BlackRock Asset Management Canada Limited. Annual Audited Financial Statements

Transcription

1 BlackRock Asset Management Canada Limited Annual Audited Financial Statements As at December 31, 2012

2 Table of Contents Statement of Net Assets as at December 31 Statement of Operations for the periods ended December 31 Statement of Changes in Net Assets for the periods ended December 31 Statement of Cash Flow for the periods ended December 31* Statement of Investment Portfolio as at December 31, 2012 Canadian Equity Index Funds BlackRock Canadian Equity Index Fund 3 BlackRock Canadian Equity Ex-Trusts Index Fund 10 BlackRock CDN MSCI Canada IMI Index Fund 12 U.S. Equity Funds BlackRock CDN US Equity Index Non-Taxable Fund 19 BlackRock CDN US Equity Index Plus Non-Taxable Fund 28 BlackRock CDN US Equity Index Hedged Non-Taxable Fund 37 BlackRock CDN US Equity Index Fund 40 BlackRock CDN US Alpha Tilts Non-Taxable Fund 49 BlackRock CDN US Alpha Tilts Hedged Non-Taxable Fund 54 BlackRock CDN Russell 3000 Index Non-Taxable Fund 57 Active Canadian Equity Funds BlackRock Active Canadian Equity Fund 89 BlackRock Active Canadian Equity Ex-Income Trusts Fund 94 BlackRock Active Canadian Equity DC Fund 99 BlackRock Active Canadian Equity Small Cap Fund 104 BlackRock Canada Alpha Advantage Fund 108 Canadian Bond Funds BlackRock Canada Universe Bond Index Fund 115 BlackRock Canada ex-bbb Universe Bond Index Fund 129 BlackRock Canada Real Return Bond Index Fund 138 BlackRock Canada Long Bond Index Fund 142 BlackRock Canada Long Government Bond Index Fund 150 BlackRock Canada All Government Bond Index Fund 155 BlackRock Canada Credit-Screened Bond Index Fund 161 BlackRock Canada CoreActive Universe Bond Fund 170 BlackRock Canada CorePlus Long Bond Fund 178 BlackRock Canada CorePlus Universe Bond Fund 186 BlackRock Canada Levered Long Bond Index Fund 197 BlackRock Canada Levered Real Return Bond Index Fund 200 Active Balanced Funds BlackRock Balanced Active Fund 242 Active Alternative Funds BlackRock CDN Global Market Selection Fund 245 Short Term Investment Funds BlackRock CDN Short Term Index Fund 249 International Equity Funds BlackRock CDN MSCI EAFE Equity Index Fund 253 BlackRock CDN MSCI EAFE Index Hedged Fund 267 BlackRock CDN MSCI ACWI ex-canada Index Fund 270 BlackRock CDN MSCI Emerging Markets Index Fund 273 BlackRock CDN MSCI EAFE Index Plus Fund 286 BlackRock CDN Global Equity Focus Fund 299 BlackRock CDN Global Developed Real Estate Index Fund 302 BlackRock CDN Global Infrastructure Equity Index Fund 308 BlackRock CDN Emerging Markets Fundamental Index Fund 312 Notes to Financial Statements 319 Auditor s Report 357 Balanced Index Funds BlackRock Balanced Moderate Index DC Fund 203 BlackRock Balanced Conservative Index DC Fund 206 BlackRock Balanced Aggressive Index DC Fund 209 BlackRock Canada LifePath Funds BlackRock CDN LifePath Retirement Index Fund I 212 BlackRock CDN LifePath Index 2010 Retirement Fund 215 BlackRock CDN LifePath 2015 Index Fund 218 BlackRock CDN LifePath 2020 Index Fund 221 BlackRock CDN LifePath 2025 Index Fund 224 BlackRock CDN LifePath 2030 Index Fund 227 BlackRock CDN LifePath 2035 Index Fund 230 BlackRock CDN LifePath 2040 Index Fund 233 BlackRock CDN LifePath 2045 Index Fund 236 BlackRock CDN LifePath 2050 Index Fund 239 * Applicable to BlackRock Canada Alpha Advantage Fund, BlackRock Canada CorePlus Long Bond Fund, and BlackRock Canada CorePlus Universe Bond Fund only. 2

3 BlackRock Canadian Equity Index Fund Statement of Net Assets As at December Assets Investments - at fair (Note 2) $ 4,096,874,281 $ 3,194,066,633 Cash 50,660,175 20,082,763 Margin due from brokers 7,384,419 4,827,610 Securities lending income receivable 79,487 17,538 Dividends and distributions from underlying trust units receivable 13,293,647 9,018,851 Accounts receivable from issue of units 80,392,330 6,171,372 Accounts receivable for investment sales - 4,840,920 4,248,684,339 3,239,025,687 Liabilities Operating expenses payable 137,818 96,247 Payables for redemption of units 19,042,571 4,007,665 Payables for investment purchases 74,707,796 15,687,455 93,888,185 19,791,367 Net Assets $ 4,154,796,154 $ 3,219,234,320 Net Assets per Class Class A $ 1,463,008,980 $ 1,063,323,780 Class D 2,691,787,174 2,155,910,540 $ 4,154,796,154 $ 3,219,234,320 Number of Units Issued and Outstanding (Note 8) Class A 25,654,009 19,991,357 Class D 113,019,328 97,045,007 Net Assets per Unit Class A $ $ Class D $ $ Investments at Cost $ 3,798,006,654 $ 3,047,137,735 Approved by BlackRock Asset Management Canada Limited, Manager of the Funds Eric Léveillé, Director Noel Archard, Director The accompanying notes are an integral part of the financial statements. 3

4 BlackRock Canadian Equity Index Fund Statement of Operations For the Years Ended December Revenue Dividend income and distributions from underlying trust units $ 108,488,070 $ 80,180,612 Interest income 168, ,700 Securities lending income 1,091, ,114 Net gain (loss) from futures contracts 1,521,206 (1,775,427) 111,269,200 78,794,999 Expenses Custodian fees 220, ,486 Fund accounting expenses 115, ,913 Unitholder communication s 2, Audit fees 23,138 25,171 Securities filing fees 62,820 49,139 Independent review committee fees 1,500 3,624 Other operating expenses 32,188 30, , ,681 Net Investment Income for the Year 110,810,545 78,388,318 Gain (Loss) on Investments Net realized gain (loss) on sale of investments (9,002,456) 41,433,378 Transaction s (Note 2,13) (414,924) (410,973) Net change in unrealized appreciation (depreciation) in of investments 151,938,729 (389,287,299) Net Gain (Loss) on Investments 142,521,349 (348,264,894) Increase (Decrease) in Net Assets from Operations $ 253,331,894 $ (269,876,576) Increase (Decrease) in Net Assets from Operations per Class Class A $ 83,769,101 $ (86,605,717) Class D 169,562,793 (183,270,859) $ 253,331,894 $ (269,876,576) Increase (Decrease) in Net Assets from Operations per Unit Class A $ 3.43 $ (4.71) Class D $ 1.64 $ (2.09) The accompanying notes are an integral part of the financial statements. 4

5 BlackRock Canadian Equity Index Fund Statement of Changes in Net Assets For the Years Ended December Fund Class A Class D Net Assets - Beginning of Year $ 3,219,234,320 $ 2,850,758,577 $ 1,063,323,780 $ 844,710,443 $ 2,155,910,540 $ 2,006,048,134 Increase (Decrease) in Net Assets from Operations 253,331,894 (269,876,576) 83,769,101 (86,605,717) 169,562,793 (183,270,859) Capital Transactions Proceeds from issue of units 1,383,460,449 1,215,967, ,620, ,222, ,839, ,745,414 Reinvestment of distributions 106,847, ,787,217 38,466,085 35,142,860 68,381,549 74,644,357 Redemption of units (701,230,509) (577,615,215) (452,704,478) (293,003,066) (248,526,031) (284,612,149) Net capital transactions 789,077, ,139, ,382, ,361, ,695, ,777,622 Distributions From net investment income (106,847,634) (74,947,371) (38,466,085) (25,290,516) (68,381,549) (49,656,855) From capital gains redemption in kind (Note 9) - (34,839,846) - (9,852,344) - (24,987,502) Total distributions (106,847,634) (109,787,217) (38,466,085) (35,142,860) (68,381,549) (74,644,357) Increase in Net Assets for the Year 935,561, ,475, ,685, ,613, ,876, ,862,406 Net Assets - End of Year $ 4,154,796,154 $ 3,219,234,320 $ 1,463,008,980 $ 1,063,323,780 $ 2,691,787,174 $ 2,155,910,540 The accompanying notes are an integral part of the financial statements. 5

