICATIONS – 6.61%
AT&T Inc.	69,264		1,696,275
CenturyTel Inc.	52,222		1,731,682
Cisco Systems Inc.(2)	1,396,553		23,908,987
Motorola Inc.	498,877		11,269,631
QUALCOMM Inc.(1)	415,727		17,909,519
Scientific-Atlanta Inc.	16,832		724,954
Telewest Global Inc.(2)	10,922		260,162
Verizon Communications Inc.	699,963		21,082,886
			78,584,096
TRANSPORTATION – 1.61%
Alexander & Baldwin Inc.	3,168		171,832
Burlington Northern Santa Fe Corp.(1)	141,252		10,003,467
Hunt (J.B.) Transport Services Inc.(1)	90,697		2,053,380
Landstar System Inc.	4,488		187,329
Norfolk Southern Corp.	30,927		1,386,457
Overseas Shipholding Group Inc.(1)	19,093		962,096
Ryder System Inc.(1)	85,077		3,489,859
Teekay Shipping Corp.(1)	20,841		831,556
			19,085,976
TOTAL COMMON STOCKS (Cost: $1,120,899,530)			1,212,025,707
SHORT-TERM INVESTMENTS – 7.27%
CERTIFICATES OF DEPOSIT(3) – 0.32%
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06	213,375		213,375
Credit Suisse First Boston NY
4.03%, 01/04/06	213,375		213,375
First Tennessee Bank
4.18%, 01/26/06	66,146		66,143
Fortis Bank NY
3.83% - 3.84%, 01/25/06	640,124		640,124
Toronto-Dominion Bank
3.94%, 07/10/06	213,375		213,375
Wells Fargo Bank N.A.
4.26% - 4.78%,
01/09/06 - 12/05/06	1,835,021		1,835,017
Wilmington Trust Corp.
4.24% - 4.30%,
01/27/06 - 01/31/06	640,124		640,127
			3,821,536
COMMERCIAL PAPER(3) – 1.58%
Amstel Funding Corp.
3.91% - 4.40%,
01/04/06 - 05/08/06	1,301,585		1,295,190
Bryant Park Funding LLC
3.92%, 02/22/06	108,894		108,301
CAFCO LLC
4.19% - 4.23%,
01/27/06 - 02/06/06	917,511		914,294
CC USA Inc.
4.23%, 04/21/06	128,025		126,400
Charta LLC
4.25%, 01/26/06	320,062		319,193
Chesham Finance LLC
4.22% - 4.30%,
01/03/06 - 01/30/06	1,302,972		1,301,419
CRC Funding LLC
4.19% - 4.25%,
01/27/06 - 02/06/06	1,570,437		1,565,219
Dorada Finance Inc.
3.76%, 01/26/06	42,675		42,572
Ebury Finance Ltd.
4.30%, 01/30/06	597,449		595,522
Edison Asset Securitization LLC
4.37%, 05/08/06	213,375		210,137
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06	354,202		353,620
Ford Credit Floorplan Motown
4.05%, 01/06/06	853,498		853,210
Galaxy Funding Inc.
4.23%, 04/18/06	122,477		120,966
Gemini Securitization Corp.
4.25%, 01/30/06	213,375		212,694

50

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares or Principal		Value
COMMERCIAL PAPER (Continued)
Georgetown Funding Co. LLC
4.23% - 4.28%,
01/05/06 - 01/19/06	$	2,088,890	$	2,087,377
Giro Funding US Corp.
4.23% - 4.24%,
01/09/06 - 01/13/06		362,737		362,431
Grampian Funding LLC
3.84% - 4.41%,
01/31/06 - 05/15/06		640,124		635,399
HSBC PLC
3.88%, 02/03/06		128,025		127,597
Jupiter Securitization Corp.
4.23%, 01/24/06		149,362		148,994
Liberty Street Funding Corp.
4.23%, 01/04/06		170,700		170,680
Lockhart Funding LLC
4.01% - 4.30%,
01/04/06 - 01/23/06		529,169		528,520
Mortgage Interest Networking Trust
4.28% - 4.34%,
01/17/06 - 01/25/06		448,087		447,131
Nordea North America Inc.
4.16%, 04/04/06		448,087		443,374
Prudential Funding LLC
4.27%, 01/17/06		853,498		852,081
Santander Central Hispano
Finance Inc.
3.91%, 02/17/06		426,749		424,663
Sedna Finance Inc.
3.92%, 02/21/06		106,687		106,118
Sigma Finance Inc.
4.16%, 04/06/06		256,050		253,298
Solitaire Funding Ltd.
4.24%, 01/23/06		1,046,944		1,044,478
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		114,446		114,432
Three Pillars Funding Corp.
4.03% - 4.27%,
01/03/06 - 01/17/06		1,360,144		1,359,820
Thunder Bay Funding Inc.
4.22%, 01/13/06		42,675		42,625
Ticonderoga Funding LLC
4.27%, 01/05/06		106,687		106,662
Tulip Funding Corp.
4.25% - 4.28%,
01/03/06 - 01/31/06		1,501,995		1,498,233
				18,772,650
LOAN PARTICIPATIONS(3) – 0.02%
Army & Air Force Exchange Service
4.24%, 02/01/06		213,375		213,375
				213,375
MEDIUM-TERM NOTES(3) – 0.12%
Dorada Finance Inc.
3.93%, 07/07/06		132,292		132,286
K2 USA LLC
3.94%, 07/07/06		256,050		256,043
Marshall & Ilsley Bank
5.18%, 12/15/06		426,749		428,141
Toronto-Dominion Bank
3.81%, 06/20/06		533,436		533,460
US Bank N.A.
2.85%, 11/15/06		85,350		83,990
				1,433,920
MONEY MARKET FUNDS – 0.48%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
4.25%(4)(5)		5,678,236		5,678,236
				5,678,236
REPURCHASE AGREEMENTS(3) – 0.75%
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $2,134,523 and an effective yield of 4.37%.(6)	$	2,133,746		2,133,746
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $170,761 and an effective yield of 4.32%.(6)		170,700		170,700
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $3,415,228 and an effective yield of 4.34%.(7)		3,413,993		3,413,993
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $3,201,774 and an effective yield of 4.33%.(7)		3,200,619		3,200,619
				8,919,058
TIME DEPOSITS(3) – 0.29%
UBS AG
4.06%, 01/03/06		2,560,495		2,560,495
Wells Fargo Bank N.A.
4.00%, 01/03/06		884,143		884,143
				3,444,638
U.S. TREASURY OBLIGATIONS – 0.03%
U.S. Treasury Bill
3.89%, 03/23/06(8)(9)		350,000		346,970
				346,970

51

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES(3) – 3.68%
Allstate Life Global Funding II
4.36% - 4.43%,
11/09/06 - 01/16/07(10)	$	1,500,023	$	1,500,389
American Express Bank
4.33% - 4.34%,
01/24/06 - 10/25/06		1,642,984		1,642,977
American Express Centurion Bank
4.33% - 4.34%,
06/29/06 - 07/19/06		704,136		704,136
American Express Credit Corp.
4.39%, 11/06/07		128,025		128,154
ASIF Global Financing
4.34% - 4.55%,
05/30/06 - 08/11/06(10)		1,386,935		1,387,515
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(10)		277,387		277,387
Bank of America N.A.
4.31%, 08/10/06		2,133,746		2,133,746
Bank of Ireland
4.34%, 12/20/06(10)		426,749		426,749
Bank of Nova Scotia
4.22%, 01/03/06		170,700		170,700
Beta Finance Inc.
4.29% - 4.33%,
04/25/06 - 06/09/06(10)		1,062,605		1,062,563
BMW US Capital LLC
4.34%, 12/15/06(10)		426,749		426,749
CC USA Inc.
4.32% - 4.35%,
03/23/06 - 07/14/06(10)		1,147,955		1,147,930
Commodore CDO Ltd.
4.56%, 06/13/06(10)		106,687		106,687
Credit Suisse First Boston NY
4.31% - 4.35%
05/09/06 - 07/19/06		1,493,622		1,493,622
DEPFA Bank PLC
4.50%, 12/15/06		426,749		426,749
Descartes Funding Trust
4.37%, 11/15/06(10)		192,037		192,037
Dexia Credit Local
4.33%, 08/30/06		213,375		213,347
Dorada Finance Inc.
4.33% - 4.36%,
03/27/06 - 06/26/06(10)		678,531		678,544
Eli Lilly Services Inc.
4.26%, 09/01/06(10)		426,749		426,749
Fairway Finance Corp.
4.32% - 4.42%,
01/18/06 - 01/20/06		426,749		426,748
Fifth Third Bancorp.
4.35%, 11/22/06(10)		853,498		853,498
Five Finance Inc.
4.34% - 4.37%,
02/27/06 - 06/26/06(10)		298,724		298,725
General Electric Capital Corp.
4.44%, 01/09/07		192,037		192,192
Greenwich Capital Holdings Inc.
4.25% - 4.32%,
02/10/06 - 03/02/06		320,062		320,062
Hartford Life Global Funding Trusts
4.36%, 02/17/07		426,749		426,749
HBOS Treasury Services PLC
4.32% - 4.57%,
01/10/06 - 10/24/06		1,280,248		1,280,247
Holmes Financing PLC
4.33%, 12/15/06(10)		1,173,560		1,173,560
HSBC Bank USA N.A.
4.27% - 4.39%,
05/04/06 - 08/03/06		362,737		362,821
K2 USA LLC
4.25% - 4.36%,
02/15/06 - 09/11/06(10)		1,237,573		1,237,524
Leafs LLC
4.37%,
01/20/06 - 02/21/06(10)		447,438		447,438
Links Finance LLC
4.32% - 4.40%,
01/20/06 - 03/15/06(10)		1,450,947		1,450,995
Lothian Mortgages PLC
4.37%, 01/24/06(10)		213,375		213,375
Marshall & Ilsley Bank
4.35% - 4.47%,
02/20/06 - 12/15/06		661,461		661,529
Metropolitan Life Global Funding I
4.31% - 4.55%,
08/28/06 - 01/05/07(10)		1,275,980		1,276,669
Mound Financing PLC
4.30%, 11/08/06(10)		853,498		853,498
Natexis Banques Populaires
4.35%, 01/12/07(10)		320,062		320,062
National City Bank (Ohio)
4.26%, 01/06/06		213,375		213,374
Nationwide Building Society
4.33% - 4.58%,
01/13/06 - 01/26/07(10)		1,578,972		1,579,026
Nordea Bank AB
4.34%, 12/11/06(10)		746,811		746,811
Nordea Bank PLC
4.23%, 10/02/06		256,050		256,005
Northern Rock PLC
4.32%, 11/03/06(10)		512,099		512,116
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06(10)		1,160,758		1,160,758
Pfizer Investment Capital PLC
4.33%, 12/15/06(10)		1,066,873		1,066,873

52

ACTIVE STOCK MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
Principal Life Income Funding Trusts
4.29%, 05/10/06	$	320,062	$	320,067
Royal Bank of Scotland
4.32% - 4.33%,
06/27/06 - 08/30/06		640,124		640,052
Sedna Finance Inc.
4.33% - 4.34%,
01/10/06 - 09/20/06(10)		362,737		362,735
Sigma Finance Inc.
4.07% - 4.35%,
01/09/06 - 08/15/06(10)		900,441		900,430
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(10)		426,749		426,749
Societe Generale
4.26% - 4.32%,
03/30/06 - 01/02/07(10)		661,461		661,432
Strips III LLC
4.43%, 07/24/06(10)(11)		115,101		115,101
SunTrust Bank
4.19%, 04/28/06		640,124		640,124
Tango Finance Corp.
4.33% - 4.34%,
05/25/06 - 09/27/06(10)		951,651		951,585
Toyota Motor Credit Corp.
4.23% - 4.30%,
01/09/06 - 04/10/06		938,848		938,845
Unicredito Italiano SpA
4.43%, 06/14/06		554,774		554,687
Union Hamilton Special Funding LLC
4.52%, 03/28/06(10)		426,749		426,749
US Bank N.A.
4.31%, 09/29/06		192,037		192,000
Variable Funding Capital Corp.
4.29% - 4.32%,
02/16/06 - 03/13/06		1,386,935		1,386,935
Wachovia Asset Securitization Inc.
4.37%, 01/25/06(10)		880,543		880,542
Wells Fargo & Co.
4.36%, 09/15/06(10)		213,375		213,389
WhistleJacket Capital LLC
4.33% - 4.35%,
01/17/06 - 07/28/06(10)		469,424		469,393
White Pine Finance LLC
4.32% - 4.37%,
01/13/06 - 06/20/06(10)		874,836		874,829
Winston Funding Ltd.
4.26%, 01/23/06(10)		304,699		304,699
World Savings Bank
4.29%, 03/09/06		640,124		640,118
				43,777,846
TOTAL SHORT-TERM INVESTMENTS
(Cost: $86,408,149)				86,408,229
TOTAL INVESTMENTS IN SECURITIES – 109.28% (Cost: $1,207,307,679)				1,298,433,936
Other Assets, Less Liabilities – (9.28)%				(110,221,439	)
NET ASSETS – 100.00%			$	1,188,212,497

⁽¹⁾ All or a portion of this security represents a security on loan. See Note 4.

⁽²⁾ Non-income earning security.

⁽³⁾ All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

⁽⁴⁾ The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

⁽⁵⁾ The rate quoted is the annualized seven-day yield of the fund at period end.

⁽⁶⁾ Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

⁽⁷⁾ Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

⁽⁸⁾ The rate quoted is the yield to maturity.

⁽⁹⁾ This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

⁽¹⁰⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽¹¹⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

As of December 31, 2005, the open futures contracts held by the Master Portfolio were as follows:

Futures Contracts (Expiration Date)	Number of Contracts	Notional Contract Value		Net Unrealized Depreciation
S&P 500 Index (03/17/06)	19	$	5,960,300	$	(109,694	)
				$	(109,694	)

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

53

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Principal		Value
CORPORATE BONDS & NOTES – 30.96%
ADVERTISING – 0.13%
Norfolk Southern Corp.
5.59%, 05/17/25	$	598,000	$	597,424
NTL Cable PLC
8.75%, 04/15/14		750,000		783,750
				1,381,174
AGRICULTURE – 0.34%
Monsanto Co.
5.50%, 08/15/25(1)		1,500,000		1,456,152
5.50%, 07/30/35		1,750,000		1,671,323
RJ Reynolds Tobacco Holdings Inc.
7.30%, 07/15/15(1)		500,000		510,000
				3,637,475
APPAREL – 0.07%
Levi Strauss & Co.
9.75%, 01/15/15		750,000		780,000
				780,000
AUTO MANUFACTURERS – 0.75%
DaimlerChrysler N.A. Holding Corp.
4.13%, 03/07/07		2,000,000		1,975,344
4.75%, 01/15/08		1,000,000		990,877
4.88%, 06/15/10		950,000		927,568
8.50%, 01/18/31		3,500,000		4,235,059
				8,128,848
BANKS – 1.73%
Bank of America Corp.
7.80%, 02/15/10		4,500,000		4,969,305
CIT Group Funding Company of Canada
4.90%, 07/01/10(1)		3,750,000		3,671,220
HSBC Bank USA N.A.
5.88%, 11/01/34		3,000,000		3,026,832
HSBC Holdings PLC
5.25%, 12/12/12		3,000,000		3,010,347
Wachovia Corp.
5.50%, 08/01/35		3,000,000		2,922,930
WellPoint Inc.
5.00%, 12/15/14		1,250,000		1,227,880
				18,828,514
BIOTECHNOLOGY – 0.13%
Genentech Inc.
4.75%, 07/15/15		1,500,000		1,459,642
				1,459,642
BUILDING MATERIALS – 0.04%
NTK Holdings Inc.
0.00%, 03/01/14		750,000		468,750
				468,750
CHEMICALS – 0.05%
Equistar Chemicals Funding
10.63%, 05/01/11		500,000		550,000
				550,000
COMMERCIAL SERVICES – 0.40%
Cendant Corp.
6.25%, 01/15/08		4,000,000		4,072,136
Williams Scotsman Inc.
8.50%, 10/01/15		250,000		258,750
				4,330,886
COMPUTER SYSTEMS – 0.02%
Lucent Technologies Inc.
6.45%, 03/15/29		250,000		214,375
				214,375
DIVERSIFIED FINANCIAL SERVICES – 6.73%
Alamosa Delaware Inc.
8.50%, 01/31/12		500,000		540,625
Boeing Capital Corp.
6.50%, 02/15/12		1,750,000		1,888,990
Caterpillar Financial Services Corp.
4.35%, 03/04/09		6,500,000		6,404,248
CIT Group Inc.
5.75%, 09/25/07		5,000,000		5,069,560
Countrywide Home Loans Inc.
5.50%, 02/01/07		3,000,000		3,014,571
5.63%, 05/15/07		1,500,000		1,512,754
Ford Motor Credit Co.
6.88%, 02/01/06		2,000,000		1,995,700
General Electric Capital Corp.
2.80%, 01/15/07		6,500,000		6,367,289
3.45%, 07/16/07		6,000,000		5,885,160
6.75%, 03/15/32		3,000,000		3,521,553
General Motors Acceptance Corp.
6.75%, 01/15/06		1,000,000		999,340
Goldman Sachs Group Inc.
3.88%, 01/15/09		3,000,000		2,912,271
5.13%, 01/15/15		3,500,000		3,460,418
Household Finance Corp.
4.13%, 12/15/08		2,000,000		1,952,912
HSBC Finance Corp.
4.13%, 03/11/08		2,000,000		1,964,916
Kinder Morgan Finance Co. ULC
6.40%, 01/05/36(1)		1,250,000		1,281,104
Lehman Brothers Holdings Inc.
4.80%, 03/13/14		1,000,000		976,392
5.00%, 01/14/11		3,000,000		2,993,775
Merrill Lynch & Co. Inc.
4.29%, 10/19/07		8,000,000		8,011,736
Residential Capital Corp.
6.38%, 06/30/10		4,200,000		4,267,683
SLM Corp.
5.63%, 04/10/07		7,500,000		7,544,902

54

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
DIVERSIFIED FINANCIAL SERVICES (Continued)
Vanguard Health Holding Co. II LLC
9.00%, 10/01/14	$	500,000	$	531,250
				73,097,149
ELECTRIC – 2.45%
Commonwealth Edison Co.
4.70%, 04/15/15		1,000,000		956,679
5.88%, 02/01/33		3,500,000		3,508,792
Constellation Energy Group Inc.
6.35%, 04/01/07		1,500,000		1,523,709
7.60%, 04/01/32		1,250,000		1,503,791
Mirant North America LLC
7.38%, 12/31/13(1)		250,000		252,812
Northern States Power
5.25%, 07/15/35		2,500,000		2,403,572
Pacific Gas & Electric Corp.
4.80%, 03/01/14		2,500,000		2,436,317
PSEG Power LLC
6.95%, 06/01/12		2,300,000		2,492,549
8.63%, 04/15/31		700,000		921,106
Sierra Pacific Resources
6.75%, 08/15/17(1)		750,000		746,250
Southern California Edison Co.
5.00%, 01/15/16		1,300,000		1,285,254
TXU Corp.
5.55%, 11/15/14		250,000		237,459
TXU Energy Co.
6.13%, 03/15/08(2)		5,750,000		5,844,495
7.00%, 03/15/13		2,325,000		2,477,669
				26,590,454
ELECTRONICS – 0.08%
Midwest Generation LLC
8.75%, 05/01/34		750,000		825,937
				825,937
ENTERTAINMENT – 0.13%
Cinemark Inc.
9.75%, 03/15/14		500,000		370,000
Gaylord Entertainment Co.
8.00%, 11/15/13		500,000		523,750
Pinnacle Entertainment Inc.
8.25%, 03/15/12		500,000		516,875
				1,410,625
FOOD – 0.95%
Albertson’s Inc.
7.50%, 02/15/11		500,000		510,344
Delhaize America Inc.
8.13%, 04/15/11		1,250,000		1,362,584
Kroger Co. (The)
8.05%, 02/01/10		5,000,000		5,428,895
Safeway Inc.
4.80%, 07/16/07		3,000,000		2,986,965
				10,288,788
FOREST PRODUCTS & PAPER – 0.21%
Weyerhaeuser Co.
6.13%, 03/15/07		2,204,000		2,236,178
				2,236,178
GAS – 0.02%
Colorado Interstate Gas Co.
6.80%, 11/15/15(1)		250,000		255,444
				255,444
HEALTH CARE – PRODUCTS – 0.27%
Boston Scientific Corp.
5.45%, 06/15/14		3,000,000		2,971,923
				2,971,923
HEALTH CARE – SERVICES – 0.69%
Res-Care Inc.
7.75%, 10/15/13(1)		250,000		250,000
UnitedHealth Group Inc.
3.30%, 01/30/08		3,665,000		3,552,349
4.88%, 03/15/15		1,250,000		1,224,981
5.00%, 08/15/14		2,500,000		2,487,775
				7,515,105
HOLDING COMPANIES – DIVERSIFIED – 0.03%
Marquee Holdings Inc.
12.00%, 08/15/14		500,000		318,750
				318,750
HOME BUILDERS – 0.04%
Standard Pacific Corp.
7.00%, 08/15/15		500,000		461,250
				461,250
HOUSEHOLD PRODUCTS & WARES – 0.48%
Clorox Co. (The)
4.61%, 12/14/07		5,250,000		5,259,434
				5,259,434
INSURANCE – 2.73%
AIG SunAmerica Global Finance IX
5.10%, 01/17/07(1)		5,000,000		5,009,350
Allstate Financial Global Funding
2.50%, 06/20/08(1)		4,970,000		4,694,314
American International Group Inc.
2.88%, 05/15/08		2,500,000		2,386,613
ASIF Global Financing XVII
3.85%, 11/26/07(1)		6,500,000		6,374,479

55

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
INSURANCE (Continued)
Berkshire Hathaway Finance Corp.
4.17%, 01/11/08	$	1,400,000	$	1,401,427
Hancock (John) Financial Services Inc.
5.63%, 12/01/08		4,000,000		4,079,156
Markel Corp.
7.35%, 08/15/34		1,000,000		1,076,014
MetLife Inc.
5.38%, 12/15/12		4,500,000		4,593,641
				29,614,994
LODGING – 0.89%
Harrah’s Operating Co. Inc.
7.13%, 06/01/07		3,650,000		3,742,622
Marriott International Inc.
4.63%, 06/15/12		750,000		721,869
5.81%, 11/10/15(1)		3,530,000		3,577,231
MGM Mirage
8.50%, 09/15/10		750,000		812,813
Starwood Hotels & Resorts Worldwide Inc.
7.88%, 05/01/12		750,000		826,875
				9,681,410
MACHINERY – 0.10%
Case Corp.
7.25%, 01/15/16		750,000		699,375
Columbus McKinnon Corp.
10.00%, 08/01/10		325,000		359,938
				1,059,313
MEDIA – 0.42%
CCH I LLC
11.00%, 10/01/15(1)		1,000,000		840,000
Dex Media East LLC
12.13%, 11/15/12		325,000		380,250
Dex Media Inc.
8.00%, 11/15/13		500,000		510,000
DirecTV Holdings LLC
6.38%, 06/15/15		500,000		488,750
Echostar DBS Corp.
6.38%, 10/01/11		250,000		240,625
Liberty Media Corp.
8.25%, 02/01/30		250,000		244,964
Sirius Satellite Radio Inc.
9.63%, 08/01/13(1)		250,000		246,250
Walt Disney Co. (The)
6.38%, 03/01/12		1,500,000		1,586,577
				4,537,416
OIL & GAS – 1.46%
Burlington Resources Finance Co.
7.20%, 08/15/31		2,300,000		2,844,610
Chesapeake Energy Corp.
6.88%, 01/15/16		500,000		512,500
Devon Financing Corp. ULC
7.88%, 09/30/31		1,250,000		1,588,374
Dexia Credit Local
4.88%, 07/01/15		1,750,000		1,710,373
Enterprise Products Operating LP
4.63%, 10/15/09		2,000,000		1,950,676
5.75%, 03/01/35		1,500,000		1,379,172
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%, 11/01/15(1)		250,000		254,375
Kerr-McGee Corp.
6.95%, 07/01/24		250,000		265,171
Parker Drilling Co.
9.63%, 10/01/13		500,000		558,125
Pemex Project Funding Master Trust
8.50%, 02/15/08		1,000,000		1,065,000
Pogo Producing Co.
6.63%, 03/15/15		500,000		487,500
Tesoro Corp.
6.25%, 11/01/12(1)		250,000		251,250
6.63%, 11/01/15(1)		250,000		252,500
Valero Energy Corp.
7.50%, 04/15/32		2,250,000		2,734,405
				15,854,031
OIL & GAS SERVICES – 0.01%
Grant Prideco Inc.
6.13%, 08/15/15(1)		100,000		99,750
				99,750
PACKAGING & CONTAINERS – 0.07%
Crown Americas Inc.
7.63%, 11/15/13(1)		500,000		518,750
Graham Packaging Co. Inc.
8.50%, 10/15/12		250,000		246,250
				765,000
PHARMACEUTICALS – 0.39%
AmerisourceBergen Corp.
5.63%, 09/15/12(1)		1,750,000		1,750,000
5.88%, 09/15/15(1)		250,000		252,188
Coventry Health Care Inc.
5.88%, 01/15/12		1,000,000		1,010,000
6.13%, 01/15/15		750,000		768,750
Omnicare Inc.
6.88%, 12/15/15		250,000		253,750
Warner Chilcott Corp.
8.75%, 02/01/15(1)		250,000		230,000
				4,264,688
PIPELINES – 0.71%
ANR Pipeline Co.
8.88%, 03/15/10		500,000		534,358
El Paso Corp.
7.80%, 08/01/31		250,000		249,375

56

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
PIPELINES (Continued)
Kinder Morgan Energy Partners LP
6.75%, 03/15/11	$	4,500,000	$	4,792,883
Pacific Energy Partners LP
6.25%, 09/15/15(1)		250,000		246,250
SemGroup LP
8.75%, 11/15/15(1)		500,000		511,250
Utilicorp United Inc.
7.63%, 11/15/09		500,000		510,000
Williams Companies Inc.
7.13%, 09/01/11		500,000		519,375
8.75%, 03/15/32		250,000		290,000
				7,653,491
REAL ESTATE INVESTMENT TRUSTS – 1.37%
Duke Realty LP
4.76%, 12/22/06		4,250,000		4,255,058
iStar Financial Inc.
5.13%, 04/01/11		4,000,000		3,897,560
5.15%, 03/01/12		1,000,000		968,453
Omega Healthcare Investors Inc.
7.00%, 01/15/16(1)		250,000		247,813
Simon Property Group LP
6.38%, 11/15/07		5,341,000		5,457,669
				14,826,553
RETAIL – 0.60%
Asbury Automotive Group Inc.
9.00%, 06/15/12		250,000		250,000
Denny’s Corp./Denny’s Holdings Inc.
10.00%, 10/01/12		500,000		507,500
Staples Inc.
7.38%, 10/01/12		740,000		824,868
Tricon Global Restaurants
7.65%, 05/15/08		3,000,000		3,166,338
8.88%, 04/15/11		1,550,000		1,774,626
				6,523,332
SEMICONDUCTORS – 0.05%
Freescale Semiconductor Inc.
6.90%, 07/15/09		500,000		513,750
				513,750
TELECOMMUNICATIONS – 4.85%
American Cellular Corp.
10.00%, 08/01/11		500,000		542,500
Ameritech Capital Funding Corp.
6.15%, 01/15/08		1,265,000		1,288,468
AT&T Wireless Services Inc.
8.75%, 03/01/31		1,000,000		1,324,818
CenturyTel Inc.
7.88%, 08/15/12		3,750,000		4,136,033
Cincinnati Bell Inc.
7.00%, 02/15/15		250,000		245,000
Citizens Communications Co.
6.25%, 01/15/13		1,000,000		967,500
Corning Inc.
6.05%, 06/15/15		2,500,000		2,481,103
Deutsche Telekom International
Finance AG
8.00%, 06/15/10		5,000,000		5,668,855
Dobson Communications Corp.
8.88%, 10/01/13		500,000		498,750
France Telecom SA
7.75%, 03/01/11		2,500,000		2,792,348
IWO Holdings Inc.
10.75%, 01/15/15		750,000		541,875
Motorola Inc.
4.61%, 11/16/07		5,700,000		5,664,386
Nextel Communications Inc.
5.95%, 03/15/14		2,200,000		2,211,524
Nextel Partners Inc.
8.13%, 07/01/11		3,000,000		3,206,250
Sprint Capital Corp.
6.00%, 01/15/07		6,000,000		6,058,674
Telecom Italia Capital SA
5.25%, 10/01/15		4,500,000		4,370,765
TELUS Corp.
7.50%, 06/01/07		3,600,000		3,717,486
UbiquiTel Operating Co.
9.88%, 03/01/11		250,000		276,875
US West Communications
6.88%, 09/15/33		250,000		235,000
Verizon New York Inc.
7.38%, 04/01/32		150,000		157,697
Verizon New York Inc. Class A
6.88%, 04/01/12		6,000,000		6,254,580
				52,640,487
TRANSPORTATION – 1.57%
Burlington Northern Santa Fe Corp.
7.88%, 04/15/07		4,850,000		5,019,706
CNF Inc.
6.70%, 05/01/34		2,500,000		2,620,815
FedEx Corp.
2.65%, 04/01/07		8,250,000		8,024,915
Norfolk Southern Corp.
7.25%, 02/15/31		652,000		790,880
8.63%, 05/15/10		500,000		566,057
				17,022,373
TOTAL CORPORATE BONDS & NOTES (Cost: $342,038,168)				336,067,289

57

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
COLLATERALIZED MORTGAGE OBLIGATIONS – 14.89%
ASSET-BACKED SECURITIES – 3.87%
Aegis Asset Backed Securities Trust Series 2005-1N Class N1
4.25%, 03/25/35(1)(3)	$	1,644,753	$	1,639,871
Asset Backed Funding Certificates Series 2005-AQ1 Class A2
4.30%, 06/25/35		7,700,000		7,603,819
Asset Backed Funding Corp NIM Trust Series 2004-OPT4 Class N1
4.45%, 05/26/34(1)		745,536		742,127
Bear Stearns Asset Backed Securities NIM Series 2004-HE5N
Class A2
5.00%, 07/25/34(1)		2,513,000		2,504,136
Bear Stearns Asset Backed Securities NIM Series 2004-HE6N Class A1
5.25%, 08/25/34(1)		1,764,979		1,757,435
Bear Stearns Asset Backed Securities NIM Series 2004-HE7N Class A1
5.25%, 08/25/34(1)(3)		3,467,802		3,463,467
Bear Stearns Asset Backed Securities NIM Series 2005-FR1 Class A1
5.00%, 06/25/35(1)		1,538,193		1,536,155
Bear Stearns Asset Backed Securities NIM Series 2005-HE9N Class A1
5.50%, 10/25/35(1)		4,508,684		4,503,234
Countrywide Asset-Backed Certificates Series 2004-10 Class AF3
3.84%, 10/25/30		4,176,000		4,134,744
Countrywide Asset-Backed Certificates Series 2004-10 Class AF4
4.51%, 07/25/32		7,500,000		7,410,369
Long Beach Asset Holdings Corp. Series 2005-1 Class N1
4.12%, 02/25/35(1)		1,659,873		1,653,953
Novastar NIM Trust Series 2004-N3
3.97%, 03/25/35(1)		2,461,447		2,450,329
Sasco Net Interest Margin Trust Series 2005-WF1A Class A
4.75%, 02/27/35(1)(3)		2,692,253		2,673,744
				42,073,383
MORTGAGE-BACKED SECURITIES – 11.02%
Ameriquest Mortgage Securities Inc. Series 2005-R3 Class A1A
4.58%, 05/25/35		3,779,426		3,778,610
Bank of America Alternative Loan Trust Series 2003-5 Class 2A1
5.00%, 07/25/18		3,968,173		3,904,932
Commercial Mortgage Pass Through Certificates Series 2001-J2A Class A1
5.45%, 07/16/34(1)		10,092,028		10,208,627
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CK6 Class A2
6.10%, 08/15/36		8,733,541		8,915,771
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-5 Class 5A1
5.00%, 08/25/19		5,040,793		4,944,705
GE Capital Commercial Mortgage Corp. Series 2003-C2 Class A2
4.17%, 07/10/37		3,200,000		3,129,858
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2001-CIC3 Class A2
6.04%, 11/15/35		2,100,000		2,147,312
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2004-C1 Class A
4.72%, 01/15/38		10,000,000		9,707,874
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP5 Class A3
5.21%, 12/15/44		10,000,000		10,049,707
Master Asset Securitization Trust Series 2003-10 Class 3A1
5.50%, 11/25/33		8,886,353		8,744,287
Master Asset Securitization Trust Series 2003-5 Class 4A4
5.50%, 06/25/33		2,744,200		2,695,778
MASTR Adjustable Rate Mortgages Trust Series 2004-11 Class 2A1
4.76%, 11/25/34		446,735		448,025
Merrill Lynch Mortgage Investors Inc. Series 2005-WMC2 Class A1B
4.64%, 04/25/36		4,891,891		4,892,675
Merrill Lynch Mortgage Trust Series 2004-MKB1 Class A2
4.35%, 02/12/42		3,000,000		2,939,092
Merrill Lynch Mortgage Trust Series 2005-LC1 Class A2
5.20%, 01/12/44		7,000,000		7,032,335
Merrill Lynch Mortgage Trust Series 2005-LC1 Class A3
5.29%, 01/12/44		3,000,000		3,016,232
Opteum NIM Trust Series 2005-1
6.00%, 02/25/35(1)		5,653,394		5,636,000

58

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
MORTGAGE-BACKED SECURITIES (Continued)
Option One Mortgage Loan Trust Series 2002-2 Class M2
5.53%, 06/25/32	$	999,466	$	1,000,115
Park Place Securities Inc. Series 2004-MHQ1 Class A3
4.74%, 01/25/33		1,980,236		1,982,813
Residential Funding Mortgage Securities I Series 2003-S15 Class A1
4.50%, 08/25/18		2,219,772		2,146,298
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 Class A3
5.13%, 12/15/44(3)		10,000,000		10,048,620
Wachovia Bank Commercial Mortgage Trust Series 2005-WHL6
4.87%, 10/15/17(1)		5,000,000		4,999,508
4.92%, 10/15/17(1)		5,000,000		4,999,508
Wells Fargo Mortgage-Backed Securities Trust Series 2003-10 Class A1
4.50%, 09/25/18		2,335,299		2,259,402
				119,628,084
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost: $162,835,377)				161,701,467
FOREIGN GOVERNMENT BONDS & NOTES(4) – 0.42%
United Mexican States
6.63%, 03/03/15		1,500,000		1,642,500
7.50%, 04/08/33		1,000,000		1,184,000
8.38%, 01/14/11		1,500,000		1,710,000
TOTAL FOREIGN GOVERNMENT BONDS & NOTES (Cost: $4,537,442)				4,536,500
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 55.72%
MORTGAGE-BACKED SECURITIES – 44.60%
Federal Home Loan Mortgage Corp.
4.50%, 11/01/18		7,873,589		7,679,260
4.50%, 04/15/20		11,513,000		11,068,383
4.57%, 04/15/28		5,266,944		5,263,847
5.00%, 06/15/24		9,324,482		9,315,902
5.50%, 03/15/25		4,185,642		445,968
5.50%, 07/15/26		9,558,163		9,630,644
5.50%, 05/01/34		94,105		93,334
5.50%, 10/01/34		794,367		787,853
5.50%, 06/01/35		14,616,234		14,496,378
5.50%, 01/01/36(5)		22,000,000		21,793,750
6.00%, 08/01/34		30,373,589		30,679,757
Federal National Mortgage Association
4.50%, 05/01/18		5,436,521		5,302,330
4.50%, 07/01/18		8,334,470		8,128,749
4.50%, 11/01/18		5,630,772		5,491,787
4.50%, 04/01/19		6,838,126		6,664,216
4.50%, 06/01/19		5,643,870		5,500,333
4.57%, 06/01/35		8,596,479		8,485,794
5.00%, 06/15/16		7,735,853		7,757,698
5.00%, 01/01/18		1,745,680		1,729,788
5.00%, 09/01/18		10,604,737		10,506,521
5.00%, 12/01/18		901,107		892,761
5.00%, 01/01/19		804,017		796,571
5.00%, 06/01/19		1,714,794		1,698,100
5.00%, 08/01/19		938,915		929,362
5.00%, 09/01/19		838,479		829,947
5.00%, 11/01/19		1,806,740		1,788,356
5.00%, 01/01/20		909,280		899,602
5.00%, 05/01/20		9,144,596		9,047,266
5.00%, 06/01/20		914,046		904,318
5.00%, 01/01/21(5)		49,000,000		48,464,038
5.00%, 11/01/33		60,464,028		58,796,499
5.00%, 12/01/33		19,384,189		18,849,595
5.00%, 03/01/34		9,694,214		9,426,858
5.00%, 09/01/35		466,129		451,660
5.03%, 07/01/35		3,773,742		3,740,580
5.23%, 05/01/35		2,769,189		2,764,348
5.50%, 09/01/19		6,025,231		6,064,692
5.50%, 10/01/19		4,749,134		4,780,237
5.50%, 04/25/26		12,450,161		12,525,306
5.50%, 07/01/33		38,122,959		37,843,385
5.50%, 01/01/34		8,798,489		8,733,965
5.50%, 03/01/35		1,503,459		1,489,050
6.00%, 03/01/33		850,862		859,745
6.00%, 08/01/34		852,500		860,560
6.00%, 09/01/34		1,713,169		1,729,367
6.00%, 10/01/34		937,733		946,600
6.00%, 11/01/34		318,534		321,546
6.00%, 01/01/35		896,725		905,226
6.00%, 05/01/35		20,671,453		20,867,402
6.50%, 09/01/34		11,125,381		11,413,658
6.50%, 01/01/36(5)		23,000,000		23,589,375
Government National Mortgage Association
5.50%, 01/01/36(5)		20,000,000		20,118,760
				484,151,027
U.S. GOVERNMENT AGENCY OBLIGATIONS – 3.98%
Federal National Mortgage Association
5.00%, 05/15/22		29,500,000		29,480,262
5.00%, 01/25/25		13,800,000		13,760,235
				43,240,497

59

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
U.S. GOVERNMENT SECURITIES – 7.14%
U.S. Treasury Bonds
5.38%, 02/15/31(2)	$	34,050,000	$	38,247,718
6.13%, 08/15/29(2)		7,800,000		9,501,071
U.S. Treasury Notes
1.63%, 02/28/06(6)		100,000		99,625
2.63%, 05/15/08(6)		398,000		382,329
3.13%, 04/15/09(6)		605,000		582,029
4.00%, 02/15/14(2)		29,500,000		28,700,284
				77,513,056
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost: $611,392,664)				604,904,580
SHORT-TERM INVESTMENTS – 14.56%
CERTIFICATES OF DEPOSIT(7) – 0.34%
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06		208,271		208,271
Credit Suisse First Boston NY
4.03%, 01/04/06		208,271		208,271
First Tennessee Bank
4.18%, 01/26/06		64,564		64,561
Fortis Bank NY
3.83% - 3.84%, 01/25/06		624,814		624,815
Toronto-Dominion Bank
3.94%, 07/10/06		208,271		208,271
Wells Fargo Bank N.A.
4.26% - 4.78%,
01/09/06 - 12/05/06		1,791,133		1,791,129
Wilmington Trust Corp.
4.24% - 4.30%,
01/27/06 - 01/31/06		624,814		624,817
				3,730,135
COMMERCIAL PAPER(7) – 1.69%
Amstel Funding Corp.
3.91% - 4.40%,
01/04/06 - 05/08/06		1,270,455		1,264,208
Bryant Park Funding LLC
3.92%, 02/22/06		106,289		105,710
CAFCO LLC
4.19% - 4.23%,
01/27/06 - 02/06/06		895,567		892,426
CC USA Inc.
4.23%, 04/21/06		124,963		123,377
Charta LLC
4.25%, 01/26/06		312,407		311,559
Chesham Finance LLC
4.22% - 4.30%,
01/03/06 - 01/30/06		1,271,809		1,270,293
CRC Funding LLC
4.19% - 4.25%,
01/27/06 - 02/06/06		1,532,877		1,527,783
Dorada Finance Inc.
3.76%, 01/26/06		41,654		41,554
Ebury Finance Ltd.
4.30%, 01/30/06		583,160		581,279
Edison Asset Securitization LLC
4.37%, 05/08/06		208,271		205,111
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		345,730		345,163
Ford Credit Floorplan Motown
4.05%, 01/06/06		833,085		832,804
Galaxy Funding Inc.
4.23%, 04/18/06		119,548		118,073
Gemini Securitization Corp.
4.25%, 01/30/06		208,271		207,607
Georgetown Funding Co. LLC
4.23% - 4.28%,
01/05/06 - 01/19/06		2,038,930		2,037,453
Giro Funding US Corp.
4.23% - 4.24%,
01/09/06 - 01/13/06		354,061		353,762
Grampian Funding LLC
3.84% - 4.41%,
01/31/06 - 05/15/06		624,814		620,203
HSBC PLC
3.88%, 02/03/06		124,963		124,545
Jupiter Securitization Corp.
4.23%, 01/24/06		145,790		145,430
Liberty Street Funding Corp.
4.23%, 01/04/06		166,617		166,597
Lockhart Funding LLC
4.01% - 4.30%,
01/04/06 - 01/23/06		516,513		515,879
Mortgage Interest Networking Trust
4.28% - 4.34%,
01/17/06 - 01/25/06		437,370		436,436
Nordea North America Inc.
4.16%, 04/04/06		437,370		432,771
Prudential Funding LLC
4.27%, 01/17/06		833,085		831,702
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		416,543		414,507
Sedna Finance Inc.
3.92%, 02/21/06		104,136		103,580
Sigma Finance Inc.
4.16%, 04/06/06		249,926		247,240
Solitaire Funding Ltd.
4.24%, 01/23/06		1,021,904		1,019,497
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		111,708		111,695
Three Pillars Funding Corp.
4.03% - 4.27%,
01/03/06 - 01/17/06		1,327,613		1,327,297

60

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Shares or Principal		Value
COMMERCIAL PAPER (Continued)
Thunder Bay Funding Inc.
4.22%, 01/13/06	$	41,654	$	41,605
Ticonderoga Funding LLC
4.27%, 01/05/06		104,136		104,111
Tulip Funding Corp.
4.25% - 4.28%,
01/03/06 - 01/31/06		1,466,072		1,462,400
				18,323,657
LOAN PARTICIPATIONS(7) – 0.02%
Army & Air Force Exchange Service
4.24%, 02/01/06		208,271		208,271
				208,271
MEDIUM-TERM NOTES(7) – 0.13%
Dorada Finance Inc.
3.93%, 07/07/06		129,128		129,122
K2 USA LLC
3.94%, 07/07/06		249,926		249,919
Marshall & Ilsley Bank
5.18%, 12/15/06		416,543		417,901
Toronto-Dominion Bank
3.81%, 06/20/06		520,678		520,702
US Bank N.A.
2.85%, 11/15/06		83,309		81,981
				1,399,625
MONEY MARKET FUNDS – 7.33%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares
4.25%(8)(9)		79,553,299		79,553,299
				79,553,299
REPURCHASE AGREEMENTS(7) – 0.80%
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $2,083,724 and an effective yield of 4.37%.(10)	$	2,082,713		2,082,713
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $166,697 and an effective yield of 4.32%.(10)		166,617		166,617
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $3,333,948 and an effective yield of 4.34%.(11)		3,332,341		3,332,341
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $3,125,573 and an effective yield of 4.33%.(11)		3,124,070		3,124,070
				8,705,741
TIME DEPOSITS(7) – 0.31%
UBS AG
4.06%, 01/03/06		2,499,256		2,499,256
Wells Fargo Bank N.A.
4.00%, 01/03/06		862,997		862,997
				3,362,253
VARIABLE & FLOATING RATE NOTES(7) – 3.94%
Allstate Life Global Funding II
4.36% - 4.43%,
11/09/06 - 01/16/07(1)		1,464,147		1,464,505
American Express Bank
4.33% - 4.34%,
01/24/06 - 10/25/06		1,603,689		1,603,682
American Express Centurion Bank
4.33% - 4.34%,
06/29/06 - 07/19/06		687,295		687,295
American Express Credit Corp.
4.39%, 11/06/07		124,963		125,089
ASIF Global Financing
4.34% - 4.55%,
05/30/06 - 08/11/06(1)		1,353,764		1,354,330
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(1)		270,753		270,753
Bank of America N.A.
4.31%, 08/10/06		2,082,713		2,082,713
Bank of Ireland
4.34%, 12/20/06(1)		416,543		416,543
Bank of Nova Scotia
4.22%, 01/03/06		166,617		166,617
Beta Finance Inc.
4.29% - 4.33%,
04/25/06 - 06/09/06(1)		1,037,191		1,037,151
BMW US Capital LLC
4.34%, 12/15/06(1)		416,543		416,543
CC USA Inc.
4.32% - 4.35%,
03/23/06 - 07/14/06(1)		1,120,500		1,120,475
Commodore CDO Ltd.
4.56%, 06/13/06(1)		104,136		104,136
Credit Suisse First Boston NY
4.31% - 4.35%
05/09/06 - 07/19/06		1,457,900		1,457,900

61

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal		Value
VARIABLE & FLOATING RATE NOTES (Continued)
DEPFA Bank PLC
4.50%, 12/15/06	$	416,543	$	416,543
Descartes Funding Trust
4.37%, 11/15/06(1)		187,444		187,444
Dexia Credit Local
4.33%, 08/30/06		208,271		208,244
Dorada Finance Inc.
4.33% - 4.36%,
03/27/06 - 06/26/06(1)		662,303		662,315
Eli Lilly Services Inc.
4.26%, 09/01/06(1)		416,543		416,543
Fairway Finance Corp.
4.32% - 4.42%,
01/18/06 - 01/20/06		416,543		416,542
Fifth Third Bancorp.
4.35%, 11/22/06(1)		833,085		833,085
Five Finance Inc.
4.34% - 4.37%,
02/27/06 - 06/26/06(1)		291,580		291,580
General Electric Capital Corp.
4.44%, 01/09/07		187,444		187,596
Greenwich Capital Holdings Inc.
4.25% - 4.32%,
02/10/06 - 03/02/06		312,407		312,407
Hartford Life Global Funding Trusts
4.36%, 02/17/07		416,543		416,543
HBOS Treasury Services PLC
4.32% - 4.57%,
01/10/06 - 10/24/06		1,249,628		1,249,629
Holmes Financing PLC
4.33%, 12/15/06(1)		1,145,492		1,145,492
HSBC Bank USA N.A.
4.27% - 4.39%,
05/04/06 - 08/03/06		354,061		354,143
K2 USA LLC
4.25% - 4.36%,
02/15/06 - 09/11/06(1)		1,207,974		1,207,927
Leafs LLC
4.37%, 01/20/06 - 02/21/06(1)		436,737		436,737
Links Finance LLC
4.32% - 4.40%,
01/20/06 - 03/15/06(1)		1,416,245		1,416,291
Lothian Mortgages PLC
4.37%, 01/24/06(1)		208,271		208,271
Marshall & Ilsley Bank
4.35% - 4.47%,
02/20/06 - 12/15/06		645,641		645,707
Metropolitan Life Global Funding I
4.31% - 4.55%,
08/28/06 - 01/05/07(1)		1,245,462		1,246,135
Mound Financing PLC
4.30%, 11/08/06(1)		833,085		833,085
Natexis Banques Populaires
4.35%, 01/12/07(1)		312,407		312,407
National City Bank (Ohio)
4.26%, 01/06/06		208,271		208,271
Nationwide Building Society
4.33% - 4.58%,
01/13/06 - 01/26/07(1)		1,541,208		1,541,262
Nordea Bank AB
4.34%, 12/11/06(1)		728,950		728,950
Nordea Bank PLC
4.23%, 10/02/06		249,926		249,882
Northern Rock PLC
4.32%, 11/03/06(1)		499,851		499,868
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06(1)		1,132,996		1,132,996
Pfizer Investment Capital PLC
4.33%, 12/15/06(1)		1,041,357		1,041,357
Principal Life Income Funding Trusts
4.29%, 05/10/06		312,407		312,412
Royal Bank of Scotland
4.32% - 4.33%,
06/27/06 - 08/30/06		624,814		624,744
Sedna Finance Inc.
4.33% - 4.34%,
01/10/06 - 09/20/06(1)		354,061		354,060
Sigma Finance Inc.
4.07% - 4.35%,
01/09/06 - 08/15/06(1)		878,905		878,895
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(1)		416,543		416,543
Societe Generale
4.26% - 4.32%,
03/30/06 - 01/02/07(1)		645,641		645,613
Strips III LLC
4.43%, 07/24/06(1)(12)		112,348		112,348
SunTrust Bank
4.19%, 04/28/06		624,814		624,814
Tango Finance Corp.
4.33% - 4.34%,
05/25/06 - 09/27/06(1)		928,890		928,826
Toyota Motor Credit Corp.
4.23% - 4.30%,
01/09/06 - 04/10/06		916,394		916,391
Unicredito Italiano SpA
4.43%, 06/14/06		541,505		541,420
Union Hamilton Special Funding LLC
4.52%, 03/28/06(1)		416,543		416,543
US Bank N.A.
4.31%, 09/29/06		187,444		187,408
Variable Funding Capital Corp.
4.29% - 4.32%,
02/16/06 - 03/13/06		1,353,764		1,353,764
Wachovia Asset Securitization Inc.
4.37%, 01/25/06(1)		859,483		859,483
Wells Fargo & Co.
4.36%, 09/15/06(1)		208,271		208,285

62

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Principal			Value
VARIABLE & FLOATING RATE NOTES (Continued)
WhistleJacket Capital LLC
4.33% - 4.35%,
01/17/06 - 07/28/06(1)	$	458,197		$	458,167
White Pine Finance LLC
4.32% - 4.37%,
01/13/06 - 06/20/06(1)		853,912			853,905
Winston Funding Ltd.
4.26%, 01/23/06(1)		297,411			297,411
World Savings Bank
4.29%, 03/09/06		624,814			624,808
					42,730,824
TOTAL SHORT-TERM INVESTMENTS (Cost: $158,013,805)					158,013,805
TOTAL INVESTMENTS IN SECURITIES – 116.55% (Cost: $1,278,817,456)					1,265,223,641
SECURITIES SOLD SHORT – (6.49)%
U.S. GOVERNMENT AGENCY OBLIGATIONS – (6.49)%
Federal National Mortgage Association
4.50%, 01/01/21(5)		(60,000,000	)		(58,368,720	)
6.00%, 01/01/36(5)		(12,000,000	)		(12,108,744	)
					(70,477,464	)
TOTAL SECURITIES SOLD SHORT (Proceeds: $70,131,484)					(70,477,464	)
Other Assets, Less Liabilities – (10.06)%					(109,163,846	)
NET ASSETS – 100.00%				$	1,085,582,331

⁽¹⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽²⁾ All or a portion of this security represents a security on loan. See Note 4.

