UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-4984
AMERICAN BEACON FUND
(Exact name of registrant as specified in charter)
4151 Amon Carter Boulevard, MD 2450
Fort Worth, Texas 76155
(Address of principal executive offices)-(Zip code)
Fort Worth, Texas 76155
(Address of principal executive offices)-(Zip code)
Gene L. Needles, Jr., PRESIDENT
4151 Amon Carter Boulevard, MD 2450
Fort Worth, Texas 76155
(Name and address of agent for service)
4151 Amon Carter Boulevard, MD 2450
Fort Worth, Texas 76155
(Name and address of agent for service)
Registrant’s telephone number, including area code: (817) 967-3509
Date of fiscal year end: December 31, 2010
Date of reporting period: December 31, 2010
ITEM 1. REPORT TO STOCKHOLDERS.
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About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
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Back Cover |
Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and the Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | December 31, 2010 |
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Fellow Shareholders,
The past year has told us once again that economic volatility and investment opportunity often go hand in hand. As investors contend with the possibility of rising inflation in the years ahead, they may wish to turn to an investment approach that incorporates a more defensive posture in this regard.
The American Beacon Treasury Inflation Protected Securities (TIPS) Fund is designed to help investors address the inevitable fluctuation in the rate of inflation. Like so many of our funds, the TIPS Fund is conservatively managed for the long term; it invests primarily in high-quality inflation-protected government securities.
Over the 12-month period ended December 31, 2010, the American Beacon Treasury Inflation Protected Securities Fund (Institutional Class) generated a return of 5.03%.
As always, we appreciate the opportunity to assist you in the pursuit of your financial goals. We trust the enclosed market overview, portfolio listings, and financial data will provide you with valuable insight into the past year’s performance of your fund.
We thank you for your continued investment in the American Beacon Funds, and we remain focused on providing the type of responsive service and expert investment management that will sustain your confidence and earn your trust for many years to come. If you’d like to access your account information or obtain further details about the American Beacon Funds, please contact your investment advisor or visit our website at www.americanbeaconfunds.com.
Best Regards, | ||
![]() | ||
Gene L. Needles, Jr. | ||
President | ||
American Beacon Funds |
Investing in debt securities entails interest rate risk which is the risk that debt securities will decrease in value with increases in market interest rates.
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Market Overview
December 31, 2010 (Unaudited)
December 31, 2010 (Unaudited)
The economic recovery that began in 2009 continued throughout 2010, as fiscal and monetary policies appeared to have succeeded in jump-starting the economy. Accommodative monetary policies, fiscal stimulus measures and strong economic growth overseas also contributed to maintaining the moderate pace of U.S. growth.
The Economy in Review
In the first quarter, the economy was able to build on the strong momentum it gained during the fourth quarter of 2009. However, by the second quarter, the momentum slowed noticeably, and investors once again began questioning the sustainability of the U.S. economic recovery. Real Gross Domestic Product growth pulled back to just 1.7% in the second quarter. This, along with falling inflation measures and persistently high unemployment, ultimately led the Federal Reserve to undertake a second round of the securities purchases that began in November. By year end, the stimulative financial conditions in the U.S., along with the continued strength in oversees economic growth — particularly from Asia — led to a period of above-trend economic growth. In the end, the U.S. economy expanded at nearly a 3.0% pace in 2010.
Treasury Performance
Yields on U.S. Treasury securities followed this roller coaster of growth expectations throughout the year. Notwithstanding the apparent economic recovery, Treasury yields ended 2010 lower than where they began the year. Early in 2010, yields meandered within a relatively narrow range. A strong rally in U.S. Treasury yields began early in April as heightened economic expectations failed to materialize and the European financial crises spread from Greece, threatening the stability of the overall European financial system. The increased appetite for Treasury securities caused Treasury yields to decline sharply. Then, expectations for a second round of Large Scale Asset Purchases by the Federal Reserve helped push yields still lower through early October. In the fourth quarter, expectations of an improving economy drove rates higher. According to Barclays Capital, the Treasury sector returned 5.87% for the year.
Real yields peaked in late March as investors began extrapolating the strong growth of the previous quarters into the future, and concerns grew regarding the high levels of U.S. Treasury debt issuance. A 1.30% rally in 10-year Treasury Inflation Protected Securities (TIPS) ensued over the next 6 months and concluded in October with the Federal Reserve’s formal announcement of their intention to purchase an additional $600 billion worth of U.S. Treasury securities, including TIPS. Following that announcement, U.S. Treasury yields rose sharply amid renewed optimism on economic growth and on the heightened risks of inflation being driven by the weakening U.S. dollar. Yields on 10-year TIPS ended the year just below 1%, approximately 0.40% lower than where they began the year.
Inflation’s Impact
Perhaps not surprisingly, given the improving economic outlook and continued monetary accommodation, risk-based assets and commodity prices rose in 2010. For the year, for example, both the S&P 500 and front-month crude oil futures prices rose approximately 15%.
Even given sharply increasing commodity prices, inflation as measured by the Consumer Price Index (CPI) was relatively benign in 2010. For example, in December, the CPI increased at a 1.5% year-over-year pace, higher than June’s 1.1% pace but still lower than the December 2009 level of 2.7%. And, the core CPI year-over-year (CPI excluding food and energy) increased at a 0.8% pace in December, compared to 0.9% and 1.8% in June and December 2009, respectively.
Breakeven inflation rates for 10-year TIPS peaked early in the year at 2.46% before falling to their low of 1.51% in August. Following the Fed announcement, breakevens rose dramatically, ending the year at 2.32%, just below where they began. The issuance of TIPS securities increased to $85 million in 2010 as the Treasury ramped up supply in an effort to improve liquidity in the sector and to show ongoing support for the asset class.
Declining real Treasury interest rates contributed to positive total returns for TIPS. The Barclays Capital U.S. TIPS Index returned 6.31% in 2010, while the Intermediate (1 — 10 Year maturity) TIPS Index returned 5.22%. Perhaps most interestingly, real rates exhibited unusual volatility from September through December, as expectations regarding potential additional
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Market Overview
December 31, 2010 (Unaudited)
December 31, 2010 (Unaudited)
quantitative easing (QE2), and then the reality of the actual QE2 announcement, first caused rates to fall sharply and then rise nearly as sharply. First, the market’s perception that the Fed wanted to drive real rates lower — and inflation expectations higher — led to a strong period for TIPS. Quickly, though, as the Fed formally announced that it would engage in additional Treasury purchases, and as reasonably strong economic data were released, real rates rose, effectively reversing the QE2-induced rally. For example, according to Bloomberg, the yield on the TIPS 1.875% 7/15/15 fell from 0.41% on September 9 to a negative 0.53% on November 8, before rising to 0.23% on December 14.
Inflation expectations as reflected in breakeven inflation rates (the spread between similar maturity nominal and inflation-protected securities) varied in 2010. For example, while the breakeven inflation rate at the 5-year part of the curve began 2010 at approximately 1.95% and ended 2010 at approximately 1.75%, this rate rose to 2.05% in April and fell to nearly 1.10% in late August. Concerns over the potential for falling prices led to the decrease in breakevens from April to August, while apparent investor comfort with the prospect that QE2 would preclude falling prices that led to the rise in breakevens.
The Treasury Department remains committed to the TIPS program, and in 2011, auctions are anticipated at the 5-, 10-, and 30-year maturities. At the end of 2010, the total outstanding market value of the Barclays Capital U.S. TIPS Index was approximately $588 billion.
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Performance Overview
American Beacon Treasury Inflation Protected Securities FundSM
December 31, 2010 (Unaudited)
American Beacon Treasury Inflation Protected Securities FundSM
December 31, 2010 (Unaudited)
The Institutional Class of the Fund returned 5.03% for the twelve months ended December 31, 2010, trailing the Barclays Capital 1-10 Year U.S. TIPS Index (the “Index”) return of 5.22% and the Lipper TIPS Index return of 6.52%.
Comparison of Change in Value
of a $10,000 Investment
For the Period From 6/30/04 through 12/31/10
of a $10,000 Investment
For the Period From 6/30/04 through 12/31/10
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Annualized Total Returns | Value of | |||||||||||||||
Periods Ended 12/31/2010 | $10,000 | |||||||||||||||
Since Inception | 6/30/04- | |||||||||||||||
1 Year | 5 Years | 6/30/04 | 12/31/10 | |||||||||||||
Institutional Class(1,7,8) | 5.03 | % | 5.11 | % | 4.82 | % | $ | 13,583 | ||||||||
Y Class (1,2,7,8) | 4.81 | % | 5.06 | % | 4.79 | % | 13,553 | |||||||||
Investor Class (1,3,7,8) | 4.62 | % | 4.96 | % | 4.71 | % | 13,487 | |||||||||
A Class without sales charge (1,4,7,8) | 4.45 | % | 4.93 | % | 4.68 | % | 13,464 | |||||||||
A Class with sales charge (1,4,7,8) | -0.56 | % | 3.90 | % | 3.90 | % | 12,823 | |||||||||
C Class without sales charge (1,5,7,8) | 4.16 | % | 4.87 | % | 4.64 | % | 13,427 | |||||||||
C Class with sales charge (1,5,7,8) | 3.16 | % | 4.87 | % | 4.64 | % | 13,427 | |||||||||
Barclays Capital 1-10 Yr. U.S. TIPS Index(6) | 5.22 | % | 5.41 | % | 5.22 | % | 13,920 | |||||||||
Barclays Capital U.S. TIPS Index(6) | 6.31 | % | 5.33 | % | 5.53 | % | 14,192 | |||||||||
Lipper TIPS Funds Index(6) | 6.52 | % | 4.75 | % | 5.13 | % | 13,846 |
1. | Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. | |
2. | Fund performance represents the total returns achieved by the Institutional Class up to 3/1/10, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Y Class been in existence since 6/30/04. | |
3. | Fund performance represents the total returns achieved by the Institutional Class up to 3/2/09, the inception date of the Investor Class, and the returns of the Investor Class since its inception. Expenses of the Investor Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Investor Class been in existence since 6/30/04. | |
4. | Fund performance represents the total returns achieved by the Institutional Class from 6/30/04 through 3/1/09, and the Investor Class from 3/2/09 up to 5/17/10, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Institutional and Investor Classes. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 6/30/04. The maximum sales charge for A Class is 4.75%. | |
5. | Fund performance represents the total returns achieved by the Institutional Class from 6/30/04 through 3/1/09, and the Investor Class from 3/2/09 up to 9/1/10, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Institutional and Investor Classes. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 6/30/04. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase. | |
6. | The Barclays Capital 1-10 Yr. U.S. TIPS Index is an unmanaged market index comprising U.S. Treasury inflation-indexed securities with maturities between one and ten years while the Barclays Capital U.S. TIPS Index includes all maturities. The Lipper TIPS Funds Index tracks the results of the 30 largest mutual funds in the Lipper TIPS Fund category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. | |
7. | A portion of the fees charged to the Investor Class of the Fund was waived from its inception. A portion of the fees charged to the Institutional Class of the Fund has been waived since 2005. Performance prior to waiving fees was lower than the actual returns shown. | |
8. | The total annual Fund operating expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 0.36%, 0.46%, 0.68%, 0.86%, and 1.61%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
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Performance Overview
American Beacon Treasury Inflation Protected Securities FundSM
December 31, 2010 (Unaudited)
American Beacon Treasury Inflation Protected Securities FundSM
December 31, 2010 (Unaudited)
The Fund produced strong absolute returns for the twelve-month time period. TIPS rallied during much of 2010, amid downgraded global growth expectations, increased risk aversion and uncertainty surrounding the European financial environment, and the anticipation of a second round of quantitative easing in the United States. Late in 2010, TIPS began to decline amid upward revisions in growth forecasts for the United States.
From a yield curve positioning standpoint, the Fund benefited from an underweight position in 1-3 year maturity TIPS, but an underweight allocation to 7-9 year maturity TIPS detracted from relative performance for the year. Individual security selections within the 1-3 year and 5-7 year maturity ranges and Fund expenses also contributed to the Fund’s underperformance during the period. The Fund’s average modified duration was in-line with the Index for the twelve-month period.
The Fund remains focused on investing in TIPS to provide inflation protection and income to its shareholders.
Top Ten Holdings
% of | ||||
Net Assets | ||||
U.S. Treasury Note, 2.375%, Due 1/15/2017 | 9.5 | % | ||
U.S. Treasury Note, 3.000%, Due 7/15/2012 | 9.0 | % | ||
U.S. Treasury Note, 1.250%, Due 7/15/2020 | 7.9 | % | ||
U.S. Treasury Note, 1.250%, Due 4/15/2014 | 7.2 | % | ||
U.S. Treasury Note, 0.500%, Due 4/15/2015 | 7.1 | % | ||
U.S. Treasury Note, 2.000%, Due 1/15/2014 | 6.9 | % | ||
U.S. Treasury Note, 2.000%, Due 7/15/2014 | 6.4 | % | ||
U.S. Treasury Note, 1.375%, Due 7/15/2018 | 5.6 | % | ||
U.S. Treasury Note, 1.625%, Due 1/15/2015 | 5.6 | % | ||
U.S. Treasury Note, 2.125%, Due 1/15/2019 | 5.4 | % |
Portfolio Diversification
% of | ||||
Fixed Income | ||||
A | 0.0 | % | ||
AA | 0.0 | % | ||
AAA | 0.0 | % | ||
Treasury | 100.0 | % |
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Fund Expenses
American Beacon Treasury Inflation Protected Securities FundSM
December 31, 2010 (Unaudited)
American Beacon Treasury Inflation Protected Securities FundSM
December 31, 2010 (Unaudited)
Fund Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2010 through December 31, 2010.
Actual Expenses
The “Actual” line of the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. Shareholders that invest in the Fund through an IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
Hypothetical Example for Comparison Purposes
The “Hypothetical” line of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in the Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders that invest in the Fund through an IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” 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. If you were subject to any transaction costs during the period, your costs would have been higher.
Beginning | Expenses Paid | |||||||||||
Account Value | Ending Account | During Period* | ||||||||||
7/1/10 | Value 12/31/10 | 7/1/10-12/31/10 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.93 | $ | 1.27 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,023.95 | $ | 1.28 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,029.07 | $ | 3.07 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,022.18 | $ | 3.06 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.02 | $ | 3.26 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,021.98 | $ | 3.26 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,027.14 | $ | 5.06 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,020.21 | $ | 5.04 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,007.71 | $ | 5.95 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,010.79 | $ | 5.96 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.25%, 0.60%, 0.64%, 0.99% and 1.77% for the Institutional, Y, Investor, A and C Class, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (184) by days in the year (365) to reflect the half year period except for C Class. Beginning account value for C Class is the inception date of 9/1/10 and the days in the period were 122. | |
** | 5% return before expenses. |
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American Beacon Treasury Inflation Protected Securities FundSM
Report of Independent Registered Public Accounting Firm
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of
American Beacon Treasury Inflation Protected Securities Fund:
American Beacon Treasury Inflation Protected Securities Fund:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of the American Beacon Treasury Inflation Protected Securities Fund (one of the funds constituting the American Beacon Funds) (the “Fund”), as of December 31, 2010, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the American Beacon Treasury Inflation Protected Securities Fund at December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
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Dallas, Texas
March 1, 2011
March 1, 2011
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American Beacon Treasury Inflation Protected Securities Fund
Schedule of Investments
December 31, 2010
December 31, 2010
Par Amount | Value | |||||||
($000) | ($000) | |||||||
U.S. TREASURY OBLIGATIONS - 99.10% | ||||||||
2.00%, Due 4/15/2012A | 6,025 | 6,244 | ||||||
3.00%, Due 7/15/2012A | 14,754 | 15,672 | ||||||
0.625%, Due 4/15/2013A | 1,030 | 1,061 | ||||||
1.875%, Due 7/15/2013A | 6,508 | 6,939 | ||||||
2.00%, Due 1/15/2014A | 11,100 | 11,917 | ||||||
1.25%, Due 4/15/2014A | 11,827 | 12,438 | ||||||
2.00%, Due 7/15/2014A | 10,207 | 11,032 | ||||||
1.625%, Due 1/15/2015A | 9,135 | 9,741 | ||||||
0.50%, Due 4/15/2015A | 12,085 | 12,353 | ||||||
1.875%, Due 7/15/2015A | 8,433 | 9,135 | ||||||
2.00%, Due 1/15/2016A | 5,306 | 5,777 | ||||||
2.375%, Due 1/15/2017A | 14,749 | 16,437 | ||||||
2.625%, Due 7/15/2017A | 4,764 | 5,422 | ||||||
1.625%, Due 1/15/2018A | 3,231 | 3,457 | ||||||
1.375%, Due 7/15/2018A | 9,184 | 9,678 | ||||||
2.125%, Due 1/15/2019A | 8,526 | 9,435 | ||||||
1.875%, Due 7/15/2019A | 7,913 | 8,603 | ||||||
1.375%, Due 1/15/2020A | 2,478 | 2,575 | ||||||
1.25%, Due 7/15/2020A | 13,333 | 13,651 | ||||||
Total U.S. Treasury Obligations (Cost $169,811) | 171,567 | |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 0.24% (Cost $421) | ||||||||
JPMorgan U.S. Government Money Market Fund | 421,350 | 421 | ||||||
TOTAL INVESTMENTS - 99.34% (Cost $170,232) | 171,988 | |||||||
OTHER ASSETS, NET OF LIABILITIES - 0.66% | 1,142 | |||||||
TOTAL NET ASSETS - 100.00% | $ | 173,130 | ||||||
Percentages are stated as a percent of net assets.
A | Inflation-Indexed Note. |
See accompanying notes
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American Beacon Treasury Inflation Protected Securities Fund
Statement of Assets and Liabilities
December 31, 2010 (in thousands, except share and per share amounts)
Statement of Assets and Liabilities
December 31, 2010 (in thousands, except share and per share amounts)
Assets: | ||||
Investments in securities, at value A | $ | 171,988 | ||
Dividends and interest receivable | 1,267 | |||
Receivable for fund shares sold | 243 | |||
Receivable for expense reimbursement (Note 2) | 15 | |||
Prepaid expenses | 59 | |||
Total assets | 173,572 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 347 | |||
Management and investment advisory fees payable (Note 2) | 40 | |||
Administrative service and service fees payable (Note 2) | 26 | |||
Professional fees payable | 19 | |||
Other liabilities | 10 | |||
Total liabilities | 442 | |||
Net assets | $ | 173,130 | ||
Analysis of Net Assets: | ||||
Paid-in-capital | 183,640 | |||
Undistributed net investment income | 182 | |||
Accumulated net realized loss | (12,448 | ) | ||
Unrealized appreciation of investments | 1,756 | |||
Net assets | $ | 173,130 | ||
Shares outstanding (no par value): | ||||
Institutional Class | 14,952,129 | |||
Y Class | 34,479 | |||
Investor Class | 1,456,370 | |||
A Class | 14,705 | |||
C Class | 14,575 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional Class | $ | 10.51 | ||
Y Class | $ | 10.60 | ||
Investor Class | $ | 10.48 | ||
A Class (net asset value and redemption price) | $ | 10.54 | ||
A Class (offering price) | $ | 11.07 | ||
C Class | $ | 10.46 | ||
A Cost of investments in securities | $ | 170,232 |
See accompanying notes
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American Beacon Treasury Inflation Protected Securities Fund
Statement of Operations
Year ended December 31, 2010 (in thousands)
Statement of Operations
Year ended December 31, 2010 (in thousands)
Investment Income: | ||||
Dividend income | $ | 1 | ||
Interest income | 3,429 | |||
Total investment income | 3,430 | |||
Expenses: | ||||
Management and investment advisory fees (Note 2) | 230 | |||
Administrative service fees (Note 2): | ||||
Institutional Class | 271 | |||
Investor Class | 43 | |||
Transfer agent fees: | ||||
Institutional Class | 15 | |||
Investor Class | 1 | |||
Custody and fund accounting fees | 36 | |||
Professional fees | 42 | |||
Registration fees and expenses | 25 | |||
Service fees (Note 2): | ||||
Investor Class | 36 | |||
Prospectus and shareholder reports | 15 | |||
Trustee fees | 13 | |||
Other expenses | 14 | |||
Total expenses | 741 | |||
Net fees waived and expenses reimbursed by Manager (Note 2) | (196 | ) | ||
Net expenses | 545 | |||
Net investment income | 2,885 | |||
Realized and unrealized gain (loss) on investments: | ||||
Net realized gain (loss) from: | ||||
Investments | 8,451 | |||
Change in net unrealized appreciation or depreciation of: | ||||
Investments | (331 | ) | ||
Net gain on investments | 8,120 | |||
Net increase in net assets resulting from operations | $ | 11,005 | ||
See accompanying notes
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American Beacon Treasury Inflation Protected Securities Fund
Statement of Changes of Net Assets (in thousands)
Statement of Changes of Net Assets (in thousands)
Year Ended | Year Ended | |||||||
December 31, 2010 | December 31, 2009 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 2,885 | $ | 953 | ||||
Net realized gain on investments | 8,451 | 2,896 | ||||||
Change in net unrealized appreciation or (depreciation) of investments | (331 | ) | 9,275 | |||||
Net increase in net assets resulting from operations | 11,005 | 13,124 | ||||||
Distributions to Shareholders: | ||||||||
Net investment income: | ||||||||
Institutional Class | (2,717 | ) | (789 | ) | ||||
Y Class | (1 | ) | — | |||||
Investor Class | (166 | ) | (28 | ) | ||||
Net distributions to shareholders | (2,884 | ) | (817 | ) | ||||
Capital Share Transactions: | ||||||||
Proceeds from sales of shares | 135,939 | 82,724 | ||||||
Reinvestment of dividends and distributions | 2,242 | 615 | ||||||
Cost of shares redeemed | (134,873 | ) | (74,134 | ) | ||||
Net increase in net assets from capital share transactions | 3,308 | 9,205 | ||||||
Net increase in net assets | 11,429 | 21,512 | ||||||
Net Assets: | ||||||||
Beginning of period | 161,701 | 140,189 | ||||||
End of Period * | $ | 173,130 | $ | 161,701 | ||||
*Includes undistributed net investment income of | $ | 182 | $ | 181 | ||||
See accompanying notes
11
Table of Contents
American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”) which is comprised of 19 Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, (the “Act”) as a diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon Treasury Inflation Protected Securities Fund (the “Fund”), a series of the Trust.
