BlackRock Asset Management Canada Limited. Annual Audited Financial Statements

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BlackRock Asset Management

Canada Limited

Annual Audited Financial Statements

As at December 31, 2012

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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

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

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

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BlackRock Canadian Equity Index Fund

Statement of Net Assets — As at December 31

2012

2011

Assets

Investments - at fair value (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 $ 57.03 $ 53.19

Class D $ 23.82 $ 22.22

Investments at Cost $ 3,798,006,654 $ 3,047,137,735

Approved by BlackRock Asset Management Canada Limited, Manager of the Funds

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BlackRock Canadian Equity Index Fund

Statement of Operations — For the Years Ended December 31

2012

2011

Revenue

Dividend income and distributions from underlying trust units $ 108,488,070 $ 80,180,612

Interest income 168,545 135,700

Securities lending income 1,091,379 254,114

Net gain (loss) from futures contracts 1,521,206 (1,775,427)

111,269,200 78,794,999

Expenses

Custodian fees 220,936 190,486

Fund accounting expenses 115,959 106,913

Unitholder communication costs 2,114 601

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 30,747

458,655 406,681

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 costs (Note 2,13) (414,924) (410,973)

Net change in unrealized appreciation (depreciation) in value 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)

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BlackRock Canadian Equity Index Fund

Statement of Changes in Net Assets — For the Years Ended December 31

2012

2011

2012

2011

2012

2011

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 1,215,967,534 768,620,577 598,222,120 614,839,872 617,745,414 Reinvestment of distributions 106,847,634 109,787,217 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 789,077,574 748,139,536 354,382,184 340,361,914 434,695,390 407,777,622

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 935,561,834 368,475,743 399,685,200 218,613,337 535,876,634 149,862,406

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BlackRock Canadian Equity Index Fund

Statement of Investment Portfolio — As at December 31, 2012

Security Holdings Average cost Fair value (in $000s) (in $000s) 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 3,227 165,745 189,632

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 88,227 111,649

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

Security Holdings Average cost Fair value (in $000s) (in $000s) 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 Holdings, 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. 4,193,835 137,252 137,138 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

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BlackRock Canadian Equity Index Fund

Statement of Investment Portfolio — As at December 31, 2012

Security Holdings Average cost Fair value (in $000s) (in $000s) 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 97,248 108,379 Bank of Nova Scotia 3,244,212 156,482 186,283 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 Fairfax Financial Holdings, 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. 14,900 1

-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 3,958,382 190,029 236,751 Sun Life Financial, Inc. 1,634,712 50,085 43,058

Security Holdings Average cost Fair value (in $000s) (in $000s) Financials(continued) TMX Group, Ltd. 63,269 3,002 3,208 Toronto-Dominion Bank 2,514,784 168,441 210,362 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 70,901 106,701 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 4,802 190,984 247,010 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

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BlackRock Canadian Equity Index Fund

Statement of Investment Portfolio — As at December 31, 2012

Security Holdings Average cost Fair value (in $000s) (in $000s) 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. 2,740,447 111,795 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 2,510 998 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

Security Holdings Average cost Fair value (in $000s) (in $000s) 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 35,069 744,680 754,402

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. 75,600 - -TELUS Corp. 892,320 40,377 58,036 164,427 208,780

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

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BlackRock Canadian Equity Index Fund

Statement of Investment Portfolio — As at December 31, 2012

Portfolio Concentration

(as a percentage of Net Assets)

Portfolio by Category As at December 31, 2012 As at December 31, 2011 (%) (%) Consumer Discretionary 4.6 4.0 Consumer Staples 2.7 2.8 Energy 24.9 26.9 Financials 32.1 29.1 Health Care 1.8 1.1 Industrials 5.9 5.6 Information Technology 1.5 1.8 Materials 18.2 20.7 Telecommunication Services 5.0 5.2 Utilities 1.9 2.0

Other Assets and Liabilities 1.4 0.8 Open futures contracts held by the Fund as at December 31, 2012 are

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BlackRock Canadian Equity Ex-Trusts Index Fund (Note 1)

Statement of Net Assets — As at December 31

2012

2011

Assets

Investments - at fair value (Note 2) $ - $ 84,375,703

Cash 679,823 378,323

Margin due from brokers 14,780 102,589

Securities lending income receivable 1,450 168

Dividends and distributions from underlying trust units receivable 220,333 234,136

Accounts receivable from issue of units - 129,341

Accounts receivable for investment sales 74,707,796 128,490

75,624,182 85,348,750

Liabilities

Payables for redemption of units 75,601,675

-Payables for investment purchases - 180,303

75,624,182 206,038

Net Assets $ - $ 85,142,712

Number of Units Issued and Outstanding (Note 8) - 1,608,394

Net Assets per Unit $ - $ 52.94

Investments at Cost $ - $ 81,157,339

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BlackRock Canadian Equity Ex-Trusts Index Fund (Note 1)

Statement of Operations — For the Years Ended December 31

2012

2011

Revenue

Securities lending income 20,655 4,862

Net gain (loss) from futures contracts 52,362 (14,887)

2,299,368 2,567,555

Expenses

Unitholder communication costs - 601

Audit fees 17,139 17,931

Independent review committee fees 46 116

90,418 90,425

Net realized gain on sale of investments 6,449,450 14,865,281

Net change in unrealized depreciation in value of investments (3,218,364) (22,191,804)

Increase (Decrease) in Net Assets from Operations per Unit $ 3.87 $ (2.76)

Statement of Changes in Net Assets — For the Years Ended December 31

2012

2011

Net Assets - Beginning of Year $ 85,142,712 $ 147,283,229

Increase (Decrease) in Net Assets from Operations 5,426,702 (4,887,279)

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)

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BlackRock CDN MSCI Canada IMI Index Fund