⁽³⁾ Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1.

⁽⁴⁾ Investments are denominated in U.S. dollars.

⁽⁵⁾ To-be-announced (TBA). See Note 1.

⁽⁶⁾ These U.S. Treasury Notes are held in segregated accounts in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

⁽⁷⁾ All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

⁽⁸⁾ The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

⁽⁹⁾ The rate quoted is the annualized seven-day yield of the fund at period end.

⁽¹⁰⁾ Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

⁽¹¹⁾ Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

⁽¹²⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

As of December 31, 2005, the open futures contracts held by the Master Portfolio were as follows:

Futures Contracts (Expiration Date)	Number of Contracts		Notional Contract Value			Net Unrealized Appreciation (Depreciation)
U.S. 5-Year Note (03/31/06)	592		$	62,955,500		$	100,649
U.S. 10-Year Note (03/31/06)	194			21,224,813			54,466
U.S. 2-Year Note (03/31/06)	(100	)		(20,518,750	)		(711	)
U.S. Long Bond (03/31/06)	(5	)		(570,938	)		767
90-Day Euro (03/13/06)	(210	)		(49,993,125	)		631,669
						$	786,840

As of December 31, 2005, the Master Portfolio held the following open swap contracts:

Description	Notional Amount		Net Unrealized Appreciation (Depreciation)
Interest Rate Swaps
Agreement with Deutsche Bank AG dated 12/1/05 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 4.98%. Expiring 12/5/10.	$	9,000,000	$	38,038
Agreement with Deutsche Bank AG dated 12/1/05 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 5.10%. Expiring 12/5/15.		5,000,000		57,469
Agreement with J.P. Morgan Chase & Co. dated 11/4/05 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 5.19%. Expiring 11/8/15.		40,000,000		753,933
			$	849,440

63

COREALPHA BOND MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Description	Notional Amount		Net Unrealized Appreciation (Depreciation)
Credit Default Swaps
Agreement with J.P. Morgan Chase & Co. dated 11/8/05 to receive 1.80% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Knight-Ridder, Inc. 4.63% due 11/1/14. Expiring 12/20/10.	$	750,000	$	(17,279	)
Agreement with J.P. Morgan Chase & Co. dated 12/13/04 to receive 1.50% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Shaw Communications, Inc. 8.25% due 4/11/10. Expiring 3/20/10.		3,000,000		7,457
Agreement with J.P. Morgan Chase & Co. dated 12/8/04 to receive 1.63% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Shaw Communications, Inc. 7.20% due 12/15/11. Expiring 3/20/10.		1,000,000		7,305
Agreement with J.P. Morgan Chase & Co. dated 3/15/04 to receive 0.22% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Deere & Co. 6.95% due 4/25/14. Expiring 3/20/07.		2,000,000		3,807
Agreement with J.P. Morgan Chase & Co. dated 9/1/04 to receive 1.19% per year times the notional amount. The Master Portfolio makes payment only upon a default event of iStar Financial Inc. 6.00% due 12/15/10. Expiring 12/20/09.		2,000,000		49,213
Agreement with J.P. Morgan Chase & Co. dated 9/20/05 to pay 0.85% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Dow Jones Credit Derivatives Index, Investment Grade High Volatility. Expiring 12/20/10.		26,000,000		119,064
Agreement with Lehman Brothers, Inc. dated 9/20/05 to receive 0.85% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Dow Jones Credit Derivatives Index, Investment Grade High Volatility. Expiring 12/20/10.		28,000,000		36,635
			$	206,202
Swaptions
Agreement with J.P. Morgan Chase & Co. dated 6/23/04. Option to enter into a ten-year interest rate swap, receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 6.46%. Expiring 6/23/09.		18,200,000	$	276,729

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

64

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2005

LifePath Retirement Master Portfolio

Security Type	Value		% of Net Assets
Domestic Fixed Income	$	149,115,210	64.65	%
Domestic Equity		59,816,409	25.93
Foreign Equity		20,707,183	8.98
Short-Term and Other Net Assets		1,026,184	0.44
TOTAL	$	230,664,986	100.00	%

LifePath 2010 Master Portfolio

Security Type	Value		% of Net Assets
Domestic Fixed Income	$	358,006,967	53.76	%
Domestic Equity		224,561,314	33.72
Foreign Equity		77,817,026	11.68
Short-Term and Other Net Assets		5,606,455	0.84
TOTAL	$	665,991,762	100.00	%

LifePath 2020 Master Portfolio

Security Type	Value		% of Net Assets
Domestic Equity	$	499,953,533	46.94	%
Domestic Fixed Income		381,902,290	35.86
Foreign Equity		171,355,455	16.09
Short-Term and Other Net Assets		11,878,343	1.11
TOTAL	$	1,065,089,621	100.00	%

LifePath 2030 Master Portfolio

Security Type	Value		% of Net Assets
Domestic Equity	$	380,934,625	56.29	%
Domestic Fixed Income		148,830,081	21.99
Foreign Equity		131,175,776	19.38
Short-Term and Other Net Assets		15,804,053	2.34
TOTAL	$	676,744,535	100.00	%

LifePath 2040 Master Portfolio

Security Type	Value		% of Net Assets
Domestic Equity	$	288,367,524	66.15	%
Foreign Equity		87,364,875	20.04
Domestic Fixed Income		47,727,754	10.95
Short-Term and Other Net Assets		12,469,420	2.86
TOTAL	$	435,929,573	100.00	%

Active Stock Master Portfolio

Sector/Investment Type	Value			% of Net Assets
Consumer Non-Cyclical	$	293,920,576		24.73	%
Financial		269,301,737		22.66
Communications		108,820,518		9.16
Technology		135,324,371		11.39
Energy		121,736,991		10.25
Consumer Cyclical		112,878,043		9.50
Industrial		102,976,820		8.67
Utilities		30,744,279		2.59
Basic Materials		36,322,372		3.06
Futures Contracts		(109,694	)	(0.01	)
Short-Term and Other Net Assets		(23,703,516	)	(2.00	)
TOTAL	$	1,188,212,497		100.00	%

CoreAlpha Bond Master Portfolio

Sector/Investment Type	Value			% of Net Assets
Mortgage-Backed Securities	$	603,779,111		55.62	%
Financial		136,367,210		12.56
Government		125,290,053		11.54
Communications		58,559,077		5.39
Asset-Backed Securities		42,073,383		3.88
Consumer Non-Cyclical		39,942,316		3.68
Utilities		27,671,835		2.55
Consumer Cyclical		26,985,465		2.49
Energy		23,607,272		2.17
Industrial		19,315,436		1.78
Basic Materials		2,786,178		0.26
Technology		513,750		0.05
Diversified		318,750		0.03
Futures Contracts		786,840		0.07
Swap Agreements		1,332,371		0.12
Securities sold short		(70,477,464	)	(6.49	)
Short-Term and Other Net Assets		46,730,748		4.30
TOTAL	$	1,085,582,331		100.00	%

These tables are not part of the financial statements.

65

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005

	LifePath Retirement Master Portfolio		LifePath 2010 Master Portfolio		LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio		LifePath 2040 Master Portfolio
ASSETS
Investments, at cost:
Unaffiliated issuers	$	5,336,000	$	25,765,197	$	63,802,720	$	22,965,347	$	20,164,300
Affiliated issuers(a)	$	31,090,488	$	107,594,042	$	225,662,056	$	172,851,197	$	120,948,081
Investments, at value (including securities on loan(b)) (Note 1):
Unaffiliated issuers	$	5,336,000	$	25,765,197	$	63,802,720	$	22,965,347	$	20,164,300
Affiliated issuers(a)		36,815,418		128,969,374		269,561,511		203,833,902		140,192,023
Affiliated Master Portfolios(a)		194,746,436		536,151,688		791,318,626		463,831,338		287,746,719
Receivables:
Investment securities sold		—		2,596,179		6,174,506		11,946,858		9,914,299
Dividends and interest		7,240		22,486		56,688		29,946		26,075
Contributions		500,000		2,900,000		6,200,000		12,000,000		10,000,000
Total Assets		237,405,094		696,404,924		1,137,114,051		714,607,391		468,043,416
LIABILITIES
Payables:
Investment securities purchased		1,402,114		4,641,185		8,208,199		14,886,965		11,941,502
Collateral for securities on loan (Note 4)		5,336,000		25,765,197		63,802,720		22,965,347		20,164,300
Investment advisory fees (Note 2)		1,994		6,780		13,511		10,544		8,041
Total Liabilities		6,740,108		30,413,162		72,024,430		37,862,856		32,113,843
NET ASSETS	$	230,664,986	$	665,991,762	$	1,065,089,621	$	676,744,535	$	435,929,573

^(a) The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.

^(b) Securities on loan with market values of $5,146,800, $24,940,120, $62,066,220, $22,288,140 and $19,460,138, respectively. See Note 4.

	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
ASSETS
Investments, at cost:
Unaffiliated issuers	$	1,201,629,443	$	1,199,264,157
Affiliated issuers(a)	$	5,678,236	$	79,553,299
Investments in securities, at value (including securities on loan(b)) (Note 1):
Unaffiliated issuers	$	1,292,755,700	$	1,185,670,342
Affiliated issuers(a)		5,678,236		79,553,299
Deposits with brokers for securities sold short		—		70,128,184
Receivables:
Investment securities sold		—		3,711,183
Dividends and interest		1,343,388		9,512,069
Open swap contracts (Note 1)		—		1,377,891
Total Assets		1,299,777,324		1,349,952,968
LIABILITIES
Payables:
Investment securities purchased		30,799,882		113,775,609
Due to broker — variation margin		25,175		39,926
Collateral for securities on loan (Note 4)		80,383,023		78,460,506
Collateral for open swap contracts (Note 1)		—		1,300,000
Securities sold short, at value (Proceeds: $– and $70,131,484) (Note 1)		—		70,477,464
Investment advisory fees (Note 2)		254,819		226,523
Administration fees (Note 2)		101,928		90,609
Total Liabilities		111,564,827		264,370,637
NET ASSETS	$	1,188,212,497	$	1,085,582,331

^(a) The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.

^(b) Securities on loan with market values of $78,026,181 and $76,971,543, respectively. See Note 4.

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

66

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005

	LifePath Retirement Master Portfolio			LifePath 2010 Master Portfolio			LifePath 2020 Master Portfolio			LifePath 2030 Master Portfolio			LifePath 2040 Master Portfolio
NET INVESTMENT INCOME
Dividends from unaffiliated issuers	$	—		$	1,074		$	342		$	1,169		$	2,258
Dividends from affiliated issuers(a)		512,280			1,889,612			4,016,734			3,052,899			2,053,097
Dividends allocated from Master Portfolios		789,644			3,042,511			6,759,395			5,013,233			3,581,713
Interest from affiliated issuers(a)		36,146			95,882			168,482			116,802			98,880
Interest allocated from Master Portfolios		5,979,819			13,687,107			14,243,966			5,333,687			1,584,714
Securities lending income(b)		24,190			91,085			196,855			109,331			66,343
Expenses allocated from Master Portfolios		(617,232	)		(1,646,298	)		(2,396,553	)		(1,368,143	)		(801,566	)
Total investment income		6,724,847			17,160,973			22,989,221			12,258,978			6,585,439
EXPENSES (Note 2)
Investment advisory fees		725,245			2,019,704			3,161,333			1,918,836			1,163,948
Total expenses		725,245			2,019,704			3,161,333			1,918,836			1,163,948
Less investment advisory fees waived		(705,820	)		(1,958,427	)		(3,044,450	)		(1,835,917	)		(1,104,688	)
Net expenses		19,425			61,277			116,883			82,919			59,260
Net investment income		6,705,422			17,099,696			22,872,338			12,176,059			6,526,179
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain from sale of investments in unaffiliated issuers		1,850			10,261			13,853			6,612			12,242
Net realized gain from sale of investments in affiliated issuers(a)		758,064			1,477,255			1,695,224			1,283,308			898,117
Net realized gain allocated from Master Portfolios		1,305,346			5,814,636			15,873,044			11,596,547			8,561,455
Net realized gain on foreign currency transactions		—			19			4			17			—
Net change in unrealized appreciation (depreciation) of investments		2,522,349			10,022,232			22,017,109			16,152,224			10,779,663
Net change in unrealized appreciation (depreciation) allocated from Master Portfolios		(1,009,411	)		(173,395	)		5,183,113			6,584,677			5,977,225
Net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies		(439	)		(1,291	)		(3,618	)		(1,378	)		(1,150	)
Net realized and unrealized gain		3,577,759			17,149,717			44,778,729			35,622,007			26,227,552
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	10,283,181		$	34,249,413		$	67,651,067		$	47,798,066		$	32,753,731

^(a) The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.

^(b) Includes income earned from issuers of which the Master Portfolios’ investment adviser is an affiliate. See Note 2.

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

67

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005

	Active Stock Master Portfolio			CoreAlpha Bond Master Portfolio
NET INVESTMENT INCOME
Dividends from unaffiliated issuers(a)	$	19,186,573		$	—
Interest from unaffiliated issuers		14,939			36,815,684
Interest from affiliated issuers(b)		157,842			4,053,886
Securities lending income(c)		62,217			162,324
Total investment income		19,421,571			41,031,894
EXPENSES
Investment advisory fees (Note 2)		2,619,386			2,259,038
Administration fees (Note 2)		1,047,754			903,616
Interest expense on short sales		—			16,989
Total expenses		3,667,140			3,179,643
Net investment income		15,754,431			37,852,251
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from sale of investments in unaffiliated issuers		49,213,750			(5,193,987	)
Net realized gain (loss) on futures contracts		204,107			(645,701	)
Net realized loss on swap contracts		—			(843,804	)
Net change in unrealized appreciation (depreciation) of investments		30,000,781			(14,032,269	)
Net change in unrealized appreciation (depreciation) of futures contracts		(152,447	)		715,345
Net change in unrealized appreciation (depreciation) of securities sold short		—			(340,682	)
Net change in unrealized appreciation (depreciation) of swap contracts		—			367,573
Net realized and unrealized gain (loss)		79,266,191			(19,973,525	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	95,020,622		$	17,878,726

^(a) Net of foreign withholding tax of $828 and $ —, respectively.

^(b) The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.

^(c) Includes income earned from issuers of which the Master Portfolios’ investment adviser is an affiliate. See Note 2.

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

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MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS

	LifePath Retirement Master Portfolio						LifePath 2010 Master Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	6,705,422		$	4,064,479		$	17,099,696		$	9,521,401
Net realized gain		2,065,260			6,723,311			7,302,171			19,706,190
Net change in unrealized appreciation (depreciation)		1,512,499			1,295,008			9,847,546			6,868,671
Net increase in net assets resulting from operations		10,283,181			12,082,798			34,249,413			36,096,262
Interestholder transactions:
Contributions		92,431,167			165,649,858			241,472,922			381,914,274
Withdrawals		(52,923,002	)		(98,229,192	)		(102,507,218	)		(163,689,096	)
Net increase in net assets resulting from interestholder transactions		39,508,165			67,420,666			138,965,704			218,225,178
Increase in net assets		49,791,346			79,503,464			173,215,117			254,321,440
NET ASSETS:
Beginning of year		180,873,640			101,370,176			492,776,645			238,455,205
End of year	$	230,664,986		$	180,873,640		$	665,991,762		$	492,776,645
	LifePath 2020 Master Portfolio						LifePath 2030 Master Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	22,872,338		$	14,874,419		$	12,176,059		$	7,469,272
Net realized gain		17,582,125			19,502,624			12,886,484			33,016,584
Net change in unrealized appreciation (depreciation)		27,196,604			37,235,104			22,735,523			5,172,895
Net increase in net assets resulting from operations		67,651,067			71,612,147			47,798,066			45,658,751
Interestholder transactions:
Contributions		396,332,869			537,563,465			281,688,243			341,379,439
Withdrawals		(124,842,737	)		(354,707,063	)		(85,036,609	)		(179,195,644	)
Net increase in net assets resulting from interestholder transactions		271,490,132			182,856,402			196,651,634			162,183,795
Increase in net assets		339,141,199			254,468,549			244,449,700			207,842,546
NET ASSETS:
Beginning of year		725,948,422			471,479,873			432,294,835			224,452,289
End of year	$	1,065,089,621		$	725,948,422		$	676,744,535		$	432,294,835

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

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STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	LifePath 2040 Master Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	6,526,179		$	4,098,676
Net realized gain		9,471,814			4,988,726
Net change in unrealized appreciation (depreciation)		16,755,738			19,707,923
Net increase in net assets resulting from operations		32,753,731			28,795,325
Interestholder transactions:
Contributions		245,110,300			196,012,271
Withdrawals		(76,545,321	)		(152,070,048	)
Net increase in net assets resulting from interestholder transactions		168,564,979			43,942,223
Increase in net assets		201,318,710			72,737,548
NET ASSETS:
Beginning of year		234,610,863			161,873,315
End of year	$	435,929,573		$	234,610,863

	Active Stock Master Portfolio						CoreAlpha Bond Master Portfolio
	For the year ended December 31, 2005			For the period March 15, 2004 (a) to December 31, 2004			For the year ended December 31, 2005			For the period March 15, 2004 (a) to December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	15,754,431		$	10,779,499		$	37,852,251		$	16,778,720
Net realized gain (loss)		49,417,857			20,580,275			(6,683,492	)		(3,269,330	)
Net change in unrealized appreciation (depreciation)		29,848,334			61,168,229			(13,290,033	)		577,649
Net increase in net assets resulting from operations		95,020,622			92,528,003			17,878,726			14,087,039
Interestholder transactions:
Contributions		275,385,000			982,486,302			363,341,556			868,565,757
Withdrawals		(36,000,000	)		(221,207,430	)		(19,545,000	)		(158,745,747	)
Net increase in net assets resulting from interestholder transactions		239,385,000			761,278,872			343,796,556			709,820,010
Increase in net assets		334,405,622			853,806,875			361,675,282			723,907,049
NET ASSETS:
Beginning of period		853,806,875			—			723,907,049			—
End of period	$	1,188,212,497		$	853,806,875		$	1,085,582,331		$	723,907,049

^(a) Commencement of operations.

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

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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company organized as a Delaware statutory trust. As of December 31, 2005, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

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

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

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

RESTRUCTURING OF THE LIFEPATH MASTER PORTFOLIOS

As of March 15, 2004, the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Master Portfolios (each, a “LifePath Master Portfolio,” collectively, the “LifePath Master Portfolios”) converted to a fund-of-funds structure. Consequently, as of March 15, 2004, each LifePath Master Portfolio seeks to achieve its investment objective by investing in a combination of stock, bond and money market funds (the “Underlying Funds”) in proportions suggested by its own comprehensive investment strategy. The Underlying Funds are advised by Barclays Global Fund Advisors (“BGFA”), and include the Active Stock and CoreAlpha Bond Master Portfolios, the Barclays Global Investors Funds Institutional Money Market Fund and exchange-traded funds in the iShares^® family of funds.

SECURITY VALUATION

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

The value of each LifePath Master Portfolio’s investment in each of the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio reflects that LifePath Master Portfolio’s proportionate interest in the net assets of that Master Portfolio. As of December 31, 2005, the interests of the Active Stock and CoreAlpha Bond Master Portfolios held by each LifePath Master Portfolio were as follows:

Master Portfolio	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
LifePath Retirement	3.84	%	13.74	%
LifePath 2010	14.99		32.98
LifePath 2020	34.46		35.18
LifePath 2030	26.51		13.71
LifePath 2040	20.20		4.39

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SECURITY TRANSACTIONS AND INCOME RECOGNITION

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

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

FOREIGN CURRENCY TRANSLATION

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

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

FEDERAL INCOME TAXES

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

It is intended that each Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualification not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2005, the aggregate unrealized appreciation and depreciation based on cost for federal income tax purposes for the Master Portfolios were as follows:

Master Portfolio	Tax Cost		Unrealized Appreciation		Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
LifePath Retirement(a)	$	36,431,724	$	5,719,694	$	—		$	5,719,694
LifePath 2010(a)		133,373,584		21,360,987		—			21,360,987
LifePath 2020(a)		289,467,483		43,896,748		—			43,896,748
LifePath 2030(a)		195,844,901		30,954,348		—			30,954,348
LifePath 2040(a)		141,122,970		19,233,353		—			19,233,353
Active Stock		1,214,209,405		119,821,656		(35,597,125	)		84,224,531
CoreAlpha Bond		1,278,826,172		3,165,099		(16,767,630	)		(13,602,531	)

^(a) Tax cost information does not include investments in the underlying Master Portfolios.

FUTURES CONTRACTS

The Active Stock and CoreAlpha Bond Master Portfolios may purchase futures contracts to gain exposure to market changes, as this may be more efficient or cost effective than actually buying the securities. A futures contract is an agreement between two parties to buy and sell a security at a set price on a future date and is exchange-traded. Upon entering into a

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futures contract, a Master Portfolio is required to pledge to the broker an amount of cash, U.S. Government securities or other high-quality debt and equity securities equal to the minimum “initial margin” requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the Master Portfolio as receivables or payables in the accompanying Statements of Assets and Liabilities. When the contract is closed, the Master Portfolio records a “realized gain (loss) on futures contracts” in its Statement of Operations, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Pursuant to regulations and/or published positions of the U.S. Securities and Exchange Commission (“SEC”), the Master Portfolio is required to segregate cash, U.S. Government securities or high-quality, liquid debt instruments and equity securities in connection with futures transactions. Risks of entering into futures contracts include the possibility that there may be an illiquid market and that a change in the value of the contracts may not correlate with changes in the value of the underlying securities. The amount at risk for futures contracts may exceed the amount reflected in the financial statements.

The Active Stock and CoreAlpha Bond Master Portfolios have pledged to brokers U.S. Treasury Bills or U.S. Treasury Notes with face amounts of $350,000 and $1,103,000, respectively, for initial margin requirements.

WHEN ISSUED/TBA TRANSACTIONS

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

REPURCHASE AGREEMENTS

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

SWAP AGREEMENTS

The CoreAlpha Bond Master Portfolio may enter into index and interest-rate swap transactions. Index swaps involve the exchange by the Master Portfolio with another party of cash flows based upon the performance of an index of securities or a portion of an index of securities that usually include, but are not limited to, dividends or income. Interest-rate swaps involve the exchange by the Master Portfolio with another party of their respective commitments to pay or receive interest. If the Master Portfolio enters into a swap transaction, cash or securities may be posted by or to the Master Portfolio as collateral in accordance with the terms of the swap agreement. Upon early termination of a swap agreement due to an event of default or termination event with respect to the Master Portfolio or the other party, the risk of loss to the Master Portfolio would generally be limited to the net amount of payments that the Master Portfolio is contractually obligated to make if, after exercising in accordance with the swap agreement the rights with respect to early close-out of the swap transaction or swap transactions, it is determined that the Master Portfolio would be obligated to make a net payment with respect to the swap transaction or swap transactions. In the event the other party to the swap transaction or swap transactions is to owe a net amount to the Master Portfolio upon an early termination of the swap agreement as described above, the Master Portfolio could be exposed to the risk of loss in the event that any collateral held by the Master Portfolio would be insufficient. As of December 31, 2005, the Master Portfolio did not hold any index swap contracts. Details of interest-rate swaps held by the Master Portfolio as of December 31, 2005 are included in its Schedule of Investments.

The CoreAlpha Bond Master Portfolio may also enter into credit default swaps to protect against credit risks associated with securities issued by or loans entered into by certain companies (each, as used in this discussion, a “reference entity”

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in the case of a particular company and an “Obligation” in the case of a loan or security) and to sell protection to a counterparty against credit risks associated with certain reference entities. In a cash-settled credit default swap where the Master Portfolio is buying protection, the Master Portfolio makes a stream of fixed payments to the counterparty in exchange for the right to receive compensation for the loss in market value of the designated Obligation that is being hedged, in the event the reference entity experiences a credit event, such as a material loan or bond default, restructuring or bankruptcy. In a cash-settled credit default swap where the Master Portfolio is selling protection, the Master Portfolio would be compensated for assuming the transfer of credit risk from the counterparty by receiving the fixed premium over the life of the transaction. Alternatively, if the credit default swap were to be physically settled, the counterparty, as seller of protection, would agree that if a specified credit event occurs, it would take delivery of an Obligation specified by the Master Portfolio and pay to the Master Portfolio an amount equal to the notional amount of the transaction. In exchange for this risk protection, the Master Portfolio would pay the counterparty a fixed premium over the specified life of the credit default swap. In instances where the Master Portfolio sells protection, the Master Portfolio would be compensated for assuming the transfer of credit risk from the counterparty by receiving a fixed premium over the life of the credit default swap. The Master Portfolio would be required to compensate the counterparty for loss in the market value of the designated Obligation if the reference entity suffered a credit event and the credit default swap were to be cash-settled. In the event that the transaction were to be physically settled on the occurrence of a specified credit event with respect to the reference entity, the Master Portfolio would be required to take physical delivery of an Obligation specified at the time of the occurrence of the relevant credit event and would pay to the counterparty an amount equal to notional amount of the transaction. Details of credit default swaps held by the Master Portfolio as of December 31, 2005 are included in its Schedule of Investments.

OPTIONS ON SWAP AGREEMENTS

The CoreAlpha Bond Master Portfolio may write (sell) and purchase put and call options on swaps. An option on a swap (commonly referred to as a “swaption”) is a contract that gives a counterparty the right (but not the obligation) in return for payment of a premium, to enter into a new swap transaction at some designated future time on specified terms as described in the swaption. Depending on the terms of the particular swaption, the Master Portfolio may incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When the Master Portfolio purchases a swaption, it risks losing only the amount of the premium it has paid if the Master Portfolio decides to let the swaption expire unexercised. When the Master Portfolio writes a swaption, upon exercise of the swaption, the Master Portfolio becomes obligated according to the terms of the underlying agreement. Details of swaptions held by the Master Portfolio as of December 31, 2005 are included in its Schedule of Investments.

SHORT SALES

The CoreAlpha Bond Master Portfolio may make short sales of securities as part of its overall portfolio management strategies or to offset potential declines in long positions in similar securities. A short sale involves the sale of securities, with the ultimate obligation to deliver these securities. To make delivery to the buyer of the securities, the seller purchases or borrows the securities to offset the short obligation. When making a short sale, the Master Portfolio must cover its position. Short sales expose the Master Portfolio to the risk that it will be required to acquire, convert or exchange securities to replace the securities sold short at a time when the securities sold short have appreciated in value, thus resulting in a loss to the Master Portfolio. The successful use of short selling may be adversely affected by an imperfect correlation between movements in the price of the security sold short and the securities being hedged. The amount at risk for short sales may exceed the amount reflected in the financial statements. Details of short sales held by the Master Portfolio as of December 31, 2005 are included in its Schedule of Investments.

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

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

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

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

BGFA has agreed to waive investment advisory fees charged to the LifePath Master Portfolios in an amount equal to investment advisory fees and administration fees, if any, charged to the Underlying Funds. For the year ended December 31, 2005, BGFA waived investment advisory fees as follows:

Master Portfolio	Waived Investment Advisory Fees
LifePath Retirement	$	705,820
LifePath 2010		1,958,427
LifePath 2020		3,044,450
LifePath 2030		1,835,917
LifePath 2040		1,104,688

MIP has entered into an administration services arrangement with Barclays Global Investors, N.A. (“BGI”) which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Master Portfolios’ custodian, financial printer, legal counsel and independent registered public accounting firm), to the Master Portfolios. BGI is not entitled to compensation for providing administration services to the LifePath Master Portfolios, for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the LifePath Master Portfolios, or BGI (or an affiliate) receives investment advisory fees from the LifePath Master Portfolios. BGI is entitled to receive a monthly fee for administration services from each of the Active Stock and CoreAlpha Bond Master Portfolios at an annual rate of 0.10% of their respective average daily net assets. BGI may delegate certain of its administration duties to sub-administrators.

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

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

Pursuant to an exemptive order issued by the SEC, BGI serves as securities lending agent for MIP. BGI is an affiliate of BGFA, the Master Portfolios’ investment adviser. As securities lending agent, BGI receives, as fees, a share of the income earned on investment of the cash collateral received for the loan of securities. For the year ended December 31, 2005, BGI earned securities lending agent fees as follows:

Master Portfolio	Securities Lending Agent Fees
LifePath Retirement	$	24,190
LifePath 2010		91,085
LifePath 2020		196,855
LifePath 2030		109,331
LifePath 2040		66,343
Active Stock		62,217
CoreAlpha Bond		162,324

Barclays Global Investors Services (“BGIS”), a subsidiary of BGI, may serve as a broker-dealer for the Master Portfolios. For the year ended December 31, 2005, BGIS did not receive any brokerage commissions from the Master Portfolios.

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Pursuant to Rule 17a-7 under the 1940 Act, the Active Stock Master Portfolio executed cross trades for the year ended December 31, 2005. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter, for compliance with the requirements and restrictions set forth by Rule 17a-7.

Pursuant to an exemptive order issued by the SEC, each Master Portfolio may invest in the Institutional Shares of the Government Money Market Fund (“GMMF”), Institutional Money Market Fund (“IMMF”) and Prime Money Market Fund (“PMMF”) of Barclays Global Investors Funds. The GMMF, IMMF and PMMF are feeder funds in a master/feeder fund structure that invest substantially all of their assets in the Government Money Market Master Portfolio, Money Market Master Portfolio and Prime Money Market Master Portfolio, respectively, which are managed by BGFA, the Master Portfolios’ investment adviser. The GMMF, IMMF and PMMF are open-end money market funds available to institutional and accredited investors, including other investment companies managed by BGFA. The GMMF, IMMF and PMMF seek a high level of income consistent with liquidity and the preservation of capital. While the GMMF, IMMF and PMMF do not directly charge an investment advisory fee, the Master Portfolios in which they invest do charge an investment advisory fee. Income distributions from the GMMF, IMMF and PMMF are declared daily and paid monthly from net investment income. Income distributions earned by the Master Portfolios from temporary cash investments or from investment of securities lending collateral are recorded as either interest from affiliated issuers or securities lending income, respectively, in the accompanying Master Portfolios’ Statements of Operations.

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

The following table provides information about the investment by each Master Portfolio in shares of issuers of which BGFA is an affiliate, other than the Active Stock and CoreAlpha Bond Master Portfolios, for the year ended December 31, 2005, including income earned from these affiliated issuers and net realized capital gains (losses) from sales of these affiliated issuers.

Master Portfolio and Name of Affiliated Issuer	Number of Shares Held Beginning of Year (in 000s)	Gross Additions (in 000s)	Gross Reductions (in 000s)	Number of Shares Held End of Year (in 000s)	Value at End of Year		Dividend and Interest Income		Net Realized Gain (Losss)
LifePath Retirement
IMMF	1,282	286,998	286,357	1,923	$	1,923,052	$	36,146	$	—
iShares MSCI EAFE Index Fund(a)	291	88	31	348		20,707,183		380,837		294,683
iShares Russell 2000 Index Fund(b)	66	30	96	—		—		20,584		173,452
iShares S&P 500 Index Fund	—	45	45	—		—		408		(9,576	)
iShares S&P MidCap 400 Index Fund(b)	64	72	10	126		9,307,730		82,369		116,318
iShares S&P SmallCap 600 Index Fund(a)	—	137	53	84		4,877,453		28,082		183,187
LifePath 2010
IMMF	3,359	762,891	761,514	4,736		4,735,755		95,882		—
iShares MSCI EAFE Index Fund(a)	1,080	247	18	1,309		77,817,026		1,452,287		161,840
iShares Russell 2000 Index Fund(b)	214	85	299	—		—		63,570		603,503
iShares S&P 500 Index Fund	—	231	231	—		—		16,305		18,723
iShares S&P MidCap 400 Index Fund(b)	198	243	21	420		31,005,668		265,484		265,025
iShares S&P SmallCap 600 Index Fund(a)	—	405	138	267		15,410,925		91,966		428,164

76

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

Master Portfolio and Name of Affiliated Issuer	Number of Shares Held Beginning of Year (in 000s)	Gross Additions (in 000s)	Gross Reductions (in 000s)	Number of Shares Held End of Year (in 000s)	Value at End of Year		Dividend and Interest Income		Net Realized Gain (Loss)
LifePath 2020
IMMF	4,950	1,366,577	1,363,858	7,669	$	7,668,859	$	168,482	$	—
iShares MSCI EAFE Index Fund(a)	2,133	809	60	2,882		171,355,455		3,175,506		490,634
iShares Russell 2000 Index Fund(b)	344	197	541	—		—		112,800		918,896
iShares S&P 500 Index Fund	—	722	722	—		—		51,756		(527,888	)
iShares S&P MidCap 400 Index Fund(b)	316	499	—	815		60,175,782		504,208		—
iShares S&P SmallCap 600 Index Fund(a)	—	720	195	525		30,361,415		172,464		813,582
LifePath 2030
IMMF	3,255	930,370	926,900	6,725		6,724,758		116,802		—
iShares MSCI EAFE Index Fund(a)	1,518	738	50	2,206		131,175,766		2,424,240		375,253
iShares Russell 2000 Index Fund(b)	222	137	359	—		—		73,732		582,191
iShares S&P 500 Index Fund	—	717	717	—		—		82,975		(211,570	)
iShares S&P MidCap 400 Index Fund(b)	206	393	3	596		44,013,065		351,128		27,735
iShares S&P SmallCap 600 Index Fund(a)	—	522	143	379		21,920,303		120,824		509,699
LifePath 2040
IMMF	1,776	727,524	724,821	4,479		4,478,589		98,880		—
iShares MSCI EAFE Index Fund(a)	876	649	56	1,469		87,364,875		1,616,525		412,422
iShares Russell 2000 Index Fund(b)	134	100	234	—		—		46,738		334,360
iShares S&P 500 Index Fund	—	809	809	—		—		58,353		(373,791	)
iShares S&P MidCap 400 Index Fund(b)	124	335	21	438		32,334,953		246,557		273,875
iShares S&P SmallCap 600 Index Fund(a)	—	347	70	277		16,013,606		84,924		251,251
Active Stock
IMMF	4,370	1,116,208	1,114,900	5,678		5,678,236		148,109		—
CoreAlpha Bond
IMMF	92,515	31,601,881	31,614,843	79,553		79,553,299		4,053,886		—

^(a) Shares were adjusted to reflect a 3:1 stock split effective June 9, 2005.

^(b) Shares were adjusted to reflect a 2:1 stock split effective June 9, 2005.

During the year ended December 31, 2005, the Master Portfolios invested cash collateral from securities on loan in the GMMF, IMMF and PMMF. Due to the nature of the structure of the joint account used for the investment of the collateral for securities on loan, the information reported above for each Master Portfolio does not include the Master Portfolio’s holdings of the GMMF, IMMF and PMMF in connection with the investment of collateral for securities on loan.

Certain officers and trustees of MIP are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of the Master Portfolios’ outstanding beneficial interests.

77

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

3. INVESTMENT PORTFOLIO TRANSACTIONS

Investment transactions (excluding short-term investments and investments in any underlying Master Portfolios) for the Master Portfolios for the year ended December 31, 2005 were as follows:

	U.S. Government Obligations				Other Securities
Master Portfolio	Purchases		Sales		Purchases		Sales
LifePath Retirement	$	—	$	—	$	62,826,920	$	22,137,432
LifePath 2010		—		—		210,741,466		69,720,111
LifePath 2020		—		—		424,044,391		150,645,124
LifePath 2030		—		—		330,361,150		131,596,174
LifePath 2040		—		—		295,552,120		125,708,523
Active Stock		—		—		814,789,331		565,895,884
CoreAlpha Bond		2,349,398,409		2,162,222,648		438,961,818		241,285,488

4. PORTFOLIO SECURITIES LOANED

Each Master Portfolio may lend its investment securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Master Portfolio is required to have a value of at least 102% of the market value of the loaned securities plus the interest accrued on such securities, if any, for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan plus accrued interest, if any. The risks to the Master Portfolios of securities lending are that the borrower may not provide additional collateral when required or may not return the securities when due.

As of December 31, 2005, the Master Portfolios had loaned securities which were collateralized by cash. Pursuant to an exemptive order issued by the SEC, the cash collateral received was invested in a joint account with other investment funds managed by BGFA. The joint account invests in securities with remaining maturities of 397 days or less, repurchase agreements and money market mutual funds, including money market funds managed by BGFA. Repurchase agreements held in the joint account are fully collateralized by U.S. Government securities and non-U.S. Government debt securities. Income from the joint account is allocated daily to each Master Portfolio, based on each Master Portfolio’s portion of the total cash collateral received. The market value of the securities on loan as of December 31, 2005 and the value of the related collateral are disclosed in the Master Portfolios’ Statements of Assets and Liabilities. Securities lending income, which is disclosed in the Master Portfolios’ Statements of Operations, is presented net of rebates paid to, or fees paid by, borrowers.