6 BlackRock Canadian Equity Index Fund Canadian Common Stocks and Income Trusts Consumer Discretionary 4.6% Aimia, Inc. 471,340 6,327 7,004 Astral Media, Inc.-Class A 153,083 5,546 7,072 Canadian Tire Corp.-Class A 223,052 13,071 15,455 Cineplex, Inc. 169,935 3,689 5,404 Cogeco Cable, Inc. 61,687 2,384 2,342 Corus Entertainment, Inc.-Class B 219,029 4,275 5,379 Dollarama, Inc. 188,070 7,054 11,087 Dorel Industries, Inc.-Class B 70,808 2,232 2,542 Gildan Activewear, Inc. 303,069 7,474 10,989 Linamar Corp. 125,833 2,345 2,917 Magna International, Inc.-Class A 638,762 25,225 31,663 Martinrea International, Inc. 207,370 1,768 1,601 Quebecor, Inc.-Class B 123,849 3,791 4,785 Reitman s (Canada), Ltd.-Class A 145,110 2,265 1,743 RONA, Inc. 332,484 4,297 3,528 Shaw Communications, Inc.-Class B 1,007,743 19,321 22,987 Thomson Reuters Corp. 1,018,512 34,818 29,303 Tim Hortons, Inc. 422,296 16,691 20,604 Westport Innovations, Inc. 122,604 3,172 3, , ,632 Consumer Staples 2.7% Alimentation Couche Tard, Inc.- Class B 343,802 8,398 16,760 Cott Corp. 260,665 2,156 2,085 Empire Co., Ltd.-Class A 80,267 3,937 4,716 George Weston, Ltd. 129,898 9,136 9,166 Jean Coutu Group, Inc.-Class A 252,260 3,094 3,660 Loblaw Cos., Ltd. 277,493 11,162 11,616 Maple Leaf Foods, Inc. 207,146 2,378 2,471 Metro, Inc.-Class A 266,166 10,729 16,830 North West Co., Inc. 132,472 2,525 2,964 Saputo, Inc. 345,318 11,333 17,335 Shoppers Drug Mart Corp. 563,014 23,379 24,046 88, ,649 Energy 24.9% Advantage Oil & Gas, Ltd. 462,428 3,719 1,466 AltaGas, Ltd. 286,532 7,567 9,599 ARC Resources, Ltd. 842,120 19,529 20,438 Athabasca Oil Corp. 852,256 11,938 8,889 Bankers Petroleum, Ltd. 692,806 4,591 2,217 Baytex Energy Corp. 331,973 11,903 14,222 Birchcliff Energy, Ltd. 264,082 2,756 1,960 Black Pearl Resources, Inc. 727,072 2,796 2,189 Bonavista Energy Corp. 477,966 11,181 7,055 Bonterra Energy Corp. 41,755 2,365 1,893 Calfrac Well Services, Ltd. 89,389 2,258 2,223 Cameco Corp. 1,082,752 26,773 21,168 Canadian Natural Resources, Ltd. 2,997,320 92,416 85,813 Canadian Oil Sands, Ltd. 1,234,171 34,059 24,869 Energy (continued) Celtic Exploration, Ltd. 240,542 3,788 6,309 Cenovus Energy, Inc. 2,069,926 60,455 68,908 Crescent Point Energy Corp. 1,017,750 39,270 38,166 Crew Energy, Inc. 331,706 4,072 2,140 Enbridge Income Fund, Inc. 111,869 2,588 2,684 Enbridge, Inc. 2,190,565 58,741 94,194 Encana Corp. 2,016,603 51,819 39,525 Enerflex, Ltd. 212,718 2,385 2,533 Enerplus Corp. 542,602 16,707 6,945 Ensign Resource Service Group, Inc. 342,757 5,156 5,248 Freehold Royalties, Ltd. 132,019 2,406 2,940 Gibson Energy, Inc. 326,965 7,111 7,837 Husky Energy, Inc. 806,887 21,606 23,714 Imperial Oil, Ltd. 696,403 28,463 29,757 Inter Pipeline Fund 748,181 10,131 17,567 Keyera Corp. 212,054 6,743 10,401 Legacy Oil + Gas, Inc. 349,373 4,378 2,383 MEG Energy Corp. 331,616 15,208 10,088 Mullen Group, Ltd. 239,171 4,910 4,996 Nexen, Inc. 1,451,506 31,073 38,567 Niko Resources, Ltd. 173,178 8,069 1,839 Pacific Rubiales Energy Corp. 808,541 15,680 18,645 Paramount Resources, Ltd.-Class A 103,340 3,088 3,300 Parkland Fuel Corp. 184,822 2,415 3,486 Pason Systems, Inc. 177,421 2,370 3,032 Pembina Pipeline Corp. 798,115 16,994 22,690 Pengrowth Energy Corp. 1,393,721 17,390 6,857 Penn West Petroleum, Ltd. 1,312,426 30,944 14,135 Petrobakken Energy, Ltd. 248,763 5,478 2,550 Petrobank Energy & Resources, Ltd. 250,681 4,383 3,108 Petrominerales, Ltd. 235,421 5,940 2,011 Peyto Exploration & Development Corp. 386,373 7,134 8,852 Precision Drilling Corp. 643,295 7,427 5,269 Savanna Energy Services Corp. 234,691 2,374 1,676 Secure Energy Services, Inc. 237,496 2,396 2,339 ShawCor, Ltd.-Class A 159,601 4,283 6,210 Suncor Energy, Inc. 4,193, , ,138 Talisman Energy, Inc. 2,827,492 42,113 31,724 Tourmaline Oil Corp. 372,466 10,902 11,595 TransCanada Corp. 1,930,668 72,351 90,683 Transglobe Energy Corp. 202,072 2,688 1,881 Trican Well Service, Ltd. 401,082 5,904 5,258 Trilogy Energy Corp. 156,419 3,668 4,542 Trinidad Drilling, Ltd. 331,054 2,630 2,264 Uranium One, Inc. 1,232,293 6,882 2,884 Veresen, Inc. 540,018 6,736 6,351 Vermilion Energy, Inc. 270,772 10,791 14,031 Whitecap Resources, Inc. 348,025 2,930 3,007 1,052,073 1,036,260 The accompanying notes are an integral part of the financial statements. 6

