UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR/S
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: 811-7852
Exact name of registrant as specified in charter: USAA MUTUAL FUNDS TRUST
Address of principal executive offices and zip code: 9800 FREDERICKSBURG ROAD
SAN ANTONIO, TX 78288
Name and address of agent for service: CHRISTOPHER P. LAIA
USAA MUTUAL FUNDS TRUST
9800 FREDERICKSBURG ROAD
SAN ANTONIO, TX 78288
Registrant's telephone number, including area code: (210) 498-0226
Date of fiscal year end: DECEMBER 31,
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Date of reporting period: JUNE 30, 2010
ITEM 1. SEMIANNUAL REPORT TO STOCKHOLDERS.
USAA MUTUAL FUNDS TRUST - SEMIANNUAL REPORT FOR PERIOD ENDED JUNE 30, 2010
[LOGO OF USAA]
USAA (R)
[GRAPHIC OF USAA EXTENDED MARKET INDEX FUND]
SEMIANNUAL REPORT
USAA EXTENDED MARKET INDEX FUND
JUNE 30, 2010
FUND OBJECTIVE
SEEKS TO MATCH, BEFORE FEES AND EXPENSES, THE PERFORMANCE OF THE U.S. STOCKS NOT
INCLUDED IN THE S&P 500 INDEX AS REPRESENTED BY THE DOW JONES U.S. COMPLETION
TOTAL STOCK MARKET INDEX.
TYPES OF INVESTMENTS
Invests all of the Fund's investable assets in the Master Extended Market Index
Series of the Quantitative Master Series LLC (Extended Market Portfolio or the
Series), which is a separate fund advised by BlackRock Advisors, LLC, with a
substantially similar investment objective; normally at least 80% of the
Extended Market Portfolio's assets will be invested in stocks of companies or
other financial instruments that are included in or correlated with securities
in the Dow Jones U.S. Completion Total Stock Market Index.
IRA DISTRIBUTION WITHHOLDING DISCLOSURE
We generally must withhold federal income tax at a rate of 10% of the taxable
portion of your distribution and, if you live in a state that requires state
income tax withholding, at your state's set rate. However, you may elect not to
have withholding apply or to have income tax withheld at a higher rate. If you
wish to make such an election, please call USAA Investment Management Company at
(800) 531-USAA (8722).
If you must pay estimated taxes, you may be subject to estimated tax penalties
if your estimated tax payments are not sufficient and sufficient tax is not
withheld from your distribution.
For more specific information, please consult your tax adviser.
TABLE OF CONTENTS
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PRESIDENT'S MESSAGE 2
MANAGER'S COMMENTARY 4
FUND RECOGNITION 6
INVESTMENT OVERVIEW 7
FINANCIAL INFORMATION
USAA EXTENDED MARKET INDEX FUND:
Financial Statements 12
Financial Highlights 15
Notes to Financial Statements 16
EXPENSE EXAMPLE 22
ADVISORY AGREEMENT 24
MASTER EXTENDED MARKET INDEX SERIES:
Schedule of Investments 31
Financial Statements 85
Financial Highlights 88
Notes to Financial Statements 89
ADVISORY AGREEMENTS 98
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THIS REPORT IS FOR THE INFORMATION OF THE SHAREHOLDERS AND OTHERS WHO HAVE
RECEIVED A COPY OF THE CURRENTLY EFFECTIVE PROSPECTUS OF THE FUND, MANAGED BY
USAA INVESTMENT MANAGEMENT COMPANY. IT MAY BE USED AS SALES LITERATURE ONLY WHEN
PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS, WHICH PROVIDES FURTHER DETAILS
ABOUT THE FUND.
(C)2010, USAA. All rights reserved.
PRESIDENT'S MESSAGE
". . . INVESTORS MAY WANT TO REVIEW THEIR
LONG-TERM INVESTMENT STRATEGY. IT'S VITAL TO [PHOTO OF DANIEL S. McNAMARA]
CONTINUE -- AND EVEN INCREASE -- INVESTING
IF YOU WANT TO LIVE THE RETIREMENT LIFESTYLE
YOU ENVISION."
JULY 2010
At the beginning of 2010, optimism permeated the financial markets. Stocks had
just finished a strong year (the S&P 500 Index was up 26.5% in 2009). Supported
by stimulus spending by the federal government, the U.S. economy was showing
signs of improvement. The housing market was stabilizing after several years of
falling prices. At the same time, corporate earnings, driven by surprisingly
strong top-line growth, were better than expected. Unemployment remained high,
but renewed job growth was widely expected at any moment.
During the spring, however, the markets were rattled by the European debt crisis
and its potential impact on European banks. There was growing investor
uncertainty about regulatory changes pending in Washington (related to the
health care, financial, and energy industries). Sentiment was further eroded by
the still-unexplained April "flash crash" in the U.S. stock market and BP's oil
spill in the Gulf of Mexico.
As a result, the outlook for the U.S. economy grew more uncertain as 2010
progressed. The federal government is winding down its stimulus spending and
many observers have questioned whether the nation's economic recovery will be
self-sustaining. The housing market has suffered more setbacks. In May, just a
month after the federal tax subsidy ended, sales of new single-family homes
dropped 33% to the lowest seasonally adjusted rate since records began in 1963.
Meanwhile, unemployment remains stubbornly high with most of the job growth
coming from government hiring of census workers.
Bonds generally provided positive results during the six-month period, but the
performance of the stock market was disappointing (the S&P 500 Index returned
-6.7% between January 1 and June 30, 2010). Many investors continue to stay on
the sidelines, primarily in low-yielding money market funds. But while there is
reason for caution, long-term investors should also take into account the
improvement in U.S. corporate balance sheets and the favorable outlook for U.S.
corporate earnings.
2 | USAA EXTENDED MARKET INDEX FUND
While I find investors' lack of engagement understandable, I grow more concerned
about it with every passing day. Americans are not saving enough for their
retirements. Two-thirds have less than $50,000 in retirement savings (excluding
the value of their home and any traditional pension).
Fortunately, many people still have time to grow their retirement nest egg.
Furthermore, a number of catch-up provisions allow those over the age of 50 to
increase their contributions to individual retirement accounts (IRAs). Under
the circumstances, investors may want to review their long-term investment
strategy. It's vital to continue -- and even increase -- investing if you want
to live the retirement lifestyle you envision. However, this is based upon what
is most suitable for your needs. For assistance, please feel free to call one of
our USAA service representatives at 1-800-531-8722. They are available to help
you free of charge.
At USAA Investment Management Company, we are proud of the investment team that
manages our family of no-load mutual funds. Seasoned professionals all, they
understand the markets and are skilled at making the tactical decisions
necessary to pursue opportunities during market declines and to help reduce
exposure when valuations are rich. This ability can be especially valuable
during periods of market turmoil. I would argue that given the economic
headwinds it may be more important than ever. Certainly, it makes sense to have
some of the industry's top investment talent managing your hard-earned money.
Rest assured that in the months ahead, we will continue working hard on your
behalf. From all of us, thank you for your continued confidence in us. We
appreciate the opportunity to help you with your investment needs.
Sincerely,
/s/ Daniel S. McNamara
Daniel S. McNamara
President
USAA Investment Management Company
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INVESTING IN SECURITIES PRODUCTS INVOLVES RISK, INCLUDING POSSIBLE LOSS OF
PRINCIPAL.
As interest rates rise, bond prices fall. o Past performance is no guarantee of
future results. o Mutual fund operating expenses apply and continue throughout
the life of the fund.
AN INVESTMENT IN A MONEY MARKET FUND IS NOT INSURED OR GUARANTEED BY THE FDIC OR
ANY OTHER GOVERNMENT AGENCY. ALTHOUGH THE FUND SEEKS TO PRESERVE THE VALUE OF
YOUR INVESTMENT AT $1.00 PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN
THE FUND.
Financial advice provided by USAA Financial Planning Services Insurance Agency,
Inc. (known as USAA Financial Insurance Agency in California, License #
0E36312), and USAA Financial Advisors, Inc., a registered broker dealer.
PRESIDENT'S MESSAGE | 3
MANAGER'S COMMENTARY ON THE FUND
o PERFORMANCE
For the 6-month period ended June 30, 2010, the USAA Extended Market Index
Fund returned -1.08% and the Fund's benchmark, the Dow Jones U.S. Completion
Total Stock Market Index, returned (.97%).
O PERFORMANCE ANALYSIS
At the beginning of 2010, we expected to see a modest cyclical recovery that
was countered by the structural problems facing most of the developed world.
For the first four months of the year, the cyclical recovery did dominate,
but over the past two months, structural problems (especially those in
Europe) began to win out, and risk assets (including U.S. equities) have
been struggling.
Financial markets took a dramatic turn in late April, as investor sentiment
became dominated by concerns over the European sovereign debt crisis, some
less-positive economic data and uncertainty over financial regulatory reform
in the United States. Volatility levels moved noticeably higher over the
past several months, and investors embarked on a renewed "flight to
quality," abandoning risk assets such as stocks in favor of safer
alternatives, most notably U.S. Treasury bonds and gold.
Refer to page 8 for benchmark definitions.
4 | USAA EXTENDED MARKET INDEX FUND
In the United States, the Dow Jones Industrial Average fell 5.0% to 9,774,
the S&P 500 Index declined 6.7% to 1,030 and the Nasdaq Composite lost 6.6%
to end the period at 2,109.
THIS MATERIAL IS NOT INTENDED TO BE RELIED UPON AS A FORECAST, RESEARCH OR
INVESTMENT ADVICE, AND IS NOT A RECOMMENDATION, OFFER OR SOLICITATION TO BUY
OR SELL ANY SECURITIES OR TO ADOPT ANY INVESTMENT STRATEGY. THE OPINIONS
EXPRESSED ARE AS OF JUNE 30, 2010 AND MAY CHANGE AS SUBSEQUENT CONDITIONS
VARY. THE INFORMATION AND OPINIONS CONTAINED IN THIS MATERIAL ARE DERIVED
FROM PROPRIETARY AND NON-PROPRIETARY SOURCES DEEMED BY BLACKROCK TO BE
RELIABLE, ARE NOT NECESSARILY ALL-INCLUSIVE AND ARE NOT GUARANTEED AS TO
ACCURACY. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THERE IS NO
GUARANTEE THAT ANY FORECASTS MADE WILL COME TO PASS. ANY INVESTMENTS NAMED
WITHIN THIS MATERIAL MAY NOT NECESSARILY BE HELD IN ANY ACCOUNTS MANAGED BY
BLACKROCK. RELIANCE UPON INFORMATION IN THIS MATERIAL IS AT THE SOLE
DISCRETION OF THE READER.
(C)2010 BLACKROCK, INC. ALL RIGHTS RESERVED.
MANAGER'S COMMENTARY ON THE FUND | 5
FUND RECOGNITION
USAA EXTENDED MARKET INDEX FUND
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LIPPER LEADER (OVERALL)
[5]
EXPENSE
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The Fund is listed as a Lipper Leader for Expense of 131 funds within the
Lipper Mid-Cap Core Funds category for the overall period ended June 30,
2010. The Fund received a Lipper Leader rating for Expense among 131 and 107
funds for the three- and five-year periods, respectively. Lipper ratings for
Expense reflect funds' expense minimization relative to peers with similar
load structures as of June 30, 2010.
Ratings are subject to change every month and are based on an equal-weighted
average of percentile ranks for the Expense metrics over three-, five-, and
10-year periods (if applicable). The highest 20% of funds in each peer group
are named Lipper Leaders, the next 20% receive a score of 4, the middle 20%
are scored 3, the next 20% are scored 2, and the lowest 20% are scored 1.
*Lipper ratings are not intended to predict future results, and Lipper does
not guarantee the accuracy of this information. More information is
available at WWW.LIPPERLEADERS.COM. Lipper Leader Copyright 2010, Reuters,
All Rights Reserved.
6 | USAA EXTENDED MARKET INDEX FUND
INVESTMENT OVERVIEW
USAA EXTENDED MARKET INDEX FUND (Ticker Symbol: USMIX)
--------------------------------------------------------------------------------
6/30/10 12/31/09
--------------------------------------------------------------------------------
Net Assets $278.4 Million $276.2 Million
Net Asset Value Per Share $10.10 $10.21
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/10
--------------------------------------------------------------------------------
12/31/09 to 6/30/10* 1 Year 5 Years Since Inception 10/27/00
-1.08% 23.72% 1.27% 2.60%
--------------------------------------------------------------------------------
EXPENSE RATIO**
--------------------------------------------------------------------------------
Before Reimbursement 0.96% After Reimbursement 0.50%
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*Total returns for periods of less than one year are not annualized. This
six-month return is cumulative.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
DATA QUOTED. THE RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO
THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, VISIT
USAA.COM.
** THE BEFORE REIMBURSEMENT EXPENSE RATIO REPRESENTS THE TOTAL ANNUAL OPERATING
EXPENSES, BEFORE REDUCTIONS OF ANY EXPENSES PAID INDIRECTLY, AND INCLUDING
EXPENSES OF THE EXTENDED MARKET PORTFOLIO AND IS CALCULATED AS A PERCENTAGE OF
AVERAGE NET ASSETS. THE AFTER REIMBURSEMENT EXPENSE RATIO, WHICH INCLUDES
EXPENSES OF THE EXTENDED MARKET PORTFOLIO, REPRESENTS TOTAL ANNUAL OPERATING
EXPENSES, BEFORE REDUCTIONS OF ANY EXPENSES PAID INDIRECTLY, AFTER REIMBURSEMENT
FROM USAA INVESTMENT MANAGEMENT COMPANY (IMCO). BEFORE AND AFTER REIMBURSEMENT
EXPENSE RATIOS ARE REPORTED IN THE FUND'S PROSPECTUS DATED MAY 1, 2010. IMCO HAS
AGREED, THROUGH MAY 1, 2011, TO MAKE PAYMENTS OR WAIVE MANAGEMENT,
ADMINISTRATION, AND OTHER FEES TO LIMIT THE EXPENSES OF THE FUND SO THAT THE
TOTAL ANNUAL OPERATING EXPENSES OF THE FUND (EXCLUDING EXTRAORDINARY EXPENSES)
DO NOT EXCEED AN ANNUAL RATE OF 0.50% OF THE FUND'S AVERAGE DAILY NET ASSETS.
THIS REIMBURSEMENT ARRANGEMENT MAY NOT BE CHANGED OR TERMINATED DURING THIS TIME
PERIOD WITHOUT APPROVAL OF THE FUND'S BOARD OF TRUSTEES AND MAY BE CHANGED OR
TERMINATED BY IMCO AT ANY TIME AFTER MAY 1, 2011. THE EXPENSE RATIO DIFFERS FROM
THE FUND'S ACTUAL EXPENSE RATIO FOR THE SIX-MONTH PERIOD ENDED JUNE 30, 2010,
BEFORE REIMBURSEMENT, WHICH WAS .82% AS DISCLOSED IN THE FINANCIAL HIGHLIGHTS,
AND BEFORE EXPENSES PAID INDIRECTLY.
Total return measures the price change in a share assuming the reinvestment of
all net investment income and realized capital gain distributions. The total
returns quoted do not reflect adjustments made to the enclosed financial
statements in accordance with U.S. generally accepted accounting principles or
the deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares.
INVESTMENT OVERVIEW | 7
o CUMULATIVE PERFORMANCE COMPARISON o
[CHART OF CUMULATIVE PERFORMANCE COMPARISON]
DOW JONES U.S.
USAA EXTENDED COMPLETION TOTAL STOCK
MARKET INDEX FUND MARKET* INDEX
10/27/00 $10,000.00 $10,000.00
10/31/00 10,400.00 10,323.39
11/30/00 8,840.00 8,564.81
12/31/00 9,360.00 9,107.08
01/31/01 9,750.00 9,602.08
02/28/01 8,670.00 8,435.11
03/31/01 7,960.00 7,661.19
04/30/01 8,750.00 8,471.57
05/31/01 8,940.00 8,671.93
06/30/01 8,980.00 8,742.12
07/31/01 8,600.00 8,335.76
08/31/01 8,200.00 7,930.51
09/30/01 7,160.00 6,910.55
10/31/01 7,520.00 7,272.72
11/30/01 8,100.00 7,838.05
12/31/01 8,515.19 8,257.78
01/31/02 8,362.22 8,101.63
02/28/02 8,127.67 7,872.36
03/31/02 8,678.36 8,405.97
04/30/02 8,576.38 8,323.50
05/31/02 8,372.42 8,139.64
06/30/02 7,801.34 7,582.86
07/31/02 7,036.51 6,845.37
08/31/02 7,077.30 6,885.03
09/30/02 6,598.00 6,420.72
10/31/02 6,822.35 6,631.58
11/30/02 7,281.25 7,086.48
12/31/02 6,965.60 6,788.06
01/31/03 6,811.95 6,641.52
02/28/03 6,648.05 6,472.58
03/31/03 6,750.49 6,568.34
04/30/03 7,313.88 7,115.69
05/31/03 8,020.69 7,791.94
06/30/03 8,194.83 7,977.04
07/31/03 8,563.59 8,349.67
08/31/03 8,922.12 8,699.62
09/30/03 8,799.20 8,591.59
10/31/03 9,475.27 9,245.96
11/30/03 9,792.82 9,564.92
12/31/03 9,991.64 9,763.91
01/31/04 10,331.21 10,113.77
02/29/04 10,516.43 10,290.80
03/31/04 10,567.88 10,334.38
04/30/04 10,125.41 9,919.07
05/31/04 10,279.76 10,068.70
06/30/04 10,557.59 10,345.84
07/31/04 9,971.06 9,772.32
08/31/04 9,971.06 9,773.31
09/30/04 10,362.08 10,149.06
10/31/04 10,578.17 10,336.59
11/30/04 11,298.47 11,058.16
12/31/04 11,782.13 11,530.71
01/31/05 11,384.16 11,140.17
02/28/05 11,593.62 11,355.73
03/31/05 11,405.10 11,138.04
04/30/05 11,017.60 10,731.02
05/31/05 11,666.93 11,370.54
06/30/05 12,033.48 11,741.50
07/31/05 12,682.81 12,402.48
08/31/05 12,536.19 12,260.29
09/30/05 12,609.50 12,353.24
10/31/05 12,337.20 12,063.19
11/30/05 12,934.16 12,625.95
12/31/05 12,973.80 12,687.10
01/31/06 13,788.68 13,520.29
02/28/06 13,670.74 13,386.26
03/31/06 14,185.40 13,896.14
04/30/06 14,239.02 13,953.33
05/31/06 13,638.57 13,350.99
06/30/06 13,660.02 13,389.26
07/31/06 13,274.02 13,011.19
08/31/06 13,552.80 13,290.39
09/30/06 13,702.91 13,411.95
10/31/06 14,378.40 14,079.23
11/30/06 14,903.79 14,588.95
12/31/06 14,960.32 14,626.04
01/31/07 15,454.87 15,097.79
02/28/07 15,364.95 15,060.52
03/31/07 15,522.31 15,223.82
04/30/07 15,870.75 15,601.06
05/31/07 16,533.91 16,272.50
06/30/07 16,320.35 16,033.51
07/31/07 15,612.23 15,314.41
08/31/07 15,758.35 15,468.66
09/30/07 16,252.91 15,937.69
10/31/07 16,769.94 16,409.00
11/30/07 15,792.07 15,488.57
12/31/07 15,665.09 15,414.92
01/31/08 14,641.39 14,463.28
02/29/08 14,343.80 14,150.98
03/31/08 14,058.11 13,900.20
04/30/08 14,831.84 14,658.22
05/31/08 15,498.44 15,356.40
06/30/08 14,331.89 14,204.90
07/31/08 14,189.05 14,071.07
08/31/08 14,474.74 14,344.85
09/30/08 12,915.37 12,786.09
10/31/08 10,248.97 10,147.75
11/30/08 9,082.42 8,991.55
12/31/08 9,501.45 9,398.48
01/31/09 8,769.60 8,696.33
02/28/09 7,911.56 7,845.91
03/31/09 8,592.94 8,522.41
04/30/09 9,879.99 9,799.78
05/31/09 10,283.77 10,206.63
06/30/09 10,359.48 10,292.20
07/31/09 11,293.22 11,219.07
08/31/09 11,722.24 11,638.17
09/30/09 12,391.00 12,314.03
10/31/09 11,697.00 11,647.62
11/30/09 12,163.87 12,110.83
12/31/09 12,956.85 12,916.42
01/31/10 12,639.59 12,607.10
02/28/10 13,248.73 13,215.59
03/31/10 14,213.19 14,184.14
04/30/10 14,885.78 14,859.40
05/31/10 13,769.03 13,742.71
06/30/10 12,817.26 12,790.60
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[END CHART]
Data from 10/27/00 to 6/30/10.
*The Dow Jones U.S. Completion Total Stock Market Index is a subset of the Dow
Jones U.S. Total Stock Market Index that excludes components of the S&P 500. The
Dow Jones U.S. Total Stock Market Index is an all-inclusive measure composed of
all U.S. equity securities with readily available prices. This broad index is
divided according to stock-size segment, style, and sector to create distinct
sub-indexes that track every major segment of the market.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS, AND THE CUMULATIVE
PERFORMANCE QUOTED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
8 | USAA EXTENDED MARKET INDEX FUND
The graph on page 8 illustrates how a $10,000 hypothetical investment in the
USAA Extended Market Index Fund closely tracks the Dow Jones U.S. Completion
Total Stock Market Index, which is a market-capitalization-weighted index of
approximately 4,000 U.S. equity securities. It includes all the stocks in the
Dow Jones U.S. Total Stock Market Index except for stocks included in the S&P
500 Index.
Dow Jones U.S. Completion Total Stock Market Index is a service mark of Dow
Jones & Company, Inc. Dow Jones does not have any relationship to the Fund
other than the licensing and sublicensing of the Dow Jones U.S. Completion Total
Stock Market Index and its service marks for use in connection with the Fund.
o Dow Jones does not sponsor, endorse, sell, or promote the Fund; recommend that
any person invest in the Fund or any other securities; have any responsibility
or liability for or make any decisions about the timing, amount, or pricing of
the Fund; have any responsibility or liability for the administration,
management, or marketing of the Fund; consider the needs of the Fund or the
owners of the Fund in determining, composing, or calculating the Dow Jones U.S.
Completion Total Stock Market Index, or have any obligation to do so.
Dow Jones will have no liability in connection with the Fund. Specifically, Dow
Jones makes no warranty, express or implied, and Dow Jones disclaims any
warranty about: the results to be obtained by the Fund, the owner of the Fund,
or any other person in connection with the use of the Dow Jones U.S. Completion
Total Stock Market Index and the data included in the Dow Jones U.S. Completion
Total Stock Market Index; the accuracy or completeness of the Dow Jones U.S.
Completion Total Stock Market Index and any related data; the merchantability
and the fitness for a particular purpose or use of the Dow Jones U.S. Completion
Total Stock Market Index and/or its related data; Dow Jones will have no
liability for any errors, omissions, or interruptions in the Dow Jones U.S.
Completion Total Stock Market Index or related data; under no circumstances will
Dow Jones be liable for any lost profits or indirect, punitive, special, or
consequential damages or losses, even if Dow Jones knows that they might occur.
o The licensing agreement between BlackRock Advisors, LLC (or its predecessor),
and Dow Jones, and the sublicensing agreeement between the Fund and BlackRock
Advisors, LLC (or its predecessor), are solely for the benefit of the parties to
these agreements and not for the benefit of the owners of the USAA Extended
Market Index Fund or any other third parties.
INVESTMENT OVERVIEW | 9
TOP 10 HOLDINGS
AS OF 6/30/10
(% of Net Assets)*
Las Vegas Sands Corp. .................................................... 0.4%
Annaly Capital Management, Inc. .......................................... 0.4%
Crown Castle International Corp. ......................................... 0.4%
Delta Air Lines, Inc. .................................................... 0.4%
Marvell Technology Group Ltd. ............................................ 0.4%
Bunge Ltd. ............................................................... 0.3%
Seagate Technology Holdings .............................................. 0.3%
Ultra Petroleum Corp. .................................................... 0.3%
New York Community Bancorp, Inc. ......................................... 0.3%
Vertex Pharmaceuticals, Inc. ............................................. 0.3%
|
TOP 10 INDUSTRIES
AS OF 6/30/10
(% of Net Assets)*
Real Estate Investment Trusts (REITs) .................................... 7.0%
Technology Hardware & Equipment .......................................... 6.6%
Health Care Equipment & Services ......................................... 6.3%
Banks .................................................................... 5.3%
General Retailers ........................................................ 5.2%
Software & Computer Services ............................................. 4.7%
Pharmaceuticals & Biotechnology .......................................... 4.6%
Support Services ......................................................... 4.3%
Travel & Leisure ......................................................... 4.2%
Nonlife Insurance ........................................................ 4.0%
|
*Percentages are of the net assets of the Master Extended Market Index Series
(the Series), not the net assets of the Fund.
You will find a complete list of securities that the Series owns on pages 31-83.
10 | USAA EXTENDED MARKET INDEX FUND
o ASSET ALLOCATION* -- 6/30/2010 o
[PIE CHART OF ASSET ALLOCATION]
Real Estate Investment Trusts (REITs) 7.0%
Technology Hardware & Equipment 6.6%
Health Care Equipment & Services 6.3%
Banks 5.3%
General Retailers 5.2%
Software & Computer Services 4.7%
Pharmaceuticals & Biotechnology 4.6%
Support Services 4.3%
Travel & Leisure 4.2%
Nonlife Insurance 4.0%
Oil & Gas Producers 3.7%
Electronic & Electrical Equipment 3.4%
Media 3.1%
Industrial Engineering 3.1%
Financial Services 3.0%
Chemicals 2.2%
Construction & Materials 2.2%
Food Producers 2.1%
Electricity 2.1%
Oil Equipment, Services & Distribution 2.0%
Other** 24.9%
|
[END CHART]
* Percentages are of the net assets of the Series, not the net assets of the
Fund.
** Industries with less than 2.0% of the Series' net assets and short-term
securities.
INVESTMENT OVERVIEW | 11
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2010 (unaudited)
ASSETS
Investment in Master Extended Market Index Series, at fair value $278,187,976
Receivable for redemption in Master Extended Market Index Series 244,615
Receivable for capital shares sold 177,369
Receivable due from USAA Investment Management Company (Note 4B) 320,899
------------
Total assets 278,930,859
------------
LIABILITIES
Payable for capital shares redeemed 421,985
Accrued transfer agency fees 16,501
Other accrued expenses and payables 52,398
------------
Total liabilities 490,884
------------
Net assets applicable to capital shares outstanding $278,439,975
============
NET ASSETS CONSIST OF:
Paid-in capital $310,044,503
Accumulated undistributed net investment income 1,364,769
Accumulated net realized gain from investments and futures transactions 4,620,355
Net unrealized depreciation on investments and futures contracts (37,589,652)
------------
Net assets applicable to capital shares outstanding $278,439,975
============
Capital shares outstanding 27,578,519
============
Net asset value, redemption price, and offering price per share $ 10.10
============
|
See accompanying notes to financial statements and accompanying financial
statements of the Master Extended Market Index Series (the Series) attached.
12 | USAA EXTENDED MARKET INDEX FUND
STATEMENT OF OPERATIONS
Six-month period ended June 30, 2010 (unaudited)
INVESTMENT INCOME
Allocated from Master Extended Market Index Series:
Dividends $ 1,548,254
Foreign taxes withheld (1,373)
Income - affiliated 7,916
Securities lending - affiliated 84,811
-----------
Total income 1,639,608
Expenses (Note 4B) (125,621)
-----------
Net allocated investment income 1,513,987
-----------
FUND EXPENSES
Administration and servicing fees 556,372
Transfer agent's fees 409,301
Custody and accounting fees 1,991
Shareholder reporting fees 18,844
Postage 16,364
Trustees' fees 4,959
Registration fees 19,092
Professional fees 38,184
Other 5,951
-----------
Total Fund expenses before reimbursement 1,071,058
Expenses reimbursed (465,248)
-----------
Total Fund expenses after reimbursement 605,810
-----------
NET INVESTMENT INCOME 908,177
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FUTURES CONTRACTS ALLOCATED FROM MASTER
EXTENDED MARKET INDEX SERIES
Net realized gain from investment transactions 3,141,046
Net realized loss from futures transactions (450,385)
Net change in unrealized appreciation/depreciation on
investments and futures contracts (7,467,744)
-----------
Net allocated realized and unrealized gain on investments
and futures contracts (4,777,083)
-----------
Decrease in net assets from operations $(3,868,906)
===========
|
See accompanying notes to financial statements and accompanying financial
statements of the Series attached.
FINANCIAL STATEMENTS | 13
STATEMENTS OF CHANGES IN NET ASSETS
Six-month period ended June 30, 2010 (unaudited), and year ended
December 31, 2009
6/30/2010 12/31/2009
-----------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income $ 908,177 $ 1,929,644
Net realized gain from investment transactions 3,141,046 3,036,539
Net realized gain (loss) from futures transactions (450,385) 3,284,433
Net change in unrealized appreciation/depreciation
on investments and futures contracts (7,467,744) 65,157,521
---------------------------
Net increase (decrease) in net assets from
operations (3,868,906) 73,408,137
---------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income - (1,592,138)
Net realized gains - -
---------------------------
Distributions to shareholders - (1,592,138)
---------------------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold 41,556,943 48,579,401
Reinvested dividends 248 1,559,226
Cost of shares redeemed (35,492,820) (40,570,219)
---------------------------
Net increase in net assets from capital
share transactions 6,064,371 9,568,408
---------------------------
Capital contribution from USAA Transfer Agency
Company - 806
---------------------------
Net increase in net assets 2,195,465 81,385,213
NET ASSETS
Beginning of period 276,244,510 194,859,297
---------------------------
End of period $278,439,975 $276,244,510
===========================
Accumulated undistributed net investment income
End of period $ 1,364,769 $ 456,592
===========================
CHANGE IN SHARES OUTSTANDING
Shares sold 3,783,393 5,897,233
Shares issued for reinvested dividends 24 150,941
Shares redeemed (3,257,854) (4,878,918)
---------------------------
Increase in shares outstanding 525,563 1,169,256
===========================
|
See accompanying notes to financial statements and accompanying financial
statements of the Series attached.
14 | USAA EXTENDED MARKET INDEX FUND
FINANCIAL HIGHLIGHTS
Contained below are selected ratios and supplemental data for the periods
indicated for the USAA Extended Market Index Fund.
SIX-MONTH
PERIOD ENDED
JUNE 30, YEARS ENDED DECEMBER 31,
--------------------------------------------------------------------------------------
2010 2009 2008 2007 2006 2005
--------------------------------------------------------------------------------------
Net asset value at
beginning of period $ 10.21 $ 7.53 $ 13.16 $ 13.31 $ 12.10 $ 11.25
--------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income .03 .07 .11 .12 .14 .08
Net realized and unrealized
gain (loss) on investments
and futures transactions (.14) 2.67 (5.32) .51 1.71 1.06
--------------------------------------------------------------------------------------
Total from investment
operations (.11) 2.74 (5.21) .63 1.85 1.14
--------------------------------------------------------------------------------------
Less distributions:
From net investment income - (.06) (.11) (.12) (.14) (.08)
From realized capital gains - - (.31) (.66) (.50) (.21)
--------------------------------------------------------------------------------------
Total distributions .00 (.06) (.42) (.78) (.64) (.29)
--------------------------------------------------------------------------------------
Net asset value at
end of period $ 10.10 $ 10.21 $ 7.53 $ 13.16 $ 13.31 $ 12.10
======================================================================================
Total return (%)* (1.08) 36.37 (39.35) 4.71(b) 15.31 10.11
Net assets at
end of period (000) $278,440 $276,245 $194,859 $310,168 $252,844 $174,199
Ratios to average
net assets:**
Expenses, including expenses
of the Master Extended
Market Index Series (%)(a) .50 .50 .50 .50(b) .50 .50
Expenses before
reimbursements, including
expenses of the Master
Extended Market Index
Series (%)(a) .82 .96 .90 79(b) .82 .76
Net investment income (%) .71 .86 1.08 .92 1.23 .84
Portfolio turnover (%)*** 10 20 33 33 24 18
|
* Assumes reinvestment of all net investment income and realized capital gain
distributions, if any, during the period. Includes adjustments in accordance
with U.S. generally accepted accounting principles and could differ from the
Lipper reported return.
** For the year ended December 31, 2009, average net assets were $295,241,747.
*** Represents the portfolio turnover of the Master Extended Market Index
Series.
(a) Reflects total operating expenses of the Fund before reductions of any
expenses paid indirectly. The Fund's expenses paid indirectly decreased the
expense ratios by less than 0.01%.
(b) For the year ended December 31, 2007, SAS voluntarily reimbursed the Fund
for a portion of the transfer agency fees incurred. The reimbursement had
no effect on the Fund's total return or ratio of expenses to average net
assets.
See accompanying notes to financial statements and accompanying financial
statements of the Series attached.
FINANCIAL HIGHLIGHTS | 15
NOTES TO FINANCIAL STATEMENTS
June 30, 2010 (unaudited)
(1) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
USAA MUTUAL FUNDS TRUST (the Trust), registered under the Investment Company Act
of 1940 (the 1940 Act), as amended, is an open-end management investment company
organized as a Delaware statutory trust consisting of 46 separate funds. The
information presented in this semiannual report pertains only to the USAA
Extended Market Index Fund (the Fund), which is classified as diversified under
the 1940 Act. The Fund's primary investment objective is to seek to match,
before fees and expenses, the performance of the U.S. stocks not included in the
S&P 500 Index as represented by the Dow Jones U.S. Completion Total Stock Market
Index.
USAA Investment Management Company (the Manager), an affiliate of the Fund,
attempts to achieve this objective by investing all of the Fund's investable
assets in the Master Extended Market Index Series of the Quantitative Master
Series LLC (the Series), which is a separate open-end investment management
company advised by BlackRock Advisors, LLC (BlackRock), with a substantially
similar investment objective. At June 30, 2010, the Fund's investment was 95.75%
of the Series.