5. FINANCIAL HIGHLIGHTS

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

Master Portfolio	Year Ended December 31, 2005		Year Ended December 31, 2004 (a)		Year Ended December 31, 2003		Period Ended December 31, 2002 (b)		Year Ended February 28, 2002		Year Ended February 28, 2001
LifePath Retirement
Ratio of expenses to average net assets(c)(d)	0.31	%	0.31	%	0.35	%	0.35	%	0.46	%	0.55	%
Ratio of expenses to average net assets prior to waived fees(c)(e)	0.65	%	0.60	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets(c)(d)	3.24	%	2.46	%	2.27	%	2.98	%	3.73	%(f)	4.40	%
Ratio of net investment income to average net assets prior to waived fees(c)(e)	2.90	%	2.17	%	n/a		n/a		n/a		n/a
Portfolio turnover rate(g)	11	%	138	%(h)	29	%	56	%	116	%	58	%
Total return	4.82	%	6.85	%	12.45	%	(1.36	)%(i)	2.68	%	6.56	%

78

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

Master Portfolio	Year Ended December 31, 2005		Year Ended December 31, 2004 (a)		Year Ended December 31, 2003		Period Ended December 31, 2002 (b)		Year Ended February 28, 2002		Year Ended February 28, 2001
LifePath 2010
Ratio of expenses to average net assets(c)(d)	0.30	%	0.30	%	0.35	%	0.35	%	0.46	%	0.55	%
Ratio of expenses to average net assets prior to waived fees(c)(e)	0.64	%	0.59	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets(c)(d)	2.96	%	2.32	%	2.12	%	2.49	%	3.11	%(f)	3.49	%
Ratio of net investment income to average net assets prior to waived fees(c)(e)	2.62	%	2.03	%	n/a		n/a		n/a		n/a
Portfolio turnover rate(g)	12	%	130	%(h)	23	%	72	%	86	%	54	%
Total return	5.70	%	7.88	%	16.16	%	(6.43	)%(i)	(0.70	)%	2.13	%
LifePath 2020
Ratio of expenses to average net assets(c)(d)	0.28	%	0.29	%	0.35	%	0.35	%	0.44	%	0.55	%
Ratio of expenses to average net assets prior to waived fees(c)(e)	0.62	%	0.57	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets(c)(d)	2.53	%	2.05	%	2.04	%	2.14	%	2.23	%(f)	2.38	%
Ratio of net investment income to average net assets prior to waived fees(c)(e)	2.19	%	1.77	%	n/a		n/a		n/a		n/a
Portfolio turnover rate(g)	17	%	140	%(h)	23	%	67	%	86	%	39	%
Total return	7.04	%	9.77	%	21.11	%	(10.18	)%(i)	(4.99	)%	(3.14	)%
LifePath 2030
Ratio of expenses to average net assets(c)(d)	0.26	%	0.28	%	0.35	%	0.35	%	0.46	%	0.55	%
Ratio of expenses to average net assets prior to waived fees(c)(e)	0.60	%	0.56	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets(c)(d)	2.22	%	1.93	%	1.98	%	1.81	%	1.74	%(f)	1.72	%
Ratio of net investment income to average net assets prior to waived fees(c)(e)	1.88	%	1.65	%	n/a		n/a		n/a		n/a
Portfolio turnover rate(g)	24	%	138	%(h)	32	%	68	%	53	%	27	%
Total return	8.13	%	11.28	%	24.36	%	(13.05	)%(i)	(7.82	)%	(5.59	)%
LifePath 2040
Ratio of expenses to average net assets(c)(d)	0.26	%	0.28	%	0.35	%	0.35	%	0.49	%	0.55	%
Ratio of expenses to average net assets prior to waived fees(c)(e)	0.59	%	0.56	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets(c)(d)	1.96	%	1.74	%	1.86	%	1.57	%	1.13	%(f)	0.90	%
Ratio of net investment income to average net assets prior to waived fees(c)(e)	1.63	%	1.46	%	n/a		n/a		n/a		n/a
Portfolio turnover rate(g)	38	%	147	%(h)	29	%	62	%	15	%	20	%
Total return	8.74	%	11.93	%	28.14	%	(15.63	)%(i)	(10.48	)%	(10.41	)%
Active Stock
Ratio of expenses to average net assets(c)	0.35	%	0.35	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets(c)	1.50	%	1.57	%	n/a		n/a		n/a		n/a
Portfolio turnover rate(g)	54	%	70	%	n/a		n/a		n/a		n/a
Total return	8.79	%	10.40	%(i)	n/a		n/a		n/a		n/a
CoreAlpha Bond
Ratio of expenses to average net assets(c)	0.35	%	0.35	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets(c)	4.19	%	3.08	%	n/a		n/a		n/a		n/a
Portfolio turnover rate(g)	270	%	313	%	n/a		n/a		n/a		n/a
Total return	1.98	%	1.30	%(i)	n/a		n/a		n/a		n/a

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

79

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

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

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

^(d) Ratio includes the LifePath Master Portfolio’s pro rata portion of the expenses of the underlying Master Portfolios and reflects BGFA’s voluntary waiver of investment advisory fees charged to the LifePath Master Portfolio in an amount equal to investment advisory fees and administration fees, if any, charged to the Underlying Funds, including the underlying Master Portfolios.

^(e) Ratio includes the LifePath Master Portfolio’s pro rata portion of the expenses of the underlying Master Portfolios.

^(f) Effective March 1, 2001, the LifePath Master Portfolios adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratio of net investment income to average net assets for the LifePath Master Portfolios for the year ended February 28, 2002. Ratios for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy.

^(g) Portfolio turnover rates include in-kind transactions, if any.

^(h) Portfolio turnover rate reflects the restructure of the LifePath Master Portfolio to a fund-of-funds structure.

⁽ⁱ⁾ Not annualized.

80

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the LifePath Retirement Master Portfolio, LifePath 2010 Master Portfolio, LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, LifePath 2040 Master Portfolio, Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio, each a portfolio of Master Investment Portfolio (the “Master Portfolios”), at December 31, 2005, and the results of each of their operations for the year then ended and the changes in each of their net assets and their financial highlights for each of the periods presented after February 28, 2001, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

The financial highlights of the Portfolios as of February 28, 2001 and for the year then ended were audited by other auditors, whose report dated April 13, 2001 expressed an unqualified opinion on those financial highlights.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

81

MASTER INVESTMENT PORTFOLIO

TRUSTEE INFORMATION — UNAUDITED

The Board of Trustees has responsibility for the overall management and operations of the Master Portfolios. The Trustees and Officers of Master Investment Portfolio (“MIP”) also serve as the Trustees and Officers of Barclays Global Investors Funds (“BGIF”). Please see the Trustees Information for BGIF (found elsewhere in this report), for information regarding the Trustees and Officers of MIP.

Additional information about MIP’s Trustees may be found in Part B of each Master Portfolio’s Registration Statement, which is available without charge, upon request, by calling toll-free 1-877-244-1544.

82

TABLE OF CONTENTS

Shareholder Expenses	1
Barclays Global Investors Funds
Financial Statements	2
Financial Highlights	6
Notes to the Financial Statements	8
Report of Independent Registered Public Accounting Firm	12
Trustee Information (Unaudited)	13
Master Investment Portfolio
Schedules of Investments	15
Government Money Market Master Portfolio	15
Money Market Master Portfolio	16
Prime Money Market Master Portfolio	19
Treasury Money Market Master Portfolio	23
Portfolio Allocations (Unaudited)	24
Financial Statements	25
Notes to the Financial Statements	27
Report of Independent Registered Public Accounting Firm	30
Trustee Information (Unaudited)	31

BARCLAYS GLOBAL INVESTORS FUNDS

Shareholder Expenses

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

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

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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

Fund	Beginning Account Value (July 1, 2005)		Ending Account Value (December 31, 2005)		Annualized Expense Ratio(a)		Expenses Paid During Period (b) (July 1 to December 31, 2005)
Government Money Market
Institutional Shares
Actual	$	1,000.00	$	1,018.90	0.03	%	$	0.15
Hypothetical (5% return before expenses)		1,000.00		1,025.03	0.03			0.15
Institutional Money Market
Institutional Shares
Actual		1,000.00		1,019.00	0.08			0.41
Hypothetical (5% return before expenses)		1,000.00		1,024.81	0.08			0.41
Prime Money Market
Institutional Shares
Actual		1,000.00		1,018.80	0.10			0.51
Hypothetical (5% return before expenses)		1,000.00		1,024.71	0.10			0.51
Treasury Money Market
Institutional Shares
Actual		1,000.00		1,032.00	0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,025.21	0.00			0.00

^(a) This ratio includes expenses charged to the corresponding Master Portfolio and includes investment advisory and administration fees voluntarily waived during the period.

^(b) Expenses are calculated using each Fund’s annualized expense ratio of the Institutional Shares (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).

1

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005

	Government Money Market Fund		Institutional Money Market Fund		Prime Money Market Fund		Treasury Money Market Fund
ASSETS
Investments:
In corresponding Master Portfolio, at value (Note 1)	$	394,466,966	$	5,411,656,356	$	9,870,959,765	$	103,493,497
Total Assets		394,466,966		5,411,656,356		9,870,959,765		103,493,497
LIABILITIES
Payables:
Distribution to shareholders		1,195,056		19,546,725		33,699,305		397,552
Administration fees (Note 2)		13,486		100,339		242,194		622
Distribution fees – Aon Captives Shares (Note 2)		—		20,025		—		—
Total Liabilities		1,208,542		19,667,089		33,941,499		398,174
NET ASSETS	$	393,258,424	$	5,391,989,267	$	9,837,018,266	$	103,095,323
Net assets consist of:
Paid-in capital	$	393,258,424	$	5,391,955,951	$	9,836,998,750	$	103,095,323
Undistributed net investment income		—		3,747		13,322		—
Undistributed net realized gain		—		29,569		6,194		—
NET ASSETS	$	393,258,424	$	5,391,989,267	$	9,837,018,266	$	103,095,323
Aon Captives Shares
Net Assets	$	—	$	77,898,550	$	—	$	—
Shares outstanding		—		77,897,975		—		—
Net asset value and offering price per share	$	—	$	1.00	$	—	$	—
Institutional Shares
Net Assets	$	169,200,207	$	3,485,876,124	$	6,521,818,007	$	100,342,539
Shares outstanding		169,200,207		3,485,858,584		6,521,801,171		100,342,539
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00
Premium Shares
Net Assets	$	183,242,766	$	1,803,170,990	$	3,233,738,277	$	2,546,403
Shares outstanding		183,242,766		1,803,159,587		3,233,735,056		2,546,403
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00
Select Shares
Net Assets	$	40,712,298	$	24,940,220	$	81,358,616	$	103,339
Shares outstanding		40,712,298		24,940,211		81,359,157		103,339
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00
Trust Shares
Net Assets	$	103,153	$	103,383	$	103,366	$	103,042
Shares outstanding		103,153		103,383		103,366		103,042
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00

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

2

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005

	Government Money Market Fund			Institutional Money Market Fund			Prime Money Market Fund			Treasury Money Market Fund
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Interest	$	29,369,301		$	218,145,682		$	412,793,534		$	685,155
Expenses(a)		(121,718	)		(3,442,469	)		(9,771,810	)		—
Net investment income allocated from corresponding Master Portfolio		29,247,583			214,703,213			403,021,724			685,155
FUND EXPENSES (Note 2)
Administration fees		288,345			2,559,241			5,282,707			5,000
Distribution fees – Aon Captives Shares		—			95,721			—			—
Total fund expenses		288,345			2,654,962			5,282,707			5,000
Less administration fees waived		(163,899	)		(1,312,234	)		(2,322,017	)		(3,428	)
Net fund expenses		124,446			1,342,728			2,960,690			1,572
Net investment income		29,123,137			213,360,485			400,061,034			683,583
REALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Net realized gain		—			32,325			8,607			—
Net realized gain		—			32,325			8,607			—
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	29,123,137		$	213,392,810		$	400,069,641		$	683,583

^(a) Net of investment advisory fee waivers by the Master Portfolios’ investment adviser in the amounts of $799,065, $3,129,635, $2,766,658, and $17,151, respectively.

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

3

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS

	Government Money Market Fund						Institutional Money Market Fund
	For the year ended December 31, 2005			For the period September 1, 2004(a) to December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	29,123,137		$	2,579,760		$	213,360,485		$	67,218,571
Net realized gain (loss)		—			—			32,325			(2,753	)
Net increase in net assets resulting from operations		29,123,137			2,579,760			213,392,810			67,215,818
Distributions to shareholders:
From net investment income:
Aon Captives Shares		—			—			(2,943,319	)		(1,141,062	)
Institutional Shares		(22,103,787	)		(2,578,006	)		(129,993,058	)		(54,192,310	)
Premium Shares		(6,585,019	)		(622	)		(79,980,794	)		(11,848,951	)
Select Shares		(431,372	)		(605	)		(440,285	)		(35,557	)
Trust Shares		(2,959	)		(527	)		(2,975	)		(745	)
		(29,123,137	)		(2,579,760	)		(213,360,431	)		(67,218,625	)
Total distributions to shareholders		(29,123,137	)		(2,579,760	)		(213,360,431	)		(67,218,625	)
Capital share transactions (Note 3):
Aon Captives Shares		—			—			(28,534,415	)		51,033,638
Institutional Shares		(278,900,244	)		448,100,451			(138,646,363	)		(373,719,853	)
Premium Shares		183,142,328			100,438			585,770,940			927,289,984
Select Shares		40,611,873			100,425			18,227,811			6,712,400
Trust Shares		2,785			100,368			2,796			100,587
Net increase (decrease) in net assets resulting from capital share transactions		(55,143,258	)		448,401,682			436,820,769			611,416,756
Increase (decrease) in net assets		(55,143,258	)		448,401,682			436,853,148			611,413,949
NET ASSETS:
Beginning of period		448,401,682			—			4,955,136,119			4,343,722,170
End of period	$	393,258,424		$	448,401,682		$	5,391,989,267		$	4,955,136,119
Undistributed (distributions in excess of) net investment income included in net assets at end of period	$	—		$	—		$	3,747		$	(54	)

^(a) Commencement of operations.

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

4

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	Prime Money Market Fund						Treasury Money Market Fund
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the period September 1, 2004(a) to December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	400,061,034		$	84,316,610		$	683,583		$	2,274
Net realized gain		8,607			55,136			—			—
Net increase in net assets resulting from operations		400,069,641			84,371,746			683,583			2,274
Distributions to shareholders:
From net investment income:
Institutional Shares		(231,155,121	)		(54,101,221	)		(590,271	)		(609	)
Premium Shares		(166,418,165	)		(29,887,264	)		(87,324	)		(592	)
Select Shares		(2,484,802	)		(327,158	)		(3,114	)		(575	)
Trust Shares		(2,946	)		(753	)		(2,874	)		(498	)
		(400,061,034	)		(84,316,396	)		(683,583	)		(2,274	)
From net realized gain:
Institutional Shares		—			(32,824	)		—			—
Premium Shares		—			(11,403	)		—			—
		—			(44,227	)		—			—
Total distributions to shareholders		(400,061,034	)		(84,360,623	)		(683,583	)		(2,274	)
Capital share transactions (Note 3):
Institutional Shares		520,868,715			3,033,857,069			100,242,105			100,434
Premium Shares		(2,013,369,862	)		4,282,862,178			2,445,981			100,422
Select Shares		(88,977,243	)		170,336,400			2,930			100,409
Trust Shares		2,775			100,591			2,691			100,351
Net increase (decrease) in net assets resulting from capital share transactions		(1,581,475,615	)		7,487,156,238			102,693,707			401,616
Increase (decrease) in net assets		(1,581,467,008	)		7,487,167,361			102,693,707			401,616
NET ASSETS:
Beginning of period		11,418,485,274			3,931,317,913			401,616			—
End of period	$	9,837,018,266		$	11,418,485,274		$	103,095,323		$	401,616
Undistributed net investment income included in net assets at end of period	$	13,322			—			—			—

^(a) Commencement of operations.

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

5

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

	Government Money Market Fund — Institutional Shares
	Year ended Dec. 31, 2005			Period from Sep. 1, 2004 (a) to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01
Total from investment operations		0.03			0.01
Less distributions from:
Net investment income		(0.03	)		(0.01	)
Total distributions		(0.03	)		(0.01	)
Net asset value, end of period	$	1.00		$	1.00
Total return		3.28	%		0.64	%(b)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	169,200		$	448,100
Ratio of expenses to average net assets(c)		0.03	%		0.00	%
Ratio of expenses to average net assets prior to waived fees(c)		0.12	%		0.12	%
Ratio of net investment income to average net assets(c)		3.04	%		1.93	%
Ratio of net investment income to average net assets prior to waived fees(c)		2.95	%		1.81	%

	Institutional Money Market Fund — Institutional Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Year ended Dec. 31, 2002			Year ended Dec. 31, 2001
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01			0.01			0.02			0.04
Net realized gain (loss)		(0.00	)(d)		(0.00	)(d)		0.00	(d)		—			—
Total from investment operations		0.03			0.01			0.01			0.02			0.04
Less distributions from:
Net investment income		(0.03	)		(0.01	)		(0.01	)		(0.02	)		(0.04	)
Net realized gain		—			—			(0.00	)(d)		(0.00	)(d)		(0.00	)(d)
Total distributions		(0.03	)		(0.01	)		(0.01	)		(0.02	)		(0.04	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total return		3.29	%		1.39	%		1.14	%		1.83	%		4.23	%
Ratios/Supplemental data:
Net assets, end of year (000s)	$	3,485,876		$	3,624,503		$	3,998,225		$	3,327,652		$	1,202,381
Ratio of expenses to average net assets(e)		0.05	%		0.06	%		0.12	%		0.12	%		0.12	%
Ratio of expenses to average net assets prior to waived fees(e)		0.12	%		0.12	%		n/a			n/a			n/a
Ratio of net investment income to average net assets(e)		3.26	%		1.37	%		1.13	%		1.77	%		3.04	%
Ratio of net investment income to average net assets prior to waived fees(e)		3.19	%		1.31	%		n/a			n/a			n/a

^(a) Commencement of operations.

^(b) Not annualized.

^(c) Annualized for periods of less than one year. These ratios include expenses charged to the Government Money Market Master Portfolio.

^(d) Rounds to less than $0.01.

^(e) These ratios include expenses charged to the Money Market Master Portfolio.

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

6

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)

	Prime Money Market Fund — Institutional Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Period from Apr. 16, 2003 (a) to Dec. 31, 2003
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01			0.01
Net realized gain (loss)		0.00	(b)		0.00	(b)		(0.00	)(b)
Total from investment operations		0.03			0.01			0.01
Less distributions from:
Net investment income		(0.03	)		(0.01	)		(0.01	)
Net realized gain		—			(0.00	)(b)		(0.00	)(b)
Total distributions		(0.03	)		(0.01	)		(0.01	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00
Total return		3.26	%		1.40	%		0.80	%(c)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	6,521,818		$	6,000,944		$	2,967,075
Ratio of expenses to average net assets(d)		0.08	%		0.04	%		0.03	%
Ratio of expenses to average net assets prior to waived fees(d)		0.12	%		0.12	%		n/a
Ratio of net investment income to average net assets(d)		3.28	%		1.45	%		1.10	%
Ratio of net investment income to average net assets prior to waived fees(d)		3.24	%		1.37	%		n/a

	Treasury Money Market Fund — Institutional Shares
	Year ended Dec. 31, 2005			Period from Sep. 1, 2004 (a) to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01
Total from investment operations		0.03			0.01
Less distributions from:
Net investment income		(0.03	)		(0.01	)
Total distributions		(0.03	)		(0.01	)
Net asset value, end of period	$	1.00		$	1.00
Total return		3.20	%		0.61	%(c)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	100,343		$	100
Ratio of expenses to average net assets(e)		0.00	%		0.00	%
Ratio of expenses to average net assets prior to waived fees(e)		0.12	%		0.12	%
Ratio of net investment income to average net assets(e)		4.03	%		1.82	%
Ratio of net investment income to average net assets prior to waived fees(e)		3.91	%		1.70	%

^(a) Commencement of operations.

^(b) Rounds to less than $0.01.

^(c) Not annualized.

^(d) Annualized for periods of less than one year. These ratios include expenses charged to the Prime Money Market Master Portfolio.

^(e) Annualized for periods of less than one year. These ratios include expenses charged to the Treasury Money Market Master Portfolio.

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

7

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

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

These financial statements relate only to the Institutional Shares of the Government Money Market Fund (the “GMMF”), Institutional Money Market Fund (the “IMMF”), Prime Money Market Fund (the “PMMF”) and Treasury Money Market Fund (the “TMMF”), (each, a “Fund,” collectively, the “Funds”). In addition, the GMMF, PMMF and TMMF offer Premium Shares, Select Shares and Trust Shares. The IMMF also offers Aon Captives Shares, Premium Shares, Select Shares and Trust Shares. All classes of shares have equal rights to assets and earnings, and differ principally in administration and distribution fees.

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

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

INVESTMENT POLICY AND SECURITY VALUATION

Each Fund invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objectives as its corresponding Fund. The value of each Fund’s investment in its corresponding Master Portfolio reflects that Fund’s interest in the net assets of that Master Portfolio (100.00%, 85.86%, 85.88% and 100.00% for the GMMF, IMMF, PMMF and TMMF, respectively, as of December 31, 2005). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

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

Each Fund seeks to maintain a constant net asset value of $1.00 per share for each of the classes of shares. There is no assurance that the Funds will meet this objective.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Each Fund records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of its corresponding Master Portfolio. In addition, each Fund accrues its own expenses. Net investment income, common fund expenses and realized and unrealized gains and losses are allocated among the classes of shares of each Fund based on the relative net assets of each class.

DISTRIBUTIONS TO SHAREHOLDERS

Distributions to shareholders from net investment income of the Funds are declared daily and distributed monthly. Distributions to shareholders from net realized capital gains, if any, are declared and distributed at least annually. Dividends are determined separately for each class based on income and expenses allocable to each class.

8

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

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

Fund	Undistributed Ordinary Income		Capital and Other Losses			Net Distributable Earnings
Institutional Money Market	$	35,458	$	(2,142	)	$	33,316
Prime Money Market		19,516		—			19,516

The tax character of distributions paid for the years ended December 31, 2005 and December 31, 2004, were as follows:

Fund	2005		2004
Government Money Market
Distributions paid from:
Ordinary Income	$	29,123,137	$	2,579,760
Total Distributions	$	29,123,137	$	2,579,760
Institutional Money Market
Distributions paid from:
Ordinary Income	$	213,360,431	$	67,218,625
Total Distributions	$	213,360,431	$	67,218,625
Prime Money Market
Distributions paid from:
Ordinary Income	$	400,061,034	$	84,360,623
Total Distributions	$	400,061,034	$	84,360,623
Treasury Money Market
Distributions paid from:
Ordinary Income	$	683,583	$	2,274
Total Distributions	$	683,583	$	2,274

FEDERAL INCOME TAXES

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

From November 1, 2005 to December 31, 2005, the Institutional Money Market Fund incurred net realized capital losses. As permitted by tax regulations, the Fund has elected to defer the losses of $2,142 and treat it as arising in the year ending December 31, 2006.

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

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

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

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Funds’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Funds for

9

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

which BGI receives a fee paid by each Fund. This fee is an “all-in” or “semi-unified” fee and BGI, in consideration thereof, has agreed to bear all of the Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees and costs related to securities transactions. BGI is entitled to receive for these administration services an annual fee of 0.02% of the average daily net assets of each Fund’s Institutional Shares. From time to time, BGI may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGI waived administration fees of $134,425, $796,930, $1,296,195 and $2,929 for the Institutional Shares of the GMMF, IMMF, PMMF and TMMF, respectively. BGI may delegate certain of its administration duties to sub-administrators.

Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission, the master portfolios of MIP and other investment companies managed by Barclays Global Fund Advisors, the Master Portfolios’ investment adviser, may invest in the Institutional Shares of the Funds.

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

3. CAPITAL SHARE TRANSACTIONS

As of December 31, 2005, there were an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the Institutional Shares of the Funds were as follows:

	Government Money Market Fund
	Year Ended December 31, 2005					Period Ended December 31, 2004 (a)
	Shares		Amount			Shares		Amount
Shares sold	3,496,987,064		$	3,496,987,064		448,100,000		$	448,100,000
Shares issued in reinvestment of dividends and distributions	11,575,759			11,575,759		451			451
Shares redeemed	(3,787,463,067	)		(3,787,463,067	)	—			—
Net increase (decrease)	(278,900,244	)	$	(278,900,244	)	448,100,451		$	448,100,451
	Institutional Money Market Fund
	Year Ended December 31, 2005					Year Ended December 31, 2004
	Shares		Amount			Shares		Amount
Shares sold	50,465,914,687		$	50,465,914,687		25,536,920,099		$	25,536,920,099
Shares issued in reinvestment of dividends and distributions	25,494,250			25,494,250		3,464,814			3,464,814
Shares redeemed	(50,630,055,300	)		(50,630,055,300	)	(25,914,104,766	)		(25,914,104,766	)
Net decrease	(138,646,363	)	$	(138,646,363	)	(373,719,853	)	$	(373,719,853	)

10

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

	Prime Money Market Fund
	Year Ended December 31, 2005					Year Ended December 31, 2004
	Shares		Amount			Shares		Amount
Shares sold	49,352,419,789		$	49,352,419,789		12,685,172,283		$	12,685,172,283
Shares issued in reinvestment of dividends and distributions	83,685,767			83,685,767		7,121,958			7,121,958
Shares redeemed	(48,915,236,841	)		(48,915,236,841	)	(9,658,437,172	)		(9,658,437,172	)
Net increase	520,868,715		$	520,868,715		3,033,857,069		$	3,033,857,069
	Treasury Money Market Fund
	Year Ended December 31, 2005					Period Ended December 31, 2004 (a)
	Shares		Amount			Shares		Amount
Shares sold	100,000,000		$	100,000,000		100,000		$	100,000
Shares issued in reinvestment of dividends and distributions	242,105			242,105		434			434
Shares redeemed	—			—		—			—
Net increase	100,242,105		$	100,242,105		100,434		$	100,434

^(a) For the period from September 1, 2004 (commencement of operations) to December 31, 2004.

11

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

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

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

12

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED

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

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

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

Interested Trustees and Officers
Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
*Lee T. Kranefuss, 1961	Trustee (since 2001), President and Chief Executive Officer (since 2002).	Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Chief Executive Officer (1997-2003) of the Intermediary Investor Business of BGI.	Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.
Michael A. Latham, 1965	Secretary, Treasurer and Chief Financial Officer (since 2003).	Chief Operating Officer (since 2004) of the Intermediary Investor Business of BGI; Director (2000-2004) of Mutual Fund Delivery of the Intermediary Investor Business of BGI.	None.

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

Independent Trustees

Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii.

13

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED (Continued)

Independent Trustees (Continued)

Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
Jack S. Euphrat, 1922	Trustee (since 1993).	Private Investor.	None.
Richard K. Lyons, 1961	Trustee (since 2001).	Executive Associate Dean (since 2005), Sylvan Coleman Chair in Finance (since 2004), Acting Dean (2004-2005) and Professor (since 1993), University of California, Berkeley; Haas School of Business; Consultant for IMF, World Bank, Federal Reserve Bank, and Citibank N.A. (since 2000).	Trustee (since 2001) of MIP; Director (since 2003) of the BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 1995) and Chairman of the Matthews Asian Funds (oversees 8 portfolios); Trustee (since 2000) of iShares Trust; Director (since 2002) of iShares, Inc.
Leo Soong, 1946	Trustee (since 2000).	President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder of Crystal Geyser Water Co. (President through 1999).	Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association.

14

GOVERNMENT MONEY MARKET MASTER PORTFOLI O

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
REPURCHASE AGREEMENTS – 99.98%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $60,028,667 (collateralized by U.S. Government obligations, value $61,200,000, 3.88% to 6.00%, 6/1/20 to 1/1/36).	$	60,000,000	$	60,000,000
Bank of America N.A. Tri-Party Repurchase Agreement, 4.27%, due 1/3/06, maturity value $75,035,583 (collateralized by U.S. Government obligations, value $76,500,001, 5.00%, 10/1/35).		75,000,000		75,000,000
Credit Suisse First Boston Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $20,009,444 (collateralized by U.S. Government obligations, value $20,401,727, 4.84% to 5.43%, 5/1/35 to 7/1/35).		20,000,000		20,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $60,028,867 (collateralized by U.S. Government obligations, value $61,200,001, 4.00% to 5.16%, 4/1/20 to 12/1/35).		60,000,000		60,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $60,028,600 (collateralized by U.S. Government obligations, value $61,203,452, 3.75% to 5.83%, 1/1/19 to 12/1/35).		60,000,000		60,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $44,420,720 (collateralized by U.S. Government obligations, value $45,286,934, 3.21% to 7.94%, 2/1/16 to 8/1/36).		44,400,000		44,400,000
Merrill Lynch Government Securities Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $75,035,667 (collateralized by U.S. Government obligations, value $77,251,360, 3.50% to 6.00%, 4/25/16 to 3/25/31).		75,000,000		75,000,000
TOTAL REPURCHASE AGREEMENTS (Cost: $394,400,000)				394,400,000
TOTAL INVESTMENTS IN SECURITIES – 99.98% (Cost: $394,400,000)				394,400,000
Other Assets, Less Liabilities – 0.02%				66,966
NET ASSETS – 100.00%			$	394,466,966

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

15

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
CERTIFICATES OF DEPOSIT – 2.54%
HBOS Treasury Services PLC
3.56%, 03/14/06	$	50,000,000	$	50,000,000
3.79%, 06/19/06		50,000,000		49,997,741
Svenska Handelsbanken NY
4.50%, 10/16/06		25,000,000		25,000,000
Toronto-Dominion Bank
3.94%, 07/10/06		35,000,000		35,000,000
TOTAL CERTIFICATES OF DEPOSIT (Cost: $159,997,741)				159,997,741
COMMERCIAL PAPER – 6.31%
Amstel Funding Corp.
4.40%, 05/08/06		50,000,000		49,217,778
CC USA Inc.
3.76%, 01/23/06		50,000,000		49,879,889
3.93%, 02/24/06		65,500,000		65,106,727
4.23%, 04/21/06		45,000,000		44,413,087
Dorada Finance Inc.
3.76%, 01/26/06		10,000,000		9,972,844
Grampian Funding LLC
3.74%, 01/13/06		90,000,000		89,878,450
K2 USA LLC
3.85%, 02/07/06		74,600,000		74,297,227
Sigma Finance Inc.
4.16%, 04/06/06		15,000,000		14,833,600
TOTAL COMMERCIAL PAPER (Cost: $397,599,602)				397,599,602
MEDIUM-TERM NOTES – 1.43%
K2 USA LLC
3.57%, 03/16/06(1)		15,000,000		15,000,000
Marshall & Ilsley Bank
5.18%, 12/15/06		50,000,000		50,159,679
Sigma Finance Inc.
4.50%, 10/16/06(1)		25,000,000		25,000,000
TOTAL MEDIUM-TERM NOTES (Cost: $90,159,679)				90,159,679
TIME DEPOSITS – 6.55%
Branch Banking & Trust
4.02%, 01/03/06		250,000,000		250,000,000
Regions Bank
4.02%, 01/03/06		162,500,000		162,500,000
TOTAL TIME DEPOSITS (Cost: $412,500,000)				412,500,000
VARIABLE & FLOATING RATE NOTES – 65.64%
Allstate Life Global Funding II
4.36%, 12/08/06(1)		11,000,000		11,005,507
4.37%, 11/09/06(1)		20,000,000		20,010,187
4.37%, 12/27/06(1)		50,000,000		50,000,000
4.39%, 01/12/07(1)		35,000,000		35,018,818
4.43%, 01/16/07(1)		25,000,000		25,012,931
American Express Bank
4.33%, 07/19/06		40,000,000		40,000,000
4.34%, 09/27/06		90,000,000		90,000,000
American Express Centurion Bank
4.34%, 06/29/06		35,000,000		35,000,000
4.34%, 09/27/06		60,000,000		60,000,000
American Express Credit Corp.
4.42%, 02/28/06		31,000,000		31,002,173
ANZ National International Ltd.
4.31%, 12/29/06(1)		75,000,000		75,000,000
ASIF Global Financing
4.34%, 08/11/06(1)		25,000,000		25,001,998
4.38%, 01/23/07(1)		75,000,000		74,996,257
4.55%, 05/30/06(1)		61,500,000		61,540,898
4.56%, 12/11/06(1)		90,000,000		90,072,387
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(1)		35,000,000		35,000,000
Bank of Ireland
4.34%, 12/20/06(1)		70,000,000		70,000,000
Bank of Nova Scotia
4.32%, 09/29/06		35,000,000		34,992,555
Banque Nationale de Paris
4.25%, 10/04/06		20,000,000		19,995,934
Beta Finance Inc.
4.33%, 04/25/06(1)		30,000,000		29,997,000
4.33%, 05/25/06(1)		15,000,000		14,999,459
CC USA Inc.
4.32%, 06/15/06(1)		55,000,000		54,997,499
4.33%, 05/25/06(1)		25,000,000		24,998,973
4.34%, 03/23/06(1)		25,000,000		25,000,048
4.35%, 07/14/06(1)		15,000,000		15,001,574
Commodore CDO Ltd. 2003-2A Class A1MM
4.56%, 06/13/06(1)		25,000,000		25,000,000
Credit Suisse First Boston NY
4.31%, 05/09/06		50,000,000		50,000,000
4.35%, 07/19/06		75,000,000		75,000,000
4.35%, 09/26/06		100,000,000		100,000,000
DEPFA Bank PLC
4.50%, 12/15/06		100,000,000		100,000,000
Descartes Funding Trust
4.37%, 11/15/06(1)		45,000,000		45,000,000
Dexia Credit Local
4.33%, 08/30/06		35,000,000		34,995,359
Dorada Finance Inc.
4.33%, 06/26/06(1)		15,000,000		14,999,321

16

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Five Finance Inc.
4.32%, 09/15/06(1)	$	30,000,000	$	29,995,759
4.33%, 05/25/06(1)		22,000,000		21,999,096
4.34%, 06/26/06(1)		14,000,000		13,999,320
Greenwich Capital Holdings Inc.
4.32%, 02/10/06		15,000,000		15,000,000
4.32%, 02/13/06		15,000,000		15,000,000
HBOS Treasury Services PLC
4.57%, 10/24/06(1)		50,000,000		50,000,000
Holmes Financing PLC Series 2005-9 Class 1A
4.36%, 12/15/06(1)		50,000,000		50,000,000
HSBC Bank USA N.A.
4.39%, 05/04/06		15,000,000		15,004,117
ING USA Annuity & Life Insurance Funding Agreement
4.57%, 12/18/06(1)(2)		20,000,000		20,000,000
Jordan Brick Co. Inc.
4.38%, 01/03/06(1)		18,000,000		18,000,000
K2 USA LLC
4.25%, 06/02/06(1)		35,000,000		34,998,533
4.32%, 09/11/06(1)		100,000,000		99,989,630
Lakeline Austin Development Ltd.
4.40%, 01/03/06(1)		9,800,000		9,800,000
Leafs LLC
4.37%, 02/21/06(1)		19,971,050		19,971,050
LEEK Finance Series 14A Class A1
4.37%, 01/23/06		4,835,872		4,835,872
Links Finance LLC
4.32%, 01/20/06(1)		35,000,000		34,999,556
4.32%, 10/16/06(1)		82,000,000		81,990,234
Lothian Mortgages PLC Series 4A Class A1
4.37%, 01/24/06(1)		25,000,000		25,000,000
Marshall & Ilsley Bank
4.35%, 12/15/06		60,000,000		60,000,000
4.47%, 02/20/06		30,000,000		30,004,935
Metropolitan Life Insurance Funding Agreement
4.24%, 07/18/06(1)(2)		25,000,000		25,000,000
Monumental Global Funding II
4.53%, 12/27/06(1)		100,000,000		100,008,042
Natexis Banques Populaires
4.35%, 01/12/07(1)		50,000,000		50,000,000
National City Bank
4.26%, 01/06/06		20,000,000		19,999,917
Nationwide Building Society
4.58%, 10/27/06(1)		100,000,000		100,000,000
Nordea Bank AB
4.34%, 01/11/07(1)		75,000,000		75,000,000
Nordea Bank PLC
4.23%, 10/02/06		75,000,000		74,986,653
Northern Rock PLC
4.32%, 11/03/06(1)		70,000,000		70,000,000
Permanent Financing PLC Series 8 Class 1A
4.32%, 06/12/06(1)		37,000,000		37,000,067
Principal Life Income Funding Trusts
4.30%, 11/13/06		50,000,000		49,998,353
Royal Bank of Scotland
4.23%, 04/05/06		76,250,000		76,241,832
4.33%, 08/30/06		100,000,000		99,986,739
Sedna Finance Inc.
4.34%, 09/20/06(1)		15,000,000		15,000,000
Sigma Finance Inc.
4.00%, 08/11/06(1)		75,000,000		74,976,738
4.33%, 08/15/06(1)		15,000,000		14,999,067
4.35%, 03/20/06(1)		20,000,000		20,000,329
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(1)		50,000,000		50,000,000
Societe Generale
4.26%, 01/02/07(1)		30,000,000		30,000,000
4.30%, 06/13/06		30,000,000		29,997,270
Tango Finance Corp.
4.32%, 06/12/06(1)		50,000,000		49,997,769
4.33%, 05/26/06(1)		15,000,000		14,999,094
4.33%, 09/25/06(1)		30,000,000		29,996,718
Trap Rock Industry Inc.
4.40%, 01/03/06(1)		20,390,000		20,390,000
Travelers Insurance Co. Funding Agreement
4.36%, 02/03/06(1)(2)		50,000,000		50,000,000
4.45%, 08/18/06(1)(2)		50,000,000		50,000,000
Union Hamilton Special Funding LLC
4.52%, 03/28/06(1)		50,000,000		50,000,000
US Bank N.A.
4.31%, 09/29/06		15,000,000		14,997,062
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
4.37%, 01/25/06(1)		65,450,999		65,450,999
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
4.37%, 01/25/06(1)		72,107,202		72,107,202
Westpac Banking Corp.
4.49%, 01/11/07		70,000,000		70,000,000
WhistleJacket Capital LLC
4.32%, 02/15/06(1)		20,000,000		19,999,364
4.33%, 06/22/06(1)		15,000,000		14,999,289
4.33%, 07/28/06(1)		15,000,000		14,997,857
4.33%, 10/16/06(1)		100,000,000		99,991,889
4.33%, 10/20/06(1)		25,000,000		24,994,365
4.33%, 11/22/06(1)		75,000,000		74,981,733
White Pine Finance LLC
4.32%, 03/15/06(1)		46,000,000		45,997,334
4.32%, 07/17/06(1)		50,000,000		49,994,425
4.32%, 09/15/06(1)		46,000,000		45,995,122

17

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Winston Funding Ltd.
Series 2003-1 Class A1MA
4.26%, 01/23/06(1)	$	100,000,000	$	100,000,000
TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $ 4,137,312,209)				4,137,312,209
REPURCHASE AGREEMENTS – 17.29%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $100,045,556 (collateralized by U.S. Government obligations, value $102,000,001, 4.50% to 6.00%, 5/1/33 to 11/1/35).		100,000,000		100,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,000, 5.00%, 8/1/35 to 1/1/36).		40,000,000		40,000,000
Credit Suisse First Boston Inc. Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,801,003, 4.21% to 4.77%, 1/1/33 to 5/1/35).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,000, 4.25% to 5.19%, 4/1/34 to 9/1/35).		40,000,000		40,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $250,122,222 (collateralized by non-U.S. Government debt securities, value $262,500,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)		250,000,000		250,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,801,409, 2.84% to 5.50%, 4/1/23 to 12/1/35).		40,000,000		40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,993,464, 2.73% to 4.58%, 5/15/07 to 9/25/35).(3)		100,000,000		100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,800,562, 3.15% to 7.41%, 11/1/11 to 6/1/44).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $150,073,167 (collateralized by non-U.S. Government debt securities, value $154,504,756, 4.50% to 8.00%, 12/31/06 to 6/1/25).(2)(3)		150,000,000		150,000,000
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,201,372, 4.00% to 6.00%, 10/25/11 to 5/25/34).		40,000,000		40,000,000
Morgan Stanley Tri-Party Repurchase Agreement, 4.45%, due 1/22/07, maturity value $ 250,123,611 (collateralized by non-U.S. Government debt securities, value $257,841,442, 0.00% to 10.00%, 1/1/06 to 12/31/35).(2)(3)		250,000,000		250,000,000
TOTAL REPURCHASE AGREEMENTS (Cost: $1,090,000,000)				1,090,000,000
TOTAL INVESTMENTS IN SECURITIES – 99.76% (Cost: $6,287,569,231)				6,287,569,231
Other Assets, Less Liabilities – 0.24%				15,013,769
NET ASSETS – 100.00%			$	6,302,583,000

⁽¹⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽²⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

⁽³⁾ The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

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

18

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
CERTIFICATES OF DEPOSIT – 3.57%
Credit Suisse First Boston NY
4.03%, 01/04/06	$	50,000,000	$	50,000,000
Fortis Bank NY
3.70%, 01/05/06		150,000,000		150,000,100
HBOS Treasury Services PLC
3.79%, 06/19/06		125,000,000		124,994,268
Svenska Handelsbanken NY
4.50%, 10/16/06		50,000,000		50,000,000
Toronto-Dominion Bank
3.94%, 07/10/06		35,000,000		35,000,000
TOTAL CERTIFICATES OF DEPOSIT (Cost: $409,994,368)				409,994,368
COMMERCIAL PAPER – 7.67%
Amstel Funding Corp.
3.91%, 02/15/06		50,000,000		49,750,195
CAFCO LLC
3.99%, 01/06/06		100,000,000		99,933,500
CC USA Inc.
3.76%, 01/23/06		50,000,000		49,879,889
4.23%, 04/21/06		45,000,000		44,413,087
Chesham Finance LLC
4.25%, 01/03/06		75,000,000		74,973,438
Ford Credit Floorplan Motown
4.02%, 01/03/06		64,000,000		63,978,560
Grampian Funding LLC
3.74%, 01/13/06		100,000,000		99,864,946
3.84%, 01/31/06		100,000,000		99,669,334
HSBC PLC
4.16%, 04/04/06		15,000,000		14,837,066
K2 USA LLC
3.85%, 02/07/06		41,000,000		40,833,597
Nordea North America Inc.
4.16%, 04/04/06		70,000,000		69,239,645
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		100,000,000		99,478,667
Sedna Finance Inc.
3.92%, 02/21/06		50,000,000		49,716,888
Sigma Finance Inc.
4.16%, 04/06/06		25,000,000		24,722,667
TOTAL COMMERCIAL PAPER (Cost: $881,291,479)				881,291,479
MEDIUM-TERM NOTES – 1.78%
K2 USA LLC
3.56%, 03/15/06(1)		85,000,000		85,000,000
3.57%, 03/16/06(1)		45,000,000		45,000,000
Sigma Finance Inc.
4.50%, 10/16/06(1)		75,000,000		75,000,000
TOTAL MEDIUM-TERM NOTES (Cost: $205,000,000)				205,000,000
TIME DEPOSITS – 6.97%
Regions Bank
4.02%, 01/03/06		100,571,000		100,571,000
Societe Generale
4.06%, 01/03/06		300,000,000		300,000,000
UBS AG
4.06%, 01/03/06		400,000,000		400,000,000
TOTAL TIME DEPOSITS (Cost: $800,571,000)				800,571,000
VARIABLE & FLOATING RATE NOTES – 52.13%
Allstate Life Global Funding II
4.36%, 12/08/06(1)		58,000,000		58,013,630
4.37%, 12/27/06(1)		110,000,000		110,000,000
4.39%, 01/12/07(1)		85,000,000		85,045,730
American Express Bank
4.33%, 07/19/06		85,000,000		85,000,000
ASIF Global Financing
4.34%, 08/11/06(1)		74,000,000		74,011,988
4.38%, 01/23/07(1)		75,000,000		74,996,257
4.55%, 05/30/06(1)		90,550,000		90,611,121
Bank of Nova Scotia
4.22%, 01/03/06		35,000,000		34,999,940
Banque Nationale de Paris
4.25%, 10/04/06		165,000,000		164,966,390
Bear Stearns Companies Inc. (The)
4.42%, 08/14/06(2)		200,000,000		200,000,000
Beta Finance Inc.
4.32%, 06/20/06(1)		68,000,000		67,996,814
4.33%, 04/25/06(1)		65,000,000		64,993,500
4.33%, 05/25/06(1)		65,000,000		64,997,329
4.33%, 05/26/06(1)		80,000,000		79,996,800
CC USA Inc.
4.32%, 05/22/06(1)		20,000,000		19,999,220
4.32%, 06/15/06(1)		95,000,000		94,995,680
4.33%, 05/25/06(1)		55,000,000		54,997,741
4.33%, 05/26/06(1)		30,000,000		29,998,800
4.33%, 06/26/06(1)		25,000,000		24,998,823
4.34%, 03/23/06(1)		50,000,000		50,000,100
4.35%, 07/14/06(1)		30,000,000		30,003,150
Citigroup Global Markets
Holdings Inc.
4.33%, 08/01/06		500,000,000		500,000,000
DEPFA Bank PLC
4.50%, 12/15/06		50,000,000		50,000,000
Dexia Credit Local
4.33%, 08/30/06		65,000,000		64,991,381