American Beacon Advisors, Inc. (the “Manager”) is a wholly-owned subsidiary of Lighthouse Holdings, Inc., and was organized in 1986 to provide business management, advisor, administration and asset management consulting services to the Trust and other investors.
Class Disclosure
The inception dates of the Y, A, and C Classes are March 1, May 17, and September 1, 2010, respectively.
The Fund has multiple classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:
Class: | Offered to: | |
Institutional Class | Investors making an initial investment of $250,000 | |
Y Class | Investors making an initial investment of $100,000 | |
Investor Class | General public and investors investing through an intermediary | |
A Class | General public and investors investing through an intermediary with applicable sales charges | |
C Class | General public and investors investing through an intermediary with applicable sales charges |
Administrative service fees, service fees and distribution fees vary amongst the classes as described more fully in footnote 2.
Security Valuation
Investments are valued at the close of the New York Stock Exchange (the “Exchange”), normally 4 p.m. ET, each day that the Exchange is open for business.
Debt securities (other than short-term securities) normally are valued on the basis of prices provided by an independent pricing service and may take into account appropriate factors such as institution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data. The prices of debt securities may be determined using quotes obtained from brokers.
Investments in mutual funds are valued at the closing net asset value per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method, which approximates fair value.
Securities for which market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Board of Trustees (the “Board”).
Valuation Inputs
Various inputs may be used to determine the value of the Fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
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American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Level 1 — Quoted prices in active markets for identical securities.
Level 2 — Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. Level 2 securities are fixed-income securities that are valued using observable inputs as stated above.
Level 3 — Prices determined using significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.
The Fund’s investments are summarized by level based on the inputs used to determine their values. During the period there were no significant transfers between levels. As of December 31, 2010, the Fund’s investments were classified as follows: (in thousands)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
U.S. Treasury Obligations | $ | — | $ | 171,567 | — | $ | 171,567 | |||||||||
Short term investments | 421 | — | — | 421 | ||||||||||||
Total | $ | 421 | $ | 171,567 | — | $ | 171,988 |
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security purchase or sale. The Fund may purchase securities with delivery or payment to occur at a later date. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the net asset value. The value of the security may vary with market fluctuations.
Dividend income is recorded on the ex-dividend date. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification.
Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recorded as interest income, even though principal is not received until maturity.
Dividends to Shareholders
Dividends from net investment income of the Fund normally will be declared and paid at least semi-annually. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date.
Allocation of Income, Expenses, Gains, and Losses
Income, expenses (other than those attributable to a specific class), gains, and losses are allocated daily to each class of shares based up on the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
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 affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.
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American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
2. Transactions with Affiliates
Management Agreement
The Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all investment advisory and portfolio management services. Investment assets of the Fund may be managed by multiple investment advisors which have entered into separate investment advisory agreements with the Manager. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Fund an annualized fee equal to 0.05% of the average daily net assets plus amounts paid by the Manager to the investment advisors hired by the Manager to direct investment activities of the Fund. Management fees paid during the year ended December 31, 2010 were as follows:
Amount paid to | ||||||
Management Fee | Investment | Net Amount Retained | ||||
Rate | Management Fee | Sub-Advisor | by Manager | |||
0.15%-0.19% | $229,529 | $132,034 | $97,495 |
Administrative Services Agreement
The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative services to the Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of 0.15% of the average daily net assets of the Institutional Class and 0.30% of the average daily net assets of the Y and Investor Classes and 0.40% of the average daily net assets of the A and C Classes of the Fund. Administrative Service fees for the Y, A, and C Classes for the period ended December 31, 2010 were less than $500.
Distribution Plans
The Fund, except for the A and C Classes of the Fund, have adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule 12b-1 under the Act, pursuant to which no fees may be charged to the Fund for distribution purposes. However, the Plan authorizes the management and administrative service fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Trust does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Trust shares.
A separate Distribution Plan (the “Distribution Plan”) has been adopted pursuant to Rule 12b-1 under the Act for the A and C Classes of the Fund. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C Class of the Fund. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expense incurred in a particular month by the Manager for distribution assistance. Distribution fees for the A and C Classes for the period ended December 31, 2010 were less than $500.
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American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Service Plan
The Manager and the Fund entered into a Service Plan which obligates the Manager to oversee additional shareholder servicing of the Y, Investor, A, and C Classes of the Fund. As compensation for performing the duties required under the Service Plan, the Manager receives an annualized fee of 0.10% of the average daily net assets of the Y Class, 0.15% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Fund. Service fees for the Y, A, and C Classes for the period ended December 31, 2010 were less than $500.
Interfund Lending Program
Pursuant to an exemptive order by the Securities Exchange Commission (the “SEC”), the Fund, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program as a borrower. This program provides an alternative credit facility allowing the Fund to borrow from other participating Funds. For the year ended December 31, 2010, the Fund did not utilize the credit facility.
Reimbursement of Expenses
The Manager voluntarily agreed to reimburse a portion of its Administrative Service fee for the Institutional Class and other expenses of the Investor Class. For the year ended December 31, 2010 the Manager reimbursed expenses of $180,583 and $15,368 expiring in 2013 for the Institutional and Investor Classes, respectively. Of these amounts $15,000 was receivable from the Manager at December 31, 2010.
The Fund has adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of fees waived or expenses reimbursed for a period of up to three years. However, reimbursement will occur only if the Class’s average net assets have grown or expenses have declined sufficiently to allow reimbursement without causing its expense ratio to exceed the previously agreed upon contractual expense limit. Reimbursed expenses subject to potential recovery totaling $135,078, $131,280, and $195,951 will expire in 2011, 2012, and 2013 respectively. The Fund has not recorded a liability for these potential reimbursements due to the current assessment that reimbursements are unlikely.
Sales Commissions
The Fund’s distributor, Foreside Fund Services, LLC (“Foreside”) may receive a portion of A Class sales charges from broker dealers and it may be used to offset expenses that the Manager pays to Foreside. Since May 17th (the inception date of the A Class) there has been $422 in sales commissions from the sale of A Class shares that were received by Foreside.
3. Federal Income Taxes
It is the policy of the Fund to qualify as a regulated investment company, by complying with all applicable provisions of the Code, and to make distribution of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, the Fund is treated as a single entity for the purpose of determining such qualification.
The Fund does not have any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2010 remains subject to examination by the Internal Revenue Service. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expense” on the Statement of Operations.
15
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American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. generally accepted accounting principles. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.
The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on returns on income earned or gains realized or repatriated. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation, as applicable, as the income is earned or capital gains are recorded.
The tax character of distributions paid during the fiscal years ended December 31, 2010 and December 31, 2009 were as follows (in thousands):
Distributions paid from:
Ordinary Income* | ||||||||
Year Ended | Year Ended | |||||||
December 31, | December 31, | |||||||
2010 | 2009 | |||||||
Institutional Class* | $ | 2,717 | $ | 789 | ||||
Y Class | 1 | N/A | ||||||
Investor Class | 166 | 28 | ||||||
A Class | — | N/A | ||||||
C Class | — | N/A | ||||||
Total taxable distributions | $ | 2,884 | $ | 817 | ||||
* | For tax purposes, short-term capital gains distributions are considered ordinary income distributions. |
As of December 31, 2010, the components of distributable earnings on a tax basis were as follows (in thousands):
Cost basis of investments for federal income tax purposes | $ | 170,887 | ||
Unrealized appreciation | 1,861 | |||
Unrealized depreciation | (760 | ) | ||
Net unrealized appreciation/(depreciation) | 1,101 | |||
Undistributed ordinary income | 183 | |||
Accumulated long-term gain/(loss) | (11,794 | ) | ||
Distributable earnings | $ | (10,510 | ) | |
Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The temporary differences between financial reporting and tax-basis reporting of unrealized appreciation/ (depreciation) are attributable primarily to the tax deferral of losses from wash sales.
Accordingly, the following amounts represent current year permanent differences derived from foreign currency transactions and return of capital that have been reclassified as of December 31, 2010 (in thousands):
Paid-in-capital | $ | (1 | ) | |
Undistributed net investment income | — | |||
Accumulated net realized gain (loss) | — | |||
Unrealized appreciation (depreciation) of investments | 1 |
At December 31, 2010, the capital loss carry forward positions for federal income tax purposes were (in thousands) $6,426, and $5,368 expiring in 2016 and 2017 respectively. The Fund utilized $8,814 of net capital loss carryovers for the year ended December 31, 2010.
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Table of Contents
American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
4. Investment Transactions
The aggregate cost of purchases and proceeds from sales of investments for the year ended December 31, 2010, excluding short-term investments, were $417,735,765 and $412,900,371, respectively. These amounts also represent purchases and sales of U.S. Government securities.
5. Capital Share Transactions
The tables below summarize the activity in capital shares (dollars and shares in thousands):
Year Ended December 31, 2010
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Shares sold. | 11,655 | $ | 121,423 | 34 | $ | 359 | 1,349 | $ | 13,851 | |||||||||||||||
Reinvestment of dividends | 200 | 2,077 | — | 1 | 16 | 164 | ||||||||||||||||||
Shares redeemed. | (12,245 | ) | (129,823 | ) | — | — | (488 | ) | (5,050 | ) | ||||||||||||||
Net increase (decrease) in shares outstanding. | (390 | ) | $ | (6,323 | ) | 34 | $ | 360 | 877 | $ | 8,965 | |||||||||||||
A Class | C Class | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares sold | 15 | $ | 155 | 15 | $ | 151 | ||||||||||
Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Net increase (decrease) in shares outstanding | 15 | $ | 155 | 15 | $ | 151 | ||||||||||
Year Ended December 31, 2009
Institutional Class | Investor Class | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares sold | 7,637 | $ | 75,743 | 709 | $ | 6,981 | ||||||||||
Reinvestment of dividends | 58 | 587 | 3 | 28 | ||||||||||||
Shares redeemed | (7,594 | ) | (72,804 | ) | (132 | ) | (1,330 | ) | ||||||||
Net increase in shares outstanding | 101 | $ | 3,526 | 580 | $ | 5,679 | ||||||||||
17
Table of Contents
American Beacon Treasury Inflation Protected Securities Fund
Financial Highlights
(for a share outstanding throughout the period)
Financial Highlights
(for a share outstanding throughout the period)
Y Class | ||||||||||||||||||||||||
Institutional Class | March 01 to | |||||||||||||||||||||||
Year Ended December 31, | December 31, | |||||||||||||||||||||||
2010 | 2009A | 2008 | 2007B | 2006 | 2010 | |||||||||||||||||||
Net asset value, beginning of period | $ | 10.16 | $ | 9.20 | $ | 10.18 | $ | 9.53 | $ | 9.75 | $ | 10.25 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.16 | 0.06 | 0.80 | 0.45 | 0.29 | 0.05 | ||||||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | 0.35 | 0.95 | (0.98 | ) | 0.59 | (0.19 | ) | 0.35 | ||||||||||||||||
Total income (loss) from investment operations | 0.51 | 1.01 | (0.18 | ) | 1.04 | 0.10 | 0.40 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.16 | ) | (0.05 | ) | (0.80 | ) | (0.39 | ) | (0.29 | ) | (0.05 | ) | ||||||||||||
Distributions from net realized gains on securities | — | — | — | — | — | — | ||||||||||||||||||
Tax return of capital | — | — | — | 0.00 | C,D | (0.03 | )C | — | ||||||||||||||||
Total distributions | (0.16 | ) | (0.05 | ) | (0.80 | ) | (0.39 | ) | (0.32 | ) | (0.05 | ) | ||||||||||||
Net asset value, end of period | $ | 10.51 | $ | 10.16 | $ | 9.20 | $ | 10.18 | $ | 9.53 | $ | 10.60 | ||||||||||||
Total return E | 5.03 | % | 11.00 | % | (2.09 | )% | 11.22 | % | 1.05 | % | 3.89 | %F | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 157,195 | $ | 155,833 | $ | 140,189 | $ | 223,697 | $ | 33,792 | $ | 365 | ||||||||||||
Ratios to average net assets (annualized): | ||||||||||||||||||||||||
Expenses, after expense reimbursements (recoupments) | 0.25 | % | 0.26 | % | 0.25 | % | 0.43 | % | 0.49 | % | 0.60 | %G | ||||||||||||
Expenses, before expense reimbursements (recoupments) | 0.35 | % | 0.36 | % | 0.29 | % | 0.43 | % | 0.49 | % | 0.60 | %G | ||||||||||||
Net investment income (loss), after expense reimbursements (recoupements) | 1.50 | % | 0.69 | % | 5.19 | % | 4.74 | % | 2.94 | % | 0.85 | %G | ||||||||||||
Net investment income (loss), before expense reimbursements (recoupments) | 1.40 | % | 0.59 | % | 5.15 | % | 4.74 | % | 2.94 | % | 0.85 | %G | ||||||||||||
Portfolio turnover rate | 214 | % | 180 | % | 128 | % | 139 | % | 259 | % | 214 | %H |
A | Standish Mellon Asset Management Company, LLC was added as an investment advisor on December 11, 2009. | |
B | Brown Brothers Harriman & Co. was removed as an investment advisor to the Treasury Inflation Protected Securities Fund on November 30, 2007. | |
C | The tax return of capital is calculated based on outstanding shares at the time of distribution. | |
D | Amount represents less than $0.01 per share. E Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. | |
F | Not annualized. | |
G | Annualized. | |
H | Portfolio turnover rate is for the period from January 1 through December 31, 2010. | |
I | Portfolio turnover rate is for the period from January 1 through December 31, 2009. |
18
Table of Contents
Investor Class | A Class | C Class | ||||||||||||
March 02 to December 31, | September 01 to December 31, | |||||||||||||
Year Ended December 31, 2010 | 2009A | May 17 to December 31, 2010 | 2010 | |||||||||||
$ | 10.13 | $ | 9.25 | $ | 10.35 | $ | 10.38 | |||||||
0.06 | 0.14 | 0.04 | 0.00 | |||||||||||
0.41 | 0.79 | 0.19 | 0.08 | |||||||||||
0.47 | 0.93 | 0.23 | 0.08 | |||||||||||
(0.12 | ) | (0.05 | ) | (0.04 | ) | — | ||||||||
— | — | — | — | |||||||||||
— | — | — | — | |||||||||||
(0.12 | ) | (0.05 | ) | (0.04 | ) | — | ||||||||
$ | 10.48 | $ | 10.13 | $ | 10.54 | $ | 10.46 | |||||||
4.62 | % | 10.05 | %F | 2.23 | %F | 0.77 | %F | |||||||
$ | 15,262 | $ | 5,868 | $ | 155 | $ | 153 | |||||||
0.64 | % | 0.65 | %G | 0.99 | %G | 1.77 | %G | |||||||
0.75 | % | 0.81 | %G | 0.99 | %G | 1.77 | %G | |||||||
1.17 | % | 3.20 | %G | 0.55 | %G | (0.05 | )%G | |||||||
1.06 | % | 3.04 | %G | 0.55 | %G | (0.05 | )%G | |||||||
214 | % | 180 | %I | 214 | %H | 214 | %H |
19
Table of Contents
American Beacon Treasury Inflation Protected Securities Fund
Privacy Policy & Federal Tax Information
(Unaudited)
Privacy Policy & Federal Tax Information
(Unaudited)
Privacy Policy
The American Beacon Funds recognizes and respects the privacy of our shareholders. We are providing this notice to you so you will understand how shareholder information may be collected and used.
We may collect nonpublic personal information about you from one or more of the following sources:
• | information we receive from you on applications or other forms; | ||
• | information about your transactions with us or our service providers; and | ||
• | information we receive from third parties. |
We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law.
We restrict access to your nonpublic personal information to those employees or service providers who need to know that information to provide products or services to you. To ensure the confidentiality of your nonpublic personal information, we maintain safeguards that comply with federal standards.
Federal Tax Information
We are providing this information as required by the Internal Revenue Code. The amounts shown may differ from those in other areas of this report because of differences between tax and financial reporting requirements.
The Fund’s distributions to shareholders did not include any short-term capital gains.
Of the ordinary dividends paid to shareholders during the tax year ended December 31, 2010, 98.8% were derived from U.S. Treasury Obligations.
20
Table of Contents
Trustees and Officers of the American Beacon Funds
(Unaudited)
(Unaudited)
The Trustees and officers of the American Beacon Funds (the “Trust”) are listed below, together with their principal occupations during the past five years. Unless otherwise indicated, the address of each person listed below is 4151 Amon Carter Boulevard, MD 2450, Fort Worth, Texas 76155. Each Trustee oversees 23 funds in the fund complex that includes the Trust, the American Beacon Master Trust, the American Beacon Mileage Funds, and the American Beacon Select Funds. The Trust’s Statement of Additional Information contains additional information about the Trustees and is available without charge by calling 1-800-658-5811.
Position, Term of | ||||
Office and Length | ||||
of Time Served | Principal Occupation(s) During Past 5 Years | |||
Name, Age and Address | with the Trust | and Current Directorships | ||
INTERESTED TRUSTEES | ||||
Term | ||||
Lifetime of Trust until removal, resignation or retirement* | ||||
Alan D. Feld** (73) | Trustee since 1996 | Sole Shareholder of a professional corporation which is a Partner in the law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (1960-Present); Director, Clear Channel Communications (1984-2008); Trustee, CenterPoint Properties (1994-2006); Member, Board of Trustees, Southern Methodist University; Member, Board of Visitors, M.D. Anderson Hospital; Board of Visitors, Zale/Lipshy Hospital; Trustee, American Beacon Mileage Funds (1996-Present); Trustee, American Beacon Select Funds (1999-Present) | ||
NON-INTERESTED TRUSTEES | Term | |||
W. Humphrey Bogart (66) | Trustee since 2004 | Board Member, Baylor University Medical Center Foundation (1992-2004); Consultant, New River Canada Ltd. (mutual fund servicing company) (1998-2003); President and CEO, Allmerica Trust Company, NA (1996-1997); President and CEO, Fidelity Investments Southwest Company (1983-1995); Senior Vice President of Regional Centers, Fidelity Investments (1988-1995); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present) | ||
Brenda A. Cline (49) | Trustee since 2004 | Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, Texas Christian University (1998-Present); Trustee, W.I. Cook Foundation, Inc. (d/b/a Cook Children’s Health Foundation) (2001-2006); Director, Christian Church Foundation (1999-2007); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present) | ||
Eugene J. Duffy (56) | Trustee since 2008 | Principal and Executive Vice President, Paradigm Asset Management (1994-Present); Director, Sunrise Bank of Atlanta (2008-Present); Chairman, Special Contributions Fund Board of Trustees, National Association for the Advancement of Colored People (2007-Present); Trustee, National Association for the Advancement of Colored People (2000-Present); Board of Visitors, Emory University (2006-Present); Trustee, Atlanta Botanical Garden (2006-Present); Board Member, Willie L. Brown Jr. Institute on Politics and Public Service (2001-Present); Chair, National Association of Securities Professionals (2000-2002); Deputy Chief Administrative Officer, City of Atlanta (1985-1990); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present) |
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Table of Contents
Trustee and Officers of the American Beacon Funds
(Unaudited)
(Unaudited)
Position, Term of | ||||
Office and Length | ||||
of Time Served | Principal Occupation(s) During Past 5 Years | |||
Name, Age and Address | with the Trust | and Current Directorships | ||
NON-INTERESTED TRUSTEES (CONT.) | ||||
Thomas M. Dunning (68) | Trustee since 2008 | Consultant, (2008-Present); Chairman (1998-2008) and Chief Executive Officer (1998-2007), Lockton Dunning Benefits (consulting firm in employee benefits); Director, Oncor Electric Delivery Company LLC (2007-Present); Board Member, Baylor Health Care System Foundation (2007-Present); Vice Chair, State Fair of Texas (1987-Present); Board Member, Southwestern Medical Foundation (1994-Present); Board Member, John Tower Center for Political Studies/SMU (2008-Present); Board Member, University of Texas Development Board (2008-Present); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present) | ||
Richard A. Massman (67) | Trustee since 2004 Chairman since 2008 | Consultant and General Counsel Emeritus (2009-Present), Senior Vice President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding company engaged in oil and gas exploration and production, refining, real estate, farming, ranching and venture capital activities); Chairman (2007-Present) and Director (2005-Present), The Dallas Opera Foundation; Chairman (2006-2009) and Director (2005-Present), Temple Emanu-El Foundation; Trustee, Presbyterian Healthcare Foundation (2006-Present); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present) | ||
R. Gerald Turner (64) | Trustee since 2001 | President, Southern Methodist University (1995-Present); Director, ChemFirst (1986-2002); Director, J.C. Penney Company, Inc. (1996-Present); Director, California Federal Preferred Capital Corp. (2001-2003); Director, Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Director, First Broadcasting Investment Partners, LLC (2003-2007); Member, Salvation Army of Dallas Board of Directors; Member, Methodist Hospital Advisory Board; Co-Chair, Knight Commission on Intercollegiate Athletics; Trustee, American Beacon Mileage Funds (2001-Present); Trustee, American Beacon Select Funds (2001-Present) | ||
Paul J. Zucconi,CPA (70) | Trustee since 2008 | Director, Affirmative Insurance Holdings, Inc. (producer of nonstandard automobile insurance) (2004-present); Director, Titanium Metals Corporation (producer of titanium melted and mill products and sponge) (2002- present); Director, Torchmark Corporation (life and health insurance products) (2002-present); Director, National Kidney Foundation serving North Texas (2003-Present); Director, Dallas Chapter of National Association of Corporate Directors (2004-Present); Partner, KPMG (1976-2001); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present) | ||
OFFICERS | ||||
Term | ||||
One Year | ||||
William F. Quinn (62) | Executive Vice President from 2007 to 2008 and 2009 to Present President from 1987 to 2007 Trustee from 1987 to 2008 | Executive Chairman (2009-Present), Chairman (2006-2009) CEO (2006-2007), President (1986-2006) and Director (2003-Present), American Beacon Advisors, Inc.; Chairman (1989-2003) and Director (1979-1989, 2003-Present), American Airlines Federal Credit Union; Director Hicks Acquisition I, Inc. (2007-2009); Director, Crescent Real Estate Equities, Inc.(1994-2007); Director, Pritchard, Hubble & Herr, LLC (investment advisor) (2001-2006); Director of Investment Committee, Southern Methodist University Endowment Fund (1996-Present); Member, Southern Methodist University Cox School of Business Advisory Board (1999-2002); Member, New York Stock Exchange Pension Manager Committee (1997-1998, 2000-2002, 2006-Present); Vice Chairman (2004-2007) and Chairman (2007-Present), Committee for the Investment of Employee Benefits; Director, United Way of Metropolitan Tarrant County (1988-2000, 2004-Present); Trustee (1995-2008) and President (1995-2007, 2008-Present), American Beacon Mileage Funds; Trustee (1999-2008) and President (1999-2007, 2008-Present) American Beacon Select Funds; Director American Beacon Global Funds SPC (2002-Present); Director, American Beacon Global Funds, plc (2007-2009) |
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Trustees and Officers of the American Beacon Funds
(Unaudited)
(Unaudited)
Position, Term of | ||||
Office and Length | ||||
of Time Served | Principal Occupation(s) During Past 5 Years | |||
Name, Age and Address | with the Trust | and Current Directorships | ||
Gene L. Needles, Jr. (55) | President since 2009 Executive Vice President 2009 | President, CEO and Director (2009-Present), American Beacon Advisors, Inc.; President (2008-2009), Touchstone Investments; President (2003-2007), CEO (2004-2007), Managing Director of Sales (2002-2003), National Sales Manager (1999-2002), and Regional Sales Manager (1993-1999), AIM Distributors | ||
Rosemary K. Behan (51) | VP, Secretary and Chief Legal Officer since 2006 | Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006-Present); Assistant General Counsel, First Command Financial Planning, Inc. (2004-2006); Attorney, Enforcement Division, Securities and Exchange Commission (1995-2004) | ||
Brian E. Brett (50) | VP since 2004 | Vice President, Director of Sales and Marketing, American Beacon Advisors, Inc. (2004-Present); Regional Vice President, Neuberger Berman, LLC (investment advisor) (1996-2004) | ||
Wyatt L. Crumpler (44) | VP since 2007 | Vice President, Asset Management, American Beacon Advisors, Inc. (2007-Present); Managing Director of Corporate Accounting (2004-2007), Director of IT Strategy and Finance (2001-2004), American Airlines, Inc. | ||
Michael W. Fields (56) | VP since 1989 | Vice President, Fixed Income Investments, American Beacon Advisors, Inc. (1988-Present); Director American Beacon Global Funds SPC (2002-Present); Director, American Beacon Global Funds plc (2007-2009) | ||
Melinda G. Heika (49) | Treasurer since 2010 | Vice President, Finance & Accounting (2010-Present), Controller (2005-2009), Assistant Controller (1998-2004), American Beacon Advisors, Inc. | ||
Terri L. McKinney (47) | VP since 2010 | Vice President, Enterprise Services (2009-Present), Managing Director (2003-2009), Director of Marketing & Retail Sales (1996-2003), American Beacon Advisors, Inc.; Vice President, Board of Trustees (2008-Present), Trustee (2006-2008) Down Syndrome Guild of Dallas | ||
Jeffrey K. Ringdahl (35) | VP since 2010 | Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present); Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010); Senior Director, Business Integration, Fidelity Investments (2005-2007) | ||
Christina E. Sears (39) | Chief Compliance Officer since 2004 and Asst. Secretary since 1999 | Chief Compliance Officer (2004-Present) and Senior Compliance Analyst (1998-2004), American Beacon Advisors, Inc. |
* | The Board has adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in which they reach the age of 72, provided, however, that the Board may determine to grant one or more annual exemptions to this requirement. | |
** | Mr. Feld is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s s sub-advisors. |
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Delivery of Documents
eDelivery is NOW AVAILABLE — Stop traditional mail delivery and receive your
shareholder reports and summary prospectus on-line. Sign up at www.americanbeaconfunds.com
shareholder reports and summary prospectus on-line. Sign up at www.americanbeaconfunds.com
To reduce expenses, your financial institution may mail only one copy of the Summary Prospectus, Annual Report and Semi-Annual Report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please contact your financial institution. Delivery of individual copies will commence thirty days after receiving your request.