7 BlackRock Canadian Equity Index Fund Financials 32.1% AGF Management, Ltd.-Class B 190,058 3,268 1,882 Allied Properties Real Estate Investment Trust-REIT 175,012 4,186 5,767 Artis Real Estate Investment Trust- REIT 301,959 3,982 4,723 Bank of Montreal 1,782,260 97, ,379 Bank of Nova Scotia 3,244, , ,283 Boardwalk REIT 107,417 4,129 6,908 Brookfield Asset Management, Inc.- Class A 1,539,102 42,578 55,869 Brookfield Properties Co. 690,311 11,227 11,652 Calloway REIT 266,466 5,862 7,701 Canadian Apartment Properties REIT 275,338 4,818 6,823 Canadian Imperial Bank of Commerce 1,107,819 78,473 88,581 Canadian REIT 186,499 5,653 8,064 Canadian Western Bank 214,491 5,021 6,092 Chartwell Seniors Housing REIT 468,552 3,717 5,088 CI Financial Corp. 402,870 8,822 10,019 Cominar REIT 312,270 6,558 7,042 Crombie Real Estate Investment Trust-REIT 139,204 2,067 2,053 Davis & Henderson Income Corp. 162,221 2,937 3,486 Dundee Corp.-Class A 107,741 1,971 3,299 Dundee REIT 265,856 8,214 9,948 Extendicare Inc. 234,543 1,891 1,794 fax Financial, Ltd. 54,407 18,656 19,315 First Capital Realty, Inc. 231,584 3,778 4,351 FirstService Corp. 69,978 1,650 1,959 Genworth MI Canada, Inc. 113,541 2,721 2,563 Granite Real Estate, Inc. 128,260 4,577 4,838 Great-West Lifeco, Inc. 702,853 17,154 17,065 H&R REIT 531,000 10,536 12,797 Home Capital Group, Inc. 86,402 3,466 5,099 IGM Financial, Inc. 262,836 10,819 10,931 Industrial Alliance Insurance and Financial Services, Inc. 248,183 7,239 7,776 Intact Financial Corp. 365,165 17,313 23,612 Itemus, Inc. 14, Laurentian Bank of Canada 77,006 3,167 3,404 Manulife Financial Corp. 4,987,880 99,408 67,237 National Bank of Canada 443,367 27,064 34,184 Northern Property Real Estate Investment Trust-REIT 87,512 2,838 2,700 Onex Corp. 241,860 7,020 10,122 Power Corp. of Canada 945,849 25,339 23,920 Power Financial Corp. 640,033 18,254 17,409 Primaris Retail REIT 267,823 4,932 7,194 RioCan REIT 812,528 17,201 22,344 Royal Bank of Canada 3,958, , ,751 Sun Life Financial, Inc. 1,634,712 50,085 43,058 Financials (continued) TMX Group, Ltd. 63,269 3,002 3,208 Toronto-Dominion Bank 2,514, , ,362 1,173,794 1,333,652 Health Care 1.8% Catamaran Corp. 561,822 18,156 26,198 CML HealthCare, Inc. 246,760 2,970 1,639 Nordion, Inc. 170,177 2,001 1,087 Valeant Pharmaceuticals International, Inc. 781,185 27,147 46,277 50,274 75,201 Industrials 5.9% Black Diamond Group, Ltd. 95,847 2,123 1,917 Bombardier, Inc.-Class B 4,085,227 20,703 15,320 CAE, Inc. 709,725 6,817 7,140 Canadian National Railway Co. 1,181,762 70, ,701 Canadian Pacific Railway, Ltd. 407,384 23,993 41,052 Chorus Aviation, Inc. 303,068 1,478 1,155 Finning International, Inc. 470,801 10,231 11,563 Genivar, Inc. 95,044 2,168 1,873 Progressive Waste Solutions, Ltd. 315,391 6,232 6,762 Russel Metals, Inc. 164,747 3,567 4,539 SNC-Lavalin Group, Inc. 413,643 16,687 16,657 Stantec, Inc. 125,638 3,446 4,973 Superior Plus, Inc. 306,692 3,727 3,131 Toromont Industries, Ltd. 209,055 3,502 4,397 Transcontinental, Inc.-Class A 182,071 2,623 2,021 TransForce, Inc. 220,381 2,557 4,372 Wajax Corp. 45,871 2,153 1,862 Westjet Airlines, Ltd. 344,511 4,836 6,773 Westshore Terminals Investment Corp. 174,880 3,240 4, , ,010 Information Technology 1.5% Celestica, Inc. 448,582 4,818 3,616 CGI Group, Inc.-Class A 750,308 12,935 17,197 Constellation Software, Inc. 31,922 3,339 3,807 MacDonald Dettwiler & Associates, Ltd. 87,213 3,522 4,879 Open Text Corp. 160,154 7,220 8,869 Otsuka Corp. 1,066,672 10,967 8,480 Research In Motion, Ltd. 1,134,068 51,348 13,359 Wi-Lan, Inc. 333,150 2,156 1,506 96,305 61,713 Materials 18.2% Aecon Group, Inc. 153,290 2,027 1,625 Agnico-Eagle Mines, Ltd. 469,902 23,510 24,444 Agrium, Inc. 408,925 27,119 40,541 Alacer Gold Corp. 623,186 5,097 3,228 The accompanying notes are an integral part of the financial statements. 7

8 BlackRock Canadian Equity Index Fund Materials (continued) Alamos Gold, Inc. 330,625 4,374 5,756 Argonaut Gold, Inc. 255,542 2,210 2,407 Aurizon Mines, Ltd. 451,563 2,450 1,540 B2Gold Corp. 969,973 3,359 3,424 Banro Corp. 552,598 2,545 1,525 Barrick Gold Corp. 2,740, ,795 95,121 Canexus Corp. 336,430 2,349 2,843 Canfor Corp. 234,572 2,516 3,884 Capstone Mining Corp. 826,854 2,956 1,984 CCL Industries-Class B 69,380 2,025 2,949 Centerra Gold, Inc. 433,732 5,787 4,021 China Gold International Resources Corp., Ltd. 662,205 3,136 2,251 Colossus Minerals, Inc. 291,576 2,165 1,332 Detour Gold Corp. 320,692 7,504 7,982 Dundee Precious Metals, Inc. 265,087 2,422 2,237 Eldorado Gold Corp. 1,954,942 23,629 24,965 Endeavour Silver Corp. 236,991 1,999 1,851 First Majestic Silver Corp. 317,828 5,059 6,350 First Quantum Minerals, Ltd. 1,304,484 20,884 28,516 Fortuna Silver Mines, Inc. 344,042 1,904 1,428 Franco-Nevada Corp. 401,341 14,892 22,772 Gabriel Resources, Ltd. 573,984 2,845 1,332 Gammon Gold, Inc. 773,061 6,940 6,270 Goldcorp, Inc. 2,221,692 86,407 80,825 Harry Winston Diamond Corp. 218,464 2,839 3,032 Hudbay Minerals, Inc. 470,980 5,738 4,710 Iamgold Corp. 1,031,050 13,493 11,713 Inmet Mining Corp. 140,581 7,375 10,403 Kinross Gold Corp. 3,121,577 41,265 29,967 Kirkland Lake Gold, Inc. 171,483 2, Labrador Iron Ore Royalty Corp. 175,276 4,400 6,015 Lundin Mining Corp. 1,390,373 7,818 7,077 Major Drilling Group International 216,797 2,786 2,116 Methanex Corp. 257,363 6,074 8,133 Nevsun Resources, Ltd. 544,713 2,773 2,299 New Gold, Inc. 1,267,624 9,857 13,893 Novagold Resources, Inc. 614,026 4,831 2,745 OceanaGold Corp. 722,046 2,337 2,022 Pan American Silver Corp. 417,248 9,657 7,757 Potash Corp. of Saskatchewan 2,359,441 88,797 95,274 Premier Gold Mines, Ltd. 407,817 2,349 1,709 Pretium Resources, Inc. 197,338 3,176 2,587 Rio Alto Mining, Ltd. 440,607 2,287 2,238 Rubicon Minerals Corp. 787,799 3,263 1,993 SEMAFO, Inc. 748,388 4,491 2,545 Sherritt International Corp. 811,759 6,626 4,611 Silver Standard Resources, Inc. 221,110 4,497 3,255 Silver Wheaton Corp. 970,286 22,226 34,717 Materials (continued) Silvercorp Metals, Inc. 467,724 3,242 2,362 Sino-Forest Corp.-Class A 164,849 2,221 - Tahoe Resources, Inc. 227,229 4,080 4,131 Taseko Mines, Ltd. 521,996 2,182 1,566 Teck Resources, Ltd. 1,316,047 42,123 47,443 Thompson Creek Metals Co., Inc. 421,143 4,284 1,731 Torex Gold Resources, Inc. 1,654,257 3,330 3,590 Turquoise Hill Resources, Ltd. 963,607 12,635 7,227 West Fraser Timber Co., Ltd. 86,716 3,770 6,071 Yamana Gold, Inc. 2,058,047 25,443 35, , ,402 Telecommunication Services 5.0% BCE, Inc. 2,121,303 74,359 90,368 Bell Aliant, Inc. 349,402 9,879 9,196 Manitoba Telecom Services, Inc. 183,439 6,673 5,954 Rogers Communications, Inc.- Class B 1,001,896 33,139 45,226 Tee-Com Electronics, Inc. 75, TELUS Corp. 892,320 40,377 58, , ,780 Utilities 1.9% Algonquin Power & Utilities Corp. 379,912 2,437 2,595 Atco, Ltd.-Class I 105,490 5,414 8,469 Atlantic Power Corp. 326,812 4,542 3,696 Canadian Utilities, Ltd.-Class A 164,844 8,218 11,813 Capital Power Corp. 190,655 4,820 4,334 Emera, Inc. 341,465 9,169 11,835 Fortis, Inc. 522,133 14,998 17,820 Just Energy Group, Inc. 383,485 5,186 3,639 Northland Power, Inc. 206,242 3,095 3,849 TransAlta Corp. 697,490 14,624 10,525 72,503 78,575 Total Canadian Common Stocks and Income Trusts 3,799,012 4,096,874 Transaction Costs (Note 2) (1,005) Total Investments 3,798,007 4,096,874 Other Assets and Liabilities 1.4% 57,922 Net Assets 4,154,796 The accompanying notes are an integral part of the financial statements. 8