Statement of Net Assets — As at December 31

2012

2011

Assets

Investments - at fair value (Note 2) $ 1,126,581,432 $ 955,247,430

Cash 11,723,603 2,383,994

Margin due from brokers 932,117 868,223

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

1,164,767,712 986,886,454

Liabilities

Payables for investment purchases 413,100 145,994

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 $ 11.21 $ 10.53

Investments at Cost $ 1,093,597,521 $ 962,105,221

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BlackRock CDN MSCI Canada IMI Index Fund

Statement of Operations — For the Years Ended December 31

2012

2011

Revenue

Net gain (loss) from futures contracts 626,263 (74,342)

Foreign exchange gain 7,201 17,342

31,241,105 28,480,894

Expenses

Unitholder communication costs - 601

Audit fees 14,121 15,291

Independent review committee fees 504 1,200

154,661 179,312

Net change in unrealized appreciation (depreciation) in value of investments 39,841,702 (184,957,888)

Increase (Decrease) in Net Assets from Operations per Unit $ 0.74 $ (1.11)

Statement of Changes in Net Assets — For the Years Ended December 31

2012

2011

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)

Proceeds from issue of units 198,501,422 178,385,476

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)

(14)

BlackRock CDN MSCI Canada IMI Index Fund

Statement of Investment Portfolio — As at December 31, 2012

Security Holdings Average cost Fair value (in $000s) (in $000s) Canadian Common Stocks and

Income Trusts

Aimia, Inc. 133,212 1,478 1,979

Astral Media, Inc.-Class A 41,119 1,492 1,900

Brick, Ltd. 40,860 160 219

Canadian Tire Corp.-Class A 60,304 3,514 4,178 Cineplex, Inc. 47,613 1,108 1,514 Cogeco Cable, Inc. 12,720 484 483 Corus Entertainment, Inc.-Class B 62,203 1,248 1,528 Dollarama, Inc. 54,234 2,006 3,197 Dorel Industries, Inc.-Class B 19,549 611 702

EnerCare, Inc. 44,217 287 360

Gildan Activewear, Inc. 89,295 2,260 3,238 Great Canadian Gaming Corp. 37,171 291 353

Linamar Corp. 37,532 605 870

Magna International, Inc.-Class A 171,379 5,605 8,495 Martinrea International, Inc. 57,332 462 443 Quebecor, Inc.-Class B 33,865 1,024 1,309 Reitman’s (Canada), Ltd.-Class A 38,055 625 457

RONA, Inc. 95,764 1,330 1,016

Sears Canada, Inc. 20,092 212 200 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. 36,359 694 957 45,647 54,150

Consumer Staples — 2.9%

Alimentation Couche Tard,

Inc.-Class B 98,155 2,696 4,785

Alliance Grain Traders, Inc. 11,966 335 155 Atrium Innovations, Inc. 21,558 307 254

Cott Corp. 73,233 607 586

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 71,114 716 1,032 Liquor Stores N.A., Ltd. 15,841 240 294 Loblaw Cos., Ltd. 87,011 3,029 3,642 Maple Leaf Foods, Inc. 76,486 849 912 Metro, Inc.-Class A 75,268 3,210 4,759 North West Co., Inc. 37,265 777 834 Premium Brands Holdings Corp. 13,171 246 225

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. 128,322 741 407 AltaGas, Ltd. 80,679 1,947 2,703 Angle Energy, Inc. 58,428 403 208 ARC Resources, Ltd. 225,036 5,406 5,462 Athabasca Oil Corp. 247,171 3,465 2,578

Security Holdings Average cost Fair value (in $000s) (in $000s) Energy(continued) Bankers Petroleum, Ltd. 194,573 1,038 623 Baytex Energy Corp. 92,976 3,238 3,983 Bellatrix Exploration, Ltd. 81,890 412 348 Birchcliff Energy, Ltd. 75,821 613 563 Black Pearl Resources, Inc. 218,395 652 657 Bonavista Energy Corp. 128,407 3,117 1,895 Bonterra Energy Corp. 12,154 454 551 C&C Energia, Ltd. 31,375 323 295 Calfrac Well Services, Ltd. 25,630 549 637 Cameco Corp. 305,484 8,859 5,972 Canacol Energy, Ltd. 47,218 305 145 Canadian Energy Services &

Technology Corp. 36,148 425 381 Canadian Natural Resources, Ltd. 845,721 29,328 24,213 Canadian Oil Sands, Ltd. 374,363 10,124 7,543 Canyon Services Group, Inc. 37,482 536 423 Celtic Exploration, Ltd. 69,471 995 1,822 Cenovus Energy, Inc. 583,674 16,770 19,431 Cequence Energy, Ltd. 99,100 270 141 Connacher Oil and Gas, Ltd. 335,801 338 60 Crescent Point Energy Corp. 268,478 10,810 10,068 Crew Energy, Inc. 78,914 960 509 Deethree Exploration, Ltd. 48,627 303 316 Denison Mines Corp. 250,097 323 305 Enbridge Income Fund Holdings, Inc. 24,853 473 596 Enbridge, Inc. 584,873 16,738 25,150 Encana Corp. 568,773 16,238 11,148

Enerflex, Ltd. 60,573 707 721

Enerplus Corp. 152,394 3,462 1,951 Ensign Resource Service Group, Inc. 100,820 1,467 1,544 Fairborne Energy, Ltd. 60,090 238 84 Freehold Royalties, Ltd. 38,210 769 851 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. 198,766 378 392

Keyera Corp. 59,624 2,087 2,925

Legacy Oil + Gas, Inc. 100,754 1,252 687 Long Run Exploration, Ltd. 67,365 470 327 Longview Oil Corp. 19,400 190 104 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 2,829 401 NuVista Energy, Ltd. 62,677 668 367 Pace Oil and Gas, Ltd. 34,804 244 113 Pacific Rubiales Energy Corp. 227,879 4,685 5,255 Paramount Resources, Ltd.-Class A 36,709 823 1,172 Parex Resources, Inc. 83,050 480 480

(15)