19

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Dorada Finance Inc.
4.33%, 06/26/06(1)	$	110,000,000	$	109,994,788
Five Finance Inc.
4.32%, 09/15/06(1)		70,000,000		69,990,105
Goldman Sachs Group Inc. (The)
4.38%, 02/07/06(1)(2)		100,000,000		100,000,000
Greenwich Capital Holdings Inc.
4.30%, 03/09/06		50,000,000		50,000,000
4.32%, 02/10/06		35,000,000		35,000,000
4.32%, 02/13/06		35,000,000		35,000,000
Hartford Life Global Funding Trust
4.36%, 02/17/07		100,000,000		100,000,000
HBOS Treasury Services PLC
4.32%, 01/10/06		100,000,000		100,000,000
Holmes Financing PLC Series 2005-9 Class 1A
4.36%, 12/15/06(1)		100,000,000		100,000,000
HSBC Bank USA N.A.
4.39%, 05/04/06		20,000,000		20,005,480
ING USA Annuity & Life Insurance Funding Agreement
4.57%, 12/18/06(1)(2)		35,000,000		35,000,000
K2 USA LLC
4.32%, 01/19/06(1)		90,000,000		89,998,594
4.32%, 09/11/06(1)		100,000,000		99,989,630
4.33%, 05/25/06(1)		50,000,000		49,997,021
4.36%, 02/15/06(1)		25,000,000		25,000,700
4.40%, 01/20/06(1)		70,000,000		70,002,170
Leafs LLC
4.37%, 01/20/06(1)		74,891,436		74,891,436
4.37%, 12/20/06(1)		49,927,000		49,927,000
Links Finance LLC
4.32%, 01/20/06(1)		65,000,000		64,999,173
4.33%, 05/18/06(1)		50,000,000		49,996,220
Marshall & Ilsley Bank
4.47%, 02/20/06		50,000,000		50,008,200
Metropolitan Life Global Funding I
4.31%, 01/05/07(1)		100,000,000		100,000,000
Metropolitan Life Insurance
Funding Agreement
4.30%, 07/25/06(1)(2)		50,000,000		50,000,000
Morgan Stanley
4.30%, 01/03/07		100,000,000		100,000,000
Natexis Banques Populaires
4.35%, 01/12/07(1)		125,000,000		125,000,000
National City Bank
4.26%, 01/06/06		35,000,000		34,999,853
Nationwide Building Society
4.33%, 01/05/07(1)		100,000,000		100,000,000
4.41%, 01/13/06(1)		100,000,000		100,002,300
4.58%, 10/27/06(1)		50,000,000		50,000,000
Permanent Financing PLC
Series 8 Class 1A
4.32%, 06/12/06(1)		50,000,000		50,000,000
Principal Life Income
Funding Trusts
4.30%, 11/13/06		50,000,000		49,998,355
Royal Bank of Scotland
4.23%, 04/05/06		100,000,000		99,989,880
4.32%, 06/27/06		50,000,000		49,996,359
4.33%, 08/30/06		200,000,000		199,974,176
Sedna Finance Inc.
4.33%, 01/10/06(1)		20,000,000		19,999,880
4.34%, 01/17/06(1)		35,000,000		34,999,673
4.34%, 09/20/06(1)		25,000,000		25,000,000
4.35%, 08/31/06(1)		25,000,000		24,998,336
Sigma Finance Inc.
4.33%, 08/15/06(1)		35,000,000		34,997,823
4.35%, 03/20/06(1)		35,000,000		35,000,560
Societe Generale
4.26%, 11/24/06(1)		45,000,000		45,000,000
4.30%, 06/13/06		55,000,000		54,994,995
Strips III LLC
4.43%, 07/24/06(1)(2)		30,741,246		30,741,246
Tango Finance Corp.
4.32%, 06/12/06(1)		100,000,000		99,995,540
4.32%, 09/11/06(1)		50,000,000		49,996,511
4.33%, 05/26/06(1)		30,000,000		29,998,188
4.33%, 06/21/06(1)		60,000,000		59,995,759
4.33%, 09/25/06(1)		70,000,000		69,992,342
Union Hamilton Special Funding LLC
4.50%, 06/21/06(1)		50,000,000		50,000,000
4.52%, 03/28/06(1)		100,000,000		100,000,000
US Bank N.A.
4.31%, 09/29/06		30,000,000		29,994,123
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
4.37%, 01/25/06(1)		32,725,499		32,725,499
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
4.37%, 01/25/06(1)		108,160,804		108,160,804
WhistleJacket Capital LLC
4.32%, 02/15/06(1)		30,000,000		29,999,048
4.33%, 07/28/06(1)		25,000,000		24,996,427
4.35%, 01/17/06(1)		40,000,000		39,999,976
White Pine Finance LLC
4.32%, 05/22/06(1)		50,000,000		49,996,615
4.32%, 09/15/06(1)		100,000,000		99,989,398
4.33%, 03/27/06(1)		30,000,000		29,998,490
4.34%, 01/13/06(1)		90,000,000		89,999,694
4.37%, 06/20/06(1)		25,000,000		25,003,300
TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $5,991,950,061)				5,991,950,061

20

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
REPURCHASE AGREEMENTS – 27.67%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $300,136,667 (collateralized by U.S. Government obligations, value $306,000,000, 4.40% to 5.50%, 4/1/25 to 12/1/35).	$	300,000,000	$	300,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,001, 4.25% to 6.00%, 4/1/34 to 9/1/35).		40,000,000		40,000,000
Bank of America Securities Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $400,191,111 (collateralized by non-U.S. Government debt securities, value $423,388,504, 2.75% to 9.88%, 5/15/06 to 11/1/25).(3)		400,000,000		400,000,000
Credit Suisse First Boston Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,800,700, 4.18% to 4.67%, 5/1/35).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,001, 4.25% to 6.00%, 4/1/34 to 9/1/35).		40,000,000		40,000,000
Goldman Sachs & Co.Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $1,000,481,111 (collateralized by U.S. Government obligations, value $1,020,000,000, 3.41% to 8.50%, 4/1/09 to 1/1/36).		1,000,000,000		1,000,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $400,195,556 (collateralized by non-U.S. Government debt securities, value $408,000,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)		400,000,000		400,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,802,922, 3.45% to 5.68%, 9/1/16 to 8/1/44).		40,000,000		40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $225,107,500 (collateralized by non-U.S. Government debt securities, value $236,222,842, 0.01% to 9.03%, 10/25/06 to 7/15/25).(3)		225,000,000		225,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,994,737, 1.83% to 5.10%, 5/15/07 to 1/27/20).(3)		100,000,000		100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $15,607,280 (collateralized by U.S. Government obligations, value $15,913,440, 3.62% to 6.30%, 11/1/24 to 11/1/35).		15,600,000		15,600,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,797,959, 3.74% to 7.27%, 6/1/07 to 12/1/35).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.37%, due 6/28/06, maturity value $125,060,694 (collateralized by non-U.S. Government debt securities, value $129,204,388, 2.88% to 10.13%, 5/15/06 to 1/20/24).(2)(3)		125,000,000		125,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $375,182,917 (collateralized by non-U.S. Government debt securities, value $386,251,598, 2.63% to 10.38%, 1/15/06 to 5/15/25).(2)(3)		375,000,000		375,000,000

21

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,203,427, 4.00% to 5.00%, 3/25/16 to 10/25/29).	$	40,000,000	$	40,000,000
TOTAL REPURCHASE AGREEMENTS (Cost: $3,180,600,000)				3,180,600,000
TOTAL INVESTMENTS IN SECURITIES – 99.79% (Cost: $11,469,406,908)				11,469,406,908
Other Assets, Less Liabilities – 0.21%				23,979,992
NET ASSETS – 100.00%			$	11,493,386,900

⁽¹⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽²⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

⁽³⁾ The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

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

22

TREASURY MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
REPURCHASE AGREEMENTS – 99.98%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 3.25%, due 1/3/06, maturity value $20,702,320 (collateralized by U.S. Government obligations, value $21,109,111, 3.88%, 5/15/09).	$	20,694,847	$	20,694,847
Credit Suisse First Boston Tri-Party Repurchase Agreement, 3.45%, due 1/3/06, maturity value $20,702,780 (collateralized by U.S. Government obligations, value $21,109,929, 4.13% to 4.50%, 5/15/15 to 11/15/15).		20,694,847		20,694,847
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 3.30%, due 1/3/06, maturity value $20,702,435 (collateralized by U.S. Government obligations, value $21,109,656, 4.25%, 8/15/14).		20,694,847		20,694,847
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 3.25%, due 1/3/06, maturity value $20,702,320 (collateralized by U.S. Government obligations, value $21,114,565, 6.25% to 9.13%, 5/15/18 to 5/15/30).		20,694,847		20,694,847
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 3.50%, due 1/3/06, maturity value $20,702,895 (collateralized by U.S. Government obligations, value $21,106,652, 1.50% to 8.00%, 1/31/06 to 8/15/28).		20,694,847		20,694,847
TOTAL REPURCHASE AGREEMENTS (Cost: $103,474,235)				103,474,235
TOTAL INVESTMENTS IN SECURITIES – 99.98% (Cost: $103,474,235)				103,474,235
Other Assets, Less Liabilities – 0.02%				19,262
NET ASSETS – 100.00%			$	103,493,497

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

23

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2005

Government Money Market Master Portfolio

Asset Type	Value		% of Net Assets
Repurchase Agreements	$	394,400,000	99.98	%
Other Net Assets		66,966	0.02
TOTAL	$	394,466,966	100.00	%

Money Market Master Portfolio

Asset Type	Value		% of Net Assets
Variable & Floating Rate Notes	$	4,137,312,209	65.64	%
Repurchase Agreements		1,090,000,000	17.29
Time Deposits		412,500,000	6.55
Commercial Paper		397,599,602	6.31
Certificates of Deposit		159,997,741	2.54
Medium-Term Notes		90,159,679	1.43
Other Net Assets		15,013,769	0.24
TOTAL	$	6,302,583,000	100.00	%

Prime Money Market Master Portfolio

Asset Type	Value		% of Net Assets
Variable & Floating Rate Notes	$	5,991,950,061	52.13	%
Repurchase Agreements		3,180,600,000	27.67
Commercial Paper		881,291,479	7.67
Time Deposits		800,571,000	6.97
Certificates of Deposit		409,994,368	3.57
Medium-Term Notes		205,000,000	1.78
Other Net Assets		23,979,992	0.21
TOTAL	$	11,493,386,900	100.00	%

Treasury Money Market Master Portfolio

Asset Type	Value		% of Net Assets
Repurchase Agreements	$	103,474,235	99.98	%
Other Net Assets		19,262	0.02
TOTAL	$	103,493,497	100.00	%

These tables are not part of the financial statements.

24

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005

	Government Money Market Master Portfolio		Money Market Master Portfolio		Prime Money Market Master Portfolio		Treasury Money Market Master Portfolio
ASSETS
Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1)	$	—	$	5,197,569,231	$	8,288,806,908	$	—
Repurchase agreements, at value and cost (Note 1)		394,400,000		1,090,000,000		3,180,600,000		103,474,235
Cash		2,501		3,268		3,428		—
Receivables:
Interest		93,774		15,549,343		24,973,966		19,262
Total Assets		394,496,275		6,303,121,842		11,494,384,302		103,493,497
LIABILITIES
Payables:
Investment advisory fees (Note 2)		29,309		538,842		997,402		—
Total Liabilities		29,309		538,842		997,402		—
NET ASSETS	$	394,466,966	$	6,302,583,000	$	11,493,386,900	$	103,493,497

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005

	Government Money Market Master Portfolio			Money Market Master Portfolio			Prime Money Market Master Portfolio			Treasury Money Market Master Portfolio
NET INVESTMENT INCOME
Interest from unaffiliated issuers	$	29,369,301		$	240,993,254		$	463,852,373		$	685,155
Total investment income		29,369,301			240,993,254			463,852,373			685,155
EXPENSES (Note 2)
Investment advisory fees		920,783			7,249,677			14,041,065			17,151
Total expenses		920,783			7,249,677			14,041,065			17,151
Less investment advisory fees waived		(799,065	)		(3,436,517	)		(3,035,058	)		(17,151	)
Net expenses		121,718			3,813,160			11,006,007			—
Net investment income		29,247,583			237,180,094			452,846,366			685,155
REALIZED GAIN (LOSS)
Net realized gain from sale of investments in unaffiliated issuers		—			35,169			9,750			—
Net realized gain		—			35,169			9,750			—
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	29,247,583		$	237,215,263		$	452,856,116		$	685,155

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

25

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS

	Government Money Market Master Portfolio						Money Market Master Portfolio
	For the year ended December 31, 2005			For the period September 1, 2004 (a) to December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	29,247,583		$	2,579,922		$	237,180,094		$	75,589,172
Net realized gain (loss)		—			—			35,169			(3,023	)
Net increase in net assets resulting from operations		29,247,583			2,579,922			237,215,263			75,586,149
Interestholder transactions:
Contributions		7,564,992,045			448,400,000			58,641,619,347			27,939,964,264
Withdrawals		(7,648,995,142	)		(1,757,442	)		(58,107,077,434	)		(27,213,733,782	)
Net increase (decrease) in net assets resulting from interestholder transactions		(84,003,097	)		446,642,558			534,541,913			726,230,482
Increase (decrease) in net assets		(54,755,514	)		449,222,480			771,757,176			801,816,631
NET ASSETS:
Beginning of period		449,222,480			—			5,530,825,824			4,729,009,193
End of period	$	394,466,966		$	449,222,480		$	6,302,583,000		$	5,530,825,824

	Prime Money Market Master Portfolio						Treasury Money Market Master Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the period September 1, 2004 (a) to December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	452,846,366		$	89,577,595		$	685,155		$	2,435
Net realized gain		9,750			58,161			—			—
Net increase in net assets resulting from operations		452,856,116			89,635,756			685,155			2,435
Interestholder transactions:
Contributions		79,992,322,542			29,953,898,444			219,416,585			400,000
Withdrawals		(81,445,952,186	)		(21,667,004,697	)		(117,010,598	)		(80	)
Net increase (decrease) in net assets resulting from interestholder transactions		(1,453,629,644	)		8,286,893,747			102,405,987			399,920
Increase (decrease) in net assets		(1,000,773,528	)		8,376,529,503			103,091,142			402,355
NET ASSETS:
Beginning of period		12,494,160,428			4,117,630,925			402,355			—
End of period	$	11,493,386,900		$	12,494,160,428		$	103,493,497		$	402,355

^(a) Commencement of operations.

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

26

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company organized as a Delaware statutory trust. As of December 31, 2005, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

These financial statements relate only to the Government Money Market, Money Market, Prime Money Market and Treasury Money Market Master Portfolios (each, a “Master Portfolio,” collectively, the “Master Portfolios”). The Government Money Market and Treasury Money Market Master Portfolios commenced operations on September 1, 2004.

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

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

SECURITY VALUATION

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

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Security transactions are accounted for on trade date. Interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premium and accrete discount using a constant yield to maturity method.

FEDERAL INCOME TAXES

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

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

It is intended that each Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other

27

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

requirements for such qualifications not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2005, the Master Portfolios’ costs of investments for federal income tax purposes were the same as for financial statement purposes.

REPURCHASE AGREEMENTS

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

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with the Master Portfolios, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.10% of the average daily net assets of each of the Master Portfolios, as compensation for investment advisory services. From time to time, BGFA may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGFA waived investment advisory fees of $799,065, $3,436,517, $3,035,058 and $17,151 for the Government Money Market, Money Market, Prime Money Market and Treasury Money Market Master Portfolios, respectively.

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

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

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

Certain officers and trustees of MIP are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of MIP’s outstanding beneficial interests.

28

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

3. FINANCIAL HIGHLIGHTS

Financial highlights for the Master Portfolios were as follows:

Master Portfolio	Year Ended December 31, 2005		Year Ended December 31, 2004		Year Ended December 31, 2003		Year Ended December 31, 2002		Year Ended December 31, 2001
Government Money Market
Ratio of expenses to average net assets(a)	0.03	%	0.00	%(b)	n/a		n/a		n/a
Ratio of expenses to average net assets prior to waived fees(a)	0.10	%	0.10	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets(a)	3.16	%	1.93	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets prior to waived fees(a)	3.09	%	1.83	%(b)	n/a		n/a		n/a
Total return	3.28	%	0.64	%(b)(c)	n/a		n/a		n/a
Money Market
Ratio of expenses to average net assets	0.05	%	0.05	%	0.10	%	0.10	%	0.10	%
Ratio of expenses to average net assets prior to waived fees	0.10	%	0.10	%	n/a		n/a		n/a
Ratio of net investment income to average net assets	3.27	%	1.40	%	1.15	%	1.80	%	3.66	%
Ratio of net investment income to average net assets prior to waived fees	3.22	%	1.35	%	n/a		n/a		n/a
Total return	3.28	%	1.39	%	1.16	%	1.84	%	4.23	%
Prime Money Market
Ratio of expenses to average net assets(a)	0.08	%	0.03	%	0.03	%(d)	n/a		n/a
Ratio of expenses to average net assets prior to waived fees(a)	0.10	%	0.10	%	0.10	%(d)	n/a		n/a
Ratio of net investment income to average net assets(a)	3.22	%	1.52	%	1.12	%(d)	n/a		n/a
Ratio of net investment income to average net assets prior to waived fees(a)	3.20	%	1.45	%	1.05	%(d)	n/a		n/a
Total return	3.26	%	1.40	%	0.80	%(c)(d)	n/a		n/a
Treasury Money Market
Ratio of expenses to average net assets(a)	0.00	%	0.00	%(b)	n/a		n/a		n/a
Ratio of expenses to average net assets prior to waived fees(a)	0.10	%	0.10	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets(a)	3.99	%	1.82	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets prior to waived fees(a)	3.89	%	1.72	%(b)	n/a		n/a		n/a
Total return	3.20	%	0.61	%(b)(c)	n/a		n/a		n/a

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

^(b) For the period from September 1, 2004 (commencement of operations) to December 31, 2004.

^(c) Not annualized.

^(d) For the period from April 16, 2003 (commencement of operations) to December 31, 2003.

29

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Government Money Market Master Portfolio, Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio, each a portfolio of Master Investment Portfolio (the “Master Portfolios”), at December 31, 2005, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which include confirmation of securities at December 31, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

30

MASTER INVESTMENT PORTFOLIO

TRUSTEE INFORMATION — Unaudited

The Board of Trustees has responsibility for the overall management and operations of the Master Portfolios. The Trustees and Officers of Master Investment Portfolio (“MIP”) also serve as Trustees and Officers of Barclays Global Investors Funds (“BGIF”). Please see the Trustees Information for BGIF (found elsewhere in this report), for information regarding the Trustees and Officers of MIP.

Additional information about MIP’s Trustees may be found in Part B of each Master Portfolio’s Registration Statement, which is available without charge, upon request, by calling toll-free 1-877-244-1544.

31

Notes:

32

Notes:

33

Notes:

34

TABLE OF CONTENTS

Shareholder Expenses	1
Barclays Global Investors Funds
Financial Statements	2
Financial Highlights	5
Notes to the Financial Statements	6
Report of Independent Registered Public Accounting Firm	8
Trustee Information (Unaudited)	9
Master Investment Portfolio
Schedule of Investments	11
Money Market Master Portfolio	11
Portfolio Allocation (Unaudited)	14
Financial Statements	15
Notes to the Financial Statements	16
Report of Independent Registered Public Accounting Firm	18
Trustee Information (Unaudited)	19

BARCLAYS GLOBAL INVESTORS FUNDS

Shareholder Expenses

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

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

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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

Fund	Beginning Account Value (July 1, 2005)		Ending Account Value (December 31, 2005)		Annualized Expense Ratio(a)		Expenses Paid During Period (b) (July 1 to December 31, 2005)
Institutional Money Market
Aon Captives Shares
Actual	$	1,000.00	$	1,018.50	0.18	%	$	0.92
Hypothetical (5% return before expenses)		1,000.00		1,024.32	0.18			0.92

^(a) This ratio includes expenses charged to the Money Market Master Portfolio and includes investment advisory and administration fees voluntary waived during the period.

^(b) Expenses are calculated using the Fund’s annualized expense ratio of the Aon Captives Shares (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).

1

INSTITUTIONAL MONEY MARKET FUND

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2005

ASSETS
Investment in Money Market Master Portfolio (Master Portfolio), at value (Note 1)	$	5,411,656,356
Total Assets		5,411,656,356
LIABILITIES
Payables:
Distribution to shareholders		19,546,725
Administration fees (Note 2)		100,339
Distribution fees – Aon Captives Shares (Note 2)		20,025
Total Liabilities		19,667,089
NET ASSETS	$	5,391,989,267
Net assets consist of:
Paid-in capital	$	5,391,955,951
Undistributed net investment income		3,747
Undistributed net realized gain		29,569
NET ASSETS	$	5,391,989,267
Aon Captives Shares
Net Assets	$	77,898,550
Shares outstanding		77,897,975
Net asset value and offering price per share	$	1.00
Institutional Shares
Net Assets	$	3,485,876,124
Shares outstanding		3,485,858,584
Net asset value and offering price per share	$	1.00
Premium Shares
Net Assets	$	1,803,170,990
Shares outstanding		1,803,159,587
Net asset value and offering price per share	$	1.00
Select Shares
Net Assets	$	24,940,220
Shares outstanding		24,940,211
Net asset value and offering price per share	$	1.00
Trust Shares
Net Assets	$	103,383
Shares outstanding		103,383
Net asset value and offering price per share	$	1.00

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

2

INSTITUTIONAL MONEY MARKET FUND

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2005

NET INVESTMENT INCOME ALLOCATED FROM MASTER PORTFOLIO
Interest	$	218,145,682
Expenses(a)		(3,442,469	)
Net investment income allocated from Master Portfolio		214,703,213
FUND EXPENSES (Note 2)
Administration fees		2,559,241
Distribution fees – Aon Captives Shares		95,721
Total fund expenses		2,654,962
Less administration fees waived		(1,312,234	)
Net fund expenses		1,342,728
Net investment income		213,360,485
REALIZED GAIN (LOSS) ALLOCATED FROM MASTER PORTFOLIO
Net realized gain		32,325
Net realized gain		32,325
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	213,392,810

^(a) Net of investment advisory fee waivers by the Master Portfolio’s investment adviser in the amount of $3,129,635.

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

3

INSTITUTIONAL MONEY MARKET FUND

STATEMENTS OF CHANGES IN NET ASSETS

	For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	213,360,485		$	67,218,571
Net realized gain (loss)		32,325			(2,753	)
Net increase in net assets resulting from operations		213,392,810			67,215,818
Distributions to shareholders:
From net investment income:
Aon Captives Shares		(2,943,319	)		(1,141,062	)
Institutional Shares		(129,993,058	)		(54,192,310	)
Premium Shares		(79,980,794	)		(11,848,951	)
Select Shares		(440,285	)		(35,557	)
Trust Shares		(2,975	)		(745	)
		(213,360,431	)		(67,218,625	)
Total distributions to shareholders		(213,360,431	)		(67,218,625	)
Capital share transactions (Note 3):
Aon Captives Shares		(28,534,415	)		51,033,638
Institutional Shares		(138,646,363	)		(373,719,853	)
Premium Shares		585,770,940			927,289,984
Select Shares		18,227,811			6,712,400
Trust Shares		2,796			100,587
Net increase in net assets resulting from capital share transactions		436,820,769			611,416,756
Increase in net assets		436,853,148			611,413,949
NET ASSETS:
Beginning of year		4,955,136,119			4,343,722,170
End of year	$	5,391,989,267		$	4,955,136,119
Undistributed (distributions in excess of) net investment income included in net assets at end of year	$	3,747		$	(54	)

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

4

INSTITUTIONAL MONEY MARKET FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

	Aon Captives Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Year ended Dec. 31, 2002			Year ended Dec. 31, 2001
Net asset value, beginning of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01			0.01			0.02			0.04
Net realized gain		0.00	(a)		0.00	(a)		0.00	(a)		—			—
Total from investment operations		0.03			0.01			0.01			0.02			0.04
Less distributions from:
Net investment income		(0.03	)		(0.01	)		(0.01	)		(0.02	)		(0.04	)
Net realized gain		—			—			(0.00	)(a)		—			—
Total distributions		(0.03	)		(0.01	)		(0.01	)		(0.02	)		(0.04	)
Net asset value, end of year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total return		3.19	%		1.29	%		1.04	%		1.70	%		4.12	%
Ratios/Supplemental data:
Net assets, end of year (000s)	$	77,899		$	106,433		$	55,399		$	8,211		$	6
Ratio of expenses to average net assets(b)		0.15	%		0.15	%		0.22	%		0.22	%		0.24	%
Ratio of expenses to average net assets prior to waived fees(b)		0.22	%		0.22	%		n/a			n/a			n/a
Ratio of net investment income to average net assets(b)		3.07	%		1.35	%		0.97	%		1.42	%		4.06	%
Ratio of net investment income to average net assets prior to waived fees(b)		3.00	%		1.28	%		n/a			n/a			n/a

^(a) Rounds to less than $0.01.

^(b) These ratios include expenses charged to the Money Market Master Portfolio.

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

5

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

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

These financial statements relate only to the Aon Captives Shares of the Institutional Money Market Fund (the “Fund”). In addition, the Fund offers Institutional Shares, Premium Shares, Select Shares and Trust Shares. All classes of shares have equal rights to assets and earnings, and differ principally in administration and distribution fees.

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

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

INVESTMENT POLICY AND SECURITY VALUATION

The Fund invests all of its assets in a separate series (the “Master Portfolio”) of Master Investment Portfolio (“MIP”). The Master Portfolio has the same or substantially similar investment objectives as the Fund. The value of the Fund’s investment in its Master Portfolio reflects the Fund’s interest in the net assets of the Master Portfolio (85.86%, as of December 31, 2005). The method by which MIP values its securities is discussed in Note 1 of the Master Portfolio’s Notes to the Financial Statements, which are included elsewhere in this report.

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

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

SECURITY TRANSACTIONS AND INCOME RECOGNITION

The Fund records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of its Master Portfolio. In addition, the Fund accrues its own expenses. Net investment income, common fund expenses and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class.

DISTRIBUTIONS TO SHAREHOLDERS

Distributions to shareholders from net investment income of the Fund are declared daily and distributed monthly. Distributions to shareholders from net realized capital gains, if any, are declared and distributed at least annually. Dividends are determined separately for the class based on income and expenses allocable to the class.

As of December 31, 2005, the tax year-end of the Fund, the components of net distributable earnings on a tax basis consisted of undistributed ordinary income of $35,458 and capital and other losses of $2,142, for net distributable earnings of $33,316.

6

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

The tax character of distributions paid for the years ended December 31, 2005 and December 31, 2004, consisted of ordinary income of $213,360,431 and $67,218,625, respectively.

FEDERAL INCOME TAXES

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

From November 1, 2005 to December 31, 2005, the Fund incurred net realized capital losses. As permitted by tax regulations, the Fund has elected to defer the losses of $2,142 and treat it as arising in the year ending December 31, 2006.

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

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

SEI Investments Distribution Company (“SEI”) is the Fund’s distributor. The Fund has adopted a plan pursuant to Rule 12b-1 under the 1940 Act, which allows the Fund to pay expenses relating to the distribution of its Aon Captives Shares. Under the plan, SEI is entitled to receive an annual fee for these services of 0.10% of the average daily net assets of the Aon Captives Shares. This fee is an expense of the Aon Captives Shares only and is not borne by the Institutional Shares, Premium Shares, Select Shares or Trust Shares.

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Fund’s transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Fund for which BGI receives a fee paid by the Fund. This fee is an “all-in” or “semi-unified” fee and BGI, in consideration thereof, has agreed to bear all of the Fund’s ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees and costs related to securities transactions. BGI is entitled to receive for these administration services an annual fee of 0.02% of the average daily net assets of the Aon Captives Shares. From time to time, BGI may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGI waived administration fees of $19,144 for the Aon Captives Shares of the Fund. BGI may delegate certain of its administration duties to sub-administrators.

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

3. CAPITAL SHARE TRANSACTIONS

As of December 31, 2005, there were an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the Aon Captives Shares of the Fund were as follows:

	Institutional Money Market Fund
	Year Ended December 31, 2005					Year Ended December 31, 2004
	Shares		Amount			Shares		Amount
Shares sold	52,604,460		$	52,604,460		90,884,066		$	90,884,068
Shares issued in reinvestment of dividends and distributions	1,167,489			1,167,489		763,570			763,570
Shares redeemed	(82,306,364	)		(82,306,364	)	(40,614,000	)		(40,614,000	)
Net increase (decrease)	(28,534,415	)	$	(28,534,415	)	51,033,636		$	51,033,638

7

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

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

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

8

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED

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

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

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

Interested Trustees and Officers

Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
*Lee T. Kranefuss, 1961	Trustee (since 2001), President and Chief Executive Officer (since 2002).	Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Chief Executive Officer (1997-2003) of the Intermediary Investor Business of BGI.	Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.
Michael A. Latham, 1965	Secretary, Treasurer and Chief Financial Officer (since 2003).	Chief Operating Officer (since 2004) of the Intermediary Investor Business of BGI; Director (2000-2004) of Mutual Fund Delivery of the Intermediary Investor Business of BGI.	None.

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

9

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED (Continued)

Independent Trustees

Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii.
Jack S. Euphrat, 1922	Trustee (since 1993).	Private Investor.	None.
Richard K. Lyons, 1961	Trustee (since 2001).	Executive Associate Dean (since 2005), Sylvan Coleman Chair in Finance (since 2004), Acting Dean (2004-2005) and Professor (since 1993), University of California, Berkeley; Haas School of Business; Consultant for IMF, World Bank, Federal Reserve Bank, and Citibank N.A. (since 2000).	Trustee (since 2001) of MIP; Director (since 2003) of the BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 1995) and Chairman of the Matthews Asian Funds (oversees 8 portfolios); Trustee (since 2000) of iShares Trust; Director (since 2002) of iShares, Inc.
Leo Soong, 1946	Trustee (since 2000).	President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder of Crystal Geyser Water Co. (President through 1999).	Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association.

10

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
CERTIFICATES OF DEPOSIT – 2.54%
HBOS Treasury Services PLC
3.56%, 03/14/06	$	50,000,000	$	50,000,000
3.79%, 06/19/06		50,000,000		49,997,741
Svenska Handelsbanken NY
4.50%, 10/16/06		25,000,000		25,000,000
Toronto-Dominion Bank
3.94%, 07/10/06		35,000,000		35,000,000
TOTAL CERTIFICATES OF DEPOSIT (Cost: $159,997,741)				159,997,741
COMMERCIAL PAPER – 6.31%
Amstel Funding Corp.
4.40%, 05/08/06		50,000,000		49,217,778
CC USA Inc.
3.76%, 01/23/06		50,000,000		49,879,889
3.93%, 02/24/06		65,500,000		65,106,727
4.23%, 04/21/06		45,000,000		44,413,087
Dorada Finance Inc.
3.76%, 01/26/06		10,000,000		9,972,844
Grampian Funding LLC
3.74%, 01/13/06		90,000,000		89,878,450
K2 USA LLC
3.85%, 02/07/06		74,600,000		74,297,227
Sigma Finance Inc.
4.16%, 04/06/06		15,000,000		14,833,600
TOTAL COMMERCIAL PAPER (Cost: $397,599,602)				397,599,602
MEDIUM-TERM NOTES – 1.43%
K2 USA LLC
3.57%, 03/16/06(1)		15,000,000		15,000,000
Marshall & Ilsley Bank
5.18%, 12/15/06		50,000,000		50,159,679
Sigma Finance Inc.
4.50%, 10/16/06(1)		25,000,000		25,000,000
TOTAL MEDIUM-TERM NOTES (Cost: $90,159,679)				90,159,679
TIME DEPOSITS – 6.55%
Branch Banking & Trust
4.02%, 01/03/06		250,000,000		250,000,000
Regions Bank
4.02%, 01/03/06		162,500,000		162,500,000
TOTAL TIME DEPOSITS (Cost: $412,500,000)				412,500,000
VARIABLE & FLOATING RATE NOTES – 65.64%
Allstate Life Global Funding II
4.36%, 12/08/06(1)		11,000,000		11,005,507
4.37%, 11/09/06(1)		20,000,000		20,010,187
4.37%, 12/27/06(1)		50,000,000		50,000,000
4.39%, 01/12/07(1)		35,000,000		35,018,818
4.43%, 01/16/07(1)		25,000,000		25,012,931
American Express Bank
4.33%, 07/19/06		40,000,000		40,000,000
4.34%, 09/27/06		90,000,000		90,000,000
American Express Centurion Bank
4.34%, 06/29/06		35,000,000		35,000,000
4.34%, 09/27/06		60,000,000		60,000,000
American Express Credit Corp.
4.42%, 02/28/06		31,000,000		31,002,173
ANZ National International Ltd.
4.31%, 12/29/06(1)		75,000,000		75,000,000
ASIF Global Financing
4.34%, 08/11/06(1)		25,000,000		25,001,998
4.38%, 01/23/07(1)		75,000,000		74,996,257
4.55%, 05/30/06(1)		61,500,000		61,540,898
4.56%, 12/11/06(1)		90,000,000		90,072,387
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(1)		35,000,000		35,000,000
Bank of Ireland
4.34%, 12/20/06(1)		70,000,000		70,000,000
Bank of Nova Scotia
4.32%, 09/29/06		35,000,000		34,992,555
Banque Nationale de Paris
4.25%, 10/04/06		20,000,000		19,995,934
Beta Finance Inc.
4.33%, 04/25/06(1)		30,000,000		29,997,000
4.33%, 05/25/06(1)		15,000,000		14,999,459
CC USA Inc.
4.32%, 06/15/06(1)		55,000,000		54,997,499
4.33%, 05/25/06(1)		25,000,000		24,998,973
4.34%, 03/23/06(1)		25,000,000		25,000,048
4.35%, 07/14/06(1)		15,000,000		15,001,574
Commodore CDO Ltd. 2003-2A Class A1MM
4.56%, 06/13/06(1)		25,000,000		25,000,000
Credit Suisse First Boston NY
4.31%, 05/09/06		50,000,000		50,000,000
4.35%, 07/19/06		75,000,000		75,000,000
4.35%, 09/26/06		100,000,000		100,000,000
DEPFA Bank PLC
4.50%, 12/15/06		100,000,000		100,000,000
Descartes Funding Trust
4.37%, 11/15/06(1)		45,000,000		45,000,000
Dexia Credit Local
4.33%, 08/30/06		35,000,000		34,995,359
Dorada Finance Inc.
4.33%, 06/26/06(1)		15,000,000		14,999,321

11

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Five Finance Inc.
4.32%, 09/15/06(1)	$	30,000,000	$	29,995,759
4.33%, 05/25/06(1)		22,000,000		21,999,096
4.34%, 06/26/06(1)		14,000,000		13,999,320
Greenwich Capital Holdings Inc.
4.32%, 02/10/06		15,000,000		15,000,000
4.32%, 02/13/06		15,000,000		15,000,000
HBOS Treasury Services PLC
4.57%, 10/24/06(1)		50,000,000		50,000,000
Holmes Financing PLC Series 2005-9 Class 1A
4.36%, 12/15/06(1)		50,000,000		50,000,000
HSBC Bank USA N.A.
4.39%, 05/04/06		15,000,000		15,004,117
ING USA Annuity & Life Insurance Funding Agreement
4.57%, 12/18/06(1)(2)		20,000,000		20,000,000
Jordan Brick Co. Inc.
4.38%, 01/03/06(1)		18,000,000		18,000,000
K2 USA LLC
4.25%, 06/02/06(1)		35,000,000		34,998,533
4.32%, 09/11/06(1)		100,000,000		99,989,630
Lakeline Austin Development Ltd.
4.40%, 01/03/06(1)		9,800,000		9,800,000
Leafs LLC
4.37%, 02/21/06(1)		19,971,050		19,971,050
LEEK Finance Series 14A Class A1
4.37%, 01/23/06		4,835,872		4,835,872
Links Finance LLC
4.32%, 01/20/06(1)		35,000,000		34,999,556
4.32%, 10/16/06(1)		82,000,000		81,990,234
Lothian Mortgages PLC Series 4A Class A1
4.37%, 01/24/06(1)		25,000,000		25,000,000
Marshall & Ilsley Bank
4.35%, 12/15/06		60,000,000		60,000,000
4.47%, 02/20/06		30,000,000		30,004,935
Metropolitan Life Insurance Funding Agreement
4.24%, 07/18/06(1)(2)		25,000,000		25,000,000
Monumental Global Funding II
4.53%, 12/27/06(1)		100,000,000		100,008,042
Natexis Banques Populaires
4.35%, 01/12/07(1)		50,000,000		50,000,000
National City Bank
4.26%, 01/06/06		20,000,000		19,999,917
Nationwide Building Society
4.58%, 10/27/06(1)		100,000,000		100,000,000
Nordea Bank AB
4.34%, 01/11/07(1)		75,000,000		75,000,000
Nordea Bank PLC
4.23%, 10/02/06		75,000,000		74,986,653
Northern Rock PLC
4.32%, 11/03/06(1)		70,000,000		70,000,000
Permanent Financing PLC Series 8 Class 1A
4.32%, 06/12/06(1)		37,000,000		37,000,067
Principal Life Income Funding Trusts
4.30%, 11/13/06		50,000,000		49,998,353
Royal Bank of Scotland
4.23%, 04/05/06		76,250,000		76,241,832
4.33%, 08/30/06		100,000,000		99,986,739
Sedna Finance Inc.
4.34%, 09/20/06(1)		15,000,000		15,000,000
Sigma Finance Inc.
4.00%, 08/11/06(1)		75,000,000		74,976,738
4.33%, 08/15/06(1)		15,000,000		14,999,067
4.35%, 03/20/06(1)		20,000,000		20,000,329
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(1)		50,000,000		50,000,000
Societe Generale
4.26%, 01/02/07(1)		30,000,000		30,000,000
4.30%, 06/13/06		30,000,000		29,997,270
Tango Finance Corp.
4.32%, 06/12/06(1)		50,000,000		49,997,769
4.33%, 05/26/06(1)		15,000,000		14,999,094
4.33%, 09/25/06(1)		30,000,000		29,996,718
Trap Rock Industry Inc.
4.40%, 01/03/06(1)		20,390,000		20,390,000
Travelers Insurance Co. Funding Agreement
4.36%, 02/03/06(1)(2)		50,000,000		50,000,000
4.45%, 08/18/06(1)(2)		50,000,000		50,000,000
Union Hamilton Special Funding LLC
4.52%, 03/28/06(1)		50,000,000		50,000,000
US Bank N.A.
4.31%, 09/29/06		15,000,000		14,997,062
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
4.37%, 01/25/06(1)		65,450,999		65,450,999
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
4.37%, 01/25/06(1)		72,107,202		72,107,202
Westpac Banking Corp.
4.49%, 01/11/07		70,000,000		70,000,000
WhistleJacket Capital LLC
4.32%, 02/15/06(1)		20,000,000		19,999,364
4.33%, 06/22/06(1)		15,000,000		14,999,289
4.33%, 07/28/06(1)		15,000,000		14,997,857
4.33%, 10/16/06(1)		100,000,000		99,991,889
4.33%, 10/20/06(1)		25,000,000		24,994,365
4.33%, 11/22/06(1)		75,000,000		74,981,733
White Pine Finance LLC
4.32%, 03/15/06(1)		46,000,000		45,997,334
4.32%, 07/17/06(1)		50,000,000		49,994,425
4.32%, 09/15/06(1)		46,000,000		45,995,122
Winston Funding Ltd. Series 2003-1 Class A1MA
4.26%, 01/23/06(1)		100,000,000		100,000,000
TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $4,137,312,209)				4,137,312,209

12

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
REPURCHASE AGREEMENTS – 17.29%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $100,045,556 (collateralized by U.S. Government obligations, value $102,000,001, 4.50% to 6.00%, 5/1/33 to 11/1/35).	$	100,000,000	$	100,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,000, 5.00%, 8/1/35 to 1/1/36).		40,000,000		40,000,000
Credit Suisse First Boston Inc. Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,801,003, 4.21% to 4.77%, 1/1/33 to 5/1/35).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,000, 4.25% to 5.19%, 4/1/34 to 9/1/35).		40,000,000		40,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $250,122,222 (collateralized by non-U.S. Government debt securities, value $262,500,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)		250,000,000		250,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,801,409, 2.84% to 5.50%, 4/1/23 to 12/1/35).		40,000,000		40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,993,464, 2.73% to 4.58%, 5/15/07 to 9/25/35).(3)		100,000,000		100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,800,562, 3.15% to 7.41%, 11/1/11 to 6/1/44).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $150,073,167 (collateralized by non-U.S. Government debt securities, value $154,504,756, 4.50% to 8.00%, 12/31/06 to 6/1/25).(2)(3)		150,000,000		150,000,000
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,201,372, 4.00% to 6.00%, 10/25/11 to 5/25/34).		40,000,000		40,000,000
Morgan Stanley Tri-Party Repurchase Agreement, 4.45%, due 1/22/07, maturity value $250,123,611 (collateralized by non-U.S. Government debt securities, value $257,841,442, 0.00% to 10.00%, 1/1/06 to 12/31/35).(2)(3)		250,000,000		250,000,000
TOTAL REPURCHASE AGREEMENTS (Cost: $1,090,000,000)				1,090,000,000
TOTAL INVESTMENTS IN SECURITIES – 99.76% (Cost: $6,287,569,231)				6,287,569,231
Other Assets, Less Liabilities – 0.24%				15,013,769
NET ASSETS – 100.00%			$	6,302,583,000

⁽¹⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽²⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

⁽³⁾ The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

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

13

MONEY MARKET INVESTMENT PORTFOLIO

Portfolio Allocation (Unaudited)

December 31, 2005

Asset Type	Value		% of Net Assets
Variable & Floating Rate Notes	$	4,137,312,209	65.64	%
Repurchase Agreements		1,090,000,000	17.29
Time Deposits		412,500,000	6.55
Commercial Paper		397,599,602	6.31
Certificates of Deposit		159,997,741	2.54
Medium-Term Notes		90,159,679	1.43
Other Net Assets		15,013,769	0.24
TOTAL	$	6,302,583,000	100.00	%

This table is not part of the financial statements.

14

MONEY MARKET MASTER PORTFOLIO

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2005

ASSETS
Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1)	$	5,197,569,231
Repurchase agreements, at value and cost (Note 1)		1,090,000,000
Cash		3,268
Receivables:
Interest		15,549,343
Total Assets		6,303,121,842
LIABILITIES
Payables:
Investment advisory fees (Note 2)		538,842
Total Liabilities		538,842
NET ASSETS	$	6,302,583,000

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2005

NET INVESTMENT INCOME
Interest from unaffiliated issuers	$	240,993,254
Total investment income		240,993,254
EXPENSES (Note 2)
Investment advisory fees		7,249,677
Total expenses		7,249,677
Less investment advisory fees waived		(3,436,517	)
Net expenses		3,813,160
Net investment income		237,180,094
REALIZED GAIN (LOSS)
Net realized gain from sale of investments in unaffiliated issuers		35,169
Net realized gain		35,169
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	237,215,263

STATEMENTS OF CHANGES IN NET ASSETS

	For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	237,180,094		$	75,589,172
Net realized gain (loss)		35,169			(3,023	)
Net increase in net assets resulting from operations		237,215,263			75,586,149
Interestholder transactions:
Contributions		58,641,619,347			27,939,964,264
Withdrawals		(58,107,077,434	)		(27,213,733,782	)
Net increase in net assets resulting from interestholder transactions		534,541,913			726,230,482
Increase in net assets		771,757,176			801,816,631
NET ASSETS:
Beginning of year		5,530,825,824			4,729,009,193
End of year	$	6,302,583,000		$	5,530,825,824

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

15

MONEY MARKET MASTER PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company organized as a Delaware statutory trust. As of December 31, 2005, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

These financial statements relate only to the Money Market Master Portfolio (the “Master Portfolio”).

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

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

SECURITY VALUATION

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

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Security transactions are accounted for on trade date. Interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolio amortizes premiums and accretes discounts using a constant yield to maturity method.

FEDERAL INCOME TAXES

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

It is intended that the Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualification not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2005, the Master Portfolio’s cost of investments for federal income tax purposes was the same as for financial statement purposes.

16

MONEY MARKET MASTER PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

REPURCHASE AGREEMENTS

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

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with the Master Portfolio, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to the Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.10% of the average daily net assets of the Master Portfolio, as compensation for investment advisory services. From time to time, BGFA may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGFA waived investment advisory fees of $3,436,517 for the Master Portfolio.

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

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

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

Certain officers and trustees of MIP are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of MIP’s outstanding beneficial interests.