The financial statements of the Series, including the Schedule of Investments,
are contained elsewhere in this report and should be read in conjunction with
the Fund's financial statements.
A. VALUATION OF INVESTMENTS -- The Fund records its investment in the Series at
fair value, which reflects its proportionate interest in the net assets of
the Series. Valuation of the securities held by the Series is discussed in
Note 1 of the Series' financial statements included elsewhere in this report.
16 | USAA EXTENDED MARKET INDEX FUND
B. FAIR VALUE MEASUREMENTS -- Refer to the Schedule of Investments of the
Series for a discussion of fair value measurements and a summary of the
inputs used to value the Series' assets. The following is a summary of the
inputs used to value the Fund's investment in the Series as of June 30, 2010:
INVESTMENT IN
VALUATION INPUTS THE SERIES
-----------------------------------------------------------------------------
Level 1 - Quoted Prices $ -
Level 2 - Other Significant Observable Inputs 278,187,976
Level 3 - Significant Unobservable Inputs -
-----------------------------------------------------------------------------
Total $278,187,976
-----------------------------------------------------------------------------
|
C. DERIVATIVE FINANCIAL INSTRUMENTS -- Refer to Note 2 in the Series' Notes to
Financial Statements for a discussion of derivative financial instruments
and how they are accounted for in the Series' financial statements.
D. INVESTMENT INCOME AND EXPENSES -- The Fund records daily its pro rata share
of the Series' income, expenses, and realized and unrealized gains and
losses. In addition, the Fund accrues its own expenses.
E. FEDERAL TAXES -- The Fund's policy is to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its income to its shareholders. Therefore,
no federal income tax provision is required.
F. EXPENSES PAID INDIRECTLY -- Through arrangements with banks utilized by the
Fund for cash management purposes, realized credits, if any, generated from
cash balances in the Fund's bank accounts are used to reduce the Fund's
expenses. For the six-month period ended June 30, 2010, the Fund did not
incur any expenses paid indirectly.
G. INDEMNIFICATIONS -- Under the Trust's organizational documents, its officers
and trustees are indemnified against certain liabilities arising out of the
performance of their duties to the Trust. In addition, in the normal course
of business the Trust enters into contracts that contain a variety of
representations and warranties that provide general indemnifications. The
Trust's maximum exposure under these arrangements is unknown, as this would
involve future
NOTES TO FINANCIAL STATEMENTS | 17
claims that may be made against the Trust that have not yet occurred.
However, the Trust expects the risk of loss to be remote.
H. USE OF ESTIMATES -- The preparation of financial statements in conformity
with U.S. generally accepted accounting principles requires management to
make estimates and assumptions that may affect the reported amounts in the
financial statements.
(2) LINE OF CREDIT
The Fund participates in a joint, short-term, revolving, committed loan
agreement of $750 million with USAA Capital Corporation (CAPCO), an affiliate of
the Manager. The purpose of the agreement is to meet temporary or emergency cash
needs, including redemption requests that might otherwise require the untimely
disposition of securities. Subject to availability, the Fund may borrow from
CAPCO an amount up to 5% of the Fund's total assets at a rate per annum equal to
the rate at which CAPCO obtains funding in the capital markets, with no markup.
The USAA funds that are party to the loan agreement are assessed facility fees
by CAPCO based on the funds' assessed proportionate share of CAPCO's operating
expenses related to obtaining and maintaining CAPCO's funding programs in total
(in no event to exceed 0.13% annually of the amount of the committed loan
agreement). The facility fees are allocated among the funds based on their
respective average net assets for the period.
For the six-month period ended June 30, 2010, the Fund paid CAPCO facility fees
of $586, which represents 0.7% of the total fees paid to CAPCO by the USAA
funds. The Fund had no borrowings under this agreement during the six-month
period ended June 30, 2010.
(3) DISTRIBUTIONS
The tax basis of distributions and accumulated undistributed net investment
income will be determined based upon the Fund's tax year-end of December 31,
2010, in accordance with applicable tax law.
Distributions of net investment income and the Fund's pro rata share of the
Series' realized gains from security transactions not offset by capital
18 | USAA EXTENDED MARKET INDEX FUND
losses are made annually in the succeeding fiscal year or as otherwise required
to avoid the payment of federal taxes.
The Fund is required to evaluate tax positions taken or expected to be taken in
the course of preparing the Fund's tax returns to determine whether the tax
positions are "more-likely-than-not" of being sustained by the applicable tax
authority. Income tax and related interest and penalties would be recognized by
the Fund as tax expense in the statement of operations if the tax positions were
deemed to not meet the more-likely-than-not threshold. For the six-month period,
ended June 30, 2010, the Fund did not incur any income tax, interest, or
penalties. As of June 30, 2010, the Manager has reviewed all open tax years and
concluded that there was no impact to the Fund's net assets or results of
operations. Tax year ended December 31, 2009, and each of the three preceding
fiscal years, remain subject to examination by the Internal Revenue Service and
state taxing authorities. On an ongoing basis, the Manager will monitor its tax
positions to determine if adjustments to this conclusion are necessary.
(4) TRANSACTIONS WITH MANAGER
A. ADMINISTRATION AND SERVICING FEES -- The Manager provides administration and
shareholder servicing functions for the Fund. For such services, the Manager
receives a fee accrued daily and paid monthly at an annualized rate of 0.38%
of the Fund's average net assets for the fiscal year. For the six-month
period ended June 30, 2010, the Fund incurred administration and servicing
fees, paid or payable to the Manager, of $556,372.
In addition to the services provided under its Administration and Servicing
Agreement with the Fund, the Manager also provides certain compliance and
legal services for the benefit of the Fund. The Trust's Board of Trustees
has approved the reimbursement of a portion of these expenses incurred by
the Manager. For the six-month period ended June 30, 2010, the Fund
reimbursed the Manager $3,304 for these compliance and legal services. These
expenses are included in the professional fees on the Fund's statement of
operations.
Out of the administration and servicing fees received from the Fund, the
Manager pays BlackRock up to 0.10% for subadministration
NOTES TO FINANCIAL STATEMENTS | 19
services provided on the Manager's behalf. For the six-month period ended
June 30, 2010, the Manager incurred subadministration fees, paid or payable
to BlackRock, of $16,706.
B. EXPENSE LIMITATION -- The Manager has agreed, through May 1, 2011, to limit
the annual expenses of the Fund to 0.50% of the Fund's annual average net
assets, excluding extraordinary expenses and before reductions of any
expenses paid indirectly, and will reimburse the Fund for all expenses in
excess of that amount. This expense limitation arrangement may not be
changed or terminated through May 1, 2011, without approval of the Trust's
Board of Trustees, and may be changed or terminated by the Manager at any
time after that date. For the six-month period ended June 30, 2010, the Fund
incurred reimbursable expenses of $465,248, of which $320,899 was receivable
from the Manager. Additionally, the expenses allocated to the Fund from the
Series included fees waived by BlackRock Advisors, LLC of $4,338. Refer to
Note 3 in the Series' Notes to Financial Statements.
C. TRANSFER AGENT'S FEES -- USAA Transfer Agency Company, d/b/a USAA
Shareholder Account Services (SAS), an affiliate of the Manager, provides
transfer agency services to the Fund based on an annual charge of $26 per
shareholder account, plus out-of-pocket expenses. The Fund also pays SAS
fees that are related to the administration and servicing of accounts that
are traded on an omnibus basis. For the six-month period ended June 30,
2010, the Fund incurred transfer agent's fees paid or payable to SAS, of
$409,301.
D. UNDERWRITING AGREEMENT -- The Manager provides exclusive underwriting and
distribution of the Fund's shares on a continuing best-efforts basis. The
Manager receives no commissions or fees for this service.
E. MANAGEMENT AGREEMENT -- The Manager serves as investment adviser to the Fund
and is responsible for monitoring the services provided to the Series by
BlackRock. While the Fund maintains its investment in the Series, the
Manager receives no fee from the Fund for the monitoring service performed
on its behalf.
20 | USAA EXTENDED MARKET INDEX FUND
(5) TRANSACTIONS WITH AFFILIATES
Certain trustees and officers of the Fund are also directors, officers, and/or
employees of the Manager. None of the affiliated trustees or Fund officers
received any compensation from the Fund.
NOTES TO FINANCIAL STATEMENTS | 21
EXPENSE EXAMPLE
June 30, 2010 (unaudited)
EXAMPLE
As a shareholder of the Fund, you incur two types of costs: direct costs, such
as wire fees, redemption fees, and low balance fees; and indirect costs,
including administration fees, transfer agency fees, expenses allocated to the
Fund by the Master Extended Market Index Series, and other Fund operating
expenses. This example is intended to help you understand your indirect costs,
also referred to as "ongoing costs" (in dollars), of investing in the Fund and
to compare these costs with the ongoing costs of investing in other mutual
funds.
The example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire six-month period of January 1, 2010, through June
30, 2010.
ACTUAL EXPENSES
The first line of the table on the next page provides information about actual
account values and actual expenses. You may use the information in this line,
together with the amount you invested at the beginning of the period, to
estimate the expenses that you paid over the period. Simply divide your account
value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6),
then multiply the result by the number in the first line under the heading
"Expenses Paid During Period" to estimate the expenses you paid on your account
during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the table provides information about hypothetical account
values and hypothetical expenses based on the Fund's actual expense ratio and an
assumed rate of return of 5% per year before expenses, which is not the Fund's
actual return. The hypothetical account values and expenses may not be used to
estimate the actual
22 | USAA EXTENDED MARKET INDEX FUND
ending account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the Fund and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any direct costs, such as wire fees,
redemption fees, or low balance fees. Therefore, the second line of the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these direct
costs were included, your costs would have been higher.
EXPENSES PAID
BEGINNING ENDING DURING PERIOD*
ACCOUNT VALUE ACCOUNT VALUE JANUARY 1, 2010 -
JANUARY 1, 2010 JUNE 30, 2010 JUNE 30, 2010
---------------------------------------------------------------------------------------------
Actual $1,000.00 $ 989.20 $2.47
Hypothetical
(5% return before expenses) 1,000.00 1,022.32 2.51
|
* Expenses are equal to the Fund's annualized expense ratio of 0.50%, which
includes expenses of the Master Extended Market Index Series, and is net of
any reimbursements and expenses paid indirectly, multiplied by the average
account value over the period, multiplied by 181 days/365 days (to reflect the
one-half-year period). The Fund's ending account value on the first line in
the table is based on its actual total return of -1.08% for the six-month
period of January 1, 2010, through June 30, 2010.
EXPENSE EXAMPLE | 23
ADVISORY AGREEMENT
June 30, 2010 (unaudited)
At a meeting of the Board of Trustees (the Board) held on April 9, 2010, the
Board, including the Trustees who are not "interested persons" of the Trust (the
Independent Trustees), approved the continuance of the Management Agreement
between the Trust and the Manager with respect to the Fund.
In advance of the meeting, the Trustees received and considered a variety of
information relating to the Management Agreement and the Manager and were given
the opportunity to ask questions and request additional information from
management. The information provided to the Board included, among other things:
(i) a separate report prepared by an independent third party, which provided a
statistical analysis comparing the Fund's investment performance, expenses, and
fees to comparable investment companies; (ii) information concerning the
services rendered to the Fund, as well as information regarding the Manager's
revenues and costs of providing services to the Fund and compensation paid to
affiliates of the Manager; and (iii) information about the Manager's operations
and personnel.
Prior to voting, the Independent Trustees reviewed the proposed continuance of
the Management Agreement with management and with experienced independent
counsel and received materials from such counsel discussing the legal standards
for their consideration of the proposed continuation of the Management Agreement
with respect to the Fund. The Independent Trustees also reviewed the proposed
continuation of the Management Agreement with respect to the Fund in private
sessions with their counsel at which no representatives of management were
present.
At each regularly scheduled meeting of the Board and its committees, the Board
receives and reviews, among other things, information concerning the Fund's
performance and services provided by the Manager. At the meeting at which
renewal of the Management Agreement is considered, particular focus is given to
information concerning Fund performance,
24 | USAA EXTENDED MARKET INDEX FUND
comparability of fees and total expenses, and profitability. However, the Board
noted that the evaluation process with respect to the Manager is an ongoing one.
In this regard, the Board's and its committees' consideration of the Management
Agreement included certain information previously received at such meetings.
MANAGEMENT AGREEMENT
After full consideration of a variety of factors, the Board, including the
Independent Trustees, voted to approve the Management Agreement. In approving
the Management Agreement, the Trustees did not identify any single factor as
controlling, and each Trustee may have attributed different weights to various
factors. Throughout their deliberations, the Independent Trustees were
represented and assisted by independent counsel.
The Trustees took into account the fact that the Fund operates in a master-
feeder structure through which the Fund invests all of its investable assets in
the Extended Market Index Series (the Master Fund), a separate registered
investment company advised by BlackRock Advisors, LLC (the Adviser).
NATURE, EXTENT, AND QUALITY OF SERVICES -- In considering the nature, extent,
and quality of the services provided by the Manager under the Management
Agreement, the Board reviewed information provided by the Manager relating to
its operations and personnel. The Board also took into account its familiarity
with the Manager's management through Board meetings, discussions, and reports
during the preceding year. The Board considered the services provided to the
Fund by the Manager under the Management Agreement, as well as other services
provided by the Manager and its affiliates under other agreements, and the
personnel who provide these services. The Board noted that the Manager receives
no investment advisory fee for serving as the investment adviser to the Fund so
long as the Fund is operated in a master-feeder structure. In addition to the
investment advisory services provided to the Fund, the Manager and its
affiliates provide administrative services, stockholder services, oversight of
fund accounting, marketing services, assistance in meeting legal and regulatory
requirements, and other services necessary for the operation
ADVISORY AGREEMENT | 25
of the Fund and the Trust. The Board considered the level and depth of knowledge
of the Manager, including the professional experience and qualifications of
senior personnel, as well as current staffing levels. The Board discussed the
Manager's effectiveness in monitoring the performance of the Adviser to the
Master Fund. The Manager's role in coordinating the activities of the Fund's
other service providers was also considered. The Board considered the Manager's
financial condition and that it had the financial wherewithal to continue to
provide the same scope and high quality of services under the Management
Agreement. In reviewing the Management Agreement, the Board focused on the
experience, resources, and strengths of the Manager and its affiliates in
managing investment companies, including the Fund.
The Board also reviewed the compliance and administrative services provided to
the Fund by the Manager, including oversight of the Master Fund's operations and
of the Fund's day-to-day operations and oversight of Fund accounting. The
Manager and its affiliates provide compliance and administrative services to the
Fund. The Trustees, guided also by information obtained from their experiences
as trustees of the Fund and other investment companies managed by the Manager,
also focused on the quality of the Manager's compliance and administrative
staff.
EXPENSES AND PERFORMANCE -- In connection with its consideration of the
Management Agreement, the Board evaluated the Fund's advisory fees and total
expense ratio as compared to other open-end investment companies deemed to be
comparable to the Fund as determined by the independent third party in its
report. The Fund's expenses were compared to a group of investment companies
chosen by the independent third party to be comparable to the Fund based upon
certain factors, including fund type, comparability of investment objective and
classification, sales load type (in this case, investment companies with no
sales loads and front-end loads), asset size, and expense components (the
"expense group") and (ii) a larger group of investment companies that includes
all no-load and front-end load retail open-end investment companies in the same
investment classification/objective as the Fund regardless of asset size,
excluding outliers (the "expense universe"). Among other data, the Board noted
that the Fund's management fee rate -- which reflects the
26 | USAA EXTENDED MARKET INDEX FUND
advisory fee paid by the Master Fund to the Adviser as well as administrative
services provided to the Fund by the Manager and its affiliates and the effects
of any reimbursements -- was below the median of its expense group and its
expense universe. The data indicated that the Fund's total expenses, after
reimbursements, were below the median of its expense group and was the median of
its expense universe. The Board noted that the Manager does not currently
receive an advisory fee from the Fund for the services that it provides under
the Management Agreement. The Trustees took into account that the management fee
and total expenses reflected both the expenses of the Fund as well as those of
the Master Fund and that the Master Fund's advisory fee was below the median of
the Fund's expense group. The Trustees also took into account the Manager's
current undertakings to maintain expense limitations for the Fund. The Board
also took into account the various services provided to the Fund by the Manager
and its affiliates. The Trustees also noted the high level of correlation
between the Fund and its corresponding index and the relatively low tracking
error between the two, and noted that it reviews such information on a quarterly
basis.
In considering the Fund's performance, the Board noted that it reviews at its
regularly scheduled meetings detailed information about the Fund's and the
Master Fund's performance results. The Trustees also reviewed various
comparative data provided to them in connection with their consideration of the
renewal of the Management Agreement, including, among other information, a
comparison of the Fund's average annual total return with its Lipper index and
with that of other mutual funds deemed to be in its peer group by the
independent third party in its report (the "performance universe"). The Fund's
performance universe consisted of the Fund and all retail and institutional
open-end investment companies with the same classification/objective as the Fund
regardless of asset size or primary channel of distribution. This comparison
indicated that, among other data, the Fund's performance was below the average
of its performance universe and its Lipper index for the one- and three-year
periods ended December 31, 2009 and was above the average of its performance
universe and lower than its Lipper index for the five-year period ended December
31, 2009. The Board also noted that the Fund's
ADVISORY AGREEMENT | 27
percentile performance ranking was in the top 50% of its performance universe
for the one-year period ended December 31, 2009 and in the bottom 50% of its
performance universe for the three- and five-year periods ended December 31,
2009. The Board took into account management's discussion of the Fund's
performance, including the Fund's high level of correlation between the Fund's
performance and its corresponding index. The Trustees also noted management's
discussion of the peer group of the Fund.
COMPENSATION AND PROFITABILITY -- The Board noted that the Manager does not
currently receive an advisory fee from the Fund under the Management Agreement.
The information considered by the Board included operating profit margin
information for the Manager's business as a whole. The Board also received and
considered profitability information related to the revenues from the Fund. This
consideration included a broad review of the methodology used in the allocation
of certain costs to the Fund. The Trustees reviewed the profitability of the
Manager's relationship with the Fund before tax expenses. In considering the
profitability data with respect to the Fund, the Trustees noted that the Manager
reimbursed the Fund for expenses. In reviewing the overall profitability of the
Fund to the Manager, the Board also considered the fact that affiliates provide
shareholder servicing and administrative services to the Fund for which they
receive compensation. The Board also considered the possible direct and indirect
benefits to the Manager from its relationship with the Trust, including that the
Manager may derive reputational and other benefits from its association with the
Fund.
ECONOMIES OF SCALE -- With respect to the consideration of any economies of
scale to be realized by the Fund, the Board took into account that the Manager
does not receive any advisory fees under the Management Agreement and that the
management fee reflects the advisory fee paid at the Master Fund level to the
Master Fund's Adviser. The Board took into account Management's discussion of
the Fund's current advisory fee structure. The Board determined that the current
fee structure was reasonable. The Board also considered the effects of the
Fund's growth and size on the Fund's performance and fees, noting that if the
Fund's
28 | USAA EXTENDED MARKET INDEX FUND
assets increase over time, the Fund may realize other economies of scale if
assets increase proportionally more than some expenses.
CONCLUSIONS -- The Board reached the following conclusions regarding the Fund's
Management Agreement with the Manager, among others: (i) the Manager has
demonstrated that it possesses the capability and resources to perform the
duties required of it under the Management Agreement; (ii) the Manager maintains
an appropriate compliance program; (iii) the performance of the Fund is
reasonable in relation to the performance of funds with similar investment
objectives and to relevant indices; (iv) the Fund's advisory expenses are
reasonable in relation to those of similar funds and to the services to be
provided by the Manager; and (v) the Manager and its affiliates' level of
profitability, if any, from their relationship with the Fund is reasonable.
Based on its conclusions, the Board determined that continuation of the
Management Agreement would be in the best interests of the Fund and its
shareholders.
ADVISORY AGREEMENT | 29
Semiannual report of the
MASTER EXTENDED MARKET INDEX SERIES
in which the USAA EXTENDED MARKET INDEX FUND
invests
SCHEDULE OF INVESTMENTS
June 30, 2010 (Unaudited)
--------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------
COMMON STOCKS
AEROSPACE & DEFENSE - 1.2%
4,300 AAR Corp.(a) $ 71,982
200 Aerosonic Corp.(a) 588
2,900 AeroVironment, Inc.(a) 63,017
4,562 Alliant Techsystems, Inc.(a) 283,118
13,400 American Defense Systems, Inc.(a) 3,216
13,532 Applied Energetics, Inc.(a),(b) 13,938
3,100 Applied Signal Technology, Inc. 60,915
2,800 Argon ST, Inc.(a) 96,012
3,320 Arotech Corp.(a) 4,847
1,304 Astronics Corp.(a) 21,333
2,934 Astrotech Corp.(a) 3,638
1,200 Aviation General, Inc.(a) -
13,200 BE Aerospace, Inc.(a) 335,676
4,475 Ceradyne, Inc.(a) 95,631
1,800 Cubic Corp. 65,484
5,000 Curtiss-Wright Corp. 145,200
1,600 Ducommun, Inc. 27,360
3,700 Esterline Technologies Corp.(a) 175,565
8,800 Force Protection, Inc.(a) 36,080
10,600 GenCorp, Inc.(a) 46,428
800 Hawk Corp., Class A(a) 20,360
3,328 Heico Corp., Class A 89,690
1,408 Herley Industries, Inc.(a) 20,078
11,475 Hexcel Corp.(a) 177,977
4,000 ICx Technologies, Inc.(a) 29,200
3,261 Innovative Solutions & Support, Inc.(a) 14,348
1,563 Kratos Defense & Security Solutions, Inc.(a) 16,412
2,600 LMI Aerospace, Inc.(a) 41,002
2,500 Ladish Co., Inc.(a) 56,800
2,195 Mantech International Corp., Class A(a) 93,441
4,886 Moog, Inc., Class A(a) 157,476
7,300 Orbital Sciences Corp.(a) 115,121
2,400 RBC Bearings, Inc.(a) 69,576
11,500 Smith & Wesson Holding Corp.(a) 47,035
12,000 Spirit Aerosystems Holdings, Inc., Class A(a) 228,720
4,400 Sturm Ruger & Co., Inc. 63,052
10,930 Taser International, Inc.(a) 42,627
4,800 Teledyne Technologies,Inc.(a) 185,184
5,100 TransDigm Group, Inc. 260,253
2,400 Triumph Group, Inc. 159,912
1,000 VSE Corp. 31,820
------------
3,470,112
------------
ALTERNATIVE ENERGY - 0.1%
2,600 Akeena Solar, Inc.(a),(b) 1,756
1,500 Ascent Solar Technologies, Inc.(a) 4,095
4,600 BioFuel Energy Corp.(a) 5,934
412 DayStar Technologies, Inc.(a) 416