9 BlackRock Canadian Equity Index Fund Portfolio Concentration (as a percentage of Net Assets) As at December 31, 2012 As at December 31, 2011 Portfolio by Category (%) (%) Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Other Assets and Liabilities Open futures contracts held by the Fund as at December 31, 2012 are shown in Note 4. The accompanying notes are an integral part of the financial statements. 9

10 BlackRock Canadian Equity Ex-Trusts Index Fund (Note 1) Statement of Net Assets As at December Assets Investments - at fair (Note 2) $ - $ 84,375,703 Cash 679, ,323 Margin due from brokers 14, ,589 Securities lending income receivable 1, Dividends and distributions from underlying trust units receivable 220, ,136 Accounts receivable from issue of units - 129,341 Accounts receivable for investment sales 74,707, ,490 75,624,182 85,348,750 Liabilities Operating expenses payable 22,507 25,735 Payables for redemption of units 75,601,675 - Payables for investment purchases - 180,303 75,624, ,038 Net Assets $ - $ 85,142,712 Number of Units Issued and Outstanding (Note 8) - 1,608,394 Net Assets per Unit $ - $ Investments at Cost $ - $ 81,157,339 Approved by BlackRock Asset Management Canada Limited, Manager of the Funds Eric Léveillé, Director Noel Archard, Director The accompanying notes are an integral part of the financial statements. 10

11 BlackRock Canadian Equity Ex-Trusts Index Fund (Note 1) Statement of Operations For the Years Ended December Revenue Dividend income and distributions from underlying trust units $ 2,223,397 $ 2,574,318 Interest income 2,954 3,262 Securities lending income 20,655 4,862 Net gain (loss) from futures contracts 52,362 (14,887) 2,299,368 2,567,555 Expenses Custodian fees 39,219 34,928 Fund accounting expenses 30,021 30,891 Unitholder communication s Audit fees 17,139 17,931 Securities filing fees 1,251 1,459 Independent review committee fees Other operating expenses 2,742 4,499 90,418 90,425 Net Investment Income for the Year 2,208,950 2,477,130 Gain (Loss) on Investments Net realized gain on sale of investments 6,449,450 14,865,281 Transaction s (Note 2,13) (13,334) (37,886) Net change in unrealized depreciation in of investments (3,218,364) (22,191,804) Net Gain (Loss) on Investments 3,217,752 (7,364,409) Increase (Decrease) in Net Assets from Operations $ 5,426,702 $ (4,887,279) Increase (Decrease) in Net Assets from Operations per Unit $ 3.87 $ (2.76) Statement of Changes in Net Assets For the Years Ended December Net Assets - Beginning of Year $ 85,142,712 $ 147,283,229 Increase (Decrease) in Net Assets from Operations 5,426,702 (4,887,279) Capital Transactions Proceeds from issue of units 5,233,935 8,511,709 Reinvestment of distributions 2,448,815 2,587,988 Redemption of units (95,803,349) (65,764,947) Net capital transactions (88,120,599) (54,665,250) Distributions From net investment income (2,448,815) (2,587,988) Total distributions (2,448,815) (2,587,988) Decrease in Net Assets for the Year (85,142,712) (62,140,517) Net Assets - End of Year $ - $ 85,142,712 The accompanying notes are an integral part of the financial statements. 11

12 BlackRock CDN MSCI Canada IMI Index Fund Statement of Net Assets As at December Assets Investments - at fair (Note 2) $ 1,126,581,432 $ 955,247,430 Cash 11,723,603 2,383,994 Margin due from brokers 932, ,223 Securities lending income receivable 23,892 4,804 Dividends and distributions from underlying trust units receivable 3,394,365 2,517,979 Accounts receivable from issue of units 7,610 8,002,050 Accounts receivable for investment sales 22,104,693 17,861,974 1,164,767, ,886,454 Liabilities Operating expenses payable 31,551 28,416 Payables for redemption of units 26,666,000 23,991,000 Payables for investment purchases 413, ,994 27,110,651 24,165,410 Net Assets $ 1,137,657,061 $ 962,721,044 Number of Units Issued and Outstanding (Note 8) 101,453,485 91,420,665 Net Assets per Unit $ $ Investments at Cost $ 1,093,597,521 $ 962,105,221 Approved by BlackRock Asset Management Canada Limited, Manager of the Funds Eric Léveillé, Director Noel Archard, Director The accompanying notes are an integral part of the financial statements. 12

13 BlackRock CDN MSCI Canada IMI Index Fund Statement of Operations For the Years Ended December Revenue Dividend income and distributions from underlying trust units $ 30,286,481 $ 28,438,219 Interest income 50,132 26,087 Securities lending income 271,028 73,588 Net gain (loss) from futures contracts 626,263 (74,342) Foreign exchange gain 7,201 17,342 31,241,105 28,480,894 Expenses Custodian fees 63,307 75,272 Fund accounting expenses 53,031 57,808 Unitholder communication s Audit fees 14,121 15,291 Securities filing fees 18,075 21,541 Independent review committee fees 504 1,200 Other operating expenses 5,623 7, , ,312 Net Investment Income for the Year 31,086,444 28,301,582 Gain (Loss) on Investments Net realized gain on sale of investments 2,502,278 43,299,051 Transaction s (Note 2,13) (48,264) (115,906) Net change in unrealized appreciation (depreciation) in of investments 39,841,702 (184,957,888) Net Gain (Loss) on Investments 42,295,716 (141,774,743) Increase (Decrease) in Net Assets from Operations $ 73,382,160 $ (113,473,161) Increase (Decrease) in Net Assets from Operations per Unit $ 0.74 $ (1.11) Statement of Changes in Net Assets For the Years Ended December Net Assets - Beginning of Year $ 962,721,044 $ 1,338,597,379 Increase (Decrease) in Net Assets from Operations 73,382,160 (113,473,161) Capital Transactions Proceeds from issue of units 198,501, ,385,476 Reinvestment of distributions 40,773,535 73,415,163 Redemption of units (96,947,565) (440,788,650) Net capital transactions 142,327,392 (188,988,011) Distributions From net investment income (30,209,951) (28,298,605) From capital gains (10,563,584) (45,116,558) Total distributions (40,773,535) (73,415,163) Increase (Decrease) in Net Assets for the Year 174,936,017 (375,876,335) Net Assets - End of Year $ 1,137,657,061 $ 962,721,044 The accompanying notes are an integral part of the financial statements. 13