3. FINANCIAL HIGHLIGHTS

Financial highlights for the Master Portfolio were as follows:

	Year Ended December 31, 2005		Year Ended December 31, 2004		Year Ended December 31, 2003		Year Ended December 31, 2002		Year Ended December 31, 2001
Ratio of expenses to average net assets	0.05	%	0.05	%	0.10	%	0.10	%	0.10	%
Ratio of expenses to average net assets prior to waived fees	0.10	%	0.10	%	n/a		n/a		n/a
Ratio of net investment income to average net assets	3.27	%	1.40	%	1.15	%	1.80	%	3.66	%
Ratio of net investment income to average net assets prior to waived fees	3.22	%	1.35	%	n/a		n/a		n/a
Total return	3.28	%	1.39	%	1.16	%	1.84	%	4.23	%

17

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Money Market Master Portfolio, a portfolio of Master Investment Portfolio (the “Master Portfolio”), at December 31, 2005, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which include confirmation of securities at December 31, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

18

MONEY MARKET MASTER PORTFOLIO

TRUSTEE INFORMATION — UNAUDITED

The Board of Trustees has responsibility for the overall management and operations of the Master Portfolio. The Trustees and Officers of Master Investment Portfolio (“MIP”) also serve as Trustees and Officers of Barclays Global Investors Funds (“BGIF”). Please see the Trustees Information for BGIF (found elsewhere in this report), for information regarding the Trustees and Officers of MIP.

Additional information about MIP’s Trustees may be found in Part B of the Master Portfolio’s Registration Statement, which is available without charge, upon request, by calling toll-free 1-877-244-1544.

19

Notes:

20

Notes:

21

Notes:

22

TABLE OF CONTENTS

Shareholder Expenses	1
Barclays Global Investors Funds
Financial Statements	2
Financial Highlights	6
Notes to the Financial Statements	8
Report of Independent Registered Public Accounting Firm	12
Trustee Information (Unaudited)	13
Master Investment Portfolio
Schedules of Investments	15
Government Money Market Master Portfolio	15
Money Market Master Portfolio	16
Prime Money Market Master Portfolio	19
Treasury Money Market Master Portfolio	23
Portfolio Allocations (Unaudited)	24
Financial Statements	25
Notes to the Financial Statements	27
Report of Independent Registered Public Accounting Firm	30
Trustee Information (Unaudited)	31

BARCLAYS GLOBAL INVESTORS FUNDS

Shareholder Expenses

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

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

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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

Fund	Beginning Account Value (July 1, 2005)		Ending Account Value (December 31, 2005)		Annualized Expense Ratio (a)		Expenses Paid During Period (b) (July 1 to December 31, 2005)
Government Money Market
Premium Shares
Actual	$	1,000.00	$	1,018.60	0.09	%	$	0.46
Hypothetical (5% return before expenses)		1,000.00		1,024.75	0.09			0.46
Institutional Money Market
Premium Shares
Actual		1,000.00		1,018.70	0.13			0.66
Hypothetical (5% return before expenses)		1,000.00		1,024.57	0.13			0.66
Prime Money Market
Premium Shares
Actual		1,000.00		1,018.50	0.15			0.76
Hypothetical (5% return before expenses)		1,000.00		1,024.46	0.15			0.77
Treasury Money Market
Premium Shares
Actual		1,000.00		1,031.50	0.05			0.26
Hypothetical (5% return before expenses)		1,000.00		1,024.95	0.05			0.26

^(a) This ratio includes expenses charged to the corresponding Master Portfolio and includes investment advisory and administration fees voluntary waived during the period.

^(b) Expenses are calculated using each Fund’s annualized expense ratio of the Premium Shares (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).

1

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005

	Government Money Market Fund		Institutional Money Market Fund		Prime Money Market Fund		Treasury Money Market Fund
ASSETS
Investments:
In corresponding Master Portfolio, at value (Note 1)	$	394,466,966	$	5,411,656,356	$	9,870,959,765	$	103,493,497
Total Assets		394,466,966		5,411,656,356		9,870,959,765		103,493,497
LIABILITIES
Payables:
Distribution to shareholders		1,195,056		19,546,725		33,699,305		397,552
Administration fees (Note 2)		13,486		100,339		242,194		622
Distribution fees – Aon Captives Shares (Note 2)		—		20,025		—		—
Total Liabilities		1,208,542		19,667,089		33,941,499		398,174
NET ASSETS	$	393,258,424	$	5,391,989,267	$	9,837,018,266	$	103,095,323
Net assets consist of:
Paid-in capital	$	393,258,424	$	5,391,955,951	$	9,836,998,750	$	103,095,323
Undistributed net investment income		—		3,747		13,322		—
Undistributed net realized gain		—		29,569		6,194		—
NET ASSETS	$	393,258,424	$	5,391,989,267	$	9,837,018,266	$	103,095,323
Aon Captives Shares
Net Assets	$	—	$	77,898,550	$	—	$	—
Shares outstanding		—		77,897,975		—		—
Net asset value and offering price per share	$	—	$	1.00	$	—	$	—
Institutional Shares
Net Assets	$	169,200,207	$	3,485,876,124	$	6,521,818,007	$	100,342,539
Shares outstanding		169,200,207		3,485,858,584		6,521,801,171		100,342,539
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00
Premium Shares
Net Assets	$	183,242,766	$	1,803,170,990	$	3,233,738,277	$	2,546,403
Shares outstanding		183,242,766		1,803,159,587		3,233,735,056		2,546,403
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00
Select Shares
Net Assets	$	40,712,298	$	24,940,220	$	81,358,616	$	103,339
Shares outstanding		40,712,298		24,940,211		81,359,157		103,339
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00
Trust Shares
Net Assets	$	103,153	$	103,383	$	103,366	$	103,042
Shares outstanding		103,153		103,383		103,366		103,042
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00

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

2

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005

	Government Money Market Fund			Institutional Money Market Fund			Prime Money Market Fund			Treasury Money Market Fund
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Interest	$	29,369,301		$	218,145,682		$	412,793,534		$	685,155
Expenses(a)		(121,718	)		(3,442,469	)		(9,771,810	)		—
Net investment income allocated from corresponding Master Portfolio		29,247,583			214,703,213			403,021,724			685,155
FUND EXPENSES (Note 2)
Administration fees		288,345			2,559,241			5,282,707			5,000
Distribution fees – Aon Captives Shares		—			95,721			—			—
Total fund expenses		288,345			2,654,962			5,282,707			5,000
Less administration fees waived		(163,899	)		(1,312,234	)		(2,322,017	)		(3,428	)
Net fund expenses		124,446			1,342,728			2,960,690			1,572
Net investment income		29,123,137			213,360,485			400,061,034			683,583
REALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Net realized gain		—			32,325			8,607			—
Net realized gain		—			32,325			8,607			—
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	29,123,137		$	213,392,810		$	400,069,641		$	683,583

^(a) Net of investment advisory fee waivers by the Master Portfolios’ investment adviser in the amounts of $799,065, $3,129,635, $2,766,658, and $17,151, respectively.

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

3

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS

	Government Money Market Fund						Institutional Money Market Fund
	For the year ended December 31, 2005			For the period September 1, 2004(a) to December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	29,123,137		$	2,579,760		$	213,360,485		$	67,218,571
Net realized gain (loss)		—			—			32,325			(2,753	)
Net increase in net assets resulting from operations		29,123,137			2,579,760			213,392,810			67,215,818
Distributions to shareholders:
From net investment income:
Aon Captives Shares		—			—			(2,943,319	)		(1,141,062	)
Institutional Shares		(22,103,787	)		(2,578,006	)		(129,993,058	)		(54,192,310	)
Premium Shares		(6,585,019	)		(622	)		(79,980,794	)		(11,848,951	)
Select Shares		(431,372	)		(605	)		(440,285	)		(35,557	)
Trust Shares		(2,959	)		(527	)		(2,975	)		(745	)
		(29,123,137	)		(2,579,760	)		(213,360,431	)		(67,218,625	)
Total distributions to shareholders		(29,123,137	)		(2,579,760	)		(213,360,431	)		(67,218,625	)
Capital share transactions (Note 3):
Aon Captives Shares		—			—			(28,534,415	)		51,033,638
Institutional Shares		(278,900,244	)		448,100,451			(138,646,363	)		(373,719,853	)
Premium Shares		183,142,328			100,438			585,770,940			927,289,984
Select Shares		40,611,873			100,425			18,227,811			6,712,400
Trust Shares		2,785			100,368			2,796			100,587
Net increase (decrease) in net assets resulting from capital share transactions		(55,143,258	)		448,401,682			436,820,769			611,416,756
Increase (decrease) in net assets		(55,143,258	)		448,401,682			436,853,148			611,413,949
NET ASSETS:
Beginning of period		448,401,682			—			4,955,136,119			4,343,722,170
End of period	$	393,258,424		$	448,401,682		$	5,391,989,267		$	4,955,136,119
Undistributed (distributions in excess of) net investment income included in net assets at end of period	$	—		$	—		$	3,747		$	(54	)

^(a) Commencement of operations.

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

4

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	Prime Money Market Fund						Treasury Money Market Fund
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the period September 1, 2004(a) to December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	400,061,034		$	84,316,610		$	683,583		$	2,274
Net realized gain		8,607			55,136			—			—
Net increase in net assets resulting from operations		400,069,641			84,371,746			683,583			2,274
Distributions to shareholders:
From net investment income:
Institutional Shares		(231,155,121	)		(54,101,221	)		(590,271	)		(609	)
Premium Shares		(166,418,165	)		(29,887,264	)		(87,324	)		(592	)
Select Shares		(2,484,802	)		(327,158	)		(3,114	)		(575	)
Trust Shares		(2,946	)		(753	)		(2,874	)		(498	)
		(400,061,034	)		(84,316,396	)		(683,583	)		(2,274	)
From net realized gain:
Institutional Shares		—			(32,824	)		—			—
Premium Shares		—			(11,403	)		—			—
		—			(44,227	)		—			—
Total distributions to shareholders		(400,061,034	)		(84,360,623	)		(683,583	)		(2,274	)
Capital share transactions (Note 3):
Institutional Shares		520,868,715			3,033,857,069			100,242,105			100,434
Premium Shares		(2,013,369,862	)		4,282,862,178			2,445,981			100,422
Select Shares		(88,977,243	)		170,336,400			2,930			100,409
Trust Shares		2,775			100,591			2,691			100,351
Net increase (decrease) in net assets resulting from capital share transactions		(1,581,475,615	)		7,487,156,238			102,693,707			401,616
Increase (decrease) in net assets		(1,581,467,008	)		7,487,167,361			102,693,707			401,616
NET ASSETS:
Beginning of period		11,418,485,274			3,931,317,913			401,616			—
End of period	$	9,837,018,266		$	11,418,485,274		$	103,095,323		$	401,616
Undistributed net investment income included in net assets at end of period	$	13,322			—			—			—

^(a) Commencement of operations.

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

5

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

	Government Money Market Fund — Premium Shares
	Year ended Dec. 31, 2005			Period from Sep. 1, 2004 (a) to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01
Total from investment operations		0.03			0.01
Less distributions from:
Net investment income		(0.03	)		(0.01	)
Total distributions		(0.03	)		(0.01	)
Net asset value, end of period	$	1.00		$	1.00
Total return		3.23	%		0.62	%(b)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	183,243		$	100
Ratio of expenses to average net assets(c)		0.08	%		0.05	%
Ratio of expenses to average net assets prior to waived fees(c)		0.17	%		0.17	%
Ratio of net investment income to average net assets(c)		3.54	%		1.86	%
Ratio of net investment income to average net assets prior to waived fees(c)		3.45	%		1.74	%

	Institutional Money Market Fund — Premium Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Year ended Dec. 31, 2003			Period from Dec. 2, 2002 (a) to Dec. 31, 2002
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01			0.01			0.00	(d)
Net realized gain (loss)		0.00	(d)		(0.00	)(d)		0.00	(d)		—
Total from investment operations		0.03			0.01			0.01			0.00	(d)
Less distributions from:
Net investment income		(0.03	)		(0.01	)		(0.01	)		(0.00	)(d)
Net realized gain		—			—			(0.00	)(d)		—
Total distributions		(0.03	)		(0.01	)		(0.01	)		(0.00	)(d)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00
Total return		3.24	%		1.34	%		1.10	%		0.11	%(b)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	1,803,171		$	1,217,388		$	290,099		$	5
Ratio of expenses to average net assets(e)		0.10	%		0.10	%		0.17	%		0.25	%
Ratio of expenses to average net assets prior to waived fees(e)		0.17	%		0.17	%		n/a			n/a
Ratio of net investment income to average net assets(e)		3.24	%		1.45	%		0.98	%		1.51	%
Ratio of net investment income to average net assets prior to waived fees(e)		3.17	%		1.38	%		n/a			n/a

^(a) Commencement of operations.

^(b) Not annualized.

^(c) Annualized for periods of less than one year. These ratios include expenses charged to the Government Money Market Master Portfolio.

^(d) Rounds to less than $0.01.

^(e) Annualized for periods of less than one year. These ratios include expenses charged to the Money Market Master Portfolio.

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

6

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)

	Prime Money Market Fund — Premium Shares
	Year ended Dec. 31, 2005			Year ended Dec. 31, 2004			Period from Apr. 16, 2003 (a) to Dec. 31, 2003
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01			0.01
Net realized gain (loss)		0.00	(b)		0.00	(b)		(0.00	)(b)
Total from investment operations		0.03			0.01			0.01
Less distributions from:
Net investment income		(0.03	)		(0.01	)		(0.01	)
Net realized gain		—			(0.00	)(b)		(0.00	)(b)
Total distributions		(0.03	)		(0.01	)		(0.01	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00
Total return		3.21	%		1.35	%		0.75	%(c)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	3,233,738		$	5,247,105		$	964,243
Ratio of expenses to average net assets(d)		0.13	%		0.07	%		0.09	%
Ratio of expenses to average net assets prior to waived fees(d)		0.17	%		0.17	%		n/a
Ratio of net investment income to average net assets(d)		3.08	%		1.62	%		1.02	%
Ratio of net investment income to average net assets prior to waived fees(d)		3.04	%		1.52	%		n/a

	Treasury Money Market Fund — Premium Shares
	Year ended Dec. 31, 2005			Period from Sep. 1, 2004 (a) to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01
Total from investment operations		0.03			0.01
Less distributions from:
Net investment income		(0.03	)		(0.01	)
Total distributions		(0.03	)		(0.01	)
Net asset value, end of period	$	1.00		$	1.00
Total return		3.15	%		0.59	%(c)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	2,546		$	100
Ratio of expenses to average net assets(e)		0.05	%		0.05	%
Ratio of expenses to average net assets prior to waived fees(e)		0.17	%		0.17	%
Ratio of net investment income to average net assets(e)		3.83	%		1.77	%
Ratio of net investment income to average net assets prior to waived fees(e)		3.71	%		1.65	%

^(a) Commencement of operations.

^(b) Rounds to less than $0.01.

^(c) Not annualized.

^(d) Annualized for periods of less than one year. These ratios include expenses charged to the Prime Money Market Master Portfolio.

^(e) Annualized for periods of less than one year. These ratios include expenses charged to the Treasury Money Market Master Portfolio.

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

7

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

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

These financial statements relate only to the Premium Shares of the Government Money Market Fund (the “GMMF”), Institutional Money Market Fund (the “IMMF”), Prime Money Market Fund (the “PMMF”) and Treasury Money Market Fund (the “TMMF”), (each, a “Fund,” collectively, the “Funds”). In addition, the GMMF, PMMF and TMMF offer Institutional Shares, Select Shares and Trust Shares. The IMMF also offers Aon Captives Shares, Institutional Shares, Select Shares and Trust Shares. All classes of shares have equal rights to assets and earnings, and differ principally in administration and distribution fees.

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

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

INVESTMENT POLICY AND SECURITY VALUATION

Each Fund invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objectives as its corresponding Fund. The value of each Fund’s investment in its corresponding Master Portfolio reflects that Fund’s interest in the net assets of that Master Portfolio (100.00%, 85.86%, 85.88% and 100.00% for the GMMF, IMMF, PMMF and TMMF, respectively, as of December 31, 2005). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

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

Each Fund seeks to maintain a constant net asset value of $1.00 per share for each of the classes of shares. There is no assurance that the Funds will meet this objective.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Each Fund records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of its corresponding Master Portfolio. In addition, each Fund accrues its own expenses. Net investment income, common fund expenses and realized and unrealized gains and losses are allocated among the classes of shares of each Fund based on the relative net assets of each class.

DISTRIBUTIONS TO SHAREHOLDERS

Distributions to shareholders from net investment income of the Funds are declared daily and distributed monthly. Distributions to shareholders from net realized capital gains, if any, are declared and distributed at least annually. Dividends are determined separately for each class based on income and expenses allocable to each class.

8

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

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

Fund	Undistributed Ordinary Income		Capital and Other Losses			Net Distributable Earnings
Institutional Money Market	$	35,458	$	(2,142	)	$	33,316
Prime Money Market		19,516		—			19,516

The tax character of distributions paid for the years ended December 31, 2005 and December 31, 2004, were as follows:

Fund	2005		2004
Government Money Market
Distributions paid from:
Ordinary Income	$	29,123,137	$	2,579,760
Total Distributions	$	29,123,137	$	2,579,760
Institutional Money Market
Distributions paid from:
Ordinary Income	$	213,360,431	$	67,218,625
Total Distributions	$	213,360,431	$	67,218,625
Prime Money Market
Distributions paid from:
Ordinary Income	$	400,061,034	$	84,360,623
Total Distributions	$	400,061,034	$	84,360,623
Treasury Money Market
Distributions paid from:
Ordinary Income	$	683,583	$	2,274
Total Distributions	$	683,583	$	2,274

FEDERAL INCOME TAXES

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

From November 1, 2005 to December 31, 2005, the Institutional Money Market Fund incurred net realized capital losses. As permitted by tax regulations, the Fund has elected to defer the losses of $2,142 and treat it as arising in the year ending December 31, 2006.

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

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

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

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Funds’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Funds for

9

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

which BGI receives a fee paid by each Fund. This fee is an “all-in” or “semi-unified” fee and BGI, in consideration thereof, has agreed to bear all of the Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees and costs related to securities transactions. BGI is entitled to receive for these administration services an annual fee of 0.07% of the average daily net assets of each Fund’s Premium Shares. From time to time, BGI may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGI waived administration fees of $29,154, $493,610, $1,010,782 and $457 for the Premium Shares of the GMMF, IMMF, PMMF and TMMF, respectively. BGI may delegate certain of its administration duties to sub-administrators.

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

3. CAPITAL SHARE TRANSACTIONS

As of December 31, 2005, there were an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the Premium Shares of the Funds were as follows:

	Government Money Market Fund
	Year Ended December 31, 2005					Period Ended December 31, 2004 (a)
	Shares		Amount			Shares	Amount
Shares sold	4,027,681,994		$	4,027,681,994		100,000	$	100,000
Shares issued in reinvestment of dividends and distributions	4,744,687			4,744,687		438		438
Shares redeemed	(3,849,284,353	)		(3,849,284,353	)	—		—
Net increase	183,142,328		$	183,142,328		100,438	$	100,438

	Institutional Money Market Fund
	Year Ended December 31, 2005					Year Ended December 31, 2004
	Shares		Amount			Shares		Amount
Shares sold	12,409,149,344		$	12,409,149,344		5,180,859,883		$	5,180,859,883
Shares issued in reinvestment of dividends and distributions	53,195,056			53,195,056		8,061,506			8,061,506
Shares redeemed	(11,876,573,460	)		(11,876,573,460	)	(4,261,631,405	)		(4,261,631,405	)
Net increase	585,770,940		$	585,770,940		927,289,984		$	927,289,984

	Prime Money Market Fund
	Year Ended December 31, 2005					Year Ended December 31, 2004
	Shares		Amount			Shares		Amount
Shares sold	27,815,810,863		$	27,815,810,863		16,139,864,436		$	16,139,864,436
Shares issued in reinvestment of dividends and distributions	110,788,469			110,788,469		15,709,079			15,709,079
Shares redeemed	(29,939,969,194	)		(29,939,969,194	)	(11,872,711,337	)		(11,872,711,337	)
Net increase (decrease)	(2,013,369,862	)	$	(2,013,369,862	)	4,282,862,178		$	4,282,862,178

10

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

	Treasury Money Market Fund
	Year Ended December 31, 2005					Period Ended December 31, 2004 (a)
	Shares		Amount			Shares	Amount
Shares sold	119,416,584		$	119,416,584		100,000	$	100,000
Shares issued in reinvestment of dividends and distributions	20,230			20,230		422		422
Shares redeemed	(116,990,833	)		(116,990,833	)	—		—
Net increase	2,445,981		$	2,445,981		100,422	$	100,422

^(a) For the period from September 1, 2004 (commencement of operations) to December 31, 2004.

11

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

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

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

12

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED

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

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

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

Interested Trustees and Officers

Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
*Lee T. Kranefuss, 1961	Trustee (since 2001), President and Chief Executive Officer (since 2002).	Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Chief Executive Officer (1997-2003) of the Intermediary Investor Business of BGI.	Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.
Michael A. Latham, 1965	Secretary, Treasurer and Chief Financial Officer (since 2003).	Chief Operating Officer (since 2004) of the Intermediary Investor Business of BGI; Director (2000-2004) of Mutual Fund Delivery of the Intermediary Investor Business of BGI.	None.

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

Independent Trustees

Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii.

13

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED (Continued)

Independent Trustees (Continued)

Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
Jack S. Euphrat, 1922	Trustee (since 1993).	Private Investor.	None.
Richard K. Lyons, 1961	Trustee (since 2001).	Executive Associate Dean (since 2005), Sylvan Coleman Chair in Finance (since 2004), Acting Dean (2004-2005) and Professor (since 1993), University of California, Berkeley; Haas School of Business; Consultant for IMF, World Bank, Federal Reserve Bank, and Citibank N.A. (since 2000).	Trustee (since 2001) of MIP; Director (since 2003) of the BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 1995) and Chairman of the Matthews Asian Funds (oversees 8 portfolios); Trustee (since 2000) of iShares Trust; Director (since 2002) of iShares, Inc.
Leo Soong, 1946	Trustee (since 2000).	President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder of Crystal Geyser Water Co. (President through 1999).	Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association.

14

GOVERNMENT MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
REPURCHASE AGREEMENTS – 99.98%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $60,028,667 (collateralized by U.S. Government obligations, value $61,200,000, 3.88% to 6.00%, 6/1/20 to 1/1/36).	$	60,000,000	$	60,000,000
Bank of America N.A. Tri-Party Repurchase Agreement, 4.27%, due 1/3/06, maturity value $75,035,583 (collateralized by U.S. Government obligations, value $76,500,001, 5.00%, 10/1/35).		75,000,000		75,000,000
Credit Suisse First Boston Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $20,009,444 (collateralized by U.S. Government obligations, value $20,401,727, 4.84% to 5.43%, 5/1/35 to 7/1/35).		20,000,000		20,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $60,028,867 (collateralized by U.S. Government obligations, value $61,200,001, 4.00% to 5.16%, 4/1/20 to 12/1/35).		60,000,000		60,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4. 29%, due 1/3/06, maturity value $60,028,600 (collateralized by U.S. Government obligations, value $61,203,452, 3.75% to 5.83%, 1/1/19 to 12/1/35).		60,000,000		60,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $44,420,720 (collateralized by U.S. Government obligations, value $45,286,934, 3.21% to 7.94%, 2/1/16 to 8/1/36).	$	44,400,000	$	44,400,000
Merrill Lynch Government Securities Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $75,035,667 (collateralized by U.S. Government obligations, value $77,251,360, 3.50% to 6.00%, 4/25/16 to 3/25/31).		75,000,000		75,000,000
TOTAL REPURCHASE AGREEMENTS (Cost: $394,400,000)				394,400,000
TOTAL INVESTMENTS IN SECURITIES – 99.98% (Cost: $394,400,000)				394,400,000
Other Assets, Less Liabilities – 0.02%				66,966
NET ASSETS – 100.00%			$	394,466,966

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

15

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
CERTIFICATES OF DEPOSIT – 2. 54%
HBOS Treasury Services PLC
3.56%, 03/14/06	$	50,000,000	$	50,000,000
3.79%, 06/19/06		50,000,000		49,997,741
Svenska Handelsbanken NY
4.50%, 10/16/06		25,000,000		25,000,000
Toronto-Dominion Bank
3.94%, 07/10/06		35,000,000		35,000,000
TOTAL CERTIFICATES OF DEPOSIT (Cost: $159,997,741)				159,997,741
COMMERCIAL PAPER – 6. 31%
Amstel Funding Corp.
4.40%, 05/08/06		50,000,000		49,217,778
CC USA Inc.
3.76%, 01/23/06		50,000,000		49,879,889
3.93%, 02/24/06		65,500,000		65,106,727
4.23%, 04/21/06		45,000,000		44,413,087
Dorada Finance Inc.
3.76%, 01/26/06		10,000,000		9,972,844
Grampian Funding LLC
3.74%, 01/13/06		90,000,000		89,878,450
K2 USA LLC
3.85%, 02/07/06		74,600,000		74,297,227
Sigma Finance Inc.
4.16%, 04/06/06		15,000,000		14,833,600
TOTAL COMMERCIAL PAPER (Cost: $397,599,602)				397,599,602
MEDIUM-TERM NOTES – 1. 43%
K2 USA LLC
3.57%, 03/16/06(1)		15,000,000		15,000,000
Marshall & Ilsley Bank
5.18%, 12/15/06		50,000,000		50,159,679
Sigma Finance Inc.
4.50%, 10/16/06(1)		25,000,000		25,000,000
TOTAL MEDIUM-TERM NOTES (Cost: $90,159,679)				90,159,679
TIME DEPOSITS – 6.55%
Branch Banking & Trust
4.02%, 01/03/06		250,000,000		250,000,000
Regions Bank
4.02%, 01/03/06		162,500,000		162,500,000
TOTAL TIME DEPOSITS (Cost: $412,500,000)				412,500,000
VARIABLE & FLOATING RATE NOTES – 65.64%
Allstate Life Global Funding II
4.36%, 12/08/06(1)		11,000,000		11,005,507
4.37%, 11/09/06(1)		20,000,000		20,010,187
4.37%, 12/27/06(1)		50,000,000		50,000,000
4.39%, 01/12/07(1)		35,000,000		35,018,818
4.43%, 01/16/07(1)		25,000,000		25,012,931
American Express Bank
4.33%, 07/19/06		40,000,000		40,000,000
4.34%, 09/27/06		90,000,000		90,000,000
American Express Centurion Bank
4.34%, 06/29/06		35,000,000		35,000,000
4.34%, 09/27/06		60,000,000		60,000,000
American Express Credit Corp.
4.42%, 02/28/06		31,000,000		31,002,173
ANZ National International Ltd.
4.31%, 12/29/06(1)		75,000,000		75,000,000
ASIF Global Financing
4.34%, 08/11/06(1)		25,000,000		25,001,998
4.38%, 01/23/07(1)		75,000,000		74,996,257
4.55%, 05/30/06(1)		61,500,000		61,540,898
4.56%, 12/11/06(1)		90,000,000		90,072,387
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(1)		35,000,000		35,000,000
Bank of Ireland
4.34%, 12/20/06(1)		70,000,000		70,000,000
Bank of Nova Scotia
4.32%, 09/29/06		35,000,000		34,992,555
Banque Nationale de Paris
4.25%, 10/04/06		20,000,000		19,995,934
Beta Finance Inc.
4.33%, 04/25/06(1)		30,000,000		29,997,000
4.33%, 05/25/06(1)		15,000,000		14,999,459
CC USA Inc.
4.32%, 06/15/06(1)		55,000,000		54,997,499
4.33%, 05/25/06(1)		25,000,000		24,998,973
4.34%, 03/23/06(1)		25,000,000		25,000,048
4.35%, 07/14/06(1)		15,000,000		15,001,574
Commodore CDO Ltd. 2003-2A Class A1MM
4.56%, 06/13/06(1)		25,000,000		25,000,000
Credit Suisse First Boston NY
4.31%, 05/09/06		50,000,000		50,000,000
4.35%, 07/19/06		75,000,000		75,000,000
4.35%, 09/26/06		100,000,000		100,000,000
DEPFA Bank PLC
4.50%, 12/15/06		100,000,000		100,000,000
Descartes Funding Trust
4.37%, 11/15/06(1)		45,000,000		45,000,000
Dexia Credit Local
4.33%, 08/30/06		35,000,000		34,995,359
Dorada Finance Inc.
4.33%, 06/26/06(1)		15,000,000		14,999,321

16

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Five Finance Inc.
4.32%, 09/15/06(1)	$	30,000,000	$	29,995,759
4.33%, 05/25/06(1)		22,000,000		21,999,096
4.34%, 06/26/06(1)		14,000,000		13,999,320
Greenwich Capital Holdings Inc.
4.32%, 02/10/06		15,000,000		15,000,000
4.32%, 02/13/06		15,000,000		15,000,000
HBOS Treasury Services PLC
4.57%, 10/24/06(1)		50,000,000		50,000,000
Holmes Financing PLC Series 2005-9 Class 1A
4.36%, 12/15/06(1)		50,000,000		50,000,000
HSBC Bank USA N.A.
4.39%, 05/04/06		15,000,000		15,004,117
ING USA Annuity & Life Insurance Funding Agreement
4.57%, 12/18/06(1)(2)		20,000,000		20,000,000
Jordan Brick Co. Inc.
4.38%, 01/03/06(1)		18,000,000		18,000,000
K2 USA LLC
4.25%, 06/02/06(1)		35,000,000		34,998,533
4.32%, 09/11/06(1)		100,000,000		99,989,630
Lakeline Austin Development Ltd.
4.40%, 01/03/06(1)		9,800,000		9,800,000
Leafs LLC
4.37%, 02/21/06(1)		19,971,050		19,971,050
LEEK Finance Series 14A Class A1
4.37%, 01/23/06		4,835,872		4,835,872
Links Finance LLC
4.32%, 01/20/06(1)		35,000,000		34,999,556
4.32%, 10/16/06(1)		82,000,000		81,990,234
Lothian Mortgages PLC Series 4A Class A1
4.37%, 01/24/06(1)		25,000,000		25,000,000
Marshall & Ilsley Bank
4.35%, 12/15/06		60,000,000		60,000,000
4.47%, 02/20/06		30,000,000		30,004,935
Metropolitan Life Insurance Funding Agreement
4.24%, 07/18/06(1)(2)		25,000,000		25,000,000
Monumental Global Funding II
4.53%, 12/27/06(1)		100,000,000		100,008,042
Natexis Banques Populaires
4.35%, 01/12/07(1)		50,000,000		50,000,000
National City Bank
4.26%, 01/06/06		20,000,000		19,999,917
Nationwide Building Society
4.58%, 10/27/06(1)		100,000,000		100,000,000
Nordea Bank AB
4.34%, 01/11/07(1)		75,000,000		75,000,000
Nordea Bank PLC
4.23%, 10/02/06		75,000,000		74,986,653
Northern Rock PLC
4.32%, 11/03/06(1)		70,000,000		70,000,000
Permanent Financing PLC Series 8 Class 1A
4.32%, 06/12/06(1)		37,000,000		37,000,067
Principal Life Income Funding Trusts
4.30%, 11/13/06		50,000,000		49,998,353
Royal Bank of Scotland
4.23%, 04/05/06		76,250,000		76,241,832
4.33%, 08/30/06		100,000,000		99,986,739
Sedna Finance Inc.
4.34%, 09/20/06(1)		15,000,000		15,000,000
Sigma Finance Inc.
4.00%, 08/11/06(1)		75,000,000		74,976,738
4.33%, 08/15/06(1)		15,000,000		14,999,067
4.35%, 03/20/06(1)		20,000,000		20,000,329
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(1)		50,000,000		50,000,000
Societe Generale
4.26%, 01/02/07(1)		30,000,000		30,000,000
4.30%, 06/13/06		30,000,000		29,997,270
Tango Finance Corp.
4.32%, 06/12/06(1)		50,000,000		49,997,769
4.33%, 05/26/06(1)		15,000,000		14,999,094
4.33%, 09/25/06(1)		30,000,000		29,996,718
Trap Rock Industry Inc.
4.40%, 01/03/06(1)		20,390,000		20,390,000
Travelers Insurance Co. Funding Agreement
4.36%, 02/03/06(1)(2)		50,000,000		50,000,000
4.45%, 08/18/06(1)(2)		50,000,000		50,000,000
Union Hamilton Special Funding LLC
4.52%, 03/28/06(1)		50,000,000		50,000,000
US Bank N.A.
4.31%, 09/29/06		15,000,000		14,997,062
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
4.37%, 01/25/06(1)		65,450,999		65,450,999
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
4.37%, 01/25/06(1)		72,107,202		72,107,202
Westpac Banking Corp.
4.49%, 01/11/07		70,000,000		70,000,000
WhistleJacket Capital LLC
4.32%, 02/15/06(1)		20,000,000		19,999,364
4.33%, 06/22/06(1)		15,000,000		14,999,289
4.33%, 07/28/06(1)		15,000,000		14,997,857
4.33%, 10/16/06(1)		100,000,000		99,991,889
4.33%, 10/20/06(1)		25,000,000		24,994,365
4.33%, 11/22/06(1)		75,000,000		74,981,733
White Pine Finance LLC
4.32%, 03/15/06(1)		46,000,000		45,997,334
4.32%, 07/17/06(1)		50,000,000		49,994,425
4.32%, 09/15/06(1)		46,000,000		45,995,122

17

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Winston Funding Ltd. Series 2003-1 Class A1MA
4.26%, 01/23/06(1)	$	100,000,000	$	100,000,000
TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $4,137,312,209)				4,137,312,209
REPURCHASE AGREEMENTS – 17.29%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $100,045,556 (collateralized by U.S. Government obligations, value $102,000,001, 4.50% to 6.00%, 5/1/33 to 11/1/35).		100,000,000		100,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,000, 5.00%, 8/1/35 to 1/1/36).		40,000,000		40,000,000
Credit Suisse First Boston Inc. Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,801,003, 4.21% to 4.77%, 1/1/33 to 5/1/35).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,000, 4.25% to 5.19%, 4/1/34 to 9/1/35).		40,000,000		40,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $250,122,222 (collateralized by non-U.S. Government debt securities, value $262,500,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)		250,000,000		250,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,801,409, 2.84% to 5.50%, 4/1/23 to 12/1/35).		40,000,000		40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,993,464, 2.73% to 4.58%, 5/15/07 to 9/25/35).(3)		100,000,000		100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,800,562, 3.15% to 7.41%, 11/1/11 to 6/1/44).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $150,073,167 (collateralized by non-U.S. Government debt securities, value $154,504,756, 4.50% to 8.00%, 12/31/06 to 6/1/25).(2)(3)		150,000,000		150,000,000
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,201,372, 4.00% to 6.00%, 10/25/11 to 5/25/34).		40,000,000		40,000,000
Morgan Stanley Tri-Party Repurchase Agreement, 4.45%, due 1/22/07, maturity value $250,123,611 (collateralized by non-U.S. Government debt securities, value $257,841,442, 0.00% to 10.00%, 1/1/06 to 12/31/35).(2)(3)		250,000,000		250,000,000
TOTAL REPURCHASE AGREEMENTS (Cost: $1,090,000,000)				1,090,000,000
TOTAL INVESTMENTS IN SECURITIES – 99.76% (Cost: $6,287,569,231)				6,287,569,231
Other Assets, Less Liabilities – 0.24%				15,013,769
NET ASSETS – 100 .00%			$	6,302,583,000

⁽¹⁾ This security or a portion of these securities is exempt from registration pursuant Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽²⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

⁽³⁾ The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

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

18

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
CERTIFICATES OF DEPOSIT – 3 .57%
Credit Suisse First Boston NY
4.03%, 01/04/06	$	50,000,000	$	50,000,000
Fortis Bank NY
3.70%, 01/05/06		150,000,000		150,000,100
HBOS Treasury Services PLC
3.79%, 06/19/06		125,000,000		124,994,268
Svenska Handelsbanken NY
4.50%, 10/16/06		50,000,000		50,000,000
Toronto-Dominion Bank
3.94%, 07/10/06		35,000,000		35,000,000
TOTAL CERTIFICATES OF DEPOSIT (Cost: $409,994,368)				409,994,368
COMMERCIAL PAPER – 7. 67%
Amstel Funding Corp.
3.91%, 02/15/06		50,000,000		49,750,195
CAFCO LLC
3.99%, 01/06/06		100,000,000		99,933,500
CC USA Inc.
3.76%, 01/23/06		50,000,000		49,879,889
4.23%, 04/21/06		45,000,000		44,413,087
Chesham Finance LLC
4.25%, 01/03/06		75,000,000		74,973,438
Ford Credit Floorplan Motown
4.02%, 01/03/06		64,000,000		63,978,560
Grampian Funding LLC
3.74%, 01/13/06		100,000,000		99,864,946
3.84%, 01/31/06		100,000,000		99,669,334
HSBC PLC
4.16%, 04/04/06		15,000,000		14,837,066
K2 USA LLC
3.85%, 02/07/06		41,000,000		40,833,597
Nordea North America Inc.
4.16%, 04/04/06		70,000,000		69,239,645
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		100,000,000		99,478,667
Sedna Finance Inc.
3.92%, 02/21/06		50,000,000		49,716,888
Sigma Finance Inc.
4.16%, 04/06/06		25,000,000		24,722,667
TOTAL COMMERCIAL PAPER (Cost: $881,291,479)				881,291,479
MEDIUM-TERM NOTES – 1. 78%
K2 USA LLC
3.56%, 03/15/06(1)		85,000,000		85,000,000
3.57%, 03/16/06(1)		45,000,000		45,000,000
Sigma Finance Inc.
4.50%, 10/16/06(1)		75,000,000		75,000,000
TOTAL MEDIUM-TERM NOTES (Cost: $205,000,000)				205,000,000
TIME DEPOSITS – 6.97%
Regions Bank
4.02%, 01/03/06		100,571,000		100,571,000
Societe Generale
4.06%, 01/03/06		300,000,000		300,000,000
UBS AG
4.06%, 01/03/06		400,000,000		400,000,000
TOTAL TIME DEPOSITS (Cost: $800,571,000)				800,571,000
VARIABLE & FLOATING RATE NOTES – 52 . 13%
Allstate Life Global Funding II
4.36%, 12/08/06(1)		58,000,000		58,013,630
4.37%, 12/27/06(1)		110,000,000		110,000,000
4.39%, 01/12/07(1)		85,000,000		85,045,730
American Express Bank
4.33%, 07/19/06		85,000,000		85,000,000
ASIF Global Financing
4.34%, 08/11/06(1)		74,000,000		74,011,988
4.38%, 01/23/07(1)		75,000,000		74,996,257
4.55%, 05/30/06(1)		90,550,000		90,611,121
Bank of Nova Scotia
4.22%, 01/03/06		35,000,000		34,999,940
Banque Nationale de Paris
4.25%, 10/04/06		165,000,000		164,966,390
Bear Stearns Companies Inc. (The)
4.42%, 08/14/06(2)		200,000,000		200,000,000
Beta Finance Inc.
4.32%, 06/20/06(1)		68,000,000		67,996,814
4.33%, 04/25/06(1)		65,000,000		64,993,500
4.33%, 05/25/06(1)		65,000,000		64,997,329
4.33%, 05/26/06(1)		80,000,000		79,996,800
CC USA Inc.
4.32%, 05/22/06(1)		20,000,000		19,999,220
4.32%, 06/15/06(1)		95,000,000		94,995,680
4.33%, 05/25/06(1)		55,000,000		54,997,741
4.33%, 05/26/06(1)		30,000,000		29,998,800
4.33%, 06/26/06(1)		25,000,000		24,998,823
4.34%, 03/23/06(1)		50,000,000		50,000,100
4.35%, 07/14/06(1)		30,000,000		30,003,150
Citigroup Global Markets
Holdings Inc.
4.33%, 08/01/06		500,000,000		500,000,000
DEPFA Bank PLC
4.50%, 12/15/06		50,000,000		50,000,000
Dexia Credit Local
4.33%, 08/30/06		65,000,000		64,991,381

19

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Dorada Finance Inc.
4.33%, 06/26/06(1)	$	110,000,000	$	109,994,788
Five Finance Inc.
4.32%, 09/15/06(1)		70,000,000		69,990,105
Goldman Sachs Group Inc. (The)
4.38%, 02/07/06(1)(2)		100,000,000		100,000,000
Greenwich Capital Holdings Inc.
4.30%, 03/09/06		50,000,000		50,000,000
4.32%, 02/10/06		35,000,000		35,000,000
4.32%, 02/13/06		35,000,000		35,000,000
Hartford Life Global Funding Trust
4.36%, 02/17/07		100,000,000		100,000,000
HBOS Treasury Services PLC
4.32%, 01/10/06		100,000,000		100,000,000
Holmes Financing PLC Series 2005-9 Class 1A
4.36%, 12/15/06(1)		100,000,000		100,000,000
HSBC Bank USA N.A.
4.39%, 05/04/06		20,000,000		20,005,480
ING USA Annuity & Life Insurance Funding Agreement
4.57%, 12/18/06(1)(2)		35,000,000		35,000,000
K2 USA LLC
4.32%, 01/19/06(1)		90,000,000		89,998,594
4.32%, 09/11/06(1)		100,000,000		99,989,630
4.33%, 05/25/06(1)		50,000,000		49,997,021
4.36%, 02/15/06(1)		25,000,000		25,000,700
4.40%, 01/20/06(1)		70,000,000		70,002,170
Leafs LLC
4.37%, 01/20/06(1)		74,891,436		74,891,436
4.37%, 12/20/06(1)		49,927,000		49,927,000
Links Finance LLC
4.32%, 01/20/06(1)		65,000,000		64,999,173
4.33%, 05/18/06(1)		50,000,000		49,996,220
Marshall & Ilsley Bank
4.47%, 02/20/06		50,000,000		50,008,200
Metropolitan Life Global Funding I
4.31%, 01/05/07(1)		100,000,000		100,000,000
Metropolitan Life Insurance Funding Agreement
4.30%, 07/25/06(1)(2)		50,000,000		50,000,000
Morgan Stanley
4.30%, 01/03/07		100,000,000		100,000,000
Natexis Banques Populaires
4.35%, 01/12/07(1)		125,000,000		125,000,000
National City Bank
4.26%, 01/06/06		35,000,000		34,999,853
Nationwide Building Society
4.33%, 01/05/07(1)		100,000,000		100,000,000
4.41%, 01/13/06(1)		100,000,000		100,002,300
4.58%, 10/27/06(1)		50,000,000		50,000,000
Permanent Financing PLC
Series 8 Class 1A
4.32%, 06/12/06(1)		50,000,000		50,000,000
Principal Life Income
Funding Trusts
4.30%, 11/13/06		50,000,000		49,998,355
Royal Bank of Scotland
4.23%, 04/05/06		100,000,000		99,989,880
4.32%, 06/27/06		50,000,000		49,996,359
4.33%, 08/30/06		200,000,000		199,974,176
Sedna Finance Inc.
4.33%, 01/10/06(1)		20,000,000		19,999,880
4.34%, 01/17/06(1)		35,000,000		34,999,673
4.34%, 09/20/06(1)		25,000,000		25,000,000
4.35%, 08/31/06(1)		25,000,000		24,998,336
Sigma Finance Inc.
4.33%, 08/15/06(1)		35,000,000		34,997,823
4.35%, 03/20/06(1)		35,000,000		35,000,560
Societe Generale
4.26%, 11/24/06(1)		45,000,000		45,000,000
4.30%, 06/13/06		55,000,000		54,994,995
Strips III LLC
4.43%, 07/24/06(1)(2)		30,741,246		30,741,246
Tango Finance Corp.
4.32%, 06/12/06(1)		100,000,000		99,995,540
4.32%, 09/11/06(1)		50,000,000		49,996,511
4.33%, 05/26/06(1)		30,000,000		29,998,188
4.33%, 06/21/06(1)		60,000,000		59,995,759
4.33%, 09/25/06(1)		70,000,000		69,992,342
Union Hamilton Special
Funding LLC
4.50%, 06/21/06(1)		50,000,000		50,000,000
4.52%, 03/28/06(1)		100,000,000		100,000,000
US Bank N.A.
4.31%, 09/29/06		30,000,000		29,994,123
Wachovia Asset Securitization Inc.
Series 2004-HM1A Class A
4.37%, 01/25/06(1)		32,725,499		32,725,499
Wachovia Asset Securitization Inc.
Series 2004-HM2A Class AMM
4.37%, 01/25/06(1)		108,160,804		108,160,804
WhistleJacket Capital LLC
4.32%, 02/15/06(1)		30,000,000		29,999,048
4.33%, 07/28/06(1)		25,000,000		24,996,427
4.35%, 01/17/06(1)		40,000,000		39,999,976
White Pine Finance LLC
4.32%, 05/22/06(1)		50,000,000		49,996,615
4.32%, 09/15/06(1)		100,000,000		99,989,398
4.33%, 03/27/06(1)		30,000,000		29,998,490
4.34%, 01/13/06(1)		90,000,000		89,999,694
4.37%, 06/20/06(1)		25,000,000		25,003,300
TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $5,991,950,061)				5,991,950,061

20

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
REPURCHASE AGREEMENTS – 27.67%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $300,136,667 (collateralized by U.S. Government obligations, value $306,000,000, 4.40% to 5.50%, 4/1/25 to 12/1/35).	$	300,000,000	$	300,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,001, 4.25% to 6.00%, 4/1/34 to 9/1/35).		40,000,000		40,000,000
Bank of America Securities Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $400,191,111 (collateralized by non-U.S. Government debt securities, value $423,388,504, 2.75% to 9.88%, 5/15/06 to 11/1/25).(3)		400,000,000		400,000,000
Credit Suisse First Boston Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,800,700, 4.18% to 4.67%, 5/1/35).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,001, 4.25% to 6.00%, 4/1/34 to 9/1/35).		40,000,000		40,000,000
Goldman Sachs & Co.Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $1,000,481,111 (collateralized by U.S. Government obligations, value $1,020,000,000, 3.41% to 8.50%, 4/1/09 to 1/1/36).		1,000,000,000		1,000,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $400,195,556 (collateralized by non-U.S. Government debt securities, value $408,000,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)		400,000,000		400,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,802,922, 3.45% to 5.68%, 9/1/16 to 8/1/44).		40,000,000		40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $225,107,500 (collateralized by non-U.S. Government debt securities, value $236,222,842, 0.01% to 9.03%, 10/25/06 to 7/15/25).(3)		225,000,000		225,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,994,737, 1.83% to 5.10%, 5/15/07 to 1/27/20).(3)		100,000,000		100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $15,607,280 (collateralized by U.S. Government obligations, value $15,913,440, 3.62% to 6.30%, 11/1/24 to 11/1/35).		15,600,000		15,600,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,797,959, 3.74% to 7.27%, 6/1/07 to 12/1/35).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.37%, due 6/28/06, maturity value $125,060,694 (collateralized by non-U.S. Government debt securities, value $129,204,388, 2.88% to 10.13%, 5/15/06 to 1/20/24).(2)(3)		125,000,000		125,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $375,182,917 (collateralized by non-U.S. Government debt securities, value $386,251,598, 2.63% to 10.38%, 1/15/06 to 5/15/25).(2)(3)		375,000,000		375,000,000

21

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,203,427, 4.00% to 5.00%, 3/25/16 to 10/25/29).	$	40,000,000	$	40,000,000
TOTAL REPURCHASE AGREEMENTS (Cost: $3,180,600,000)				3,180,600,000
TOTAL INVESTMENTS IN SECURITIES – 99.79% (Cost: $11,469,406,908)				11,469,406,908
Other Assets, Less Liabilities – 0.21%				23,979,992
NET ASSETS – 100.00%			$	11,493,386,900

⁽¹⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽²⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

⁽³⁾ The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

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

22

TREASURY MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
REPURCHASE AGREEMENTS – 99.98%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 3.25%, due 1/3/06, maturity value $20,702,320 (collateralized by U.S. Government obligations, value $21,109,111, 3.88%, 5/15/09)	$	20,694,847	$	20,694,847
Credit Suisse First Boston Tri-Party Repurchase Agreement, 3.45%, due 1/3/06, maturity value $20,702,780 (collateralized by U.S. Government obligations, value $21,109,929, 4.13% to 4.50%, 5/15/15 to 11/15/15)		20,694,847		20,694,847
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 3.30%, due 1/3/06, maturity value $20,702,435 (collateralized by U.S. Government obligations, value $21,109,656, 4.25%, 8/15/14)		20,694,847		20,694,847
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 3.25%, due 1/3/06, maturity value $20,702,320 (collateralized by U.S. Government obligations, value $21,114,565, 6.25% to 9.13%, 5/15/18 to 5/15/30)		20,694,847		20,694,847
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 3.50%, due 1/3/06, maturity value $20,702,895 (collateralized by U.S. Government obligations, value $21,106,652, 1.50% to 8.00%, 1/31/06 to 8/15/28)		20,694,847		20,694,847
TOTAL REPURCHASE AGREEMENTS (Cost: $103,474,235)				103,474,235
TOTAL INVESTMENTS IN SECURITIES – 99.98% (Cost: $103,474,235)				103,474,235
Other Assets, Less Liabilities – 0.02%				19,262
NET ASSETS – 100.00%			$	103,493,497

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

23

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2005

Government Money Market Master Portfolio

Asset Type	Value		% of Net Assets
Repurchase Agreements	$	394,400,000	99.98	%
Other Net Assets		66,966	0.02
TOTAL	$	394,466,966	100.00	%

Money Market Master Portfolio

Asset Type	Value		% of Net Assets
Variable & Floating Rate Notes	$	4,137,312,209	65.64	%
Repurchase Agreements		1,090,000,000	17.29
Time Deposits		412,500,000	6.55
Commercial Paper		397,599,602	6.31
Certificates of Deposit		159,997,741	2.54
Medium-Term Notes		90,159,679	1.43
Other Net Assets		15,013,769	0.24
TOTAL	$	6,302,583,000	100.00	%

Prime Money Market Master Portfolio

Asset Type	Value		% of Net Assets
Variable & Floating Rate Notes	$	5,991,950,061	52.13	%
Repurchase Agreements		3,180,600,000	27.67
Commercial Paper		881,291,479	7.67
Time Deposits		800,571,000	6.97
Certificates of Deposit		409,994,368	3.57
Medium-Term Notes		205,000,000	1.78
Other Net Assets		23,979,992	0.21
TOTAL	$	11,493,386,900	100.00	%

Treasury Money Market Master Portfolio

Asset Type	Value		% of Net Assets
Repurchase Agreements	$	103,474,235	99.98	%
Other Net Assets		19,262	0.02
TOTAL	$	103,493,497	100.00	%

These tables are not part of the financial statements.