8,500 Ener1, Inc.(a),(b) 28,730
5,758 Energy Conversion Devices, Inc.(a),(b) 23,608
16,600 Evergreen Solar, Inc.(a),(b) 11,321
11,800 FuelCell Energy, Inc.(a),(b) 13,924
6,314 GT Solar International, Inc.(a),(b) 35,358
1,913 Green Plains Renewable Energy(a) 19,551
300 GreenHunter Energy, Inc.(a) 276
2,900 Hoku Corp.(a) 9,686
2,700 Ocean Power Technologies, Inc.(a) 13,986
|
SCHEDULE OF INVESTMENTS | 31
--------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
--------------------------------------------------------------------------------
15,500 Pacific Ethanol, Inc.(a) $ 9,920
19,907 Plug Power, Inc.(a) 9,157
4,700 Raser Technologies, Inc.(a) 2,750
4,674 STR Holdings, Inc.(a) 87,871
9,550 SunPower Corp., Class A(a),(b) 115,555
3,173 SunPower Corp., Class B(a) 34,268
3,090 Verenium Corp.(a) 7,262
------------
435,424
------------
AUTOMOBILES & PARTS - 1.1%
8,046 American Axle & Manufacturing Holdings, Inc.(a) 58,977
4,600 Amerigon, Inc.(a) 33,948
14,700 BorgWarner, Inc.(a) 548,898
6,900 Cooper Tire & Rubber Co. 134,550
17,126 Dana Holding Corp.(a) 171,260
1,519 Dorman Products, Inc.(a) 30,881
6,887 Exide Technologies(a) 35,812
3,120 Federal-Mogul Corp., Class A(a) 40,622
2,160 Fuel Systems Solutions, Inc.(a),(b) 56,052
18,990 Gentex Corp. 341,440
18,280 LKQ Corp.(a) 352,439
5,719 Lear Corp.(a) 378,598
3,489 LoJack Corp.(a) 12,875
5,205 Modine Manufacturing Co.(a) 39,974
31,112 Quantum Fuel Systems Technologies Worldwide, Inc.(a) 16,676
400 Shiloh Industries, Inc.(a) 3,384
4,500 Standard Motor Products, Inc. 36,315
1,700 Stoneridge, Inc.(a) 12,903
900 Strattec Security Corp.(a) 19,890
3,110 Superior Industries International, Inc. 41,799
10,362 TRW Automotive Holdings Corp.(a) 285,680
8,037 Tenneco, Inc.(a) 169,259
6,875 Titan International, Inc. 68,544
3,832 U.S. Auto Parts Network, Inc.(a) 22,992
600 United Capital Corp.(a) 14,646
8,600 WABCO Holdings, Inc.(a) 270,728
------------
3,199,142
------------
BANKS - 5.3%
1,510 1st Source Corp. 25,549
2,518 1st United BanCorp., Inc.(a) 18,532
2,400 Abington Bancorp, Inc. 20,928
500 Alliance Financial Corp. 13,900
200 Ameriana Bancorp 838
600 American National Bankshares, Inc. 12,834
2,528 Ameris Bancorp 24,420
700 Ames National Corp. 13,678
2,600 Anchor Bancorp Wisconsin, Inc.(a) 1,170
1,205 Arrow Financial Corp. 27,835
23,359 Associated Banc-Corp. 286,381
12,250 Astoria Financial Corp. 168,560
434 Atlantic Coast Federal Corp.(a) 1,298
631 BCSB Bancorp, Inc.(a) 6,247
3,426 BOK Financial Corp. 162,632
1,000 Bancfirst Corp. 36,490
3,400 The Bancorp, Inc.(a) 26,622
1,300 Bancorp of New Jersey, Inc. 15,977
900 Bancorp Rhode Island, Inc. 23,580
9,164 BancorpSouth, Inc. 163,852
3,818 BancTrust Financial Group, Inc.(a) 14,127
5,900 Bank Mutual Corp. 33,512
2,778 Bank of Granite Corp.(a) 3,195
6,700 Bank of Hawaii Corp.(c) 323,945
500 Bank of Marin Bancorp 15,965
2,500 Bank of the Ozarks, Inc.(c) 88,675
7,368 BankAtlantic Bancorp, Inc.(a) 10,315
|
32 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
2,200 BankFinancial Corp. $ 18,282
2,500 Banner Corp. 4,950
500 Bar Harbor Bankshares 12,485
4,000 Beneficial Mutual Bancorp, Inc.(a) 39,520
300 Berkshire Bancorp, Inc.(a) 1,500
1,700 Berkshire Hills Bancorp, Inc. 33,116
2,300 BofI Holding, Inc.(a) 32,476
11,400 Boston Private Financial Holdings, Inc. 73,302
1,100 Bridge Bancorp, Inc. 26,708
10,299 Brookline Bancorp, Inc. 91,455
700 Bryn Mawr Bank Corp. 11,746
2,640 CFS Bancorp, Inc. 12,830
15,275 CVB Financial Corp.(b) 145,112
600 California First National Bancorp 7,404
894 Camco Financial Corp.(a) 2,244
800 Camden National Corp. 21,976
200 Cape Bancorp, Inc.(a) 1,430
3,637 Capital Bank Corp. 11,820
1,745 Capital City Bank Group, Inc. 21,603
1,820 Capitol Bancorp Ltd.(a) 2,311
2,767 Capitol Federal Financial 91,754
36,416 CapitalSource, Inc. 173,340
4,200 Cardinal Financial Corp. 38,808
210 Carrollton Bancorp 1,138
2,975 Cascade Bancorp(a) 1,428
2,391 Cascade Financial Corp.(a) 1,136
10,522 Cathay General Bancorp 108,692
3,015 Center Bancorp, Inc. 22,854
4,612 Center Financial Corp.(a) 23,752
2,705 Centerstate Banks, Inc. 27,293
4,555 Central Pacific Financial Corp.(a),(b) 6,833
900 Century Bancorp, Inc., Class A 19,836
500 Charter Financial Corp. 4,950
2,947 Chemical Financial Corp. 64,186
600 Chicopee Bancorp, Inc.(a) 7,026
1,629 Citizens & Northern Corp. 17,430
69,785 Citizens Banking Corp.(a) 59,317
2,496 Citizens South Banking Corp. 12,979
2,900 City Holding Co. 80,852
5,735 City National Corp. 293,804
980 Clifton Savings Bancorp, Inc. 8,477
4,417 CoBiz Financial, Inc. 29,108
750 Colony Bankcorp, Inc.(a) 4,500
4,630 Columbia Banking System, Inc. 84,544
100 Comm Bancorp, Inc. 1,750
9,324 Commerce Bancshares, Inc. 335,571
5,500 Community Bank System, Inc. 121,165
1,580 Community Trust Bancorp, Inc. 39,658
7,540 Cullen/Frost Bankers, Inc. 387,556
3,700 Danvers Bancorp, Inc. 53,465
3,900 Dime Community Bancshares, Inc. 48,087
677 Doral Financial Corp.(a) 1,652
629 ESB Financial Corp. 8,208
2,400 ESSA Bancorp, Inc. 29,544
1,991 Eagle Bancorp, Inc.(a) 23,454
18,169 East-West Bancorp, Inc. 277,077
300 Eastern Virginia Bankshares, Inc. 1,953
100 Emclaire Financial Corp. 1,555
1,700 Encore Bancshares, Inc.(a) 16,813
2,700 Enterprise Financial Services Corp. 26,028
12,873 F.N.B. Corp. 103,370
2,022 FNB United Corp.(a) 1,618
1,981 Farmers Capital Bank Corp. 10,004
1,900 Financial Institutions, Inc. 33,744
1,187 First Bancorp, Inc. 15,585
|
SCHEDULE OF INVESTMENTS | 33
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
1,800 First Bancorp, North Carolina $ 26,082
16,800 First BanCorp, Puerto Rico(a),(b) 8,904
7,921 First Busey Corp. 35,882
800 First Chester County Corp. 6,912
1,258 First Citizens Banc Corp 5,661
683 First Citizens BancShares, Inc., Class A 131,361
9,100 First Commonwealth Financial Corp. 47,775
1,828 First Community Bancshares, Inc. 26,853
1,300 First Defiance Financial Corp. 11,622
1,515 First Federal Bancshares of Arkansas, Inc. 3,939
8,810 First Financial Bancorp 131,709
2,166 First Financial Bankshares, Inc. 104,163
1,288 First Financial Corp. 33,243
1,400 First Financial Holdings, Inc. 16,030
3,100 First Financial Northwest, Inc. 12,276
358 First Financial Service Corp. 2,592
1,106 First M&F Corp. 4,358
3,244 First Merchants Corp. 27,509
10,375 First Midwest Bancorp, Inc. 126,160
27,592 First Niagara Financial Group, Inc. 345,728
400 The First of Long Island Corp. 10,284
2,994 First Place Financial Corp. 8,982
1,076 First Security Group, Inc. 2,066
1,000 First South Bancorp, Inc. 10,610
3,300 First State Bancorp.(a),(b) 1,023
700 First United Corp. 2,730
12,639 FirstMerit Corp. 216,506
4,279 Flagstar BanCorp, Inc.(a) 13,436
2,950 Flushing Financial Corp. 36,078
1,711 Fox Chase BanCorp, Inc.(a) 16,372
25,411 Fulton Financial Corp. 245,216
1,094 HMN Financial, Inc.(a) 5,011
1,061 German American Bancorp, Inc. 16,233
9,856 Glacier Bancorp, Inc. 144,588
1,100 Great Southern Bancorp, Inc. 22,341
2,027 Greene County Bancshares, Inc.(a) 25,885
5,400 Guaranty Bancorp(a) 5,724
4,404 Hampton Roads Bankshares, Inc.(a) 3,303
4,200 Hancock Holding Co. 140,112
14,356 Hanmi Financial Corp.(a),(b) 18,089
270 Hawthorn Bancshares, Inc. 3,231
1,700 Heartland Financial USA, Inc. 29,376
2,744 Heritage Commerce Corp.(a) 9,741
960 Heritage Financial Corp.(a) 14,371
1,000 Home Bancorp, Inc.(a) 12,910
2,808 Home Bancshares, Inc. 64,050
1,800 Home Federal Bancorp,Inc. 22,734
1,549 Hudson Valley Holding Corp. 35,813
3,200 IBERIABANK Corp. 164,736
2,313 Independent Bank Corp./MA 57,085
6,490 Independent Bank Corp./MI 2,460
1,100 Indiana Community Bancorp 13,145
5,814 Integra Bank Corp.(a),(b) 4,419
6,434 International Bancshares Corp. 107,383
2,439 Intervest Bancshares Corp.(a) 13,293
5,678 Investors Bancorp, Inc.(a) 74,495
2,346 Jefferson Bancshares, Inc. 9,314
|
34 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
2,300 Kearny Financial Corp. $ 21,068
2,600 Lakeland Bancorp, Inc. 22,152
3,200 Lakeland Financial Corp. 63,936
1,700 Legacy Bancorp, Inc./MA 14,994
600 Louisiana Bancorp, Inc.(a) 8,406
7,530 MB Financial, Inc. 138,477
3,239 Macatawa Bank Corp.(a) 3,887
2,301 MainSource Financial Group, Inc. 16,498
1,200 Malvern Federal Bancorp, Inc. 10,032
3,570 Mercantile Bank Corp. 19,171
550 Merchants Bancshares, Inc. 12,221
1,518 Metro Bancorp, Inc.(a) 18,732
115 Mid Penn Bancorp, Inc. 1,035
900 MidwestOne Financial Group, Inc. 13,932
300 MutualFirst Financial, Inc. 2,010
400 NASB Financial, Inc. 6,060
3,990 NBT Bancorp, Inc. 81,476
6,000 Nara Bancorp, Inc.(a) 50,580
572 National Bankshares, Inc. 13,860
20,227 National Penn Bancshares, Inc. 121,564
56,041 New York Community Bancorp, Inc.(b) 855,746
13,500 NewAlliance Bancshares, Inc. 151,335
4,304 Newbridge Bancorp(a) 15,107
3,289 North Valley Bancorp(a) 7,236
300 Northern States Financial Corp.(a) 675
2,200 Northfield Bancorp, Inc. 28,556
7,900 Northwest Bancshares, Inc. 90,613
157 Norwood Financial Corp. 3,964
4,400 OceanFirst Financial Corp. 53,108
875 Ohio Valley Banc Corp. 14,411
12,721 Old National Bancorp 131,790
4,286 Old Second Bancorp, Inc. 8,572
3,894 Oriental Financial Group 49,298
2,100 Oritani Financial Corp. 21,000
688 Orrstown Financial Service, Inc. 15,225
1,688 PAB Bankshares, Inc.(a) 1,587
5,166 PVF Capital Corp.(a) 9,712
12,210 Pacific Capital Bancorp(a) 8,791
1,953 Pacific Continental Corp. 18,495
4,561 PacWest Bancorp 83,512
1,000 Pamrapo Bancorp, Inc.(a) 7,050
1,364 Park National Corp.(b) 88,715
500 Parkvale Financial Corp. 4,190
906 Peapack-Gladstone Financial Corp. 10,600
800 Penns Woods Bancorp, Inc. 24,336
1,095 Peoples Bancorp, Inc. 15,877
363 Peoples Bancorp of North Carolina, Inc. 1,753
1,000 Peoples Financial Corp. 10,600
5,842 Pinnacle Financial Partners, Inc.(a) 75,070
91,739 Popular, Inc.(a) 245,861
1,035 Porter Bancorp, Inc. 13,062
4,683 Preferred Bank(a) 9,787
840 Premierwest Bancorp(a) 336
8,727 PrivateBancorp, Inc. 96,695
6,700 Prosperity Bancshares, Inc. 232,825
500 Provident Financial Holdings, Inc. 2,400
9,789 Provident Financial Services, Inc. 114,433
4,803 Provident New York Bancorp 42,507
1,400 Prudential Bancorp, Inc. of Pennsylvania 8,344
1,000 Pulaski Financial Corp. 6,450
2,475 Renasant Corp. 35,516
1,448 Republic Bancorp, Inc., Class A 32,435
1,946 Republic First Bancorp, Inc.(a) 3,795
1,650 Riverview Bancorp, Inc.(a) 4,043
|
SCHEDULE OF INVESTMENTS | 35
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
1,300 Rockville Financial, Inc. $ 15,483
5,100 Rodman & Renshaw Capital Group, Inc.(a) 14,586
900 Roma Financial Corp. 9,774
2,000 Rome Bancorp, Inc. 18,040
1,265 Royal Bancshares of Pennsylvania, Class A(a) 3,795
3,000 S&T Bancorp, Inc.(b) 59,280
1,399 SCBT Financial Corp. 49,273
5,805 SVB Financial Group(a) 239,340
1,310 SY Bancorp, Inc. 30,104
2,910 Sandy Spring Bancorp,Inc. 40,769
703 Santander BanCorp(a) 8,886
188 Savannah Bancorp, Inc. 1,835
13,205 Seacoast Banking Corp. of Florida(a),(b) 17,563
850 Shore Bancshares, Inc. 10,124
1,388 Sierra Bancorp 15,962
6,000 Signature Bank(a) 228,060
2,800 Simmons First National Corp., Class A 73,528
5,200 Smithtown Bancorp, Inc. 15,496
49,735 The South Financial Group, Inc.(a) 13,553
1,822 Southside Bancshares, Inc. 35,784
4,200 Southwest Bancorp, Inc. 55,818
132 Southwest Georgia Financial Corp. 1,320
1,425 State Bancorp, Inc. 13,537
2,425 StellarOne Corp. 30,967
2,605 Sterling Bancorp 23,445
14,925 Sterling Bancshares, Inc. 70,297
12,643 Sterling Financial Corp.(a) 6,954
1,200 Suffolk Bancorp 37,128
785 Summit Financial Group, Inc.(a) 1,892
2,109 Sun Bancorp, Inc.(a) 7,930
2,362 Superior Bancorp(a) 4,559
15,590 Susquehanna Bancshares, Inc. 129,865
56,427 Synovus Financial Corp.(b) 143,325
17,090 TCF Financial Corp. 283,865
100 TF Financial Corp. 2,180
10,500 TFS Financial Corp. 130,305
200 Teche Holding Co. 5,620
6,200 Texas Capital Bancshares, Inc.(a) 101,680
915 Tompkins Trustco, Inc. 34,541
600 Tower Bancorp, Inc. 13,134
3,457 Towne Bank(b) 50,196
1,600 Trico Bancshares 27,088
8,360 TrustCo Bank Corp. NY 46,816
8,200 Trustmark Corp. 170,724
3,920 UMB Financial Corp. 139,395
13,466 Umpqua Holdings Corp. 154,590
2,099 Union First Market Bankshares Corp. 25,734
336 United Bancorp, Inc. 2,792
6,700 United Bankshares, Inc.(b) 160,398
15,380 United Community Banks, Inc.(a) 60,751
3,252 United Community Financial Corp.(a) 5,431
1,100 United Financial Bancorp, Inc. 15,015
1,119 United Security Bancshares(a) 4,073
2,860 United Western Bancorp, Inc. 2,288
1,928 Univest Corp. of Pennsylvania 33,393
21,023 Valley National Bancorp(b) 286,333
2,100 ViewPoint Financial Group 29,085
4,570 Virginia Commerce Bancorp(a) 28,562
1,800 WSFS Financial Corp. 64,674
200 WVS Financial Corp. 2,172
4,000 Washington Banking Co. 51,160
15,721 Washington Federal, Inc. 254,366
1,708 Washington Trust Bancorp, Inc. 29,104
600 Waterstone Financial, Inc.(a) 2,046
|
36 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
151 Wayne Savings Bancshares, Inc. $ 1,131
8,973 Webster Financial Corp. 160,976
2,789 WesBanco, Inc. 46,995
1,691 West Bancorp, Inc.(a) 11,516
10,384 West Coast Bancorp(a) 26,479
4,200 Westamerica Bancorp 220,584
8,095 Western Alliance Bancorp(a) 58,041
4,000 Westfield Financial, Inc. 33,320
14,125 Whitney Holding Corp. 130,656
9,969 Wilmington Trust Corp. 110,556
4,000 Wilshire Bancorp, Inc. 35,000
3,850 Wintrust Financial Corp. 128,359
1,200 Yardkin Valley Financial Corp.(a) 4,056
------------
15,436,081
------------
BEVERAGES - 0.2%
1,300 Boston Beer Co., Inc., Class A(a) 87,685
7,493 Central European Distribution Corp.(a) 160,200
400 Coca-Cola Bottling Co. Consolidated 19,168
8,628 Hansen Natural Corp.(a) 337,441
6,000 Jamba, Inc.(a) 12,780
4,200 Jones Soda Co.(a) 4,956
2,160 National Beverage Corp. 26,525
5,200 Reddy Ice Holdings, Inc.(a) 16,796
971 Willamette Valley Vineyards, Inc.(a) 3,399
------------
668,950
------------
CHEMICALS - 2.2%
7,425 Aceto Corp. 42,545
12,400 Albemarle Corp. 492,404
2,044 American Vanguard Corp. 16,209
2,700 Arch Chemicals, Inc. 82,998
8,700 Ashland, Inc. 403,854
3,000 Balchem Corp. 75,000
7,300 Cabot Corp. 176,003
8,000 Calgon Carbon Corp.(a) 105,920
3,100 Cambrex Corp.(a) 9,765
19,356 Celanese Corp., Series A 482,158
6,900 Cytec Industries, Inc. 275,931
10,950 Ferro Corp.(a) 80,701
256 Georgia Gulf Corp.(a) 3,415
5,300 H.B. Fuller Co. 100,647
2,400 Hawkins, Inc. 57,792
23,256 Huntsman Corp. 201,629
3,200 Innophos Holdings, Inc. 83,456
1,950 KMG Chemicals, Inc. 28,002
2,200 Koppers Holdings, Inc. 49,456
482 Kronos Worldwide, Inc.(a) 9,399
3,500 LSB Industries, Inc.(a) 46,585
8,915 Lubrizol Corp. 715,964
1,580 Material Sciences Corp.(a) 4,756
2,500 Metabolix, Inc.(a) 35,775
2,900 Minerals Technologies, Inc. 137,866
19,200 The Mosaic Co. 748,416
900 NL Industries, Inc. 5,490
3,000 Nanophase Technologies Corp.(a) 3,480
1,520 NewMarket Corp. 132,726
4,200 OM Group, Inc.(a) 100,212
8,792 Olin Corp. 159,047
3,966 Omnova Solutions, Inc.(a) 30,974
2,100 Penford Corp.(a) 13,608
9,500 PolyOne Corp.(a) 79,990
2,594 Polypore International, Inc.(a) 58,988
2,100 Quaker Chemical Corp. 56,889
17,900 RPM International, Inc. 319,336
30,300 Rentech, Inc.(a) 29,997
5,927 Rockwood Holdings, Inc.(a) 134,484
5,018 Schulman A, Inc. 95,141
3,400 Senomyx, Inc.(a) 12,886
5,200 Sensient Technologies Corp. 134,836
15,097 Solutia, Inc.(a) 197,771
3,400 Spartech Corp.(a) 34,850
1,300 Stepan Co. 88,959
|
SCHEDULE OF INVESTMENTS | 37
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
429 TOR Minerals International, Inc.(a) $ 2,926
2,500 Tredegar Corp. 40,800
1,338 Valhi, Inc. 16,511
7,200 W.R. Grace & Co.(a) 151,488
2,100 Westlake Chemical Corp. 38,997
2,018 Zagg, Inc.(a) 5,792
2,279 Zep, Inc. 39,746
5,700 Zoltek Cos., Inc.(a) 48,279
------------
6,500,849
------------
CONSTRUCTION & MATERIALS - 2.2%
3,500 A.O. Smith Corp. 168,665
1,550 Aaon, Inc. 36,130
4,900 Acuity Brands, Inc. 178,262
10,166 Advanced Environmental Recycling Technologies, Inc.,
Class A(a) 3,965
200 American Biltrite, Inc.(a) 740
2,000 American DG Energy, Inc.(a) 6,220
1,000 American Woodmark Corp. 17,100
1,500 Ameron International Corp. 90,495
5,200 Apogee Enterprises, Inc. 56,316
900 Argan, Inc.(a) 9,387
2,098 Armstrong World Industries, Inc.(a) 63,318
102 Baran Group Ltd.(a) 617
2,000 BlueLinx Holdings, Inc.(a) 5,260
5,290 Builders FirstSource, Inc.(a) 12,696
9,300 EMCOR Group, Inc.(a) 215,481
5,020 Eagle Materials, Inc. 130,169
3,400 Generac Holdings, Inc.(a) 47,634
3,400 Gibraltar Industries, Inc.(a) 34,340
4,650 Granite Construction, Inc. 109,647
6,000 Great Lakes Dredge & Dock Corp. 36,000
5,628 Griffon Corp.(a) 62,246
7,500 Headwaters, Inc.(a) 21,300
3,400 Hill International, Inc.(a) 13,804
4,606 Insituform Technologies, Inc., Class A(a) 94,331
1,900 Insteel Industries, Inc. 22,078
1,500 Integrated Electrical Services, Inc.(a) 5,235
20,053 KBR, Inc. 407,878
1,400 L.B. Foster Co., Class A(a) 36,288
2,291 Layne Christensen Co.(a) 55,602
7,300 Lennox International, Inc. 303,461
17,041 Louisiana-Pacific Corp.(a) 114,004
22,186 MDU Resources Group, Inc. 400,014
3,600 MYR Group, Inc.(a) 60,084
6,000 Martin Marietta Materials, Inc. 508,860
29,033 McDermott International, Inc.(a) 628,855
17,622 Mueller Water Products, Inc., Series A 65,378
1,240 NCI Building Systems, Inc.(a) 10,379
1,200 Northwest Pipe Co.(a) 22,800
500 Omega Flex, Inc. 7,290
4,600 Orion Marine Group, Inc.(a) 65,320
14,154 Owens Corning, Inc.(a) 423,346
3,299 PGT, Inc.(a) 8,478
2,700 Pike Electric Corp.(a) 25,434
6,250 Quanex Building Products Corp. 108,062
11,300 Shaw Group, Inc.(a) 386,686
4,283 Simpson Manufacturing Co., Inc. 105,148
2,600 Sterling Construction Co., Inc.(a) 33,644
1,273 TRC Cos., Inc.(a) 3,933
3,400 Texas Industries, Inc. 100,436
1,800 Trex Co., Inc.(a),(b) 36,162
3,200 Tutor Perini Corp.(a) 52,736
8,098 USG Corp.(a),(b) 97,824
3,200 Universal Forest Products, Inc. 96,992
3,100 Valmont Industries, Inc. 225,246
11,300 Valspar Corp. 340,356
|
38 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
3,700 Watsco, Inc. $ 214,304
3,200 Watts Water Technologies, Inc., Class A 91,712
------------
6,478,148
------------
ELECTRICITY - 2.1%
3,100 Allete, Inc. 106,144
15,000 Alliant Energy Corp. 476,100
4,000 Black Hills Corp. 113,880
1,700 CH Energy Group, Inc. 66,708
48,100 Calpine Corp.(a) 611,832
1,600 Central Vermont Public Service Corp. 31,584
6,700 Cleco Corp. 176,947
18,580 Covanta Holding Corp.(a) 308,242
15,635 DPL, Inc. 373,677
10,980 Dynegy, Inc.(a) 42,273
5,500 El Paso Electric Co.(a) 106,425
5,800 The Empire District Electric Co. 108,866
18,812 Great Plains Energy, Inc. 320,180
12,120 Hawaiian Electric Industries, Inc. 276,094
6,800 IDACORP, Inc. 226,236
6,800 ITC Holdings Corp. 359,788
2,400 MGE Energy, Inc. 86,496
18,700 Mirant Corp.(a) 197,472
14,100 NSTAR 493,500
32,400 NV Energy, Inc. 382,644
4,200 NorthWestern Corp. 110,040
2,000 Ormat Technologies, Inc. 56,580
11,200 Portland General Electric Co. 205,296
46,600 RRI Energy, Inc.(a) 176,614
2,933 UIL Holdings Corp. 73,413
17,000 US Geothermal, Inc.(a) 13,486
5,100 Unisource Energy Corp. 153,918
900 Unitil Corp. 18,819
15,125 Westar Energy, Inc. 326,851
------------
6,000,105
------------
ELECTRONIC & ELECTRICAL EQUIPMENT - 3.4%
8,886 A123 Systems, Inc.(a),(b) 83,795
6,863 AVX Corp. 87,984
2,300 AZZ, Inc. 84,571
13,477 Active Power, Inc.(a) 10,513
3,700 ActivIdentity Corp.(a) 7,067
1,342 Adept Technology, Inc.(a) 6,764
10,600 Advanced Battery Technologies, Inc.(a) 34,768
458 Allied Motion Technologies, Inc.(a) 2,079
8,900 Altair Nanotechnologies, Inc.(a),(b) 2,848
1,500 American Science & Engineering, Inc. 114,315
5,900 American Superconductor Corp.(a),(b) 157,471
13,315 Ametek, Inc. 534,597
1,700 Anaren, Inc.(a) 25,398
4,500 Anixter International, Inc.(a) 191,700
14,891 Arrow Electronics, Inc.(a) 332,814
18,924 Avnet, Inc.(a) 456,258
2,400 Badger Meter, Inc. 92,856
4,925 Baldor Electric Co. 177,694
11,511 Beacon Power Corp.(a) 3,753
1,188 Bel Fuse, Inc. 19,614
5,304 Belden, Inc. 116,688
7,184 Benchmark Electronics, Inc.(a) 113,866
5,300 Brady Corp. 132,076
2,800 C&D Technologies, Inc.(a),(b) 2,467
6,800 CTS Corp. 62,832
37,000 Capstone Turbine Corp.(a),(b) 36,260
4,300 Checkpoint Systems, Inc.(a) 74,648
7,100 Cogent, Inc.(a) 63,971
4,085 Cognex Corp. 71,814
3,800 Coherent, Inc.(a) 130,340
2,892 Coleman Cable, Inc.(a) 16,311
11,564 CommScope, Inc.(a) 274,876
4,500 Comverge, Inc.(a) 40,320
1,100 Cyberoptics Corp.(a) 10,637
3,627 DDi Corp. 27,311
|
SCHEDULE OF INVESTMENTS | 39
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
4,200 Daktronics, Inc. $ 31,500
588 Digital Angel Corp.(a) 295
2,069 Dionex Corp.(a) 154,058
2,987 ESCO Technologies, Inc. 76,915
3,800 Echelon Corp.(a) 27,854
1,531 Electro Rent Corp. 19,582
3,400 Electro Scientific Industries, Inc.(a) 45,424
2,301 eMagin Corp.(a) 8,284
2,527 Encore Wire Corp. 45,966
2,800 EnerNOC, Inc.(a),(b) 88,032
6,400 EnerSys(a) 136,768
6,000 FEI Co.(a) 118,260
2,200 Faro Technologies, Inc.(a) 41,162
7,000 General Cable Corp.(a) 186,550
14,495 GrafTech International Ltd.(a) 211,917
2,800 Greatbatch, Inc.(a) 62,468
2,400 Houston Wire & Cable Co. 26,040
6,871 Hubbell, Inc., Class B 272,710
2,956 II-VI, Inc.(a) 87,586
3,000 IPG Photonics Corp.(a) 45,690
3,600 Intevac, Inc.(a) 38,412
747 IntriCon Corp.(a) 3,817
5,300 Itron, Inc.(a) 327,646
1,895 Keithley Instruments, Inc. 16,733
9,611 L-1 Identity Solutions, Inc.(a) 78,714
2,950 LSI Industries, Inc. 14,396
1,100 LaBarge, Inc.(a) 12,551
1,000 Landauer, Inc. 60,880
2,456 LeCroy Corp.(a) 11,764
1,548 Lightpath Technologies, Inc., Class A(a) 2,461
1,658 Lime Energy Co.(a) 5,687
2,554 Littelfuse, Inc.(a) 80,732
1,900 MTS Systems Corp. 55,100
450 Mace Security International, Inc.(a) 252
3,162 Magnetek, Inc.(a) 2,909
2,900 Maxwell Technologies, Inc.(a) 33,060
1,500 Measurement Specialties, Inc.(a) 20,550
4,300 Methode Electronics, Inc. 41,882
4,175 Mettler Toledo International, Inc.(a) 466,055
9,392 Microvision, Inc.(a),(b) 27,800
2,100 Multi-Fineline Electronix, Inc.(a) 52,416
2,900 NU Horizons Electronics Corp.(a) 8,874
918 NVE Corp.(a) 39,961
3,700 Napco Security Technologies, Inc.(a) 6,327
7,258 National Instruments Corp. 230,659
4,700 Newport Corp.(a) 42,582
2,800 OSI Systems, Inc.(a) 77,756
2,600 Orion Energy Systems, Inc.(a) 8,190
2,050 Park Electrochemical Corp. 50,041
3,093 Planar Systems, Inc.(a) 5,289
5,800 Plexus Corp.(a) 155,092
1,800 Powell Industries, Inc.(a) 49,212
14,300 Power-One, Inc.(a),(b) 96,525
14,400 Powerwave Technologies, Inc.(a) 22,176
4,505 Regal-Beloit Corp. 251,289
3,696 Research Frontiers, Inc.(a),(b) 16,336
3,800 Richardson Electronics Ltd. 34,200
5,000 Rofin-Sinar Technologies, Inc.(a) 104,100
2,000 Rogers Corp.(a) 55,540
1,600 Rubicon Technology, Inc.(a) 47,664
11,233 Sanmina-SCI Corp.(a) 152,881
15,400 SatCon Technology Corp.(a) 44,044
400 Servotronics, Inc. 3,600
|
40 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
1,200 Sigmatron International, Inc.(a) $ 6,360
1,000 Spectrum Control, Inc.(a) 13,980
7,068 Synthesis Energy Systems, Inc.(a) 7,775
6,900 TTM Technologies, Inc.(a) 65,550
4,500 Technitrol, Inc. 14,220
2,013 Technology Research Corp. 10,206
6,265 Thomas & Betts Corp.(a) 217,396
800 Tollgrade Communications, Inc.(a) 5,040
16,434 Trimble Navigation Ltd.(a) 460,152
2,957 UQM Technologies Inc(a) 10,024
2,200 Ultralife Batteries, Inc.(a) 9,460
3,928 Universal Display Corp.(a),(b) 70,625
10,100 Valence Technology, Inc.(a),(b) 7,272
5,453 Veeco Instruments, Inc.(a) 186,929
615 Viasystems Group, Inc.(a) 9,084
3,800 Vicor Corp.(a) 47,462
20,323 Vishay Intertechnology, Inc.(a) 157,300
6,100 WESCO International, Inc.(a) 205,387
4,942 X-Rite, Inc.(a) 18,236
7,054 Zebra Technologies Corp., Class A(a) 178,960
1,700 Zygo Corp.(a) 13,787
------------
9,859,697
------------
FINANCIAL SERVICES - 3.0%
5,500 Advance America, Cash Advance Centers, Inc. 22,715
5,700 Affiliated Managers Group, Inc.(a) 346,389
800 American Physicians Service Group, Inc. 19,560
7,924 AmeriCredit Corp.(a) 144,375
2,168 Ampal-American Israel Corp., Class A(a) 3,382
4,400 Artio Global Investors, Inc. 69,256
2,100 Asset Acceptance Capital Corp.(a) 8,694
1,600 Asta Funding, Inc. 15,792
4,100 BGC Partners, Inc. 20,951
5,500 BlackRock, Inc.(d) 788,700
24,400 CIT Group, Inc.(a) 826,184
2,200 Calamos Asset Management, Inc., Class A 20,416
4,000 Cash America International, Inc. 137,080
2,929 Cohen & Co.,Inc.(a) 14,645
2,110 Cohen & Steers, Inc. 43,761
5,400 CompuCredit Hldgs Corp.(b) 21,384
4,002 Cowen Group, Inc., Class A(a) 16,408
577 Credit Acceptance Corp.(a) 28,140
890 Deerfield Capital Corp.(a) 4,886
300 Diamond Hill Investments Group 17,007
2,600 Dollar Financial Corp.(a) 51,454
2,000 Duff & Phelps Corp. 25,260
14,799 Eaton Vance Corp. 408,600
2,700 Encore Capital Group, Inc.(a) 55,647
2,300 Epoch Holding Corp. 28,221
1,500 Evercore Partners, Inc., Class A 35,025
7,000 Ezcorp, Inc.(a) 129,850
5,647 FBR Capital Markets Corp.(a) 18,805
139,800 Fannie Mae(a),(b) 47,882
2,627 Federal Agricultural Mortgage Corp., Class B 36,857
31,064 Fidelity National Title Group, Inc., Class A 403,521
4,300 First Cash Financial Services, Inc.(a) 93,740
6,200 The First Marblehead Corp.(a) 14,570
82,701 Freddie Mac(a) 34,156
|
SCHEDULE OF INVESTMENTS | 41
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
700 GAMCO Investors, Inc., Class A $ 26,040
7,258 GFI Group, Inc. 40,500
21,859 GLG Partners, Inc.(a),(b) 95,742
8,073 Gleacher & Co, Inc.(a) 20,586
3,600 Greenhill & Co., Inc. 220,068
6,800 Interactive Brokers Group, Inc., Class A(a) 112,880
2,330 International Assets Holding Corp., Inc.(a) 37,280
1,876 Intersections, Inc.(a) 7,785
6,400 Investment Technology Group, Inc.(a) 102,784
3,400 JMP Group, Inc. 21,046
13,920 Jefferies Group, Inc. New Shares(b) 293,434
4,048 KBW, Inc.(a) 86,789
13,700 Knight Capital Group, Inc., Class A(a) 188,923
11,909 Ladenburg Thalmann Financial Services, Inc.(a) 14,886
15,700 MF Global Holdings Ltd.(a) 89,647
23,773 MGIC Investment Corp.(a) 163,796
14,269 MSCI, Inc.(a) 390,971
2,952 MarketAxess Holdings, Inc. 40,708
2,800 Marlin Business Services, Inc.(a) 33,852
2,800 Medallion Financial Corp. 18,480
2,107 Merriman Curhan Ford Group, Inc.(a) 1,159
1,203 MicroFinancial, Inc. 4,198
8,010 MoneyGram International, Inc.(a) 19,625
4,639 National Financial Partners Corp.(a) 45,323
3,500 Nelnet, Inc., Class A 67,480
2,900 NewStar Financial, Inc.(a) 18,444
10,000 Ocwen Financial Corp.(a) 101,900
5,400 optionsXpress Holdings, Inc.(a) 84,996
16,062 The PMI Group, Inc.(a) 46,419
2,700 Penson Worldwide, Inc.(a) 15,228
2,175 Pico Holdings, Inc.(a) 65,185
2,845 Piper Jaffray Cos.(a) 91,666
1,896 Portfolio Recovery Associates, Inc.(a) 126,615
3,200 Primus Guaranty Ltd.(a) 11,808
870 Pzena Investment Management, Inc., Class A 5,542
15,816 Radian Group, Inc. 114,508
12,171 Raymond James Financial, Inc. 300,502
1,000 Resource America, Inc., Class A 3,850
966 Rewards Network, Inc. 13,205
19,533 SEI Investments Co. 397,692
6,065 SWS Group, Inc. 57,617
2,233 Safeguard Scientifics, Inc.(a) 23,580
3,800 Sanders Morris Harris Group, Inc. 21,090
3,300 Siebert Financial Corp.(a) 6,930
3,600 Stewart Information Services Corp. 32,472