BlackRock CDN MSCI Canada IMI Index Fund

Statement of Investment Portfolio — As at December 31, 2012

Security Holdings Average cost Fair value (in $000s) (in $000s) Energy(continued)

Parkland Fuel Corp. 50,886 643 960 Pason Systems, Inc. 50,570 593 864 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 1,416 587 Petrobank Energy & Resources, Ltd. 71,756 1,644 890 Petrominerales, Ltd. 66,815 1,777 571 Peyto Exploration &

Development Corp. 105,728 1,840 2,422 Poseidon Concepts Corp. 56,951 815 80 Precision Drilling Corp. 181,743 1,427 1,488 Savanna Energy Services Corp. 65,193 441 465 Secure Energy Services, Inc. 79,104 634 779 ShawCor, Ltd.-Class A 44,445 1,289 1,729 Southern Pacific Resource Corp. 311,191 499 392 SouthGobi Resources, Ltd. 61,765 451 125 Spartan Oil Corp. 57,200 266 300 Suncor Energy, Inc. 1,193,601 41,623 39,031 Surge Energy, Inc. 54,521 435 299

Tag Oil, Ltd. 40,574 371 230

Talisman Energy, Inc. 797,192 13,514 8,944 Total Energy Services, Inc. 23,104 389 344 Tourmaline Oil Corp. 101,758 3,009 3,168 TransCanada Corp. 544,103 20,633 25,557 Transglobe Energy Corp. 55,524 743 517 Trican Well Service, Ltd. 113,378 1,545 1,486 Trilogy Energy Corp. 42,469 560 1,233 Trinidad Drilling, Ltd. 93,172 615 637 Twin Butte Energy, Ltd. 159,171 419 409 Uranium One, Inc. 373,305 1,101 874 Veresen, Inc. 150,499 2,132 1,770 Vermilion Energy, Inc. 72,303 2,729 3,747 Western Energy Services Corp. 40,174 307 280 Whitecap Resources, Inc. 94,282 796 815 Zargon Oil & Gas, Ltd. 21,713 424 181 310,664 294,860

Financials — 31.4%

AGF Management, Ltd.-Class B 63,006 1,051 624 Alaris Royalty Corp. 14,535 308 344 Allied Properties Real Estate

Investment Trust-REIT 22,870 481 753 Artis Real Estate Investment

Trust-REIT 41,714 479 652

Bank of Montreal 499,639 28,125 30,383 Bank of Nova Scotia 885,107 44,744 50,823

Boardwalk REIT 18,257 727 1,174

Brookfield Asset Management,

Inc.-Class A 429,956 11,360 15,607 Security Holdings Average cost Fair value (in $000s) (in $000s) Financials(continued)

Brookfield Properties Co. 214,204 3,180 3,616

Calloway REIT 41,490 862 1,199

Canaccord Capital, Inc. 66,159 625 441 Canadian Apartment Properties REIT 35,263 554 874 Canadian Imperial Bank of

Commerce 313,369 22,210 25,057

Canadian REIT 26,408 787 1,142

Canadian Western Bank 60,273 1,473 1,712 Chartwell Seniors Housing REIT 65,056 619 706 CI Financial Corp. 120,500 2,500 2,997

Cominar REIT 47,217 945 1,065

Crombie Real Estate Investment

Trust-REIT 17,947 256 265

Davis & Henderson Income Corp. 46,200 865 993 Dundee Corp.-Class A 32,158 498 985 Dundee International Real Estate

Investment Trust-REIT 18,509 178 201

Dundee REIT 37,085 1,055 1,388

Element Financial Corp. 63,872 361 452

Extendicare Inc. 65,158 571 498

First Capital Realty, Inc. 70,975 1,101 1,334 FirstService Corp. 21,318 473 597 Genworth MI Canada, Inc. 30,548 736 689 Gluskin Sheff + Associates, Inc. 12,554 220 186 GMP Capital, Inc. 43,073 466 251 Granite Real Estate, Inc. 17,818 655 672 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 34,524 211 143

Intact Financial Corp. 100,102 4,581 6,473 Killam Properties, Inc. 36,174 397 450 Laurentian Bank of Canada 21,946 969 970 Mainstreet Equity Corp. 3,422 111 113 Manulife Financial Corp. 1,401,609 22,304 18,894 Morguard Real Estate Investment

Trust-REIT 21,729 280 394

National Bank of Canada 125,060 7,993 9,642 Northern Property Real Estate

Investment Trust-REIT 12,147 296 375 Northwest Healthcare Properties

Real Estate Investment Trust-REIT 13,860 174 173

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 33,389 589 897

(16)

BlackRock CDN MSCI Canada IMI Index Fund

Statement of Investment Portfolio — As at December 31, 2012

Security Holdings Average cost Fair value (in $000s) (in $000s) Financials(continued) RioCan REIT 109,347 2,145 3,007

Royal Bank of Canada 1,115,364 60,562 66,710

Sprott, Inc. 40,270 196 158

Sun Life Financial, Inc. 458,877 12,264 12,087

TMX Group, Ltd. 14,814 664 751

Toronto-Dominion Bank 705,759 49,960 59,037 Uranium Participation Corp. 81,626 504 440 320,953 357,431

Health Care — 1.9%

Catamaran Corp. 158,243 5,180 7,379 CML HealthCare, Inc. 69,170 810 459 Leisureworld Senior Care Corp. 22,316 274 279 Medical Facilities Corp. 21,615 301 298 Paladin Labs, Inc. 10,140 284 421 Valeant Pharmaceuticals

International, Inc. 222,964 6,733 13,208 13,582 22,044

Industrials — 6.4%

AG Growth International, Inc. 9,580 334 299 Alexco Resource Corp. 44,877 349 159 ATS Automation Tooling Systems,

Inc. 67,326 488 589

Bird Construction, Inc. 30,714 368 405 Black Diamond Group, Ltd. 28,237 645 565 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. 16,408 278 143