24

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005

	Government Money Market Master Portfolio		Money Market Master Portfolio		Prime Money Market Master Portfolio		Treasury Money Market Master Portfolio
ASSETS
Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1)	$	—	$	5,197,569,231	$	8,288,806,908	$	—
Repurchase agreements, at value and cost (Note 1)		394,400,000		1,090,000,000		3,180,600,000		103,474,235
Cash		2,501		3,268		3,428		—
Receivables:
Interest		93,774		15,549,343		24,973,966		19,262
Total Assets		394,496,275		6,303,121,842		11,494,384,302		103,493,497
LIABILITIES
Payables:
Investment advisory fees (Note 2)		29,309		538,842		997,402		—
Total Liabilities		29,309		538,842		997,402		—
NET ASSETS	$	394,466,966	$	6,302,583,000	$	11,493,386,900	$	103,493,497

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005

	Government Money Market Master Portfolio			Money Market Master Portfolio			Prime Money Market Master Portfolio			Treasury Money Market Master Portfolio
NET INVESTMENT INCOME
Interest from unaffiliated issuers	$	29,369,301		$	240,993,254		$	463,852,373		$	685,155
Total investment income		29,369,301			240,993,254			463,852,373			685,155
EXPENSES (Note 2)
Investment advisory fees		920,783			7,249,677			14,041,065			17,151
Total expenses		920,783			7,249,677			14,041,065			17,151
Less investment advisory fees waived		(799,065	)		(3,436,517	)		(3,035,058	)		(17,151	)
Net expenses		121,718			3,813,160			11,006,007			—
Net investment income		29,247,583			237,180,094			452,846,366			685,155
REALIZED GAIN (LOSS)
Net realized gain from sale of investments in unaffiliated issuers		—			35,169			9,750			—
Net realized gain		—			35,169			9,750			—
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	29,247,583		$	237,215,263		$	452,856,116		$	685,155

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

25

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS

	Government Money Market Master Portfolio						Money Market Master Portfolio
	For the year ended December 31, 2005			For the period September 1, 2004 (a) to December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	29,247,583		$	2,579,922		$	237,180,094		$	75,589,172
Net realized gain (loss)		—			—			35,169			(3,023	)
Net increase in net assets resulting from operations		29,247,583			2,579,922			237,215,263			75,586,149
Interestholder transactions:
Contributions		7,564,992,045			448,400,000			58,641,619,347			27,939,964,264
Withdrawals		(7,648,995,142	)		(1,757,442	)		(58,107,077,434	)		(27,213,733,782	)
Net increase (decrease) in net assets resulting from interestholder transactions		(84,003,097	)		446,642,558			534,541,913			726,230,482
Increase (decrease) in net assets		(54,755,514	)		449,222,480			771,757,176			801,816,631
NET ASSETS:
Beginning of period		449,222,480			—			5,530,825,824			4,729,009,193
End of period	$	394,466,966		$	449,222,480		$	6,302,583,000		$	5,530,825,824

	Prime Money Market Master Portfolio						Treasury Money Market Master Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the period September 1, 2004 (a) to December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	452,846,366		$	89,577,595		$	685,155		$	2,435
Net realized gain		9,750			58,161			—			—
Net increase in net assets resulting from operations		452,856,116			89,635,756			685,155			2,435
Interestholder transactions:
Contributions		79,992,322,542			29,953,898,444			219,416,585			400,000
Withdrawals		(81,445,952,186	)		(21,667,004,697	)		(117,010,598	)		(80	)
Net increase (decrease) in net assets resulting from interestholder transactions		(1,453,629,644	)		8,286,893,747			102,405,987			399,920
Increase (decrease) in net assets		(1,000,773,528	)		8,376,529,503			103,091,142			402,355
NET ASSETS:
Beginning of period		12,494,160,428			4,117,630,925			402,355			—
End of period	$	11,493,386,900		$	12,494,160,428		$	103,493,497		$	402,355

^(a) Commencement of operations.

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

26

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company organized as a Delaware statutory trust. As of December 31, 2005, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

These financial statements relate only to the Government Money Market, Money Market, Prime Money Market and Treasury Money Market Master Portfolios (each, a “Master Portfolio,” collectively, the “Master Portfolios”). The Government Money Market and Treasury Money Market Master Portfolios commenced operations on September 1, 2004.

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

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

SECURITY VALUATION

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

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Security transactions are accounted for on trade date. Interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premium and accrete discount using a constant yield to maturity method.

FEDERAL INCOME TAXES

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

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

It is intended that each Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other

27

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

requirements for such qualifications not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2005, the Master Portfolios’ costs of investments for federal income tax purposes were the same as for financial statement purposes.

REPURCHASE AGREEMENTS

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

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with the Master Portfolios, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.10% of the average daily net assets of each of the Master Portfolios, as compensation for investment advisory services. From time to time, BGFA may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGFA waived investment advisory fees of $799,065, $3,436,517, $3,035,058 and $17,151 for the Government Money Market, Money Market, Prime Money Market and Treasury Money Market Master Portfolios, respectively.

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

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

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

Certain officers and trustees of MIP are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of MIP’s outstanding beneficial interests.

28

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

3. FINANCIAL HIGHLIGHTS

Financial highlights for the Master Portfolios were as follows:

Master Portfolio	Year Ended December 31, 2005		Year Ended December 31, 2004		Year Ended December 31, 2003		Year Ended December 31, 2002		Year Ended December 31, 2001
Government Money Market
Ratio of expenses to average net assets(a)	0.03	%	0.00	%(b)	n/a		n/a		n/a
Ratio of expenses to average net assets prior to waived fees(a)	0.10	%	0.10	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets(a)	3.16	%	1.93	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets prior to waived fees(a)	3.09	%	1.83	%(b)	n/a		n/a		n/a
Total return	3.28	%	0.64	%(b)(c)	n/a		n/a		n/a
Money Market
Ratio of expenses to average net assets	0.05	%	0.05	%	0.10	%	0.10	%	0.10	%
Ratio of expenses to average net assets prior to waived fees	0.10	%	0.10	%	n/a		n/a		n/a
Ratio of net investment income to average net assets	3.27	%	1.40	%	1.15	%	1.80	%	3.66	%
Ratio of net investment income to average net assets prior to waived fees	3.22	%	1.35	%	n/a		n/a		n/a
Total return	3.28	%	1.39	%	1.16	%	1.84	%	4.23	%
Prime Money Market
Ratio of expenses to average net assets(a)	0.08	%	0.03	%	0.03	%(d)	n/a		n/a
Ratio of expenses to average net assets prior to waived fees(a)	0.10	%	0.10	%	0.10	%(d)	n/a		n/a
Ratio of net investment income to average net assets(a)	3.22	%	1.52	%	1.12	%(d)	n/a		n/a
Ratio of net investment income to average net assets prior to waived fees(a)	3.20	%	1.45	%	1.05	%(d)	n/a		n/a
Total return	3.26	%	1.40	%	0.80	%(c)(d)	n/a		n/a
Treasury Money Market
Ratio of expenses to average net assets(a)	0.00	%	0.00	%(b)	n/a		n/a		n/a
Ratio of expenses to average net assets prior to waived fees(a)	0.10	%	0.10	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets(a)	3.99	%	1.82	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets prior to waived fees(a)	3.89	%	1.72	%(b)	n/a		n/a		n/a
Total return	3.20	%	0.61	%(b)(c)	n/a		n/a		n/a

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

^(b) For the period from September 1, 2004 (commencement of operations) to December 31, 2004.

^(c) Not annualized.

^(d) For the period from April 16, 2003 (commencement of operations) to December 31, 2003.

29

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Government Money Market Master Portfolio, Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio, each a portfolio of Master Investment Portfolio (the “Master Portfolios”), at December 31, 2005, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which include confirmation of securities at December 31, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

30

MASTER INVESTMENT PORTFOLIO

TRUSTEE INFORMATION — UNAUDITED

The Board of Trustees has responsibility for the overall management and operations of the Master Portfolios. The Trustees and Officers of Master Investment Portfolio (“MIP”) also serve as Trustees and Officers of Barclays Global Investors Funds (“BGIF”). Please see the Trustees Information for BGIF (found elsewhere in this report), for information regarding the Trustees and Officers of MIP.

Additional information about MIP’s Trustees may be found in Part B of each Master Portfolio’s Registration Statement, which is available without charge, upon request, by calling toll-free 1-877-244-1544.

31

Notes:

32

Notes:

33

Notes:

34

TABLE OF CONTENTS

Shareholder Expenses	1
Barclays Global Investors Funds
Financial Statements	2
Financial Highlights	6
Notes to the Financial Statements	8
Report of Independent Registered Public Accounting Firm	12
Trustee Information (Unaudited)	13
Master Investment Portfolio
Schedules of Investments	15
Government Money Market Master Portfolio	15
Money Market Master Portfolio	16
Prime Money Market Master Portfolio	19
Treasury Money Market Master Portfolio	23
Portfolio Allocations (Unaudited)	24
Financial Statements	25
Notes to the Financial Statements	27
Report of Independent Registered Public Accounting Firm	30
Trustee Information (Unaudited)	31

BARCLAYS GLOBAL INVESTORS FUNDS

Shareholder Expenses

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

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

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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

Fund	Beginning Account Value (July 1, 2005)		Ending Account Value (December 31, 2005)		Annualized Expense Ratio(a)		Expenses Paid During Period (b) (July 1 to December 31, 2005)
Government Money Market
Select Shares
Actual	$	1,000.00	$	1,018.40	0.21	%	$	1.07
Hypothetical (5% return before expenses)		1,000.00		1,024.14	0.21			1.07
Institutional Money Market
Select Shares
Actual		1,000.00		1,018.50	0.18			0.92
Hypothetical (5% return before expenses)		1,000.00		1,024.30	0.18			0.92
Prime Money Market
Select Shares
Actual		1,000.00		1,018.30	0.20			1.02
Hypothetical (5% return before expenses)		1,000.00		1.024.20	0.20			1.02
Treasury Money Market
Select Shares
Actual		1,000.00		1,031.00	0.10			0.51
Hypothetical (5% return before expenses)		1,000.00		1.024.70	0.10			0.51

^(a) This ratio includes expenses charged to the corresponding Master Portfolio and includes investment advisory and administration fees voluntary waived during the period.

^(b) Expenses are calculated using each Fund’s annualized expense ratio of the Select Shares (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).

1

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005

	Government Money Market Fund		Institutional Money Market Fund		Prime Money Market Fund		Treasury Money Market Fund
ASSETS
Investments:
In corresponding Master Portfolio, at value (Note 1)	$	394,466,966	$	5,411,656,356	$	9,870,959,765	$	103,493,497
Total Assets		394,466,966		5,411,656,356		9,870,959,765		103,493,497
LIABILITIES
Payables:
Distribution to shareholders		1,195,056		19,546,725		33,699,305		397,552
Administration fees (Note 2)		13,486		100,339		242,194		622
Distribution fees – Aon Captives Shares (Note 2)		—		20,025		—		—
Total Liabilities		1,208,542		19,667,089		33,941,499		398,174
NET ASSETS	$	393,258,424	$	5,391,989,267	$	9,837,018,266	$	103,095,323
Net assets consist of:
Paid-in capital	$	393,258,424	$	5,391,955,951	$	9,836,998,750	$	103,095,323
Undistributed net investment income		—		3,747		13,322		—
Undistributed net realized gain		—		29,569		6,194		—
NET ASSETS	$	393,258,424	$	5,391,989,267	$	9,837,018,266	$	103,095,323
Aon Captives Shares
Net Assets	$	—	$	77,898,550	$	—	$	—
Shares outstanding		—		77,897,975		—		—
Net asset value and offering price per share	$	—	$	1.00	$	—	$	—
Institutional Shares
Net Assets	$	169,200,207	$	3,485,876,124	$	6,521,818,007	$	100,342,539
Shares outstanding		169,200,207		3,485,858,584		6,521,801,171		100,342,539
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00
Premium Shares
Net Assets	$	183,242,766	$	1,803,170,990	$	3,233,738,277	$	2,546,403
Shares outstanding		183,242,766		1,803,159,587		3,233,735,056		2,546,403
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00
Select Shares
Net Assets	$	40,712,298	$	24,940,220	$	81,358,616	$	103,339
Shares outstanding		40,712,298		24,940,211		81,359,157		103,339
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00
Trust Shares
Net Assets	$	103,153	$	103,383	$	103,366	$	103,042
Shares outstanding		103,153		103,383		103,366		103,042
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00

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

2

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005

	Government Money Market Fund			Institutional Money Market Fund			Prime Money Market Fund			Treasury Money Market Fund
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Interest	$	29,369,301		$	218,145,682		$	412,793,534		$	685,155
Expenses(a)		(121,718	)		(3,442,469	)		(9,771,810	)		—
Net investment income allocated from corresponding Master Portfolio		29,247,583			214,703,213			403,021,724			685,155
FUND EXPENSES (Note 2)
Administration fees		288,345			2,559,241			5,282,707			5,000
Distribution fees – Aon Captives Shares		—			95,721			—			—
Total fund expenses		288,345			2,654,962			5,282,707			5,000
Less administration fees waived		(163,899	)		(1,312,234	)		(2,322,017	)		(3,428	)
Net fund expenses		124,446			1,342,728			2,960,690			1,572
Net investment income		29,123,137			213,360,485			400,061,034			683,583
REALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Net realized gain		—			32,325			8,607			—
Net realized gain		—			32,325			8,607			—
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	29,123,137		$	213,392,810		$	400,069,641		$	683,583

^(a) Net of investment advisory fee waivers by the Master Portfolios’ investment adviser in the amounts of $799,065, $3,129,635, $2,766,658, and $17,151, respectively.

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

3

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS

	Government Money Market Fund						Institutional Money Market Fund
	For the year ended December 31, 2005			For the period September 1, 2004(a) to December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	29,123,137		$	2,579,760		$	213,360,485		$	67,218,571
Net realized gain (loss)		—			—			32,325			(2,753	)
Net increase in net assets resulting from operations		29,123,137			2,579,760			213,392,810			67,215,818
Distributions to shareholders:
From net investment income:
Aon Captives Shares		—			—			(2,943,319	)		(1,141,062	)
Institutional Shares		(22,103,787	)		(2,578,006	)		(129,993,058	)		(54,192,310	)
Premium Shares		(6,585,019	)		(622	)		(79,980,794	)		(11,848,951	)
Select Shares		(431,372	)		(605	)		(440,285	)		(35,557	)
Trust Shares		(2,959	)		(527	)		(2,975	)		(745	)
		(29,123,137	)		(2,579,760	)		(213,360,431	)		(67,218,625	)
Total distributions to shareholders		(29,123,137	)		(2,579,760	)		(213,360,431	)		(67,218,625	)
Capital share transactions (Note 3):
Aon Captives Shares		—			—			(28,534,415	)		51,033,638
Institutional Shares		(278,900,244	)		448,100,451			(138,646,363	)		(373,719,853	)
Premium Shares		183,142,328			100,438			585,770,940			927,289,984
Select Shares		40,611,873			100,425			18,227,811			6,712,400
Trust Shares		2,785			100,368			2,796			100,587
Net increase (decrease) in net assets resulting from capital share transactions		(55,143,258	)		448,401,682			436,820,769			611,416,756
Increase (decrease) in net assets		(55,143,258	)		448,401,682			436,853,148			611,413,949
NET ASSETS:
Beginning of period		448,401,682			—			4,955,136,119			4,343,722,170
End of period	$	393,258,424		$	448,401,682		$	5,391,989,267		$	4,955,136,119
Undistributed (distributions in excess of) net investment income included in net assets at end of period	$	—		$	—		$	3,747		$	(54	)

^(a) Commencement of operations.

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

4

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	Prime Money Market Fund						Treasury Money Market Fund
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the period September 1, 2004(a) to December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	400,061,034		$	84,316,610		$	683,583		$	2,274
Net realized gain		8,607			55,136			—			—
Net increase in net assets resulting from operations		400,069,641			84,371,746			683,583			2,274
Distributions to shareholders:
From net investment income:
Institutional Shares		(231,155,121	)		(54,101,221	)		(590,271	)		(609	)
Premium Shares		(166,418,165	)		(29,887,264	)		(87,324	)		(592	)
Select Shares		(2,484,802	)		(327,158	)		(3,114	)		(575	)
Trust Shares		(2,946	)		(753	)		(2,874	)		(498	)
		(400,061,034	)		(84,316,396	)		(683,583	)		(2,274	)
From net realized gain:
Institutional Shares		—			(32,824	)		—			—
Premium Shares		—			(11,403	)		—			—
		—			(44,227	)		—			—
Total distributions to shareholders		(400,061,034	)		(84,360,623	)		(683,583	)		(2,274	)
Capital share transactions (Note 3):
Institutional Shares		520,868,715			3,033,857,069			100,242,105			100,434
Premium Shares		(2,013,369,862	)		4,282,862,178			2,445,981			100,422
Select Shares		(88,977,243	)		170,336,400			2,930			100,409
Trust Shares		2,775			100,591			2,691			100,351
Net increase (decrease) in net assets resulting from capital share transactions		(1,581,475,615	)		7,487,156,238			102,693,707			401,616
Increase (decrease) in net assets		(1,581,467,008	)		7,487,167,361			102,693,707			401,616
NET ASSETS:
Beginning of period		11,418,485,274			3,931,317,913			401,616			—
End of period	$	9,837,018,266		$	11,418,485,274		$	103,095,323		$	401,616
Undistributed net investment income included in net assets at end of period	$	13,322			—			—			—

^(a) Commencement of operations.

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

5

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

	Government Money Market Fund — Select Shares
	Year ended Dec. 31, 2005			Period from Sep. 1, 2004 (a) to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01
Total from investment operations		0.03			0.01
Less distributions from:
Net investment income		(0.03	)		(0.01	)
Total distributions		(0.03	)		(0.01	)
Net asset value, end of period	$	1.00		$	1.00
Total return		3.18	%		0.60	%(b)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	40,712		$	100
Ratio of expenses to average net assets(c)		0.13	%		0.10	%
Ratio of expenses to average net assets prior to waived fees(c)		0.22	%		0.22	%
Ratio of net investment income to average net assets(c)		3.90	%		1.81	%
Ratio of net investment income to average net assets prior to waived fees(c)		3.81	%		1.69	%
	Institutional Money Market Fund — Select Shares
	Year ended Dec. 31, 2005			Period from Jan.26, 2004 (a) to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01
Net realized gain		0.00	(d)		—
Total from investment operations		0.03			0.01
Less distributions from:
Net investment income		(0.03	)		(0.01	)
Total distributions		(0.03	)		(0.01	)
Net asset value, end of period	$	1.00		$	1.00
Total return		3.19	%		1.22	%(b)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	24,940		$	6,712
Ratio of expenses to average net assets(e)		0.15	%		0.10	%
Ratio of expenses to average net assets prior to waived fees(e)		0.22	%		0.22	%
Ratio of net investment income to average net assets(e)		3.50	%		1.93	%
Ratio of net investment income to average net assets prior to waived fees(e)		3.43	%		1.81	%

^(a) Commencement of operations.

^(b) Not annualized.

^(c) Annualized for periods of less than one year. These ratios include expenses charged to the Government Money Market Master Portfolio.

^(d) Rounds to less than $0.01.

^(e) Annualized for periods of less than one year. These ratios include expenses charged to the Money Market Master Portfolio.

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

6

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)

	Prime Money Market Fund — Select Shares
	Year ended Dec. 31, 2005			Period from Jan. 26, 2004 (a) to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01
Net realized gain		0.00	(b)		—
Total from investment operations		0.03			0.01
Less distributions from:
Net investment income		(0.03	)		(0.01	)
Total distributions		(0.03	)		(0.01	)
Net asset value, end of period	$	1.00		$	1.00
Total return		3.16	%		1.23	%(c)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	81,359		$	170,336
Ratio of expenses to average net assets(d)		0.18	%		0.10	%
Ratio of expenses to average net assets prior to waived fees(d)		0.22	%		0.22	%
Ratio of net investment income to average net assets(d)		3.05	%		2.11	%
Ratio of net investment income to average net assets prior to waived fees(d)		3.01	%		1.99	%
	Treasury Money Market Fund — Select Shares
	Year ended Dec. 31, 2005			Period from Sep. 1, 2004 (a) to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01
Total from investment operations		0.03			0.01
Less distributions from:
Net investment income		(0.03	)		(0.01	)
Total distributions		(0.03	)		(0.01	)
Net asset value, end of period	$	1.00		$	1.00
Total return		3.10	%		0.58	%(c)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	103		$	100
Ratio of expenses to average net assets(e)		0.10	%		0.10	%
Ratio of expenses to average net assets prior to waived fees(e)		0.22	%		0.22	%
Ratio of net investment income to average net assets(e)		3.06	%		1.70	%
Ratio of net investment income to average net assets prior to waived fees(e)		2.94	%		1.58	%

^(a) Commencement of operations.

^(b) Rounds to less than $0.01.

^(c) Not annualized.

^(d) Annualized for periods of less than one year. These ratios include expenses charged to the Prime Money Market Master Portfolio.

^(e) Annualized for periods of less than one year. These ratios include expenses charged to the Treasury Money Market Master Portfolio.

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

7

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

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

These financial statements relate only to the Select Shares of the Government Money Market Fund (the “GMMF”), Institutional Money Market Fund (the “IMMF”), Prime Money Market Fund (the “PMMF”) and Treasury Money Market Fund (the “TMMF”), (each, a “Fund,” collectively, the “Funds”). In addition, the GMMF, PMMF and TMMF offer Institutional Shares, Premium Shares and Trust Shares. The IMMF also offers Aon Captives Shares, Institutional Shares, Premium Shares and Trust Shares. All classes of shares have equal rights to assets and earnings, and differ principally in administration and distribution fees.

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

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

INVESTMENT POLICY AND SECURITY VALUATION

Each Fund invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objectives as its corresponding Fund. The value of each Fund’s investment in its corresponding Master Portfolio reflects that Fund’s interest in the net assets of that Master Portfolio (100.00%, 85.86%, 85.88% and 100.00% for the GMMF, IMMF, PMMF and TMMF, respectively, as of December 31, 2005). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

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

Each Fund seeks to maintain a constant net asset value of $1.00 per share for each of the classes of shares. There is no assurance that the Funds will meet this objective.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Each Fund records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of its corresponding Master Portfolio. In addition, each Fund accrues its own expenses. Net investment income, common fund expenses and realized and unrealized gains and losses are allocated among the classes of shares of each Fund based on the relative net assets of each class.

DISTRIBUTIONS TO SHAREHOLDERS

Distributions to shareholders from net investment income of the Funds are declared daily and distributed monthly. Distributions to shareholders from net realized capital gains, if any, are declared and distributed at least annually. Dividends are determined separately for each class based on income and expenses allocable to each class.

8

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

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

Fund	Undistributed Ordinary Income		Capital and Other Losses			Net Distributable Earnings
Institutional Money Market	$	35,458	$	(2,142	)	$	33,316
Prime Money Market		19,516		—			19,516

The tax character of distributions paid for the years ended December 31, 2005 and December 31, 2004, were as follows:

Fund	2005		2004
Government Money Market
Distributions paid from:
Ordinary Income	$	29,123,137	$	2,579,760
Total Distributions	$	29,123,137	$	2,579,760
Institutional Money Market
Distributions paid from:
Ordinary Income	$	213,360,431	$	67,218,625
Total Distributions	$	213,360,431	$	67,218,625
Prime Money Market
Distributions paid from:
Ordinary Income	$	400,061,034	$	84,360,623
Total Distributions	$	400,061,034	$	84,360,623
Treasury Money Market
Distributions paid from:
Ordinary Income	$	683,583	$	2,274
Total Distributions	$	683,583	$	2,274

FEDERAL INCOME TAXES

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

From November 1, 2005 to December 31, 2005, the Institutional Money Market Fund incurred net realized capital losses. As permitted by tax regulations, the Fund has elected to defer the losses of $2,142 and treat it as arising in the year ending December 31, 2006.

9

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

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

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

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Funds’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Funds for which BGI receives a fee paid by each Fund. This fee is an “all-in” or “semi-unified” fee and BGI, in consideration thereof, has agreed to bear all of the Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees and costs related to securities transactions. BGI is entitled to receive for these administration services an annual fee of 0.12% of the average daily net assets of each Fund’s Select Shares. From time to time, BGI may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGI waived administration fees of $304, $2,529, $15,020 and $21 for the Select Shares of the GMMF, IMMF, PMMF and TMMF, respectively. BGI may delegate certain of its administration duties to subadministrators.

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

3. CAPITAL SHARE TRANSACTIONS

As of December 31, 2005, there were an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the Select Shares of the Funds were as follows:

	Government Money Market Fund
	Year Ended December 31, 2005					Period Ended December 31, 2004 (a)
	Shares		Amount			Shares		Amount
Shares sold	40,320,037		$	40,320,037		100,000		$	100,000
Shares issued in reinvestment of dividends and distributions	291,836			291,836		425			425
Net increase	40,611,873		$	40,611,873		100,425		$	100,425
	Institutional Money Market Fund
	Year Ended December 31, 2005					Period Ended December 31, 2004 (b)
	Shares		Amount			Shares		Amount
Shares sold	117,722,158		$	117,722,158		27,416,539		$	27,416,539
Shares issued in reinvestment of dividends and distributions	341,549			341,549		22,220			22,220
Shares redeemed	(99,835,896	)		(99,835,896	)	(20,726,359	)		(20,726,359	)
Net increase	18,227,811		$	18,227,811		6,712,400		$	6,712,400

10

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

	Prime Money Market Fund
	Year Ended December 31, 2005					Period Ended December 31, 2004 (b)
	Shares		Amount			Shares		Amount
Shares sold	139,708,446		$	139,708,446		243,731,220		$	243,731,220
Shares issued in reinvestment of dividends and distributions	2,482,170			2,482,170		26,100			26,100
Shares redeemed	(231,167,859	)		(231,167,859	)	(73,420,920	)		(73,420,920	)
Net increase	(88,977,243	)	$	(88,977,243	)	170,336,400		$	170,336,400
	Treasury Money Market Fund
	Year Ended December 31, 2005					Period Ended December 31, 2004 (a)
	Shares		Amount			Shares		Amount
Shares sold	—		$	—		100,000		$	100,000
Shares issued in reinvestment of dividends and distributions	2,930			2,930		409			409
Net increase	2,930		$	2,930		100,409		$	100,409

^(a) For the period from September 1, 2004 (commencement of operations) to December 31, 2004.

^(b) For the period from January 26, 2004 (commencement of operations) to December 31, 2004.

11

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

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

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

12

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED

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

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

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

Interested Trustees and Officers
Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
*Lee T. Kranefuss, 1961	Trustee (since 2001), President and Chief Executive Officer (since 2002).	Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Chief Executive Officer (1997-2003) of the Intermediary Investor Business of BGI.	Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.
Michael A. Latham, 1965	Secretary, Treasurer and Chief Financial Officer (since 2003).	Chief Operating Officer (since 2004) of the Intermediary Investor Business of BGI; Director (2000-2004) of Mutual Fund Delivery of the Intermediary Investor Business of BGI.	None.

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

Independent Trustees
Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii.

13

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED (Continued)

Independent Trustees (Continued)
Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
Jack S. Euphrat, 1922	Trustee (since 1993).	Private Investor.	None.
Richard K. Lyons, 1961	Trustee (since 2001).	Executive Associate Dean (since 2005), Sylvan Coleman Chair in Finance (since 2004), Acting Dean (2004-2005) and Professor (since 1993), University of California, Berkeley; Haas School of Business; Consultant for IMF, World Bank, Federal Reserve Bank, and Citibank N.A. (since 2000).	Trustee (since 2001) of MIP; Director (since 2003) of the BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 1995) and Chairman of the Matthews Asian Funds (oversees 8 portfolios); Trustee (since 2000) of iShares Trust; Director (since 2002) of iShares, Inc.
Leo Soong, 1946	Trustee (since 2000).	President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder of Crystal Geyser Water Co. (President through 1999).	Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association.

14

GOVERNMENT MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
REPURCHASE AGREEMENTS – 99.98%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $60,028,667 (collateralized by U.S. Government obligations, value $61,200,000, 3.88% to 6.00%, 6/1/20 to 1/1/36).	$	60,000,000	$	60,000,000
Bank of America N.A. Tri-Party Repurchase Agreement, 4.27%, due 1/3/06, maturity value $75,035,583 (collateralized by U.S. Government obligations, value $76,500,001, 5.00%, 10/1/35).		75,000,000		75,000,000
Credit Suisse First Boston Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $20,009,444 (collateralized by U.S. Government obligations, value $20,401,727, 4.84% to 5.43%, 5/1/35 to 7/1/35).		20,000,000		20,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $60,028,867 (collateralized by U.S. Government obligations, value $61,200,001, 4.00% to 5.16%, 4/1/20 to 12/1/35).		60,000,000		60,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $60,028,600 (collateralized by U.S. Government obligations, value $61,203,452, 3.75% to 5.83%, 1/1/19 to 12/1/35).		60,000,000		60,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $44,420,720 (collateralized by U.S. Government obligations, value $45,286,934, 3.21% to 7.94%, 2/1/16 to 8/1/36).		44,400,000		44,400,000
Merrill Lynch Government Securities Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $75,035,667 (collateralized by U.S. Government obligations, value $77,251,360, 3.50% to 6.00%, 4/25/16 to 3/25/31).		75,000,000		75,000,000
TOTAL REPURCHASE AGREEMENTS (Cost: $394,400,000)				394,400,000
TOTAL INVESTMENTS IN SECURITIES – 99.98% (Cost: $394,400,000)				394,400,000
Other Assets, Less Liabilities – 0.02%				66,966
NET ASSETS – 100.00%			$	394,466,966

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

15

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
CERTIFICATES OF DEPOSIT – 2.54%
HBOS Treasury Services PLC
3.56%, 03/14/06	$	50,000,000	$	50,000,000
3.79%, 06/19/06		50,000,000		49,997,741
Svenska Handelsbanken NY
4.50%, 10/16/06		25,000,000		25,000,000
Toronto-Dominion Bank
3.94%, 07/10/06		35,000,000		35,000,000
TOTAL CERTIFICATES OF DEPOSIT (Cost: $159,997,741)				159,997,741
COMMERCIAL PAPER – 6.31%
Amstel Funding Corp.
4.40%, 05/08/06		50,000,000		49,217,778
CC USA Inc.
3.76%, 01/23/06		50,000,000		49,879,889
3.93%, 02/24/06		65,500,000		65,106,727
4.23%, 04/21/06		45,000,000		44,413,087
Dorada Finance Inc.
3.76%, 01/26/06		10,000,000		9,972,844
Grampian Funding LLC
3.74%, 01/13/06		90,000,000		89,878,450
K2 USA LLC
3.85%, 02/07/06		74,600,000		74,297,227
Sigma Finance Inc.
4.16%, 04/06/06		15,000,000		14,833,600
TOTAL COMMERCIAL PAPER (Cost: $397,599,602)				397,599,602
MEDIUM-TERM NOTES – 1.43%
K2 USA LLC
3.57%, 03/16/06(1)		15,000,000		15,000,000
Marshall & Ilsley Bank
5.18%, 12/15/06		50,000,000		50,159,679
Sigma Finance Inc.
4.50%, 10/16/06(1)		25,000,000		25,000,000
TOTAL MEDIUM-TERM NOTES (Cost: $90,159,679)				90,159,679
TIME DEPOSITS – 6.55%
Branch Banking & Trust
4.02%, 01/03/06		250,000,000		250,000,000
Regions Bank
4.02%, 01/03/06		162,500,000		162,500,000
TOTAL TIME DEPOSITS (Cost: $412,500,000)				412,500,000
VARIABLE & FLOATING RATE NOTES – 65.64%
Allstate Life Global Funding II
4.36%, 12/08/06(1)		11,000,000		11,005,507
4.37%, 11/09/06(1)		20,000,000		20,010,187
4.37%, 12/27/06(1)		50,000,000		50,000,000
4.39%, 01/12/07(1)		35,000,000		35,018,818
4.43%, 01/16/07(1)		25,000,000		25,012,931
American Express Bank
4.33%, 07/19/06		40,000,000		40,000,000
4.34%, 09/27/06		90,000,000		90,000,000
American Express Centurion Bank
4.34%, 06/29/06		35,000,000		35,000,000
4.34%, 09/27/06		60,000,000		60,000,000
American Express Credit Corp.
4.42%, 02/28/06		31,000,000		31,002,173
ANZ National International Ltd.
4.31%, 12/29/06(1)		75,000,000		75,000,000
ASIF Global Financing
4.34%, 08/11/06(1)		25,000,000		25,001,998
4.38%, 01/23/07(1)		75,000,000		74,996,257
4.55%, 05/30/06(1)		61,500,000		61,540,898
4.56%, 12/11/06(1)		90,000,000		90,072,387
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(1)		35,000,000		35,000,000
Bank of Ireland
4.34%, 12/20/06(1)		70,000,000		70,000,000
Bank of Nova Scotia
4.32%, 09/29/06		35,000,000		34,992,555
Banque Nationale de Paris
4.25%, 10/04/06		20,000,000		19,995,934
Beta Finance Inc.
4.33%, 04/25/06(1)		30,000,000		29,997,000
4.33%, 05/25/06(1)		15,000,000		14,999,459
CC USA Inc.
4.32%, 06/15/06(1)		55,000,000		54,997,499
4.33%, 05/25/06(1)		25,000,000		24,998,973
4.34%, 03/23/06(1)		25,000,000		25,000,048
4.35%, 07/14/06(1)		15,000,000		15,001,574
Commodore CDO Ltd. 2003-2A Class A1MM
4.56%, 06/13/06(1)		25,000,000		25,000,000
Credit Suisse First Boston NY
4.31%, 05/09/06		50,000,000		50,000,000
4.35%, 07/19/06		75,000,000		75,000,000
4.35%, 09/26/06		100,000,000		100,000,000
DEPFA Bank PLC
4.50%, 12/15/06		100,000,000		100,000,000
Descartes Funding Trust
4.37%, 11/15/06(1)		45,000,000		45,000,000
Dexia Credit Local
4.33%, 08/30/06		35,000,000		34,995,359
Dorada Finance Inc.
4.33%, 06/26/06(1)		15,000,000		14,999,321

16

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Five Finance Inc.
4.32%, 09/15/06(1)	$	30,000,000	$	29,995,759
4.33%, 05/25/06(1)		22,000,000		21,999,096
4.34%, 06/26/06(1)		14,000,000		13,999,320
Greenwich Capital Holdings Inc.
4.32%, 02/10/06		15,000,000		15,000,000
4.32%, 02/13/06		15,000,000		15,000,000
HBOS Treasury Services PLC
4.57%, 10/24/06(1)		50,000,000		50,000,000
Holmes Financing PLC Series 2005-9 Class 1A
4.36%, 12/15/06(1)		50,000,000		50,000,000
HSBC Bank USA N.A.
4.39%, 05/04/06		15,000,000		15,004,117
ING USA Annuity & Life Insurance Funding Agreement
4.57%, 12/18/06(1)(2)		20,000,000		20,000,000
Jordan Brick Co. Inc.
4.38%, 01/03/06(1)		18,000,000		18,000,000
K2 USA LLC
4.25%, 06/02/06(1)		35,000,000		34,998,533
4.32%, 09/11/06(1)		100,000,000		99,989,630
Lakeline Austin Development Ltd.
4.40%, 01/03/06(1)		9,800,000		9,800,000
Leafs LLC
4.37%, 02/21/06(1)		19,971,050		19,971,050
LEEK Finance Series 14A Class A1
4.37%, 01/23/06		4,835,872		4,835,872
Links Finance LLC
4.32%, 01/20/06(1)		35,000,000		34,999,556
4.32%, 10/16/06(1)		82,000,000		81,990,234
Lothian Mortgages PLC
Series 4A Class A1
4.37%, 01/24/06(1)		25,000,000		25,000,000
Marshall & Ilsley Bank
4.35%, 12/15/06		60,000,000		60,000,000
4.47%, 02/20/06		30,000,000		30,004,935
Metropolitan Life Insurance Funding Agreement
4.24%, 07/18/06(1)(2)		25,000,000		25,000,000
Monumental Global Funding II
4.53%, 12/27/06(1)		100,000,000		100,008,042
Natexis Banques Populaires
4.35%, 01/12/07(1)		50,000,000		50,000,000
National City Bank
4.26%, 01/06/06		20,000,000		19,999,917
Nationwide Building Society
4.58%, 10/27/06(1)		100,000,000		100,000,000
Nordea Bank AB
4.34%, 01/11/07(1)		75,000,000		75,000,000
Nordea Bank PLC
4.23%, 10/02/06		75,000,000		74,986,653
Northern Rock PLC
4.32%, 11/03/06(1)		70,000,000		70,000,000
Permanent Financing PLC Series 8 Class 1A
4.32%, 06/12/06(1)		37,000,000		37,000,067
Principal Life Income Funding Trusts
4.30%, 11/13/06		50,000,000		49,998,353
Royal Bank of Scotland
4.23%, 04/05/06		76,250,000		76,241,832
4.33%, 08/30/06		100,000,000		99,986,739
Sedna Finance Inc.
4.34%, 09/20/06(1)		15,000,000		15,000,000
Sigma Finance Inc.
4.00%, 08/11/06(1)		75,000,000		74,976,738
4.33%, 08/15/06(1)		15,000,000		14,999,067
4.35%, 03/20/06(1)		20,000,000		20,000,329
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(1)		50,000,000		50,000,000
Societe Generale
4.26%, 01/02/07(1)		30,000,000		30,000,000
4.30%, 06/13/06		30,000,000		29,997,270
Tango Finance Corp.
4.32%, 06/12/06(1)		50,000,000		49,997,769
4.33%, 05/26/06(1)		15,000,000		14,999,094
4.33%, 09/25/06(1)		30,000,000		29,996,718
Trap Rock Industry Inc.
4.40%, 01/03/06(1)		20,390,000		20,390,000
Travelers Insurance Co. Funding Agreement
4.36%, 02/03/06(1)(2)		50,000,000		50,000,000
4.45%, 08/18/06(1)(2)		50,000,000		50,000,000
Union Hamilton Special Funding LLC
4.52%, 03/28/06(1)		50,000,000		50,000,000
US Bank N.A.
4.31%, 09/29/06		15,000,000		14,997,062
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
4.37%, 01/25/06(1)		65,450,999		65,450,999
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
4.37%, 01/25/06(1)		72,107,202		72,107,202
Westpac Banking Corp.
4.49%, 01/11/07		70,000,000		70,000,000
WhistleJacket Capital LLC
4.32%, 02/15/06(1)		20,000,000		19,999,364
4.33%, 06/22/06(1)		15,000,000		14,999,289
4.33%, 07/28/06(1)		15,000,000		14,997,857
4.33%, 10/16/06(1)		100,000,000		99,991,889
4.33%, 10/20/06(1)		25,000,000		24,994,365
4.33%, 11/22/06(1)		75,000,000		74,981,733
White Pine Finance LLC
4.32%, 03/15/06(1)		46,000,000		45,997,334
4.32%, 07/17/06(1)		50,000,000		49,994,425
4.32%, 09/15/06(1)		46,000,000		45,995,122