3,500 Stifel Financial Corp.(a) 151,865
420 Student Loan Corp. 10,114
31,530 TD Ameritrade Holding Corp.(a) 482,409
2,800 Thomas Weisel Partners Group, Inc.(a) 16,492
8,000 TradeStation Group, Inc.(a) 54,000
1,743 Tree.com, Inc.(a) 11,016
2,900 Triad Guaranty, Inc.(a),(b) 667
1,600 U.S. Global Investors, Inc. 8,880
435 Virtus Investment Partners, Inc.(a) 8,143
10,500 Waddell & Reed Financial, Inc., Class A 229,740
|
42 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
700 Westwood Holdings Group, Inc. $ 24,605
200 Wilhelmina International, Inc.(a) 24
2,400 World Acceptance Corp.(a),(b) 91,944
------------
8,726,443
------------
FIXED LINE TELECOMMUNICATIONS - 0.7%
7,300 8x8, Inc.(a) 9,125
2,900 AboveNet, Inc.(a) 136,822
9,000 Alaska Communications Systems Group, Inc. 76,410
1,175 Arbinet Corp.(a) 9,106
4,800 Cbeyond Communications, Inc.(a) 60,000
22,800 Cincinnati Bell, Inc.(a) 68,628
4,584 Consolidated Communications Holdings, Inc. 77,974
3,400 General Communication, Inc., Class A(a) 25,806
2,752 Global Crossing Ltd.(a) 29,089
4,600 HickoryTech Corp. 31,050
5,333 IDT Corp., Class B(a) 67,996
206,694 Level 3 Communications, Inc.(a),(b) 225,297
300 NET2000 Communications, Inc.(a) -
18,000 PAETEC Holding Corp.(a) 61,380
29,100 Primus Telecommunications Escrow(a) -
4,500 RCN Corp.(a) 66,645
800 SureWest Communications(a) 5,072
19,200 TW Telecom, Inc.(a) 320,256
39,655 Virgin Media, Inc. 661,842
11,578 Vonage Holdings Corp.(a) 26,629
1,500 Warwick Valley Telephone Co. 21,105
------------
1,980,232
------------
FOOD & DRUG RETAILERS - 0.5%
200 Arden Group, Inc., Class A 17,574
7,500 Casey's General Stores, Inc. 261,750
1,200 Core-Mark Holdings Co., Inc.(a) 32,880
500 Dairy Mart Convenience Stores, Inc.(a) -
5,280 drugstore.com, Inc.(a) 16,262
4,820 The Great Atlantic & Pacific Tea Co., Inc.(a),(b) 18,798
3,300 Ingles Markets, Inc., Class A 49,665
1,520 Nash Finch Co. 51,923
14,200 Omnicare, Inc. 336,540
4,500 The Pantry, Inc.(a) 63,495
4,215 PetMed Express, Inc.(b) 75,027
69,100 Rite Aid Corp.(a),(b) 67,718
6,300 Ruddick Corp. 195,237
4,800 Spartan Stores, Inc. 65,856
4,451 United Natural Foods, Inc.(a) 132,996
100 Village Super Market, Inc., Class A 2,625
1,100 Vitamin Shoppe, Inc.(a) 28,215
1,200 Weis Markets, Inc. 39,492
5,700 Winn-Dixie Stores, Inc.(a) 54,948
------------
1,511,001
------------
FOOD PRODUCERS - 2.1%
400 Alico, Inc. 9,192
3,400 American Italian Pasta Co., Class A(a) 179,758
3,000 The Andersons, Inc. 97,770
5,500 B&G Foods, Inc., Class A 59,290
500 Bridgford Foods Corp. 7,000
17,992 Bunge Ltd. 885,026
336 Cagle's, Inc., Class A(a) 1,630
1,500 Cal-Maine Foods, Inc. 47,895
1,300 Calavo Growers, Inc. 23,348
|
SCHEDULE OF INVESTMENTS | 43
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
4,902 Chiquita Brands International, Inc.(a) $ 59,559
10,300 Corn Products International, Inc. 312,090
8,900 Darling International, Inc.(a) 66,839
25,300 Del Monte Foods Co. 364,067
2,800 Diamond Foods, Inc. 115,080
4,300 Dole Food Co., Inc.(a) 44,849
700 Farmer Bros. Co. 10,563
12,018 Flowers Foods, Inc. 293,600
4,700 Fresh Del Monte Produce, Inc.(a) 95,128
941 Golden Enterprises, Inc. 2,823
15,600 Green Mountain Coffee Roasters, Inc.(a) 400,920
600 Griffin Land & Nurseries, Inc. 15,240
4,100 HQ Sustainable Maritime Industries, Inc.(a) 20,500
6,839 Hain Celestial Group, Inc.(a) 137,943
800 Harbinger Group, Inc.(a) 5,024
8,200 Herbalife Ltd. 377,610
2,712 Imperial Sugar Co., New Shares 27,391
1,900 J&J Snack Foods Corp. 79,990
700 John B. Sanfilippo & Son, Inc.(a) 10,129
3,100 Lancaster Colony Corp. 165,416
3,500 Lance, Inc. 57,715
1,500 Lifeway Foods, Inc.(a) 14,610
2,900 MGP Ingredients, Inc.(a) 19,227
3,100 Mannatech, Inc.(a) 6,169
5,500 Martek Biosciences Corp.(a) 130,405
1,611 Medifast, Inc.(a) 41,741
6,600 NBTY, Inc.(a) 224,466
900 Natures Sunshine Prods, Inc.(a) 7,533
6,400 Nu Skin Enterprises, Inc., Class A 159,552
1,400 Nutraceutical International Corp.(a) 21,364
4,700 NutriSystem, Inc.(b) 107,818
1,400 Omega Protein Corp.(a) 5,614
5,880 Pilgrims Pride Corp.(a) 38,632
6,832 Ralcorp Holdings, Inc.(a) 374,394
1,819 Reliv International, Inc. 4,402
1,495 Rocky Mountain Chocolate Factory, Inc. 13,903
2,850 Sanderson Farms, Inc. 144,609
3,700 Schiff Nutrition International, Inc. 26,344
40 Seaboard Corp. 60,400
2,000 Seneca Foods Corp.(a) 64,520
11,700 Smart Balance, Inc.(a) 47,853
18,858 Smithfield Foods, Inc.(a) 280,984
400 Tasty Baking Co. 2,888
2,281 Tootsie Roll Industries, Inc. 53,946
3,732 TreeHouse Foods, Inc.(a) 170,403
1,100 USANA Health Sciences, Inc.(a) 40,183
------------
6,035,345
------------
FORESTRY & PAPER - 0.2%
8,874 Boise, Inc.(a) 48,719
4,300 Buckeye Technologies, Inc.(a) 42,785
1,774 Clearwater Paper Corp.(a) 97,144
1,400 Deltic Timber Corp. 58,520
5,208 Domtar Corp. 255,973
4,600 Kapstone Paper and Packaging Corp.(a) 51,244
3 MAXXAM, Inc.(a) 8,175
2,900 Neenah Paper, Inc. 53,070
4,900 P.H. Glatfelter Co. 53,165
2,900 Verso Paper Corp.(a) 6,699
5,400 Wausau Paper Corp.(a) 36,558
------------
712,052
------------
GAS, WATER & MULTI-UTILITIES - 1.6%
9,100 AGL Resources, Inc.(c) 325,962
1,950 American States Water Co. 64,623
|
44 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
20,361 American Water Works Co, Inc. $ 419,437
17,317 Aqua America, Inc. 306,165
225 Artesian Resources Corp., Class A 4,153
10,800 Atmos Energy Corp. 292,032
6,000 Avista Corp. 117,180
3,000 Cadiz, Inc.(a) 36,210
3,200 California Water Service Group 114,240
1,280 Chesapeake Utilities Corp. 40,192
1,000 Connecticut Water Service, Inc. 21,020
100 Delta Natural Gas Co., Inc. 2,850
300 Energy, Inc. 3,258
3,100 The Laclede Group, Inc. 102,703
1,366 Middlesex Water Co. 21,651
8,434 National Fuel Gas Co. 386,952
6,260 New Jersey Resources Corp. 220,352
2,900 Northwest Natural Gas Co. 126,353
11,000 PNM Resources, Inc. 122,980
1,777 Pennichuck Corp. 39,147
10,000 Piedmont Natural Gas Co. 253,000
22,600 Questar Corp.(a) 364,990
100 RGC Resources, Inc. 3,100
1,400 SJW Corp. 32,816
4,600 South Jersey Industries, Inc. 197,616
4,900 Southwest Gas Corp. 144,550
6,771 Southwest Water Co. 70,960
14,860 UGI Corp. 378,038
9,300 Vectren Corp. 220,038
7,100 WGL Holdings, Inc. 241,613
------------
4,674,181
------------
GENERAL INDUSTRIALS - 1.2%
1,300 AEP Industries, Inc.(a) 31,044
7,688 Actuant Corp., Class A 144,765
5,673 American International Industries, Inc.(a) 5,559
7,667 AptarGroup, Inc. 289,966
7,275 Carlisle Cos., Inc. 262,846
21,500 Crown Holdings, Inc.(a) 538,360
2,700 Graham Packaging Co., Inc.(a) 32,319
9,032 Graphic Packaging Holding Co.(a) 28,451
4,226 Greif, Inc. 234,712
9,776 Harsco Corp. 229,736
3,800 Landec Corp.(a) 22,382
1,300 Multi-Color Corp. 13,312
2,935 Myers Industries, Inc. 23,744
4,200 Otter Tail Corp. 81,186
12,369 Packaging Corp. of America 272,365
1,900 Raven Industries, Inc. 64,049
4,900 Rock-Tenn Co., Class A 243,383
7,400 Silgan Holdings, Inc. 210,012
12,416 Sonoco Products Co. 378,440
14,300 Temple-Inland, Inc. 295,581
3,600 Trimas Corp.(a) 40,716
------------
3,442,928
------------
GENERAL RETAILERS - 5.2%
4,470 1-800-FLOWERS.COM, Inc., Class A(a) 9,208
4,266 99 Cents Only Stores(a) 63,137
3,100 A.C. Moore Arts & Crafts, Inc.(a) 7,037
8,062 Aaron's, Inc. 137,618
12,800 Advance Auto Parts, Inc.(c) 642,304
13,115 Aeropostale, Inc.(a) 375,614
800 Amerco, Inc.(a) 44,040
1,650 America's Car Mart, Inc.(a) 37,340
21,165 American Eagle Outfitters, Inc. 248,689
3,000 American Public Education, Inc.(a) 131,100
1,731 Ancestry.com, Inc.(a) 30,500
7,333 AnnTaylor Stores Corp.(a) 119,308
|
SCHEDULE OF INVESTMENTS | 45
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
4,600 Asbury Automotive Group, Inc.(a) $ 48,484
8,000 Autobytel, Inc.(a) 9,120
7,477 BJ's Wholesale Club, Inc.(a) 276,724
4,871 Barnes & Noble, Inc.(b) 62,836
7,300 Beacon Roofing Supply, Inc.(a) 131,546
3,150 bebe Stores, Inc. 20,160
700 Bidz.com, Inc.(a) 1,050
3,700 Big 5 Sporting Goods Corp. 48,618
42,600 Blockbuster, Inc., Class A(a),(b) 10,143
2,300 Blue Nile, Inc.(a),(b) 108,284
3,400 The Bon-Ton Stores, Inc.(a) 33,150
1,200 Books-A-Million, Inc. 7,224
6,200 Borders Group, Inc.(a) 8,246
1,765 Bridgepoint Education, Inc.(a) 27,905
4,700 Brown Shoe Co., Inc. 71,346
3,725 The Buckle, Inc.(b) 120,764
1,500 Build-A-Bear Workshop, Inc.(a) 10,170
1,200 CPI Corp. 26,904
6,400 Cabela's, Inc., Class A(a) 90,496
2,300 Cache, Inc.(a) 13,064
2,800 Cambium Learning Group, Inc.(a) 10,080
2,300 Capella Education Co.(a) 187,105
8,668 Career Education Corp.(a) 199,537
3,522 Casual Male Retail Group, Inc.(a) 12,045
4,150 The Cato Corp., Class A 91,383
13,855 Charming Shoppes, Inc.(a) 51,956
2,500 Chemed Corp. 136,600
21,200 Chico's FAS, Inc. 209,456
2,844 The Children's Place Retail Stores, Inc.(a) 125,193
3,410 Christopher & Banks Corp. 21,108
1,600 Citi Trends, Inc.(a) 52,704
5,900 Clean Energy Fuels Corp.(a),(b) 88,146
7,470 Coldwater Creek, Inc.(a) 25,099
7,300 Collective Brands, Inc.(a) 115,340
1,870 Collectors Universe, Inc. 25,095
800 Conn's, Inc.(a) 4,704
9,346 Copart, Inc.(a) 334,680
11,635 Corinthian Colleges, Inc.(a),(b) 114,605
4,700 Cost Plus, Inc.(a) 16,779
1,988 DSW, Inc., Class A(a) 44,650
5,199 dELiA*s, Inc.(a) 7,643
1,200 Destination Maternity Corp.(a) 30,360
9,900 Dick's Sporting Goods, Inc.(a) 246,411
7,700 Dillard's, Inc., Class A(b) 165,550
4,100 Dollar General Corp.(a) 112,955
18,158 Dollar Tree, Inc.(a) 755,897
9,221 Dress Barn, Inc.(a) 219,552
600 Ediets.Com, Inc.(a),(b) 454
2,800 Education Management Corp.(a) 42,700
5,963 The Finish Line, Inc., Class A 83,065
21,500 Foot Locker, Inc. 271,330
7,450 Fred's, Inc. 82,397
7,900 GSI Commerce, Inc.(a) 227,520
2,460 Gaiam, Inc. 14,932
10,897 Geeknet, Inc.(a) 13,512
2,470 Genesco, Inc.(a) 64,986
1,300 Grand Canyon Education, Inc.(a) 30,459
3,201 Group 1 Automotive, Inc.(a) 75,320
7,000 Guess?, Inc. 218,680
4,400 Gymboree Corp.(a) 187,924
4,623 HSN, Inc.(a) 110,952
2,100 Haverty Furniture Cos., Inc. 25,809
4,618 Hibbett Sports, Inc.(a) 110,647
|
46 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
6,945 Hillenbrand, Inc. $ 148,554
8,365 Hot Topic, Inc. 42,494
4,994 ITT Educational Services, Inc.(a) 414,602
2,469 Internet Brands, Inc., Class A(a) 25,505
6,200 J. Crew Group, Inc.(a) 228,222
3,915 Jackson Hewitt Tax Service, Inc.(a) 4,424
3,766 Jo-Ann Stores, Inc.(a) 141,263
2,656 Jos. A. Bank Clothiers, Inc.(a) 143,397
3,161 K12, Inc.(a) 70,111
1,300 KAR Auction Services, Inc.(a) 16,081
2,500 Kirkland's, Inc.(a) 42,188
300 Lazare Kaplan International, Inc.(a) 750
1,800 Learning Tree International, Inc.(a) 19,530
2,900 Liquidity Services, Inc.(a) 37,584
3,900 Lithia Motors, Inc., Class A 24,102
2,200 Lumber Liquidators Holdings, Inc.(a) 51,326
668 Mac-Gray Corp. 7,442
4,200 MarineMax, Inc.(a) 29,148
3,200 Matthews International Corp., Class A 93,696
5,100 Men's Wearhouse, Inc. 93,636
2,200 Midas, Inc.(a) 16,874
3,125 Monro Muffler, Inc. 123,531
5,600 Navarre Corp.(a) 12,208
6,420 NetFlix, Inc.(a) 697,533
2,600 New York & Co.(a) 5,954
100 Nobel Learning Communities, Inc.(a) 590
9,849 OfficeMax, Inc.(a) 128,628
1,500 OpenTable, Inc.(a) 62,205
1,300 Overstock.com, Inc.(a) 23,491
2,100 PC Mall, Inc.(a) 8,400
11,081 Pacific Sunwear of California, Inc.(a) 35,459
7,100 Penske Auto Group, Inc.(a) 80,656
5,000 The Pep Boys - Manny, Moe & Jack 44,300
4,900 Pet DRx Corp.(a) 1,627
17,300 PetSmart, Inc. 521,941
11,318 Pier 1 Imports, Inc.(a) 72,548
1,430 Pre-Paid Legal Services, Inc.(a) 65,051
1,950 PriceSmart, Inc. 45,299
3,739 The Princeton Review, Inc.(a) 8,674
2,600 The Providence Service Corp.(a) 36,400
9,800 RealNetworks, Inc.(a) 32,340
5,700 Regis Corp. 88,749
9,600 Rent-A-Center, Inc.(a) 194,496
2,200 Retail Ventures, Inc.(a) 17,204
5,350 Rollins, Inc. 110,691
1,574 Rue21, Inc.(a) 47,755
3,850 Rush Enterprises, Inc., Class A(a) 51,436
17,824 Saks, Inc.(a),(b) 135,284
9,572 Sally Beauty Co., Inc.(a) 78,490
28,900 Service Corp. International 213,860
1,800 Shoe Carnival, Inc.(a) 36,918
3,166 Shutterfly, Inc.(a) 75,857
9,884 Signet Jewelers Ltd.(a) 271,810
3,900 Sonic Automotive, Inc.(a) 33,384
7,700 Sotheby's Holdings, Inc., Class A 176,099
3,400 Stage Stores, Inc. 36,312
2,650 Stamps.com, Inc.(a) 27,163
2,600 Standard Parking Corp.(a) 41,158
4,100 Stein Mart, Inc.(a) 25,543
10,200 Stewart Enterprises, Inc., Class A 55,182
1,900 Strayer Education, Inc.(b) 394,991
1,700 Susser Holdings Corp.(a) 20,043
3,512 The Talbots, Inc.(a) 36,209
3,500 Titan Machinery, Inc.(a) 45,955
5,200 Tractor Supply Co. 317,044
|
SCHEDULE OF INVESTMENTS | 47
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
2,400 Trans World Entertainment Corp.(a) $ 4,080
6,452 Tuesday Morning Corp.(a) 25,743
3,857 Ulta Salon Cosmetics & Fragrance, Inc.(a) 91,257
11,940 VCA Antech, Inc.(a) 295,634
7,300 ValueVision Media, Inc., Class A(a) 12,921
3,750 Weight Watchers International, Inc. 96,337
1,600 West Marine, Inc.(a) 17,408
12,975 The Wet Seal, Inc., Class A(a) 47,359
12,757 Williams-Sonoma, Inc. 316,629
600 Winmark Corp. 20,082
1,984 Zale Corp.(a) 3,135
2,600 Zumiez, Inc.(a) 41,886
------------
15,099,317
------------
HEALTH CARE EQUIPMENT & SERVICES - 6.3%
1,600 AGA Medical Holdings, Inc.(a) 20,304
7,200 AMERIGROUP Corp.(a) 233,856
5,400 ATS Medical, Inc.(a) 21,438
2,800 Abaxis, Inc.(a) 60,004
3,700 Abiomed, Inc.(a) 35,816
5,523 Accuray, Inc.(a) 36,617
600 Addus HomeCare Corp.(a) 3,594
1,476 AdvanSource Biomaterials Corp.(a) 413
1,600 Air Methods Corp.(a) 47,600
8,725 Align Technology, Inc.(a) 129,741
3,300 Alliance Healthcare Services, Inc.(a) 13,332
3,100 Allied Healthcare International, Inc.(a) 7,192
1,500 Almost Family, Inc.(a) 52,395
6,857 Alphatec Holdings, Inc.(a) 31,816
3,867 Amedisys, Inc.(a),(b) 170,032
1,200 America Service Group, Inc. 20,640
1,000 American Caresource Holdings, Inc.(a) 1,700
10,600 American Medical Systems Holdings, Inc.(a) 234,472
3,500 Amsurg Corp.(a) 62,370
1,500 Analogic Corp. 68,265
2,590 AngioDynamics, Inc.(a) 38,203
1,400 Anika Therapeutics, Inc.(a) 8,246
3,100 Animal Health International, Inc.(a) 7,688
2,265 ArthroCare Corp.(a) 69,422
1,760 Assisted Living Concepts, Inc.(a) 52,078
200 Atrion Corp. 27,010
8,500 Beckman Coulter, Inc. 512,465
2,345 Bio-Rad Laboratories, Inc., Class A(a) 202,819
4,400 Bio-Reference Labs, Inc.(a) 97,548
3,435 Biolase Technology, Inc.(a) 5,084
6,596 Bioscript, Inc.(a) 34,563
2,825 BioSphere Medical, Inc.(a) 12,204
1,600 Bovie Medical Corp.(a) 4,768
6,300 Brookdale Senior Living, Inc.(a) 94,500
8,333 Bruker BioSciences Corp.(a) 101,329
3,150 CONMED Corp.(a) 58,685
2,600 Cantel Medical Corp. 43,420
3,210 Cardiac Science Corp.(a) 3,146
2,700 Cardica, Inc.(a) 4,401
4,315 CardioNet, Inc.(a) 23,646
5,600 Catalyst Health Solutions, Inc.(a) 193,200
6,500 Centene Corp.(a) 139,750
8,600 Cepheid, Inc.(a) 137,772
1,450 Chindex International, Inc.(a) 18,169
6,800 Clarient, Inc.(a) 20,944
1,329 Clinical Data, Inc.(a) 16,533
12,600 Community Health Systems, Inc.(a) 426,006
|
48 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
4,300 Conceptus, Inc.(a) $ 66,994
7,800 Contiucare Corp.(a) 26,130
5,943 The Cooper Cos., Inc. 236,472
1,200 Corvel Corp.(a) 40,548
8,600 Covance, Inc.(a) 441,352
2,826 Cryo-Cell International, Inc.(a) 3,533
5,100 CryoLife, Inc.(a) 27,489
900 Cutera, Inc.(a) 8,289
4,000 Cyberonics, Inc.(a) 94,720
2,200 Cynosure, Inc., Class A(a) 23,694
700 Daxor Corp. 7,042
7,300 Delcath Systems, Inc.(a),(b) 46,282
7,900 DexCom, Inc.(a) 91,324
460 Dynacq Healthcare, Inc.(a) 1,076
13,936 Edwards Lifesciences Corp.(a) 780,695
3,004 Emergency Medical Services Corp.(a) 147,286
2,200 Emeritus Corp.(a),(b) 35,882
6,200 Endologix, Inc.(a) 28,086
500 The Ensign Group, Inc. 8,260
4,775 eResearch Technology, Inc.(a) 37,627
1,399 Escalon Medical Corp.(a) 2,210
8,209 ev3, Inc.(a) 183,964
1,000 Exactech, Inc.(a) 17,080
308 Five Star Quality Care, Inc.(a) 930
692 Fonar Corp.(a) 1,080
2,900 Genoptix, Inc.(a) 49,880
3,200 Gentiva Health Services, Inc.(a) 86,432
100 Gliatech, Inc.(a) -
3,900 HMS Holdings Corp.(a) 211,458
3,500 Haemonetics Corp.(a) 187,320
5,400 Hanger Orthopedic Group, Inc.(a) 96,984
8,900 Hansen Medical, Inc.(a) 18,957
5,100 Health Grades, Inc.(a) 30,600
33,780 Health Management Associates, Inc., Class A(a) 262,471
13,080 Health Net, Inc.(a) 318,760
3,877 Healthcare Services Group, Inc. 73,469
10,900 HealthSouth Corp.(a) 203,939
5,800 HealthSpring, Inc.(a) 89,958
2,954 HealthTronics, Inc.(a) 14,268
3,700 Healthways, Inc.(a) 44,104
12,000 Henry Schein, Inc.(a) 658,800
7,045 Hill-Rom Holdings, Inc. 214,379
34,336 Hologic, Inc.(a) 478,300
9,589 Hooper Holmes, Inc.(a) 5,466
2,900 Hydron Technologies, Inc.(a) 8
10,400 Hythiam, Inc.(a) 1,664
2,500 ICU Medical, Inc.(a) 80,425
2,300 IPC The Hospitalist Co., Inc.(a) 57,730
2,500 IRIS International, Inc.(a) 25,350
7,432 Idexx Laboratories, Inc.(a),(b) 452,609
7,887 Immucor, Inc.(a) 150,247
5,000 Insulet Corp.(a) 75,250
2,300 Integra LifeSciences Holdings Corp.(a) 85,100
5,100 Invacare Corp. 105,774
10,375 Inverness Medical Innovations, Inc.(a) 276,597
2,800 Kendle International, Inc.(a) 32,256
2,400 Kensey Nash Corp.(a) 56,904
3,890 Kindred Healthcare, Inc.(a) 49,948
7,715 Kinetic Concepts, Inc.(a) 281,675
4,084 LCA-Vision, Inc.(a) 22,625
2,600 LHC Group, Inc.(a) 72,150
1,088 Lectec Corp. 3,253
7,845 LifePoint Hospitals, Inc.(a) 246,333
13,950 Lincare Holdings, Inc. 453,514
4,800 MAKO Surgical Corp.(a),(b) 59,760
|
SCHEDULE OF INVESTMENTS | 49
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
1,600 MEDTOX Scientific, Inc.(a) $ 19,680
4,500 MELA Sciences, Inc.(a) 33,480
4,179 Magellan Health Services, Inc.(a) 151,781
6,090 Masimo Corp. 145,003
1,800 MedCath Corp.(a) 14,148
1,800 Medical Action Industries, Inc.(a) 21,582
5,600 Mednax, Inc.(a) 311,416
6,525 Meridian Bioscience, Inc. 110,925
3,068 Merit Medical Systems, Inc.(a) 49,303
300 Metropolitan Health Networks, Inc.(a) 1,119
2,700 Micrus Endovascular Corp.(a) 56,133
1,800 Molina Healthcare, Inc.(a) 51,840
2,154 NMT Medical, Inc.(a) 1,130
1,218 Nanosphere, Inc.(a) 5,310
448 National Dentex Corp.(a) 7,549
600 National Healthcare Corp. 20,676
3,100 Natus Medical, Inc.(a) 50,499
2,418 Neogen Corp.(a) 62,989
3,931 Neurometrix, Inc.(a) 4,481
2,700 Nighthawk Radiology Holdings, Inc.(a) 6,993
5,600 NuVasive, Inc.(a) 198,576
4,900 NxStage Medical, Inc.(a) 72,716
1,299 OTIX Global, Inc.(a) 5,196
5,650 Odyssey HealthCare, Inc.(a) 150,968
3,800 Omnicell, Inc.(a) 44,422
5,764 OraSure Technologies, Inc.(a) 26,687
2,300 Orthofix International NV(a) 73,715
8,420 Orthovita, Inc.(a) 17,093
3,300 Osteotech, Inc.(a) 10,461
8,100 Owens & Minor, Inc. 229,878
300 PC Group, Inc.(a) 120
9,000 PSS World Medical, Inc.(a) 190,350
2,000 Palomar Medical Technologies, Inc.(a) 22,380
8,500 Parexel International Corp.(a) 184,280
15,300 Pharmaceutical Product Development, Inc. 388,773
3,423 PharMerica Corp.(a) 50,181
125 Psychemedics Corp. 1,018
7,732 Psychiatric Solutions, Inc.(a) 252,991
4,800 Quidel Corp.(a) 60,912
5,160 RTI Biologics, Inc.(a) 15,119
6,500 RadNet, Inc.(a) 15,405
3,500 RehabCare Group, Inc.(a) 76,230
2,496 Res-Care, Inc.(a) 24,111
9,300 ResMed, Inc.(a) 565,533
1,898 Retractable Technologies, Inc.(a) 3,056
1,700 Rochester Medical Corp.(a) 16,065
3,200 Rockwell Medical Technologies, Inc.(a) 17,248
4,100 Rural/Metro Corp.(a) 33,374
1,655 SRI/Surgical Express, Inc.(a) 6,339
5,148 Select Medical Holdings Corp.(a) 34,903
1,006 SenoRx, Inc.(a) 11,046
4,691 Sirona Dental Systems, Inc.(a) 163,434
5,900 Skilled Healthcare Group, Inc., Class A(a) 40,061
2,500 Somanetics Corp.(a) 62,375
3,000 SonoSite, Inc.(a) 81,330
1,900 Sparta Surgical Corp.(a) -
3,800 Spectranetic Corp.(a) 19,684
2,400 Staar Surgical Co.(a) 13,728
3,935 Stereotaxis, Inc.(a) 13,025
7,700 Steris Corp. 239,316
|
50 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
6,300 Sun Healthcare Group, Inc.(a) $ 50,904
5,907 Sunrise Senior Living, Inc.(a) 16,421
1,800 SurModics, Inc.(a) 29,538
3,600 Symmetry Medical, Inc.(a) 37,944
3,465 Synergetics USA, Inc.(a) 9,217
3,100 Synovis Life Technologies, Inc.(a) 47,368
8,500 SyntheMed, Inc.(a) 935
1,700 Team Health Holdings, Inc.(a) 21,964
4,700 Teleflex, Inc. 255,116
4,533 Theragenics Corp.(a) 5,213
8,000 ThermoGenesis Corp.(a) 3,920
8,000 Thoratec Corp.(a) 341,840
5,200 Tomotherapy, Inc.(a) 16,536
1,100 Trans1, Inc.(a) 2,871
200 Transcend Services, Inc.(a) 2,700
1,400 Triple-S Management Corp.(a) 25,970
1,600 US Physical Therapy, Inc.(a) 27,008
400 Uluru, Inc.(a) 55
4,400 Universal American Financial Corp.(a) 63,360
12,600 Universal Health Services, Inc., Class B 480,690
2,686 Urologix, Inc.(a) 2,901
800 Utah Medical Products, Inc. 19,952
1,500 Vascular Solutions, Inc.(a) 18,750
1,600 Virtual Radiologic Corp.(a) 27,456
6,400 Volcano Corp.(a) 139,648
4,900 WellCare Health Plans, Inc.(a) 116,326
3,600 West Pharmaceutical Services, Inc. 131,364
6,200 Wright Medical Group, Inc.(a) 102,982
3,510 Zoll Medical Corp.(a) 95,121
------------
18,250,164
------------
HOUSEHOLD GOODS & HOME CONSTRUCTION - 1.8%
5,615 ACCO Brands Corp.(a) 28,019
2,349 Bassett Furniture Industries, Inc.(a) 10,054
7,979 Beazer Homes USA, Inc.(a),(b) 28,964
3,896 Blount International, Inc.(a) 40,012
675 Blyth, Inc. 22,997
8,000 Briggs & Stratton Corp. 136,160
1,876 Brookfield Homes Corp.(a),(b) 12,644
710 Cavco Industries, Inc.(a) 24,978
7,058 Central Garden & Pet Co., Class A(a) 63,310
9,400 Church & Dwight Co., Inc. 589,474
1,600 Compx International, Inc. 15,760
4,512 Comstock Homebuilding Cos., Inc., Class A(a) 6,317
3,186 Dixie Group, Inc.(a) 11,724
8,516 Energizer Holdings, Inc.(a) 428,185
4,622 Ethan Allen Interiors, Inc. 64,662
367 Flexsteel Industries, Inc. 4,037
1,100 Forward Industries, Inc.(a) 3,421
4,400 Furniture Brands International, Inc.(a) 22,968
4,220 HNI Corp. 116,430
8,590 Herman Miller, Inc. 162,093
1,900 hhgregg, Inc.(a) 44,308
1,700 Hooker Furniture Corp. 18,122
6,399 Hovnanian Enterprises, Inc., Class A(a),(b) 23,548
6,074 Interface, Inc., Class A 65,235
2,100 iRobot Corp.(a) 39,459
11,235 Jarden Corp. 301,884
10,134 KB Home 111,474
1,813 Kid Brands, Inc.(a) 12,745
5,200 Knoll, Inc. 69,108
700 L.S. Starrett Co., Class A 6,671
5,700 La-Z-Boy, Inc.(a) 42,351
1,856 Libbey, Inc.(a) 24,091
2,500 Lifetime Brands, Inc.(a) 36,550
|
SCHEDULE OF INVESTMENTS | 51
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
3,600 M/I Homes, Inc.(a) $ 34,704
5,316 MDC Holdings, Inc. 143,266
4,200 Meritage Homes Corp.(a) 68,376
2,211 Middleby Corp.(a) 117,603
6,864 Mohawk Industries, Inc.(a) 314,097
750 NVR, Inc.(a) 491,273
500 National Presto Industries, Inc. 46,430
700 Oil-Dri Corp. of America 16,065
3,989 Palm Harbor Homes, Inc.(a) 7,100
5,756 Ryland Group, Inc. 91,060
5,200 The Scotts Miracle-Gro Co. 230,932
6,100 Sealy Corp.(a),(b) 16,287
6,304 Select Comfort Corp.(a) 55,160
1,000 Skyline Corp. 18,010
16,331 Standard-Pacific Corp.(a) 54,382
2,400 Stanley Furniture Co., Inc.(a) 9,744
7,404 Steelcase, Inc., Class A 57,381
9,900 Tempur-Pedic International, Inc.(a) 304,425
18,000 Toll Brothers, Inc.(a) 294,480
7,655 Tupperware Corp. 305,052
2,505 Virco Manufacturing Corp. 7,515
1,900 WD-40 Co. 63,460
------------
5,334,557
------------
INDUSTRIAL ENGINEERING - 3.1%
11,601 AGCO Corp.(a) 312,879
1,400 Alamo Group, Inc. 30,380
3,070 Albany International Corp., Class A 49,703
4,300 Altra Holdings, Inc.(a) 55,986
1,800 American Railcar Industries, Inc.(a) 21,744
11,100 ArvinMeritor, Inc.(a) 145,410
2,342 Astec Industries, Inc.(a) 64,944
5,684 Broadwind Energy, Inc.(a) 15,915
2,800 Brush Engineered Materials, Inc.(a) 55,944
9,900 Bucyrus International, Inc. 469,755
3,000 CIRCOR International, Inc. 76,740
1,200 Cascade Corp. 42,732
3,417 Ceco Environmental Corp.(a) 15,992
100 Chicago Rivet & Machine Co. 1,415
5,800 Clarcor, Inc. 206,016
2,330 Colfax Corp.(a) 24,255
2,433 Columbus McKinnon Corp.(a) 33,989
2,985 Commercial Vehicle Group, Inc.(a) 30,477
5,813 Crane Co. 175,611
8,919 Donaldson Co., Inc. 380,395
1,400 Dynamic Materials Corp. 22,456
300 The Eastern Co. 4,398
7,000 Energy Recovery, Inc.(a) 28,000
2,200 EnPro Industries, Inc.(a) 61,930
5,335 Federal Signal Corp. 32,223
4,500 Flow International Corp.(a) 10,620
2,200 Franklin Electric Co., Inc. 63,404
2,500 Freightcar America, Inc. 56,550
6,200 GATX Corp. 165,416
6,800 Gardner Denver, Inc. 303,212
1,870 The Gorman-Rupp Co. 46,844
7,068 Graco, Inc. 199,247
2,100 Graham Corp. 31,479
2,800 Greenbrier Cos., Inc.(a) 31,360
2,900 H&E Equipment Services, Inc.(a) 21,721
1,900 Hardinge, Inc. 16,188
1,300 Hurco Companies, Inc.(a) 19,305
10,086 IDEX Corp. 288,157
3,105 John Bean Technologies Corp. 47,351
12,955 Joy Global, Inc. 648,916
1,121 Kadant, Inc.(a) 19,528
3,800 Kaydon Corp. 124,868
11,300 Kennametal, Inc. 287,359
|
52 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
1,100 Key Technology, Inc.(a) $ 14,850
2,800 Kimball International, Inc., Class B 15,484
5,695 Lincoln Electric Holdings, Inc. 290,388
2,000 Lindsay Manufacturing Co.(b) 63,380
1,800 Lydall, Inc.(a) 13,752
1,400 MFRI, Inc.(a) 8,400
16,600 Manitowoc Co. 151,724
1,700 Met-Pro Corp. 18,292
3,300 Mine Safety Appliances Co. 81,774
4,308 Mueller Industries, Inc. 105,977
649 NACCO Industries, Inc., Class A 57,605
3,590 NN, Inc.(a) 17,950
7,400 Navistar International Corp.(a) 364,080
3,705 Nordson Corp. 207,776
11,133 Oshkosh Corp.(a) 346,904
1,583 PMFG, Inc.(a) 23,983
12,145 Pentair, Inc. 391,069
3,200 Robbins & Myers, Inc. 69,568
6,748 SPX Corp. 356,362
1,100 Sauer-Danfoss, Inc.(a) 13,442
3,324 Spartan Motors, Inc. 13,961
2,500 Standex International Corp. 63,375
1,650 Sun Hydraulics, Inc. 38,709
2,109 Sypris Solutions, Inc.(a) 8,457
1,800 Tecumseh Products Co., Class A(a) 20,016
2,088 Tennant Co. 70,616
13,314 Terex Corp.(a) 249,504
10,900 Timken Co. 283,291
4,890 Toro Co. 240,197
9,452 Trinity Industries, Inc. 167,489
1,600 Twin Disc, Inc. 18,176
6,050 Wabash National Corp.(a) 43,016
5,733 Westinghouse Air Brake Technologies Corp. 228,689
500 Williams Controls, Inc.(a) 4,525
6,879 Woodward Governor Co. 175,621
------------
8,979,216
------------
INDUSTRIAL METALS & MINING - 0.8%
1,000 Ampco-Pittsburgh Corp. 20,830
5,041 Carpenter Technology Corp. 165,496
8,440 Century Aluminum Co.(a) 74,525
1,400 Cold Metal Products, Inc.(a) -
14,400 Commercial Metals Co. 190,368
600 Friedman Industries, Inc. 3,342
1,465 Haynes International, Inc. 45,166
5,200 Horsehead Holding Corp.(a) 39,312
6,100 Intrepid Potash, Inc.(a) 119,377
1,534 Kaiser Aluminum Corp. 53,184
1,905 Olympic Steel, Inc. 43,758
4,200 RTI International Metals, Inc.(a) 101,262
7,738 Reliance Steel & Aluminum Co. 279,729
27,432 Southern Copper Corp. 728,045
26,466 Steel Dynamics, Inc. 349,086
1,300 Synalloy Corp. 10,868
12,200 USEC, Inc.(a) 58,072
700 Universal Stainless & Alloy Products, Inc.(a) 11,193
8,800 Uranium Energy Corp.(a),(b) 20,768
7,012 Uranium Resources, Inc.(a) 2,784
1,819 WHX Corp.(a) 7,749
7,167 Worthington Industries, Inc. 92,168
------------
2,417,082
------------
INDUSTRIAL TRANSPORTATION - 1.5%
2,205 ATC Technology Corp.(a) 35,545
7,785 Air Transport Services Group, Inc.(a) 37,057
5,600 Aircastle Ltd. 43,960
4,928 Alexander & Baldwin, Inc. 146,756