14 BlackRock CDN MSCI Canada IMI Index Fund Canadian Common Stocks and Income Trusts Consumer Discretionary 4.8% Aimia, Inc. 133,212 1,478 1,979 Astral Media, Inc.-Class A 41,119 1,492 1,900 Brick, Ltd. 40, Canadian Tire Corp.-Class A 60,304 3,514 4,178 Cineplex, Inc. 47,613 1,108 1,514 Cogeco Cable, Inc. 12, Corus Entertainment, Inc.-Class B 62,203 1,248 1,528 Dollarama, Inc. 54,234 2,006 3,197 Dorel Industries, Inc.-Class B 19, EnerCare, Inc. 44, Gildan Activewear, Inc. 89,295 2,260 3,238 Great Canadian Gaming Corp. 37, Linamar Corp. 37, Magna International, Inc.-Class A 171,379 5,605 8,495 Martinrea International, Inc. 57, Quebecor, Inc.-Class B 33,865 1,024 1,309 Reitman s (Canada), Ltd.-Class A 38, RONA, Inc. 95,764 1,330 1,016 Sears Canada, Inc. 20, Shaw Communications, Inc.-Class B 291,777 6,185 6,655 Thomson Reuters Corp. 286,965 9,496 8,256 Tim Hortons, Inc. 119,720 4,470 5,841 Westport Innovations, Inc. 36, ,647 54,150 Consumer Staples 2.9% Alimentation Couche Tard, Inc.- Class B 98,155 2,696 4,785 Alliance Grain Traders, Inc. 11, Atrium Innovations, Inc. 21, Cott Corp. 73, Empire Co., Ltd.-Class A 23,478 1,176 1,379 George Weston, Ltd. 39,649 2,607 2,798 Jean Coutu Group, Inc.-Class A 71, ,032 Liquor Stores N.A., Ltd. 15, Loblaw Cos., Ltd. 87,011 3,029 3,642 Maple Leaf Foods, Inc. 76, Metro, Inc.-Class A 75,268 3,210 4,759 North West Co., Inc. 37, Premium Brands Corp. 13, Saputo, Inc. 99,432 3,308 4,992 Shoppers Drug Mart Corp. 160,470 6,762 6,854 26,865 33,501 Energy 25.9% Advantage Oil & Gas, Ltd. 128, AltaGas, Ltd. 80,679 1,947 2,703 Angle Energy, Inc. 58, ARC Resources, Ltd. 225,036 5,406 5,462 Athabasca Oil Corp. 247,171 3,465 2,578 Energy (continued) Bankers Petroleum, Ltd. 194,573 1, Baytex Energy Corp. 92,976 3,238 3,983 Bellatrix Exploration, Ltd. 81, Birchcliff Energy, Ltd. 75, Black Pearl Resources, Inc. 218, Bonavista Energy Corp. 128,407 3,117 1,895 Bonterra Energy Corp. 12, C&C Energia, Ltd. 31, Calfrac Well Services, Ltd. 25, Cameco Corp. 305,484 8,859 5,972 Canacol Energy, Ltd. 47, Canadian Energy Services & Technology Corp. 36, Canadian Natural Resources, Ltd. 845,721 29,328 24,213 Canadian Oil Sands, Ltd. 374,363 10,124 7,543 Canyon Services Group, Inc. 37, Celtic Exploration, Ltd. 69, ,822 Cenovus Energy, Inc. 583,674 16,770 19,431 Cequence Energy, Ltd. 99, Connacher Oil and Gas, Ltd. 335, Crescent Point Energy Corp. 268,478 10,810 10,068 Crew Energy, Inc. 78, Deethree Exploration, Ltd. 48, Denison Mines Corp. 250, Enbridge Income Fund, Inc. 24, Enbridge, Inc. 584,873 16,738 25,150 Encana Corp. 568,773 16,238 11,148 Enerflex, Ltd. 60, Enerplus Corp. 152,394 3,462 1,951 Ensign Resource Service Group, Inc. 100,820 1,467 1,544 borne Energy, Ltd. 60, Freehold Royalties, Ltd. 38, Gibson Energy, Inc. 77,461 1,554 1,857 Husky Energy, Inc. 265,540 7,157 7,804 Imperial Oil, Ltd. 229,173 9,336 9,793 Ithaca Energy, Inc. 198, Keyera Corp. 59,624 2,087 2,925 Legacy Oil + Gas, Inc. 100,754 1, Long Run Exploration, Ltd. 67, Longview Oil Corp. 19, MEG Energy Corp. 110,528 4,709 3,362 Mullen Group, Ltd. 62,819 1,082 1,312 Nexen, Inc. 409,419 9,063 10,878 Niko Resources, Ltd. 37,760 2, NuVista Energy, Ltd. 62, Pace Oil and Gas, Ltd. 34, Pacific Rubiales Energy Corp. 227,879 4,685 5,255 Paramount Resources, Ltd.-Class A 36, ,172 Parex Resources, Inc. 83, The accompanying notes are an integral part of the financial statements. 14

15 BlackRock CDN MSCI Canada IMI Index Fund Energy (continued) Parkland Fuel Corp. 50, Pason Systems, Inc. 50, Pembina Pipeline Corp. 223,071 4,474 6,342 Pengrowth Energy Corp. 385,001 4,700 1,894 Penn West Petroleum, Ltd. 365,534 6,607 3,937 Petrobakken Energy, Ltd. 57,316 1, Petrobank Energy & Resources, Ltd. 71,756 1, Petrominerales, Ltd. 66,815 1, Peyto Exploration & Development Corp. 105,728 1,840 2,422 Poseidon Concepts Corp. 56, Precision Drilling Corp. 181,743 1,427 1,488 Savanna Energy Services Corp. 65, Secure Energy Services, Inc. 79, ShawCor, Ltd.-Class A 44,445 1,289 1,729 Southern Pacific Resource Corp. 311, SouthGobi Resources, Ltd. 61, Spartan Oil Corp. 57, Suncor Energy, Inc. 1,193,601 41,623 39,031 Surge Energy, Inc. 54, Tag Oil, Ltd. 40, Talisman Energy, Inc. 797,192 13,514 8,944 Total Energy Services, Inc. 23, Tourmaline Oil Corp. 101,758 3,009 3,168 TransCanada Corp. 544,103 20,633 25,557 Transglobe Energy Corp. 55, Trican Well Service, Ltd. 113,378 1,545 1,486 Trilogy Energy Corp. 42, ,233 Trinidad Drilling, Ltd. 93, Twin Butte Energy, Ltd. 159, Uranium One, Inc. 373,305 1, Veresen, Inc. 150,499 2,132 1,770 Vermilion Energy, Inc. 72,303 2,729 3,747 Western Energy Services Corp. 40, Whitecap Resources, Inc. 94, Zargon Oil & Gas, Ltd. 21, , ,860 Financials 31.4% AGF Management, Ltd.-Class B 63,006 1, Alaris Royalty Corp. 14, Allied Properties Real Estate Investment Trust-REIT 22, Artis Real Estate Investment Trust- REIT 41, Bank of Montreal 499,639 28,125 30,383 Bank of Nova Scotia 885,107 44,744 50,823 Boardwalk REIT 18, ,174 Brookfield Asset Management, Inc.- Class A 429,956 11,360 15,607 Financials (continued) Brookfield Properties Co. 214,204 3,180 3,616 Calloway REIT 41, ,199 Canaccord Capital, Inc. 66, Canadian Apartment Properties REIT 35, Canadian Imperial Bank of Commerce 313,369 22,210 25,057 Canadian REIT 26, ,142 Canadian Western Bank 60,273 1,473 1,712 Chartwell Seniors Housing REIT 65, CI Financial Corp. 120,500 2,500 2,997 Cominar REIT 47, ,065 Crombie Real Estate Investment Trust-REIT 17, Davis & Henderson Income Corp. 46, Dundee Corp.-Class A 32, Dundee International Real Estate Investment Trust-REIT 18, Dundee REIT 37,085 1,055 1,388 Element Financial Corp. 63, Extendicare Inc. 65, First Capital Realty, Inc. 70,975 1,101 1,334 FirstService Corp. 21, Genworth MI Canada, Inc. 30, Gluskin Sheff + Associates, Inc. 12, GMP Capital, Inc. 43, Granite Real Estate, Inc. 17, Great-West Lifeco, Inc. 220,196 5,420 5,346 H&R REIT 70,345 1,619 1,695 Home Capital Group, Inc. 25,523 1,124 1,506 IGM Financial, Inc. 78,880 3,397 3,281 Industrial Alliance Insurance and Financial Services, Inc. 70,071 2,094 2,195 Innvest Real Estate Investment Trust-REIT 34, Intact Financial Corp. 100,102 4,581 6,473 Killam Properties, Inc. 36, Laurentian Bank of Canada 21, Mainstreet Equity Corp. 3, Manulife Financial Corp. 1,401,609 22,304 18,894 Morguard Real Estate Investment Trust-REIT 21, National Bank of Canada 125,060 7,993 9,642 Northern Property Real Estate Investment Trust-REIT 12, Northwest Healthcare Properties Real Estate Investment Trust-REIT 13, Onex Corp. 71,118 1,999 2,976 Power Corp. of Canada 269,990 7,168 6,828 Power Financial Corp. 191,542 5,467 5,210 Primaris Retail REIT 33, The accompanying notes are an integral part of the financial statements. 15