17

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Winston Funding Ltd. Series 2003-1 Class A1MA
4.26%, 01/23/06(1)	$	100,000,000	$	100,000,000
TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $4,137,312,209)				4,137,312,209
REPURCHASE AGREEMENTS – 17.29%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $100,045,556 (collateralized by U.S. Government obligations, value $102,000,001, 4.50% to 6.00%, 5/1/33 to 11/1/35).		100,000,000		100,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,000, 5.00%, 8/1/35 to 1/1/36).		40,000,000		40,000,000
Credit Suisse First Boston Inc. Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,801,003, 4.21% to 4.77%, 1/1/33 to 5/1/35).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,000, 4.25% to 5.19%, 4/1/34 to 9/1/35).		40,000,000		40,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $250,122,222 (collateralized by non-U.S. Government debt securities, value $262,500,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)		250,000,000		250,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,801,409, 2.84% to 5.50%, 4/1/23 to 12/1/35).		40,000,000		40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,993,464, 2.73% to 4.58%, 5/15/07 to 9/25/35).(3)		100,000,000		100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,800,562, 3.15% to 7.41%, 11/1/11 to 6/1/44).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $150,073,167 (collateralized by non-U.S. Government debt securities, value $154,504,756, 4.50% to 8.00%, 12/31/06 to 6/1/25).(2)(3)		150,000,000		150,000,000
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,201,372, 4.00% to 6.00%, 10/25/11 to 5/25/34).		40,000,000		40,000,000
Morgan Stanley Tri-Party Repurchase Agreement, 4.45%, due 1/22/07, maturity value $250,123,611 (collateralized by non-U.S. Government debt securities, value $257,841,442, 0.00% to 10.00%, 1/1/06 to 12/31/35).(2)(3)		250,000,000		250,000,000
TOTAL REPURCHASE AGREEMENTS (Cost: $1,090,000,000)				1,090,000,000
TOTAL INVESTMENTS IN SECURITIES – 99.76% (Cost: $6,287,569,231)				6,287,569,231
Other Assets, Less Liabilities – 0.24%				15,013,769
NET ASSETS – 100.00%			$	6,302,583,000

⁽¹⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽²⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

⁽³⁾ The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

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

18

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
CERTIFICATES OF DEPOSIT – 3.57%
Credit Suisse First Boston NY
4.03%, 01/04/06	$	50,000,000	$	50,000,000
Fortis Bank NY
3.70%, 01/05/06		150,000,000		150,000,100
HBOS Treasury Services PLC
3.79%, 06/19/06		125,000,000		124,994,268
Svenska Handelsbanken NY
4.50%, 10/16/06		50,000,000		50,000,000
Toronto-Dominion Bank
3.94%, 07/10/06		35,000,000		35,000,000
TOTAL CERTIFICATES OF DEPOSIT (Cost: $409,994,368)				409,994,368
COMMERCIAL PAPER – 7.67%
Amstel Funding Corp.
3.91%, 02/15/06		50,000,000		49,750,195
CAFCO LLC
3.99%, 01/06/06		100,000,000		99,933,500
CC USA Inc.
3.76%, 01/23/06		50,000,000		49,879,889
4.23%, 04/21/06		45,000,000		44,413,087
Chesham Finance LLC
4.25%, 01/03/06		75,000,000		74,973,438
Ford Credit Floorplan Motown
4.02%, 01/03/06		64,000,000		63,978,560
Grampian Funding LLC
3.74%, 01/13/06		100,000,000		99,864,946
3.84%, 01/31/06		100,000,000		99,669,334
HSBC PLC
4.16%, 04/04/06		15,000,000		14,837,066
K2 USA LLC
3.85%, 02/07/06		41,000,000		40,833,597
Nordea North America Inc.
4.16%, 04/04/06		70,000,000		69,239,645
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		100,000,000		99,478,667
Sedna Finance Inc.
3.92%, 02/21/06		50,000,000		49,716,888
Sigma Finance Inc.
4.16%, 04/06/06		25,000,000		24,722,667
TOTAL COMMERCIAL PAPER (Cost: $881,291,479)				881,291,479
MEDIUM-TERM NOTES – 1.78%
K2 USA LLC
3.56%, 03/15/06(1)		85,000,000		85,000,000
3.57%, 03/16/06(1)		45,000,000		45,000,000
Sigma Finance Inc.
4.50%, 10/16/06(1)		75,000,000		75,000,000
TOTAL MEDIUM-TERM NOTES (Cost: $205,000,000)				205,000,000
TIME DEPOSITS – 6.97%
Regions Bank
4.02%, 01/03/06		100,571,000		100,571,000
Societe Generale
4.06%, 01/03/06		300,000,000		300,000,000
UBS AG
4.06%, 01/03/06		400,000,000		400,000,000
TOTAL TIME DEPOSITS (Cost: $800,571,000)				800,571,000
VARIABLE& FLOATING RATE NOTES – 52.13%
Allstate Life Global Funding II
4.36%, 12/08/06(1)		58,000,000		58,013,630
4.37%, 12/27/06(1)		110,000,000		110,000,000
4.39%, 01/12/07(1)		85,000,000		85,045,730
American Express Bank
4.33%, 07/19/06		85,000,000		85,000,000
ASIF Global Financing
4.34%, 08/11/06(1)		74,000,000		74,011,988
4.38%, 01/23/07(1)		75,000,000		74,996,257
4.55%, 05/30/06(1)		90,550,000		90,611,121
Bank of Nova Scotia
4.22%, 01/03/06		35,000,000		34,999,940
Banque Nationale de Paris
4.25%, 10/04/06		165,000,000		164,966,390
Bear Stearns Companies Inc. (The)
4.42%, 08/14/06(2)		200,000,000		200,000,000
Beta Finance Inc.
4.32%, 06/20/06(1)		68,000,000		67,996,814
4.33%, 04/25/06(1)		65,000,000		64,993,500
4.33%, 05/25/06(1)		65,000,000		64,997,329
4.33%, 05/26/06(1)		80,000,000		79,996,800
CC USA Inc.
4.32%, 05/22/06(1)		20,000,000		19,999,220
4.32%, 06/15/06(1)		95,000,000		94,995,680
4.33%, 05/25/06(1)		55,000,000		54,997,741
4.33%, 05/26/06(1)		30,000,000		29,998,800
4.33%, 06/26/06(1)		25,000,000		24,998,823
4.34%, 03/23/06(1)		50,000,000		50,000,100
4.35%, 07/14/06(1)		30,000,000		30,003,150
Citigroup Global Markets Holdings Inc.
4.33%, 08/01/06		500,000,000		500,000,000
DEPFA Bank PLC
4.50%, 12/15/06		50,000,000		50,000,000
Dexia Credit Local
4.33%, 08/30/06		65,000,000		64,991,381

19

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Dorada Finance Inc.
4.33%, 06/26/06(1)	$	110,000,000	$	109,994,788
Five Finance Inc.
4.32%, 09/15/06(1)		70,000,000		69,990,105
Goldman Sachs Group Inc. (The)
4.38%, 02/07/06(1)(2)		100,000,000		100,000,000
Greenwich Capital Holdings Inc.
4.30%, 03/09/06		50,000,000		50,000,000
4.32%, 02/10/06		35,000,000		35,000,000
4.32%, 02/13/06		35,000,000		35,000,000
Hartford Life Global Funding Trust
4.36%, 02/17/07		100,000,000		100,000,000
HBOS Treasury Services PLC
4.32%, 01/10/06		100,000,000		100,000,000
Holmes Financing PLC
Series 2005-9 Class 1A
4.36%, 12/15/06(1)		100,000,000		100,000,000
HSBC Bank USA N.A.
4.39%, 05/04/06		20,000,000		20,005,480
ING USA Annuity & Life Insurance Funding Agreement
4.57%, 12/18/06(1)(2)		35,000,000		35,000,000
K2 USA LLC
4.32%, 01/19/06(1)		90,000,000		89,998,594
4.32%, 09/11/06(1)		100,000,000		99,989,630
4.33%, 05/25/06(1)		50,000,000		49,997,021
4.36%, 02/15/06(1)		25,000,000		25,000,700
4.40%, 01/20/06(1)		70,000,000		70,002,170
Leafs LLC
4.37%, 01/20/06(1)		74,891,436		74,891,436
4.37%, 12/20/06(1)		49,927,000		49,927,000
Links Finance LLC
4.32%, 01/20/06(1)		65,000,000		64,999,173
4.33%, 05/18/06(1)		50,000,000		49,996,220
Marshall & Ilsley Bank
4.47%, 02/20/06		50,000,000		50,008,200
Metropolitan Life Global Funding I
4.31%, 01/05/07(1)		100,000,000		100,000,000
Metropolitan Life Insurance Funding Agreement
4.30%, 07/25/06(1)(2)		50,000,000		50,000,000
Morgan Stanley
4.30%, 01/03/07		100,000,000		100,000,000
Natexis Banques Populaires
4.35%, 01/12/07(1)		125,000,000		125,000,000
National City Bank
4.26%, 01/06/06		35,000,000		34,999,853
Nationwide Building Society
4.33%, 01/05/07(1)		100,000,000		100,000,000
4.41%, 01/13/06(1)		100,000,000		100,002,300
4.58%, 10/27/06(1)		50,000,000		50,000,000
Permanent Financing PLC Series 8 Class 1A
4.32%, 06/12/06(1)		50,000,000		50,000,000
Principal Life Income Funding Trusts
4.30%, 11/13/06		50,000,000		49,998,355
Royal Bank of Scotland
4.23%, 04/05/06		100,000,000		99,989,880
4.32%, 06/27/06		50,000,000		49,996,359
4.33%, 08/30/06		200,000,000		199,974,176
Sedna Finance Inc.
4.33%, 01/10/06(1)		20,000,000		19,999,880
4.34%, 01/17/06(1)		35,000,000		34,999,673
4.34%, 09/20/06(1)		25,000,000		25,000,000
4.35%, 08/31/06(1)		25,000,000		24,998,336
Sigma Finance Inc.
4.33%, 08/15/06(1)		35,000,000		34,997,823
4.35%, 03/20/06(1)		35,000,000		35,000,560
Societe Generale
4.26%, 11/24/06(1)		45,000,000		45,000,000
4.30%, 06/13/06		55,000,000		54,994,995
Strips III LLC
4.43%, 07/24/06(1)(2)		30,741,246		30,741,246
Tango Finance Corp.
4.32%, 06/12/06(1)		100,000,000		99,995,540
4.32%, 09/11/06(1)		50,000,000		49,996,511
4.33%, 05/26/06(1)		30,000,000		29,998,188
4.33%, 06/21/06(1)		60,000,000		59,995,759
4.33%, 09/25/06(1)		70,000,000		69,992,342
Union Hamilton Special Funding LLC
4.50%, 06/21/06(1)		50,000,000		50,000,000
4.52%, 03/28/06(1)		100,000,000		100,000,000
US Bank N.A.
4.31%, 09/29/06		30,000,000		29,994,123
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
4.37%, 01/25/06(1)		32,725,499		32,725,499
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
4.37%, 01/25/06(1)		108,160,804		108,160,804
WhistleJacket Capital LLC
4.32%, 02/15/06(1)		30,000,000		29,999,048
4.33%, 07/28/06(1)		25,000,000		24,996,427
4.35%, 01/17/06(1)		40,000,000		39,999,976
White Pine Finance LLC
4.32%, 05/22/06(1)		50,000,000		49,996,615
4.32%, 09/15/06(1)		100,000,000		99,989,398
4.33%, 03/27/06(1)		30,000,000		29,998,490
4.34%, 01/13/06(1)		90,000,000		89,999,694
4.37%, 06/20/06(1)		25,000,000		25,003,300
TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $5,991,950,061)				5,991,950,061

20

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
REPURCHASE AGREEMENTS – 27.67%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $300,136,667 (collateralized by U.S. Government obligations, value $306,000,000, 4.40% to 5.50%, 4/1/25 to 12/1/35).	$	300,000,000	$	300,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,001, 4.25% to 6.00%, 4/1/34 to 9/1/35).		40,000,000		40,000,000
Bank of America Securities Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $400,191,111 (collateralized by non-U.S. Government debt securities, value $423,388,504, 2.75% to 9.88%, 5/15/06 to 11/1/25).(3)		400,000,000		400,000,000
Credit Suisse First Boston Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,800,700, 4.18% to 4.67%, 5/1/35).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,001, 4.25% to 6.00%, 4/1/34 to 9/1/35).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $1,000,481,111 (collateralized by U.S. Government obligations, value $1,020,000,000, 3.41% to 8.50%, 4/1/09 to 1/1/36).		1,000,000,000		1,000,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $400,195,556 (collateralized by non-U.S. Government debt securities, value $408,000,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)		400,000,000		400,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, Due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,802,922, 3.45% to 5.68%, 9/1/16 to 8/1/44).		40,000,000		40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $225,107,500 (collateralized by non-U.S. Government debt securities, value $236,222,842, 0.01% to 9.03%, 10/25/06 to 7/15/25).(3)		225,000,000		225,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,994,737, 1.83% to 5.10%, 5/15/07 to 1/27/20).(3)		100,000,000		100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $15,607,280 (collateralized by U.S. Government obligations, value $15,913,440, 3.62% to 6.30%, 11/1/24 to 11/1/35).		15,600,000		15,600,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,797,959, 3.74% to 7.27%, 6/1/07 to 12/1/35).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.37%, due 6/28/06, maturity value $125,060,694 (collateralized by non-U.S. Government debt securities, value $129,204,388, 2.88% to 10.13%, 5/15/06 to 1/20/24).(2)(3)		125,000,000		125,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $375,182,917 (collateralized by non-U.S. Government debt securities, value $386,251,598, 2.63% to 10.38%, 1/15/06 to 5/15/25).(2)(3)		375,000,000		375,000,000

21

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,203,427, 4.00% to 5.00%, 3/25/16 to 10/25/29).	$	40,000,000	$	40,000,000
TOTAL REPURCHASE AGREEMENTS (Cost: $3,180,600,000)				3,180,600,000
TOTAL INVESTMENTS IN SECURITIES – 99.79% (Cost: $11,469,406,908)				11,469,406,908
Other Assets, Less Liabilities – 0.21%				23,979,992
NET ASSETS – 100.00%			$	11,493,386,900

⁽¹⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽²⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

⁽³⁾ The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

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

22

TREASURY MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
REPURCHASE AGREEMENTS – 99.98%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 3.25%, due 1/3/06, maturity value $20,702,320 (collateralized by U.S. Government obligations, value $21,109,111, 3.88%, 5/15/09).	$	20,694,847	$	20,694,847
Credit Suisse First Boston Tri-Party Repurchase Agreement, 3.45%, due 1/3/06, maturity value $20,702,780 (collateralized by U.S. Government obligations, value $21,109,929, 4.13% to 4.50%, 5/15/15 to 11/15/15).		20,694,847		20,694,847
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 3.30%, due 1/3/06, maturity value $20,702,435 (collateralized by U.S. Government obligations, value $21,109,656, 4.25%, 8/15/14).		20,694,847		20,694,847
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 3.25%, due 1/3/06, maturity value $20,702,320 (collateralized by U.S. Government obligations, value $21,114,565, 6.25% to 9.13%, 5/15/18 to 5/15/30).		20,694,847		20,694,847
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 3.50%, due 1/3/06, maturity value $20,702,895 (collateralized by U.S. Government obligations, value $21,106,652, 1.50% to 8.00%, 1/31/06 to 8/15/28).		20,694,847		20,694,847
TOTAL REPURCHASE AGREEMENTS (Cost: $103,474,235)				103,474,235
TOTAL INVESTMENTS IN SECURITIES – 99.98% (Cost: $103,474,235)				103,474,235
Other Assets, Less Liabilities – 0.02%				19,262
NET ASSETS – 100.00%			$	103,493,497

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

23

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2005

Government Money Market Master Portfolio

Asset Type	Value		% of Net Assets
Repurchase Agreements	$	394,400,000	99.98	%
Other Net Assets		66,966	0.02
TOTAL	$	394,466,966	100.00	%
Money Market Master Portfolio
Asset Type	Value		% of Net Assets
Variable & Floating Rate Notes	$	4,137,312,209	65.64	%
Repurchase Agreements		1,090,000,000	17.29
Time Deposits		412,500,000	6.55
Commercial Paper		397,599,602	6.31
Certificates of Deposit		159,997,741	2.54
Medium-Term Notes		90,159,679	1.43
Other Net Assets		15,013,769	0.24
TOTAL	$	6,302,583,000	100.00	%
Prime Money Market Master Portfolio
Asset Type	Value		% of Net Assets
Variable & Floating Rate Notes	$	5,991,950,061	52.13	%
Repurchase Agreements		3,180,600,000	27.67
Commercial Paper		881,291,479	7.67
Time Deposits		800,571,000	6.97
Certificates of Deposit		409,994,368	3.57
Medium-Term Notes		205,000,000	1.78
Other Net Assets		23,979,992	0.21
TOTAL	$	11,493,386,900	100.00	%
Treasury Money Market Master Portfolio
Asset Type	Value		% of Net Assets
Repurchase Agreements	$	103,474,235	99.98	%
Other Net Assets		19,262	0.02
TOTAL	$	103,493,497	100.00	%

These tables are not part of the financial statements.

24

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005

	Government Money Market Master Portfolio			Money Market Master Portfolio			Prime Money Market Master Portfolio			Treasury Money Market Master Portfolio
ASSETS
Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1)	$	—		$	5,197,569,231		$	8,288,806,908		$	—
Repurchase agreements, at value and cost (Note 1)		394,400,000			1,090,000,000			3,180,600,000			103,474,235
Cash		2,501			3,268			3,428			—
Receivables:
Interest		93,774			15,549,343			24,973,966			19,262
Total Assets		394,496,275			6,303,121,842			11,494,384,302			103,493,497
LIABILITIES
Payables:
Investment advisory fees (Note 2)		29,309			538,842			997,402			—
Total Liabilities		29,309			538,842			997,402			—
NET ASSETS	$	394,466,966		$	6,302,583,000		$	11,493,386,900		$	103,493,497
STATEMENTS OF OPERATIONS
For the Year Ended December 31, 2005
	Government Money Market Master Portfolio			Money Market Master Portfolio			Prime Money Market Master Portfolio			Treasury Money Market Master Portfolio
NET INVESTMENT INCOME
Interest from unaffiliated issuers	$	29,369,301		$	240,993,254		$	463,852,373		$	685,155
Total investment income		29,369,301			240,993,254			463,852,373			685,155
EXPENSES (Note 2)
Investment advisory fees		920,783			7,249,677			14,041,065			17,151
Total expenses		920,783			7,249,677			14,041,065			17,151
Less investment advisory fees waived		(799,065	)		(3,436,517	)		(3,035,058	)		(17,151	)
Net expenses		121,718			3,813,160			11,006,007			—
Net investment income		29,247,583			237,180,094			452,846,366			685,155
REALIZED GAIN (LOSS)
Net realized gain from sale of investments in unaffiliated issuers		—			35,169			9,750			—
Net realized gain		—			35,169			9,750			—
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	29,247,583		$	237,215,263		$	452,856,116		$	685,155

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

25

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS

	Government Money Market Master Portfolio						Money Market Master Portfolio
	For the year ended December 31, 2005			For the period September 1, 2004 (a) to December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	29,247,583		$	2,579,922		$	237,180,094		$	75,589,172
Net realized gain (loss)		—			—			35,169			(3,023	)
Net increase in net assets resulting from operations		29,247,583			2,579,922			237,215,263			75,586,149
Interestholder transactions:
Contributions		7,564,992,045			448,400,000			58,641,619,347			27,939,964,264
Withdrawals		(7,648,995,142	)		(1,757,442	)		(58,107,077,434	)		(27,213,733,782	)
Net increase (decrease) in net assets resulting from interestholder transactions		(84,003,097	)		446,642,558			534,541,913			726,230,482
Increase (decrease) in net assets		(54,755,514	)		449,222,480			771,757,176			801,816,631
NET ASSETS:
Beginning of period		449,222,480			—			5,530,825,824			4,729,009,193
End of period	$	394,466,966		$	449,222,480		$	6,302,583,000		$	5,530,825,824
	Prime Money Market Master Portfolio						Treasury Money Market Master Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the period September 1, 2004 (a) to December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	452,846,366		$	89,577,595		$	685,155		$	2,435
Net realized gain		9,750			58,161			—			—
Net increase in net assets resulting from operations		452,856,116			89,635,756			685,155			2,435
Interestholder transactions:
Contributions		79,992,322,542			29,953,898,444			219,416,585			400,000
Withdrawals		(81,445,952,186	)		(21,667,004,697	)		(117,010,598	)		(80	)
Net increase (decrease) in net assets resulting from interestholder transactions		(1,453,629,644	)		8,286,893,747			102,405,987			399,920
Increase (decrease) in net assets		(1,000,773,528	)		8,376,529,503			103,091,142			402,355
NET ASSETS:
Beginning of period		12,494,160,428			4,117,630,925			402,355			—
End of period	$	11,493,386,900		$	12,494,160,428		$	103,493,497		$	402,355

^(a) Commencement of operations.

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

26

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company organized as a Delaware statutory trust. As of December 31, 2005, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

These financial statements relate only to the Government Money Market, Money Market, Prime Money Market and Treasury Money Market Master Portfolios (each, a “Master Portfolio,” collectively, the “Master Portfolios”). The Government Money Market and Treasury Money Market Master Portfolios commenced operations on September 1, 2004.

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

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

SECURITY VALUATION

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

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Security transactions are accounted for on trade date. Interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premium and accrete discount using a constant yield to maturity method.

FEDERAL INCOME TAXES

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

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

It is intended that each Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other

27

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

requirements for such qualifications not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2005, the Master Portfolios’ costs of investments for federal income tax purposes were the same as for financial statement purposes.

REPURCHASE AGREEMENTS

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

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with the Master Portfolios, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.10% of the average daily net assets of each of the Master Portfolios, as compensation for investment advisory services. From time to time, BGFA may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGFA waived investment advisory fees of $799,065, $3,436,517, $3,035,058 and $17,151 for the Government Money Market, Money Market, Prime Money Market and Treasury Money Market Master Portfolios, respectively.

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

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

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

Certain officers and trustees of MIP are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of MIP’s outstanding beneficial interests.

28

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

3. FINANCIAL HIGHLIGHTS

Financial highlights for the Master Portfolios were as follows:

Master Portfolio	Year Ended December 31, 2005		Year Ended December 31, 2004		Year Ended December 31, 2003		Year Ended December 31, 2002		Year Ended December 31, 2001
Government Money Market
Ratio of expenses to average net assets(a)	0.03	%	0.00	%(b)	n/a		n/a		n/a
Ratio of expenses to average net assets prior to waived fees(a)	0.10	%	0.10	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets(a)	3.16	%	1.93	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets prior to waived fees(a)	3.09	%	1.83	%(b)	n/a		n/a		n/a
Total return	3.28	%	0.64	%(b)(c)	n/a		n/a		n/a
Money Market
Ratio of expenses to average net assets	0.05	%	0.05	%	0.10	%	0.10	%	0.10	%
Ratio of expenses to average net assets prior to waived fees	0.10	%	0.10	%	n/a		n/a		n/a
Ratio of net investment income to average net assets	3.27	%	1.40	%	1.15	%	1.80	%	3.66	%
Ratio of net investment income to average net assets prior to waived fees	3.22	%	1.35	%	n/a		n/a		n/a
Total return	3.28	%	1.39	%	1.16	%	1.84	%	4.23	%
Prime Money Market
Ratio of expenses to average net assets(a)	0.08	%	0.03	%	0.03	%(d)	n/a		n/a
Ratio of expenses to average net assets prior to waived fees(a)	0.10	%	0.10	%	0.10	%(d)	n/a		n/a
Ratio of net investment income to average net assets(a)	3.22	%	1.52	%	1.12	%(d)	n/a		n/a
Ratio of net investment income to average net assets prior to waived fees(a)	3.20	%	1.45	%	1.05	%(d)	n/a		n/a
Total return	3.26	%	1.40	%	0.80	%(c)(d)	n/a		n/a
Treasury Money Market
Ratio of expenses to average net assets(a)	0.00	%	0.00	%(b)	n/a		n/a		n/a
Ratio of expenses to average net assets prior to waived fees(a)	0.10	%	0.10	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets(a)	3.99	%	1.82	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets prior to waived fees(a)	3.89	%	1.72	%(b)	n/a		n/a		n/a
Total return	3.20	%	0.61	%(b)(c)	n/a		n/a		n/a

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

^(b) For the period from September 1, 2004 (commencement of operations) to December 31, 2004.

^(c) Not annualized.

^(d) For the period from April 16, 2003 (commencement of operations) to December 31, 2003.

29

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interest holders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Government Money Market Master Portfolio, Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio, each a portfolio of Master Investment Portfolio (the “Master Portfolios”), at December 31, 2005, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which include confirmation of securities at December 31, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

30

MASTER INVESTMENT PORTFOLIO

TRUSTEE INFORMATION — UNAUDITED

The Board of Trustees has responsibility for the overall management and operations of the Master Portfolios. The Trustees and Officers of Master Investment Portfolio (“MIP”) also serve as Trustees and Officers of Barclays Global Investors Funds (“BGIF”). Please see the Trustees Information for BGIF (found elsewhere in this report), for information regarding the Trustees and Officers of MIP.

Additional information about MIP’s Trustees may be found in Part B of each Master Portfolio’s Registration Statement, which is available without charge, upon request, by calling toll-free 1-877-244-1544.

31

Notes:

32

Notes:

33

Notes:

34

TABLE OF CONTENTS

Shareholder Expenses	1
Barclays Global Investors Funds
Financial Statements	2
Financial Highlights	6
Notes to the Financial Statements	8
Report of Independent Registered Public Accounting Firm	12
Trustee Information (Unaudited)	13
Master Investment Portfolio
Schedules of Investments	15
Government Money Market Master Portfolio	15
Money Market Master Portfolio	16
Prime Money Market Master Portfolio	19
Treasury Money Market Master Portfolio	23
Portfolio Allocations (Unaudited)	24
Financial Statements	25
Notes to the Financial Statements	27
Report of Independent Registered Public Accounting Firm	30
Trustee Information (Unaudited)	31

BARCLAYS GLOBAL INVESTORS FUNDS

Shareholder Expenses

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

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

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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

Fund	Beginning Account Value (July 1, 2005)		Ending Account Value (December 31, 2005)		Annualized Expense Ratio (a)		Expenses Paid During Period (b) (July 1 to December 31, 2005)
Government Money Market
Trust Shares
Actual	$	1,000.00	$	1,017.20	0.39	%	$	1.98
Hypothetical (5% return before expenses)		1,000.00		1,023.22	0.39			1.99
Institutional Money Market
Trust Shares
Actual		1,000.00		1,017.30	0.41			2.08
Hypothetical (5% return before expenses)		1,000.00		1,023.15	0.41			2.09
Prime Money Market
Trust Shares
Actual		1,000.00		1,017.10	0.43			2.19
Hypothetical (5% return before expenses)		1,000.00		1,023.05	0.43			2.19
Treasury Money Market
Trust Shares
Actual		1,000.00		1,028.60	0.33			1.69
Hypothetical (5% return before expenses)		1,000.00		1,023.53	0.33			1.68

^(a) This ratio includes expenses charged to the corresponding Master Portfolio and includes investment advisory and administration fees voluntary waived during the period.

^(b) Expenses are calculated using each Fund’s annualized expense ratio of the Trust Shares (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days).

1

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005

	Government Money Market Fund		Institutional Money Market Fund		Prime Money Market Fund		Treasury Money Market Fund
ASSETS
Investments:
In corresponding Master Portfolio, at value (Note 1)	$	394,466,966	$	5,411,656,356	$	9,870,959,765	$	103,493,497
Total Assets		394,466,966		5,411,656,356		9,870,959,765		103,493,497
LIABILITIES
Payables:
Distribution to shareholders		1,195,056		19,546,725		33,699,305		397,552
Administration fees (Note 2)		13,486		100,339		242,194		622
Distribution fees – Aon Captives Shares (Note 2)		—		20,025		—		—
Total Liabilities		1,208,542		19,667,089		33,941,499		398,174
NET ASSETS	$	393,258,424	$	5,391,989,267	$	9,837,018,266	$	103,095,323
Net assets consist of:
Paid-in capital	$	393,258,424	$	5,391,955,951	$	9,836,998,750	$	103,095,323
Undistributed net investment income		—		3,747		13,322		—
Undistributed net realized gain		—		29,569		6,194		—
NET ASSETS	$	393,258,424	$	5,391,989,267	$	9,837,018,266	$	103,095,323
Aon Captives Shares
Net Assets	$	—	$	77,898,550	$	—	$	—
Shares outstanding		—		77,897,975		—		—
Net asset value and offering price per share	$	—	$	1.00	$	—	$	—
Institutional Shares
Net Assets	$	169,200,207	$	3,485,876,124	$	6,521,818,007	$	100,342,539
Shares outstanding		169,200,207		3,485,858,584		6,521,801,171		100,342,539
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00
Premium Shares
Net Assets	$	183,242,766	$	1,803,170,990	$	3,233,738,277	$	2,546,403
Shares outstanding		183,242,766		1,803,159,587		3,233,735,056		2,546,403
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00
Select Shares
Net Assets	$	40,712,298	$	24,940,220	$	81,358,616	$	103,339
Shares outstanding		40,712,298		24,940,211		81,359,157		103,339
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00
Trust Shares
Net Assets	$	103,153	$	103,383	$	103,366	$	103,042
Shares outstanding		103,153		103,383		103,366		103,042
Net asset value and offering price per share	$	1.00	$	1.00	$	1.00	$	1.00

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

2

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2005

	Government Money Market Fund			Institutional Money Market Fund			Prime Money Market Fund			Treasury Money Market Fund
NET INVESTMENT INCOME ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Interest	$	29,369,301		$	218,145,682		$	412,793,534		$	685,155
Expenses(a)		(121,718	)		(3,442,469	)		(9,771,810	)		—
Net investment income allocated from corresponding Master Portfolio		29,247,583			214,703,213			403,021,724			685,155
FUND EXPENSES (Note 2)
Administration fees		288,345			2,559,241			5,282,707			5,000
Distribution fees – Aon Captives Shares		—			95,721			—			—
Total fund expenses		288,345			2,654,962			5,282,707			5,000
Less administration fees waived		(163,899	)		(1,312,234	)		(2,322,017	)		(3,428	)
Net fund expenses		124,446			1,342,728			2,960,690			1,572
Net investment income		29,123,137			213,360,485			400,061,034			683,583
REALIZED GAIN (LOSS) ALLOCATED FROM CORRESPONDING MASTER PORTFOLIO
Net realized gain		—			32,325			8,607			—
Net realized gain		—			32,325			8,607			—
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	29,123,137		$	213,392,810		$	400,069,641		$	683,583

^(a) Net of investment advisory fee waivers by the Master Portfolios’ investment adviser in the amounts of $799,065, $3,129,635, $2,766,658, and $17,151, respectively.

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

3

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS

	Government Money Market Fund						Institutional Money Market Fund
	For the year ended December 31, 2005			For the period September 1, 2004(a) to December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	29,123,137		$	2,579,760		$	213,360,485		$	67,218,571
Net realized gain (loss)		—			—			32,325			(2,753	)
Net increase in net assets resulting from operations		29,123,137			2,579,760			213,392,810			67,215,818
Distributions to shareholders:
From net investment income:
Aon Captives Shares		—			—			(2,943,319	)		(1,141,062	)
Institutional Shares		(22,103,787	)		(2,578,006	)		(129,993,058	)		(54,192,310	)
Premium Shares		(6,585,019	)		(622	)		(79,980,794	)		(11,848,951	)
Select Shares		(431,372	)		(605	)		(440,285	)		(35,557	)
Trust Shares		(2,959	)		(527	)		(2,975	)		(745	)
		(29,123,137	)		(2,579,760	)		(213,360,431	)		(67,218,625	)
Total distributions to shareholders		(29,123,137	)		(2,579,760	)		(213,360,431	)		(67,218,625	)
Capital share transactions (Note 3):
Aon Captives Shares		—			—			(28,534,415	)		51,033,638
Institutional Shares		(278,900,244	)		448,100,451			(138,646,363	)		(373,719,853	)
Premium Shares		183,142,328			100,438			585,770,940			927,289,984
Select Shares		40,611,873			100,425			18,227,811			6,712,400
Trust Shares		2,785			100,368			2,796			100,587
Net increase (decrease) in net assets resulting from capital share transactions		(55,143,258	)		448,401,682			436,820,769			611,416,756
Increase (decrease) in net assets		(55,143,258	)		448,401,682			436,853,148			611,413,949
NET ASSETS:
Beginning of period		448,401,682			—			4,955,136,119			4,343,722,170
End of period	$	393,258,424		$	448,401,682		$	5,391,989,267		$	4,955,136,119
Undistributed (distributions in excess of) net investment income included in net assets at end of period	$	—		$	—		$	3,747		$	(54	)

^(a) Commencement of operations.

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

4

BARCLAYS GLOBAL INVESTORS FUNDS

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	Prime Money Market Fund						Treasury Money Market Fund
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the period September 1, 2004(a) to December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	400,061,034		$	84,316,610		$	683,583		$	2,274
Net realized gain		8,607			55,136			—			—
Net increase in net assets resulting from operations		400,069,641			84,371,746			683,583			2,274
Distributions to shareholders:
From net investment income:
Institutional Shares		(231,155,121	)		(54,101,221	)		(590,271	)		(609	)
Premium Shares		(166,418,165	)		(29,887,264	)		(87,324	)		(592	)
Select Shares		(2,484,802	)		(327,158	)		(3,114	)		(575	)
Trust Shares		(2,946	)		(753	)		(2,874	)		(498	)
		(400,061,034	)		(84,316,396	)		(683,583	)		(2,274	)
From net realized gain:
Institutional Shares		—			(32,824	)		—			—
Premium Shares		—			(11,403	)		—			—
		—			(44,227	)		—			—
Total distributions to shareholders		(400,061,034	)		(84,360,623	)		(683,583	)		(2,274	)
Capital share transactions (Note 3):
Institutional Shares		520,868,715			3,033,857,069			100,242,105			100,434
Premium Shares		(2,013,369,862	)		4,282,862,178			2,445,981			100,422
Select Shares		(88,977,243	)		170,336,400			2,930			100,409
Trust Shares		2,775			100,591			2,691			100,351
Net increase (decrease) in net assets resulting from capital share transactions		(1,581,475,615	)		7,487,156,238			102,693,707			401,616
Increase (decrease) in net assets		(1,581,467,008	)		7,487,167,361			102,693,707			401,616
NET ASSETS:
Beginning of period		11,418,485,274			3,931,317,913			401,616			—
End of period	$	9,837,018,266		$	11,418,485,274		$	103,095,323		$	401,616
Undistributed net investment income included in net assets at end of period	$	13,322			—			—			—

^(a) Commencement of operations.

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

5

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

	Government Money Market Fund — Trust Shares
	Year ended Dec. 31, 2005			Period from Sep. 1, 2004 (a) to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01
Total from investment operations		0.03			0.01
Less distributions from:
Net investment income		(0.03	)		(0.01	)
Total distributions		(0.03	)		(0.01	)
Net asset value, end of period	$	1.00		$	1.00
Total return		2.94	%		0.53	%(b)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	103		$	100
Ratio of expenses to average net assets(c)		0.36	%		0.33	%
Ratio of expenses to average net assets prior to waived fees(c)		0.45	%		0.45	%
Ratio of net investment income to average net assets(c)		2.91	%		1.58	%
Ratio of net investment income to average net assets prior to waived fee(c)		2.82	%		1.46	%
	Institutional Money Market Fund — Trust Shares
	Year ended Dec. 31, 2005			Period from Jun. 10, 2004 (a) to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01
Total from investment operations		0.03			0.01
Less distributions from:
Net investment income		(0.03	)		(0.01	)
Total distributions		(0.03	)		(0.01	)
Net asset value, end of period	$	1.00		$	1.00
Total return		2.96	%		0.74	%(b)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	103		$	101
Ratio of expenses to average net assets(d)		0.38	%		0.35	%
Ratio of expenses to average net assets prior to waived fees(d)		0.45	%		0.45	%
Ratio of net investment income to average net assets(d)		2.92	%		1.33	%
Ratio of net investment income to average net assets prior to waived fees(d)		2.85	%		1.23	%

^(a) Commencement of operations.

^(b) Not annualized.

^(c) Annualized for periods of less than one year. These ratios include expenses charged to the Government Money Market Master Portfolio.

^(d) Annualized for periods of less than one year. These ratios include expenses charged to the Money Market Master Portfolio.

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

6

BARCLAYS GLOBAL INVESTORS FUNDS

FINANCIAL HIGHLIGHTS (Continued)

(For a share outstanding throughout each period)

	Prime Money Market Fund — Trust Shares
	Year ended Dec. 31, 2005			Period from Jun. 10, 2004 (a) to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01
Net realized gain		0.00	(b)		—
Total from investment operations		0.03			0.01
Less distributions from:
Net investment income		(0.03	)		(0.01	)
Total distributions		(0.03	)		(0.01	)
Net asset value, end of period	$	1.00		$	1.00
Total return		2.93	%		0.75	%(c)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	103		$	101
Ratio of expenses to average net assets(d)		0.41	%		0.34	%
Ratio of expenses to average net assets prior to waived fees(d)		0.45	%		0.45	%
Ratio of net investment income to average net assets(d)		2.89	%		1.34	%
Ratio of net investment income to average net assets prior to waived fees(d)		2.85	%		1.23	%
	Treasury Money Market Fund — Trust Shares
	Year ended Dec. 31, 2005			Period from Sep. 1, 2004 (a) to Dec. 31, 2004
Net asset value, beginning of period	$	1.00		$	1.00
Income from investment operations:
Net investment income		0.03			0.01
Total from investment operations		0.03			0.01
Less distributions from:
Net investment income		(0.03	)		(0.01	)
Total distributions		(0.03	)		(0.01	)
Net asset value, end of period	$	1.00		$	1.00
Total return		2.86	%		0.50	%(c)
Ratios/Supplemental data:
Net assets, end of period (000s)	$	103		$	100
Ratio of expenses to average net assets(e)		0.33	%		0.33	%
Ratio of expenses to average net assets prior to waived fees(e)		0.45	%		0.45	%
Ratio of net investment income to average net assets(e)		2.83	%		1.49	%
Ratio of net investment income to average net assets prior to waived fees(e)		2.71	%		1.37	%

^(a) Commencement of operations.

^(b) Rounds to less than $0.01.

^(c) Not annualized.

^(d) Annualized for periods of less than one year. These ratios include expenses charged to the Prime Money Market Master Portfolio.

^(e) Annualized for periods of less than one year. These ratios include expenses charged to the Treasury Money Market Master Portfolio.

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

7

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

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

These financial statements relate only to the Trust Shares of the Government Money Market Fund (the “GMMF”), Institutional Money Market Fund (the “IMMF”), Prime Money Market Fund (the “PMMF”) and Treasury Money Market Fund (the “TMMF”), (each, a “Fund,” collectively, the “Funds”). In addition, the GMMF, PMMF and TMMF offer Institutional Shares, Premium Shares and Select Shares. The IMMF also offers Aon Captives Shares, Institutional Shares, Premium Shares and Select Shares. All classes of shares have equal rights to assets and earnings, and differ principally in administration and distribution fees.

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

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

INVESTMENT POLICY AND SECURITY VALUATION

Each Fund invests all of its assets in a separate series (each, a “Master Portfolio”) of Master Investment Portfolio (“MIP”). Each Master Portfolio has the same or substantially similar investment objectives as its corresponding Fund. The value of each Fund’s investment in its corresponding Master Portfolio reflects that Fund’s interest in the net assets of that Master Portfolio (100.00%, 85.86%, 85.88% and 100.00% for the GMMF, IMMF, PMMF and TMMF, respectively, as of December 31, 2005). The method by which MIP values its securities is discussed in Note 1 of MIP’s Notes to the Financial Statements, which are included elsewhere in this report.

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

Each Fund seeks to maintain a constant net asset value of $1.00 per share for each of the classes of shares. There is no assurance that the Funds will meet this objective.

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Each Fund records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of its corresponding Master Portfolio. In addition, each Fund accrues its own expenses. Net investment income, common fund expenses and realized and unrealized gains and losses are allocated among the classes of shares of each Fund based on the relative net assets of each class.

DISTRIBUTIONS TO SHAREHOLDERS

Distributions to shareholders from net investment income of the Funds are declared daily and distributed monthly. Distributions to shareholders from net realized capital gains, if any, are declared and distributed at least annually. Dividends are determined separately for each class based on income and expenses allocable to each class.

8

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

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

Fund	Undistributed Ordinary Income		Capital and Other Losses			Net Distributable Earnings
Institutional Money Market	$	35,458	$	(2,142	)	$	33,316
Prime Money Market		19,516		—			19,516

The tax character of distributions paid for the years ended December 31, 2005 and December 31, 2004, were as follows:

Fund	2005		2004
Government Money Market
Distributions paid from:
Ordinary Income	$	29,123,137	$	2,579,760
Total Distributions	$	29,123,137	$	2,579,760
Institutional Money Market
Distributions paid from:
Ordinary Income	$	213,360,431	$	67,218,625
Total Distributions	$	213,360,431	$	67,218,625
Prime Money Market
Distributions paid from:
Ordinary Income	$	400,061,034	$	84,360,623
Total Distributions	$	400,061,034	$	84,360,623
Treasury Money Market
Distributions paid from:
Ordinary Income	$	683,583	$	2,274
Total Distributions	$	683,583	$	2,274

FEDERAL INCOME TAXES

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

From November 1, 2005 to December 31, 2005, the Institutional Money Market Fund incurred net realized capital losses. As permitted by tax regulations, the Fund has elected to defer the losses of $2,142 and treat it as arising in the year ending December 31, 2006.

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

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

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

The Trust has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Funds’ transfer agent, custodian, financial printer, legal counsel and independent registered public accounting firm), to the Funds for which BGI receives a fee paid by each Fund. This fee is an “all-in” or “semi-unified” fee and BGI, in consideration

9

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

thereof, has agreed to bear all of the Funds’ ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees and costs related to securities transactions. BGI is entitled to receive for these administration services an annual fee of 0.35% of the average daily net assets of each Fund’s Trust Shares. From time to time, BGI may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Fund and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGI waived administration fees of $16, $21, $20 and $21 for the Trust Shares of the GMMF, IMMF, PMMF and TMMF, respectively. BGI may delegate certain of its administration duties to sub-administrators.

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

3. CAPITAL SHARE TRANSACTIONS

As of December 31, 2005, there were an unlimited number of no par value shares of beneficial interest authorized. Transactions in capital shares for the Trust Shares of the Funds were as follows:

	Government Money Market Fund
	Year Ended December 31, 2005					Period Ended December 31, 2004 (a)
	Shares		Amount			Shares		Amount
Shares sold	2,950		$	2,950		100,000		$	100,000
Shares issued in reinvestment of dividends and distributions	2,785			2,785		368			368
Shares redeemed	(2,950	)		(2,950	)	—			—
Net increase	2,785		$	2,785		100,368		$	100,368
	Institutional Money Market Fund
	Year Ended December 31, 2005					Period Ended December 31, 2004 (b)
	Shares		Amount			Shares		Amount
Shares sold	—		$	—		100,001		$	100,001
Shares issued in reinvestment of dividends and distributions	2,796			2,796		587			587
Shares redeemed	—			—		(1	)		(1	)
Net increase	2,796		$	2,796		100,587		$	100,587
	Prime Money Market Fund
	Year Ended December 31, 2005					Period Ended December 31, 2004 (b)
	Shares		Amount			Shares		Amount
Shares sold	—		$	—		100,000		$	100,000
Shares issued in reinvestment of dividends and distributions	2,775			2,775		591			591
Net increase	2,775		$	2,775		100,591		$	100,591

10

BARCLAYS GLOBAL INVESTORS FUNDS

NOTES TO THE FINANCIAL STATEMENTS (Continued)

	Treasury Money Market Fund
	Year Ended December 31, 2005			Period Ended December 31, 2004 (a)
	Shares	Amount		Shares	Amount
Shares sold	—	$	—	100,000	$	100,000
Shares issued in reinvestment of dividends and distributions	2,691		2,691	351		351
Net increase	2,691	$	2,691	100,351	$	100,351

^(a) For the period from September 1, 2004 (commencement of operations) to December 31, 2004.