1,125 American Commercial Lines, Inc.(a) 25,324
3,800 Arkansas Best Corp. 78,850
|
SCHEDULE OF INVESTMENTS | 53
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
2,600 Atlas Air Worldwide Holdings, Inc.(a) $ 123,500
2,314 Celadon Group, Inc.(a) 32,720
6,540 Con-way, Inc. 196,331
3,019 Covenant Transport Group, Class A(a) 20,378
5,500 DHT Holdings, Inc. 21,175
900 Dynamex, Inc.(a) 10,980
10,861 Eagle Bulk Shipping, Inc.(a),(b) 45,833
3,800 Excel Maritime Carriers Ltd.(a),(b) 19,456
3,409 Forward Air Corp. 92,895
5,389 Frozen Food Express Industries, Inc.(a) 18,861
3,878 Genco Shipping & Trading Ltd.(a),(b) 58,131
9,252 General Maritime Corp. 55,882
4,616 Genesee & Wyoming, Inc., Class A(a) 172,223
4,575 HUB Group, Inc., Class A(a) 137,296
7,008 Heartland Express, Inc. 101,756
3,300 Horizon Lines, Inc., Class A 13,959
600 International Shipholding Corp. 13,278
13,000 J.B. Hunt Transport Services, Inc. 424,710
12,774 Kansas City Southern(a) 464,335
6,646 Kirby Corp.(a) 254,209
6,200 Knight Transportation, Inc. 125,488
6,500 Landstar System, Inc. 253,435
1,637 Marten Transport Ltd.(a) 34,017
4,762 Old Dominion Freight Line, Inc.(a) 167,337
3,600 Overseas Shipholding Group, Inc. 133,344
600 P.A.M. Transportation Services, Inc.(a) 9,018
5,900 PHH Corp.(a) 112,336
7,000 Pacer International, Inc.(a) 48,930
193 Patriot Transportation Holding, Inc.(a) 15,616
3,097 Quality Distribution, Inc.(a) 16,011
2,600 Railamerica, Inc.(a) 25,792
134 SMF Energy Corp.(a) 164
3,200 Saia, Inc.(a) 48,000
5,019 Ship Finance International Ltd. 89,740
1,400 TAL International Group, Inc. 31,458
5,247 Teekay Corp. 137,314
1,900 Textainer Group Holdings Ltd. 45,866
1,082 USA Truck, Inc.(a) 17,442
12,662 UTI Worldwide, Inc. 156,755
900 Universal Truckload Services, Inc.(a) 12,537
7,800 Werner Enterprises, Inc. 170,742
200 Willis Lease Finance Corp.(a) 1,844
7,600 World Fuel Services Corp. 197,144
10,214 YRC Worldwide, Inc.(a) 1,532
------------
4,497,262
------------
LEISURE GOODS - 0.9%
72,188 Activision Blizzard, Inc.(c) 757,252
1,300 Arctic Cat, Inc.(a) 11,843
11,400 Brunswick Corp. 141,702
11,400 Callaway Golf Co. 68,856
3,100 DTS, Inc.(a) 101,897
2,200 Drew Industries, Inc.(a) 44,440
2,998 Emerson Radio Corp. 5,097
1,740 Escalade, Inc.(a) 8,543
15,500 Garmin Ltd.(b) 452,290
4,200 Glu Mobile, Inc.(a) 5,586
5,313 Jakks Pacific, Inc.(a) 76,401
400 Koss Corp. 2,104
7,653 Leapfrog Enterprises, Inc.(a) 30,765
1,500 Majesco Entertainment Co.(a) 1,065
700 Marine Products Corp.(a) 3,962
|
54 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
433 Meade Instruments Corp.(a) $ 1,407
2,400 Nautilus, Inc.(a) 3,648
3,700 Polaris Industries, Inc. 202,094
5,350 Pool Corp. 117,272
1,970 RC2 Corp.(a) 31,737
2,100 Sport Supply Group, Inc. 28,266
1,310 Steinway Musical Instruments, Inc.(a) 23,305
10,326 THQ, Inc.(a) 44,608
10,674 Take-Two Interactive Software, Inc.(a) 96,066
4,185 Thor Industries, Inc. 99,394
12,683 TiVo, Inc.(a) 93,601
1,700 Universal Electronics, Inc.(a) 28,271
4,500 Winnebago Industries, Inc.(a) 44,730
------------
2,526,202
------------
LIFE INSURANCE - 0.5%
6,100 American Equity Investment Life Holding Co. 62,952
313 American Independence Corp.(a) 1,596
3,900 Amerisafe, Inc.(a) 68,445
1,107 Atlantic American Corp.(a) 1,428
32,800 CNO Financial Group, Inc.(a) 162,360
3,604 Citizens, Inc.(a) 24,003
7,250 Delphi Financial Group, Inc., Class A 176,973
4,100 eHealth, Inc.(a) 46,617
5,500 Employers Holdings, Inc. 81,015
1,700 FBL Financial Group,Inc., Class A 35,700
720 Independence Holding Co. 4,298
700 Kansas City Life Insurance Co. 20,699
307 National Western Life Insurance Co., Class A 46,897
11,427 The Phoenix Cos., Inc.(a) 24,111
3,100 Presidential Life Corp. 28,210
10,439 Protective Life Corp. 223,290
6,900 Stancorp Financial Group, Inc. 279,726
3,110 Symetra Financial Corp. 37,320
------------
1,325,640
------------
MEDIA - 3.1%
1,296 AH Belo Corp.(a) 8,605
11,400 Acxiom Corp.(a) 167,466
1,300 Alloy, Inc.(a) 12,194
5,200 American Greetings Corp., Class A 97,552
4,200 Arbitron, Inc. 107,646
1,406 Ascent Media Corp., Class A(a) 35,516
3,356 Avid Technology, Inc.(a) 42,722
4,100 Beasley Broadcasting Group, Inc., Class A(a) 19,967
9,980 Belo Corp., Class A(a) 56,786
7,612 CKX, Inc.(a) 37,984
904 CSS Industries, Inc. 14,916
50 CTN Media Group, Inc.(a) -
29,998 Cablevision Systems Corp., Class A 720,252
6,200 Clear Channel Outdoor Holdings, Inc., Class A(a) 53,816
2,450 ComScore, Inc.(a) 40,351
4,236 Constant Contact, Inc.(a) 90,354
2,237 Courier Corp. 27,314
1,500 Crown Media Holdings, Inc., Class A(a) 2,640
6,165 Cumulus Media, Inc., Class A(a) 16,461
2,938 DG FastChannel, Inc.(a) 95,720
26,665 DISH Network Corp. 483,970
5,918 Dex One Corp.(a) 112,442
4,000 The Dolan Co.(a) 44,480
6,700 Dolby Laboratories, Inc., Class A(a) 420,023
|
SCHEDULE OF INVESTMENTS | 55
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
9,500 DreamWorks Animation SKG, Inc., Class A(a) $ 271,225
2,044 EDCI Holdings, Inc. 7,338
3,233 EW Scripps Co.(a) 24,021
6,400 Emmis Communications Corp., Class A(a) 14,080
3,000 Entercom Communications Corp.(a) 26,460
6,500 Entravision Communications Corp., Class A(a) 13,715
5,750 Factset Research Systems, Inc. 385,192
700 Fisher Communications, Inc.(a) 11,788
2,090 Global Traffic Network, Inc.(a) 11,244
10,300 Gray Television, Inc.(a) 24,823
40 HSW International, Inc.(a) 82
4,300 Harte-Hanks, Inc. 44,935
4,300 Hollywood Media Corp.(a) 5,074
80 iBEAM Broadcasting Corp.(a) -
5,600 IHS, Inc., Class A(a) 327,152
3,200 infoGROUP, Inc.(a) 25,536
3,838 Interactive Data Corp. 128,112
2,000 interCLICK, Inc.(a) 7,360
4,180 inVentiv Health, Inc.(a) 107,008
5,800 John Wiley & Sons, Inc., Class A 224,286
4,500 Journal Communications, Inc., Class A(a) 17,865
3,500 Knology, Inc.(a) 38,255
3,100 The Knot, Inc.(a) 24,118
8,207 Lamar Advertising Co., Class A(a) 201,236
5,300 Lee Enterprises, Inc.(a) 13,621
29,841 Liberty Global, Inc.(a) 775,568
3,922 Liberty Global, Inc., Series C(a) 101,933
6,932 Liberty Media Corp. - Starz, Series A(a) 359,355
10,770 Liberty Media Holding Corp. - Capital(a) 451,371
79,436 Liberty Media Holding Corp. - Interactive(a) 834,078
3,200 Lin TV Corp., Class A(a) 17,312
500 Local.com Corp.(a) 3,420
3,600 LodgeNet Interactive Corp.(a) 13,356
3,200 Marchex, Inc., Class B 12,320
4,241 Martha Stewart Living Omnimedia, Inc., Class A(a) 20,866
8,231 McClatchy Co., Class A(a),(b) 29,961
2,100 Media General, Inc., Class A(a) 20,496
5,900 Mediacom Communications Corp., Class A(a) 39,648
2,415 Morningstar, Inc.(a) 102,686
5,100 National CineMedia, Inc. 84,966
5,400 New Frontier Media, Inc.(a) 8,694
4,500 Nexstar Broadcasting Group, Inc., Class A(a) 19,710
400 Outdoor Channel Holdings, Inc.(a) 1,868
1,330 PDI, Inc.(a) 11,012
6,168 Playboy Enterprises, Inc., Class B(a) 25,906
3,905 Primedia, Inc. 11,442
4,021 Radio One, Inc., Class D(a) 5,147
1,400 SPAR Group, Inc.(a) 714
357 Saga Communications, Inc.(a) 8,525
1,600 Salem Communications Corp., Class A(a) 5,936
30 Salon Media Group, Inc.(a) 6
2,100 Schawk, Inc. 31,395
3,810 Scholastic Corp. 91,897
|
56 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
8,400 Sinclair Broadcast Group, Inc., Class A(a) $ 48,972
491,750 Sirius XM Radio, Inc.(a),(b) 466,917
6,546 Spanish Broadcasting System, Inc., Class A(a) 7,462
2,560 SuperMedia, Inc.(a),(b) 46,822
1,100 TechTarget, Inc.(a) 5,918
2,600 TheStreet.com, Inc. 7,488
6,699 Valassis Communications, Inc.(a) 212,492
100 Value Line, Inc. 1,814
12,408 ValueClick, Inc.(a) 132,641
4,400 Vertro, Inc.(a) 2,178
7,700 Warner Music Group Corp.(a) 37,422
5,784 WebMD Health Corp., Class A(a) 268,551
1,900 WebMediaBrands, Inc.(a) 1,710
18 Westwood One, Inc.(a) 178
------------
8,993,856
------------
MINING - 1.1%
3,042 AMCOL International Corp. 71,487
8,517 Allied Nevada Gold Corp.(a) 167,614
15,401 Alpha Natural Resources, Inc.(a) 521,632
21,631 Arch Coal, Inc. 428,510
6,889 Capital Gold Corp.(a) 27,556
5,200 Cloud Peak Energy, Inc.(a) 68,952
9,692 Coeur d'Alene Mines Corp.(a) 152,940
4,600 Compass Minerals International, Inc. 323,288
8,200 Evergreen Energy, Inc.(a) 869
6,700 General Moly, Inc.(a) 20,636
29,585 Hecla Mining Co.(a),(b) 154,434
15,656 International Coal Group, Inc.(a) 60,276
4,305 James River Coal Co.(a) 68,535
1,050 National Coal Corp.(a) 630
10,192 Patriot Coal Corp.(a) 119,756
7,635 Royal Gold, Inc. 366,480
6,600 Solitario Exploration & Royalty Corp.(a) 14,058
7,184 Stillwater Mining Co.(a) 83,478
6,000 Timberline Resources Corp.(a) 5,638
5,200 US Energy Corp. Wyoming(a) 24,700
16,300 US Gold Corp.(a) 81,663
3,800 Vista Gold Corp.(a) 6,460
7,028 Walter Industries, Inc. 427,654
1,600 Westmoreland Coal Co.(a) 12,992
------------
3,210,238
------------
MOBILE TELECOMMUNICATIONS - 1.1%
1,100 Atlantic Tele-Network, Inc. 45,430
31,790 Crown Castle International Corp.(a) 1,184,495
6,288 FiberTower Corp.(a) 29,679
7,142 Globalstar, Inc.(a) 10,999
7,486 Leap Wireless International, Inc.(a) 97,168
22,000 NII Holdings, Inc.(a) 715,440
5,300 NTELOS Holdings Corp. 91,160
1,800 ORBCOMM, Inc.(a) 3,276
16,100 SBA Communications Corp., Class A(a),(b) 547,561
2,000 Shenandoah Telecom Co. 35,480
8,800 Telephone & Data Systems, Inc. 267,432
2,900 Telephone & Data Systems, Inc., Special Shares 76,966
5,100 TerreStar Corp.(a) 2,525
1,600 U.S. Cellular Corp.(a) 65,840
5,300 USA Mobility, Inc. 68,476
------------
3,241,927
------------
NONLIFE INSURANCE - 4.0%
2,379 21st Century Holding Co. 8,969
33,212 AMBAC Financial Group, Inc.(a),(b) 22,252
|
SCHEDULE OF INVESTMENTS | 57
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
3,097 Affirmative Insurance Holdings, Inc.(a) $ 12,357
831 Alleghany Corp.(a) 243,732
5,900 Allied World Assurance Holdings Ltd. 267,742
9,218 American Financial Group, Inc. 251,836
2,222 American National Insurance Co. 179,915
1,933 American Physicians Capital, Inc. 59,633
3,100 American Safety Insurance Holdings Ltd.(a) 48,732
4,300 AmTrust Financial Services, Inc. 51,772
6,587 Arch Capital Group Ltd.(a) 490,732
4,739 Argo Group International Holdings Ltd. 144,966
11,700 Arthur J. Gallagher & Co. 285,246
10,800 Aspen Insurance Holdings Ltd. 267,192
20,319 Assured Guaranty Ltd. 269,633
19,600 Axis Capital Holdings Ltd. 582,512
950 Baldwin & Lyons, Inc., Class B 19,960
15,700 Brown & Brown, Inc. 300,498
4,034 CNA Financial Corp.(a) 103,109
1,900 CNA Surety Corp.(a) 30,533
500 Donegal Group, Inc., Class A 6,145
1,100 EMC Insurance Group, Inc. 24,123
1,900 Eastern Insurance Holdings, Inc. 20,178
7,000 Endurance Specialty Holdings Ltd. 262,710
600 Enstar Group Ltd.(a) 39,864
4,388 Erie Indemnity Co., Class A 199,654
7,300 Everest Re Group Ltd. 516,256
2,400 FPIC Insurance Group, Inc.(a) 61,560
1,327 First Acceptance Corp.(a) 2,269
16,289 First American Financial Corp. 206,545
2,400 First Mercury Financial Corp. 25,392
4,500 Flagstone Reinsurance Holdings SA 48,690
3,700 Greenlight Capital Re Ltd.(a) 93,203
13,450 HCC Insurance Holdings, Inc. 333,022
6,700 The Hanover Insurance Group, Inc. 291,450
1,400 Harleysville Group, Inc. 43,442
4,300 Horace Mann Educators Corp. 65,790
1,800 Infinity Property & Casualty Corp. 83,124
662 InsWeb Corp.(a) 3,118
1,831 Life Partners Holdings, Inc. 37,462
366 Life Quotes, Inc.(a) 1,449
20,546 MBIA, Inc.(a) 115,263
5,278 Maiden Holdings Ltd. 34,676
1,240 Markel Corp.(a) 421,600
4,400 Meadowbrook Insurance Group, Inc. 37,972
1,400 Mercer Insurance Group, Inc. 23,688
2,961 Mercury General Corp. 122,704
9,300 Montpelier Re Holdings Ltd. 138,849
600 NYMAGIC, Inc. 11,574
600 National Interstate Corp. 11,892
120 National Security Group, Inc. 1,495
1,700 Navigators Group, Inc.(a) 69,921
29,613 Old Republic International Corp. 359,206
4,600 OneBeacon Insurance Group Ltd. 65,872
|
58 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
4,695 PMA Capital Corp., Class A(a) $ 30,752
9,112 PartnerRe Ltd. 639,116
7,200 Platinum Underwriters Holdings Ltd. 261,288
4,400 ProAssurance Corp.(a) 249,744
2,100 RLI Corp. 110,271
9,095 Reinsurance Group of America, Inc. 415,732
7,700 RenaissanceRe Holdings Ltd. 433,279
1,800 Safety Insurance Group, Inc. 66,636
4,700 SeaBright Holdings, Inc. 44,556
5,800 Selective Insurance Group, Inc. 86,188
1,425 State Auto Financial Corp. 22,102
6,270 Tower Group, Inc. 134,993
8,162 Transatlantic Holdings, Inc. 391,450
300 Unico American Corp. 2,820
2,700 United America Indemnity, Ltd.(a) 19,872
2,253 United Fire & Casualty Co. 44,655
5,170 Unitrin, Inc. 132,352
6,100 Universal Insurance Holdings, Inc. 25,498
11,455 Validus Holdings Ltd. 279,731
17,090 W.R. Berkley Corp. 452,201
168 Wesco Financial Corp. 54,298
932 White Mountains Insurance Group, Inc. 302,154
------------
11,621,167
------------
OIL & GAS PRODUCERS - 3.7%
6,400 ATP Oil & Gas Corp.(a),(b) 67,776
9,427 Abraxas Petroleum Corp.(a) 26,396
800 Adams Resources & Energy, Inc. 14,400
1,500 Alon USA Energy, Inc. 9,540
9,900 American Oil & Gas, Inc.(a) 62,172
1,241 Apco Oil and Gas International, Inc. 29,176
1,926 Approach Resources, Inc.(a) 13,251
5,000 Arena Resources, Inc.(a) 159,500
9,921 Atlas Energy, Inc.(a) 268,561
12,853 BPZ Resources, Inc.(a),(b) 53,340
2,673 Barnwell Industries, Inc.(a) 7,484
6,400 Berry Petroleum Co., Class A 164,608
4,585 Bill Barrett Corp.(a) 141,080
14,371 Brigham Exploration Co.(a) 221,026
1,700 CREDO Petroleum Corp.(a) 12,512
5,854 CVR Energy, Inc.(a) 44,022
2,686 Callon Petroleum Co.(a) 16,922
4,300 Carrizo Oil & Gas, Inc.(a) 66,779
9,500 Cheniere Energy, Inc.(a) 26,790
10,644 Cimarex Energy Co. 761,897
1,197 Clayton Williams Energy, Inc.(a) 50,418
9,300 Cobalt International Energy, Inc.(a) 69,285
6,600 Comstock Resources, Inc.(a) 182,952
9,751 Concho Resources, Inc.(a) 539,523
1,500 Contango Oil & Gas Co.(a) 67,125
4,019 Continental Resources, Inc.(a) 179,328
1,600 Delek US Holdings, Inc. 11,680
24,435 Delta Petroleum Corp.(a),(b) 21,014
4,983 Double Eagle Pete & Mining Co.(a) 21,178
1,560 Dune Energy, Inc.(a) 174
22,100 EXCO Resources, Inc. 322,881
20,400 Endeavour International Corp.(a) 21,624
8,996 Energen Corp. 398,793
|
SCHEDULE OF INVESTMENTS | 59
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
5,900 FX Energy, Inc.(a) $ 21,358
13,978 Forest Oil Corp.(a) 382,438
13,398 Frontier Oil Corp. 180,203
4,923 GMX Resources Inc.(a) 31,950
5,700 Gasco Energy, Inc.(a) 2,029
7,532 GeoMet, Inc.(a) 8,586
9,626 GeoPetro Resources Co.(a) 4,428
1,532 GeoResources, Inc.(a) 21,341
4,098 Goodrich Petroleum Corp.(a) 49,176
3,900 Gulfport Energy Corp.(a) 46,254
7,300 Harvest Natural Resources, Inc.(a) 53,801
5,700 Holly Corp. 151,506
2,100 Houston American Energy Corp. 20,706
6,000 John D. Oil & Gas Co.(a) 270
10,000 Magnum Hunter Resources Corp.(a) 43,600
12,399 Mariner Energy, Inc.(a) 266,331
11,026 McMoRan Exploration Co.(a) 122,499
16,970 Newfield Exploration Co.(a) 829,154
5,286 Northern Oil And Gas,Inc.(a) 67,872
900 Panhandle Oil & Gas, Inc. 23,787
6,800 Penn Virginia Corp. 136,748
38,501 PetroHawk Energy Corp.(a) 653,362
3,280 Petroleum Development Corp.(a) 84,034
8,675 Petroquest Energy, Inc.(a) 58,643
18,019 Plains Exploration & Production Co.(a) 371,372
2,589 PostRock Energy Corp.(a) 12,427
15,260 Quicksilver Resources, Inc.(a) 167,860
7,700 Ram Energy Resources, Inc.(a) 15,939
5,404 Resolute Energy Corp.(a) 66,145
5,500 Rex Energy Corp.(a) 55,550
7,900 Rosetta Resources, Inc.(a) 156,499
8,400 SM Energy Co. 337,344
24,626 SandRidge Energy, Inc.(a),(b) 143,570
14,454 Southern Union Co. 315,964
5,609 Stone Energy Corp.(a) 62,596
4,400 Swift Energy Co.(a) 118,404
9,000 Syntroleum Corp.(a) 14,760
4,100 Toreador Resources Corp.(a) 22,550
9,954 Tri-Valley Corp.(a) 10,054
19,400 Ultra Petroleum Corp.(a) 858,450
6,500 Vaalco Energy, Inc. 36,400
2,700 Venoco, Inc.(a) 44,469
3,838 W&T Offshore, Inc. 36,307
16,300 Warren Resources, Inc.(a) 47,270
5,927 Western Refining, Inc.(a),(b) 29,813
6,600 Whiting Petroleum Corp.(a) 517,572
4,585 Zion Oil & Gas, Inc.(a),(b) 23,017
------------
10,777,615
------------
OIL EQUIPMENT, SERVICE & DISTRIBUTION - 2.0%
4,641 Allis-Chalmers Energy, Inc.(a) 9,560
7,600 Atwood Oceanics, Inc.(a) 193,952
2,600 Basic Energy Services, Inc.(a) 20,020
1,300 Bolt Technology Corp.(a) 11,375
6,900 Boots & Coots, Inc.(a) 20,355
3,896 Bristow Group, Inc.(a) 114,542
6,500 Bronco Drilling Co., Inc.(a) 21,775
2,850 CARBO Ceramics, Inc. 205,742
10,891 Cal Dive International, Inc.(a) 63,712
4,700 Chart Industries, Inc.(a) 73,226
9,200 Complete Production Services, Inc.(a) 131,560
8,100 Crosstex Energy, Inc.(a) 51,921
1,900 Dawson Geophysical Co.(a) 40,413
|
60 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
10,271 Dresser-Rand Group, Inc.(a) $ 324,050
3,500 Dril-Quip, Inc.(a) 154,070
8,863 Exterran Holdings, Inc.(a) 228,754
2,400 Flotek Industries, Inc.(a) 2,904
1,500 Geokinetics, Inc.(a) 5,745
12,174 Global Industries Ltd.(a) 54,661
1,630 Gulf Island Fabrication, Inc. 25,298
3,006 Gulfmark Offshore, Inc., Class A(a) 78,757
11,004 Helix Energy Solutions Group, Inc.(a) 118,513
18,700 Hercules Offshore, Inc.(a) 45,441
3,100 Hornbeck Offshore Services, Inc.(a) 45,260
12,542 ION Geophysical Corp.(a) 43,646
14,934 Key Energy Services, Inc.(a) 137,094
4,600 Lufkin Industries, Inc. 179,354
5,200 Matrix Service Co.(a) 48,412
1,700 Mitcham Industries, Inc.(a) 11,475
4,700 NGAS Resources, Inc.(a) 4,935
2,200 Natural Gas Services Group(a) 33,286
10,364 Newpark Resources, Inc.(a) 62,702
11,899 OGE Energy Corp. 435,027
1,000 OYO Geospace Corp.(a) 48,480
6,800 Oceaneering International, Inc.(a) 305,320
5,914 Oil States International, Inc.(a) 234,076
4,113 Omni Energy Services Corp.(a) 10,982
1,900 PHI, Inc.(a) 26,771
12,500 Parker Drilling Co.(a) 49,375
21,410 Patterson-UTI Energy, Inc. 275,547
5,500 Pioneer Drilling Co.(a) 31,185
19,572 Pride International, Inc.(a) 437,238
4,112 RPC, Inc. 56,129
2,677 SEACOR Holdings, Inc.(a) 189,157
1,773 Seahawk Drilling, Inc.(a) 17,234
12,700 Sulphco, Inc.(a) 3,454
9,185 Superior Energy Services, Inc.(a) 171,484
4,500 Superior Well Services, Inc.(a) 75,240
2,200 T-3 Energy Services, Inc.(a) 61,380
4,077 Tesco Corp.(a) 50,066
8,745 Tetra Technologies, Inc.(a) 79,405
7,155 Tidewater, Inc. 277,042
4,500 Trico Marine Services, Inc.(a),(b) 2,250
2,700 Union Drilling, Inc.(a) 14,877
6,600 Unit Corp.(a) 267,894
------------
5,682,123
------------
PERSONAL GOODS - 1.3%
10,645 Alberto-Culver Co. 288,373
3,100 American Apparel, Inc.(a) 5,673
6,810 Carter's, Inc.(a) 178,762
4,480 Charles & Colvard Ltd.(a) 12,499
2,400 Cherokee, Inc. 41,040
1,600 Columbia Sportswear Co. 74,672
11,935 Crocs, Inc.(a) 126,272
2,100 Culp, Inc.(a) 23,016
1,756 Deckers Outdoor Corp.(a) 250,880
4,500 Elizabeth Arden, Inc.(a) 65,340
6,117 Fossil, Inc.(a) 212,260
1,726 G-III Apparel Group, Ltd.(a) 39,508
11,709 Hanesbrands, Inc.(a) 281,719
3,956 Heelys, Inc.(a) 9,613
4,500 Helen of Troy Ltd.(a) 99,270
10,781 Iconix Brand Group, Inc.(a) 154,923
2,450 Inter Parfums, Inc. 34,863
11,900 Joe's Jeans, Inc.(a) 23,562
10,100 Jones Apparel Group, Inc. 160,085
3,200 K-Swiss, Inc., Class A(a) 35,936
|
SCHEDULE OF INVESTMENTS | 61
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
2,900 Kenneth Cole Productions, Inc., Class A(a) $ 31,929
500 Lacrosse Footwear, Inc. 8,420
1,210 Lakeland Industries, Inc.(a) 11,084
12,689 Liz Claiborne, Inc.(a),(b) 53,548
2,354 Maidenform Brands, Inc.(a) 47,927
2,600 Movado Group, Inc.(a) 27,768
1,900 Orchids Paper Products Co.(a) 24,700
1,900 Oxford Industries, Inc. 39,767
3,918 Parlux Fragrances, Inc.(a) 7,013
2,100 Perry Ellis International, Inc.(a) 42,420
6,295 Phillips-Van Heusen Corp. 291,270
1,000 Phoenix Footwear Group, Inc.(a) 380
3,138 Physicians Formula Holdings, Inc.(a) 10,355
14,934 Quiksilver, Inc.(a) 55,256
2,189 Revlon, Inc., Class A(a) 24,429
1,000 Rocky Brands, Inc.(a) 6,390
4,500 Skechers U.S.A., Inc., Class A(a) 164,340
4,050 Steven Madden Ltd.(a) 127,656
1,500 Superior Uniform Group, Inc. 14,625
1,401 Tandy Brands Accessories, Inc.(a) 5,044
4,972 Timberland Co., Class A(a) 80,298
4,200 True Religion Apparel, Inc.(a) 92,694
4,137 Under Armour, Inc., Class A(a),(b) 137,059
4,272 Unifi, Inc.(a) 16,319
2,200 Volcom, Inc.(a) 40,854
6,400 The Warnaco Group, Inc.(a) 231,296
700 Weyco Group, Inc. 15,946
5,400 Wolverine World Wide, Inc. 136,188
------------
3,863,241
------------
PHARMACEUTICALS & BIOTECHNOLOGY - 4.6%
3,200 AMAG Pharmaceuticals, Inc.(a) 109,920
511 ARCA Biopharma, Inc.(a) 1,732
2,900 ARYx Therapeutics, Inc.(a) 1,218
19,500 AVI BioPharma, Inc.(a) 31,395
7,528 Aastrom Biosciences, Inc.(a) 11,217
693 The Abraxis Bioscience,Inc.(a) 51,421
4,500 Acadia Pharmaceuticals, Inc.(a) 4,905
9,800 Achillion Pharmaceuticals, Inc.(a) 21,560
5,500 Acorda Therapeutics, Inc.(a) 171,105
2,600 Acura Pharmaceuticals, Inc.(a),(b) 6,526
7,200 Adolor Corp.(a) 7,848
1,300 Affymax, Inc.(a) 7,774
10,960 Affymetrix, Inc.(a) 64,664
8,100 Akorn, Inc.(a) 24,057
2,000 Albany Molecular Research, Inc.(a) 10,340
11,350 Alexion Pharmaceuticals, Inc.(a) 581,007
3,600 Alexza Pharmaceuticals, Inc.(a) 9,792
14,200 Alkermes, Inc.(a) 176,790
13,000 Allos Therapeutics, Inc.(a) 79,690
4,223 Alnylam Pharmaceuticals, Inc.(a) 63,429
1,700 Amicus Therapeutics, Inc.(a) 3,808
17,715 Amylin Pharmaceuticals, Inc.(a) 333,042
10,400 Anadys Pharmaceuticals, Inc.(a) 19,968
12,100 Antigenics, Inc.(a) 9,813
|
62 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
1,900 Ardea Biosciences, Inc.(a) $ 39,064
15,357 Arena Pharmaceuticals, Inc.(a),(b) 47,146
18,624 Ariad Pharmaceuticals, Inc.(a) 52,520
5,130 Arqule, Inc.(a) 22,059
10,600 Array Biopharma, Inc.(a) 32,330
1,794 AspenBio Pharma, Inc.(a) 1,758
6,200 Auxilium Pharmaceuticals, Inc.(a) 145,700
7,050 Avanir Pharmaceuticals, Inc.(a) 18,119
3,937 BioCryst Pharmaceuticals, Inc.(a) 23,268
600 Biodel, Inc.(a) 2,268
14,300 BioMarin Pharmaceuticals, Inc.(a) 271,128
1,750 BioMimetic Therapeutics, Inc.(a) 19,460
9,451 Biosante Pharmaceuticals, Inc.(a),(b) 16,634
90 CPEX Pharmaceuticals, Inc.(a) 2,385
2,985 Cadence Pharmaceuticals, Inc.(a),(b) 20,925
4,957 Caliper Life Sciences, Inc.(a) 21,166
4,100 Capstone Therapeutics Corp.(a) 2,710
1,400 Caraco Pharmaceutical Laboratories Ltd.(a) 6,608
23,000 Cel-Sci Corp.(a) 11,270
8,800 Celera Corp.(a) 57,640
79,042 Cell Therapeutics, Inc.(a) 29,649
7,466 Celldex Therapeutics, Inc.(a) 34,045
10,900 Cerus Corp.(a),(b) 34,444
7,792 Charles River Laboratories International, Inc.(a) 266,564
7,185 Chelsea Therapeutics International, Inc.(a) 21,052
7,400 Columbia Laboratories, Inc.(a) 7,844
8,200 Cubist Pharmaceuticals, Inc.(a) 168,920
600 Cumberland Pharmaceuticals, Inc.(a) 3,852
14,000 Curis, Inc.(a) 19,460
7,500 Cypress Bioscience, Inc.(a) 17,250
4,200 Cytokinetics, Inc.(a) 9,954
6,000 Cytori Therapeutics, Inc.(a) 20,880
24,700 CytRx Corp.(a) 19,019
17,064 Dendreon Corp.(a) 551,679
7,300 Depomed, Inc.(a) 20,440
26,500 Discovery Laboratories, Inc.(a) 5,035
7,200 Durect Corp.(a) 17,496
4,249 Dusa Pharmaceuticals, Inc.(a) 9,135
11,394 Dyax Corp.(a) 25,864
8,211 Dynavax Technologies Corp.(a) 15,272
2,500 Emergent Biosolutions, Inc.(a) 40,850
4,800 Emisphere Technologies, Inc.(a) 15,072
14,600 Endo Pharmaceuticals Holdings, Inc.(a) 318,572
8,889 Entremed, Inc.(a) 3,586
3,973 Enzo Biochem, Inc.(a) 16,170
7,400 Enzon Pharmaceuticals, Inc.(a) 78,810
4,465 EpiCept Corp.(a) 4,554
3,653 Exact Sciences Corp.(a) 16,073
12,569 Exelixis, Inc.(a) 43,614
1,275 Furiex Pharmaceuticals, Inc.(a) 12,954
900 GTC Biotherapeutics, Inc.(a) 432
2,400 GTx, Inc.(a) 7,320
6,300 Gen-Probe, Inc.(a) 286,146
21,538 GenVec, Inc.(a) 9,910
566 General Liquidating Trust Certificates(a) 1
|
SCHEDULE OF INVESTMENTS | 63
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
2,100 Genomic Health, Inc.(a) $ 27,153
26 Genta, Inc.(a) 1
14,100 Geron Corp.(a),(b) 70,782
9,281 Halozyme Therapeutics, Inc.(a) 65,338
2,300 Harbor BioSciences, Inc.(a) 621
1,520 Harvard Bioscience, Inc.(a) 5,411
500 Helicos BioSciences Corp.(a) 222
9,683 Hemispherx Biopharma, Inc.(a) 4,537
1,706 Hi-Tech Pharmacal Co., Inc.(a) 39,084
23,754 Human Genome Sciences, Inc.(a) 538,266
5,014 Idenix Pharmaceuticals, Inc.(a) 25,070
2,100 Idera Pharmaceuticals, Inc.(a) 7,560
15,992 Illumina, Inc.(a),(b) 696,132
10,000 ImmunoGen, Inc.(a) 92,700
13,200 Immunomedics, Inc.(a),(b) 40,788
7,500 Impax Laboratories, Inc.(a) 142,950
15,691 Incyte Corp.(a) 173,699
2,563 Infinity Pharmaceuticals, Inc.(a) 15,147
13,600 Inovio Pharmaceuticals, Inc.(a) 13,872
13,600 Insmed, Inc.(a) 9,147
7,623 Inspire Pharmaceuticals, Inc.(a) 38,039
6,584 InterMune, Inc.(a) 61,560
1,136 Ironwood Pharmaceuticals, Inc.(a) 13,541
10,970 Isis Pharmaceuticals, Inc.(a) 104,983
5,300 Ista Pharmaceuticals, Inc.(a) 11,607
6,200 Javelin Pharmaceuticals, Inc.(a) 13,640
2,709 Jazz Pharmaceuticals, Inc.(a) 21,211
4,100 K-V Pharmaceutical Co., Class A(a) 3,444
8,751 Keryx Biopharmaceuticals, Inc.(a),(b) 32,029
26,191 Lexicon Genetics, Inc.(a) 33,525
19,022 Ligand Pharmaceuticals, Inc., Class B(a) 27,772
5,300 Luminex Corp.(a) 85,966
1,638 MAP Pharmaceuticals, Inc.(a) 21,491
3,390 MDRNA, Inc.(a),(b) 3,054
9,700 MannKind Corp.(a),(b) 61,983
654 Matrixx Initiatives, Inc.(a) 3,008
6,900 Maxygen, Inc.(a) 38,157
7,470 Medicines Co.(a) 56,847
7,500 Medicis Pharmaceutical Corp., Class A 164,100
4,800 Medivation, Inc.(a) 42,432
9,545 Micromet, Inc.(a) 59,561
3,700 Molecular Insight Pharmaceuticals, Inc.(a) 6,105
4,634 Momenta Pharmaceuticals, Inc.(a) 56,813
6,400 Myrexis, Inc.(a) 24,064
12,700 Myriad Genetics, Inc.(a) 189,865
7,075 NPS Pharmaceuticals, Inc.(a) 45,563
5,700 Nabi Biopharmaceuticals(a) 31,008
10,885 Nektar Therapeutics(a) 131,709
6,273 Neurocrine Biosciences, Inc.(a) 35,129
4,900 Nile Therapeutics, Inc.(a) 1,519
11,006 Novavax, Inc.(a),(b) 23,883
2,700 Obagi Medical Products, Inc.(a) 31,914
876 OncoGenex Pharmaceutical, Inc.(a) 11,782
8,200 Onyx Pharmaceuticals, Inc.(a) 177,038
16,308 Opko Health, Inc.(a) 36,856
3,700 Optimer Pharmaceuticals, Inc.(a) 34,299
|
64 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
3,008 Orchid Cellmark, Inc.(a) $ 5,084
6,800 Orexigen Therapeutics, Inc.(a) 28,560
2,000 Osiris Therapeutics, Inc.(a) 11,620
2,000 OxiGene, Inc.(a) 760
18,700 PDL BioPharma, Inc. 105,094
4,500 Pain Therapeutics, Inc.(a) 25,020
10,600 Palatin Technologies, Inc.(a) 1,908
5,000 Par Pharmaceutical Cos., Inc.(a) 129,800
4,600 Penwest Pharmaceuticals Co.(a) 15,180
5,773 Peregrine Pharmaceuticals, Inc.(a) 12,412
11,100 Perrigo Co. 655,677
3,849 Pharmacyclics, Inc.(a) 25,634
3,148 Pharmasset, Inc.(a) 86,066
933 Poniard Pharmaceuticals, Inc.(a) 560
3,300 Pozen, Inc.(a) 23,133
3,900 Prestige Brands Holdings, Inc.(a) 27,612
3,200 Progenics Pharmaceuticals, Inc.(a) 17,536
6,900 Questcor Pharmaceuticals, Inc.(a) 70,449
2,727 RXi Pharmaceuticals Corp.(a) 7,090
3,969 Raptor Pharmaceutical Corp.(a) 11,113
7,923 Regeneron Pharmaceuticals, Inc.(a) 176,841
3,300 Repligen Corp.(a) 10,593
1,300 Repros Therapeutics, Inc.(a) 468
5,000 Rexahn Pharmaceuticals, Inc.(a) 7,150
5,589 Rigel Pharmaceuticals, Inc.(a) 40,241
5,935 SIGA Technologies, Inc.(a),(b) 45,700
7,753 Salix Pharmaceuticals Ltd.(a) 302,600
4,200 Sangamo Biosciences, Inc.(a),(b) 15,582
9,200 Santarus, Inc.(a) 22,816