16 BlackRock CDN MSCI Canada IMI Index Fund Financials (continued) RioCan REIT 109,347 2,145 3,007 Royal Bank of Canada 1,115,364 60,562 66,710 Sprott, Inc. 40, Sun Life Financial, Inc. 458,877 12,264 12,087 TMX Group, Ltd. 14, Toronto-Dominion Bank 705,759 49,960 59,037 Uranium Participation Corp. 81, , ,431 Health Care 1.9% Catamaran Corp. 158,243 5,180 7,379 CML HealthCare, Inc. 69, Leisureworld Senior Care Corp. 22, Medical Facilities Corp. 21, Paladin Labs, Inc. 10, Valeant Pharmaceuticals International, Inc. 222,964 6,733 13,208 13,582 22,044 Industrials 6.4% AG Growth International, Inc. 9, Alexco Resource Corp. 44, ATS Automation Tooling Systems, Inc. 67, Bird Construction, Inc. 30, Black Diamond Group, Ltd. 28, Bombardier, Inc.-Class B 1,113,276 4,964 4,175 CAE, Inc. 200,157 1,837 2,014 Canadian National Railway Co. 335,799 21,904 30,319 Canadian Pacific Railway, Ltd. 132,612 8,259 13,363 Churchill Corp. 16, Exchange Income Corp. 2, Finning International, Inc. 132,889 2,517 3,264 Genivar, Inc. 27, Morneau Shepell, Inc. 34, Newalta, Inc. 38, Progressive Waste Solutions, Ltd. 88,953 1,720 1,907 Ritchie Bros. Auctioneers, Inc. 70,086 1,626 1,449 Russel Metals, Inc. 46, ,283 SNC-Lavalin Group, Inc. 116,730 5,552 4,701 Stantec, Inc. 35,425 1,035 1,402 Student Transportation, Inc. 52, Superior Plus, Inc. 87,054 1, Toromont Industries, Ltd. 59, ,242 Transcontinental, Inc.-Class A 50, TransForce, Inc. 59, ,183 Wajax Corp. 13, Westshore Terminals Investment Corp. 28, ,310 73,193 Information Technology 1.4% 5N Plus, Inc. 44, Celestica, Inc. 126,964 1,093 1,023 CGI Group, Inc.-Class A 157,660 2,506 3,613 EXFO, Inc. 19, MacDonald Dettwiler & Associates, Ltd. 24,656 1,093 1,379 Open Text Corp. 45,171 2,036 2,502 Otsuka Corp. 299,778 2,910 2,383 Research In Motion, Ltd. 364,614 18,474 4,295 Sandvine Corp. 110, Sierra Wireless, Inc. 20, Wi-Lan, Inc. 93, ,250 16,144 Materials 19.6% Aecon Group, Inc. 42, Agnico-Eagle Mines, Ltd. 132,254 7,809 6,880 Agrium, Inc. 115,344 8,240 11,435 Alacer Gold Corp. 175,527 1, Alamos Gold, Inc. 92,777 1,360 1,615 Argonaut Gold, Inc. 97, Augusta Resource Corp. 70, Aurizon Mines, Ltd. 126, Avalon Rare Metals, Inc. 77, B2Gold Corp. 270, Banro Corp. 156, Barrick Gold Corp. 772,778 33,956 26,823 Belo Sun Mining Corp. 203, Canexus Corp. 97, Canfor Corp. 72, ,199 Canfor Pulp Products, Inc. 27, Capstone Mining Corp. 233, Cascades, Inc. 52, Centerra Gold, Inc. 128,195 1,580 1,188 China Gold International Resources Corp., Ltd. 119, Colossus Minerals, Inc. 81, Continental Gold, Ltd. 70, Copper Mountain Mining Corp. 74, Detour Gold Corp. 87,149 2,024 2,169 Dundee Precious Metals, Inc. 76, Eastern Platinum, Ltd. 735, Eldorado Gold Corp. 523,357 7,478 6,683 Endeavour Mining Corp. 300, Endeavour Silver Corp. 77, First Majestic Silver Corp. 89,281 1,218 1,784 First Quantum Minerals, Ltd. 367,990 6,273 8,044 Fortress Paper, Ltd. 9, Fortuna Silver Mines, Inc. 93, Franco-Nevada Corp. 112,005 3,849 6,355 The accompanying notes are an integral part of the financial statements. 16

17 BlackRock CDN MSCI Canada IMI Index Fund Materials (continued) Gabriel Resources, Ltd. 218, Gammon Gold, Inc. 218,179 2,166 1,769 Goldcorp, Inc. 626,069 27,498 22,776 Golden Star Resources, Ltd. 204, Great Basin Gold, Ltd. 452, Guyana Goldfields, Inc. 72, Harry Winston Diamond Corp. 58, Hudbay Minerals, Inc. 133,179 1,714 1,332 Iamgold Corp. 290,792 5,079 3,303 Imperial Metals Corp. 34, Inmet Mining Corp. 40,227 2,378 2,977 International Tower Hill Mines, Ltd. 62, Katanga Mining, Ltd. 432, Keegan Resources, Inc. 59, Kinross Gold Corp. 880,165 13,017 8,450 Kirkland Lake Gold, Inc. 48, Lake Shore Gold Corp. 305, Lundin Mining Corp. 405,872 1,845 2,066 MAG Silver Corp. 34, Major Drilling Group International 60, Methanex Corp. 72,577 1,697 2,293 Midas Gold Corp. 55, Nevsun Resources, Ltd. 153, New Gold, Inc. 357,129 2,319 3,914 NGEx Resources, Inc. 107, Norbord, Inc. 17, North American Palladium, Ltd. 121, Northern Dynasty Minerals, Ltd. 53, Novagold Resources, Inc. 170,824 1, OceanaGold Corp. 212, Orbite Aluminae, Inc. 138, Pan American Silver Corp. 117,697 2,763 2,188 Potash Corp. of Saskatchewan 663,634 28,618 26,798 Premier Gold Mines, Ltd. 116, Pretium Resources, Inc. 56, Primero Mining Corp. 51, Queenston Mining, Inc. 54, Rainy River Resources, Ltd. 69, Romarco Minerals, Inc. 447, Rubicon Minerals Corp. 216, Sabina Gold & Silver Corp. 113, San Gold Corp. 243, Seabridge Gold, Inc. 24, SEMAFO, Inc. 208,227 1, Sherritt International Corp. 231,312 1,382 1,314 Silver Standard Resources, Inc. 62,988 1, Silver Wheaton Corp. 273,374 5,940 9,781 Silvercorp Metals, Inc. 130, Sino-Forest Corp.-Class A 184,987 3,360 - Materials (continued) Sprott Resource Corp. 69, Tahoe Resources, Inc. 66,793 1,079 1,214 Tanzanian Royalty Exploration Corp. 72, Taseko Mines, Ltd. 148, Teck Resources, Ltd. 445,383 17,202 16,056 Thompson Creek Metals Co., Inc. 128,433 1, Timmins Gold Corp. 98, Torex Gold Resources, Inc. 458, Turquoise Hill Resources, Ltd. 309,808 4,155 2,324 Veris Gold Corp. 50, West Fraser Timber Co., Ltd. 26,359 1,031 1,845 Yamana Gold, Inc. 580,003 7,829 9, , ,446 Telecommunication Services 2.9% BCE, Inc. 197,293 6,214 8,405 Bell Aliant, Inc. 58,200 1,653 1,532 Manitoba Telecom Services, Inc. 51,208 1,689 1,662 Rogers Communications, Inc.- Class B 295,566 9,822 13,342 TELUS Corp. 116,508 4,643 7,525 24,021 32,466 Utilities 1.8% Algonquin Power & Utilities Corp. 115, Alterra Power Corp. 242, Atco, Ltd.-Class I 29,435 1,545 2,363 Atlantic Power Corp. 93,155 1,227 1,054 Boralex, Inc. 15, Canadian Utilities, Ltd.-Class A 43,886 2,155 3,145 Capital Power Corp. 53,617 1,243 1,219 Capstone Infrastructure Corp. 55, Fortis, Inc. 146,812 4,378 5,011 Innergex Renewable Energy, Inc. 72, Just Energy Group, Inc. 108,593 1,497 1,030 Northland Power, Inc. 61, ,153 TransAlta Corp. 192,654 3,957 2,907 Valener, Inc. 28, ,355 20,346 Total Canadian Common Stocks and Income Trusts 1,093,693 1,126,581 Transaction Costs (Note 2) (95) Total Investments 1,093,598 1,126,581 Other Assets and Liabilities 1.0% 11,076 Net Assets 1,137,657 The accompanying notes are an integral part of the financial statements. 17