To obtain more information about the Fund:
7 | 8 | |
By E-mail: | On the Internet: | |
american_beacon.funds@ambeacon.com | Visit our website at www.americanbeaconfunds.com | |
( | - | |
By Telephone: | By Mail: | |
Call (800) 658-5811 | American Beacon Funds | |
P.O. Box 219643 | ||
Kansas City, MO 64121-9643 |
Availability of Quarterly Portfolio Schedules | Availability of Proxy Voting Policy and Records | |
In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room, 450 Fifth Street, NW, Washington, DC 20549. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. A complete schedule of the Fund’s portfolio holdings is also available on the Funds’ website (www.americanbeaconfunds.com) approximately twenty days after the end of each month. | A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s website (www.americanbeaconfunds.com) and by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009. |
Fund Service Providers:
Custodian State Street Bank and Trust Boston, Massachusetts | Transfer Agent Boston Financial Data Services Kansas City, Missouri | Independent Registered Public Accounting Firm Ernst & Young LLP Dallas, Texas | Distributor Foreside Fund Services, LLC Portland, Maine |
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.
American Beacon Funds and the American Beacon Treasury Inflation Protected Securities Fund are service marks of American Beacon Advisors, Inc.
AR 12/10
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About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
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Back Cover |
Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and each Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | December 31, 2010 |
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Fellow Shareholders,
Over the last 12 months, domestic and international markets were provided a welcome upswing for investors. While there was some volatility during the year, this confirmed our belief that investments managed with patience and a disciplined investment process can still provide favorable performance over varied market cycles.
For the 12-month period ended December 31, 2010, the American Beacon S&P 500 Index Fund (Institutional Class) returned 14.96%, the American Beacon Small Cap Index Fund (Institutional Class) returned 27.05%, and the American Beacon International Equity Index Fund (Institutional Class) finished the reporting period returning 7.57%. Please note that the recent growth rate in the stock market has helped to produce short-term increases that are not typical and may not continue in the future.
As always, we appreciate the opportunity to assist you in the long-term pursuit of your financial goals. We trust the enclosed market overview, portfolio listings, and financial data will provide you with valuable insight into the past year’s performance of your fund.
We thank you for your continued investment in the American Beacon Funds, and we remain focused on providing the type of responsive service and expert investment management that will sustain your confidence and earn your trust for many years to come. If you’d like to access your account information or obtain further details about the American Beacon Funds, please contact your investment advisor or visit our website at www.americanbeaconfunds.com.
Best regards, | ||||
![]() | ||||
Gene L. Needles, Jr. | ||||
President American Beacon Funds | ||||
Investing in the securities of small capitalization companies involves greater risk and the possibility of greater price volatility than investing in larger capitalization and more established companies. Investing in foreign equities entails additional risk not associated with domestic equities, such as currency fluctuations, economic and political instability, and differences in accounting standards.
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Performance Overview
American Beacon S&P 500 Index Fund†
American Beacon S&P 500 Index Fund†
December 31, 2010 (Unaudited)
For the twelve months ended December 31, 2010, the total return of the Institutional Class of the American Beacon S&P 500 Index Fund was 14.96%, slightly less than the S&P 500 Index (the “Index”) return of 15.06%, but ahead of the Lipper S&P 500 Objective Funds Index return of 14.70%.
Comparison of Change in Value
of a $10,000 Investment
For the Period from 12/31/00 through 12/31/10
of a $10,000 Investment
For the Period from 12/31/00 through 12/31/10
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSR/0000950123-11-023661/d80258d8025808.gif)
Value of | ||||||||||||||||
Annualized Total Returns | $10,000 | |||||||||||||||
Periods Ended 12/31/10 | 12/31/00- | |||||||||||||||
1 Year | 5 Years | 10 Years | 12/31/10 | |||||||||||||
Institutional Class(1,4) | 14.96 | % | 2.25 | % | 1.28 | % | $ | 11,357 | ||||||||
Investor Class(1,2,4) | 14.43 | % | 1.78 | % | 0.83 | % | $ | 10,863 | ||||||||
Lipper S&P 500 Objective Funds Index (3) | 14.70 | % | 2.08 | % | 1.16 | % | $ | 11,220 | ||||||||
S&P 500 Index (3) | 15.06 | % | 2.29 | % | 1.41 | % | $ | 11,505 |
1. | Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. | |
2. | A portion of the fees charged to the Investor Class of the Fund was waived through 2002. Performance prior to waiving fees was lower than the actual returns shown for periods prior to 2002. | |
3. | The Lipper S&P 500 Objective Funds Index tracks the results of the 30 largest mutual funds in the Lipper S&P 500 Objective Funds category. Lipper is an independent mutual fund research and ranking service. The S&P 500 Index is a market capitalization weighted index of common stocks publicly traded in the U.S. One cannot invest directly in an index. | |
4. | The total annual Fund operating expense ratios set forth in the most recent Fund prospectus for the Institutional and Investor Class shares was 0.15% and 0.60%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that is based on expenses incurred during the period covered by this report. |
For the year ended December 31, 2010, all ten sectors experienced positive returns. The three top contributing sectors were Consumer Discretionary (up 27.6%), Industrials (up 26.8%) and Energy (up 20.5%). Ford Motor Co. (up 67.9%) had the greatest positive impact on the Consumer Discretionary sector. The Ford Fiesta 2011 model made the top of Kelly Blue Book’s Back-to-School list for 2010. Other notable stocks were McDonald’s Corp. (up 26.9%) and Amazon.com, Inc. (up 33.8%). McDonald’s performance may be attributed to its issuing of a Yuan bond, which makes it the first nonfinancial company to offer these bonds, while Amazon.com’s performance may be attributed to the well known Amazon Kindle. Two top performing securities within the Industrials sector were General Electric Co. (up 24.3%) and Caterpillar Inc. (up 68.6%). General Electric’s many accomplishments contributed to its success in 2010, including healthcare advancements and clean energy initiatives. Caterpillar Inc. had quite a few new machine and engine releases in 2010, most likely contributing to its success.
The two least positive contributing sectors were the Health Care (up 3.0%) and Utilities (up 6.0%) sectors. The poor relative performance of the Health Care sector may have been due to the continued uncertainty surrounding major health care legislation signed into law at the beginning of 2010. In the Utilities sector, detractors that contributed negatively to the Fund’s performance were First Energy Corp. (down 15.6%) and Exelon Corp. (down 10.4%). Operational changes made during 2010 at First Energy Corp. may have been a factor in its negative performance. Exelon Corp.’s reorganization of its senior executive team in 2009 may have had an impact on its performance.
The investment manager continues to utilize a replication strategy, owning all 500 names in the S&P 500 Index in approximately the same weightings as the Index. Therefore, the Fund is expected to continue to meet its objective of closely tracking, before expenses, the return of its benchmark, the S&P 500 Index.
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Performance Overview
American Beacon S&P 500 Index Fund†
American Beacon S&P 500 Index Fund†
December 31, 2010 (Unaudited)
Top Ten Holdings
% of | ||||
Equities* | ||||
Exxon Mobil Corp. | 3.2 | % | ||
Apple, Inc. | 2.6 | % | ||
Microsoft Corp. | 1.8 | % | ||
General Electric Co. | 1.7 | % | ||
Chevron Corp. | 1.6 | % | ||
International Business Machines Corp. | 1.6 | % | ||
Procter & Gamble Co. | 1.6 | % | ||
AT&T, Inc. | 1.5 | % | ||
Johnson & Johnson | 1.5 | % | ||
JPMorgan Chase & Co. | 1.5 | % |
* | Percent of the equities of State Street Equity 500 Index Portfolio |
Sector Allocation
% of Equities* | ||||
Information Technology | 18.7 | % | ||
Financials | 16.0 | % | ||
Energy | 12.0 | % | ||
Industrials | 11.0 | % | ||
Health Care | 10.9 | % | ||
Consumer Staples | 10.6 | % | ||
Consumer Discretionary | 10.6 | % | ||
Materials | 3.8 | % | ||
Utilities | 3.3 | % | ||
Telecommunication Services | 3.1 | % |
* | Percent of the equities of State Street Equity 500 Index Portfolio |
S&P is a trademark of the McGraw-Hill Companies, Inc. and has been licensed for use, “Standard and Poor’s®”, “S&P”, “Standard & Poor’s 500”, “S&P 500” are all trademarks of the McGraw-Hill Companies, Inc. and have been licensed for use by State Street Bank and Trust Company.
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Performance Overview
American Beacon Small Cap Index FundSM
American Beacon Small Cap Index FundSM
December 31, 2010 (Unaudited)
For the twelve months ended December 31, 2010, the total return of the Institutional Class of the American Beacon Small Cap Index Fund was 27.05%. The Fund’s performance was slightly ahead of the Russell 2000â Index (the “Index”) return of 26.85% and also ahead of the Lipper Small-Cap Core Funds Index return of 25.71% which consists primarily of actively managed funds.
Comparison of Change in Value
of a $10,000 Investment
For the Period from 12/31/00 through 12/31/10
of a $10,000 Investment
For the Period from 12/31/00 through 12/31/10
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Annualized Total Returns | ||||||||||||||||
Periods Ended 12/31/10 | Value of $10,000 | |||||||||||||||
1 Year | 5 Years | 10 Years | 12/31/00-12/31/10 | |||||||||||||
Institutional Class(1,3) | 27.05 | % | 4.47 | % | 6.24 | % | $ | 18,311 | ||||||||
Lipper Small-Cap Core Funds Index(2) | 25.71 | % | 4.76 | % | 6.95 | % | $ | 19,582 | ||||||||
Russell 2000 Index(2) | 26.85 | % | 4.47 | % | 6.33 | % | $ | 18,476 |
1. | Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. | |
2. | The Lipper Small-Cap Core Funds Index tracks the results of the 30 largest mutual funds in the Lipper Small-Cap Core Funds category. Lipper is an independent mutual fund research and ranking service. The Russell 2000 Index is an unmanaged index comprised of approximately 2,000 smaller-capitalization stocks from various industrial sectors. One cannot invest directly in an index. | |
3. | The total annual Fund operating expense ratio set forth in the most recent prospectus for the Fund was 0.23%. The expense ratio above may vary from the expense ratio presented in other sections of this report that is based on expenses incurred during the period covered by this report. |
Performance Summary provided by Blackrock Investments, LLC
In 2010, US stocks posted double-digit percentage gains for the second consecutive year. The Dow Jones Industrial Average gained 14.1% to close at 11,577, a level not seen since before the collapse of Lehman Brothers in late 2008. The S&P 500 Index advanced 15.1% to 1,257, while the Nasdaq Composite moved up 18.2% to 2,662. Small cap stocks experienced even stronger gains for the year as investors began to move into higher risk assets.
During the twelve month period, the Russell 2000 Growth (up 29.1%) outperformed the Russell 2000 Value index (up 24.5%) and all sectors contributed double digit returns. Information Technology and Materials were the strongest sectors over the period (up 34.0% each), followed by Energy (up 33.4%). Telecommunication Services, while positive, contributed the least (up 12.7%), followed by Utilities (up 16.5%) and Health Care (up 17.1%).
Over the period, Isilon Systems (Information Technology) was the top performer (up 393.4%) while Great Atlantic & Pacific Tea Co. (Consumer Staples) was the top detractor (down 96.4%).
Portfolio Strategy
The Fund will continue to strive to meet its objective of closely replicating, before expenses, the return of its benchmark, the Russell 2000 Index. It does so by investing in a subset of the securities in the Index such that the characteristics of the portfolio closely track the characteristics of the Index
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Performance Overview
American Beacon Small Cap Index FundSM
American Beacon Small Cap Index FundSM
December 31, 2010 (Unaudited)
Top Ten Holdings
% of | ||||
Equities* | ||||
Riverbed Technology Inc | 0.4 | % | ||
Tibco Software, Inc | 0.3 | % | ||
Verifone Systems Inc | 0.3 | % | ||
Brigham Exploration Co | 0.3 | % | ||
Deckers Outdoor Corp | 0.3 | % | ||
Sothebys | 0.3 | % | ||
Rackspace Hosting Inc | 0.3 | % | ||
Nordson Corp | 0.3 | % | ||
Baldor Electric Co | 0.2 | % | ||
Hecla Mining Co | 0.2 | % |
* | Percent of equity portion of Master Small Cap Index Series |
Sector Allocation
% of Equities* | ||||
Financials | 20.6 | % | ||
Information Technology | 18.5 | % | ||
Industrials | 15.8 | % | ||
Consumer Discretionary | 13.7 | % | ||
Health Care | 12.5 | % | ||
Energy | 6.4 | % | ||
Materials | 5.7 | % | ||
Utilities | 3.0 | % | ||
Consumer Staples | 3.0 | % | ||
Telecommunications | 1.0 | % |
* | Percent of equity portion of Master Small Cap Index Series |
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Performance Overview
American Beacon International Equity Index FundSM
American Beacon International Equity Index FundSM
December 31, 2010 (Unaudited)
For the twelve months ended December 31, 2010, the Institutional Class of the American Beacon International Equity Index Fund (the “Fund”) posted a total return of 7.57%, underperforming the MSCI EAFE Index (the “Index”) return of 7.75% and the Lipper International Funds Index return of 11.03%.
Comparison of Change in Value
of a $10,000 Investment
For the Period from 12/31/00 through 12/31/10
of a $10,000 Investment
For the Period from 12/31/00 through 12/31/10
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Annualized Total Returns | Value of | |||||||||||||||
Periods Ended 12/31/10 | $10,000 | |||||||||||||||
1 Year | 5 Years | 10 Years | 12/31/00-12/31/10 | |||||||||||||
Institutional Class(1,3) | 7.57 | % | 2.43 | % | 3.44 | % | $ | 14,029 | ||||||||
Lipper International Funds Index(2) | 11.03 | % | 4.02 | % | 4.68 | % | $ | 15,794 | ||||||||
MSCI EAFE Index(2) | 7.75 | % | 2.46 | % | 3.50 | % | $ | 14,133 |
1. | Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. | |
2. | The Lipper International Funds Index tracks the results of the 30 largest mutual funds in the Lipper International Funds category. Lipper is an independent mutual fund research and ranking service. The MSCI EAFE Index is a market capitalization weighted index of international stock performance composed of equities from developed markets excluding the U.S. and Canada. Performance is that of the MSCI EAFE Index through 9/30/01, the MSCI Provisional EAFE Index from 10/1/01 through 5/31/02, and the MSCI EAFE Index thereafter. One cannot invest directly in an index. | |
3. | The total annual Fund operating expense ratio in the most recent prospectus for the Fund was 0.23%. The expense ratio above may vary from the expense ratio presented in other sections of this report that is based on expenses incurred during the period covered by this report. |
Performance Summary provided by Blackrock Investments, LLC
Over the course of 2010, cyclical stimulus beat out structural problems and stocks continued the choppy advance they began in 2009. The early months of 2010 saw risk assets move higher on the continuation of the 2009 asset recovery story, aided by preliminary signs of improvement in the employment situation and strong corporate earnings reported for fourth quarter 2009 and first quarter 2010. The middle months of 2010 saw a double-digit percentage correction on the back of the Greek sovereign debt crisis and a stalling in jobs growth, leading to fears of a double-dip recession. Investors were also unnerved by the May “flash crash” and the uncertainty surrounding the financial reform bill in the United States. Nevertheless, after touching a late summer low, equity markets experienced a strong finish to the year as double-dip fears receded, jobs growth resumed and the US midterm elections results were perceived to be capital markets friendly. Additionally, in the United States, Federal Reserve President Ben Bernanke delivered his famous Jackson Hole speech, leading to a second round of quantitative easing measures (informally known as “QE2”) and, perhaps most importantly, the Bush-era tax cuts were extended and supplemented with some fiscal sweeteners.
International equities, as represented by the Index, gained 7.8% for the year. Among developed markets, Sweden posted the largest annual gain (up 33.8%), followed by Denmark (up 30.7%), Hong Kong (up 23.2%) and Singapore (up 22.1%), while Greece experienced the most significant loss (down 44.9%), followed by Spain (down 22.0%) and Ireland (down 18.1%).
On a sector basis, Industrials (up 20.6%) was the leading sector in the Index followed by Consumer Discretionary (up 19.8%) and Materials (up 17.7%), while the Utilities and Financials
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Performance Overview
American Beacon International Equity Index FundSM December 31, 2010 (unaudited)
American Beacon International Equity Index FundSM December 31, 2010 (unaudited)
sectors (down 4.9% and 1.6%, respectively) were the leading detractors.
Over the period, Isuzu Motors Ltd. (up 148.4%) was the top performer while Japan Airlines (down 97.0%) was the top detractor for the time the Fund owned the security.
Portfolio Strategy
The Fund continues to pursue its objective of closely replicating, before expenses, the return of its benchmark, the MSCI EAFE Index. It does so by investing in a subset of the securities in the Index such that the characteristics of the portfolio closely track the characteristics of the Index.