9,384 Savient Pharmaceuticals, Inc.(a) 118,238
9,654 Sciclone Pharmaceuticals, Inc.(a) 25,680
9,757 Seattle Genetics, Inc.(a) 116,986
6,120 Sequenom, Inc.(a) 36,169
3,000 Somaxon Pharmaceuticals, Inc.(a) 10,800
7,416 Spectrum Pharmaceuticals, Inc.(a) 29,071
18,475 StemCells, Inc.(a),(b) 17,367
5,000 Strategic Diagnostics, Inc.(a) 9,050
900 Sucampo Pharmaceuticals, Inc., Class A(a) 3,177
5,416 SuperGen, Inc.(a) 10,940
2,100 Synta Pharmaceuticals Corp.(a) 5,670
7,577 Talecris Biotherapeutics Holdings Corp.(a) 159,875
2,166 Targacept, Inc.(a) 41,869
4,568 Techne Corp. 262,432
8,430 Telik, Inc.(a) 6,575
7,705 Theravance, Inc.(a) 96,852
7,650 Threshold Pharmaceuticals, Inc.(a) 9,563
800 Transcept Pharmaceuticals, Inc.(a) 6,664
3,735 Transgenomic, Inc.(a) 1,830
6,486 Trimeris, Inc.(a) 14,010
3,113 Trubion Pharmaceuticals, Inc.(a) 9,681
10,700 Unigene Laboratories, Inc.(a) 8,453
6,400 United Therapeutics Corp.(a) 312,384
9,500 Valeant Pharmaceuticals International(a) 496,755
|
SCHEDULE OF INVESTMENTS | 65
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
3,911 Vanda Pharmaceuticals, Inc.(a) $ 25,852
25,811 Vertex Pharmaceuticals, Inc.(a) 849,182
7,500 Vical, Inc.(a) 23,250
9,004 ViroPharma, Inc.(a) 100,935
11,289 Vivus, Inc.(a),(b) 108,374
63,404 XOMA Ltd.(a) 26,249
3,000 Xenoport, Inc.(a) 29,430
5,900 ZymoGenetics, Inc.(a) 24,898
------------
13,353,634
------------
REAL ESTATE INVESTMENT & SERVICES - 0.6%
500 American Realty Investors, Inc.(a) 4,050
1,025 Avatar Holdings, Inc.(a) 19,660
32,601 Brookfield Properties Corp. 457,718
554 Consolidated-Tomoka Land Co. 15,789
15,055 Forest City Enterprises, Inc., Class A(a) 170,423
5,133 Forestar Group, Inc.(a) 92,189
6,291 Grubb & Ellis Co. 6,165
2,700 HFF, Inc., Class A(a) 19,089
5,680 Hilltop Holdings, Inc.(a) 56,857
5,025 Jones Lang LaSalle, Inc. 329,841
4,000 LoopNet, Inc.(a) 49,320
2,578 Market Leader, Inc.(a) 5,079
2,116 Maui Land & Pineapple Co., Inc.(a) 7,893
17,315 Move, Inc.(a) 35,496
2,000 Reis, Inc.(a) 13,000
11,502 The St. Joe Co.(a) 266,386
353 Stratus Properties, Inc.(a) 3,498
1,617 Tejon Ranch Co.(a) 37,320
5,227 Thomas Properties Group, Inc. 17,301
393 Transcontinental Realty Investors, Inc.(a) 3,627
1,958 ZipRealty, Inc.(a) 5,110
------------
1,615,811
------------
REAL ESTATE INVESTMENT TRUSTS (REITs) - 7.0%
20,750 AMB Property Corp. 491,982
200 ARMOUR Residential REIT, Inc. 1,272
4,200 Acadia Realty Trust 70,644
2,200 Agree Realty Corp. 51,304
483 Alexander's, Inc. 146,310
5,273 Alexandria Real Estate Equities, Inc.(c) 334,150
7,275 American Campus Communities, Inc. 198,535
3,490 American Capital Agency Corp. 92,206
71,000 Annaly Capital Management, Inc. 1,217,650
17,800 Anworth Mortgage Asset Corp. 126,736
2,700 Apollo Commercial Real Estate Finance, Inc. 44,442
4,611 Arbor Realty Trust, Inc.(a) 23,839
485 Arlington Asset Investment Corp. 9,133
10,700 Ashford Hospitality Trust, Inc.(a) 78,431
4,700 Associated Estates Realty Corp. 60,865
7,735 BRE Properties 285,654
2,375 BRT Realty Trust(a) 14,013
12,986 BioMed Realty Trust, Inc. 208,945
15,284 Brandywine Realty Trust 164,303
16,791 CBL & Associates Properties, Inc. 208,880
8,957 Camden Property Trust 365,893
2,100 Capital Trust, Inc.(a) 3,465
7,022 CapLease, Inc. 32,371
10,600 Capstead Mortgage Corp. 117,236
4,800 Care Investment Trust, Inc. 41,664
6,477 Cedar Shopping Centers, Inc. 38,992
85,640 Chimera Investment Corp. 309,160
|
66 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
6,700 Cogdell Spencer, Inc. $ 45,292
7,247 Colonial Properties Trust 105,299
2,800 Colony Financial, Inc. 47,320
8,200 Corporate Office Properties Trust 309,632
10,366 Cousins Properties, Inc. 69,867
2,500 Cypress Sharpridge Investments, Inc. 31,650
23,226 DCT Industrial Trust, Inc. 104,982
22,551 Developers Diversified Realty Corp. 223,255
16,755 DiamondRock Hospitality Co. 137,726
10,319 Digital Realty Trust, Inc. 595,200
13,263 Douglas Emmett, Inc. 188,600
27,638 Duke Realty Corp. 313,691
6,589 Dupont Fabros Technology, Inc. 161,826
4,100 Eastgroup Properties, Inc. 145,878
11,390 Education Realty Trust, Inc. 68,682
5,317 Entertainment Properties Trust 202,418
3,400 Equity Lifestyle Properties, Inc. 163,982
5,254 Equity One, Inc. 81,962
3,900 Essex Property Trust, Inc. 380,406
12,160 Extra Space Storage, Inc. 169,024
7,440 Federal Realty Investment Trust 522,809
7,710 FelCor Lodging Trust, Inc.(a) 38,473
6,700 First Industrial Realty Trust, Inc.(a) 32,294
4,016 First Potomac Realty Trust 57,710
9,131 Franklin Street Properties Corp. 107,837
2,304 Getty Realty Corp. 51,633
3,000 Gladstone Commercial Corp. 49,020
8,100 Glimcher Realty Trust 48,438
2,300 Government Properties Income Trust 58,696
9,039 Gramercy Capital Corp.(a) 11,389
30,612 HRPT Properties Trust 190,101
5,700 Hatteras Financial Corp. 158,574
9,000 Healthcare Realty Trust, Inc. 197,730
18,100 Hersha Hospitality Trust 81,812
9,950 Highwoods Properties, Inc. 276,212
4,900 Home Properties, Inc. 220,843
15,357 Hospitality Properties Trust 324,033
9,292 Inland Real Estate Corp. 73,593
3,300 InvesCo. Mortgage Capital, Inc. 66,033
12,068 Investors Real Estate Trust 106,560
16,400 iStar Financial, Inc.(a),(b) 73,144
6,600 Kilroy Realty Corp. 196,218
8,152 Kite Realty Group Trust 34,075
4,400 LTC-Amerivest Liquidating Trust(a) -
2,316 LTC Properties, Inc. 56,209
8,400 LaSalle Hotel Properties 172,788
13,049 Lexington Corporate Properties Trust 78,424
14,110 Liberty Property Trust 407,073
39,200 MFA Financial, Inc. 290,080
8,442 MPG Office Trust, Inc.(a) 24,735
16,325 The Macerich Co. 609,249
9,900 Mack-Cali Realty Corp. 294,327
11,211 Medical Properties Trust, Inc. 105,832
4,300 Mid-America Apartment Communities, Inc. 221,321
5,252 Mission West Properties, Inc. 35,819
6,574 Monmouth Real Estate Investment Corp., Class A 48,582
2,757 National Health Investors, Inc. 106,310
|
SCHEDULE OF INVESTMENTS | 67
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
11,991 National Retail Properties, Inc. $ 257,087
14,524 Nationwide Health Properties, Inc. 519,523
3,300 New York Mortgage Trust, Inc. 21,714
10,985 NorthStar Realty Finance Corp. 29,330
12,300 Omega Healthcare Investors, Inc. 245,139
1,237 One Liberty Properties, Inc. 18,444
3,677 PMC Commercial Trust 30,078
2,200 PS Business Parks, Inc. 122,716
2,900 Parkway Properties, Inc. 42,253
1,476 Pebblebrook Hotel Trust(a) 27,823
6,047 Pennsylvania Real Estate Investment Trust 73,894
1,950 PennyMac Mortgage Investment Trust(a),(d) 31,005
8,900 Piedmont Office Realty Trust, Inc. 166,697
4,900 Post Properties, Inc. 111,377
5,359 Potlatch Corp. 191,477
8,800 RAIT Investment Trust(a) 16,456
3,615 Ramco-Gershenson Properties Trust 36,512
9,771 Rayonier, Inc. 430,119
12,918 Realty Income Corp. 391,803
11,000 Redwood Trust, Inc.(b) 161,040
12,100 Regency Centers Corp. 416,240
7,200 Resource Capital Corp. 40,896
1,339 Roberts Realty Investors, Inc.(a) 2,169
10,382 SL Green Realty Corp. 571,425
1,300 Saul Centers, Inc. 52,819
17,500 Senior Housing Properties Trust 351,925
2,913 Sovran Self Storage, Inc. 100,295
5,231 Starwood Property Trust, Inc. 88,665
15,995 Strategic Hotel Capital, Inc.(a) 70,218
3,600 Sun Communities, Inc. 93,456
11,465 Sunstone Hotel Investors, Inc.(a) 113,847
7,277 Supertel Hospitality, Inc.(a) 10,188
5,800 Tanger Factory Outlet Centers, Inc. 240,004
7,200 Taubman Centers, Inc. 270,936
2,300 Terreno Realty Corp.(a) 40,733
8,319 U-Store-It Trust 62,060
21,264 UDR, Inc. 406,780
2,648 UMH Properties, Inc. 26,665
1,541 Universal Health Realty Income Trust 49,512
1,300 Urstadt Biddle Properties, Inc. 18,148
900 Urstadt Biddle Properties, Inc., Class A 14,517
3,118 Walter Investment Management Corp. 50,979
6,800 Washington Real Estate Investment Trust 187,612
15,011 Weingarten Realty Investors 285,960
4,248 Winthrop Realty Trust 54,417
------------
20,257,696
------------
SOFTWARE & COMPUTER SERVICES - 4.7%
3,600 ACI Worldwide, Inc.(a) 70,092
14,500 AOL, Inc.(a) 301,455
3,000 Accelrys, Inc.(a) 19,350
9,500 Actuate Corp.(a) 42,275
1,900 Advent Software, Inc.(a) 89,224
4,300 American Software, Class A 19,866
683 Analysts International Corp.(a) 1,687
800 Answers Corp.(a) 5,856
11,192 Ansys, Inc.(a) 454,059
4,300 ArcSight, Inc.(a) 96,277
12,054 Ariba, Inc.(a) 192,020
24,282 Art Technology Group, Inc.(a) 83,044
|
68 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
6,606 Aspen Technology, Inc.(a) $ 71,939
4,600 athenahealth, Inc.(a),(b) 120,198
2,231 Atrinsic, Inc.(a) 2,030
2,000 Authentidate Holding Corp.(a) 1,265
1,150 BSQUARE Corp.(a) 2,438
11,400 BigBand Networks, Inc.(a) 34,428
4,748 Blackbaud, Inc. 103,364
4,500 Blackboard, Inc.(a) 167,985
4,600 Bottomline Technologies, Inc.(a) 59,938
4,500 CACI International, Inc., Class A(a) 191,160
5,665 CSG Systems International, Inc.(a) 103,839
37,900 Cadence Design Systems, Inc.(a) 219,441
1,900 Callidus Software, Inc.(a) 6,289
3,800 Ciber, Inc.(a) 10,526
1 Cicero, Inc.(a) -
10,393 Clearwire Corp., Class A(a),(b) 75,661
6,200 Cogent Communications Group, Inc.(a) 46,996
700 Communication Intelligence Corp.(a) 49
6,100 CommVault Systems, Inc.(a) 137,250
2,100 Computer Programs & Systems, Inc. 85,932
5,100 Concur Technologies, Inc.(a) 217,668
5,800 DST Systems, Inc. 209,612
4,200 DealerTrack Holdings, Inc.(a) 69,090
3,209 Delrek, Inc.(a) 26,763
100 Deltathree, Inc., Class A(a) 20
2,500 DemandTec, Inc.(a) 16,875
3,000 Diamond Management & Technology Consultants, Inc. 30,930
1,700 Digimarc Corp.(a) 31,875
5,056 Digital River, Inc.(a) 120,889
4,500 DivX, Inc.(a) 34,470
4,900 Double-Take Software, Inc.(a) 51,401
1,400 Dynamics Research Corp.(a) 14,154
3,400 EPIQ Systems, Inc.(a) 43,962
16,900 EarthLink, Inc. 134,524
4,638 Ebix, Inc.(a),(b) 72,724
6,000 Eclipsys Corp.(a) 107,040
20 Egain Communications Corp.(a) 11
5,700 Epicor Software Corp.(a) 45,543
5,534 Equinix, Inc.(a) 449,471
2 Evolve Software, Inc.(a) -
1,600 Evolving Systems, Inc. 11,520
5,151 Fair Isaac Corp. 112,240
5,800 FalconStor Software, Inc.(a) 15,312
2,000 Forrester Research, Inc.(a) 60,520
4,012 Fortinet, Inc.(a) 65,957
1,203 GSE Systems, Inc.(a) 4,884
7,439 Gartner, Inc., Class A(a) 172,957
3,000 Guidance Software, Inc.(a) 15,660
7,300 The Hackett Group, Inc.(a) 20,513
13,750 IAC/InterActiveCorp.(a) 302,088
4,600 iGate Corp. 58,972
1,800 Imergent, Inc. 6,516
4,800 Immersion Corp.(a) 24,288
12,400 Informatica Corp.(a) 296,112
6,140 Infospace, Inc.(a) 46,173
4,300 Innodata Corp.(a) 11,051
8,945 Inter Allscripts - Misys Healthcare Solutions, Inc.(a) 144,015
2,100 Interactive Intelligence, Inc.(a) 34,503
9,610 Internap Network Services Corp.(a) 40,074
4,275 Internet Capital Group, Inc.(a) 32,490
5,900 Ipass, Inc. 6,313
5,100 Isilon Systems, Inc.(a) 65,484
|
SCHEDULE OF INVESTMENTS | 69
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
7,000 j2 Global Communications, Inc.(a) $ 152,880
6,066 JDA Software Group, Inc.(a) 133,331
4,000 Kenexa Corp.(a) 48,000
3,600 Keynote Systems, Inc. 32,472
15,970 Lawson Software, Inc.(a) 116,581
7,100 Limelight Networks, Inc.(a) 31,169
5,600 LivePerson, Inc.(a) 38,416
1,344 LogMeIn, Inc.(a) 35,253
1,342 LookSmart, Ltd.(a) 1,584
11,071 Magma Design Automation, Inc.(a),(b) 31,442
4,000 Manhattan Associates, Inc.(a) 110,200
688 Mastech Holdings, Inc.(a) 2,105
4,700 MedAssets, Inc.(a) 108,476
3,800 Medidata Solutions, Inc.(a) 58,862
11,218 Mentor Graphics Corp.(a) 99,279
5,319 Merge Healthcare, Inc.(a) 15,585
1,490 MicroStrategy, Inc., Class A(a) 111,884
1,100 Monotype Imaging Holdings, Inc.(a) 9,911
1,800 NCI, Inc., Class A(a) 40,644
4,000 NIC, Inc. 25,640
3,902 NaviSite, Inc.(a) 10,262
2,900 NetScout Systems, Inc.(a) 41,238
20 NetSol Technologies, Inc.(a) 15
2,578 NetSuite, Inc.(a) 32,586
30,249 Nuance Communications, Inc.(a) 452,223
6,061 Openwave Systems, Inc.(a) 12,304
3,600 Opnet Technologies, Inc. 52,884
2,300 PC-Tel, Inc.(a) 11,592
2,280 PDF Solutions, Inc.(a) 10,944
1,800 PROS Holdings, Inc.(a) 11,700
16,300 Parametric Technology Corp.(a) 255,421
2,400 Pegasystems, Inc. 77,064
3,400 Perficient, Inc.(a) 30,294
7,500 Phase Forward, Inc.(a) 125,100
3,200 Phoenix Technologies Ltd.(a) 9,248
6,777 Premiere Global Services, Inc.(a) 42,966
4,585 Progress Software Corp.(a) 137,688
1,700 QAD, Inc. 7,021
2,800 Quality Systems, Inc.(b) 162,372
9,600 Quest Software, Inc.(a) 173,184
12,164 Rackspace Hosting, Inc.(a) 223,088
1,700 Renaissance Learning, Inc. 24,973
4,100 RightNow Technologies, Inc.(a) 64,329
1,200 Rosetta Stone, Inc.(a) 27,552
13,599 Rovi Corp.(a) 515,538
6,000 S1 Corp.(a) 36,060
4,392 SAVVIS, Inc.(a) 64,782
4,300 SRA International, Inc., Class A(a) 84,581
2,800 SRS Labs, Inc.(a) 25,620
3,529 Saba Software, Inc.(a) 18,174
10,120 Sapient Corp. 102,617
100 Scientific Learning Corp.(a) 526
570 Selectica, Inc.(a) 3,135
3,200 Smith Micro Software, Inc.(a) 30,432
4,800 SolarWinds, Inc.(a) 76,992
8,100 Solera Holdings, Inc. 293,220
4,826 Sonic Solutions, Inc.(a),(b) 40,297
3,600 Sourcefire, Inc.(a) 68,400
1,900 Stanley, Inc.(a) 71,022
6,431 SuccessFactors, Inc.(a) 133,700
5,000 Support.com, Inc.(a) 20,800
10,725 Sybase, Inc.(a) 693,479
2,400 Synchronoss Technologies, Inc.(a) 45,528
19,905 Synopsys, Inc.(a) 415,417
2,400 Syntel, Inc. 81,480
24,667 TIBCO Software, Inc.(a) 297,484
4,800 Taleo Corp., Class A(a) 116,592
2,300 TechTeam Global, Inc.(a) 13,777
|
70 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
7,900 TeleCommunication Systems, Inc., Class A(a) $ 32,706
4,490 Terremark Worldwide, Inc.(a) 35,067
4,000 Tyler Technologies, Inc.(a) 62,080
3,100 Ultimate Software Group, Inc.(a) 101,866
590 Unica Corp.(a) 5,652
4,550 Unisys Corp.(a) 84,130
8,974 United Online, Inc. 51,690
3,300 VASCO Data Security International, Inc.(a) 20,361
7,796 VMware, Inc.(a) 487,952
4,400 VirnetX Holding Corp. 26,048
2,700 Virtusa Corp.(a) 25,191
3,400 Vital Images, Inc.(a) 43,350
2,300 Vocus, Inc.(a) 35,144
8,671 Wave Systems Corp., Class A(a) 28,094
5,723 Web.Com Group, Inc.(a) 20,546
4,700 Websense, Inc.(a) 88,830
125 Zanett, Inc.(a) 206
15,000 Zix Corp.(a),(b) 33,900
------------
13,672,825
------------
SUPPORT SERVICES - 4.3%
5,000 ABM Industries, Inc. 104,750
2,000 A.M. Castle & Co.(a) 27,780
4,420 AMN Healthcare Services, Inc.(a) 33,062
500 AMREP Corp.(a) 6,290
3,400 APAC Customer Services, Inc.(a) 19,380
1,100 ATG, Inc.(a) -
3,870 Acacia Research - Acacia Technologies(a) 55,070
2,500 Administaff, Inc. 60,400
2,800 The Advisory Board Co.(a) 120,288
12,473 Aecom Technology Corp.(a) 287,627
7,113 Alliance Data Systems Corp.(a),(b) 423,366
1,500 American Dental Partners, Inc.(a) 18,165
4,200 American Reprographics Co.(a) 36,666
4,300 Applied Industrial Technologies, Inc. 108,876
18,770 Arcadia Resources, Inc.(a) 9,948
4,472 Barnes Group, Inc. 73,296
800 Barrett Business Services, Inc. 9,920
1,900 Black Box Corp. 52,991
3,109 Bowne & Co., Inc. 34,883
6,600 The Brink's Co. 125,598
17,000 Broadridge Financial Solutions LLC 323,850
6,545 CBIZ, Inc.(a) 41,626
1,500 CDI Corp. 23,295
1,400 CRA International, Inc.(a) 26,362
2,592 Cardtronics, Inc.(a) 33,592
6,600 Casella Waste Systems, Inc.(a) 25,212
500 Cass Information Systems, Inc. 17,125
5,463 Cenveo, Inc.(a) 29,937
1,641 Champion Industries, Inc.(a) 2,921
3,100 Clean Harbors, Inc.(a) 205,871
4,600 Coinstar, Inc.(a),(b) 197,662
4,400 Comfort Systems USA, Inc. 42,504
1,700 Consolidated Graphics, Inc.(a) 73,508
16,900 Convergys Corp.(a) 165,789
16,289 CoreLogic, Inc.(a) 287,664
2,800 Cornell Cos., Inc.(a) 75,236
5,500 Corporate Executive Board Co. 144,485
15,800 Corrections Corp. of America(a) 301,464
2,400 CoStar Group, Inc.(a) 93,120
3,200 Crawford & Co., Class B(a) 10,112
3,600 Cross Country Healthcare, Inc.(a) 32,364
9,150 CyberSource Corp.(a) 233,600
1,600 DXP Enterprises, Inc.(a) 25,040
|
SCHEDULE OF INVESTMENTS | 71
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
5,300 Deluxe Corp. $ 99,375
3,100 Dice Holdings, Inc.(a) 21,452
2,800 DigitalGlobe, Inc.(a) 73,640
2,500 Document Security Systems, Inc.(a) 7,875
2,600 DynCorp. International, Inc.(a) 45,552
700 ENGlobal Corp.(a) 1,442
40 eLoyalty Corp.(a) 237
4,259 Emdeon, Inc., Class A(a) 53,365
8,400 EnergySolutions, Inc. 42,756
2,300 Ennis, Inc. 34,523
5,245 Euronet Worldwide, Inc.(a) 67,084
2,300 ExlService Holdings, Inc.(a) 39,491
1,700 Exponent, Inc.(a) 55,624
7,150 FTI Consulting, Inc.(a) 311,669
3,300 Franklin Covey Co.(a) 21,450
300 Frontline Capital Group(a) -
4,100 Fuel Tech, Inc.(a) 25,912
3,973 Furmamite Corp.(a) 15,773
3,500 G&K Services, Inc., Class A 72,275
3,400 GP Strategies Corp.(a) 24,684
11,887 Genpact Ltd.(a) 184,605
7,800 The Geo Group, Inc.(a) 161,850
2,457 GeoEye, Inc.(a) 76,511
4,400 Global Cash Access, Inc.(a) 31,724
10,920 Global Payments, Inc. 399,017
5,558 Harris Interactive, Inc.(a) 5,891
3,700 Heartland Payment Systems, Inc. 54,908
2,800 Heidrick & Struggles International, Inc. 63,896
11,346 Hewitt Associates, Inc., Class A(a) 390,983
3,213 Hudson Highland Group, Inc.(a) 14,137
3,400 Huron Consulting Group, Inc.(a) 65,994
2,100 ICF International, Inc.(a) 50,253
4,400 Innerworkings, Inc.(a) 30,052
3,600 Interline Brands, Inc.(a) 62,244
11,800 Jack Henry & Associates, Inc. 281,784
2,895 Kaman Corp., Class A 64,037
4,900 Kelly Services, Inc., Class A(a) 72,863
4,070 Kforce, Inc.(a) 51,893
6,600 Korn/Ferry International(a) 91,740
6,922 LECG Corp.(a) 17,997
534 Lawson Products, Inc. 9,067
12,400 Lender Processing Services, Inc. 388,244
1,482 Lincoln Educational Services Corp.(a) 30,514
9,400 Lionbridge Technologies, Inc.(a) 42,958
1,600 M&F Worldwide Corp.(a) 43,360
2,700 MAXIMUS, Inc. 156,249
5,000 MSC Industrial Direct Co., Class A 253,300
1,400 MWI Veterinary Supply, Inc.(a) 70,364
780 Management Network Group, Inc.(a) 2,098
10,941 Manpower, Inc. 472,432
2,455 McGrath RentCorp 55,925
7,500 Metalico, Inc.(a) 29,850
900 Michael Baker Corp.(a) 31,410
2,500 Mistras Group, Inc.(a) 26,800
3,953 Mobile Mini, Inc.(a) 64,355
5,070 Moduslink Global Solutions, Inc.(a) 30,572
18,300 Nalco Holding Co. 374,418
5,200 Navigant Consulting, Inc.(a) 53,976
8,400 NeuStar, Inc., Class A(a) 173,208
8,828 Odyssey Marine Exploration, Inc.(a) 8,828
3,217 On Assignment, Inc.(a) 16,182
1,900 Online Resources Corp.(a) 7,885
60 Onvia, Inc.(a) 226
4,070 PRGX Global, Inc.(a) 16,891
|
72 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
1,500 Park-Ohio Holdings Corp.(a) $ 21,585
700 Perma-Fix Environmental Services(a) 1,127
25 Pfsweb, Inc.(a) 72
4,300 PowerSecure International, Inc.(a) 39,087
1,400 RINO International Corp.(a) 17,514
4,900 RSC Holdings, Inc.(a) 30,233
565 Rentrak Corp.(a) 13,746
4,900 Resources Connection, Inc.(a) 66,640
5,700 SFN Group, Inc.(a) 31,122
6,153 SYKES Enterprises, Inc.(a) 87,557
3,150 Schnitzer Steel Industries, Inc., Class A 123,480
3,300 School Specialty, Inc.(a) 59,631
3,400 Sharps Compliance Corp.(a) 15,640
1,800 The Standard Register Co. 5,652
800 Startek, Inc.(a) 3,120
2,400 Symyx Technologies, Inc.(a) 12,024
2,100 Team, Inc.(a) 27,405
4,000 TeleTech Holdings, Inc.(a) 51,560
9,025 Tetra Tech, Inc.(a) 176,980
2,000 Thomas Group, Inc.(a) 1,280
2,000 Tier Technologies, Inc., Class B(a) 12,160
5,440 Towers Watson & Co. 211,344
5,100 TrueBlue, Inc.(a) 57,069
10,440 URS Corp.(a) 410,814
2,360 US Ecology, Inc. 34,385
2,200 Unifirst Corp. 96,844
9,860 United Rentals, Inc.(a) 91,895
2,780 United Stationers, Inc.(a) 151,427
2,655 Universal Technical Institute, Inc.(a) 62,764
12,561 Verisk Analytics, Inc.(a) 375,574
2,250 Viad Corp. 39,713
1,600 Volt Information Sciences, Inc.(a) 13,440
10,125 Waste Connections, Inc.(a) 353,261
4,300 Wright Express Corp.(a) 127,710
------------
12,390,220
------------
TECHNOLOGY HARDWARE & EQUIPMENT - 6.6%
2,200 3D Systems Corp.(a) 27,610
6,000 3PAR, Inc.(a) 55,860
14,307 ADC Telecommunications, Inc.(a) 106,015
19,400 ADPT Corp.(a) 56,066
3,500 ATMI, Inc.(a) 51,240
3,201 AXT, Inc.(a) 14,437
5,500 Acme Packet, Inc.(a) 147,840
2,900 Actel Corp.(a) 37,178
9,080 Adtran, Inc. 247,612
5,000 Advanced Analogic Technologies, Inc.(a) 15,950
3,944 Advanced Energy Industries, Inc.(a) 48,472
3,300 Agilysys, Inc. 22,077
7,677 Alliance Fiber Optic Products, Inc. 10,748
13,257 Amkor Technology, Inc.(a) 73,046
2,800 Amtech Systems, Inc.(a) 23,380
11,700 Anadigics, Inc.(a) 51,012
10,875 Applied Micro Circuits Corp.(a) 113,970
14,756 Arris Group, Inc.(a) 150,364
7,631 Aruba Networks, Inc.(a) 108,665
8,172 Atheros Communications, Inc.(a) 225,057
56,800 Atmel Corp.(a) 272,640
2,200 Audiovox Corp., Class A(a) 16,170
3,100 AuthenTec, Inc.(a) 7,781
8,900 Aviat Networks, Inc.(a) 32,307
900 Aware, Inc.(a) 2,106
19,500 Axcelis Technologies, Inc.(a) 30,225
4,948 Bell Microproducts, Inc.(a) 34,537
|
SCHEDULE OF INVESTMENTS | 73
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
5,840 Blue Coat Systems, Inc.(a) $ 119,311
10,759 Brightpoint, Inc.(a) 75,313
57,757 Brocade Communications Systems, Inc.(a) 298,026
6,782 Brooks Automation, Inc.(a) 52,425
2,600 Cabot Microelectronics Corp.(a) 89,934
4,958 CalAmp Corp.(a) 10,561
5,300 Cavium Networks, Inc.(a) 138,807
2,103 Ceva, Inc.(a) 26,498
11,843 Ciena Corp.(a) 150,169
10,600 Cirrus Logic, Inc.(a) 167,586
2,400 Cohu, Inc. 29,112
2,800 Compellent Technologies, Inc.(a) 33,936
4,100 Comtech Telecommunications Corp.(a) 122,713
1,102 Concurrent Computer Corp.(a) 5,091
6,159 Conexant Systems, Inc.(a) 13,796
3,675 Cray, Inc.(a) 20,506
12,334 Cree, Inc.(a) 740,410
4,505 Cymer, Inc.(a) 135,330
20,153 Cypress Semiconductor Corp.(a) 202,336
3,900 DSP Group, Inc.(a) 24,921
100 Dataram Corp.(a) 149
7,894 Diebold, Inc. 215,111
2,800 Digi International, Inc.(a) 23,156
3,712 Diodes, Inc.(a) 58,909
5,500 Ditech Networks, Inc.(a) 6,985
6,865 Dot Hill Systems Corp.(a) 8,169
4,133 Dycom Industries, Inc.(a) 35,337
12,229 EF Johnson Technologies, Inc.(a) 17,487
2,000 EMS Technologies, Inc.(a) 30,040
4,673 EchoStar Holding Corp.(a) 89,161
5,600 Electronics for Imaging, Inc.(a) 54,600
8,600 Emcore Corp.(a) 7,654
11,000 Emulex Corp.(a) 100,980
1,606 EndWare Corp.(a) 5,300
14,951 Entegris, Inc.(a) 59,355
5,700 Entropic Communications, Inc.(a) 36,138
5,457 Exar Corp.(a) 37,817
13,000 Extreme Networks, Inc.(a) 35,100
10,500 F5 Networks, Inc.(a) 719,985
9,000 FSI International, Inc.(a) 37,710
16,602 Fairchild Semiconductor International, Inc.(a) 139,623
9,016 Finisar Corp.(a) 134,338
7,600 Formfactor, Inc.(a) 82,080
4,500 Fusion Telecommunications International, Inc.(a) 720
2,700 GSI Technology, Inc.(a) 15,444
1,700 GTSI Corp.(a) 9,282
3,800 Gerber Scientific, Inc.(a) 20,330
2,300 Globecomm Systems, Inc.(a) 18,975
10,500 Harmonic, Inc.(a) 57,120
2,100 Hittite Microwave Corp.(a) 93,954
900 Hughes Communications, Inc.(a) 21,897
5,295 Hutchinson Technology, Inc.(a) 22,927
4,587 Hypercom Corp.(a) 21,284
18,205 ICO Global Communications Holdings Ltd.(a) 29,310
1,600 ID Systems, Inc.(a) 4,240
4,128 iGO, Inc.(a) 6,192
2,700 IXYS Corp.(a) 23,868
1,712 Identive Group, Inc.(a) 2,739
5,800 Ikanos Communications, Inc.(a) 9,338
3,300 Imation Corp.(a) 30,327
11,592 Infinera Corp.(a) 74,537
3,600 Infosonics Corp.(a) 2,088
22,230 Ingram Micro, Inc., Class A(a) 337,674
4,500 Insight Enterprises, Inc.(a) 59,220
4,380 Integral Systems, Inc.(a) 27,813
|
74 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
25,670 Integrated Device Technology, Inc.(a) $ 127,066
5,470 Integrated Silicon Solutions, Inc.(a) 41,244
6,100 InterDigital, Inc.(a) 150,609
5,000 Intermec, Inc.(a) 51,250
7,900 International Rectifier Corp.(a) 147,019
17,515 Intersil Corp., Class A 212,107
3,729 Ixia(a) 32,032
3,100 KVH Industries, Inc.(a) 38,502
6,675 Kopin Corp.(a) 22,628
11,200 Kulicke & Soffa Industries, Inc.(a) 78,624
4,968 LRAD Corp.(a) 6,210
22,835 LTX-Credence Corp.(a) 64,623
15,778 Lam Research Corp.(a) 600,511
1,124 Lantronix, Inc.(a) 4,552
2,995 LaserCard Corp.(a) 13,358
22,370 Lattice Semiconductor Corp.(a) 97,086
1,400 Loral Space & Communications Ltd.(a) 59,808
10,300 MIPS Technologies, Inc.(a) 52,633
6,953 MKS Instruments, Inc.(a) 130,160
63,959 Marvell Technology Group Ltd.(a) 1,007,994
5,100 Mastec, Inc.(a) 47,940
5,200 Mattson Technology, Inc.(a) 19,708
41,400 Maxim Integrated Products, Inc. 692,622
2,538 Mercury Computer Systems, Inc.(a) 29,771
7,660 Micrel, Inc. 77,979
9,759 Micros Systems, Inc.(a) 311,019
9,457 Microsemi Corp.(a) 138,356
2,000 Microtune, Inc.(a) 4,260
5,593 Mindspeed Technologies, Inc.(a) 41,892
1,855 MoSys, Inc.(a) 8,199
5,700 Monolithic Power Systems, Inc.(a) 101,802
21,674 NCR Corp.(a) 262,689
4,500 NETGEAR, Inc.(a) 80,280
3,600 Nanometrics, Inc.(a) 36,324
1,850 NetList, Inc.(a) 4,162
6,581 Netlogic Microsystems, Inc.(a) 179,003
7,500 Network Engines, Inc.(a) 20,325
3,138 Network Equipment Technologies, Inc.(a) 10,952
4,771 Neutral Tandem, Inc.(a) 53,674
3,800 Nextwave Wireless, Inc.(a) 4,066
5,930 Novatel Wireless, Inc.(a) 34,038
52,581 ON Semiconductor Corp.(a) 335,467
600 Occam Networks, Inc.(a) 3,336
5,817 Oclaro, Inc.(a) 64,511
7,672 Omnivision Technologies, Inc.(a) 164,488
2,200 Oplink Communications, Inc.(a) 31,526
3,400 OpNext, Inc.(a) 5,610
589 Optical Cable Corp.(a) 1,679
1,956 Overland Storage, Inc.(a) 3,951
1,000 PAR Technology Corp.(a) 5,140
3,000 PC Connection, Inc.(a) 18,180
2,900 PLX Technology, Inc.(a) 12,151
27,100 PMC-Sierra, Inc.(a) 203,792
20,608 Palm, Inc.(a) 117,260
4,428 ParkerVision, Inc.(a) 5,624
1,109 Performance Technologies, Inc.(a) 2,750
3,200 Pericom Semiconductor Corp.(a) 30,720
8,900 Photronics, Inc.(a) 40,228
1,100 Pixelworks, Inc.(a) 3,278
5,591 Plantronics, Inc. 159,903
11,629 Polycom, Inc.(a) 346,428
4,300 Power Integrations, Inc. 138,438
400 Preformed Line Products Co. 11,180
4,011 Presstek, Inc.(a) 14,159
23,556 Quantum Corp.(a) 44,285
4,828 QuickLogic Corp.(a) 14,146
30,886 RF Micro Devices, Inc.(a) 120,764
3,100 Radiant Systems, Inc.(a) 44,826
|
SCHEDULE OF INVESTMENTS | 75
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
2,800 Radisys Corp.(a) $ 26,656
13,800 Rambus, Inc.(a) 241,776
1,600 Rimage Corp.(a) 25,328
7,600 Riverbed Technology, Inc.(a) 209,912
5,828 Rudolph Technologies, Inc.(a) 44,001
4,492 STEC, Inc.(a),(b) 56,420
2,340 SYNNEX Corp.(a) 59,951
2,900 ScanSource, Inc.(a) 72,297
3,100 SeaChange International, Inc.(a) 25,513
66,332 Seagate Technology Holdings(a) 864,969
6,300 Semtech Corp.(a) 103,131
1,700 Shoretel, Inc.(a) 7,888
5,100 Sigma Designs, Inc.(a) 51,051
5,400 Silicon Graphics International Corp.(a) 38,232
8,200 Silicon Image, Inc.(a) 28,782
5,700 Silicon Laboratories, Inc.(a) 231,192
23,664 Skyworks Solutions, Inc.(a) 397,319
4,239 Smart Modular Technologies WWH, Inc.(a) 24,798
650 Sonic Foundry, Inc.(a) 4,751
9,600 SonicWALL, Inc.(a) 112,800
26,675 Sonus Networks, Inc.(a) 72,289
2,400 Standard Microsystems Corp.(a) 55,872
3,240 Stratasys, Inc.(a) 79,574
3,900 Super Micro Computer, Inc.(a) 52,650
1,818 Superconductor Technologies, Inc.(a) 4,400
2,400 Supertex, Inc.(a) 59,184
2,030 Sycamore Networks, Inc. 33,739
4,876 Symmetricom, Inc.(a) 24,819
4,844 Synaptics, Inc.(a),(b) 133,210
7,300 Syniverse Holdings, Inc.(a) 149,285
1,200 Systemax, Inc. 18,084
2,800 TNS, Inc.(a) 48,832
7,100 Tech Data Corp.(a) 252,902
2,046 Tegal Corp.(a) 1,473
10,100 Tekelec(a) 133,724
4,030 Telular Corp.(a) 12,130