18 BlackRock CDN MSCI Canada IMI Index Fund Portfolio Concentration (as a percentage of Net Assets) As at December 31, 2012 As at December 31, 2011 Portfolio by Category (%) (%) Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Other Assets and Liabilities Open futures contracts held by the Fund as at December 31, 2012 are shown in Note 4. The accompanying notes are an integral part of the financial statements. 18

19 BlackRock CDN US Equity Index Non-Taxable Fund Statement of Net Assets As at December Assets Investments - at fair * (Note 2) $ 4,244,818,475 $ 3,592,084,972 Cash 44,300,178 76,784,504 Margin due from brokers 1,600,964 - Securities lending income receivable 8, Dividends receivable 4,981,513 5,428,233 Tax reclaim on dividends receivable 224,991 72,836 Accounts receivable from issue of units 23,853,860 23,796,644 Accounts receivable for investment sales 628, ,901 4,320,416,852 3,698,743,987 Liabilities Margin due to brokers - 313,471 Operating expenses payable 80,592 64,224 Payables for redemption of units 3,860,223 12,353,838 3,940,815 12,731,533 Net Assets $ 4,316,476,037 $ 3,686,012,454 Net Assets per Class Class A $ 3,510,671,630 $ 3,193,175,920 Class D 805,804, ,836,534 $ 4,316,476,037 $ 3,686,012,454 Number of Units Issued and Outstanding (Note 8) Class A 349,733, ,962,356 Class D 46,073,247 31,974,733 Net Assets per Unit Class A $ $ 8.85 Class D $ $ Investments at Cost* $ 3,820,184,551 $ 3,542,311,735 * Includes short-term investments Approved by BlackRock Asset Management Canada Limited, Manager of the Funds Eric Léveillé, Director Noel Archard, Director The accompanying notes are an integral part of the financial statements. 19

20 BlackRock CDN US Equity Index Non-Taxable Fund Statement of Operations For the Years Ended December Revenue Dividend income $ 98,435,908 $ 83,032,459 Interest income* 111,810 17,268 Securities lending income 53, ,964 Net gain from futures contracts 11,992,253 1,088,797 Foreign exchange gain (loss) (56,514) 3,099,768 Withholding taxes (52,312) - 110,484,367 87,366,256 Expenses Custodian fees 193, ,125 Fund accounting expenses 122, ,300 Unitholder communication s 2, Audit fees 23,307 25,363 Securities filing fees 68,256 86,788 Independent review committee fees 1,738 4,107 Other operating expenses 11,985 8, , ,059 Net Investment Income for the Year 110,061,125 86,927,197 Gain on Investments Net realized gain on sale of investments 15,939,543 2,892,351 Transaction s (Note 2,13) (92,950) (85,433) Net change in unrealized appreciation in of investments 374,767,568 89,208,217 Net Gain on Investments 390,614,161 92,015,135 Increase in Net Assets from Operations $ 500,675,286 $ 178,942,332 Increase in Net Assets from Operations per Class Class A $ 425,113,511 $ 156,934,996 Class D 75,561,775 22,007,336 $ 500,675,286 $ 178,942,332 Increase in Net Assets from Operations per Unit Class A $ 1.20 $ 0.43 Class D $ 1.94 $ 0.77 * Interest Income, net of foreign exchange loss The accompanying notes are an integral part of the financial statements. 20

21 BlackRock CDN US Equity Index Non-Taxable Fund Statement of Changes in Net Assets For the Years Ended December Fund Class A Class D Net Assets - Beginning of Year $ 3,686,012,454 $ 3,644,437,776 $ 3,193,175,920 $ 3,264,925,448 $ 492,836,534 $ 379,512,328 Increase in Net Assets from Operations 500,675, ,942, ,113, ,934,996 75,561,775 22,007,336 Capital Transactions Proceeds from issue of units 495,495, ,246, ,351, ,014, ,144, ,231,458 Reinvestment of distributions 114,489, ,916,858 94,954,657 94,068,156 19,535,084 10,848,702 Redemption of units (365,707,389) (995,614,023) (301,969,092) (913,699,435) (63,738,297) (81,914,588) Net capital transactions 244,278,038 (32,450,796) (12,663,144) (134,616,368) 256,941, ,165,572 Distributions From net investment income (111,006,730) (86,324,542) (91,471,646) (75,475,840) (19,535,084) (10,848,702) From capital gains redemption in kind (Note 9) (3,483,011) (18,592,316) (3,483,011) (18,592,316) - Total distributions (114,489,741) (104,916,858) (94,954,657) (94,068,156) (19,535,084) (10,848,702) Increase (Decrease) in Net Assets for the Year 630,463,583 41,574, ,495,710 (71,749,528) 312,967, ,324,206 Net Assets - End of Year $ 4,316,476,037 $ 3,686,012,454 $ 3,510,671,630 $ 3,193,175,920 $ 805,804,407 $ 492,836,534 The accompanying notes are an integral part of the financial statements. 21

22 BlackRock CDN US Equity Index Non-Taxable Fund Par (000s)/ Short Term Investments Government Guaranteed 0.2% U.S. Treasury Bill 1.00% March 21, ,665 8,558 8,627 8,558 8,627 Total Short Term Investments 8,558 8,627 Common Stocks Consumer Discretionary 11.5% Abercrombie & Fitch Co.-Class A 26,951 1,522 1,287 Amazon.Com, Inc. 120,995 14,196 30,272 Apollo Group, Inc.-Class A 33,686 2, AutoNation, Inc. 13, AutoZone, Inc. 12,329 2,958 4,352 Beam, Inc. 53,110 3,206 3,230 Bed Bath & Beyond, Inc. 76,510 3,225 4,257 Best Buy Co., Inc. 89,081 3,547 1,050 Big Lots, Inc. 19, BorgWarner, Inc. 39,063 2,561 2,786 Cablevision Systems-NY Group A 71,969 2,358 1,071 CarMax, Inc. 76,371 1,920 2,855 Carnival Corp. 148,847 5,811 5,448 CBS Corp.-Class B 197,280 4,034 7,474 Chipotle Mexican Grill, Inc. 10,513 2,758 3,109 Coach, Inc. 94,707 3,721 5,236 Comcast Corp.-Class A 887,264 19,441 33,023 D.R. Horton, Inc. 93,180 1,774 1,833 Darden Restaurants, Inc. 42,917 1,682 1,926 Delphi Automotive PLC 98,579 3,544 3,753 DIRECTV 204,276 6,988 10,205 Discovery Communications-Class A 80,354 2,841 5,079 Dollar General Corp. 87,655 4,345 3,850 Dollar Tree, Inc. 75,836 3,263 3,063 Electrolux AB-Class B 103,259 3,354 1,493 Expedia, Inc. 31,054 1,515 1,900 Family Dollar Stores, Inc. 31,965 1,180 2,018 Ford Motor Co. 1,272,994 13,404 16,414 Fossil, Inc. 18,025 2,330 1,671 GameStop Corp.-Class A 40,337 1,510 1,007 Gannett Co., Inc. 76,664 2,487 1,374 Gap (The), Inc. 99,214 2,121 3,064 Garmin, Ltd. 36,428 1,522 1,480 Genuine Parts Co. 51,782 2,466 3,277 Goodyear Tire & Rubber Co. (The) 81,702 1,400 1,123 H&R Block, Inc. 90,523 1,937 1,673 Harley-Davidson, Inc. 75,526 2,988 3,674 Harman International Industries, Inc. 22,622 1,230 1,005 Hasbro, Inc. 38,578 1,328 1,378 Home Depot, Inc. 499,241 18,449 30,745 International Game Technology 88,767 2,069 1,252 Par (000s)/ Consumer Discretionary (continued) Interpublic Group of Cos., Inc. 143,937 1,621 1,581 JC Penney Co., Inc. 47,524 1, Johnson Controls, Inc. 228,288 6,645 6,972 Kohl s Corp. 70,631 3,914 3,023 Leggett & Platt, Inc. 47,130 1,070 1,278 Lennar Corp.-Class A 54,784 1,609 2,109 Lowe s Cos., Inc. 375,510 10,087 13,281 Ltd. Brands 79,897 1,981 3,744 Macy s, Inc. 131,956 3,347 5,127 Marriott International, Inc.-Class A 82,295 2,661 3,054 Mattel, Inc. 114,544 2,643 4,175 McDonald s Corp. 335,228 21,356 29,453 McGraw-Hill Cos. (The), Inc. 92,706 3,872 5,046 NetFlix, Inc. 18,535 3,128 1,711 Newell Rubbermaid, Inc. 95,977 1,959 2,128 News Corp.-Class A 673,220 10,741 17,113 Nike, Inc.-Class B 243,698 8,028 12,521 Nordstrom, Inc. 50,755 1,776 2,704 O Reilly Automotive, Inc. 38,676 1,851 3,444 Omnicom Group 88,190 3,878 4,388 PetSmart, Inc. 35,870 2,381 2,441 Priceline.Com, Inc. 16,649 4,787 10,297 Pulte Homes, Inc. 113,450 2,318 2,051 Ralph Lauren Corp. 20,459 1,934 3,054 Ross Stores, Inc. 74,233 2,030 4,002 Scripps Networks Interactive- Class A 29,001 1,242 1,673 Sherwin-Williams Co. (The) 28,568 1,969 4,375 Staples, Inc. 224,912 4,985 2,551 Starbucks Corp. 248,276 6,724 13,260 Starwood Hotels & Resorts Worldwide, Inc. 65,418 3,142 3,736 Target Corp. 217,289 11,499 12,800 Tiffany & Co. 39,771 1,845 2,271 Time Warner Cable 100,754 5,857 9,753 Time Warner, Inc. 316,143 12,971 15,056 TJX Cos., Inc. 243,478 4,666 10,291 Tripadvisor, Inc. 36,570 1,161 1,526 Urban Outfitters, Inc. 36,511 1,192 1,431 VF Corp. 29,419 2,454 4,422 Viacom, Inc.-Class B 154,111 7,407 8,094 Walt Disney Co. (The) 591,712 20,047 29,329 Washington Post Co. (The)-Class B 1, Whirlpool Corp. 25,985 2,015 2,634 Wyndham Worldwide Corp. 46,814 1,200 2,480 Wynn Resorts, Ltd. 26,522 2,086 2,968 Yum! Brands, Inc. 150,847 5,876 9, , ,282 The accompanying notes are an integral part of the financial statements. 22