Top Ten Holdings
% of | ||||
Equities* | ||||
HSBC Holdings plc | 2.3 | % | ||
Sanofi-Aventis S.A. | 2.2 | % | ||
Novartis AG | 2.0 | % | ||
Siemens AG | 2.0 | % | ||
Royal Dutch Shell plc | 1.9 | % | ||
DBS Group Holdings Ltd. | 1.8 | % | ||
GlaxoSmithKline plc | 1.5 | % | ||
UBS AG | 1.5 | % | ||
Vodafone Group plc | 1.5 | % | ||
Roche Holding Ltd. | 1.6 | % |
* | Percent of Master International Index Series |
Sector Allocation
% of Equities* | ||||
Financials | 22.6 | % | ||
Industrials | 16.1 | % | ||
Consumer Discretionary | 12.8 | % | ||
Materials | 9.7 | % | ||
Health Care | 9.2 | % | ||
Energy | 8.5 | % | ||
Information Technology | 6.5 | % | ||
Telecommunication Services | 6.2 | % | ||
Consumer Staples | 5.6 | % | ||
Utilities | 2.8 | % |
* | Percent of equity portion of Master International Index Series |
Country Allocation
![(COUNTRY ALLOCATION GRAPH)](https://capedge.com/proxy/N-CSR/0000950123-11-023661/d80258d8025811.gif)
Country Allocation
% of | ||||
Equities* | ||||
United Kingdom | 22.4 | % | ||
Japan | 17.5 | % | ||
France | 11.2 | % | ||
Switzerland | 8.9 | % | ||
Germany | 8.7 | % | ||
Netherlands | 6.0 | % | ||
Singapore | 3.1 | % | ||
Spain | 3.1 | % | ||
Italy | 2.9 | % | ||
Hong Kong/China | 2.7 | % | ||
South Korea | 2.4 | % | ||
Norway | 2.1 | % | ||
Sweden | 1.8 | % | ||
Australia | 1.7 | % | ||
Canada | 1.3 | % | ||
Finland | 0.9 | % | ||
Israel | 0.7 | % | ||
Ireland | 0.7 | % | ||
Portugal | 0.6 | % | ||
Belgium | 0.5 | % | ||
Greece | 0.4 | % | ||
Denmark | 0.2 | % | ||
Austria | 0.2 | % |
* | Percent of equity portion of Master International Index Series |
7
Table of Contents
Fund Expenses
December 31, 2010 (Unaudited)
December 31, 2010 (Unaudited)
Fund Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in a particular Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2010 through December 31, 2010.
Actual Expenses
The following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the “Expenses Paid During Period” row to estimate the expenses you paid on your account during this period. Shareholders that invest in a Fund through an IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
Actual
International | ||||||||||||
Institutional Class | S&P 500 Index | Small Cap Index | Equity Index | |||||||||
Beginning Account Value 7/1/10 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||
Ending Account Value 12/31/10 | $ | 1,231.77 | $ | 1,294.96 | $ | 1,251.80 | ||||||
Expenses Paid During Period* 7/1/10 — 12/31/10 | $ | 0.73 | $ | 1.04 | $ | 1.02 | ||||||
Annualized Expense Ratio | 0.13 | % | 0.18 | % | 0.18 | % |
Investor Class | S&P 500 Index | |||
Beginning Account Value 7/1/10 | $ | 1,000.00 | ||
Ending Account Value 12/31/10 | $ | 1,229.24 | ||
Expenses Paid During Period* 7/1/10 — 12/31/10 | $ | 3.37 | ||
Annualized Expense Ratio | 0.60 | % |
Hypothetical Example for Comparison Purposes
The following table provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in a particular Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders that invest in a Fund through an IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by a Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Expenses Paid During Period” 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. If you were subject to any transaction costs during the period, your costs would have been higher.
Hypothetical
International | ||||||||||||
Institutional Class | S&P 500 Index | Small Cap Index | Equity Index | |||||||||
Beginning Account Value 7/1/10 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||
Ending Account Value 12/31/10 | $ | 1,024.55 | $ | 1,024.30 | $ | 1,024.30 | ||||||
Expenses Paid During Period* 7/1/10 — 12/31/10 | $ | 0.66 | $ | 0.92 | $ | 0.92 | ||||||
Annualized Expense Ratio | 0.13 | % | 0.18 | % | 0.18 | % |
Investor Class | S&P 500 Index | |||
Beginning Account Value 7/1/10 | $ | 1,000.00 | ||
Ending Account Value 12/31/10 | $ | 1,022.18 | ||
Expenses Paid During Period* 7/1/10 — 12/31/10 | $ | 3.06 | ||
Annualized Expense Ratio | 0.60 | % |
* | Expenses are equal to each Fund’s annualized expense ratio for the six-month period multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (184) by days in the year (365) to reflect the half-year period. |
8
Table of Contents
American Beacon Funds
Report of Independent Registered Public Accounting Firm
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of
American Beacon International Equity Index Fund, American Beacon S&P 500 Index Fund, and American
Beacon Small Cap Index Fund:
American Beacon International Equity Index Fund, American Beacon S&P 500 Index Fund, and American
Beacon Small Cap Index Fund:
We have audited the accompanying statements of assets and liabilities of the American Beacon International Equity Index Fund, the American Beacon S&P 500 Index Fund, and the American Beacon Small Cap Index Fund (three of the funds constituting the American Beacon Funds) (collectively, the “Funds”) as of December 31, 2010, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of each Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the Master Portfolios. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the American Beacon International Equity Index Fund, the American Beacon S&P 500 Index Fund, and the American Beacon Small Cap Index Fund at December 31, 2010, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
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Dallas, Texas
March 1, 2011
March 1, 2011
9
Table of Contents
American Beacon Funds
Statements of Assets and Liabilities
December 31, 2010 (in thousands, except share and per share amounts)
International | ||||||||||||
S&P 500 Index Fund | Small Cap Index Fund | Equity Index Fund | ||||||||||
Assets: | ||||||||||||
Investment in Portfolio, at value | $ | 398,510 | $ | 92,573 | $ | 325,555 | ||||||
Receivable for fund shares sold | 786 | 568 | 564 | |||||||||
Prepaid expenses | 48 | 15 | 26 | |||||||||
Total assets | 399,344 | 93,156 | 326,145 | |||||||||
Liabilities: | ||||||||||||
Payable for fund shares redeemed | 4 | 1 | 2 | |||||||||
Administrative service and service fees payable (Note 2) | 23 | 3 | 12 | |||||||||
Printing fees payable | — | — | 12 | |||||||||
Professional fees payable | 10 | 11 | 12 | |||||||||
Sub-administration fees payable | — | 2 | 39 | |||||||||
Transfer agent fees payable | 6 | — | 5 | |||||||||
Trustee fees payable | 2 | — | 1 | |||||||||
Other liabilities | — | 1 | 7 | |||||||||
Total liabilities | 45 | 18 | 90 | |||||||||
Net Assets | $ | 399,299 | $ | 93,138 | $ | 326,055 | ||||||
Analysis of Net Assets: | ||||||||||||
Paid-in-capital | 381,859 | 112,791 | 373,056 | |||||||||
Undistributed net investment income (expense) | 325 | (3 | ) | (82 | ) | |||||||
Accumulated net realized gain (loss) | (76,076 | ) | (19,386 | ) | (37,933 | ) | ||||||
Unrealized net appreciation (depreciation) of investments and futures contracts | 93,191 | (264 | ) | (8,986 | ) | |||||||
Net assets | $ | 399,299 | $ | 93,138 | $ | 326,055 | ||||||
Shares outstanding (no par value): | ||||||||||||
Institutional Class | 22,352,477 | 7,370,209 | 33,041,398 | |||||||||
Investor Class | 1,049,102 | — | — | |||||||||
Net asset value, offering and redemption price per share: | ||||||||||||
Institutional Class | $ | 17.07 | $ | 12.64 | $ | 9.87 | ||||||
Investor Class | $ | 16.88 | $ | — | $ | — | ||||||
See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios attached
10
Table of Contents
American Beacon Funds
Statements of Operations
Year ended December 31, 2010 (in thousands)
International | ||||||||||||
S&P 500 Index Fund | Small Cap Index Fund | Equity Index Fund | ||||||||||
Investment Income (expense)Allocated From Portfolio: | ||||||||||||
Dividend income | $ | 7,116 | $ | 971 | $ | 7,799 | ||||||
Interest income | 13 | 4 | 2 | |||||||||
Securities lending income | — | 40 | — | |||||||||
Portfolio expenses | (158 | ) | (56 | ) | (272 | ) | ||||||
Other income | — | — | 2 | |||||||||
Net investment income allocated from Portfolio | 6,971 | 959 | 7,531 | |||||||||
Fund Expenses: | ||||||||||||
Administrative service fees (Note 2): | ||||||||||||
Institutional Class | 165 | 36 | 136 | |||||||||
Investor Class | 51 | — | — | |||||||||
Sub-administrative service fees (Note 2): | ||||||||||||
Institutional Class | — | 3 | 48 | |||||||||
Transfer agent fees: | ||||||||||||
Institutional Class | 18 | 4 | 19 | |||||||||
Investor Class | 4 | — | — | |||||||||
Custody and accounting fees | 8 | 9 | 13 | |||||||||
Professional fees | 31 | 17 | 30 | |||||||||
Registration fees | 32 | — | 1 | |||||||||
Service fees — Investor Class (Note 2) | 51 | — | — | |||||||||
Printing | 1 | — | 15 | |||||||||
Trustee fees | 24 | 4 | 21 | |||||||||
Insurance | 10 | 1 | 7 | |||||||||
Other expenses | 13 | 3 | 10 | |||||||||
Total fund expenses | 408 | 77 | 300 | |||||||||
Net investment income | 6,563 | 882 | 7,231 | |||||||||
Realized and Unrealized Gain (Loss) Allocated From Master Portfolio | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments | 3,849 | (2,732 | ) | (6,814 | ) | |||||||
Foreign currency transactions | — | 14 | (233 | ) | ||||||||
Futures contracts | 1,052 | (146 | ) | (512 | ) | |||||||
Change in net unrealized appreciation or depreciation of: | ||||||||||||
Investments | 39,250 | 3,734 | 20,512 | |||||||||
Foreign currency transactions | — | — | (1,070 | ) | ||||||||
Futures contracts | (11 | ) | 10 | 3,673 | ||||||||
Net gain on investments | 44,140 | 880 | 15,556 | |||||||||
Net increase in net assets resulting from operations | $ | 50,703 | $ | 1,762 | $ | 22,787 | ||||||
See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios attached
11
Table of Contents
American Beacon Funds
Statements of Changes in Net Assets (in thousands)
International Equity Index | ||||||||||||||||||||||||
S&P 500 Index Fund | Small Cap Index Fund | Fund | ||||||||||||||||||||||
Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | ||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2010 | 2009 | |||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 6,563 | $ | 6,450 | $ | 882 | $ | 396 | $ | 7,231 | $ | 6,171 | ||||||||||||
Net realized gain (loss) on investments, foreign currency, and futures contracts | 4,901 | (14,452 | ) | (2,864 | ) | (1,771 | ) | (7,559 | ) | 6,591 | ||||||||||||||
Change in net unrealized appreciation or depreciation of investments and futures contracts | 39,239 | 78,871 | 3,744 | 9,739 | 23,115 | 45,505 | ||||||||||||||||||
Net increase in net assets resulting from operations | 50,703 | 70,869 | 1,762 | 8,364 | 22,787 | 58,267 | ||||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||
Institutional Class | (6,796 | ) | (5,395 | ) | (894 | ) | (397 | ) | (7,040 | ) | (6,410 | ) | ||||||||||||
Investor Class | (318 | ) | (325 | ) | — | — | — | — | ||||||||||||||||
Tax return of Capital: | ||||||||||||||||||||||||
Institutional Class | — | — | (104 | ) | (54 | ) | — | — | ||||||||||||||||
Total distributions to shareholders | (7,114 | ) | (5,720 | ) | (998 | ) | (451 | ) | (7,040 | ) | (6,410 | ) | ||||||||||||
Capital Share Transactions: | ||||||||||||||||||||||||
Proceeds from sales of shares | 63,163 | 71,955 | 132,393 | 10,774 | 83,813 | 180,859 | ||||||||||||||||||
Reinvestment of dividends and distributions | 7,107 | 5,714 | 998 | 451 | 7,040 | 6,409 | ||||||||||||||||||
Cost of shares redeemed | (53,796 | ) | (41,080 | ) | (80,975 | ) | (10,732 | ) | (60,655 | ) | (144,875 | ) | ||||||||||||
Net increase in net assets from capital share transactions | 16,474 | 36,589 | 52,416 | 493 | 30,198 | 42,393 | ||||||||||||||||||
Net increase in net assets | 60,063 | 101,738 | 53,180 | 8,406 | 45,945 | 94,250 | ||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 339,236 | 237,498 | 39,958 | 31,552 | 280,110 | 185,860 | ||||||||||||||||||
End of Period * | $ | 399,299 | $ | 339,236 | $ | 93,138 | $ | 39,958 | $ | 326,055 | $ | 280,110 | ||||||||||||
*Includes undistributed net investment income (loss) of | $ | 325 | $ | 888 | $ | (3 | ) | $ | — | $ | (82 | ) | $ | (84 | ) | |||||||||
See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios attached
12
Table of Contents
American Beacon Funds
Notes to Financial Statements
December 31, 2010
December 31, 2010
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”) which is comprised of 19 Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, (the “Act”) as a diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon S&P 500 Index Fund, the American Beacon Small Cap Index Fund and the American Beacon International Equity Index Fund (each a “Fund” and collectively, the “Funds”), each a series of the Trust.
American Beacon Advisors, Inc. (the “Manager”) is a wholly-owned subsidiary of Lighthouse Holdings, Inc. and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services to the Trust and other investors.
Each Fund invests all of its investable assets in a corresponding portfolio. The State Street Equity 500 Index Portfolio, Master Small Cap Index Series and the Master International Index Series (each a “Portfolio” and collectively the “Portfolios”) are open-ended management investment companies registered under the Act. The value of such investment reflects each Fund’s proportionate interest in the net assets of the corresponding Portfolio.
% of Portfolio | ||||||
Held by Fund at | ||||||
American Beacon: | Portfolios: | December 31, 2010 | ||||
S&P 500 Index Fund | State Street Equity 500 Index Portfolio | 19.0 | % | |||
Small Cap Index Fund | Master Small Cap Index Series | 27.5 | % | |||
International Equity Index Fund | Master International Index Series | 35.3 | % |
The financial statements of the Portfolios are included elsewhere in this report and should be read in conjunction with the Funds’ financial statements.
The following is a summary of the significant accounting policies followed by the Funds.
Class Disclosure
The S&P 500 Index Fund has two classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:
Class: | Offered to: | |
Institutional Class | Investors making an initial investment of $250,000 | |
Investor Class | General public and investors investing through an intermediary |
Administrative service fees and service fees vary amongst the classes as described more fully in footnote 2.
Security Valuation and Valuation Inputs
Various inputs may be used to determine the fair value of the Funds’ investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value the securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 — Quoted prices in active markets for identical securities.
Level 2 — Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others.
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Table of Contents
American Beacon Funds
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Level 3 — Prices determined using significant unobservable inputs. Unobservable inputs reflect the Portfolio’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.
At December 31, 2010, the Funds’ investments in the Portfolios were classified as Level 2. Valuation of securities by each Portfolio as well as the inputs used to value the Portfolios’ net assets is discussed in the Portfolios’ Notes to Financial Statements, which are included elsewhere in this report.
Investment Income
Each Fund records its share of net investment income and realized and unrealized gains and losses from the security transactions of its corresponding Portfolio each day. All net investment income and realized and unrealized gains (losses) of each Portfolio are allocated pro rata among the investors in that Portfolio at the time of such determination.
Dividends to Shareholders
Dividends from net investment income of the Small Cap Index and International Equity Index Funds normally will be declared and paid annually. The S&P 500 Index Fund normally will declare and pay dividends quarterly. Distributions, if any, of net realized capital gains are generally paid annually and recorded on the ex-dividend date. Dividends are determined in accordance with income tax principles that may treat certain transactions differently than generally accepted accounting principles.
Allocation of Income, Expenses, Gains and Losses
Income, expenses (other than those attributable to a specific class), gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Valuation of Shares
The price per share is calculated on each day on which shares are offered for sale. Net asset value per share is computed by dividing the value of each Fund’s total assets (which includes the value of the Fund’s investments in its Portfolio) less liabilities, by the number of Fund shares outstanding.
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 affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
14
Table of Contents
American Beacon Funds
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
2. Fees and Transactions with Affiliates
Administrative Services Agreement
The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative services to each Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of 0.05% of the average daily net assets of the Institutional Class of the S&P 500 Index Fund, International Equity Index Fund and the Small Cap Index Fund and an annualized fee of 0.25% of the average daily net assets of the Investor Class of the S&P 500 Index Fund.
Service Plans
The Manager and the Trust entered into a Service Plan that obligates the Manager to oversee additional shareholder servicing of the Investor Class of S&P 500 Index Fund. As compensation for performing the duties required under the Service Plan, the Manager receives up to 0.375% of the average daily net assets of the Investor Class of the S&P 500 Index Fund.
Sub-administration Agreement
The Trust, the Manager and BlackRock Advisors, LLC (“BlackRock”) entered into a Sub-administration Agreement that obligates BlackRock to provide certain other administrative services to the Small Cap Index Fund and the International Equity Index Fund. As compensation for performing these services, BlackRock receives an annualized fee of 0.08% of the average daily net assets of the Small Cap Index Fund and 0.12% of the average daily net assets of the International Equity Index Fund; however, the fee of each is reduced by the total expense ratio of its corresponding Portfolio, net of any fee waivers.
3. Federal Income and Excise Taxes
It is the policy of each Fund to qualify as a regulated investment company, by complying with all applicable provisions of the Code, and to make distribution of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each Fund is treated as a single entity for the purpose of determining such qualification.
The Funds do not have any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2010 remains subject to examination by the Internal Revenue Service. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statements of Operations.
Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. generally accepted accounting principles. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.
The International Equity Index Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on returns of income earned or gains realized or repatriated. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation, as applicable, as the income is earned or capital gains are recorded.
The tax character of distributions paid during the years ended December 31, 2010 and December 31, 2009 were as follows (in thousands):
15
Table of Contents
American Beacon Funds
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
S&P 500 Index | Small Cap Index | International Equity Index | ||||||||||||||||||||||
Year | Year | Year | Year | Year | Year | |||||||||||||||||||
Ended December 31, | Ended December 31, | Ended December 31, | Ended December 31, | Ended December 31, | Ended December 31, | |||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2010 | 2009 | |||||||||||||||||||
Distributions paid from: | ||||||||||||||||||||||||
Ordinary income: | ||||||||||||||||||||||||
Institutional Class | $ | 6,796 | $ | 5,395 | $ | 894 | $ | 397 | $ | 7,040 | $ | 6,410 | ||||||||||||
Investor Class | 318 | 325 | — | — | — | — | ||||||||||||||||||
Return of Capital: | ||||||||||||||||||||||||
Institutional Class | — | — | 104 | 54 | — | — | ||||||||||||||||||
Total taxable distributions | $ | 7,114 | $ | 5,720 | $ | 998 | $ | 451 | $ | 7,040 | $ | 6,410 | ||||||||||||
As of December 31, 2010, the components of distributable earnings on a tax basis we as follows (in thousands):
S&P 500 Index | Small Cap | Int’l Equity Index | ||||||||||
Fund | Index Fund | Fund | ||||||||||
Cost basis of investments for federal income tax purposes | $ | 330,913 | $ | 93,991 | $ | 343,306 | ||||||
Unrealized appreciation | 103,704 | 128 | 35,589 | |||||||||
Unrealized depreciation | (36,107 | ) | (1,546 | ) | (53,340 | ) | ||||||
Net unrealized depreciation | 67,597 | (1,418 | ) | (17,751 | ) | |||||||
Undistributed ordinary income | 230 | — | 437 | |||||||||
Capital and other accumulated losses | (50,296 | ) | (18,235 | ) | (29,674 | ) | ||||||
Other temporary differences | (91 | ) | — | (13 | ) | |||||||
Distributable earnings | $ | 17,440 | $ | (19,653 | ) | $ | (47,001 | ) | ||||
Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The temporary differences between financial reporting and tax-basis reporting of unrealized appreciation/ (depreciation) are attributable primarily to the tax deferral of wash sales, the realization for tax purposes of unrealized gains/ (losses) on certain derivative instruments, reclassifications of income from real estate investment securities, and the realization for tax purposes on unrealized gains/ (losses) on investments in passive foreign investment companies.
Due to the inherent differences in the recognition of income, expenses and realized gains/(losses) under the U.S. generally accepted accounting principles and federal income tax regulations, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statement of Assets and Liabilities.
Accordingly, the following amounts represent current year permanent differences derived from reclassifications of income from real estate investment securities, futures, foreign currency, sales of investments in passive foreign investment companies, dividend reclassifications and partnership transactions that have been reclassified as of December 31, 2010 (in thousands):
S&P 500 Index | Small Cap | Int’l Equity Index | ||||||||||
Fund | Index Fund | Fund | ||||||||||
Paid-in-capital | $ | (5,735 | ) | $ | 5,342 | $ | (1,903 | ) | ||||
Undistributed net investment income | (12 | ) | 113 | (189 | ) | |||||||
Accumulated net realized gain/(loss) | 5,746 | (5,455 | ) | 2,091 | ||||||||
Unrealized appreciation (depreciation) of investments, futures contracts, and foreign currency | 1 | — | 1 |
At December 31, 2010 capital loss carry forward positions for federal income tax purposes were as follows (in thousands):
16
Table of Contents
American Beacon Funds
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Fund | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | Total | |||||||||||||||||||||||||||
S&P 500 Index Fund | $ | 635 | $ | 1,060 | $ | 2,311 | $ | 286 | $ | — | $ | 11,180 | $ | 28,055 | $ | 4,954 | $ | 48,481 | ||||||||||||||||||
Small Cap Index Fund | — | — | — | — | — | — | $ | 9,383 | $ | 8,852 | $ | 18,235 | ||||||||||||||||||||||||
International Equity Index Fund | — | — | — | — | — | $ | 9,746 | $ | 13,890 | $ | 5,040 | $ | 28,676 |
The S&P 500 Index Fund had $7,852 of expired capital loss carryovers (in thousands) for the year ended December 31, 2010.
Net capital and foreign currency losses incurred after October 31, 2010 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the period ended December 31, 2010 (in thousands), the S&P 500 Index Fund deferred $1,814 of capital losses and the International Equity Index Fund deferred $42 of foreign currency losses and $778 of capital losses to January 1, 2011.
4. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Funds (shares and dollars in thousands):
Year ended December 31, 2010
Institutional Class | Investor Class | |||||||||||||||
S&P 500 Index Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 3,124 | $ | 48,883 | 950 | $ | 14,280 | ||||||||||
Reinvestment of dividends | 431 | 6,796 | 20 | 311 | ||||||||||||
Shares redeemed | (2,126 | ) | (32,615 | ) | (1,405 | ) | (21,181 | ) | ||||||||
Net increase (decrease) in shares outstanding | 1,429 | $ | 23,064 | (435 | ) | $ | (6,590 | ) | ||||||||
Institutional Class | ||||||||
Small Cap Index Fund | Shares | Amount | ||||||
Shares sold | 11,348 | $ | 132,393 | |||||
Reinvestment of dividends | 78 | 998 | ||||||
Shares redeemed | (8,030 | ) | (80,975 | ) | ||||
Net increase in shares outstanding | 3,396 | $ | 52,416 | |||||
Institutional Class | ||||||||
International Equity Index Fund | Shares | Amount | ||||||
Shares sold | 8,974 | $ | 83,813 | |||||
Reinvestment of dividends | 718 | 7,040 | ||||||
Shares redeemed | (6,519 | ) | (60,655 | ) | ||||
Net increase in shares outstanding | 3,173 | $ | 30,198 | |||||
Year ended December 31, 2009
Institutional Class | Investor Class | |||||||||||||||
S&P 500 Index Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,250 | $ | 54,132 | 1,580 | $ | 17,823 | ||||||||||
Reinvestment of dividends | 416 | 5,395 | 26 | 319 | ||||||||||||
Shares redeemed | (2,132 | ) | (26,685 | ) | (1,193 | ) | (14,395 | ) | ||||||||
Net increase in shares outstanding | 2,534 | $ | 32,842 | 413 | $ | 3,747 | ||||||||||
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Table of Contents
American Beacon Funds
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Institutional Class | ||||||||
Small Cap Index Fund | Shares | Amount | ||||||
Shares sold | 1,305 | $ | 10,774 | |||||
Reinvestment of dividends | 45 | 451 | ||||||
Shares redeemed | (1,321 | ) | (10,732 | ) | ||||
Net increase in shares outstanding | 29 | $ | 493 | |||||
Institutional Class | ||||||||
International Equity Index Fund | Shares | Amount | ||||||
Shares sold | 20,666 | $ | 180,859 | |||||
Reinvestment of dividends | 691 | 6,409 | ||||||
Shares redeemed | (16,414 | ) | (144,875 | ) | ||||
Net increase in shares outstanding | 4,943 | $ | 42,393 | |||||
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19
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American Beacon S&P 500 Index FundSM
Financial Highlights
(For a share outstanding throughout each period)
Financial Highlights
(For a share outstanding throughout each period)
Institutional Class | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Net asset value, beginning of period | $ | 15.15 | $ | 12.21 | $ | 19.85 | $ | 19.19 | $ | 16.90 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income:A | 0.29 | 0.30 | 0.35 | 0.39 | 0.34 | B | ||||||||||||||
Net gain (loss) on investments, foreign currency and futures transactions (both realized and unrealized) | 1.95 | 2.91 | (7.64 | ) | 0.65 | 2.29 | ||||||||||||||
Total income (loss) from investment operations | 2.24 | 3.21 | (7.29 | ) | 1.04 | 2.63 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.32 | ) | (0.27 | ) | (0.35 | ) | (0.38 | ) | (0.34 | ) | ||||||||||
Total distributions | (0.32 | ) | (0.27 | ) | (0.35 | ) | (0.38 | ) | (0.34 | ) | ||||||||||
Net asset value, end of period | $ | 17.07 | $ | 15.15 | $ | 12.21 | $ | 19.85 | $ | 19.19 | ||||||||||
Total returnC | 14.96 | % | 26.70 | % | (37.08 | )% | 5.39 | % | 15.69 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 381,592 | $ | 316,975 | $ | 224,583 | $ | 271,746 | $ | 223,008 | ||||||||||
Ratios to average net assets (annualized):A | ||||||||||||||||||||
Net investment income | 1.90 | % | 2.39 | % | 2.23 | % | 1.89 | % | 1.85 | % | ||||||||||
Expenses, including expenses allocated from the master portfolio | 0.13 | % | 0.15 | % | 0.13 | % | 0.13 | % | 0.14 | % |
A | The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of the income and expenses of the State Street Equity 500 Index Portfolio. | |
B | Based on average shares outstanding. | |
C | May include adjustments with accounting principles generally accepted in the United States of America and as such, the net assets for financial reporting purposes and the returns based upon those net asset value may differ from the net asset value and returns for shareholder transactions. |
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Table of Contents
Investor Class | ||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||
$ | 15.00 | $ | 12.06 | $ | 19.60 | $ | 18.97 | $ | 16.69 | |||||||||
0.15 | 0.33 | 0.33 | 0.31 | 0.23 | B | |||||||||||||
1.99 | 2.80 | (7.60 | ) | 0.62 | 2.27 | |||||||||||||
2.14 | 3.13 | (7.27 | ) | 0.93 | 2.50 | |||||||||||||
(0.26 | ) | (0.19 | ) | (0.27 | ) | (0.30 | ) | (0.22 | ) | |||||||||
(0.26 | ) | (0.19 | ) | (0.27 | ) | (0.30 | ) | (0.22 | ) | |||||||||
$ | 16.88 | $ | 15.00 | $ | 12.06 | $ | 19.60 | $ | 18.97 | |||||||||
14.43 | % | 26.26 | % | (37.35 | )% | 4.88 | % | 15.09 | % | |||||||||
$ | 17,707 | $ | 22,261 | $ | 12,915 | $ | 18,430 | $ | 16,056 | |||||||||
1.42 | % | 2.01 | % | 1.73 | % | 1.38 | % | 1.37 | % | |||||||||
0.60 | % | 0.60 | % | 0.62 | % | 0.63 | % | 0.61 | % |
21
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American Beacon Small Cap Index FundSM
Financial Highlights
(For a share outstanding throughout each period)
Financial Highlights
(For a share outstanding throughout each period)
Institutional Class | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Net asset value, beginning of period | $ | 10.06 | $ | 8.00 | $ | 13.51 | $ | 14.89 | $ | 12.78 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment incomeA | 0.13 | 0.10 | 0.18 | 0.32 | 0.17 | |||||||||||||||
Net gain (loss) on investments, foreign currency and futures transactions (both realized and unrealized) | 2.59 | 2.08 | (4.78 | ) | (0.53 | ) | 2.11 | |||||||||||||
Total income (loss) from investment operations | 2.72 | 2.18 | (4.60 | ) | (0.21 | ) | 2.28 | |||||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.13 | ) | (0.11 | ) | (0.17 | ) | (0.31 | ) | (0.17 | ) | ||||||||||
Distributions from net realized gains on investments | — | — | (0.61 | ) | (0.80 | ) | — | |||||||||||||
Tax return of capital | (0.01 | )B | (0.01 | )B | (0.13 | )B | (0.06 | )B | — | |||||||||||
Total distributions | (0.14 | ) | (0.12 | ) | (0.91 | ) | (1.17 | ) | (0.17 | ) | ||||||||||
Net asset value, end of period | $ | 12.64 | $ | 10.06 | $ | 8.00 | $ | 13.51 | $ | 14.89 | ||||||||||
Total returnC | 27.05 | % | 27.21 | % | (33.58 | )% | (1.63 | )% | 17.85 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 93,138 | $ | 39,958 | $ | 31,552 | $ | 52,325 | $ | 151,878 | ||||||||||
Ratios to average net assets (annualized):A | ||||||||||||||||||||
Net investment income | 1.21 | % | 1.18 | % | 1.54 | % | 1.49 | % | 1.49 | % | ||||||||||
Expenses, including expenses allocated from the master portfolio | 0.18 | % | 0.23 | % | 0.20 | % | 0.20 | % | 0.18 | % |
A | The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of the income and expenses of the Master Small Cap Index Series. | |
B | The tax return of capital is calculated based upon outstanding shares at the time of distribution. | |
C | May include adjustments with accounting principles generally accepted in the United States of America and as such, the net assets for financial reporting purposes and the returns based upon those net asset value may differ from the net asset value and returns for shareholder transactions. |
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American Beacon International Equity Index FundSM
Financial Highlights
(For a share outstanding throughout each period)
Financial Highlights
(For a share outstanding throughout each period)
Institutional Class | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Net asset value, beginning of period | $ | 9.38 | $ | 7.46 | $ | 13.37 | $ | 12.76 | $ | 10.33 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment incomeA | 0.22 | 0.21 | 0.39 | 0.51 | 0.23 | |||||||||||||||
Net gain (loss) on investments, foreign currency and futures transactions (both realized and unrealized) | 0.49 | 1.93 | (6.00 | ) | 0.86 | 2.50 | ||||||||||||||
Total income (loss) from investment operations | 0.71 | 2.14 | (5.61 | ) | 1.37 | 2.73 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.22 | ) | (0.22 | ) | (0.30 | ) | (0.53 | ) | (0.23 | ) | ||||||||||
Distributions from net realized gains on investments | — | — | — | (0.22 | ) | (0.07 | ) | |||||||||||||
Tax return of capital | — | — | — | (0.01 | )B | — | ||||||||||||||
Total distributions | (0.22 | ) | (0.22 | ) | (0.30 | ) | (0.76 | ) | (0.30 | ) | ||||||||||
Net asset value, end of period | $ | 9.87 | $ | 9.38 | $ | 7.46 | $ | 13.37 | $ | 12.76 | ||||||||||
Total returnC | 7.57 | % | 28.72 | % | (41.85 | )% | 10.68 | % | 26.52 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 326,055 | $ | 280,110 | $ | 185,860 | $ | 267,293 | $ | 162,113 | ||||||||||
Ratios to average net assets (annualized):A | ||||||||||||||||||||
Net investment income | 2.66 | % | 2.66 | % | 3.58 | % | 2.96 | % | 2.44 | % | ||||||||||
Expenses, including expenses allocated from the master portfolio | 0.21 | % | 0.23 | % | 0.19 | % | 0.19 | % | 0.22 | % |
A | The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of the income and expenses of the Master International Index Series. | |
B | The tax return of capital is calculated based upon outstanding shares at the time of distribution. | |
C | May include adjustments with accounting principles generally accepted in the United States of America and as such, the net assets for financial reporting purposes and the returns based upon those net asset value may differ from the net asset value and returns for shareholder transactions. |
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American Beacon Funds
Privacy Policy and Federal Tax Information
For the Year Ended December 31, 2010 (Unaudited)
Privacy Policy and Federal Tax Information
For the Year Ended December 31, 2010 (Unaudited)
Privacy Policy
The American Beacon Funds recognizes and respects the privacy of our shareholders. We are providing this notice to you so you will understand how shareholder information may be collected and used.
We may collect nonpublic personal information about you from one or more of the following sources:
• | information we receive from you on applications or other forms; |
• | information about your transactions with us or our service providers; and |
• | information we receive from third parties. |
We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law.
We restrict access to your nonpublic personal information to those employees or service providers who need to know that information to provide products or services to you. To ensure the confidentiality of your nonpublic personal information, we maintain safeguards that comply with federal standards.
Federal Tax Information
We are providing this information as required by the Internal Revenue Code. The amounts shown may differ from those in other areas of this report because of differences between tax and financial reporting requirements.
For corporate shareholders in the Funds, the percentage of ordinary dividend income distributed for the year ended December 31, 2010, which is designated as qualifying for the dividends-received deduction, is as follows:
S&P 500 Index Fund | 97.84 | % | ||
Small Cap Index Fund | 85.75 | % | ||
International Equity Index Fund | 0.00 | % |
For shareholders in the Funds, the percentage of dividend income distributed for the year ended December 31, 2010, which designated as qualified dividend income under the Jobs and Growth Tax Relief Act of 2003, is as follows:
S&P 500 Index Fund | 100.00 | % | ||
Small Cap Index Fund | 91.48 | % | ||
International Equity Index Fund | 100.00 | % |
24
Table of Contents
Trustees and Officers of the American Beacon Funds
(Unaudited)
(Unaudited)
The Trustees and officers of the American Beacon Funds (the “Trust”) are listed below, together with their principal occupations during the past five years. Unless otherwise indicated, the address of each person listed below is 4151 Amon Carter Boulevard, MD 2450, Fort Worth, Texas 76155. Each Trustee oversees 23 funds in the fund complex that includes the Trust, the American Beacon Master Trust, the American Beacon Mileage Funds, and the American Beacon Select Funds. The Trust’s Statement of Additional Information contains additional information about the Trustees and is available without charge by calling 1-800-658-5811.
Position, Term of | ||||
Office and Length | ||||
of Time Served | Principal Occupation(s) During Past 5 Years | |||
Name, Age and Address | with the Trust | and Current Directorships | ||
INTERESTED TRUSTEES | ||||
Term | ||||
Lifetime of Trust until removal, resignation or retirement* | ||||
Alan D. Feld** (73) | Trustee since 1996 | Sole Shareholder of a professional corporation which is a Partner in the law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (1960-Present); Director, Clear Channel Communications (1984-2008); Trustee, CenterPoint Properties (1994-2006); Member, Board of Trustees, Southern Methodist University; Member, Board of Visitors, M.D. Anderson Hospital; Board of Visitors, Zale/Lipshy Hospital; Trustee American Beacon Mileage Funds (1996-Present); Trustee, American Beacon Select Funds (1999-Present) | ||
NON-INTERESTED TRUSTEES | Term | |||
W. Humphrey Bogart (66) | Trustee since 2004 | Board Member, Baylor University Medical Center Foundation (1992-2004); Consultant, New River Canada Ltd. (mutual fund servicing company) (1998-2003); President and CEO, Allmerica Trust Company, NA (1996-1997); President and CEO, Fidelity Investments Southwest Company (1983-1995); Senior Vice President of Regional Centers, Fidelity Investments (1988-1995); Trustee American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present) | ||
Brenda A. Cline (49) | Trustee since 2004 | Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, Texas Christian University (1998-Present); Trustee, W.I. Cook Foundation, Inc. (d/b/a Cook Children’s Health Foundation) (2001-2006); Director, Christian Church Foundation (1999-2007); Trustee, American Beacon Mileage Fund (2004-Present); Trustee, American Beacon Select Fund (2004-Present) | ||
Eugene J. Duffy (56) | Trustee since 2008 | Principal and Executive Vice President, Paradigm Asset Management (1994-Present); Director, Sunrise Bank of Atlanta (2008-Present); Chairman, Special Contributions Fund Board of Trustees, National Association for the Advancement of Colored People (2007-Present); Trustee, National Association for the Advancement of Colored People (2000-Present); Board of Visitors, Emory University (2006-Present); Trustee, Atlanta Botanical Garden (2006-Present); Board Member, Willie L. Brown Jr. Institute on Politics and Public Service (2001-Present); Chair, National Association of Securities Professionals (2000-2002); Deputy Chief Administrative Officer, City of Atlanta (1985-1990); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present) | ||
Thomas M. Dunning (68) | Trustee since 2008 | Consultant, (2008-Present); Chairman (1998-2008) and Chief Executive Officer (1998-2007), Lockton Dunning Benefits (consulting firm in employee benefits); Director, Oncor Electric Delivery Company LLC (2007-Present); Board Member, Baylor Health Care System Foundation (2007-Present); Vice Chair, State Fair of Texas (1987-Present); Board Member, Southwestern Medical Foundation (1994-Present); Board Member, John Tower Center for Political Studies/SMU (2008-Present); Board Member, University of Texas Development Board (2008-Present); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present) |
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Table of Contents
Trustees and Officers of the American Beacon Funds
(Unaudited)
(Unaudited)
Position, Term of | ||||
Office and Length | ||||
of Time Served | Principal Occupation(s) During Past 5 Years | |||
Name, Age and Address | with the Trust | and Current Directorships | ||
NON-INTERESTED TRUSTEES (CONT.) | ||||
Richard A. Massman (67) | Trustee since 2004 Chairman since 2008 | Consultant and General Counsel Emeritus (2009-Present) and Senior Vice President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding company engaged in oil and gas exploration and production, refining, real estate, farming, ranching and venture capital activities); Chairman (2007-Present) and Director (2005-Present), The Dallas Opera Foundation; Chairman (2006-2009) and Director (2005-Present), Temple Emanu-El Foundation; Trustee, Presbyterian Healthcare Foundation (2006-Present); Trustee, American Beacon Mileage Funds, (2004-Present); Trustee, American Beacon Select Funds (2004-Present) | ||
R. Gerald Turner (64) | Trustee since 2001 | President, Southern Methodist University (1995-Present); Director, ChemFirst (1986-2002); Director, J.C. Penney Company, Inc. (1996-Present); Director, California Federal Preferred Capital Corp. (2001-2003); Director, Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Director, First Broadcasting Investment Partners, LLC (2003-2007); Member, Salvation Army of Dallas Board of Directors; Member, Methodist Hospital Advisory Board; Co-Chair, Knight Commission on Intercollegiate Athletics; Trustee American Beacon Mileage Funds (2001-Present); Trustee American Beacon Select Funds (2001-Present) | ||
Paul J. Zucconi,CPA (70) | Trustee since 2008 | Director, Affirmative Insurance Holdings, Inc. (producer of nonstandard automobile insurance) (2004-Present); Director, Titanium Metals Corporation (producer of titanium melted and mill products and sponge) (2002- Present); Director, Torchmark Corporation (life and health insurance products) (2002-Present); Director, National Kidney Foundation serving North Texas (2003-Present); Director, Dallas Chapter of National Association of Corporate Directors (2004-Present); Partner, KPMG (1976-2001); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present) | ||
OFFICERS | ||||
Term | ||||
One Year | ||||
William F. Quinn (62) | Executive Vice President from 2007 to 2008 and 2009-Present President from 1987 to 2007 Trustee from 1987 to 2008 | Executive Chairman (2009-Present), Chairman (2006-2009), CEO (2006-2007), President (1986-2006) and Director (2003-Present), American Beacon Advisors, Inc.; Chairman (1989-2003) and Director (1979-1989, 2003-Present), American Airlines Federal Credit Union; Director Hicks Acquisition I, Inc. (2007-2009); Director, Crescent Real Estate Equities, Inc.(1994-2007); Director, Pritchard, Hubble & Herr, LLC (investment advisor) (2001-2006); Director of Investment Committee, Southern Methodist University Endowment Fund (1996-Present); Member, Southern Methodist University Cox School of Business Advisory Board (1999-2002); Member, New York Stock Exchange Pension Managers Advisory Committee (1997-1998, 2000-2002, 2006-Present); Vice Chairman (2004-2007) and Chairman (2007-Present), Committee for the Investment of Employee Benefits; Director, United Way of Metropolitan Tarrant County (1988-2000, 2004-Present); Trustee (1995-2008) and President (1995-2007, 2008-2009), American Beacon Mileage Funds; Trustee (1999-2008) and President(1999-2007, 2008-2009), American Beacon Select Funds; Director, American Beacon Global Funds SPC (2002-Present); Director, American Beacon Global Funds, plc (2007-2009) | ||