Exchange Income Corp. 2,883 82 74 Finning International, Inc. 132,889 2,517 3,264

Genivar, Inc. 27,542 772 543

Morneau Shepell, Inc. 34,807 367 441

Newalta, Inc. 38,191 405 591

Progressive Waste Solutions, Ltd. 88,953 1,720 1,907 Ritchie Bros. Auctioneers, Inc. 70,086 1,626 1,449 Russel Metals, Inc. 46,573 915 1,283 SNC-Lavalin Group, Inc. 116,730 5,552 4,701 Stantec, Inc. 35,425 1,035 1,402 Student Transportation, Inc. 52,915 354 323 Superior Plus, Inc. 87,054 1,013 889 Toromont Industries, Ltd. 59,078 996 1,242 Transcontinental, Inc.-Class A 50,713 613 563 TransForce, Inc. 59,629 615 1,183

Wajax Corp. 13,039 463 529

Westshore Terminals Investment

Corp. 28,341 839 778 59,310 73,193 Security Holdings Average cost Fair value (in $000s) (in $000s) Information Technology — 1.4% 5N Plus, Inc. 44,397 234 117 Celestica, Inc. 126,964 1,093 1,023 CGI Group, Inc.-Class A 157,660 2,506 3,613

EXFO, Inc. 19,137 89 100

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. 110,443 164 145

Sierra Wireless, Inc. 20,992 199 165

Wi-Lan, Inc. 93,326 452 422

29,250 16,144

Aecon Group, Inc. 42,925 569 455 Agnico-Eagle Mines, Ltd. 132,254 7,809 6,880 Agrium, Inc. 115,344 8,240 11,435 Alacer Gold Corp. 175,527 1,220 909 Alamos Gold, Inc. 92,777 1,360 1,615 Argonaut Gold, Inc. 97,672 766 920 Augusta Resource Corp. 70,710 260 169 Aurizon Mines, Ltd. 126,292 686 431 Avalon Rare Metals, Inc. 77,177 386 105

B2Gold Corp. 270,308 633 954

Banro Corp. 156,609 589 432

Barrick Gold Corp. 772,778 33,956 26,823 Belo Sun Mining Corp. 203,641 350 324

Canexus Corp. 97,370 831 823

Canfor Corp. 72,373 637 1,199

Canfor Pulp Products, Inc. 27,205 474 276 Capstone Mining Corp. 233,516 648 560

Cascades, Inc. 52,166 391 213

Centerra Gold, Inc. 128,195 1,580 1,188 China Gold International Resources

Corp., Ltd. 119,486 510 406

Colossus Minerals, Inc. 81,161 556 371 Continental Gold, Ltd. 70,190 621 615 Copper Mountain Mining Corp. 74,483 527 291 Detour Gold Corp. 87,149 2,024 2,169 Dundee Precious Metals, Inc. 76,750 694 648 Eastern Platinum, Ltd. 735,128 700 118 Eldorado Gold Corp. 523,357 7,478 6,683 Endeavour Mining Corp. 300,535 751 613 Endeavour Silver Corp. 77,026 749 602 First Majestic Silver Corp. 89,281 1,218 1,784 First Quantum Minerals, Ltd. 367,990 6,273 8,044 Fortress Paper, Ltd. 9,721 325 78 Fortuna Silver Mines, Inc. 93,633 481 389 Franco-Nevada Corp. 112,005 3,849 6,355

(17)

BlackRock CDN MSCI Canada IMI Index Fund

Statement of Investment Portfolio — As at December 31, 2012

Security Holdings Average cost Fair value (in $000s) (in $000s) Materials(continued) Gabriel Resources, Ltd. 218,121 831 506 Gammon Gold, Inc. 218,179 2,166 1,769 Goldcorp, Inc. 626,069 27,498 22,776 Golden Star Resources, Ltd. 204,245 684 362 Great Basin Gold, Ltd. 452,439 699 -Guyana Goldfields, Inc. 72,276 467 225 Harry Winston Diamond Corp. 58,698 691 815 Hudbay Minerals, Inc. 133,179 1,714 1,332 Iamgold Corp. 290,792 5,079 3,303 Imperial Metals Corp. 34,138 327 411 Inmet Mining Corp. 40,227 2,378 2,977 International Tower Hill Mines, Ltd. 62,521 388 134 Katanga Mining, Ltd. 432,675 406 251 Keegan Resources, Inc. 59,861 460 235 Kinross Gold Corp. 880,165 13,017 8,450 Kirkland Lake Gold, Inc. 48,645 516 283 Lake Shore Gold Corp. 305,430 895 226 Lundin Mining Corp. 405,872 1,845 2,066

MAG Silver Corp. 34,056 256 346

Major Drilling Group International 60,998 649 595 Methanex Corp. 72,577 1,697 2,293

Midas Gold Corp. 55,617 168 122

Nevsun Resources, Ltd. 153,067 615 646 New Gold, Inc. 357,129 2,319 3,914 NGEx Resources, Inc. 107,476 314 358

Norbord, Inc. 17,254 239 520

North American Palladium, Ltd. 121,589 408 157 Northern Dynasty Minerals, Ltd. 53,610 396 167 Novagold Resources, Inc. 170,824 1,248 764 OceanaGold Corp. 212,079 607 594 Orbite Aluminae, Inc. 138,242 390 339 Pan American Silver Corp. 117,697 2,763 2,188 Potash Corp. of Saskatchewan 663,634 28,618 26,798 Premier Gold Mines, Ltd. 116,862 755 490 Pretium Resources, Inc. 56,385 716 739 Primero Mining Corp. 51,938 338 331 Queenston Mining, Inc. 54,129 262 262 Rainy River Resources, Ltd. 69,213 310 343 Romarco Minerals, Inc. 447,463 759 331 Rubicon Minerals Corp. 216,625 867 548 Sabina Gold & Silver Corp. 113,670 575 299