5,776 Tessera Technologies, Inc.(a) 92,705
1,140 Transact Technologies, Inc.(a) 8,322
2,816 Transwitch Corp.(a) 6,068
6,900 Trident Microsystems, Inc.(a) 9,798
22,470 TriQuint Semiconductor, Inc.(a) 137,292
13,746 UTStarcom, Inc.(a),(b) 25,293
3,700 Ultra Clean Holdings, Inc.(a) 31,524
3,900 Ultratech, Inc.(a) 63,453
9,350 Varian Semiconductor Equipment Associates, Inc.(a) 267,971
3,300 Veraz Networks, Inc.(a) 2,904
9,000 VeriFone Systems, Inc.(a) 170,370
4,900 Viasat, Inc.(a) 159,544
2,300 Virage Logic Corp.(a) 27,347
4,200 Volterra Semiconductor Corp.(a) 96,852
9,681 Westell Technologies, Inc., Class A(a) 15,102
200 WorldGate Communications, Inc.(a) 110
4,204 Zhone Technologies, Inc.(a) 6,264
5,661 Zoran Corp.(a) 54,006
------------
19,238,365
------------
TOBACCO - 0.2%
13,500 Alliance One International, Inc.(a) 48,060
2,400 Schweitzer-Mauduit International, Inc. 121,080
12,395 Star Scientific, Inc.(a),(b) 20,328
3,645 Universal Corp. 144,634
6,336 Vector Group Ltd. 106,571
------------
440,673
------------
|
76 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
TRAVEL & LEISURE - 4.2%
2,800 AFC Enterprises, Inc.(a) $ 25,480
42,193 AMR Corp.(a) 286,069
17,453 AirTran Holdings, Inc.(a) 84,647
3,900 Alaska Air Group, Inc.(a) 175,305
4,038 All-American SportPark, Inc.(a) 242
2,200 Allegiant Travel Co.(b) 93,918
2,500 Ambassadors Group, Inc. 28,225
1,800 Ambassadors International, Inc.(a) 846
100 American Classic Voyages Co.(a) -
2,600 Ameristar Casinos, Inc. 39,156
13,773 Avis Budget Group, Inc.(a) 135,251
3,800 BJ's Restaurants, Inc.(a) 89,680
6,700 Bally Technologies, Inc.(a) 217,013
615 Benihana, Inc.(a) 3,911
2,630 Benihana, Inc., Class A(a) 15,570
245 Biglari Holdings, Inc.(a) 70,291
1,100 Bluegreen Corp.(a) 3,311
3,300 Bob Evans Farms, Inc. 81,246
210 Bowl America, Inc., Class A 2,961
6,100 Boyd Gaming Corp.(a) 51,789
12,600 Brinker International, Inc. 182,196
2,900 Buffalo Wild Wings, Inc.(a) 106,082
12,000 Burger King Holdings, Inc. 202,080
2,650 CEC Entertainment, Inc.(a) 93,439
5,600 CKE Restaurants, Inc. 70,168
4,900 California Pizza Kitchen, Inc.(a) 74,235
2,500 Carmike Cinemas, Inc.(a) 15,150
5,916 Century Casinos, Inc.(a) 12,779
8,317 The Cheesecake Factory, Inc.(a) 185,136
3,800 Chipotle Mexican Grill, Inc., Class A(a) 519,878
3,819 Choice Hotels International, Inc. 115,372
1,238 Churchill Downs, Inc. 40,606
6,067 Cinemark Holdings, Inc. 79,781
18,216 Continental Airlines, Inc., Class B(a) 400,752
6,845 Cosi, Inc.(a),(b) 4,963
3,315 Cracker Barrel Old Country Store, Inc. 154,346
100,396 Delta Air Lines, Inc.(a) 1,179,653
10,600 Denny's Corp.(a) 27,560
5,943 Diamondhead Casino Corp.(a) 3,506
1,700 DineEquity, Inc.(a) 47,464
3,409 Dollar Thrifty Automotive Group, Inc.(a) 145,257
4,800 Domino's Pizza, Inc.(a) 54,240
3,116 Dover Downs Gaming & Entertainment, Inc. 9,005
4,712 Dover Motorsports, Inc.(a) 8,576
1,100 Einstein Noah Restaurant Group, Inc.(a) 11,869
7,758 Elixir Gaming Technologies, Inc.(a) 1,893
5,300 Empire Resorts, Inc.(a) 8,639
714 ExpressJet Holdings, Inc.(a) 1,856
2,500 Famous Dave's of America, Inc.(a) 20,800
200 Flanigan's Enterprises, Inc.(a) 1,320
3,662 Full House Resorts, Inc.(a) 11,352
1,400 Gaming Partners International Corp. 8,932
3,820 Gaylord Entertainment Co.(a) 84,384
700 Great Lakes Aviation Ltd.(a) 952
4,000 Great Wolf Resorts, Inc.(a) 8,320
6,302 Hawaiian Holdings, Inc.(a) 32,581
|
SCHEDULE OF INVESTMENTS | 77
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
22,913 Hertz Global Holdings, Inc.(a) $ 216,757
5,100 Hyatt Hotels Corp.(a) 189,159
800 InnSuites Hospitality Trust 1,056
3,200 International Speedway Corp., Class A 82,432
4,089 Interval Leisure Group, Inc.(a) 50,908
2,900 Isle of Capri Casinos, Inc.(a) 26,854
6,200 Jack in the Box, Inc.(a) 120,590
35,175 JetBlue Airways Corp.(a) 193,111
6,400 Krispy Kreme Doughnuts, Inc.(a) 21,568
1,200 Landry's Restaurants, Inc.(a) 29,352
55,900 Las Vegas Sands Corp.(a) 1,237,626
4,695 Life Time Fitness, Inc.(a) 149,254
17,191 Live Nation, Inc.(a) 179,646
1,700 Luby's, Inc.(a) 6,545
31,511 MGM Resorts International(a),(b) 303,766
4,068 MTR Gaming Group, Inc.(a) 6,590
8,800 Madison Square Garden, Inc.(a) 173,096
1,500 Marcus Corp. 14,190
1,700 McCormick & Schmick's Seafood Restaurants, Inc.(a) 12,682
1,900 Monarch Casino & Resort, Inc.(a) 19,247
3,800 Morgans Hotel Group Co.(a) 23,408
1,900 Multimedia Games, Inc.(a) 8,550
2,105 O'Charleys, Inc.(a) 11,157
4,800 Orbitz Worldwide, Inc.(a) 18,288
12,400 Orient Express Hotels Ltd., Class A(a) 91,760
3,495 P.F. Chang's China Bistro, Inc. 138,577
4,300 Panera Bread Co., Class A(a) 323,747
2,900 Papa John's International, Inc.(a) 67,048
2,400 Peet's Coffee & Tea, Inc.(a) 94,248
9,700 Penn National Gaming, Inc.(a) 224,070
4,300 Pinnacle Airlines Corp.(a) 23,392
6,600 Pinnacle Entertainment, Inc.(a) 62,436
7,136 Premier Exhibitions, Inc.(a) 9,134
1,300 Reading International, Inc., Class A(a) 5,161
500 Red Lion Hotels Corp.(a) 2,985
3,014 Red Robin Gourmet Burgers, Inc.(a) 51,720
12,000 Regal Entertainment Group, Series A 156,480
7,300 Republic Airways Holdings, Inc.(a) 44,603
2,300 Rick's Cabaret International, Inc.(a) 18,147
18,028 Royal Caribbean Cruises Ltd.(a) 410,498
5,700 Ruby Tuesday, Inc.(a) 48,450
7,209 Ruth's Hospitality Group, Inc.(a) 30,134
8,174 Scientific Games Corp., Class A(a) 75,201
9,143 Shuffle Master, Inc.(a) 73,235
7,123 Silverleaf Resorts, Inc.(a) 7,408
11,700 Six Flags, Inc.(a) -
6,000 SkyWest, Inc. 73,320
200 Sonesta International Hotels Corp., Class A 2,814
6,737 Sonic Corp.(a) 52,212
1,500 Speedway Motorsports, Inc. 20,340
1,600 Steiner Leisure Ltd.(a) 61,504
8,800 Texas Roadhouse, Inc., Class A(a) 111,056
|
78 | MASTER EXTENDED MARKET INDEX SERIES
-----------------------------------------------------------------------------------
SHARES
HELD INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
700 Town Sports International Holdings, Inc.(a) $ 1,610
1,100 Travelzoo, Inc.(a) 13,618
21,640 UAL Corp.(a),(b) 444,918
20,775 US Airways Group, Inc.(a) 178,873
3,341 VCG Holding Corp.(a) 5,346
5,400 Vail Resorts, Inc.(a) 188,514
200 Vanguard Airlines, Inc.(a) -
7,200 WMS Industries, Inc.(a) 282,600
45,600 Wendys 182,400
5,100 World Wrestling Entertainment, Inc. 79,356
------------
12,082,780
------------
Total Common Stocks - 95.7% 278,002,301
------------
-----------------------------------------------------------------------------------
BENEFICIAL
INTEREST
(000)
-----------------------------------------------------------------------------------
OTHER INTERESTS(e)
CHEMICALS - 0.0%
$-(f) Eden Bioscience Liquidating Trust 380
------------
INDUSTRIAL ENGINEERING - 0.0%
-(f) Soft Branos Inc. 2
------------
Total Other Interests - 0.0% 382
------------
-----------------------------------------------------------------------------------
SHARES
HELD
-----------------------------------------------------------------------------------
RIGHTS
BANKS - 0.0%
2,410 BankAtlantic Bancorp, Inc. (Expires 7/20/10) -
14,356 Hanmi Financial Corp. (Expires 7/12/10) 861
------------
861
------------
HEALTH CARE EQUIPMENT & SERVICES - 0.0%
2,600 H3 Contingent Value (Non-Expiring) -
2,600 Merk Contingent Value (Non-Expiring) -
------------
-
------------
PHARMACEUTICALS & BIOTECHNOLOGY - 0.0%
1,000 Avigen, Inc. Contingent Value (Expires 7/21/11) 41
4,000 Ligand Pharmaceuticals, Inc. (Expires 12/31/11) -
------------
41
------------
Total Rights - 0.0% 902
------------
WARRANTS(g)
ALTERNATIVE ENERGY - 0.0%
30 GreenHunter Energy, Inc. (Expires 8/27/11)(h) -
------------
AUTOMOBILES & PARTS - 0.0%
249 Federal-Mogul Corp., Class A (Expires 12/27/14) 87
------------
COMMUNICATIONS TECHNOLOGY - 0.0%
2 Lantronix, Inc. (Expires 2/09/11) -
------------
Total Warrants - 0.0% 87
------------
Total Long-Term Investments (Cost - $283,785,711) - 95.7% 278,003,672
------------
|
SCHEDULE OF INVESTMENTS | 79
-----------------------------------------------------------------------------------
BENEFICIAL
INTEREST
(000)/SHARES INDUSTRY/ISSUE VALUE
-----------------------------------------------------------------------------------
SHORT-TERM SECURITIES
13,018,732 BlackRock Liquidity Funds, TempCash, Institutional Class,
0.20%(d),(i) $ 13,018,732
$11,061 BlackRock Liquidity Series, LLC Money Market Series,
0.27%(d),(i),(j) 11,060,923
------------
Total Short-Term Securities (Cost - $24,079,655) - 8.3% 24,079,655
------------
TOTAL INVESTMENTS (Cost - $307,865,366*) - 104.0% 302,083,327
------------
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.0)% (11,544,935)
------------
NET ASSETS - 100.0% $290,538,392
============
|
* The cost and unrealized appreciation (depreciation) of investments as of
June 30, 2010, as computed for federal income tax purposes were as follows:
Aggregate cost $311,030,811
============
Gross unrealized appreciation $ 42,204,270
Gross unrealized depreciation (51,151,754)
------------
Net unrealized depreciation $ (8,947,484)
============
|
(a) Non-income producing security.
(b) Security, or a portion of security, is on loan.
(c) All or a portion of security has been pledged as collateral in connection
with open financial futures contracts.
(d) Investments in companies considered to be an affiliate of the Series during
the period, for purposes of Section 2(a)(3) of the Investment Company Act of
1940, as amended, were as follows:
SHARES/ SHARES/
BENEFICIAL SHARES/ SHARES/ BENEFICIAL
INTEREST HELD AT BENEFICIAL BENEFICIAL INTEREST
DECEMBER 31, INTEREST INTEREST HELD AT VALUE AT
2009 PURCHASED SOLD JUNE 30, 2010 JUNE 30, 2010 INCOME
--------------------------------------------------------------------------------------------------------------------------
BlackRock, Inc. 5,200 300 - 5,500 $ 788,700 $11,000
BlackRock Liquidity
Funds, TempCash,
Institutional Class 9,511,703 3,507,029(1) - 13,018,732 13,018,732 8,677
BlackRock Liquidity
Series, LLC Money
Market Series $13,887,630 - $(2,826,707)(2) $11,060,923 11,060,923 88,449
PennyMac Mortgage
Investment Trust 1,950 - - 1,950 31,005 -
--------------------------------------------------------------------------------------------------------------------------
|
(1) Represents net shares/beneficial interest purchased.
(2) Represents net shares/beneficial interest sold.
(e) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(f) Amount is less than $1,000.
(g) Warrants entitle the Series to purchase a predetermined number of shares of
common stock and are non-income producing. The purchase price and number of
shares are subject to adjustment under certain conditions until the
expiration date.
80 | MASTER EXTENDED MARKET INDEX SERIES
(h) Restricted security as to resale, representing 0.0% of net assets, was as
follows:
ACQUISITION
ISSUE DATES COST VALUE
--------------------------------------------------------------------------------
GreenHunter Energy, Inc. 4/18/08-5/16/08 $6,515 $276
|
(i) Represents the current yield as of report date.
(j) Security was purchased with the cash collateral from loaned securities.
o For Series compliance purposes, the Series' industry classifications refer
to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or rating group indexes, and/or as defined
by Series management. This definition may not apply for purposes of this
report, which may combine such industry sub-classifications for reporting
ease.
o Financial futures contracts purchased as of June 30, 2010 were as follows:
EXPIRATION NOTIONAL UNREALIZED
CONTRACTS ISSUE DATE VALUE (DEPRECIATION)
---------------------------------------------------------------------------------------------
98 Russell 2000 ICE EMINI September 2010 $6,055,424 $ (98,984)
94 S&P 400 Midcap EMINI September 2010 7,029,639 (355,639)
---------
TOTAL $(454,623)
=========
|
o Fair Value Measurements - Various inputs are used in determining the fair
value of investments and derivatives, which are as follows:
o Level 1 - price quotations in active markets/exchanges for identical
assets and liabilities
o Level 2 - other observable inputs (including, but not limited to: quoted
prices for similar assets or liabilities in markets that are active,
quoted prices for identical or similar assets or liabilities in markets
that are not active, inputs other than quoted prices that are observable
for the assets or liabilities (such as interest rates, yield curves,
volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs)
o Level 3 - unobservable inputs based on the best information available in
the circumstances, to the extent observable inputs are not available
(including the Series' own assumptions used in determining the fair value
of investments and derivatives)
The inputs or methodologies used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For
information about the Series' policy regarding valuation of investments and
other significant accounting policies, please refer to Note 1 of the Notes to
Financial Statements.
SCHEDULE OF INVESTMENTS | 81
The following tables summarize the inputs used as of June 30, 2010 in
determining the fair valuation of the Series' investments and derivatives:
VALUATION INPUTS LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------------------------------------------------------------------------------------------------
ASSETS
Investments in Securities:
Long-Term Investments:
Common Stocks:
Aerospace & Defense $ 3,470,112 $ - $ - $ 3,470,112
Alternative Energy 435,424 - - 435,424
Automobiles & Parts 3,199,142 - - 3,199,142
Banks 15,436,081 - - 15,436,081
Beverages 668,950 - - 668,950
Chemicals 6,500,849 - - 6,500,849
Construction & Materials 6,478,148 - - 6,478,148
Electricity 6,000,105 - - 6,000,105
Electronic & Electrical Equipment 9,859,697 - - 9,859,697
Financial Services 8,726,443 - - 8,726,443
Fixed Line Telecommunications 1,980,232 - - 1,980,232
Food & Drug Retailers 1,511,001 - - 1,511,001
Food Producers 6,035,345 - - 6,035,345
Forestry & Paper 703,877 - 8,175 712,052
Gas, Water & Multi-Utilities 4,674,181 - - 4,674,181
General Industrials 3,442,928 - - 3,442,928
General Retailers 15,099,317 - - 15,099,317
Health Care Equipment & Services 18,250,164 - - 18,250,164
Household Goods & Home Construction 5,334,557 - - 5,334,557
Industrial Engineering 8,979,216 - - 8,979,216
Industrial Metals & Mining 2,417,082 - - 2,417,082
Industrial Transportation 4,497,262 - - 4,497,262
Leisure Goods 2,526,202 - - 2,526,202
Life Insurance 1,325,640 - - 1,325,640
Media 8,993,856 - - 8,993,856
Mining 3,210,238 - - 3,210,238
Mobile Telecommunications 3,241,927 - - 3,241,927
Nonlife Insurance 11,621,167 - - 11,621,167
Oil & Gas Producers 10,777,615 - - 10,777,615
Oil Equipment, Services & Distribution 5,682,123 - - 5,682,123
Personal Goods 3,863,241 - - 3,863,241
Pharmaceuticals & Biotechnology 13,353,634 - - 13,353,634
Real Estate Investment & Services 1,615,811 - - 1,615,811
Real Estate Investment Trusts (REITs) 20,257,696 - - 20,257,696
Software & Computer Services 13,672,825 - - 13,672,825
Support Services 12,390,220 - - 12,390,220
Technology Hardware & Equipment 19,238,365 - - 19,238,365
Tobacco 440,673 - - 440,673
Travel & Leisure 12,082,780 - - 12,082,780
Other Interests:
Chemicals - 380 380
Industrial Engineering - 2 2
Rights:
Banks - 861 - 861
Pharmaceuticals & Biotechnology - - 41 41
Warrants:
Automobiles & Parts 87 - - 87
Short-Term Securities 13,018,732 11,060,923 - 24,079,655
-------------------------------------------------------------------------------------------------------
Total $291,012,945 $11,061,784 $8,598 $302,083,327
=======================================================================================================
|
82 | MASTER EXTENDED MARKET INDEX SERIES
Derivative Financial Instruments(1)
VALUATION INPUTS LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------------------------------------------------------------------------------------------------
ASSETS:
Equity contracts $(454,623) $- $- $(454,623)
-------------------------------------------------------------------------------------------------------
Total $(454,623) $- $- $(454,623)
=======================================================================================================
|
(1) Derivative financial instruments are financial futures contracts, which are
shown at the unrealized appreciation/depreciation on the instrument.
The following is a reconciliation of Level 3 investments for which significant
unobservable inputs were used to determine fair value:
INVESTMENTS IN SECURITIES
------------------------------------------------------------------------------------------------------------------
INDUSTRIAL PHARMACEUTICALS &
CHEMICALS ENGINEERING BIOTECHNOLOGY TOTAL
------------------------------------------------------------------------------------------------------------------
ASSETS:
Balance, as of December 31, 2009 $ - $382 $41 $ 423
Accrued discounts/premiums - - - -
Net realized gain (loss) (2,333) - - (2,333)
Net change in unrealized appreciation/depreciation(2) 2,333 - - 2,333
Purchases - - - -
Sales - - - -
Transfers in(3) 8,175 - - 8,175
Transfers out(3) - - - -
------------------------------------------------------------------------------------------------------------------
Balance, as of June 30, 2010 $ 8,175 $382 $41 $ 8,598
==================================================================================================================
|
(2) The change in the unrealized appreciation/depreciation on the securities
still held on June 30, 2010 was $(1,635).
(3) The Series' policy is to recognize transfers in and transfers out as of
the end of the period of the event or the change in circumstances that
caused the transfer.
See accompanying notes to financial statements.
SCHEDULE OF INVESTMENTS | 83
Portfolio Information as of June 30, 2010 (unaudited)
--------------------------------------------------------------------------------
PERCENT OF
LONG-TERM
SECTOR ALLOCATION INVESTMENTS
--------------------------------------------------------------------------------
Financials 21%
Industrials 18
Consumer Services 13
Technology 12
Health Care 11
Consumer Goods 8
Oil & Gas 6
Basic Materials 5
Utilities 4
Telecommunications 2
|
For Series compliance purposes, the Series' sector classifications refer to any
one or more of the sector sub-classifications used by one or more widely
recognized market indexes or ratings group indexes, and/or as defined by Series
management. This definition may not apply for purposes of this report, which may
combine sector sub-classifications for reporting ease.
DERIVATIVE FINANCIAL INSTRUMENTS
The Series may invest in various derivative instruments, including financial
futures contracts, as specified in Note 2 of the Notes to Financial Statements,
which may constitute forms of economic leverage. Such instruments are used to
obtain exposure to a market without owning or taking physical custody of
securities or to hedge market and/or equity risk. Such derivative instruments
involve risks, including the imperfect correlation between the value of a
derivative instrument and the underlying asset, possible default of the
counterparty to the transaction or illiquidity of the derivative instrument. The
Series' ability to successfully use a derivative instrument depends on the
investment advisor's ability to accurately predict pertinent market movements,
which cannot be assured. The use of derivative instruments may result in losses
greater than if they had not been used, may require the Series to sell or
purchase portfolio securities at inopportune times or for distressed values, may
limit the amount of appreciation the Series can realize on an investment, may
result in lower dividends paid to shareholders or may cause the Series to hold a
security that it might otherwise sell. The Series' investments in these
instruments are discussed in detail in the Notes to Financial Statements.
See accompanying notes to financial statements.
84 | MASTER EXTENDED MARKET INDEX SERIES
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2010 (unaudited)
ASSETS:
Investments at value - unaffiliated including securities
loaned of $10,271,750 (cost - $282,859,539) $277,183,967
Investments at value - affiliated (cost - $25,005,827) 24,899,360
Dividends receivable 284,058
Securities lending income receivable - affiliated 23,580
Investments sold receivable 10,845
Prepaid expenses 43,953
Other assets 6,337
------------
Total assets 302,452,100
------------
LIABILITIES:
Collateral on securities loaned at value 11,060,923
Bank overdraft 140,632
Investments purchased payable 365,039
Withdrawal payable from investors 215,454
Margin variation payable 90,296
Investment advisory fees payable 1,410
Other affiliates payable 1,380
Directors' fees payable 539
Other accrued expenses payable 37,507
Other liabilities 528
------------
Total liabilities 11,913,708
------------
NET ASSETS $290,538,392
============
NET ASSETS CONSIST OF:
Investor's capital $296,775,054
Net unrealized appreciation/depreciation (6,236,662)
------------
Net assets $290,538,392
============
|
See accompanying notes to financial statements.
FINANCIAL STATEMENTS | 85
STATEMENT OF OPERATIONS
Six-month period ended June 30, 2010 (unaudited)
INVESTMENT INCOME:
Dividends $ 1,601,996
Foreign taxes withheld (1,433)
Securities lending - affiliated 88,449
Income - affiliated 19,677
-----------
Total income 1,708,689
-----------
EXPENSES:
Accounting services 37,382
Professional 35,104
Custodian 30,197
Investment advisory 15,245
Printing 7,289
Directors 4,749
Miscellaneous 5,437
-----------
Total expenses 135,403
Less fees waived by advisor (4,526)
-----------
Total expenses after fees waived 130,877
-----------
NET INVESTMENT INCOME 1,577,812
-----------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments 3,251,741
Financial futures contracts (472,496)
-----------
2,779,245
-----------
Net change in unrealized appreciation/depreciation on:
Investments (7,257,477)
Financial futures contracts (723,776)
-----------
(7,981,253)
-----------
Total realized and unrealized gain (5,202,008)
-----------
Net decrease in net assets resulting from operations $(3,624,196)
===========
|
See accompanying notes to financial statements.
86 | MASTER EXTENDED MARKET INDEX SERIES
STATEMENTS OF CHANGES IN NET ASSETS
Six-months period ended June 30, 2010 (unaudited), and year ended
December 31, 2009
-----------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS: 6/30/2010 12/31/2009
-----------------------------------------------------------------------------------
OPERATIONS:
Net investment income $ 1,577,812 $ 2,908,445
Net realized gain 2,779,245 6,540,514
Net change in unrealized appreciation/depreciation (7,981,253) 67,096,025
---------------------------
Net increase (decrease) in net assets resulting
from operations (3,624,196) 76,544,984
---------------------------
CAPITAL TRANSACTIONS:
Proceeds from contributions 48,259,229 54,156,642
Value of withdrawals (40,312,687) (43,888,538)
---------------------------
Net increase in net assets derived
from capital transactions 7,946,542 10,268,104
---------------------------
NET ASSETS:
Total increase in net assets 4,322,346 86,813,088
Beginning of period 286,216,046 199,402,958
---------------------------
End of period $290,538,392 $286,216,046
===========================
|
See accompanying notes to financial statements.
FINANCIAL STATEMENTS | 87
FINANCIAL HIGHLIGHTS
Per share operating performance for a share outstanding throughout each
period is as follows:
SIX-MONTH
PERIOD ENDED
JUNE 30, YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------------------------
2010 2009 2008 2007 2006 2005
--------------------------------------------------------------------------------------
TOTAL INVESTMENT
RETURN:
Total Investment return (0.91)%(1) 37.08% (39.13)% 5.22% 15.92% 10.58%
--------------------------------------------------------------------------------------
RATIOS TO AVERAGE
NET ASSETS:
Total expenses 0.09%(2) 0.11% 0.11% 0.08% 0.08% 0.07%
--------------------------------------------------------------------------------------
Total expenses after fees
waived and paid indirectly 0.09%(2) 0.10% 0.11% 0.08% 0.08% 0.07%
--------------------------------------------------------------------------------------
Net investment income 1.04%(2) 1.26% 1.47% 1.33% 1.66% 1.25%
--------------------------------------------------------------------------------------
SUPPLEMENTAL DATA:
Net assets,
end of period (000) $290,538 $286,216 $199,403 $316,760 $324,343 252,955
======================================================================================
Portfolio turnover 10% 20% 33% 33% 24% 18%
--------------------------------------------------------------------------------------
|
(1) Aggregate total investment return.
(2) Annualized.
See accompanying notes to financial statements.
88 | MASTER EXTENDED MARKET INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
June 30, 2010 (unaudited)
(1) ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Master Extended Market Index Series (the "Series"), a diversified, open-end
management investment company, is a series of Quantitative Master Series LLC
(the "Master LLC"). The Master LLC is registered as an investment company under
the Investment Company Act of 1940, as amended (the "1940 Act"), and is
organized as a Delaware limited liability company. The Master LLC's Limited
Liability Company Agreement permits the Board of Directors of the Master LLC
(the "Board") to issue non-transferable interests, subject to certain
limitations. The Series' financial statements are prepared in conformity with
accounting principles generally accepted in the United States of America, which
may require management to make estimates and assumptions that affect the
reported amounts and disclosures in the financial statements. Actual results
could differ from those estimates.
The following is a summary of significant accounting policies followed by the
Series:
VALUATION -- The Series policy is to fair value its financial instruments at
market value using independent dealers or pricing services selected under the
supervision of the Board. Equity investments traded on a recognized securities
exchange or the NASDAQ Global Market System are valued at the last reported sale
price that day or the NASDAQ official closing price, if applicable. For equity
investments traded on more than one exchange, the last reported sale price on
the exchange where the stock is primarily traded is used. Equity investments
traded on a recognized exchange for which there were no sales on that day are
valued at the last available bid price. If no bid is available, the prior day's
price will be used, unless it is determined that such prior day's price no
longer reflects the fair value of the security. Financial futures contracts
traded on exchanges are valued
NOTES TO FINANCIAL STATEMENTS | 89
at their last sale price. Investments in open-end investment companies are
valued at net asset value each business day. Short-term securities with
remaining maturities of 60 days or less may be valued at amortized cost, which
approximates fair value.