Gene L. Needles, Jr. (55) | President since 2009 Executive Vice President 2009 | President, CEO and Director (2009-Present), American Beacon Advisors, Inc.; President (2008-2009), Touchstone Investments; President (2003-2007), CEO (2004-2007), Managing Director of Sales (2002-2003), National Sales Manager (1999-2002), and Regional Sales Manager (1993-1999), AIM Distributors | ||
Rosemary K. Behan (51) | VP, Secretary and Chief Legal Officer since 2006 | Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006-Present); Assistant General Counsel, First Command Financial Planning, Inc. (2004-2006); Attorney, Enforcement Division, Securities and Exchange Commission (1995-2004) |
26
Table of Contents
Trustees and Officers of the American Beacon Funds
(Unaudited)
(Unaudited)
Position, Term of | ||||
Office and Length | ||||
of Time Served | Principal Occupation(s) During Past 5 Years | |||
Name, Age and Address | with the Trust | and Current Directorships | ||
Brian E. Brett (50) | VP since 2004 | Vice President, Director of Sales and Marketing, American Beacon Advisors, Inc. (2004-Present); Regional Vice President, Neuberger Berman, LLC (investment advisor) (1996-2004). | ||
Wyatt L. Crumpler (44) | VP since 2007 | Vice President, Asset Management, American Beacon Advisors, Inc. (2007-Present); Managing Director of Corporate Accounting (2004-2007), Director of IT Strategy and Finance (2001-2004), American Airlines, Inc. | ||
Michael W. Fields (56) | VP since 1989 | Vice President, Fixed Income Investments, American Beacon Advisors, Inc. (1988-Present); Director, American Beacon Global Funds SPC (2002-Present); Director, American Beacon Global Funds plc (2007-2009) | ||
Melinda G. Heika (49) | Treasurer since 2010 | Vice President, Finance & Accounting (2010-Present); Controller (2005-2009); Assistant Controller (1998-2004), American Beacon Advisors, Inc. | ||
Terri L. McKinney (47) | VP since 2010 | Vice President, Enterprise Services (2009-Present), Managing Director (2003-2009), Director of Marketing & Retail Sales (1996-2003), American Beacon Advisors, Inc.; Vice President, Board of Trustees (2008-Present), Trustee (2006-2008) The Down Syndrome Guild of Dallas | ||
Jeffrey K. Ringdahl (35) | VP since 2010 | Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present); Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010); Senior Director, Business Integration, Fidelity Investments (2005-2007) | ||
Christina E. Sears (39) | Chief Compliance Officer since 2004 and Asst. Secretary since 1999 | Chief Compliance Officer, American Beacon Advisors, Inc. (2004-Present); Senior Compliance Analyst (1998-2004), American Beacon Advisors, Inc. |
* | The Board has adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in which they reach the age of 72, provided, however, that the Board may determine to grant one or more annual exemptions to this requirement. | |
** | Mr. Feld is deemed to be an “interested person” of the Trusts, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s sub-advisors. |
27
Table of Contents
State Street Equity 500 Index
Portfolio Portfolio of Investments
December 31, 2010
Market | ||||||||
Value | ||||||||
Shares | (000) | |||||||
COMMON STOCKS — 93.1% | ||||||||
Consumer Discretionary — 10.3% | ||||||||
Abercrombie & Fitch Co. Class A | 15,046 | $ | 867 | |||||
Amazon.Com, Inc.(a) | 60,592 | 10,907 | ||||||
Apollo Group, Inc. Class A(a) | 21,729 | 858 | ||||||
AutoNation, Inc.(a) | 9,763 | 275 | ||||||
AutoZone, Inc.(a) | 4,664 | 1,271 | ||||||
Bed Bath & Beyond, Inc.(a) | 44,245 | 2,175 | ||||||
Best Buy Co., Inc. | 56,419 | 1,935 | ||||||
Big Lots, Inc.(a) | 12,727 | 388 | ||||||
Cablevision Systems Corp. | 41,000 | 1,387 | ||||||
CarMax, Inc.(a) | 38,400 | 1,224 | ||||||
Carnival Corp. | 73,550 | 3,391 | ||||||
CBS Corp. Class B | 116,303 | 2,216 | ||||||
Coach, Inc. | 50,628 | 2,800 | ||||||
Comcast Corp. Class A | 476,748 | 10,474 | ||||||
D.R. Horton, Inc. | 47,976 | 572 | ||||||
Darden Restaurants, Inc. | 24,588 | 1,142 | ||||||
DeVry, Inc. | 10,400 | 499 | ||||||
Direct TV. Class A(a) | 142,477 | 5,689 | ||||||
Discovery Communications, Inc. Class A(a) | 48,600 | 2,027 | ||||||
eBay, Inc.(a) | 196,003 | 5,455 | ||||||
Expedia, Inc. | 34,515 | 866 | ||||||
Family Dollar Stores, Inc. | 21,658 | 1,077 | ||||||
Ford Motor Co.(a) | 640,198 | 10,749 | ||||||
Fortune Brands, Inc. | 26,045 | 1,569 | ||||||
GameStop Corp. Class A(a) | 26,800 | 613 | ||||||
Gannett Co., Inc. | 42,074 | 635 | ||||||
Gap, Inc. | 75,098 | 1,663 | ||||||
Genuine Parts Co. | 26,909 | 1,381 | ||||||
Goodyear Tire & Rubber Co.(a) | 42,357 | 502 | ||||||
H&R Block, Inc. | 52,715 | 628 | ||||||
Harley-Davidson, Inc. | 40,201 | 1,394 | ||||||
Harman International Industries, Inc.(a) | 12,621 | 584 | ||||||
Hasbro, Inc. | 23,225 | 1,096 | ||||||
Home Depot, Inc. | 280,012 | 9,817 | ||||||
Host Hotels & Resorts, Inc. | 113,821 | 2,034 | ||||||
International Game Technology | 53,619 | 948 | ||||||
Interpublic Group of Cos., Inc.(a) | 83,894 | 891 | ||||||
JC Penney Co., Inc. | 40,010 | 1,293 | ||||||
Johnson Controls, Inc. | 115,186 | 4,400 | ||||||
Kohl’s Corp.(a) | 49,933 | 2,713 | ||||||
Lennar Corp. Class A | 25,931 | 486 | ||||||
Limited Brands | 46,067 | 1,416 | ||||||
Lowe’s Cos., Inc. | 235,762 | 5,913 | ||||||
Macy’s, Inc. | 72,323 | 1,830 | ||||||
Marriot International, Inc. Class A | 49,150 | 2,042 | ||||||
Mattel, Inc. | 61,276 | 1,558 | ||||||
McDonald’s Corp. | 180,525 | 13,857 | ||||||
McGraw-Hill, Inc. | 52,466 | 1,910 | ||||||
Meredith Corp. | 6,189 | 214 | ||||||
NetFlix, Inc.(a) | 7,400 | 1,300 | ||||||
Newell Rubbermaid, Inc. | 50,693 | 922 | ||||||
News Corp. Class A | 390,209 | 5,681 | ||||||
NIKE, Inc. Class B | 65,352 | 5,582 | ||||||
Nordstrom, Inc. | 29,533 | 1,252 | ||||||
O’Reilly Automotive, Inc.(a) | 24,600 | 1,486 | ||||||
Omnicom Group, Inc. | 51,441 | 2,356 | ||||||
Polo Ralph Lauren Corp. | 11,115 | 1,233 | ||||||
Priceline.com, Inc.(a) | 8,390 | 3,352 | ||||||
Pulte Homes, Inc.(a) | 54,705 | 411 | ||||||
Radioshack Corp. | 20,103 | 372 | ||||||
Ross Stores, Inc. | 20,600 | 1,303 | ||||||
Scripps Networks Interactive, Inc. Class A | 15,435 | 799 | ||||||
Sears Holdings Corp.(a) | 7,474 | 551 | ||||||
Snap-On, Inc. | 9,212 | 521 | ||||||
Stanley Black & Decker, Inc. | 28,307 | 1,893 | ||||||
Staples, Inc. | 123,533 | 2,813 | ||||||
Starbucks Corp. | 126,661 | 4,070 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 32,547 | 1,978 | ||||||
Target Corp. | 121,016 | 7,277 | ||||||
Tiffany & Co. | 21,580 | 1,344 | ||||||
Time Warner Cable, Inc. | 60,771 | 4,013 | ||||||
Time Warner, Inc. | 189,591 | 6,099 | ||||||
TJX Cos., Inc. | 67,606 | 3,001 | ||||||
Urban Outfitters, Inc.(a) | 22,000 | 788 | ||||||
V.F. Corp. | 14,793 | 1,275 | ||||||
Viacom, Inc. Class B | 103,322 | 4,093 | ||||||
Walt Disney Co. | 323,545 | 12,136 | ||||||
Washington Post Co. Class B | 960 | 422 | ||||||
Whirlpool Corp. | 12,961 | 1,151 | ||||||
Wyndham Worldwide Corp. | 29,699 | 890 | ||||||
Wynn Resorts, Ltd. | 12,900 | 1,340 | ||||||
Yum! Brands, Inc. | 80,092 | 3,928 | ||||||
215,263 | ||||||||
Consumer Staples — 9.8% | ||||||||
Altria Group, Inc. | 356,799 | 8,784 | ||||||
Archer-Daniels-Midland Co. | 109,124 | 3,282 | ||||||
Avon Products, Inc. | 73,360 | 2,132 | ||||||
Brown-Forman Corp. Class B | 17,755 | 1,236 | ||||||
Campbell Soup Co. | 34,065 | 1,184 | ||||||
Clorox Co. | 23,843 | 1,509 | ||||||
Coca-Cola Co. | 396,811 | 26,098 | ||||||
Coca-Cola Enterprises, Inc. | 57,901 | 1,449 | ||||||
Colgate-Palmolive Co. | 82,501 | 6,631 | ||||||
ConAgra Foods, Inc. | 75,175 | 1,697 | ||||||
Constellation Brands, Inc. Class A(a) | 29,326 | 650 | ||||||
Costco Wholesale Corp. | 73,889 | 5,335 | ||||||
CVS Caremark Corp. | 232,232 | 8,075 | ||||||
Dean Foods Co.(a) | 33,458 | 296 | ||||||
Dr Pepper Snapple Group, Inc. | 38,800 | 1,364 | ||||||
Estee Lauder Cos., Inc. Class A | 19,452 | 1,570 | ||||||
General Mills, Inc. | 109,364 | 3,892 | ||||||
H.J. Heinz Co. | 54,769 | 2,709 | ||||||
Hormel Foods Corp. | 11,800 | 605 | ||||||
Kellogg Co. | 43,435 | 2,219 | ||||||
Kimberly-Clark Corp. | 69,700 | 4,394 | ||||||
Kraft Foods, Inc. Class A | 298,509 | 9,406 | ||||||
Kroger Co. | 108,976 | 2,437 | ||||||
Lorillard, Inc. | 25,561 | 2,097 | ||||||
McCormick & Co., Inc. | 22,753 | 1,059 | ||||||
Molson Coors Brewing Co., Class B | 27,062 | 1,358 | ||||||
PepsiCo, Inc. | 270,854 | 17,695 | ||||||
Philip Morris International, Inc. | 309,999 | 18,144 | ||||||
Procter & Gamble Co. | 478,319 | 30,770 | ||||||
Reynolds American, Inc. | 57,774 | 1,885 | ||||||
Safeway, Inc. | 64,364 | 1,448 | ||||||
Sara Lee Corp. | 109,234 | 1,913 | ||||||
SuperValu, Inc. | 34,848 | 336 |
See Notes to Financial Statements.
28
Table of Contents
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Market | ||||||||
Value | ||||||||
Shares | (000) | |||||||
COMMON STOCKS — (continued) | ||||||||
Consumer Staples — (continued) | ||||||||
Sysco Corp. | 100,009 | $ | 2,940 | |||||
The Hershey Company | 27,282 | 1,286 | ||||||
The J.M. Smucker Co. | 20,460 | 1,343 | ||||||
Tyson Foods, Inc., Class A | 51,235 | 882 | ||||||
Wal-Mart Stores, Inc. | 334,802 | 18,056 | ||||||
Walgreen Co. | 158,218 | 6,164 | ||||||
Whole Foods Market, Inc.(a) | 25,533 | 1,292 | ||||||
205,622 | ||||||||
Energy — 11.2% | ||||||||
Anadarko Petroleum Corp. | 84,726 | 6,453 | ||||||
Apache Corp. | 65,325 | 7,789 | ||||||
Baker Hughes, Inc. | 73,673 | 4,212 | ||||||
Cabot Oil & Gas Corp. | 17,300 | 655 | ||||||
Cameron International Corp.(a) | 41,400 | 2,100 | ||||||
Chesapeake Energy Corp. | 111,782 | 2,896 | ||||||
Chevron Corp.(b) | 343,846 | 31,376 | ||||||
ConocoPhillips | 251,030 | 17,095 | ||||||
Consol Energy, Inc. | 38,573 | 1,880 | ||||||
Denbury Resources, Inc.(a) | 69,800 | 1,332 | ||||||
Devon Energy Corp. | 73,851 | 5,798 | ||||||
Diamond Offshore Drilling, Inc. | 11,900 | 796 | ||||||
El Paso Corp. | 120,292 | 1,655 | ||||||
EOG Resources, Inc. | 43,417 | 3,969 | ||||||
EQT Corp. | 25,500 | 1,143 | ||||||
ExxonMobil Corp.(b) | 861,647 | 63,004 | ||||||
FMC Technologies, Inc.(a) | 20,500 | 1,823 | ||||||
Halliburton Co. | 155,434 | 6,346 | ||||||
Helmerich & Payne, Inc. | 18,600 | 902 | ||||||
Hess Corp. | 51,301 | 3,926 | ||||||
Marathon Oil Corp. | 121,277 | 4,491 | ||||||
Massey Energy Co. | 17,500 | 939 | ||||||
Murphy Oil Corp. | 33,441 | 2,493 | ||||||
Nabors Industries, Ltd.(a) | 48,204 | 1,131 | ||||||
National Oilwell Varco, Inc. | 71,657 | 4,819 | ||||||
Newfield Exploration Co.(a) | 22,900 | 1,651 | ||||||
Noble Energy, Inc. | 29,910 | 2,575 | ||||||
Occidental Petroleum Corp. | 138,844 | 13,620 | ||||||
Peabody Energy Corp. | 46,124 | 2,951 | ||||||
Pioneer Natural Resources Co. | 19,800 | 1,719 | ||||||
QEP Resources, Inc. | 29,968 | 1,088 | ||||||
Range Resources Corp. | 27,400 | 1,232 | ||||||
Rowan Cos., Inc.(a) | 19,620 | 685 | ||||||
Schlumberger, Ltd. | 233,158 | 19,469 | ||||||
Southwestern Energy Co.(a) | 59,300 | 2,220 | ||||||
Spectra Energy Corp. | 110,798 | 2,769 | ||||||
Sunoco, Inc. | 20,384 | 822 | ||||||
Tesoro Corp.(a) | 26,365 | 489 | ||||||
Valero Energy Corp. | 96,709 | 2,236 | ||||||
Williams Cos., Inc. | 99,968 | 2,471 | ||||||
235,020 | ||||||||
Financials — 15.3% | ||||||||
ACE Ltd. | 58,000 | 3,611 | ||||||
AFLAC, Inc. | 80,490 | 4,542 | ||||||
Allstate Corp. | 92,006 | 2,933 | ||||||
American Express Co. | 178,964 | 7,681 | ||||||
American International Group, Inc.(a) | 24,133 | 1,391 | ||||||
Ameriprise Financial, Inc. | 42,407 | 2,441 | ||||||
AON Corp. | 56,347 | 2,593 | ||||||
Apartment Investment & Management Co. Class A | 21,052 | 544 | ||||||
Assurant, Inc. | 18,231 | 702 | ||||||
AvalonBay Communities, Inc. | 14,598 | 1,643 | ||||||
Bank of America Corp. | 1,723,371 | 22,990 | ||||||
Bank of New York Mellon Corp. | 211,985 | 6,402 | ||||||
BB&T Corp. | 118,570 | 3,117 | ||||||
Berkshire Hathaway, Inc. Class B(a) | 295,703 | 23,689 | ||||||
Boston Properties, Inc. | 23,967 | 2,064 | ||||||
Capital One Financial Corp. | 78,063 | 3,322 | ||||||
CB Richard Ellis Group, Inc. Class A(a) | 47,275 | 968 | ||||||
Charles Schwab Corp. | 169,493 | 2,900 | ||||||
Chubb Corp. | 52,075 | 3,106 | ||||||
Cincinnati Financial Corp. | 27,114 | 859 | ||||||
Citigroup, Inc.(a)(b) | 4,964,002 | 23,480 | ||||||
CME Group, Inc. | 11,491 | 3,697 | ||||||
Comerica, Inc. | 30,144 | 1,273 | ||||||
Developers Diversified Realty Corp. | 1,532 | 22 | ||||||
Discover Financial Services | 93,105 | 1,725 | ||||||
E*Trade Financial Corp.(a) | 33,931 | 543 | ||||||
Equity Residential | 48,557 | 2,523 | ||||||
Federated Investors, Inc. Class B | 14,870 | 389 | ||||||
Fifth Third Bancorp | 136,116 | 1,998 | ||||||
First Horizon National Corp.(a) | 46,056 | 543 | ||||||
Franklin Resources, Inc. | 24,880 | 2,767 | ||||||
Genworth Financial, Inc. Class A(a) | 83,951 | 1,103 | ||||||
Goldman Sachs Group, Inc. | 87,334 | 14,686 | ||||||
Hartford Financial Services Group, Inc. | 75,997 | 2,013 | ||||||
HCP, Inc. | 55,100 | 2,027 | ||||||
Health Care REIT, Inc. | 20,800 | 991 | ||||||
Hudson City Bancorp, Inc. | 89,992 | 1,146 | ||||||
Huntington Bancshares, Inc. | 118,556 | 814 | ||||||
IntercontinentalExchange, Inc.(a) | 12,480 | 1,487 | ||||||
Invesco Ltd. | 79,000 | 1,901 | ||||||
J.P. Morgan Chase & Co. | 668,015 | 28,337 | ||||||
Janus Capital Group, Inc. | 31,407 | 407 | ||||||
KeyCorp | 150,475 | 1,332 | ||||||
Kimco Realty Corp. | 71,369 | 1,287 | ||||||
Legg Mason, Inc. | 26,842 | 974 | ||||||
Leucadia National Corp. | 33,636 | 981 | ||||||
Lincoln National Corp. | 54,092 | 1,504 | ||||||
Loews Corp. | 54,031 | 2,102 | ||||||
M & T Bank Corp. | 20,437 | 1,779 | ||||||
Marsh & McLennan Cos., Inc. | 92,853 | 2,539 | ||||||
Marshall & Ilsley Corp. | 86,593 | 599 | ||||||
Mastercard, Inc. Class A | 16,500 | 3,698 | ||||||
MetLife, Inc. | 154,896 | 6,884 | ||||||
Moody’s Corp. | 34,766 | 923 | ||||||
Morgan Stanley | 258,530 | 7,035 | ||||||
NASDAQ OMX Group, Inc.(a) | 25,400 | 602 | ||||||
Northern Trust Corp. | 41,406 | 2,294 | ||||||
NYSE Euronext | 44,600 | 1,337 | ||||||
Paychex, Inc. | 55,738 | 1,723 | ||||||
People’s United Financial, Inc. | 63,000 | 883 | ||||||
PNC Financial Services Group, Inc. | 89,817 | 5,454 | ||||||
Principal Financial Group, Inc. | 54,791 | 1,784 |
See Notes to Financial Statements.
29
Table of Contents
State Street Equity 500 Index
Portfolio Portfolio of Investments — (continued)
December 31, 2010
Portfolio Portfolio of Investments — (continued)
December 31, 2010
Market | ||||||||
Value | ||||||||
Shares | (000) | |||||||
COMMON STOCKS — (continued) | ||||||||
Financials — (continued) | ||||||||
Progressive Corp. | 113,401 | $ | 2,253 | |||||
ProLogis | 88,691 | 1,281 | ||||||
Prudential Financial, Inc. | 82,939 | 4,869 | ||||||
Public Storage, Inc. | 23,887 | 2,423 | ||||||
Regions Financial Corp. | 214,589 | 1,502 | ||||||
Simon Property Group, Inc. | 50,015 | 4,976 | ||||||
SLM Corp.(a) | 82,954 | 1,044 | ||||||
State Street Corp.(c) | 85,825 | 3,977 | ||||||
SunTrust Banks, Inc. | 85,418 | 2,521 | ||||||
T. Rowe Price Group, Inc. | 43,775 | 2,825 | ||||||
Torchmark Corp. | 13,721 | 820 | ||||||
Total System Services, Inc. | 27,675 | 426 | ||||||
Travelers Cos., Inc. | 78,404 | 4,368 | ||||||
U.S. Bancorp | 327,752 | 8,839 | ||||||
Unum Group | 54,229 | 1,313 | ||||||
Ventas, Inc. | 26,800 | 1,406 | ||||||
Visa, Inc. | 83,300 | 5,863 | ||||||
Vornado Realty Trust | 27,814 | 2,318 | ||||||
Wells Fargo Co. | 896,849 | 27,793 | ||||||
Western Union Co. | 112,085 | 2,081 | ||||||
XL Capital, Ltd. Class A | 55,268 | 1,206 | ||||||
Zions Bancorp | 30,453 | 738 | ||||||
321,926 | ||||||||
Health Care — 9.9% | ||||||||
Abbott Laboratories | 264,106 | 12,653 | ||||||
Aetna, Inc. | 68,350 | 2,085 | ||||||
Allergan, Inc. | 52,592 | 3,612 | ||||||
AmerisourceBergen Corp. | 47,186 | 1,610 | ||||||
Amgen, Inc.(a) | 161,436 | 8,863 | ||||||
Baxter International, Inc. | 99,561 | 5,040 | ||||||
Becton, Dickinson & Co. | 39,297 | 3,321 | ||||||
Biogen Idec, Inc.(a) | 40,731 | 2,731 | ||||||
Boston Scientific Corp.(a) | 259,734 | 1,966 | ||||||
Bristol-Myers Squibb Co. | 292,516 | 7,746 | ||||||
C.R. Bard, Inc. | 15,897 | 1,459 | ||||||
Cardinal Health, Inc. | 59,657 | 2,285 | ||||||
CareFusion Corp.(a) | 31,178 | 801 | ||||||
Celgene Corp.(a) | 80,418 | 4,756 | ||||||
Cephalon, Inc.(a) | 13,300 | 821 | ||||||
Cerner Corp.(a) | 11,700 | 1,108 | ||||||
CIGNA Corp. | 47,096 | 1,727 | ||||||
Coventry Health Care, Inc.(a) | 26,203 | 692 | ||||||
DaVita, Inc.(a) | 16,600 | 1,154 | ||||||
Dentsply International, Inc. | 24,300 | 830 | ||||||
Eli Lilly & Co. | 173,375 | 6,075 | ||||||
Express Scripts, Inc.(a) | 90,098 | 4,870 | ||||||
Forest Laboratories, Inc.(a) | 48,802 | 1,561 | ||||||
Genzyme Corp.(a) | 44,292 | 3,154 | ||||||
Gilead Sciences, Inc.(a) | 138,699 | 5,026 | ||||||
Hospira, Inc.(a) | 29,203 | 1,626 | ||||||
Humana, Inc.(a) | 28,807 | 1,577 | ||||||
Intuitive Surgical, Inc.(a) | 6,700 | 1,727 | ||||||
Johnson & Johnson | 469,249 | 29,023 | ||||||
Laboratory Corp. of America Holdings(a) | 17,422 | 1,532 | ||||||
Life Technologies Corp.(a) | 31,887 | 1,770 | ||||||
McKesson Corp. | 43,255 | 3,044 | ||||||
Mead Johnson Nutrition Co. | 34,918 | 2,174 | ||||||
Medco Health Solutions, Inc.(a) | 72,568 | 4,446 | ||||||
Medtronic, Inc. | 184,578 | 6,846 | ||||||
Merck & Co., Inc. | 526,470 | 18,974 | ||||||
Mylan, Inc.(a) | 74,409 | 1,572 | ||||||
Patterson Cos., Inc. | 16,494 | 505 | ||||||
Pfizer, Inc. | 1,368,711 | 23,966 | ||||||
Quest Diagnostics, Inc. | 24,200 | 1,306 | ||||||
St. Jude Medical, Inc.(a) | 59,626 | 2,549 | ||||||
Stryker Corp. | 58,389 | 3,135 | ||||||
Tenet Healthcare Corp.(a) | 73,370 | 491 | ||||||
UnitedHealth Group, Inc. | 187,996 | 6,789 | ||||||
Varian Medical Systems, Inc.(a) | 20,560 | 1,424 | ||||||
Watson Pharmaceuticals, Inc.(a) | 21,446 | 1,108 | ||||||
Wellpoint, Inc.(a) | 67,238 | 3,823 | ||||||
Zimmer Holdings, Inc.(a) | 33,752 | 1,812 | ||||||
207,165 | ||||||||
Industrials — 10.5% | ||||||||
3M Co. | 122,172 | 10,543 | ||||||
Amphenol Corp. Class A | 29,800 | 1,573 | ||||||
Avery Dennison Corp. | 18,488 | 783 | ||||||
Boeing Co. | 125,388 | 8,183 | ||||||
Caterpillar, Inc. | 108,479 | 10,160 | ||||||
CH Robinson Worldwide, Inc. | 28,361 | 2,274 | ||||||
Cintas Corp. | 21,588 | 604 | ||||||
CSX Corp. | 63,938 | 4,131 | ||||||
Cummins, Inc. | 33,758 | 3,714 | ||||||
Danaher Corp. | 91,672 | 4,324 | ||||||
Deere & Co. | 72,437 | 6,016 | ||||||
Dover Corp. | 31,895 | 1,864 | ||||||
Eaton Corp. | 28,795 | 2,923 | ||||||
Emerson Electric Co. | 128,648 | 7,355 | ||||||
Equifax, Inc. | 22,083 | 786 | ||||||
Expeditors International Washington, Inc. | 36,320 | 1,983 | ||||||
Fastenal Co. | 25,200 | 1,510 | ||||||
FedEx Corp. | 53,800 | 5,004 | ||||||
First Solar, Inc.(a) | 9,270 | 1,206 | ||||||
Flir Systems, Inc.(a) | 27,100 | 806 | ||||||
Flowserve Corp. | 9,500 | 1,133 | ||||||
Fluor Corp. | 30,560 | 2,025 | ||||||
General Dynamics Corp. | 64,561 | 4,581 | ||||||
General Electric Co.(b) | 1,820,633 | 33,299 | ||||||
Goodrich Co. | 21,445 | 1,889 | ||||||
Honeywell International, Inc. | 133,281 | 7,085 | ||||||
Illinois Tool Works, Inc. | 84,771 | 4,527 | ||||||
Ingersoll-Rand PLC | 55,400 | 2,609 | ||||||
Iron Mountain, Inc. | 32,200 | 805 | ||||||
ITT Industries, Inc. | 31,392 | 1,636 | ||||||
Jacobs Engineering Group, Inc.(a) | 22,300 | 1,023 | ||||||
L-3 Communications Holdings, Inc. | 19,303 | 1,361 | ||||||
Leggett & Platt, Inc. | 24,998 | 569 | ||||||
Lockheed Martin Corp. | 50,452 | 3,527 | ||||||
Masco Corp. | 64,323 | 814 | ||||||
Monster Worldwide, Inc.(a) | 22,609 | 534 | ||||||
Norfolk Southern Corp. | 62,055 | 3,898 | ||||||
Northrop Grumman Corp. | 49,911 | 3,233 | ||||||
PACCAR, Inc. | 62,274 | 3,576 | ||||||
Pall Corp. | 19,709 | 977 |
See Notes to Financial Statements.