San Gold Corp. 243,950 650 185

Seabridge Gold, Inc. 24,986 664 444

SEMAFO, Inc. 208,227 1,140 708

Sherritt International Corp. 231,312 1,382 1,314 Silver Standard Resources, Inc. 62,988 1,308 927 Silver Wheaton Corp. 273,374 5,940 9,781 Silvercorp Metals, Inc. 130,397 943 659 Sino-Forest Corp.-Class A 184,987 3,360 -Security Holdings Average cost Fair value (in $000s) (in $000s) Materials(continued)

Sprott Resource Corp. 69,740 295 302 Tahoe Resources, Inc. 66,793 1,079 1,214 Tanzanian Royalty Exploration Corp. 72,741 293 314 Taseko Mines, Ltd. 148,011 585 444 Teck Resources, Ltd. 445,383 17,202 16,056 Thompson Creek Metals Co., Inc. 128,433 1,185 528 Timmins Gold Corp. 98,493 317 294 Torex Gold Resources, Inc. 458,889 830 996 Turquoise Hill Resources, Ltd. 309,808 4,155 2,324

Veris Gold Corp. 50,360 387 86

West Fraser Timber Co., Ltd. 26,359 1,031 1,845 Yamana Gold, Inc. 580,003 7,829 9,883 244,046 222,446

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. 115,576 557 789 Alterra Power Corp. 242,532 248 102 Atco, Ltd.-Class I 29,435 1,545 2,363 Atlantic Power Corp. 93,155 1,227 1,054

Boralex, Inc. 15,473 127 140

Canadian Utilities, Ltd.-Class A 43,886 2,155 3,145 Capital Power Corp. 53,617 1,243 1,219 Capstone Infrastructure Corp. 55,675 362 224 Fortis, Inc. 146,812 4,378 5,011 Innergex Renewable Energy, Inc. 72,641 669 749 Just Energy Group, Inc. 108,593 1,497 1,030 Northland Power, Inc. 61,807 933 1,153 TransAlta Corp. 192,654 3,957 2,907

Valener, Inc. 28,784 457 460

19,355 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

(18)

BlackRock CDN MSCI Canada IMI Index Fund

Statement of Investment Portfolio — As at December 31, 2012

Portfolio Concentration

(as a percentage of Net Assets)

Portfolio by Category As at December 31, 2012 As at December 31, 2011 (%) (%) Consumer Discretionary 4.8 4.1 Consumer Staples 2.9 3.0 Energy 25.9 27.6 Financials 31.4 28.9 Health Care 1.9 1.1 Industrials 6.4 6.0 Information Technology 1.4 1.8 Materials 19.6 21.9 Telecommunication Services 2.9 2.9 Utilities 1.8 1.9

Other Assets and Liabilities 1.0 0.8 Open futures contracts held by the Fund as at December 31, 2012 are

(19)

BlackRock CDN US Equity Index Non-Taxable Fund

Statement of Net Assets — As at December 31

2012

2011

Assets

Investments - at fair value* (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 8,725 897

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 628,146 575,901

4,320,416,852 3,698,743,987

Liabilities

Margin due to brokers - 313,471

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 805,804,407 492,836,534

$ 4,316,476,037 $ 3,686,012,454

Number of Units Issued and Outstanding (Note 8)

Class A 349,733,290 360,962,356

Class D 46,073,247 31,974,733

Net Assets per Unit

Class A $ 10.04 $ 8.85

Class D $ 17.49 $ 15.41

Investments at Cost* $ 3,820,184,551 $ 3,542,311,735

* Includes short-term investments

(20)

BlackRock CDN US Equity Index Non-Taxable Fund

Statement of Operations — For the Years Ended December 31

2012

2011

Revenue

Dividend income $ 98,435,908 $ 83,032,459

Interest income* 111,810 17,268

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

Unitholder communication costs 2,316 601

Audit fees 23,307 25,363

Independent review committee fees 1,738 4,107

423,242 439,059

Gain on Investments

Net change in unrealized appreciation in value 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

(21)

BlackRock CDN US Equity Index Non-Taxable Fund

Statement of Changes in Net Assets — For the Years Ended December 31

2012

2011

2012

2011

2012

2011

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 500,675,286 178,942,332 425,113,511 156,934,996 75,561,775 22,007,336

Proceeds from issue of units 495,495,686 858,246,369 194,351,291 685,014,911 301,144,395 173,231,458 Reinvestment of distributions 114,489,741 104,916,858 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) 256,941,182 102,165,572

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 41,574,678 317,495,710 (71,749,528) 312,967,873 113,324,206

(22)

BlackRock CDN US Equity Index Non-Taxable Fund

Statement of Investment Portfolio — As at December 31, 2012

Security Par value (000s)/ Holdings Average cost Fair value (in $000s) (in $000s) Short Term Investments

Government Guaranteed — 0.2%

U.S. Treasury Bill

1.00% March 21, 2013 8,665 8,558 8,627 8,558 8,627

Total Short Term Investments 8,558 8,627

Common Stocks

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 2,112 702

AutoNation, Inc. 13,063 295 516

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. 19,529 503 553

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

Security Par value (000s)/ Holdings Average cost Fair value (in $000s) (in $000s) Consumer Discretionary(continued)

Interpublic Group of Cos., Inc. 143,937 1,621 1,581 JC Penney Co., Inc. 47,524 1,830 933 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 1,511 863 548 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 9,976 366,543 496,282

(23)

BlackRock CDN US Equity Index Non-Taxable Fund

Statement of Investment Portfolio — As at December 31, 2012

Security Par value (000s)/ Holdings Average cost Fair value (in $000s) (in $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. 44,728 972 1,389 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 5,237 372,510 446,598

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

Security Par value (000s)/ Holdings Average cost Fair value (in $000s) (in $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. 1,522,413 117,166 131,274 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 66 208,942 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 1,194 984 424,814 465,069

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

(24)