23 BlackRock CDN US Equity Index Non-Taxable Fund Par (000s)/ Consumer Staples 10.3% Altria Group, Inc. 676,172 14,678 21,161 Archer-Daniels-Midland Co. 219,860 7,000 5,994 Avon Products, Inc. 144,220 4,426 2,064 Brown-Forman Corp.-Class B 50,590 2,061 3,184 Campbell Soup Co. 59,809 2,157 2,077 Clorox Co. 43,549 2,872 3,175 Coca-Cola Co. (The) 1,287,951 38,404 46,513 Coca-Cola Ent., Inc. 90,080 2,112 2,847 Colgate-Palmolive Co. 148,291 11,532 15,439 ConAgra Foods, Inc. 136,040 3,331 3,996 Constellation Brands, Inc.-Class A 50,535 1,156 1,781 Costco Wholesale Corp. 144,380 9,401 14,205 CVS Caremark Corp. 416,263 14,740 20,048 Dean Foods Co. 61,778 1,342 1,015 Dr Pepper Snapple Group, Inc. 69,464 2,072 3,055 Estee Lauder Cos. (The), Inc.-Class A 80,139 2,493 4,776 General Mills, Inc. 215,419 7,378 8,668 Hershey Co. (The) 49,919 2,527 3,590 HJ Heinz Co. 107,052 5,094 6,149 Hormel Foods Corp. 44, ,389 JM Smucker Co. (The) 36,204 2,072 3,109 Kellogg Co. 82,558 4,321 4,591 Kimberly-Clark Corp. 130,641 8,898 10,979 Kraft Foods Group, Inc. 197,786 6,496 8,951 Kroger Co. (The) 177,115 4,580 4,589 Lorillard, Inc. 43,213 3,587 5,019 McCormick & Co., Inc. 44,230 1,825 2,796 Mead Johnson Nutrition Co.-Class A 67,774 3,440 4,446 Molson Coors Brewing Co.-Class B 52,010 2,502 2,215 Mondelez International, Inc. 593,346 12,407 15,053 Monster Beverage Corp. 49,812 3,518 2,623 PepsiCo, Inc. 516,498 34,201 35,197 Philip Morris International, Inc. 557,806 29,457 46,460 Procter & Gamble Co. (The) 912,979 59,300 61,734 Reynolds American, Inc. 108,222 3,103 4,463 Safeway, Inc. 79,937 2,266 1,439 Sysco Corp. 196,237 6,071 6,186 Tyson Foods, Inc.-Class A 95,775 1,560 1,850 Wal-Mart Stores, Inc. 558,493 32,586 37,959 Walgreen Co. 286,829 11,428 10,576 Whole Foods Market, Inc. 57,600 3,144 5, , ,598 Energy 10.8% Anadarko Petroleum Corp. 166,860 9,904 12,348 Apache Corp. 130,640 12,293 10,208 Baker Hughes, Inc. 146,774 8,116 5,970 Cabot Oil & Gas Corp. 70,044 1,826 3,470 Par (000s)/ Energy (continued) Cameron International Corp. 82,360 3,532 4,629 Chesapeake Energy Corp. 173,041 5,093 2,862 Chevron Corp. 653,518 55,233 70,420 ConocoPhillips 405,315 20,184 23,411 Consol Energy, Inc. 76,023 3,494 2,430 Denbury Resources, Inc. 129,147 2,315 2,083 Devon Energy Corp. 125,746 9,146 6,516 Diamond Offshore Drilling, Inc. 23,195 1,837 1,570 Ensco PLC-Class A 77,543 4,391 4,575 EOG Resources, Inc. 90,441 8,230 10,876 Exxon Mobil Corp. 1,522, , ,274 FMC Technologies, Inc. 79,352 2,393 3,382 Halliburton Co. 309,832 10,271 10,705 Helmerich & Payne, Inc. 35,283 1,646 1,968 Hess Corp. 99,198 6,393 5,229 Kinder Morgan, Inc. 211,130 7,034 7,427 Marathon Oil Corp. 235,843 8,880 7,197 Marathon Petroleum Corp. 113,238 4,535 7,102 Murphy Oil Corp. 61,628 3,912 3,654 Nabors Industries, Ltd. 96,880 2,487 1,394 National Oilwell Varco, Inc. 142,532 7,400 9,703 Newfield Exploration Company 45,108 3,021 1,203 Noble Corp. 84,353 3,168 2,924 Noble Energy, Inc. 59,389 4,539 6,016 NRG Energy, Inc. 107,562 2,527 2,461 Occidental Petroleum Corp. 270,516 19,673 20,635 Peabody Energy Corp. 89,571 4,155 2,374 Phillips ,942 6,691 11,045 Pioneer Natural Resources Co. 41,138 2,540 4,367 QEP Resources, Inc. 59,435 1,969 1,791 Range Resources Corp. 54,285 2,791 3,396 Rowan Cos. PLC 41,432 1,328 1,290 Schlumberger, Ltd. 443,277 29,677 30,583 Southwestern Energy Co. 116,644 4,866 3,879 Spectra Energy Corp. 222,282 5,537 6,058 Tesoro Corp. 46,865 1,336 2,055 Valero Energy Corp. 184,799 6,141 6,274 Williams Cos., Inc. 224,962 5,950 7,331 WPX Energy, Inc. 66,432 1, , ,069 Financials 16.6% Aflac, Inc. 156,552 7,752 8,279 Allstate Corp. (The) 160,842 6,669 6,433 American Express Co. 325,072 14,613 18,605 American International Group, Inc. 492,924 37,339 17,325 American Tower Corp. REIT 131,998 5,976 10,152 Ameriprise Financial, Inc. 68,768 2,935 4,288 AON PLC 106,386 4,771 5,890 The accompanying notes are an integral part of the financial statements. 23