30
Table of Contents
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Market | ||||||||
Value | ||||||||
Shares | (000) | |||||||
COMMON STOCKS — (continued) | ||||||||
Industrials — (continued) | ||||||||
Parker-Hannifin Corp. | 27,603 | $ | 2,382 | |||||
Pitney Bowes, Inc. | 34,927 | 845 | ||||||
Precision Castparts Corp. | 24,407 | 3,398 | ||||||
Quanta Services, Inc.(a) | 36,800 | 733 | ||||||
R.R. Donnelley & Sons Co. | 36,109 | 631 | ||||||
Raytheon Co. | 62,282 | 2,886 | ||||||
Republic Services, Inc. | 52,503 | 1,568 | ||||||
Robert Half International, Inc. | 26,540 | 812 | ||||||
Rockwell Automation, Inc. | 24,705 | 1,772 | ||||||
Rockwell Collins, Inc. | 26,831 | 1,563 | ||||||
Roper Industries, Inc. | 16,200 | 1,238 | ||||||
Ryder Systems, Inc. | 7,921 | 417 | ||||||
Southwest Airlines Co. | 127,686 | 1,657 | ||||||
Stericycle, Inc.(a) | 14,800 | 1,198 | ||||||
Textron, Inc. | 46,939 | 1,110 | ||||||
Thermo Fisher Scientific, Inc.(a) | 67,924 | 3,760 | ||||||
Tyco International Ltd. | 83,600 | 3,464 | ||||||
Union Pacific Corp. | 84,268 | 7,808 | ||||||
United Parcel Service, Inc. Class B | 168,946 | 12,262 | ||||||
United Technologies Corp. | 157,778 | 12,420 | ||||||
W.W. Grainger, Inc. | 9,969 | 1,377 | ||||||
Waste Management, Inc. | 81,339 | 2,999 | ||||||
221,143 | ||||||||
Information Technology — 16.5% | ||||||||
Adobe Systems, Inc.(a) | 86,957 | 2,677 | ||||||
Advanced Micro Devices, Inc.(a) | 99,186 | 811 | ||||||
Agilent Technologies, Inc.(a) | 59,168 | 2,451 | ||||||
Akamai Technologies, Inc.(a) | 31,124 | 1,464 | ||||||
Altera Corp. | 52,854 | 1,881 | ||||||
Analog Devices, Inc. | 51,069 | 1,924 | ||||||
AOL, Inc.(a)(d) | 1 | — | ||||||
Apple, Inc.(a) | 156,784 | 50,572 | ||||||
Applied Materials, Inc. | 228,307 | 3,208 | ||||||
Autodesk, Inc.(a) | 38,876 | 1,485 | ||||||
Automatic Data Processing, Inc. | 84,317 | 3,902 | ||||||
BMC Software, Inc.(a) | 31,221 | 1,472 | ||||||
Broadcom Corp. Class A | 77,859 | 3,391 | ||||||
CA, Inc. | 67,099 | 1,640 | ||||||
Cisco Systems, Inc.(a) | 947,119 | 19,160 | ||||||
Citrix Systems, Inc.(a) | 32,067 | 2,194 | ||||||
Cognizant Technology Solutions Corp. Class A(a) | 51,884 | 3,803 | ||||||
Computer Sciences Corp. | 26,444 | 1,312 | ||||||
Compuware Corp.(a) | 37,450 | 437 | ||||||
Corning, Inc. | 267,076 | 5,160 | ||||||
Dell, Inc.(a) | 286,950 | 3,888 | ||||||
Dun & Bradstreet Corp. | 8,500 | 698 | ||||||
Electronic Arts, Inc.(a) | 56,700 | 929 | ||||||
EMC Corp.(a) | 352,084 | 8,063 | ||||||
F5 Networks, Inc.(a) | 13,800 | 1,796 | ||||||
Fidelity National Information Services, Inc. | 46,577 | 1,276 | ||||||
Fiserv, Inc.(a) | 25,452 | 1,490 | ||||||
Google, Inc. Class A(a) | 42,590 | 25,297 | ||||||
Harris Corp. | 21,900 | 992 | ||||||
Hewlett-Packard Co. | 387,516 | 16,314 | ||||||
Intel Corp. | 953,156 | 20,045 | ||||||
International Business Machines Corp. | 212,242 | 31,149 | ||||||
Intuit, Inc.(a) | 47,763 | 2,355 | ||||||
Jabil Circuit, Inc. | 31,651 | 636 | ||||||
Juniper Networks, Inc.(a) | 89,393 | 3,300 | ||||||
KLA-Tencor Corp. | 28,505 | 1,101 | ||||||
Lexmark International Group, Inc. Class A(a) | 12,642 | 440 | ||||||
Linear Technology Corp. | 39,863 | 1,379 | ||||||
LSI Corp.(a) | 105,362 | 631 | ||||||
McAfee, Inc.(a) | 26,300 | 1,218 | ||||||
MEMC Electronic Materials, Inc.(a) | 36,378 | 410 | ||||||
Microchip Technology, Inc. | 32,489 | 1,111 | ||||||
Micron Technology, Inc.(a) | 146,362 | 1,174 | ||||||
Microsoft Corp.(b) | 1,286,535 | 35,920 | ||||||
Molex, Inc. | 23,305 | 530 | ||||||
Motorola, Inc.(a) | 401,465 | 3,641 | ||||||
National Semiconductor Corp. | 42,096 | 579 | ||||||
NetApp, Inc.(a) | 61,757 | 3,394 | ||||||
Novell, Inc.(a) | 60,120 | 356 | ||||||
Novellus Systems, Inc.(a) | 15,230 | 492 | ||||||
NVIDIA Corp.(a) | 99,256 | 1,529 | ||||||
Oracle Corp. | 661,462 | 20,704 | ||||||
PerkinElmer, Inc. | 21,118 | 545 | ||||||
QLogic Corp.(a) | 17,922 | 305 | ||||||
QUALCOMM, Inc. | 276,411 | 13,680 | ||||||
Red Hat, Inc.(a) | 33,300 | 1,520 | ||||||
SAIC, Inc.(a) | 50,200 | 796 | ||||||
Salesforce.com, Inc.(a) | 20,200 | 2,666 | ||||||
SanDisk Corp.(a) | 40,667 | 2,028 | ||||||
Symantec Corp.(a) | 132,663 | 2,221 | ||||||
Tellabs, Inc. | 63,030 | 427 | ||||||
Teradata Corp.(a) | 28,920 | 1,190 | ||||||
Teradyne, Inc.(a) | 28,149 | 395 | ||||||
Texas Instruments, Inc. | 200,599 | 6,519 | ||||||
VeriSign, Inc. | 29,421 | 961 | ||||||
Waters Corp.(a) | 15,565 | 1,210 | ||||||
Western Digital Corp.(a) | 39,300 | 1,332 | ||||||
Xerox Corp. | 237,001 | 2,730 | ||||||
Xilinx, Inc. | 45,602 | 1,322 | ||||||
Yahoo!, Inc.(a) | 222,719 | 3,704 | ||||||
345,332 | ||||||||
Materials — 3.6% | ||||||||
Air Products & Chemicals, Inc. | 36,609 | 3,330 | ||||||
Airgas, Inc. | 14,300 | 893 | ||||||
AK Steel Holding Corp. | 20,000 | 327 | ||||||
Alcoa, Inc. | 174,549 | 2,686 | ||||||
Allegheny Technologies, Inc. | 17,228 | 951 | ||||||
Ball Corp. | 15,062 | 1,025 | ||||||
Bemis Co., Inc. | 18,462 | 603 | ||||||
CF Industries Holdings, Inc. | 12,150 | 1,642 | ||||||
Cliffs Natural Resources, Inc. | 23,400 | 1,825 | ||||||
Dow Chemical Co. | 198,328 | 6,771 | ||||||
E.I. Du Pont de Nemours & Co. | 156,012 | 7,782 | ||||||
Eastman Chemical Co. | 12,204 | 1,026 | ||||||
Ecolab, Inc. | 39,666 | 2,000 | ||||||
FMC Corp. | 12,600 | 1,007 | ||||||
Freeport-McMoRan Copper & Gold, Inc. Class B | 80,452 | 9,661 |
See Notes to Financial Statements.
31
Table of Contents
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Market | ||||||||
Value | ||||||||
Shares | (000) | |||||||
COMMON STOCKS — (continued) | ||||||||
Materials — (continued) | ||||||||
International Flavors & Fragrances, Inc. | 13,031 | $ | 724 | |||||
International Paper Co. | 74,711 | 2,035 | ||||||
MeadWestvaco Corp. | 30,320 | 793 | ||||||
Monsanto Co. | 91,655 | 6,383 | ||||||
Newmont Mining Corp. | 84,206 | 5,173 | ||||||
Nucor Corp. | 53,954 | 2,364 | ||||||
Owens-Illinois, Inc.(a) | 28,000 | 860 | ||||||
Plum Creek Timber Co., Inc. | 27,611 | 1,034 | ||||||
PPG Industries, Inc. | 27,871 | 2,343 | ||||||
Praxair, Inc. | 52,311 | 4,994 | ||||||
Sealed Air Corp. | 27,292 | 695 | ||||||
Sherwin-Williams Co. | 15,296 | 1,281 | ||||||
Sigma-Aldrich Corp. | 20,934 | 1,393 | ||||||
Titanium Metals Corp.(a) | 16,600 | 285 | ||||||
United States Steel Corp. | 24,578 | 1,436 | ||||||
Vulcan Materials Co. | 22,561 | 1,001 | ||||||
Weyerhaeuser Co. | 91,574 | 1,734 | ||||||
76,057 | ||||||||
Telecommunication Services — 2.9% | ||||||||
American Tower Corp. Class A(a) | 68,200 | 3,522 | ||||||
AT&T, Inc. | 1,009,850 | 29,669 | ||||||
CenturyTel, Inc. | 51,773 | 2,390 | ||||||
Frontier Communications Corp. | 169,844 | 1,653 | ||||||
JDS Uniphase Corp.(a) | 38,023 | 550 | ||||||
MetroPCS Communications, Inc.(a) | 44,800 | 566 | ||||||
Qwest Communications International, Inc. | 297,790 | 2,266 | ||||||
Sprint Nextel Corp.(a) | 510,465 | 2,159 | ||||||
Verizon Communications, Inc. | 483,066 | 17,284 | ||||||
Windstream Corp. | 82,613 | 1,153 | ||||||
61,212 | ||||||||
Utilities — 3.1% | ||||||||
AES Corp.(a) | 115,195 | 1,403 | ||||||
Allegheny Energy, Inc. | 28,359 | 687 | ||||||
Ameren Corp. | 40,960 | 1,155 | ||||||
American Electric Power Co., Inc. | 82,052 | 2,952 | ||||||
CenterPoint Energy, Inc. | 72,311 | 1,137 | ||||||
CMS Energy Corp. | 37,956 | 706 | ||||||
Consolidated Edison, Inc. | 49,652 | 2,461 | ||||||
Constellation Energy Group, Inc. | 34,214 | 1,048 | ||||||
Dominion Resources, Inc. | 99,162 | 4,236 | ||||||
DTE Energy Co. | 29,884 | 1,354 | ||||||
Duke Energy Corp. | 226,320 | 4,031 | ||||||
Edison International | 55,719 | 2,151 | ||||||
Entergy Corp. | 30,898 | 2,188 | ||||||
Exelon Corp. | 113,021 | 4,706 | ||||||
FirstEnergy Corp. | 52,107 | 1,929 | ||||||
Integrys Energy Group, Inc. | 13,216 | 641 | ||||||
NextEra Energy, Inc. | 71,021 | 3,692 | ||||||
Nicor, Inc. | 7,800 | 389 | ||||||
NiSource, Inc. | 48,582 | 856 | ||||||
Northeast Utilities | 30,100 | 960 | ||||||
NRG Energy, Inc.(a) | 42,200 | 825 | ||||||
Oneok, Inc. | 18,600 | 1,032 | ||||||
Pepco Holdings, Inc. | 38,400 | 701 | ||||||
PG&E Corp. | 67,026 | 3,207 | ||||||
Pinnacle West Capital Corp. | 18,560 | 769 | ||||||
PPL Corp. | 82,575 | 2,173 | ||||||
Progress Energy, Inc. | 50,081 | 2,178 | ||||||
Public Service Enterprise Group, Inc. | 86,424 | 2,749 | ||||||
SCANA Corp. | 19,300 | 784 | ||||||
Sempra Energy | 40,986 | 2,151 | ||||||
Southern Co. | 143,343 | 5,480 | ||||||
TECO Energy, Inc. | 34,951 | 622 | ||||||
Wisconsin Energy Corp. | 20,100 | 1,183 | ||||||
Xcel Energy, Inc. | 78,651 | 1,852 | ||||||
64,388 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $1,230,336) | 1,953,128 | |||||||
Par | ||||||||
Amount | ||||||||
(000) | ||||||||
U.S. GOVERNMENT SECURITIES — 0.2% | ||||||||
United States Treasury Bill(b)(e)(f) | ||||||||
0.08% due 01/20/11 | $ | 3,765 | 3,765 | |||||
United States Treasury Bill(b)(e)(f) | ||||||||
0.11% due 03/10/11 | 350 | 350 | ||||||
TOTAL U.S. GOVERNMENT SECURITIES (Cost $4,115) | 4,115 | |||||||
Shares | ||||||||
(000) | ||||||||
MONEY MARKET FUNDS — 1.6% | ||||||||
AIM Short Term Investment Prime Portfolio | 33,049 | 33,049 | ||||||
Federated Money Market Obligations Trust | 576 | 576 | ||||||
TOTAL MONEY MARKET FUNDS (Cost $33,625) | 33,625 | |||||||
TOTAL INVESTMENTS(g)† — 94.9% | ||||||||
(Identified cost $1,268,076) | 1,990,868 | |||||||
Other Assets in Excess of Liabilities — 5.1% | 107,269 | |||||||
NET ASSETS — 100.0% | $ | 2,098,137 | ||||||
(a) | Non-income producing security. | |
(b) | All or part of this security has been designated as collateral for futures contracts. | |
(c) | Affiliated issuer. See table that follows for more information. | |
(d) | Amount is less than $1,000. | |
(e) | Rate represents annualized yield at date of purchase. | |
(f) | Value determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2) |
See Notes to Financial Statements.
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State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
(g) | Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2) |
† | See Note 2 of the Notes to Financial Statements. |
Notional | Unrealized | |||||||||||
Number of | Value | Appreciation | ||||||||||
Contracts | (000) | (000) | ||||||||||
Schedule of Futures | ||||||||||||
Contracts S&P 500 | ||||||||||||
Financial Futures | ||||||||||||
Contracts (long) | ||||||||||||
Expiration | ||||||||||||
Date 03/2011 | 637 | $ | 39,366 | $ | 542 | |||||||
Total unrealized | ||||||||||||
appreciation on | ||||||||||||
open futures | ||||||||||||
contracts purchased | $ | 542 | ||||||||||
Affiliate Table
Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500® Index. The market value of this investment at December 31, 2010 is listed in the Portfolio of Investments.
Income earned | ||||||||||||||||||||||||||||
Shares purchased | for the twelve | |||||||||||||||||||||||||||
for the twelve | Shares sold for | Value at | months ended | Realized loss | ||||||||||||||||||||||||
Security | Number of shares | months ended | the twelve months | Number of shares | 12/31/2010 | 12/31/2010 | on shares sold | |||||||||||||||||||||
Description | held at 12/31/09 | 12/31/2010 | ended 12/31/2010 | held at 12/31/2010 | (000) | (000) | (000) | |||||||||||||||||||||
State Street | ||||||||||||||||||||||||||||
Corp. | 90,925 | 6,300 | 11,400 | 85,825 | $ | 3,977 | $ | 4 | $ | (225 | ) |
See Notes to Financial Statements.
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Table of Contents
State Street Equity 500 Index Portfolio
Statement of Assets and Liabilities
December 31, 2010
(Amounts in thousands)
December 31, 2010
(Amounts in thousands)
Assets | ||||
Investments in unaffiliated issuers at market value (identified cost $1,265,072) | $ | 1,986,891 | ||
Investments in non-controlled affiliates at market value (identified cost $3,004) (Note 4) | 3,977 | |||
Total investments at market value (identified cost $1,268,076) | 1,990,868 | |||
Cash | 2 | |||
Receivable for Investment securities sold | 104,961 | |||
Dividends and interest receivable | 2,433 | |||
Total assets | 2,098,264 | |||
Liabilities | ||||
Daily variation margin on futures contracts | 47 | |||
Management fees (Note 4) | 80 | |||
Total liabilities | 127 | |||
Net Assets | $ | 2,098,137 | ||
See Notes to Financial Statements.
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Table of Contents
State Street Equity 500 Index Portfolio
Statement of Operations
Year Ended December 31, 2010
(Amounts in thousands)
Year Ended December 31, 2010
(Amounts in thousands)
Investment Income | ||||
Interest | $ | 67 | ||
Dividend income — unaffiliated issuers (net of foreign taxes withheld of $2) | 38,450 | |||
Dividend income — non-controlled affiliated issuer | 4 | |||
Total investment income | 38,521 | |||
Expenses | ||||
Management fees (Note 4) | 853 | |||
Total expenses | 853 | |||
Net Investment Income | $ | 37,668 | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments — unaffiliated issuers | $ | 20,628 | ||
Investments — non-controlled affiliated issuer | (225 | ) | ||
Futures contracts | 5,708 | |||
26,111 | ||||
Net change in net unrealized appreciation (depreciation) on: | ||||
Investments | 214,090 | |||
Futures contracts | (5 | ) | ||
214,085 | ||||
Net realized and unrealized gain | 240,196 | |||
Net Increase in Net Assets Resulting from Operations | $ | 277,864 | ||
See Notes to Financial Statements.
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Table of Contents
State Street Equity 500 Index Portfolio
Statements of Changes in Net Assets
(Amounts in thousands)
(Amounts in thousands)
For The Year Ended | For The Year Ended | |||||||
December 31, 2010 | December 31, 2009 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income | $ | 37,668 | $ | 38,199 | ||||
Net realized gain (loss) on investments and futures contracts | 26,111 | (88,220 | ) | |||||
Net change in net unrealized appreciation on investments and futures contracts | 214,085 | 473,395 | ||||||
Net increase in net assets from operations | 277,864 | 423,374 | ||||||
Capital Transactions: | ||||||||
Contributions | 241,838 | 267,641 | ||||||
Withdrawals | (314,951 | ) | (319,837 | ) | ||||
Net decrease in net assets from capital transactions | (73,113 | ) | (52,196 | ) | ||||
Net Increase in Net Assets | 204,751 | 371,178 | ||||||
Net Assets | ||||||||
Beginning of year | 1,893,386 | 1,522,208 | ||||||
End of year | $ | 2,098,137 | $ | 1,893,386 | ||||
See Notes to Financial Statements.