BlackRock CDN US Equity Index Non-Taxable Fund

Statement of Investment Portfolio — As at December 31, 2012

Security Par value (000s)/ Holdings Average cost Fair value (in $000s) (in $000s) Financials(continued)

Apartment Investment &

Management Co. REIT-Class A 48,553 1,226 1,308

Assurant, Inc. 26,486 1,186 915

Australia & New Zealand Banking

Group, Ltd. 74,996 2,483 2,638

AvalonBay Communities, Inc. REIT 38,185 4,363 5,154 Bank of America Corp. 3,598,838 74,128 41,603 Bank of New York Mellon Corp. 390,167 13,549 9,988 BB&T Corp. 233,578 7,488 6,770 Berkshire Hathaway, Inc.-Class B 609,064 49,331 54,447 BlackRock, Inc. 41,626 7,820 8,568 Boston Properties, Inc. REIT 50,364 4,325 5,306 Capital One Financial Corp. 194,212 9,908 11,204 CBRE Group, Inc. 100,680 1,887 1,996 Charles Schwab Corp. (The) 366,078 6,649 5,234

Chubb Corp. 87,451 4,867 6,558

Cincinnati Financial Corp. 48,860 1,810 1,904 Citigroup, Inc. 979,178 67,297 38,589 CME Group, Inc. 102,393 7,627 5,168 Comerica, Inc. 63,530 2,534 1,918 Discover Financial Services 168,520 3,133 6,469 E*Trade Financial Corp. 85,826 1,989 764 Equity Residential REIT 107,411 4,770 6,058 Fifth Third Bancorp 299,238 5,437 4,529 First Horizon National Corp. 82,805 1,238 817 Franklin Resources, Inc. 46,068 4,601 5,766 Genworth Financial, Inc.-Class A 164,060 2,967 1,227 Goldman Sachs Group, Inc. 147,496 21,974 18,742 Hartford Financial Services

Group, Inc. 145,635 5,617 3,254

HCP, Inc. 150,924 5,121 6,786

Health Care, Inc. REIT 86,691 4,118 5,290 Host Hotels & Resorts, Inc. REIT 241,926 4,051 3,775 Hudson City Bancorp, Inc. 158,583 2,218 1,281 Huntington Bancshares, Inc. 285,463 2,442 1,816 IntercontinentalExchange, Inc. 24,273 3,016 2,991 Invesco, Ltd. 148,225 3,348 3,849 JPMorgan Chase & Co. 1,269,312 54,190 55,597

Keycorp 311,612 3,761 2,612

Kimco Realty Corp. REIT 136,048 2,852 2,617 Legg Mason, Inc. 39,259 2,142 1,005 Leucadia National Corp. 66,101 2,169 1,565 Lincoln National Corp. 91,785 3,253 2,366

Loews Corp. 103,799 3,888 4,212

M&T Bank Corp. 40,594 3,529 3,979 Marsh & McLennan Cos., Inc. 181,743 5,696 6,236 Merck & Co., Inc. 1,015,092 39,511 41,389 Metlife, Inc. 364,278 15,613 11,944 Moody’s Corp. 64,730 2,396 3,243 Security Par value (000s)/ Holdings Average cost Fair value (in $000s) (in $000s) Financials(continued) Morgan Stanley 461,412 15,564 8,784 NASDAQ OMX Group, Inc. 39,298 1,187 979 Northern Trust Corp. 72,841 4,402 3,637 NYSE Euronext 81,103 4,026 2,546 People’s United Financial, Inc. 115,977 2,069 1,396 Plum Creek Timber Co., Inc. REIT 53,925 2,095 2,381 PNC Financial Services Group, Inc. 172,235 12,721 10,000 Principal Financial Group 92,107 3,153 2,616 Progressive Corp. (The) 185,722 3,950 3,902 ProLogis, Inc. REIT 153,870 5,962 5,591 Prudential Financial, Inc. 154,913 9,012 8,224 Public Storage, Inc. REIT 48,137 4,622 6,948 Regions Financial Corp. 471,647 5,226 3,344 Simon Property Group, Inc. REIT 103,288 9,328 16,259

SLM Corp. 154,247 3,346 2,632

State Street Corp. 155,712 8,306 7,289 SunTrust Banks, Inc. 179,880 6,719 5,076 T Rowe Price Group, Inc. 85,085 4,264 5,517 Torchmark Corp. 31,675 1,189 1,629 Travelers Cos. (The), Inc. 127,355 6,822 9,107 U.S. Bancorp 627,843 17,753 19,967

Unum Group 91,809 2,125 1,902

Ventas, Inc. REIT 98,671 4,500 6,357 Visa, Inc.-Class A 174,068 16,170 26,253 Vornado Realty Trust-REIT 56,547 4,608 4,508 Wells Fargo & Co. 1,634,730 60,278 55,684 XL Group PLC 100,326 2,804 2,502 Zions Bancorporation 61,444 2,030 1,310 787,804 716,759 Health Care — 11.0% Abbott Laboratories 527,788 29,304 34,427 Accenture PLC-Class A 213,194 12,690 14,116 Aetna, Inc. 111,698 4,042 5,150 Alexion Pharmaceuticals 64,862 6,210 6,053 Allergan, Inc. 102,677 6,497 9,374 AmerisourceBergen Corp. 82,049 2,212 3,528 Amgen, Inc. 256,217 16,929 22,029 Baxter International, Inc. 183,427 10,217 12,175 Becton Dickinson & Co. 65,752 4,956 5,120 Biogen Idec, Inc. 78,995 5,180 11,531 Boston Scientific Corp. 460,472 5,711 2,623 Bristol-Myers Squibb Co. 551,150 16,214 17,896 Cardinal Health, Inc. 113,427 4,638 4,651 CareFusion Corp. 74,058 2,166 2,107 Celgene Corp. 141,226 8,354 11,060

Cerner Corp. 48,679 2,343 3,763

Cigna Corp. 95,440 3,616 5,078

(25)