^(b) For the period from June 10, 2004 (commencement of operations) to December 31, 2004.

11

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Barclays Global Investors Funds:

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

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

12

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED

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

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

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

Interested Trustees and Officers
Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
*Lee T. Kranefuss, 1961	Trustee (since 2001), President and Chief Executive Officer (since 2002).	Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Chief Executive Officer (1997-2003) of the Intermediary Investor Business of BGI.	Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.
Michael A. Latham, 1965	Secretary, Treasurer and Chief Financial Officer (since 2003).	Chief Operating Officer (since 2004) of the Intermediary Investor Business of BGI; Director (2000-2004) of Mutual Fund Delivery of the Intermediary Investor Business of BGI.	None.

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

Independent Trustees
Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii.

13

BARCLAYS GLOBAL INVESTORS FUNDS

TRUSTEE INFORMATION — UNAUDITED (Continued)

Independent Trustees (Continued)
Name, Year of Birth	Position(s), Length of Service	Principal Occupation(s) During Past Five Years	Other Public Company and Investment Company Directorships
Jack S. Euphrat, 1922	Trustee (since 1993).	Private Investor.	None.
Richard K. Lyons, 1961	Trustee (since 2001).	Executive Associate Dean (since 2005), Sylvan Coleman Chair in Finance (since 2004), Acting Dean (2004-2005) and Professor (since 1993), University of California, Berkeley; Haas School of Business; Consultant for IMF, World Bank, Federal Reserve Bank, and Citibank N.A. (since 2000).	Trustee (since 2001) of MIP; Director (since 2003) of the BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 1995) and Chairman of the Matthews Asian Funds (oversees 8 portfolios); Trustee (since 2000) of iShares Trust; Director (since 2002) of iShares, Inc.
Leo Soong, 1946	Trustee (since 2000).	President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder of Crystal Geyser Water Co. (President through 1999).	Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association.

14

GOVERNMENT MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
REPURCHASE AGREEMENTS – 99.98%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $60,028,667 (collateralized by U.S. Government obligations, value $61,200,000, 3.88% to 6.00%, 6/1/20 to 1/1/36).	$	60,000,000	$	60,000,000
Bank of America N.A. Tri-Party Repurchase Agreement, 4.27%, due 1/3/06, maturity value $75,035,583 (collateralized by U.S. Government obligations, value $76,500,001, 5.00%, 10/1/35).		75,000,000		75,000,000
Credit Suisse First Boston Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $20,009,444 (collateralized by U.S. Government obligations, value $20,401,727, 4.84% to 5.43%, 5/1/35 to 7/1/35).		20,000,000		20,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $60,028,867 (collateralized by U.S. Government obligations, value $61,200,001, 4.00% to 5.16%, 4/1/20 to 12/1/35).		60,000,000		60,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $60,028,600 (collateralized by U.S. Government obligations, value $61,203,452, 3.75% to 5.83%, 1/1/19 to 12/1/35).		60,000,000		60,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $44,420,720 (collateralized by U.S. Government obligations, value $45,286,934, 3.21% to 7.94%, 2/1/16 to 8/1/36).		44,400,000		44,400,000
Merrill Lynch Government Securities Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $75,035,667 (collateralized by U.S. Government obligations, value $77,251,360, 3.50% to 6.00%, 4/25/16 to 3/25/31).		75,000,000		75,000,000
TOTAL REPURCHASE AGREEMENTS (Cost: $394,400,000)				394,400,000
TOTAL INVESTMENTS IN SECURITIES – 99.98% (Cost: $394,400,000)				394,400,000
Other Assets, Less Liabilities – 0.02%				66,966
NET ASSETS – 100.00%			$	394,466,966

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

15

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
CERTIFICATES OF DEPOSIT – 2.54%
HBOS Treasury Services PLC
3.56%, 03/14/06	$	50,000,000	$	50,000,000
3.79%, 06/19/06		50,000,000		49,997,741
Svenska Handelsbanken NY
4.50%, 10/16/06		25,000,000		25,000,000
Toronto-Dominion Bank
3.94%, 07/10/06		35,000,000		35,000,000
TOTAL CERTIFICATES OF DEPOSIT (Cost: $159,997,741)				159,997,741
COMMERCIAL PAPER – 6.31%
Amstel Funding Corp.
4.40%, 05/08/06		50,000,000		49,217,778
CC USA Inc.
3.76%, 01/23/06		50,000,000		49,879,889
3.93%, 02/24/06		65,500,000		65,106,727
4.23%, 04/21/06		45,000,000		44,413,087
Dorada Finance Inc.
3.76%, 01/26/06		10,000,000		9,972,844
Grampian Funding LLC
3.74%, 01/13/06		90,000,000		89,878,450
K2 USA LLC
3.85%, 02/07/06		74,600,000		74,297,227
Sigma Finance Inc.
4.16%, 04/06/06		15,000,000		14,833,600
TOTAL COMMERCIAL PAPER (Cost: $397,599,602)				397,599,602
MEDIUM-TERM NOTES – 1.43%
K2 USA LLC
3.57%, 03/16/06(1)		15,000,000		15,000,000
Marshall & Ilsley Bank
5.18%, 12/15/06		50,000,000		50,159,679
Sigma Finance Inc.
4.50%, 10/16/06(1)		25,000,000		25,000,000
TOTAL MEDIUM-TERM NOTES (Cost: $90,159,679)				90,159,679
TIME DEPOSITS – 6.55%
Branch Banking & Trust
4.02%, 01/03/06		250,000,000		250,000,000
Regions Bank
4.02%, 01/03/06		162,500,000		162,500,000
TOTAL TIME DEPOSITS (Cost: $412,500,000)				412,500,000
VARIABLE & FLOATING RATE NOTES – 65.64%
Allstate Life Global Funding II
4.36%, 12/08/06(1)		11,000,000		11,005,507
4.37%, 11/09/06(1)		20,000,000		20,010,187
4.37%, 12/27/06(1)		50,000,000		50,000,000
4.39%, 01/12/07(1)		35,000,000		35,018,818
4.43%, 01/16/07(1)		25,000,000		25,012,931
American Express Bank
4.33%, 07/19/06		40,000,000		40,000,000
4.34%, 09/27/06		90,000,000		90,000,000
American Express Centurion Bank
4.34%, 06/29/06		35,000,000		35,000,000
4.34%, 09/27/06		60,000,000		60,000,000
American Express Credit Corp.
4.42%, 02/28/06		31,000,000		31,002,173
ANZ National International Ltd.
4.31%, 12/29/06(1)		75,000,000		75,000,000
ASIF Global Financing
4.34%, 08/11/06(1)		25,000,000		25,001,998
4.38%, 01/23/07(1)		75,000,000		74,996,257
4.55%, 05/30/06(1)		61,500,000		61,540,898
4.56%, 12/11/06(1)		90,000,000		90,072,387
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07(1)		35,000,000		35,000,000
Bank of Ireland
4.34%, 12/20/06(1)		70,000,000		70,000,000
Bank of Nova Scotia
4.32%, 09/29/06		35,000,000		34,992,555
Banque Nationale de Paris
4.25%, 10/04/06		20,000,000		19,995,934
Beta Finance Inc.
4.33%, 04/25/06(1)		30,000,000		29,997,000
4.33%, 05/25/06(1)		15,000,000		14,999,459
CC USA Inc.
4.32%, 06/15/06(1)		55,000,000		54,997,499
4.33%, 05/25/06(1)		25,000,000		24,998,973
4.34%, 03/23/06(1)		25,000,000		25,000,048
4.35%, 07/14/06(1)		15,000,000		15,001,574
Commodore CDO Ltd. 2003-2A Class A1MM
4.56%, 06/13/06(1)		25,000,000		25,000,000
Credit Suisse First Boston NY
4.31%, 05/09/06		50,000,000		50,000,000
4.35%, 07/19/06		75,000,000		75,000,000
4.35%, 09/26/06		100,000,000		100,000,000
DEPFA Bank PLC
4.50%, 12/15/06		100,000,000		100,000,000
Descartes Funding Trust
4.37%, 11/15/06(1)		45,000,000		45,000,000
Dexia Credit Local
4.33%, 08/30/06		35,000,000		34,995,359
Dorada Finance Inc.
4.33%, 06/26/06(1)		15,000,000		14,999,321

16

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Five Finance Inc.
4.32%, 09/15/06(1)	$	30,000,000	$	29,995,759
4.33%, 05/25/06(1)		22,000,000		21,999,096
4.34%, 06/26/06(1)		14,000,000		13,999,320
Greenwich Capital Holdings Inc.
4.32%, 02/10/06		15,000,000		15,000,000
4.32%, 02/13/06		15,000,000		15,000,000
HBOS Treasury Services PLC
4.57%, 10/24/06(1)		50,000,000		50,000,000
Holmes Financing PLC Series 2005-9 Class 1A
4.36%, 12/15/06(1)		50,000,000		50,000,000
HSBC Bank USA N.A.
4.39%, 05/04/06		15,000,000		15,004,117
ING USA Annuity & Life Insurance Funding Agreement
4.57%, 12/18/06(1)(2)		20,000,000		20,000,000
Jordan Brick Co. Inc.
4.38%, 01/03/06(1)		18,000,000		18,000,000
K2 USA LLC
4.25%, 06/02/06(1)		35,000,000		34,998,533
4.32%, 09/11/06(1)		100,000,000		99,989,630
Lakeline Austin Development Ltd.
4.40%, 01/03/06(1)		9,800,000		9,800,000
Leafs LLC
4.37%, 02/21/06(1)		19,971,050		19,971,050
LEEK Finance Series 14A Class A1
4.37%, 01/23/06		4,835,872		4,835,872
Links Finance LLC
4.32%, 01/20/06(1)		35,000,000		34,999,556
4.32%, 10/16/06(1)		82,000,000		81,990,234
Lothian Mortgages PLC Series 4A Class A1
4.37%, 01/24/06(1)		25,000,000		25,000,000
Marshall & Ilsley Bank
4.35%, 12/15/06		60,000,000		60,000,000
4.47%, 02/20/06		30,000,000		30,004,935
Metropolitan Life Insurance Funding Agreement
4.24%, 07/18/06(1)(2)		25,000,000		25,000,000
Monumental Global Funding II
4.53%, 12/27/06(1)		100,000,000		100,008,042
Natexis Banques Populaires
4.35%, 01/12/07(1)		50,000,000		50,000,000
National City Bank
4.26%, 01/06/06		20,000,000		19,999,917
Nationwide Building Society
4.58%, 10/27/06(1)		100,000,000		100,000,000
Nordea Bank AB
4.34%, 01/11/07(1)		75,000,000		75,000,000
Nordea Bank PLC
4.23%, 10/02/06		75,000,000		74,986,653
Northern Rock PLC
4.32%, 11/03/06(1)		70,000,000		70,000,000
Permanent Financing PLC Series 8 Class 1A
4.32%, 06/12/06(1)		37,000,000		37,000,067
Principal Life Income Funding Trusts
4.30%, 11/13/06		50,000,000		49,998,353
Royal Bank of Scotland
4.23%, 04/05/06		76,250,000		76,241,832
4.33%, 08/30/06		100,000,000		99,986,739
Sedna Finance Inc.
4.34%, 09/20/06(1)		15,000,000		15,000,000
Sigma Finance Inc.
4.00%, 08/11/06(1)		75,000,000		74,976,738
4.33%, 08/15/06(1)		15,000,000		14,999,067
4.35%, 03/20/06(1)		20,000,000		20,000,329
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06(1)		50,000,000		50,000,000
Societe Generale
4.26%, 01/02/07(1)		30,000,000		30,000,000
4.30%, 06/13/06		30,000,000		29,997,270
Tango Finance Corp.
4.32%, 06/12/06(1)		50,000,000		49,997,769
4.33%, 05/26/06(1)		15,000,000		14,999,094
4.33%, 09/25/06(1)		30,000,000		29,996,718
Trap Rock Industry Inc.
4.40%, 01/03/06(1)		20,390,000		20,390,000
Travelers Insurance Co. Funding Agreement
4.36%, 02/03/06(1)(2)		50,000,000		50,000,000
4.45%, 08/18/06(1)(2)		50,000,000		50,000,000
Union Hamilton Special Funding LLC
4.52%, 03/28/06(1)		50,000,000		50,000,000
US Bank N.A.
4.31%, 09/29/06		15,000,000		14,997,062
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
4.37%, 01/25/06(1)		65,450,999		65,450,999
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
4.37%, 01/25/06(1)		72,107,202		72,107,202
Westpac Banking Corp.
4.49%, 01/11/07		70,000,000		70,000,000
WhistleJacket Capital LLC
4.32%, 02/15/06(1)		20,000,000		19,999,364
4.33%, 06/22/06(1)		15,000,000		14,999,289
4.33%, 07/28/06(1)		15,000,000		14,997,857
4.33%, 10/16/06(1)		100,000,000		99,991,889
4.33%, 10/20/06(1)		25,000,000		24,994,365
4.33%, 11/22/06(1)		75,000,000		74,981,733
White Pine Finance LLC
4.32%, 03/15/06(1)		46,000,000		45,997,334
4.32%, 07/17/06(1)		50,000,000		49,994,425
4.32%, 09/15/06(1)		46,000,000		45,995,122

17

MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Winston Funding Ltd. Series 2003-1 Class A1MA 4.26%, 01/23/06(1)	$	100,000,000	$	100,000,000
TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $4,137,312,209)				4,137,312,209
REPURCHASE AGREEMENTS – 17.29%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $100,045,556 (collateralized by U.S. Government obligations, value $102,000,001, 4.50% to 6.00%, 5/1/33 to 11/1/35).		100,000,000		100,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,000, 5.00%, 8/1/35 to 1/1/36).		40,000,000		40,000,000
Credit Suisse First Boston Inc. Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,801,003, 4.21% to 4.77%, 1/1/33 to 5/1/35).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,000, 4.25% to 5.19%, 4/1/34 to 9/1/35).		40,000,000		40,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $250,122,222 (collateralized by non-U.S. Government debt securities, value $262,500,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)		250,000,000		250,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,801,409, 2.84% to 5.50%, 4/1/23 to 12/1/35).		40,000,000		40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,993,464, 2.73% to 4.58%, 5/15/07 to 9/25/35).(3)		100,000,000		100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,800,562, 3.15% to 7.41%, 11/1/11 to 6/1/44).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $150,073,167 (collateralized by non-U.S. Government debt securities, value $154,504,756, 4.50% to 8.00%, 12/31/06 to 6/1/25).(2)(3)		150,000,000		150,000,000
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,201,372, 4.00% to 6.00%, 10/25/11 to 5/25/34).		40,000,000		40,000,000
Morgan Stanley Tri-Party Repurchase Agreement, 4.45%, due 1/22/07, maturity value $250,123,611 (collateralized by non-U.S. Government debt securities, value $257,841,442, 0.00% to 10.00%, 1/1/06 to 12/31/35).(2)(3)		250,000,000		250,000,000
TOTAL REPURCHASE AGREEMENTS (Cost: $1,090,000,000)				1,090,000,000
TOTAL INVESTMENTS IN SECURITIES – 99.76% (Cost: $6,287,569,231)				6,287,569,231
Other Assets, Less Liabilities – 0.24%				15,013,769
NET ASSETS – 100.00%			$	6,302,583,000

⁽¹⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽²⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

⁽³⁾ The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

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

18

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
CERTIFICATES OF DEPOSIT – 3.57%
Credit Suisse First Boston NY
4.03%, 01/04/06	$	50,000,000	$	50,000,000
Fortis Bank NY
3.70%, 01/05/06		150,000,000		150,000,100
HBOS Treasury Services PLC
3.79%, 06/19/06		125,000,000		124,994,268
Svenska Handelsbanken NY
4.50%, 10/16/06		50,000,000		50,000,000
Toronto-Dominion Bank
3.94%, 07/10/06		35,000,000		35,000,000
TOTAL CERTIFICATES OF DEPOSIT (Cost: $409,994,368)				409,994,368
COMMERCIAL PAPER – 7.67%
Amstel Funding Corp.
3.91%, 02/15/06		50,000,000		49,750,195
CAFCO LLC
3.99%, 01/06/06		100,000,000		99,933,500
CC USA Inc.
3.76%, 01/23/06		50,000,000		49,879,889
4.23%, 04/21/06		45,000,000		44,413,087
Chesham Finance LLC
4.25%, 01/03/06		75,000,000		74,973,438
Ford Credit Floorplan Motown
4.02%, 01/03/06		64,000,000		63,978,560
Grampian Funding LLC
3.74%, 01/13/06		100,000,000		99,864,946
3.84%, 01/31/06		100,000,000		99,669,334
HSBC PLC
4.16%, 04/04/06		15,000,000		14,837,066
K2 USA LLC
3.85%, 02/07/06		41,000,000		40,833,597
Nordea North America Inc.
4.16%, 04/04/06		70,000,000		69,239,645
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		100,000,000		99,478,667
Sedna Finance Inc.
3.92%, 02/21/06		50,000,000		49,716,888
Sigma Finance Inc.
4.16%, 04/06/06		25,000,000		24,722,667
TOTAL COMMERCIAL PAPER (Cost: $881,291,479)				881,291,479
MEDIUM-TERM NOTES – 1.78%
K2 USA LLC
3.56%, 03/15/06(1)		85,000,000		85,000,000
3.57%, 03/16/06(1)		45,000,000		45,000,000
Sigma Finance Inc.
4.50%, 10/16/06(1)		75,000,000		75,000,000
TOTAL MEDIUM-TERM NOTES (Cost: $205,000,000)				205,000,000
TIME DEPOSITS – 6.97%
Regions Bank
4.02%, 01/03/06		100,571,000		100,571,000
Societe Generale
4.06%, 01/03/06		300,000,000		300,000,000
UBS AG
4.06%, 01/03/06		400,000,000		400,000,000
TOTAL TIME DEPOSITS (Cost: $800,571,000)				800,571,000
VARIABLE & FLOATING RATE NOTES – 52.13%
Allstate Life Global Funding II
4.36%, 12/08/06(1)		58,000,000		58,013,630
4.37%, 12/27/06(1)		110,000,000		110,000,000
4.39%, 01/12/07(1)		85,000,000		85,045,730
American Express Bank
4.33%, 07/19/06		85,000,000		85,000,000
ASIF Global Financing
4.34%, 08/11/06(1)		74,000,000		74,011,988
4.38%, 01/23/07(1)		75,000,000		74,996,257
4.55%, 05/30/06(1)		90,550,000		90,611,121
Bank of Nova Scotia
4.22%, 01/03/06		35,000,000		34,999,940
Banque Nationale de Paris
4.25%, 10/04/06		165,000,000		164,966,390
Bear Stearns Companies Inc. (The)
4.42%, 08/14/06(2)		200,000,000		200,000,000
Beta Finance Inc.
4.32%, 06/20/06(1)		68,000,000		67,996,814
4.33%, 04/25/06(1)		65,000,000		64,993,500
4.33%, 05/25/06(1)		65,000,000		64,997,329
4.33%, 05/26/06(1)		80,000,000		79,996,800
CC USA Inc.
4.32%, 05/22/06(1)		20,000,000		19,999,220
4.32%, 06/15/06(1)		95,000,000		94,995,680
4.33%, 05/25/06(1)		55,000,000		54,997,741
4.33%, 05/26/06(1)		30,000,000		29,998,800
4.33%, 06/26/06(1)		25,000,000		24,998,823
4.34%, 03/23/06(1)		50,000,000		50,000,100
4.35%, 07/14/06(1)		30,000,000		30,003,150
Citigroup Global Markets Holdings Inc.
4.33%, 08/01/06		500,000,000		500,000,000
DEPFA Bank PLC
4.50%, 12/15/06		50,000,000		50,000,000
Dexia Credit Local
4.33%, 08/30/06		65,000,000		64,991,381

19

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Dorada Finance Inc.
4.33%, 06/26/06(1)	$	110,000,000	$	109,994,788
Five Finance Inc.
4.32%, 09/15/06(1)		70,000,000		69,990,105
Goldman Sachs Group Inc. (The)
4.38%, 02/07/06(1)(2)		100,000,000		100,000,000
Greenwich Capital Holdings Inc.
4.30%, 03/09/06		50,000,000		50,000,000
4.32%, 02/10/06		35,000,000		35,000,000
4.32%, 02/13/06		35,000,000		35,000,000
Hartford Life Global Funding Trust
4.36%, 02/17/07		100,000,000		100,000,000
HBOS Treasury Services PLC
4.32%, 01/10/06		100,000,000		100,000,000
Holmes Financing PLC Series 2005-9 Class 1A
4.36%, 12/15/06(1)		100,000,000		100,000,000
HSBC Bank USA N.A.
4.39%, 05/04/06		20,000,000		20,005,480
ING USA Annuity & Life Insurance Funding Agreement
4.57%, 12/18/06(1)(2)		35,000,000		35,000,000
K2 USA LLC
4.32%, 01/19/06(1)		90,000,000		89,998,594
4.32%, 09/11/06(1)		100,000,000		99,989,630
4.33%, 05/25/06(1)		50,000,000		49,997,021
4.36%, 02/15/06(1)		25,000,000		25,000,700
4.40%, 01/20/06(1)		70,000,000		70,002,170
Leafs LLC
4.37%, 01/20/06(1)		74,891,436		74,891,436
4.37%, 12/20/06(1)		49,927,000		49,927,000
Links Finance LLC
4.32%, 01/20/06(1)		65,000,000		64,999,173
4.33%, 05/18/06(1)		50,000,000		49,996,220
Marshall & Ilsley Bank
4.47%, 02/20/06		50,000,000		50,008,200
Metropolitan Life Global Funding I
4.31%, 01/05/07(1)		100,000,000		100,000,000
Metropolitan Life Insurance Funding Agreement
4.30%, 07/25/06(1)(2)		50,000,000		50,000,000
Morgan Stanley
4.30%, 01/03/07		100,000,000		100,000,000
Natexis Banques Populaires
4.35%, 01/12/07(1)		125,000,000		125,000,000
National City Bank
4.26%, 01/06/06		35,000,000		34,999,853
Nationwide Building Society
4.33%, 01/05/07(1)		100,000,000		100,000,000
4.41%, 01/13/06(1)		100,000,000		100,002,300
4.58%, 10/27/06(1)		50,000,000		50,000,000
Permanent Financing PLC Series 8 Class 1A
4.32%, 06/12/06(1)		50,000,000		50,000,000
Principal Life Income Funding Trusts
4.30%, 11/13/06		50,000,000		49,998,355
Royal Bank of Scotland
4.23%, 04/05/06		100,000,000		99,989,880
4.32%, 06/27/06		50,000,000		49,996,359
4.33%, 08/30/06		200,000,000		199,974,176
Sedna Finance Inc.
4.33%, 01/10/06(1)		20,000,000		19,999,880
4.34%, 01/17/06(1)		35,000,000		34,999,673
4.34%, 09/20/06(1)		25,000,000		25,000,000
4.35%, 08/31/06(1)		25,000,000		24,998,336
Sigma Finance Inc.
4.33%, 08/15/06(1)		35,000,000		34,997,823
4.35%, 03/20/06(1)		35,000,000		35,000,560
Societe Generale
4.26%, 11/24/06(1)		45,000,000		45,000,000
4.30%, 06/13/06		55,000,000		54,994,995
Strips III LLC
4.43%, 07/24/06(1)(2)		30,741,246		30,741,246
Tango Finance Corp.
4.32%, 06/12/06(1)		100,000,000		99,995,540
4.32%, 09/11/06(1)		50,000,000		49,996,511
4.33%, 05/26/06(1)		30,000,000		29,998,188
4.33%, 06/21/06(1)		60,000,000		59,995,759
4.33%, 09/25/06(1)		70,000,000		69,992,342
Union Hamilton Special Funding LLC
4.50%, 06/21/06(1)		50,000,000		50,000,000
4.52%, 03/28/06(1)		100,000,000		100,000,000
US Bank N.A.
4.31%, 09/29/06		30,000,000		29,994,123
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A
4.37%, 01/25/06(1)		32,725,499		32,725,499
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM
4.37%, 01/25/06(1)		108,160,804		108,160,804
WhistleJacket Capital LLC
4.32%, 02/15/06(1)		30,000,000		29,999,048
4.33%, 07/28/06(1)		25,000,000		24,996,427
4.35%, 01/17/06(1)		40,000,000		39,999,976
White Pine Finance LLC
4.32%, 05/22/06(1)		50,000,000		49,996,615
4.32%, 09/15/06(1)		100,000,000		99,989,398
4.33%, 03/27/06(1)		30,000,000		29,998,490
4.34%, 01/13/06(1)		90,000,000		89,999,694
4.37%, 06/20/06(1)		25,000,000		25,003,300
TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $5,991,950,061)				5,991,950,061

20

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
REPURCHASE AGREEMENTS – 27.67%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 4.10%, due 1/3/06, maturity value $300,136,667 (collateralized by U.S. Government obligations, value $306,000,000, 4.40% to 5.50%, 4/1/25 to 12/1/35).	$	300,000,000	$	300,000,000
Bank of America Securities LLC Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $40,019,111 (collateralized by U.S. Government obligations, value $40,800,001, 4.25% to 6.00%, 4/1/34 to 9/1/35).		40,000,000		40,000,000
Bank of America Securities Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $400,191,111 (collateralized by non-U.S. Government debt securities, value $423,388,504, 2.75% to 9.88%, 5/15/06 to 11/1/25).(3)		400,000,000		400,000,000
Credit Suisse First Boston Tri-Party Repurchase Agreement, 4.25%, due 1/3/06, maturity value $40,018,889 (collateralized by U.S. Government obligations, value $40,800,700, 4.18% to 4.67%, 5/1/35).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $40,019,244 (collateralized by U.S. Government obligations, value $40,800,001, 4.25% to 6.00%, 4/1/34 to 9/1/35).		40,000,000		40,000,000
Goldman Sachs & Co. Tri-Party Repurchase Agreement, 4.33%, due 1/3/06, maturity value $1,000,481,111 (collateralized by U.S. Government obligations, value $1,020,000,000, 3.41% to 8.50%, 4/1/09 to 1/1/36).		1,000,000,000		1,000,000,000
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 4.40%, due 1/3/06, maturity value $400,195,556 (collateralized by non-U.S. Government debt securities, value $408,000,001, 0.00% to 10.00%, 1/1/06 to 12/31/35).(3)		400,000,000		400,000,000
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 4.29%, due 1/3/06, maturity value $40,019,067 (collateralized by U.S. Government obligations, value $40,802,922, 3.45% to 5.68%, 9/1/16 to 8/1/44).		40,000,000		40,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.30%, due 1/3/06, maturity value $225,107,500 (collateralized by non-U.S. Government debt securities, value $236,222,842, 0.01% to 9.03%, 10/25/06 to 7/15/25).(3)		225,000,000		225,000,000
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 4.35%, due 1/3/06, maturity value $100,048,333 (collateralized by non-U.S. Government debt securities, value $104,994,737, 1.83% to 5.10%, 5/15/07 to 1/27/20).(3)		100,000,000		100,000,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $15,607,280 (collateralized by U.S. Government obligations, value $15,913,440, 3.62% to 6.30%, 11/1/24 to 11/1/35).		15,600,000		15,600,000
Lehman Brothers Inc. Tri-Party Repurchase Agreement, 4.20%, due 1/3/06, maturity value $40,018,667 (collateralized by U.S. Government obligations, value $40,797,959, 3.74% to 7.27%, 6/1/07 to 12/1/35).		40,000,000		40,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.37%, due 6/28/06, maturity value $125,060,694 (collateralized by non-U.S. Government debt securities, value $129,204,388, 2.88% to 10.13%, 5/15/06 to 1/20/24).(2)(3)		125,000,000		125,000,000
Merrill Lynch & Co. Inc. Tri-Party Repurchase Agreement, 4.39%, due 6/28/06, maturity value $375,182,917 (collateralized by non-U.S. Government debt securities, value $386,251,598, 2.63% to 10.38%, 1/15/06 to 5/15/25).(2)(3)		375,000,000		375,000,000

21

PRIME MONEY MARKET MASTER PORTFOLIO

Schedule of Investments (Continued)

December 31, 2005

Security	Face Amount		Value
Merrill Lynch Government Securities Inc. Tri-Party Repurchase Agreement, 4.28%, due 1/3/06, maturity value $40,019,022 (collateralized by U.S. Government obligations, value $41,203,427, 4.00% to 5.00%, 3/25/16 to 10/25/29).	$	40,000,000	$	40,000,000
TOTAL REPURCHASE AGREEMENTS (Cost: $3,180,600,000)				3,180,600,000
TOTAL INVESTMENTS IN SECURITIES – 99.79% (Cost: $11,469,406,908)				11,469,406,908
Other Assets, Less Liabilities – 0.21%				23,979,992
NET ASSETS – 100.00%			$	11,493,386,900

⁽¹⁾ This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁽²⁾ The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

⁽³⁾ The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

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

22

TREASURY MONEY MARKET MASTER PORTFOLIO

Schedule of Investments

December 31, 2005

Security	Face Amount		Value
REPURCHASE AGREEMENTS – 99.98%
Banc of America Securities LLC Tri-Party Repurchase Agreement, 3.25%, due 1/3/06, maturity value $20,702,320 (collateralized by U.S. Government obligations, value $21,109,111, 3.88%, 5/15/09).	$	20,694,847	$	20,694,847
Credit Suisse First Boston Tri-Party Repurchase Agreement, 3.45%, due 1/3/06, maturity value $20,702,780 (collateralized by U.S. Government obligations, value $21,109,929, 4.13% to 4.50%, 5/15/15 to 11/15/15).		20,694,847		20,694,847
Goldman Sachs Group Inc. Tri-Party Repurchase Agreement, 3.30%, due 1/3/06, maturity value $20,702,435 (collateralized by U.S. Government obligations, value $21,109,656, 4.25%, 8/15/14).		20,694,847		20,694,847
JP Morgan Securities Inc. Tri-Party Repurchase Agreement, 3.25%, due 1/3/06, maturity value $20,702,320 (collateralized by U.S. Government obligations, value $21,114,565, 6.25% to 9.13%, 5/15/18 to 5/15/30).		20,694,847		20,694,847
Lehman Brothers Holdings Inc. Tri-Party Repurchase Agreement, 3.50%, due 1/3/06, maturity value $20,702,895 (collateralized by U.S. Government obligations, value $21,106,652, 1.50% to 8.00%, 1/31/06 to 8/15/28).		20,694,847		20,694,847
TOTAL REPURCHASE AGREEMENTS (Cost: $103,474,235)				103,474,235
TOTAL INVESTMENTS IN SECURITIES – 99.98% (Cost: $103,474,235)				103,474,235
Other Assets, Less Liabilities – 0.02%				19,262
NET ASSETS – 100.00%			$	103,493,497

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

23

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Unaudited)

December 31, 2005

Government Money Market Master Portfolio
Asset Type	Value		% of Net Assets
Repurchase Agreements	$	394,400,000	99.98	%
Other Net Assets		66,966	0.02
TOTAL	$	394,466,966	100.00	%
Money Market Master Portfolio
Asset Type	Value		% of Net Assets
Variable & Floating Rate Notes	$	4,137,312,209	65.64	%
Repurchase Agreements		1,090,000,000	17.29
Time Deposits		412,500,000	6.55
Commercial Paper		397,599,602	6.31
Certificates of Deposit		159,997,741	2.54
Medium-Term Notes		90,159,679	1.43
Other Net Assets		15,013,769	0.24
TOTAL	$	6,302,583,000	100.00	%
Prime Money Market Master Portfolio
Asset Type	Value		% of Net Assets
Variable & Floating Rate Notes	$	5,991,950,061	52.13	%
Repurchase Agreements		3,180,600,000	27.67
Commercial Paper		881,291,479	7.67
Time Deposits		800,571,000	6.97
Certificates of Deposit		409,994,368	3.57
Medium-Term Notes		205,000,000	1.78
Other Net Assets		23,979,992	0.21
TOTAL	$	11,493,386,900	100.00	%
Treasury Money Market Master Portfolio
Asset Type	Value		% of Net Assets
Repurchase Agreements	$	103,474,235	99.98	%
Other Net Assets		19,262	0.02
TOTAL	$	103,493,497	100.00	%

These tables are not part of the financial statements.

24

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005

	Government Money Market Master Portfolio			Money Market Master Portfolio			Prime Money Market Master Portfolio			Treasury Money Market Master Portfolio
ASSETS
Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1)	$	—		$	5,197,569,231		$	8,288,806,908		$	—
Repurchase agreements, at value and cost (Note 1)		394,400,000			1,090,000,000			3,180,600,000			103,474,235
Cash		2,501			3,268			3,428			—
Receivables:
Interest		93,774			15,549,343			24,973,966			19,262
Total Assets		394,496,275			6,303,121,842			11,494,384,302			103,493,497
LIABILITIES
Payables:
Investment advisory fees (Note 2)		29,309			538,842			997,402			—
Total Liabilities		29,309			538,842			997,402			—
NET ASSETS	$	394,466,966		$	6,302,583,000		$	11,493,386,900		$	103,493,497
STATEMENTS OF OPERATIONS For the Year Ended December 31, 2005
	Government Money Market Master Portfolio			Money Market Master Portfolio			Prime Money Market Master Portfolio			Treasury Money Market Master Portfolio
NET INVESTMENT INCOME
Interest from unaffiliated issuers	$	29,369,301		$	240,993,254		$	463,852,373		$	685,155
Total investment income		29,369,301			240,993,254			463,852,373			685,155
EXPENSES (Note 2)
Investment advisory fees		920,783			7,249,677			14,041,065			17,151
Total expenses		920,783			7,249,677			14,041,065			17,151
Less investment advisory fees waived		(799,065	)		(3,436,517	)		(3,035,058	)		(17,151	)
Net expenses		121,718			3,813,160			11,006,007			—
Net investment income		29,247,583			237,180,094			452,846,366			685,155
REALIZED GAIN (LOSS)
Net realized gain from sale of investments in unaffiliated issuers		—			35,169			9,750			—
Net realized gain		—			35,169			9,750			—
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	29,247,583		$	237,215,263		$	452,856,116		$	685,155

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

25

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS

	Government Money Market Master Portfolio						Money Market Master Portfolio
	For the year ended December 31, 2005			For the period September 1, 2004 (a)  to December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	29,247,583		$	2,579,922		$	237,180,094		$	75,589,172
Net realized gain (loss)		—			—			35,169			(3,023	)
Net increase in net assets resulting from operations		29,247,583			2,579,922			237,215,263			75,586,149
Interestholder transactions:
Contributions		7,564,992,045			448,400,000			58,641,619,347			27,939,964,264
Withdrawals		(7,648,995,142	)		(1,757,442	)		(58,107,077,434	)		(27,213,733,782	)
Net increase (decrease) in net assets resulting from interestholder transactions		(84,003,097	)		446,642,558			534,541,913			726,230,482
Increase (decrease) in net assets		(54,755,514	)		449,222,480			771,757,176			801,816,631
NET ASSETS:
Beginning of period		449,222,480			—			5,530,825,824			4,729,009,193
End of period	$	394,466,966		$	449,222,480		$	6,302,583,000		$	5,530,825,824
	Prime Money Market Master Portfolio						Treasury Money Market Master Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the period September 1, 2004 (a) to December 31, 2004
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	452,846,366		$	89,577,595		$	685,155		$	2,435
Net realized gain		9,750			58,161			—			—
Net increase in net assets resulting from operations		452,856,116			89,635,756			685,155			2,435
Interestholder transactions:
Contributions		79,992,322,542			29,953,898,444			219,416,585			400,000
Withdrawals		(81,445,952,186	)		(21,667,004,697	)		(117,010,598	)		(80	)
Net increase (decrease) in net assets resulting from interestholder transactions		(1,453,629,644	)		8,286,893,747			102,405,987			399,920
Increase (decrease) in net assets		(1,000,773,528	)		8,376,529,503			103,091,142			402,355
NET ASSETS:
Beginning of period		12,494,160,428			4,117,630,925			402,355			—
End of period	$	11,493,386,900		$	12,494,160,428		$	103,493,497		$	402,355

^(a) Commencement of operations.

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

26

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company organized as a Delaware statutory trust. As of December 31, 2005, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

These financial statements relate only to the Government Money Market, Money Market, Prime Money Market and Treasury Money Market Master Portfolios (each, a “Master Portfolio,” collectively, the “Master Portfolios”). The Government Money Market and Treasury Money Market Master Portfolios commenced operations on September 1, 2004.

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

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

SECURITY VALUATION

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

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Security transactions are accounted for on trade date. Interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premium and accrete discount using a constant yield to maturity method.

FEDERAL INCOME TAXES

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

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

It is intended that each Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other

27

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

requirements for such qualifications not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of December 31, 2005, the Master Portfolios’ costs of investments for federal income tax purposes were the same as for financial statement purposes.

REPURCHASE AGREEMENTS

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

2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Contract with the Master Portfolios, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.10% of the average daily net assets of each of the Master Portfolios, as compensation for investment advisory services. From time to time, BGFA may waive such fees in whole or in part. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance. For the year ended December 31, 2005, BGFA waived investment advisory fees of $799,065, $3,436,517, $3,035,058 and $17,151 for the Government Money Market, Money Market, Prime Money Market and Treasury Money Market Master Portfolios, respectively.

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

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

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

Certain officers and trustees of MIP are also officers of BGI. As of December 31, 2005, these officers of BGI collectively owned less than 1% of MIP’s outstanding beneficial interests.

28

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

3. FINANCIAL HIGHLIGHTS

Financial highlights for the Master Portfolios were as follows:

Master Portfolio	Year Ended December 31, 2005		Year Ended December 31, 2004		Year Ended December 31, 2003		Year Ended December 31, 2002		Year Ended December 31, 2001
Government Money Market
Ratio of expenses to average net assets(a)	0.03	%	0.00	%(b)	n/a		n/a		n/a
Ratio of expenses to average net assets prior to waived fees(a)	0.10	%	0.10	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets(a)	3.16	%	1.93	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets prior to waived fees(a)	3.09	%	1.83	%(b)	n/a		n/a		n/a
Total return	3.28	%	0.64	%(b)(c)	n/a		n/a		n/a
Money Market
Ratio of expenses to average net assets	0.05	%	0.05	%	0.10	%	0.10	%	0.10	%
Ratio of expenses to average net assets prior to waived fees	0.10	%	0.10	%	n/a		n/a		n/a
Ratio of net investment income to average net assets	3.27	%	1.40	%	1.15	%	1.80	%	3.66	%
Ratio of net investment income to average net assets prior to waived fees	3.22	%	1.35	%	n/a		n/a		n/a
Total return	3.28	%	1.39	%	1.16	%	1.84	%	4.23	%
Prime Money Market
Ratio of expenses to average net assets(a)	0.08	%	0.03	%	0.03	%(d)	n/a		n/a
Ratio of expenses to average net assets prior to waived fees(a)	0.10	%	0.10	%	0.10	%(d)	n/a		n/a
Ratio of net investment income to average net assets(a)	3.22	%	1.52	%	1.12	%(d)	n/a		n/a
Ratio of net investment income to average net assets prior to waived fees(a)	3.20	%	1.45	%	1.05	%(d)	n/a		n/a
Total return	3.26	%	1.40	%	0.80	%(c)(d)	n/a		n/a
Treasury Money Market
Ratio of expenses to average net assets(a)	0.00	%	0.00	%(b)	n/a		n/a		n/a
Ratio of expenses to average net assets prior to waived fees(a)	0.10	%	0.10	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets(a)	3.99	%	1.82	%(b)	n/a		n/a		n/a
Ratio of net investment income to average net assets prior to waived fees(a)	3.89	%	1.72	%(b)	n/a		n/a		n/a
Total return	3.20	%	0.61	%(b)(c)	n/a		n/a		n/a

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

^(b) For the period from September 1, 2004 (commencement of operations) to December 31, 2004.

^(c) Not annualized.

^(d) For the period from April 16, 2003 (commencement of operations) to December 31, 2003.

29

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the Government Money Market Master Portfolio, Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio, each a portfolio of Master Investment Portfolio (the “Master Portfolios”), at December 31, 2005, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods presented and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which include confirmation of securities at December 31, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

30

MASTER INVESTMENT PORTFOLIO

TRUSTEE INFORMATION — UNAUDITED

The Board of Trustees has responsibility for the overall management and operations of the Master Portfolios. The Trustees and Officers of Master Investment Portfolio (“MIP”) also serve as Trustees and Officers of Barclays Global Investors Funds (“BGIF”). Please see the Trustees Information for BGIF (found elsewhere in this report), for information regarding the Trustees and Officers of MIP.

Additional information about MIP’s Trustees may be found in Part B of each Master Portfolio’s Registration Statement, which is available without charge, upon request, by calling toll-free 1-877-244-1544.

31

Notes:

32

Notes:

33

Notes:

34

Item 2. Code of Ethics.

As of December 31, 2005, Barclays Global Investors Funds (the “Registrant”) had adopted a code of ethics that applies to persons appointed by the Registrant’s Board of Trustees as the Chief Executive Officer, President, Chief Financial Officer, Treasurer and/or Chief Accounting Officer, and any persons performing similar functions. For the year ended December 31, 2005, there were no amendments to any provision of this code of ethics, nor were there any waivers granted from any provision of this code of ethics. A copy of this code of ethics is filed with this Form N-CSR under Item 12(a)(1).

Item 3. Audit Committee Financial Expert.

The Registrant’s Board of Trustees has determined that the Registrant has more than one audit committee financial expert, as that term is defined under Item 3(b) and 3(c), serving on its audit committee. The audit committee financial experts serving on the Registrant’s audit committee are Mary G. F. Bitterman, Richard K. Lyons and Leo Soong, all of whom are independent, as that term is defined under Item 3(a)(2). Richard K. Lyons holds a PhD in Economics and qualifies as an audit committee financial expert through his many years of university-level (graduate) teaching of accounting and finance-related subjects, his many years of research in the same subjects (including mutual funds), and his extensive experience serving as independent director and as a member of various mutual fund audit committees.

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees – The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years, were $109,200 for the year ended December 31, 2004 and $114,660 for the year ended December 31, 2005.

(b) Audit-Related Fees – There were no fees billed for the fiscal years ended December 31, 2004 and December 31, 2005 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under (a) of this Item.

(c) Tax Fees – The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for the review of the Registrant’s tax returns and excise tax calculations, were $62,160 for the year ended December 31, 2004 and $65,280 for the year ended December 31, 2005.

(d) All Other Fees – There were no other fees billed for the fiscal years ended December 31, 2004 and 2005 for products and services provided by the principal accountant, other than the services reported in (a) through (c) of this Item.

(e) (1) The Registrant’s audit committee charter provides that the audit committee is responsible for the approval, prior to appointment, of the engagement of the principal accountant to annually audit and provide their opinion on the Registrant’s financial statements. The audit committee must also approve, prior to appointment, the engagement of the principal accountant to provide non-audit services to the Registrant or to any entity controlling, controlled by or under common control with the Registrant’s investment adviser (“Adviser Affiliate”) that provides ongoing services to the Registrant, if the engagement relates directly to the operations and financial reporting of the Registrant.

(2) There were no services described in (b) through (d) above (including services required to be approved by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X) that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) None of the hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the fiscal year ended December 31, 2005 were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees.

(g) The aggregate non-audit fees billed by the Registrant’s principal accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser, and any Adviser Affiliate that provides ongoing services to the Registrant for the fiscal years, were $643,692 for the fiscal year ended December 31, 2004 and $1,071,307 for the fiscal year ended December 31, 2005.

(h) The Registrant’s audit committee has considered whether the provision of non-audit services rendered to the Registrant’s investment adviser and any Adviser Affiliate that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if any, are compatible with maintaining the principal accountant’s independence, and has determined that the provision of these services do not compromise the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants

Not applicable to the Registrant.

Item 6. Schedule of Investments

Not applicable to the Registrant.

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

Not applicable to the Registrant.

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

Not applicable to the Registrant.

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

Not applicable to the Registrant.

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

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

Item 11. Controls and Procedures.

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

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

Item 12. Exhibits.

(a) (1) Code of Ethics for Senior Officers that is the subject of Item 2 is attached.

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

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

(b) Section 906 Certifications are attached.

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

Barclays Global Investors Funds
By:	/s/ Lee T. Kranefuss
	Lee T. Kranefuss, Chief Executive Officer
Date: March 7, 2006

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

By:	/s/ Lee T. Kranefuss
	Lee T. Kranefuss, Chief Executive Officer
Date: March 7, 2006
By:	/s/ Michael A. Latham
	Michael A. Latham, Chief Financial Officer
Date: March 7, 2006