The Series values its investments in BlackRock Liquidity Series, LLC Money
Market Series (the "Money Market Series") at fair value, which is ordinarily
based upon its pro rata ownership in the net assets of the underlying fund. The
Money Market Series seeks current income consistent with maintaining liquidity
and preserving capital. Although the Money Market Series is not registered under
the 1940 Act, its investments will follow the parameters of investments by a
money market fund that is subject to Rule 2a-7 promulgated by the Securities and
Exchange Commission ("SEC") under the 1940 Act. The Series may withdraw up to
25% of its investment daily, although the manager of the Money Market Series, in
its sole discretion, may permit an investor to withdraw more than 25% on any one
day.
In the event that application of these methods of valuation results in a price
for an investment which is deemed not to be representative of the market value
of such investment or is not available, the investment will be valued in
accordance with a policy approved by the Board as reflecting fair value ("Fair
Value Assets"). When determining the price for Fair Value Assets, the investment
advisor and/or the sub-advisor seeks to determine the price that the Series
might reasonably expect to receive from the current sale of that asset in an
arm's-length transaction. Fair value determinations shall be based upon all
available factors that the investment advisor and/or sub-advisor deems relevant.
The pricing of all Fair Value Assets is subsequently reported to the Board or a
committee thereof.
SEGREGATION AND COLLATERALIZATION -- In cases in which the 1940 Act and the
interpretive positions of the SEC require that the Series either delivers
collateral or segregates assets in connection with certain investments (e.g.,
financial futures contracts), the Series will, consistent with SEC rules and/or
certain interpretive letters issued by the SEC, segregate collateral or
designate on its books and records cash or other liquid securities having a
market value at least equal to the amount that would
90 | MASTER EXTENDED MARKET INDEX SERIES
otherwise be required to be physically segregated. Furthermore, based on
requirements and agreements with certain exchanges and third party
broker-dealers, each party has requirements to deliver/deposit securities as
collateral for certain investments.
SECURITIES LENDING -- The Series may lend securities to financial institutions
that provide cash as collateral, which will be maintained at all times in an
amount equal to at least 100% of the current market value of the loaned
securities. The market value of the loaned securities is determined at the close
of business of the Series and any additional required collateral is delivered to
the Series on the next business day. Securities lending income, as disclosed in
the Statement of Operations, represents the income earned from the investment of
the cash collateral, net of rebates paid to, or fees paid by, borrowers and less
the fees paid to the securities lending agent. Loans of securities are
terminable at any time and the borrower, after notice, is required to return
borrowed securities within the standard time period for settlement of securities
transactions. In the event that the borrower defaults on its obligation to
return borrowed securities because of insolvency or for any other reason, the
Series could experience delays and costs in gaining access to the collateral.
The Series also could suffer a loss if the value of an investment purchased with
cash collateral falls below the market value of loaned securities or if the
value of an investment purchased with cash collateral falls below the value of
the original cash collateral received.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME -- For financial reporting
purposes, investment transactions are recorded on the dates the transactions are
entered into (the trade dates). Realized gains and losses on investment
transactions are determined on the identified cost basis. Dividend income is
recorded on the ex-dividend dates. Upon notification from issuers, some of the
dividend income received from a real estate investment trust may be redesignated
as a reduction of cost of the related investment and/or realized gain. Interest
income is recognized on the accrual basis.
INCOME TAXES -- The Series is classified as a partnership for federal income tax
purposes. As such, each investor in the Series is treated as owner of its
proportionate share of the net assets, income, expenses and realized
NOTES TO FINANCIAL STATEMENTS | 91
and unrealized gains and losses of the Series. Therefore, no federal income tax
provision is required. It is intended that the Series' assets will be managed so
an investor in the Series can satisfy the requirements of Subchapter M of the
Internal Revenue Code of 1986, as amended.
The Series files US federal and various state and local tax returns. No income
tax returns are currently under examination. The statute of limitations on the
Series US federal tax returns remains open for each of the four years ended
December 31, 2009. The statutes of limitations on the Series' state and local
tax returns may remain open for an additional year depending upon the
jurisdiction.
OTHER -- Expenses directly related to the Series are charged to that Series.
Other operating expenses shared by several funds are pro rated among those funds
on the basis of relative net assets or other appropriate methods. The Series has
an arrangement with the custodian whereby fees may be reduced by credits earned
on uninvested cash balances, which if applicable are shown as fees paid
indirectly in the Statement of Operations. The custodian imposes fees on
overdrawn cash balances, which can be offset by accumulated credits earned or
may result in additional custody charges.
(2) DERIVATIVE FINANCIAL INSTRUMENTS
The Series engages in various portfolio investment strategies using derivative
contracts both to increase the returns of the Series and to economically hedge,
or protect, its exposure to certain risks such as equity risk. These contracts
may be transacted on an exchange. Losses may arise if the value of the contract
decreases due to an unfavorable change in the market rates or values of the
underlying instrument, or if the counterparty does not perform under the
contract. Counterparty risk related to exchange-traded financial futures
contracts is minimal because of the protection against defaults provided by the
exchange on which they trade.
FINANCIAL FUTURES CONTRACTS -- The Series purchases or sells financial futures
contracts and options on financial futures contracts to gain exposure to, or
economically hedge against, changes in the value of equity
92 | MASTER EXTENDED MARKET INDEX SERIES
securities (equity risk). Financial futures contracts are contracts for delayed
delivery of securities at a specific future date and at a specific price.
Pursuant to the contract, the Series agrees to receive from or pay to the broker
an amount of cash equal to the daily fluctuation in value of the contract. Such
receipts or payments are known as margin variation and are recognized by the
Series as unrealized gains or losses. When the contract is closed, the Series
records a realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed. The
use of financial futures transactions involves the risk of an imperfect
correlation in the movements in the price of financial futures contracts,
interest rates and the underlying assets.
DERIVATIVE INSTRUMENTS CATEGORIZED BY RISK EXPOSURE:
FAIR VALUES OF DERIVATIVE INSTRUMENTS AS OF JUNE 30, 2010
LIABILITY DERIVATIVES
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND
LIABILITIES LOCATION VALUE
--------------------------------------------------------------------------------
Equity contracts Net unrealized appreciation/depreciation* $454,623
--------------------------------------------------------------------------------
|
* Includes cumulative appreciation/depreciation of financial futures contracts
as reported in the Schedule of Investments. Only current day's margin
variation is reported within the Statement of Assets and Liabilities.
THE EFFECT OF DERIVATIVE INSTRUMENTS ON THE STATEMENT OF OPERATIONS SIX MONTHS
ENDED JUNE 30, 2010
Net Realized Loss from
Equity contracts Financial Futures Contracts $(472,496)
--------------------------------------------------------------------------------
Net Change in Unrealized Appreciation/
Depreciation on Financial Futures
Equity contracts Contracts $(723,776)
--------------------------------------------------------------------------------
|
For the six months ended June 30, 2010, the average quarterly balance of
outstanding derivative financial instruments was as follows:
FINANCIAL FUTURES CONTRACTS:
Average number of contracts purchased 156
--------------------------------------------------------------------------------
Average notional value of contracts purchased $10,835,969
--------------------------------------------------------------------------------
|
NOTES TO FINANCIAL STATEMENTS | 93
(3) INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
The PNC Financial Services Group, Inc. ("PNC"), Bank of America Corporation
("BAC") and Barclays Bank PLC ("Barclays") are the largest stockholders of
BlackRock, Inc. ("BlackRock"). Due to the ownership structure, PNC is an
affiliate of the Series for 1940 Act purposes, but BAC and Barclays are not.
The Master LLC, on behalf of the Series, entered into an Investment Advisory
Agreement with BlackRock Advisors, LLC (the "Manager"), the Series investment
advisor, an indirect, wholly owned subsidiary of BlackRock, to provide
investment advisory and administration services.
The Manager is responsible for the management of the Series' portfolio and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Series. For such services, the
Series pays the Manager a monthly fee at an annual rate of 0.01% of the average
daily value of the Series' net assets.
The Manager contractually agreed to waive or reimburse fees or expenses,
excluding interest expense, acquired fund fees and expenses and certain other
fund expenses, in order to limit expenses to 0.12% of the average daily value of
the Series' net assets until May 1, 2011. For the six months ended June 30,
2010, no fees were waived.
The Manager voluntarily agreed to waive its advisory fees by the amount of
investment advisory fees the Series pays to the Manager indirectly through its
investment in affiliated money market funds; however, the Manager does not waive
its advisory fees by the amount of investment advisory fees paid through its
investment in other affiliated investment companies, if any. This amount is
shown as fees waived by advisor in the Statement of Operations.
The Manager entered into a sub-advisory agreement with BlackRock Investment
Management, LLC ("BIM"), an affiliate of the Manager. The Manager pays BIM for
services it provides, a monthly fee that is a percentage of the investment
advisory fees paid by the Series to the Manager.
94 | MASTER EXTENDED MARKET INDEX SERIES
For the six months ended June 30, 2010, the Series reimbursed the Manager $2,612
for certain accounting services, which is included in accounting services in the
Statement of Operations.
The Master LLC, on behalf of the Series received an exemptive order from the SEC
permitting, among other things, to pay an affiliated securities lending agent a
fee based on a share of the income derived from the securities lending
activities and has retained BIM as the securities lending agent. BIM may, on
behalf of the Series, invest cash collateral received by the Series for such
loans, among other things, in a private investment company managed by the
Manager or in registered money market funds advised by the Manager or its
affiliates. The market value of securities on loan and the value of the related
collateral are shown in the Statement of Assets and Liabilities as securities
loaned and collateral on securities loaned, at value, respectively. The cash
collateral invested by BIM is disclosed in the Schedule of Investments. The
share of income earned by the Series on such investments is shown as securities
lending -- affiliated in the Statement of Operations. For the six months ended
June 30, 2010, BIM received $22,306 in securities lending agent fees related to
securities lending activities for the Series.
Certain officers and/or directors of the Master LLC are officers and/or
directors of BlackRock or its affiliates.
(4) INVESTMENTS
Purchases and sales of investments, excluding short-term securities for the six
months ended June 30, 2010, were $34,937,423 and $29,352,911, respectively.
(5) BORROWINGS
The Master LLC, on behalf of the Series, along with certain other funds managed
by the Manager and its affiliates, is a party to a $500 million credit agreement
with a group of lenders, which expires in November 2010. The Series may borrow
under the credit agreement to fund shareholder redemptions. The Series paid its
pro rata share of a 0.02% upfront fee on the aggregate commitment amount which
was allocated to the Series
NOTES TO FINANCIAL STATEMENTS | 95
based on its net assets as of October 31, 2009, a commitment fee of 0.10% per
annum based on the Series' pro rata share of the unused portion of the credit
agreement, which is included in miscellaneous income in the Statement of
Operations, and interest at a rate equal to the higher of (a) the one-month
LIBOR plus 1.25% per annum and (b) the Fed Funds rate plus 1.25% per annum on
amounts borrowed. The Series did not borrow under the credit agreement during
the six months ended June 30, 2010.
(6) CONCENTRATION, MARKET AND CREDIT RISK
In the normal course of business, the Series invests in securities and enters
into transactions where risks exist due to fluctuations in the market (market
risk) or failure of the issuer of a security to meet all its obligations (credit
risk). The value of securities held by the Series may decline in response to
certain events, including those directly involving the issuers whose securities
are owned by the Series; conditions affecting the general economy; overall
market changes; local, regional or global political, social or economic
instability; and currency and interest rate and price fluctuations. Similar to
issuer credit risk, the Series may be exposed to counterparty credit risk, or
the risk that an entity with which the Series has unsettled or open transactions
may fail to or be unable to perform on its commitments. The Series manages
counterparty risk by entering into transactions only with counterparties that it
believes have the financial resources to honor their obligations and by
monitoring the financial stability of those counterparties. Financial assets,
which potentially expose the Series to market, issuer and counterparty credit
risks, consist principally of financial instruments and receivables due from
counterparties. The extent of the Series' exposure to market, issuer and
counterparty credit risks with respect to these financial assets is generally
approximated by their value recorded in the Series' Statement of Assets and
Liabilities, less any collateral held by the Series.
The Series invests a significant portion of its assets in securities in the
financials sector. Changes in economic conditions affecting the financials
96 | MASTER EXTENDED MARKET INDEX SERIES
sector would have a greater impact on the Series and could affect the value,
income and/or liquidity of positions in such securities.
(7) SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Series
through the date the financial statements were issued and has determined that
there were no subsequent events requiring adjustment or additional disclosure in
the financial statements.
NOTES TO FINANCIAL STATEMENTS | 97
ADVISORY AGREEMENTS
June 30, 2010 (unaudited)
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENT
The Board of Directors (the "Board," and the members of which are referred to as
"Board Members") of the Quantitative Master Series LLC (the "Master LLC") met on
April 20, 2010 and May 18-19, 2010 to consider the approval of the Master LLC's
investment advisory agreement (the "Advisory Agreement") with BlackRock
Advisors, LLC (the "Manager"), the Master LLC's investment advisor, on behalf of
Master Extended Market Index Series (the "Portfolio"), a series of the Master
LLC. The Board also considered the approval of the sub-advisory agreement (the
"Sub-Advisory Agreement") between the Manager and BlackRock Investment
Management, LLC (the "Sub-Advisor"), with respect to the Portfolio. The Manager
and the Sub-Advisor are referred to herein as "BlackRock." The Advisory
Agreement and the Sub-Advisory Agreement are referred to herein as the
"Agreements."
ACTIVITIES AND COMPOSITION OF THE BOARD
The Board consists of thirteen individuals, eleven of whom are not "interested
persons" of the Master LLC as defined in the Investment Company Act of 1940, as
amended (the "1940 Act") (the "Independent Board Members"). The Board Members
are responsible for the oversight of the operations of the Master LLC and
perform the various duties imposed on the directors of investment companies by
the 1940 Act. The Independent Board Members have retained independent legal
counsel to assist them in connection with their duties. The Co-Chairs of the
Board are each Independent Board Members. The Board has established five
standing committees: an Audit Committee, a Governance and Nominating Committee,
a Compliance Committee, a Performance Oversight and Contract Committee and an
Executive Committee, each of which is composed of Independent Board Members
(except for the Executive
98 | MASTER EXTENDED MARKET INDEX SERIES
Committee, which also has one interested Board Member) and is chaired by
Independent Board Members. The Board also has one ad hoc committee, the Joint
Product Pricing Committee, which consists of Independent Board Members and
directors/trustees of the boards of certain other BlackRock-managed funds, who
are not "interested persons" of their respective funds.
THE AGREEMENTS
Pursuant to the 1940 Act, the Board is required to consider the continuation of
the Agreements on an annual basis. In connection with this process, the Board
assessed, among other things, the nature, scope and quality of the services
provided to the Portfolio by the personnel of BlackRock and its affiliates,
including investment management, administrative and shareholder services,
oversight of fund accounting and custody, marketing services and assistance in
meeting applicable legal and regulatory requirements.
From time to time throughout the year, the Board, acting directly and through
its committees, considers at each of its meetings factors that are relevant to
its annual consideration of the renewal of the Agreements, including the
services and support provided by BlackRock to the Portfolio and its
shareholders. Among the matters the Board considered were: (a) investment
performance for one-, three- and five-year periods, as applicable, against an
applicable benchmark, as well as senior management and portfolio managers'
analysis of the reasons for any over performance or underperformance against its
peers and/or benchmark, as applicable; (b) fees, including advisory,
administration, if applicable, and other amounts paid to BlackRock and its
affiliates by the Portfolio for services, such as marketing and distribution and
fund accounting; (c) Portfolio operating expenses; (d) the resources devoted to
and compliance reports relating to the Portfolio's investment objective,
policies and restrictions, (e) the Master LLC's compliance with its Code of
Ethics and compliance policies and procedures; (f) the nature, cost and
character of non-investment management services provided by BlackRock and its
affiliates; (g) BlackRock's and other service providers' internal controls; (h)
BlackRock's implementation of the proxy voting policies approved by
ADVISORY AGREEMENTS | 99
the Board; (i) the use of brokerage commissions and execution quality of
portfolio transactions; (j) BlackRock's implementation of the Master LLC's
valuation and liquidity procedures; (k) an analysis of contractual and actual
management fees for products with similar investment objectives across the
open-end fund, closed-end fund and institutional account product channels; and
(l) periodic updates on BlackRock's business.
BOARD CONSIDERATIONS IN APPROVING THE AGREEMENTS
THE APPROVAL PROCESS: Prior to April 20, 2010 meeting, the Board requested and
received materials specifically relating to the Agreements. The Board is
engaged in a process with BlackRock to periodically review the nature and scope
of the information provided to better assist its deliberations. The materials
provided in connection with the April meeting included (a) information
independently compiled and prepared by Lipper, Inc. ("Lipper") on Portfolio fees
and expenses as compared with a peer group of funds as determined by Lipper
(collectively, "Peers"), and the gross investment performance of the Portfolio
as compared with its benchmark index; (b) information on the profitability of
the Agreements to BlackRock and a discussion of fall-out benefits to BlackRock
and its affiliates and significant shareholders; (c) a general analysis provided
by BlackRock concerning investment advisory fees charged to other clients, such
as institutional clients and closed-end funds, under similar investment
mandates, as well as the performance of such other clients, as applicable; (d)
the impact of economies of scale; (e) a summary of aggregate amounts paid by the
Portfolio to BlackRock; and (f) if applicable, a comparison of management fees
to similar BlackRock open-end funds, as classified by Lipper.
At an in-person meeting held on April 20, 2010, the Board reviewed materials
relating to its consideration of the Agreements. As a result of the discussions
that occurred during the April 20, 2010 meeting, the Board presented BlackRock
with questions and requests for additional information and BlackRock responded
to these requests with additional written information in advance of the May
18-19, 2010 Board meeting.
At an in-person meeting held on May 18-19, 2010, the Board, including the
Independent Board Members, unanimously approved the continuation of
100 | MASTER EXTENDED MARKET INDEX SERIES
the Advisory Agreement between the Manager and the Master LLC with respect to
the Portfolio and the Sub-Advisory Agreement between the Manager and the
Sub-Advisor with respect to the Portfolio, each for a one-year term ending June
30, 2011. In approving the continuation of the Agreements, the Board considered:
(a) the nature, extent and quality of the services provided by BlackRock; (b)
the investment performance of the Portfolio and BlackRock; (c) the advisory fee
and the cost of the services and profits to be realized by BlackRock and its
affiliates from their relationship with the Portfolio; (d) economies of scale;
and (e) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval
process, such as payments made to BlackRock or its affiliates relating to the
distribution of Portfolio shares, services related to the valuation and pricing
of portfolio holdings of the Portfolio, direct and indirect benefits to
BlackRock and its affiliates and significant shareholders from their
relationship with the Portfolio and advice from independent legal counsel with
respect to the review process and materials submitted for the Board's review.
The Board noted the willingness of BlackRock personnel to engage in open, candid
discussions with the Board. The Board did not identify any particular
information as controlling, and each Board Member may have attributed different
weights to the various items considered.
NATURE, EXTENT AND QUALITY OF THE SERVICES PROVIDED BY BLACKROCK -- The Board,
including the Independent Board Members, reviewed the nature, extent and quality
of services provided by BlackRock, including the investment advisory services
and the resulting performance of the Portfolio. Throughout the year, the Board
compared Portfolio performance to the performance of the Dow Jones US Completion
Total Stock Market Index, its benchmark index. The Board met with BlackRock's
senior management personnel responsible for investment operations, including the
senior investment officers. The Board also reviewed the materials provided by
the Portfolio's portfolio management team discussing Portfolio performance and
the Portfolio's investment objective, strategies and outlook.
ADVISORY AGREEMENTS | 101
The Board considered, among other factors, the number, education and experience
of BlackRock's investment personnel generally and the Portfolio's portfolio
management team, investments by portfolio managers in the funds they manage,
BlackRock's portfolio trading capabilities, BlackRock's use of technology,
BlackRock's commitment to compliance and BlackRock's approach to training and
retaining portfolio managers and other research, advisory and management
personnel. The Board also reviewed a general description of BlackRock's
compensation structure with respect to the Portfolio's portfolio management team
and BlackRock's ability to attract and retain high-quality talent.
In addition to advisory services, the Board considered the quality of the
administrative and noninvestment advisory services provided to the Portfolio.
BlackRock and its affiliates and significant shareholders provide the Portfolio
with certain administrative, shareholder and other services (in addition to any
such services provided to the Portfolio by third parties) and officers and other
personnel as are necessary for the operations of the Portfolio. In addition to
investment advisory services, BlackRock and its affiliates provide the Portfolio
with other services, including (i) preparing disclosure documents, such as the
prospectus, the statement of additional information and periodic shareholder
reports; (ii) assisting with daily accounting and pricing; (iii) overseeing and
coordinating the activities of other service providers; (iv) organizing Board
meetings and preparing the materials for such Board meetings; (v) providing
legal and compliance support; and (vi) performing other administrative functions
necessary for the operation of the Portfolio, such as tax reporting and
fulfilling regulatory filing requirements. The Board reviewed the structure and
duties of BlackRock's fund administration, accounting, legal and compliance
departments and considered BlackRock's policies and procedures for assuring
compliance with applicable laws and regulations.
THE INVESTMENT PERFORMANCE OF THE PORTFOLIO AND BLACKROCK -- The Board,
including the Independent Board Members, also reviewed and considered the
performance history of the Portfolio. In preparation for the April 20, 2010
meeting, the Board received and reviewed information regarding the investment
performance of the Portfolio as compared to
102 | MASTER EXTENDED MARKET INDEX SERIES
its benchmark index. The Board regularly reviews the performance of the
Portfolio throughout the year. The Board attaches more importance to performance
over relatively long periods of time, typically three to five years.
The Board noted that the Portfolio's gross performance was below its benchmark
index in the one- and three-year periods reported, but that the Portfolio's
performance in the five-year period was better than or equal to its benchmark
index. The Board and BlackRock reviewed the reasons for the Portfolio's
underperformance during the one- and three-year periods compared with its
benchmark index. The Board was informed that, among other things, the Portfolio
performed only one basis point below its benchmark index, on a gross basis, for
the three-year period.
The Board and BlackRock discussed BlackRock's strategy for improving the
Portfolio's performance and BlackRock's commitment to providing the resources
necessary to assist the Portfolio's portfolio managers and to improve the
Portfolio's performance.
CONSIDERATION OF THE ADVISORY FEES AND THE COST OF THE SERVICES AND PROFITS TO
BE REALIZED BY BLACKROCK AND ITS AFFILIATES FROM THEIR RELATIONSHIP WITH THE
PORTFOLIO -- The Board, including the Independent Board Members, reviewed the
Portfolio's contractual advisory fee rate compared with the other funds in its
Lipper category. It also compared the Portfolio's actual management fees to
those of other funds in its Lipper category. The Board considered the services
provided and the fees charged by BlackRock to other types of clients with
similar investment mandates, including separately managed institutional
accounts.
The Board received and reviewed statements relating to BlackRock's financial
condition and profitability with respect to the services it provided the
Portfolio. The Board was also provided with a profitability analysis that
detailed the revenues earned and the expenses incurred by BlackRock for services
provided to the Portfolio. The Board reviewed BlackRock's profitability with
respect to the Portfolio and other funds the Board currently oversees for the
year ended December 31, 2009 compared to available aggregate profitability data
provided for the year ended December 31, 2008. The Board reviewed BlackRock's
profitability with
ADVISORY AGREEMENTS | 103
respect to other fund complexes managed by the Manager and/or its affiliates.
The Board reviewed BlackRock's assumptions and methodology of allocating
expenses in the profitability analysis, noting the inherent limitations in
allocating costs among various advisory products. The Board recognized that
profitability may be affected by numerous factors including, among other things,
fee waivers and expense reimbursements by the Manager, the types of funds
managed, expense allocations and business mix, and the difficulty of comparing
profitability as a result of those factors.
The Board noted that, in general, individual fund or product line profitability
of other advisors is not publicly available. Nevertheless, to the extent such
information was available, the Board considered BlackRock's operating margin, in
general, compared to the operating margin for leading investment management
firms whose operations include advising open-end funds, among other product
types. That data indicates that operating margins for BlackRock with respect to
its registered funds are generally consistent with margins earned by similarly
situated publicly traded competitors. In addition, the Board considered, among
other things, certain third party data comparing BlackRock's operating margin
with that of other publicly-traded asset management firms. That third party data
indicates that larger asset bases do not, in themselves, translate to higher
profit margins.
In addition, the Board considered the cost of the services provided to the
Portfolio by BlackRock, and BlackRock's and its affiliates' profits relating to
the management and distribution of the Portfolio and the other funds advised by
BlackRock and its affiliates. As part of its analysis, the Board reviewed
BlackRock's methodology in allocating its costs to the management of the
Portfolio. The Board also considered whether BlackRock has the financial
resources necessary to attract and retain high quality investment management
personnel to perform its obligations under the Agreements and to continue to
provide the high quality of services that is expected by the Board.
The Board noted that the Portfolio's contractual advisory fee rate was lower
than or equal to the median contractual advisory fee rate paid by the
Portfolio's Peers, in each case, before taking into account any expense
104 | MASTER EXTENDED MARKET INDEX SERIES
reimbursements or fee waivers. The Board also noted that BlackRock has
contractually agreed to waive fees and/or reimburse expenses in order to limit,
to a specified amount, the Portfolio's total operating expenses as a percentage
of the Portfolio's average daily net assets.
ECONOMIES OF SCALE -- The Board, including the Independent Board Members,
considered the extent to which economies of scale might be realized as the
assets of the Portfolio increase. The Board also considered the extent to which
the Portfolio benefits from such economies and whether there should be changes
in the advisory fee rate or structure in order to enable the Portfolio to
participate in these economies of scale, for example through the use of
breakpoints in the advisory fee based upon the asset level of the Portfolio.
OTHER FACTORS DEEMED RELEVANT BY THE BOARD MEMBERS -- The Board, including the
Independent Board Members, also took into account other ancillary or "fallout"
benefits that BlackRock or its affiliates and significant shareholders may
derive from their respective relationships with the Portfolio, both tangible and
intangible, such as BlackRock's ability to leverage its investment professionals
who manage other portfolios, an increase in BlackRock's profile in the
investment advisory community, and the engagement of BlackRock's affiliates and
significant shareholders as service providers to the Portfolio, including for
administrative and distribution services. The Board also considered BlackRock's
overall operations and its efforts to expand the scale of, and improve the
quality of, its operations. The Board also noted that BlackRock may use and
benefit from third party research obtained by soft dollars generated by certain
mutual fund transactions to assist in managing all or a number of its other
client accounts. The Board further noted that BlackRock completed the
acquisition of a complex of exchange-traded funds ("ETFs") on December 1, 2009,
and that BlackRock's funds may invest in such ETFs without any offset against
the management fees payable by the funds to BlackRock.
In connection with its consideration of the Agreements, the Board also received
information regarding BlackRock's brokerage and soft dollar practices. The Board
received reports from BlackRock which included
ADVISORY AGREEMENTS | 105
information on brokerage commissions and trade execution practices throughout
the year.
The Board noted the competitive nature of the open-end fund marketplace, and
that shareholders of a fund are able to redeem their shares if they believe that
the fund's fees and expenses are too high or if they are dissatisfied with the
performance of the fund.
CONCLUSION -- The Board, including the Independent Board Members, unanimously
approved the continuation of the Advisory Agreement between the Manager and the
Master LLC, with respect to the Portfolio, for a one-year term ending June 30,
2011 and the Sub-Advisory Agreement between the Manager and the Sub-Advisor,
with respect to the Portfolio, for a one-year term ending June 30, 2011. As part
of its approval, the Board considered the detailed review of BlackRock's fee
structure, as it applies to the Portfolio, being conducted by the ad hoc Joint
Product Pricing Committee. Based upon its evaluation of all of the
aforementioned factors in their totality, the Board, including the Independent
Board Members, was satisfied that the terms of the Agreements were fair and
reasonable and in the best interest of the Portfolio and its shareholders. In
arriving at a decision to approve the Agreements, the Board did not identify any
single factor or group of factors as allimportant or controlling, but considered
all factors together, and different Board Members may have attributed different
weights to the various factors considered. The Independent Board Members were
also assisted by the advice of independent legal counsel in making this
determination. The contractual fee arrangements for the Portfolio reflect the
results of several years of review by the Board Members and predecessor Board
Members, and discussions between such Board Members (and predecessor Board
Members) and BlackRock. Certain aspects of the arrangements may be the subject
of more attention in some years than in others, and the Board Members'
conclusions may be based in part on their consideration of these arrangements in
prior years.
106 | MASTER EXTENDED MARKET INDEX SERIES
TRUSTEES Christopher W. Claus
Barbara B. Dreeben
Robert L. Mason, Ph.D.
Barbara B. Ostdiek, Ph.D.
Michael F. Reimherr
Richard A. Zucker
--------------------------------------------------------------------------------
ADMINISTRATOR, USAA Investment Management Company
INVESTMENT ADVISER, P.O. Box 659453
UNDERWRITER, AND San Antonio, Texas 78265-9825
DISTRIBUTOR
--------------------------------------------------------------------------------
TRANSFER AGENT USAA Shareholder Account Services
9800 Fredericksburg Road
San Antonio, Texas 78288
--------------------------------------------------------------------------------
CUSTODIAN AND JP Morgan Chase Bank
ACCOUNTING AGENT 3 Chase Metrotech
Brooklyn, New York 11245
--------------------------------------------------------------------------------
INDEPENDENT Ernst & Young LLP
REGISTERED PUBLIC 100 West Houston St., Suite 1800
ACCOUNTING FIRM San Antonio, Texas 78205
--------------------------------------------------------------------------------
MUTUAL FUND Under "Products & Services"
SELF-SERVICE 24/7 click "Investments," then
AT USAA.COM "Mutual Funds"
OR CALL Under "My Accounts" go to
(800) 531-USAA "Investments." View account balances,
(8722) or click "I want to...," and select
the desired action.
--------------------------------------------------------------------------------
|
Copies of the Manager's proxy voting policies and procedures, approved by the
Trust's Board of Trustees for use in voting proxies on behalf of the Fund, are
available without charge (i) by calling (800) 531-USAA (8722); (ii) at USAA.COM;
and (iii) on the SEC's Web site at HTTP://WWW.SEC.GOV. Information regarding
how the Fund voted proxies relating to portfolio securities during the most
recent 12-month period ended June 30 is available (i) at USAA.COM; and (ii) on
the SEC's Web site at HTTP://WWW.SEC.GOV.
The Fund files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. These Forms N-Q are
available at no charge (i) by calling (800) 531-USAA (8722); (ii) at USAA.COM;
and (iii) on the SEC's Web site at HTTP://WWW.SEC.GOV. These Forms N-Q also may
be reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
Information on the operation of the Public Reference Room may be obtained by
calling (800) 732-0330.
USAA
9800 Fredericksburg Road --------------
San Antonio, TX 78288 PRSRT STD
U.S. Postage
PAID
USAA
--------------
>> SAVE PAPER AND FUND COSTS
At USAA.COM click: MY DOCUMENTS
Set preferences to USAA DOCUMENTS ONLINE.
[LOGO OF USAA]
USAA WE KNOW WHAT IT MEANS TO SERVE.(R)
=============================================================================
37757-0810 (C)2010, USAA. All rights reserved.
|
ITEM 2. CODE OF ETHICS.
NOT APPLICABLE. This item must be disclosed only in annual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
NOT APPLICABLE. This item must be disclosed only in annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
NOT APPLICABLE. This item must be disclosed only in annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not Applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Filed as part of the report to shareholders.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not Applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Corporate Governance Committee selects and nominates candidates for
membership on the Board as independent directors. Currently, there is no
procedure for shareholders to recommend candidates to serve on the Board.
ITEM 11. CONTROLS AND PROCEDURES
The principal executive officer and principal financial officer of USAA Mutual
Funds Trust (Trust) have concluded that the Trust's disclosure controls and
procedures are sufficient to ensure that information required to be disclosed by
the Trust in this Form N-CSR/S was recorded, processed, summarized and reported
within the time periods specified in the Securities and Exchange Commission's
rules and forms, based upon such officers' evaluation of these controls and
procedures as of a date within 90 days of the filing date of the report.
There were no significant changes or corrective actions with regard to
significant deficiencies or material weaknesses in the Trust's internal controls
or in other factors that could significantly affect the Trust's internal
controls subsequent to the date of their evaluation. The only change to the
procedures was to document the annual disclosure controls and procedures
established for the new section of the shareholder reports detailing the factors
considered by the Funds' Board in approving the Funds' advisory agreements.
ITEM 12. EXHIBITS.
(a)(1). NOT APPLICABLE. This item must be disclosed only in annual reports.
(a)(2). Certification pursuant to Rule 30a-2(a) under the Investment Company Act
of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit
99.CERT.
(a)(3). Not Applicable.
(b). Certification pursuant to Rule 30a-2(b) under the Investment Company Act
of 1940 (17 CFR 270.30a-2(b))is filed and attached hereto as Exhibit
99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: USAA MUTUAL FUNDS TRUST, Period Ended June 30, 2010
By:* CHRISTOPHER P. LAIA
-----------------------------------------------------------
Signature and Title: Christopher P. Laia, Secretary
Date: 08/25/2010
------------------------------
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By:* CHRISTOPHER W. CLAUS
-----------------------------------------------------
Signature and Title: Christopher W. Claus, President
Date: 08/25/2010
------------------------------
By:* ROBERTO GALINDO, JR.
-----------------------------------------------------
Signature and Title: Roberto Galindo, Jr., Treasurer
Date: 08/25/2010
------------------------------
|
*Print the name and title of each signing officer under his or her signature.
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