BlackRock CDN US Equity Index Non-Taxable Fund

Statement of Investment Portfolio — As at December 31, 2012

Security Par value (000s)/ Holdings Average cost Fair value (in $000s) (in $000s) Health Care(continued)

Covidien PLC 158,050 7,984 9,085 CR Bard, Inc. 25,549 2,184 2,486

DaVita, Inc. 27,979 1,804 3,078

DENTSPLY International, Inc. 47,362 1,678 1,867 Edwards Lifesciences Corp. 38,524 3,242 3,457 Eli Lilly & Co. 340,967 16,732 16,744 Express Scripts Holding Co. 272,585 15,281 14,651 Forest Laboratories, Inc. 78,133 2,924 2,748 Gilead Sciences, Inc. 252,972 11,104 18,511 Hospira, Inc. 55,131 2,505 1,714

Humana, Inc. 52,921 2,732 3,616

Intuitive Surgical, Inc. 13,275 3,925 6,477 Johnson & Johnson 925,345 62,401 64,588 Laboratory Corp. of America

Holdings 31,574 2,382 2,722

Life Technologies Corp. 57,428 2,296 2,808 McKesson Corp. 78,805 4,921 7,609 Medtronic, Inc. 337,677 15,719 13,792

Mylan, Inc. 136,035 2,706 3,721

Patterson Cos., Inc. 27,758 907 946 PerkinElmer, Inc. 38,288 937 1,210

Perrigo Co. 29,456 2,999 3,050

Pfizer, Inc. 2,458,415 56,134 61,416 Quest Diagnostics, Inc. 53,061 2,976 3,077 St. Jude Medical, Inc. 102,871 4,391 3,703 Stryker Corp. 96,464 5,102 5,264 Tenet Healthcare Corp. 35,517 1,115 1,148 Thermo Fisher Scientific, Inc. 120,262 5,723 7,640 UnitedHealth Group, Inc. 341,068 14,024 18,420 Varian Medical Systems, Inc. 36,514 1,972 2,553

Waters Corp. 29,022 1,815 2,518

Watson Pharmaceuticals, Inc. 42,646 1,981 3,651 WellPoint, Inc. 101,375 6,439 6,150 Zimmer Holdings, Inc. 57,917 3,586 3,842 415,534 476,946

Industrials — 10.0%

3M Co. 212,549 17,451 19,650

ACE Aviation Holdings, Inc. 113,452 6,789 9,013

ADT Corp. 77,597 2,771 3,593

Avery Dennison Corp. 33,302 1,516 1,158 Boeing Co. 226,601 15,504 17,010 C.H. Robinson Worldwide, Inc. 53,805 3,397 3,387 Caterpillar, Inc. 218,344 15,360 19,484

Cintas Corp. 35,579 1,279 1,448

CSX Corp. 344,329 5,513 6,761

Cummins, Inc. 59,012 3,345 6,366 Danaher Corp. 194,269 7,794 10,817 Deere & Co. 130,769 7,697 11,252

Dover Corp. 59,815 2,943 3,917 Security Par value (000s)/ Holdings Average cost Fair value (in $000s) (in $000s) Industrials(continued)

Dun & Bradstreet Corp. 14,866 1,314 1,164 Eaton Corp. PLC 154,168 7,895 8,320 Emerson Electric Co. 241,777 11,382 12,754 Equifax, Inc. 39,913 1,458 2,151 Expeditors International of Washington, Inc. 69,751 3,131 2,746 Fastenal Co. 90,014 2,477 4,184 FedEx Corp. 97,524 8,549 8,908 Flowserve Corp. 16,648 1,578 2,433 Fluor Corp. 55,579 3,053 3,253

General Dynamics Corp. 110,804 7,682 7,642 General Electric Co. 3,501,459 89,496 73,145 Honeywell International, Inc. 261,560 12,474 16,532 Illinois Tool Works, Inc. 142,352 6,920 8,621 Ingersoll-Rand PLC 93,523 3,983 4,466 Iron Mountain, Inc. 55,660 1,619 1,720 Jacobs Engineering Group, Inc. 43,406 2,538 1,840 Joy Global, Inc. 35,335 3,160 2,244 L-3 Communications Holdings, Inc. 31,409 2,664 2,395 Lockheed Martin Corp. 89,669 7,551 8,243

Masco Corp. 119,166 2,297 1,978

Norfolk Southern Corp. 105,512 5,743 6,495 Northrop Grumman Corp. 81,939 5,127 5,514 Paccar, Inc. 117,855 4,850 5,303

Pall Corp. 37,707 1,496 2,262

Parker Hannifin Corp. 49,800 3,182 4,218 Pentair, Ltd. 70,194 3,058 3,435 Pitney Bowes, Inc. 66,922 2,231 709 Precision Castparts Corp. 48,591 5,900 9,161 Quanta Services, Inc. 71,132 1,736 1,932 Raytheon Co. 110,126 5,746 6,312 Republic Services, Inc. 99,818 2,859 2,916 Robert Half International, Inc. 46,955 1,448 1,487 Rockwell Automation, Inc. 46,503 2,748 3,889 Rockwell Collins, Inc. 46,798 2,542 2,710 Roper Industries, Inc. 32,843 2,174 3,644 Ryder System, Inc. 17,066 775 848

Snap-On, Inc. 19,429 937 1,528

Southwest Airlines Co. 246,303 3,184 2,511 Stanley Black & Decker, Inc. 56,344 3,190 4,150 Stericycle, Inc. 28,667 2,091 2,661 Textron, Inc. 94,055 2,658 2,320 Union Pacific Corp. 157,063 10,756 19,661 United Parcel Service, Inc.-Class B 238,902 17,322 17,541 United Technologies Corp. 281,549 19,199 22,991 W.W. Grainger, Inc. 19,951 2,180 4,020 Waste Management, Inc. 145,572 5,220 4,889

Xylem, Inc. 61,993 1,641 1,672

(26)

BlackRock CDN US Equity Index Non-Taxable Fund

Statement of Investment Portfolio — As at December 31, 2012

Security Par value (000s)/ Holdings Average cost Fair value (in $000s) (in $000s) Information Technology — 17.8%

Adobe Systems, Inc. 165,273 5,592 6,199 Advanced Micro Devices, Inc. 201,547 2,214 482 Agilent Technologies, Inc. 116,320 4,130 4,743 Akamai Technologies, Inc. 59,230 2,246 2,412 Altera Corp. 107,008 3,030 3,671 Amphenol Corp.-Class A 53,522 2,275 3,448 Analog Devices, Inc. 100,599 3,592 4,212 Apple, Inc. 314,108 68,791 166,706 Applied Materials, Inc. 402,354 6,708 4,579 Automatic Data Processing, Inc. 162,085 7,823 9,199 BMC Software, Inc. 47,776 1,733 1,886 Broadcom Corp.-Class A 173,224 6,059 5,726

CA, Inc. 112,066 2,895 2,451

Cisco Systems, Inc. 1,772,769 41,110 34,685 Citrix Systems, Inc. 62,328 2,892 4,080 Cognizant Technology Solutions

Corp.-Class A 100,222 4,859 7,388 Computer Sciences Corp. 51,849 2,617 2,068 Corning, Inc. 493,374 9,702 6,195

Dell, Inc. 487,164 10,430 4,914

eBay, Inc. 388,848 11,774 19,758 EMC Corp. Massachusetts 703,393 14,460 17,726 F5 Networks, Inc. 26,384 3,393 2,550 Fidelity National Information

Services, Inc. 83,183 2,257 2,884 First Solar, Inc. 20,067 2,616 617

Fiserv, Inc. 44,553 2,353 3,506

Flir Systems, Inc. 50,321 1,624 1,118 Google, Inc.-Class A 88,874 46,608 62,764

Harris Corp. 37,895 1,750 1,847

Hewlett-Packard Co. 656,442 26,614 9,308 Intel Corp. 1,661,495 39,171 34,129 International Business Machines Corp. 354,656 45,409 67,649

Intuit, Inc. 92,905 3,557 5,503

Jabil Circuit, Inc. 62,399 1,206 1,198 JDS Uniphase Corp. 78,026 2,345 1,050 Juniper Networks, Inc. 171,723 4,482 3,365 KLA-Tencor Corp. 55,577 2,393 2,643 Lam Research Corp. 59,378 1,978 2,135 Linear Technology Corp. 77,229 2,697 2,636

LSI Corp. 184,719 1,425 1,302

MasterCard, Inc.-Class A 35,681 9,732 17,467 Microchip Technology, Inc. 64,943 2,172 2,107 Micron Technology, Inc. 339,594 3,398 2,140 Microsoft Corp. 2,529,289 72,841 67,292

Molex, Inc. 46,090 1,226 1,253

Motorola Solutions, Inc. 93,640 4,847 5,191 NetApp, Inc. 119,600 4,159 3,995 NVIDIA Corp. 208,548 3,300 2,552 Security Par value (000s)/ Holdings Average cost Fair value (in $000s) (in $000s) Information Technology(continued)

Oracle Corp. 1,255,099 30,059 41,640 Paychex, Inc. 107,975 3,779 3,347 QUALCOMM, Inc. 568,979 27,441 35,136 Red Hat, Inc. 64,531 2,069 3,402

SAIC, Inc. 94,642 1,723 1,066 Salesforce.Com, Inc. 43,616 3,955 7,296 SanDisk Corp. 80,709 3,253 3,499 Seagate Technology PLC 115,007 2,901 3,490 Symantec Corp. 231,637 4,748 4,341 TE Connectivity, Ltd. 141,070 4,870 5,214 Teradata Corp. 56,445 1,898 3,477 Teradyne, Inc. 62,653 986 1,054

Texas Instruments, Inc. 374,212 11,504 11,532 Total System Services, Inc. 53,597 1,125 1,143 VeriSign, Inc. 51,810 1,518 2,003 Western Digital Corp. 73,179 2,407 3,096 Western Union Co. 199,115 3,896 2,698

Xerox Corp. 425,227 4,702 2,888

Xilinx, Inc. 87,092 2,626 3,112

Yahoo!, Inc. 347,463 7,471 6,881 631,416 767,044

Air Products & Chemicals, Inc. 71,059 5,578 5,946

Airgas, Inc. 23,458 1,360 2,132

Alcoa, Inc. 356,210 6,709 3,075

Allegheny Technologies, Inc. 35,793 1,804 1,082

Ball Corp. 51,346 1,381 2,287

Bemis Co. 34,453 1,053 1,148

CF Industries Holdings, Inc. 20,988 2,487 4,244 Cliffs Natural Resources, Inc. 47,547 2,705 1,826 Dow Chemical Co. (The) 400,402 12,952 12,889 Eastman Chemical Co. 51,193 1,819 3,470

Ecolab, Inc. 88,009 4,408 6,300

EI Du Pont de Nemours & Co. 311,338 13,964 13,944

FMC Corp. 45,857 1,484 2,671

Freeport-McMoran Copper & Gold,

Inc. 316,954 11,585 10,793

International Flavors & Fragrances,

Inc. 27,218 1,274 1,803

International Paper Co. 146,605 4,249 5,816 LyondellBasell Industries-Class A 126,738 6,012 7,207 MeadWestvaco Corp. 58,329 1,576 1,851 Monsanto Co. 178,497 12,648 16,822

Mosaic Co. 92,364 5,399 5,208

Newmont Mining Corp. 165,738 8,546 7,664

Nucor Corp. 106,036 4,944 4,557

Owens-Illinois, Inc. 54,881 1,699 1,161 PPG Industries, Inc. 51,197 3,686 6,899

BlackRock Asset Management Canada Limited. Annual Audited Financial Statements