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Table of Contents
State Street Equity 500 Index Portfolio
Financial Highlights
The following table includes selected supplemental data and ratios to average net assets:
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
12/31/10 | 12/31/09 | 12/31/08 | 12/31/07 | 12/31/06 | ||||||||||||||||
Supplemental Data and Ratios: | ||||||||||||||||||||
Net assets, end of year (in thousands) | $ | 2,098,137 | $ | 1,893,386 | $ | 1,522,208 | $ | 2,422,377 | $ | 2,766,696 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Operating expenses | 0.045 | % | 0.045 | % | 0.045 | % | 0.045 | % | 0.045 | % | ||||||||||
Net investment income | 1.99 | % | 2.28 | % | 2.30 | % | 1.96 | % | 1.94 | % | ||||||||||
Portfolio turnover rate(a) | 12 | % | 19 | % | 14 | % | 12 | % | 10 | % | ||||||||||
Total return(b) | 15.08 | % | 26.50 | % | (37.02 | )% | 5.49 | % | 15.75 | % |
(a) | The portfolio turnover rate excludes in-kind security transactions. | |
(b) | Results represent past performance and are not indicative of future results. |
See Notes to Financial Statements.
37
Table of Contents
1. Organization
State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises eleven investment portfolios: the State Street Equity 500 Index Portfolio, the State Street Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio, the State Street Aggregate Bond Index Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Exempt Bond Portfolio, the State Street Limited Duration Bond Portfolio, the State Street Treasury Money Market Portfolio, the State Street Treasury Plus Money Market Portfolio and the State Street U.S. Government Money Market Portfolio. Information presented in these financial statements pertains only to the State Street Equity 500 Index Portfolio (the “Portfolio”).
At December 31, 2010, the following Portfolios were in operation: the Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Free Bond Portfolio, the State Street U.S. Government Money Market Portfolio, the State Street Treasury Money Market Portfolio and the State Street Treasury Plus Money Market Portfolio. The Portfolio is authorized to issue an unlimited number of non-transferable beneficial interests.
The Portfolio’s investment objective is to replicate, as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “S&P 500® Index”). The Portfolio uses a passive management strategy designed to track the performance of the S&P 500® Index. The S&P 500® Index is a well-known, unmanaged, stock index that includes common stocks of 500 companies from several industrial sectors representing a significant portion of the market value of all stocks publicly traded in the United States. There is no assurance that the Portfolio will achieve its objective.
2. Significant Accounting Policies
The following is a summary of the significant accounting policies consistently followed by the Portfolio in the preparation of its financial statements.
Security valuation — The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.
The Portfolio adopted provisions surrounding Fair Value Measurements and Disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In
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State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
December 31, 2010
Notes to Financial Statements (continued)
December 31, 2010
accordance with these provisions, fair value is defined as the price that the portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.
The three tier hierarchy of inputs is summarized below:
• | Level 1 — quoted prices in active markets for identical securities | ||
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) | ||
• | Level 3 — significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of December 31, 2010, in valuing the Portfolio’s assets carried at fair value (amounts in thousands):
Quoted Prices in | ||||||||||||||||
Active Markets for | Significant Other | Significant | ||||||||||||||
Identical Assets | Observable Inputs | Unobservable Inputs | ||||||||||||||
Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | $ | 1,953,128 | $ | — | $ | — | $ | 1,953,128 | ||||||||
U.S. Government Securities | — | 4,115 | — | 4,115 | ||||||||||||
Money Market Funds | 33,625 | — | — | 33,625 | ||||||||||||
OTHER ASSETS: | ||||||||||||||||
Futures contracts | 542 | — | — | 542 | ||||||||||||
TOTAL ASSETS | $ | 1,987,295 | $ | 4,115 | $ | — | $ | 1,991,410 | ||||||||
The type of inputs used to value each security under the provisions surrounding Fair Value Measurement and Disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.
The Portfolio adopted updated provisions surrounding fair value measurements and disclosures effective March 31, 2010. This update applies to the Portfolio’s disclosures about transfers in and out of Level 1 and Level 2 of the fair value hierarchy and the reasons for the transfers as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy.
As of the year ended December 31, 2010, there were no securities transferred from Level 1 to Level 2 and no securities transferred from Level 2 to Level 1.
Securities transactions, investment income and expenses — Securities transactions are recorded on a trade date basis for financial statement purposes. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis and includes amortization of premium and
39
Table of Contents
State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
December 31, 2010
Notes to Financial Statements (continued)
December 31, 2010
accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily based on average daily net assets.
All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio based on each partner’s daily ownership percentage.
Federal income taxes: The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.
The Portfolio has reviewed the tax positions for open years as of and during the year ended December 31, 2010, and determined it did not have a liability for any unrecognized tax expenses. The Portfolio recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2010, tax years 2007 through 2010 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
At December 31, 2010, the book cost of investments was $1,268,075,887 which approximates cost computed on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $791,849,304 and $69,056,837 respectively, resulting in net appreciation of $722,792,467 for all securities as computed on a federal income tax basis.
Futures: The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Assets and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed, which is recorded on the Statement of Operations. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.
The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Portfolio and the prices of futures contracts and the possibility of an illiquid market.
The Portfolio adopted provisions surrounding Derivatives and Hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.
To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an
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Table of Contents
State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
December 31, 2010
Notes to Financial Statements (continued)
December 31, 2010
underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.
The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at December 31, 2010:
Asset Derivatives(1) (amounts in thousands)
Foreign | ||||||||||||||||||||||||||||
Interest Rate | Exchange | Credit | Equity | Commodity | Other | |||||||||||||||||||||||
Contracts Risk | Contracts Risk | Contracts Risk | Contracts Risk* | Contracts Risk | Contracts Risk | Total | ||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 542 | $ | — | $ | — | $ | 542 |
(1) | Portfolio of Investments: Unrealized appreciation of futures contracts. | |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Transactions in derivative instruments during the year ended December 31, 2010, were as follows:
Realized Gain (Loss)(1) (amounts in thousands)
Foreign | ||||||||||||||||||||||||||||
Interest Rate | Exchange | Credit | Equity | Commodity | Other | |||||||||||||||||||||||
Contracts Risk | Contracts Risk | Contracts Risk | Contracts Risk | Contracts Risk | Contracts Risk | Total | ||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 5,708 | $ | — | $ | — | $ | 5,708 |
Change in Appreciation (Depreciation)(2) (amounts in thousands)
Foreign | ||||||||||||||||||||||||||||
Interest Rate | Exchange | Credit | Equity | Commodity | Other | |||||||||||||||||||||||
Contracts Risk | Contracts Risk | Contracts Risk | Contracts Risk | Contracts Risk | Contracts Risk | Total | ||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (5 | ) | $ | — | $ | — | $ | (5 | ) |
(1) | Statement of Operations location: Net realized gain (loss) on: Futures contracts | |
(2) | Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts |
The average notional of futures outstanding during the year ended December 31, 2010, was $51,379,065.
Use of estimates: The Portfolio’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates.
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Table of Contents
State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
December 31, 2010
Notes to Financial Statements (continued)
December 31, 2010
3. Securities Transactions
For the year ended December 31, 2010, purchases and sales of investment securities, excluding short-term investments, futures contracts, and contributions in-kind and fair value of withdrawals, aggregated to $217,471,983 and $339,764,058 respectively.
4. Related Party Fees and Transactions
The Portfolio has entered into an investment advisory agreement with SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), under which SSgA FM directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. The Trust has contracted with State Street to provide custody, administration and transfer agent services to the Portfolio. In compensation for SSgA FM’s services as investment adviser and for State Street’s services as administrator, custodian and transfer agent (and for assuming ordinary operating expenses of the Portfolio, including ordinary legal, audit and trustees expense), State Street receives a unitary fee, calculated daily, at the annual rate of 0.045% of the Portfolio’s average daily net assets.
Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corporation, the holding company of State Street, were made according to its representative portion of the S&P 500@ Index. The market value of this investment at December 31, 2010 is listed in the Portfolio of Investments.
5. Trustees’ Fees
Pursuant to certain agreements with State Street and its affiliates, each Independent Trustee receives for his or her services a $30,000 retainer in addition to $2,500 for each in-person meeting and $500 for each telephonic meeting from State Street or its affiliates. These fees are paid through a unitary fee.
6. Indemnifications
The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.
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State Street Equity 500 Index Portfolio
Report of Independent Registered Public Accounting Firm
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of State Street Master Funds and
Owners of Beneficial Interest of State Street Equity 500 Index Portfolio:
Owners of Beneficial Interest of State Street Equity 500 Index Portfolio:
We have audited the accompanying statement of assets and liabilities of State Street Equity 500 Index Portfolio (one of the portfolios constituting State Street Master Funds) (the “Portfolio”), including the portfolio of investments, as of December 31, 2010, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Equity 500 Index Portfolio, a portfolio of State Street Master Funds, at December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
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Boston, Massachusetts
February 22, 2011
February 22, 2011
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Table of Contents
State Street Equity 500 Index Portfolio
General Information
December 31, 2010 (Unaudited)
General Information
December 31, 2010 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Trust has adopted proxy voting procedures relating to portfolio securities held by the Portfolio. A description of the policies and procedures are available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the website of the Securities and Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by August 31 (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.
Advisory Agreement Renewal
The Board of Trustees of the Trust met on November 19, 2010 (the “Meeting”) to consider the renewal of the investment advisory agreement for the Portfolio (the “Advisory Agreement”). In preparation for considering the Advisory Agreement, the Trustees had reviewed the renewal materials provided by the investment adviser, which they had requested through independent counsel. In deciding whether to renew the Advisory Agreement, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the SSgA Funds Management, Inc. (the “Adviser”) under the Advisory Agreement, (ii) the investment performance of the Portfolio, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreement reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.
In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided at the Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory Agreement and noted the experience and expertise that would be appropriate to expect of an adviser to the Portfolio, which is an index fund. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Portfolio, and the responsibilities of the latter with respect to the Portfolio. They also considered the resources, operational structures and practices of the Adviser in managing the Portfolio’s investments, in monitoring and securing the Portfolio’s compliance with its investment objective and policies with respect to its investments and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $1.90 trillion in assets under management as of September 30, 2010, including over $183.40 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials
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State Street Equity 500 Index Portfolio
General Information (continued)
December 31, 2010 (Unaudited)
General Information (continued)
December 31, 2010 (Unaudited)
provided and their general knowledge of the business of the Adviser, the Trustees determined that the experience, resources and strength of the Adviser in the management of index products are exceptional. As discussed more fully below, they also determined that the advisory fee for the Portfolio was fair and reasonable and that its performance and expense ratio were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Portfolio were appropriate and had been of good quality.
The Trustees noted that, in view of the investment objective of the Portfolio and the available data, the investment performance was acceptable. The Trustees noted that the performance of the Portfolio in absolute terms was not of the importance that normally attaches to that of actively-managed funds. Of more importance to the Trustees was the extent to which the Portfolio achieved its objective of replicating, before expenses, the total return of the S&P 500 Index. Drawing upon information provided at the Meeting and upon reports provided to the Trustees by the Adviser throughout the preceding year, they determined that the Portfolio had in fact tracked the index within an acceptable range of tracking error. They concluded that the performance of the Portfolio was acceptable.
The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships with the Trust. (They noted at the outset that the issue of profitability would not arise with respect to State Street Global Markets LLC (“SSGM”), also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the feeder fund and, by implication, the Portfolio.) The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Portfolio individually, and on an aggregate basis, for the year ended June 30, 2010, with additional data relating to prior years. Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, they concluded that these methodologies were reasonable and turned to the data provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both of those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fee excessive.
In order better to evaluate the Portfolio’s advisory fee, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that the Portfolio’s advisory fee and total expense ratio were all lower than the average for its Lipper peer group; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fee.
In addition, the Trustees considered other advisory fees paid to the Adviser. They noted that as a general matter fees paid to the Adviser by other, closely similar mutual funds sponsored by State Street were significantly higher than the fees paid by the Portfolio and, indirectly, by the feeder fund. As to fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by the Adviser, the Trustees noted that these were generally lower than those paid by the Portfolio; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the Portfolio by the Adviser and those provided to the other two types of clients. The Trustees determined that, in light of these significant differences, in both cases the fees were of doubtful utility for purposes of comparison with that of the Portfolio, but that to the extent that meaningful comparison was practicable the differences in services
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State Street Equity 500 Index Portfolio
General Information (continued)
December 31, 2010 (Unaudited)
General Information (continued)
December 31, 2010 (Unaudited)
satisfactorily accounted for differences in the fees. The Board determined that the Adviser’s fee was fair and reasonable.
In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator, custodian and transfer agent. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements in connection with the Portfolio’s brokerage transactions to obtain third-party (non-proprietary research) services. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fee excessive.
The Trustees also considered the extent to which economies of scale may be realized by the Portfolio as assets grow and whether the Portfolio’s fee level reflects such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent economies of scale were in fact realized, such economies of scale were shared with the Portfolio by virtue of an advisory fee of a comparatively low level that subsumed economies of scale in the fee itself. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.
On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees decided to approve the continuance of the Advisory Agreement.
46
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Trustees and Executive Officers (Unaudited)
The table below includes information about the Trustees and Executive Officers of the State Street Master Funds, including their:
• | business addresses and ages; | ||
• | principal occupations during the past five years; and | ||
• | other directorships of publicly traded companies or funds. |
Number of | ||||||||||||
Funds in Fund | ||||||||||||
Name, Address, | Position(s) | Term of Office | Principal | Complex | ||||||||
and Date of Birth | Held with | and Length of | Occupation During | Overseen by | Other Directorships | |||||||
(“DOB”) | Trust | Time Served | Past Five Years | Trustee* | Held by Trustee | |||||||
Independent Trustees | ||||||||||||
Michael F. Holland | Trustee and | Term: Indefinite | Chairman, Holland & | 22 | Trustee, State Street | |||||||
Holland & Company, | Chairman | Elected: 7/99 | Company L.L.C. | Institutional Investment | ||||||||
LLC | of the | (investment adviser) | Trust; Director, the | |||||||||
375 Park Avenue | Board | (1995 — present). | Holland Series Fund, | |||||||||
New York, NY 10152 | Inc.; Director, The China | |||||||||||
Fund, Inc.; Director, The | ||||||||||||
DOB: 1944 | Taiwan Fund, Inc.; and | |||||||||||
Director, Reaves Utility | ||||||||||||
Income Fund | ||||||||||||
William L. Boyan | Trustee | Term: Indefinite | President and Chief | 22 | Trustee, State Street | |||||||
State Street Master | Elected: 7/99 | Operations Officer, John | Institutional Investment | |||||||||
Funds | Hancock Financial | Trust; Former Trustee of | ||||||||||
P.O. Box 5049 | Services (1959 — 1999) | Old Mutual South Africa | ||||||||||
Boston, MA 02206 | Mr. Boyan retired in | Master Trust; Trustee, | ||||||||||
1999. Chairman | Children’s Hospital, | |||||||||||
DOB: 1937 | Emeritus, Children’s | Boston, MA; and | ||||||||||
Hospital, Boston, MA | Trustee, Florida Stage. | |||||||||||
(1984 — present); Former | ||||||||||||
Trustee of Old Mutual | ||||||||||||
South Africa Master | ||||||||||||
Trust (investments) | ||||||||||||
(1995 — 2008); Former | ||||||||||||
Chairman, Boston Plan | ||||||||||||
For Excellence, Boston | ||||||||||||
Public Schools (1994 — | ||||||||||||
2008). | ||||||||||||
Rina K. Spence | Trustee | Term: Indefinite | President of SpenceCare | 22 | Trustee, State Street | |||||||
State Street Master | Elected: 7/99 | International LLC | Institutional Investment | |||||||||
Funds | (international healthcare | Trust; Director, | ||||||||||
P.O. Box 5049 | consulting) (1998 — | Berkshire Life Insurance | ||||||||||
Boston, MA 02206 | present); Chief | Company of America | ||||||||||
Executive Officer, | 1993 — 2009; Director, | |||||||||||
DOB: 1948 | IEmily.com (internet | IEmily.com, Inc. 2000 — | ||||||||||
company) (2000 — 2001); | present; and Trustee, | |||||||||||
Chief Executive Officer | National Osteoporosis | |||||||||||
of Consensus | Foundation 2005 — 2008 | |||||||||||
Pharmaceutical, Inc. | ||||||||||||
(1998 — 1999); Founder, | ||||||||||||
President and Chief | ||||||||||||
Executive Officer of | ||||||||||||
Spence Center for | ||||||||||||
Women’s Health (1994 — | ||||||||||||
1998); President and | ||||||||||||
CEO Emerson Hospital | ||||||||||||
(1984 — 1994); Trustee, | ||||||||||||
Eastern Enterprise | ||||||||||||
(utilities) (1988 — 2000). | ||||||||||||
Douglas T. Williams | Trustee | Term: Indefinite | Executive Vice President | 22 | Trustee, State Street | |||||||
State Street Master | Elected: 7/99 | of Chase Manhattan | Institutional Investment | |||||||||
Funds | Bank (1987 — 1999). | Trust; Treasurer, | ||||||||||
P.O. Box 5049 | Mr. Williams retired in | Nantucket Educational | ||||||||||
Boston, MA 02206 | 1999. | Trust, 2002-2007 | ||||||||||
DOB: 1940 |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust. |
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Number of | ||||||||||||
Funds in Fund | ||||||||||||
Name, Address, | Position(s) | Term of Office | Principal | Complex | ||||||||
and Date of Birth | Held with | and Length of | Occupation During | Overseen by | Other Directorships | |||||||
(“DOB”) | Trust | Time Served | Past Five Years | Trustee* | Held by Trustee | |||||||
Interested Trustees(1) | ||||||||||||
James E. Ross | Trustee | Term: Indefinite | President, SSgA Funds | 22 | Trustee, State Street | |||||||
SSgA Funds | President | Elected Trustee: 2/07 | Management Inc. | Institutional Investment | ||||||||
Management, Inc. | Elected President: 4/05 | (2005 — present); | Trust;Trustee, SPDR@ | |||||||||
State Street Financial | Principal, SSgA Funds | Series Trust; Trustee, | ||||||||||
Center | Management, Inc. | SPDR@ Index Shares | ||||||||||
One Lincoln Street | (2001 — 2005); Senior | Trust and Trustee, | ||||||||||
Boston, MA 02111-2900 | Managing Director, | Select Sector SPDR@ | ||||||||||
State Street Global | Trust | |||||||||||
DOB: 1965 | Advisors (2006 — | |||||||||||
present); Principal, State | ||||||||||||
Street Global Advisors | ||||||||||||
(2000 — 2006). | ||||||||||||
Officers: | ||||||||||||
Ellen M. Needham | Vice | Term: Indefinite | Vice President, SSgA | — | — | |||||||
SSgA Funds | President | Elected: 09/09 | Funds Management, Inc. | |||||||||
Management, Inc. | (investment adviser); | |||||||||||
State Street Financial Center | July 2007 to Present, | |||||||||||
Managing Director | ||||||||||||
One Lincoln Street | (June 2006 to July 2007, | |||||||||||
Boston, MA 02111-2900 | Vice President; 2000 to | |||||||||||
June 2006, Principal), | ||||||||||||
DOB: 1967 | State Street Global | |||||||||||
Advisors. | ||||||||||||
Laura F. Healy | Treasurer | Term: Indefinite | Vice President of State | — | — | |||||||
State Street Bank and | Elected: 11/10 | Street Bank and Trust | ||||||||||
Trust Company | Company (prior to | |||||||||||
4 Copley Place | Assistant | 11/08-11/10 | July 2, 2008, Investors | |||||||||
5th floor | Treasurer | Financial Corporation) | ||||||||||
Boston, MA 02116 | since 2002. | |||||||||||
DOB: 1964 | ||||||||||||
Brian D. O’Sullivan | Assistant | Term: Indefinite | Vice President of State | — | — | |||||||
State Street Bank and | Treasurer | Elected: 11/08 | Street Bank and Trust | |||||||||
Trust Company | Company (2007 — | |||||||||||
801 Pennsylvania | present) with which he | |||||||||||
Avenue | has been affiliated with | |||||||||||
Kansas City, MO 64105 | since 1997. | |||||||||||
DOB: 1975 | ||||||||||||
Peter T. Sattelmair | Assistant | Term: Indefinite | Director of Fund | — | — | |||||||
State Street Bank and | Treasurer | Elected: 11/08 | Administration of State | |||||||||
Trust Company | Street Bank and Trust | |||||||||||
801 Pennsylvania | Company (2007 — | |||||||||||
Avenue | present) with which he | |||||||||||
Kansas City, MO 64105 | has been affiliated with | |||||||||||
since 1999. | ||||||||||||
DOB: 1977 |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust. | |
(1) | Mr. Ross is an Interested Trustee because of his employment by SSgA Funds Management, Inc., an affiliate of the Trust. |
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Table of Contents
Schedule of Investments December 31, 2010 | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Advertising Agencies — 0.7% | ||||||||
Arbitron, Inc. | 7,513 | $ | 311,940 | |||||
Constant Contact, Inc. (a)(b) | 8,097 | 250,926 | ||||||
DG FastChannel, Inc. (a) | 7,091 | 204,788 | ||||||
Dex One Corp. (a) | 14,899 | 111,146 | ||||||
Harte-Hanks, Inc. | 10,630 | 135,745 | ||||||
Marchex, Inc., Class B | 5,365 | 51,182 | ||||||
National CineMedia, Inc. | 14,960 | 297,853 | ||||||
QuinStreet, Inc. (a) | 3,194 | 61,357 | ||||||
SuperMedia, Inc. (a) | 3,269 | 28,473 | ||||||
Travelzoo, Inc. (a) | 1,535 | 63,273 | ||||||
Valassis Communications, Inc. (a) | 13,914 | 450,118 | ||||||
ValueClick, Inc. (a) | 23,023 | 369,059 | ||||||
Viad Corp. | 5,643 | 143,727 | ||||||
2,479,587 | ||||||||
Aerospace — 1.4% | ||||||||
AAR Corp. (a) | 11,002 | 302,225 | ||||||
AeroVironment, Inc. (a) | 4,483 | 120,279 | ||||||
Applied Energetics, Inc. (a) | 19,880 | 16,916 | ||||||
Astronics Corp. (a) | 2,803 | 58,863 | ||||||
Ceradyne, Inc. (a) | 7,101 | 223,895 | ||||||
Cubic Corp. | 4,314 | 203,405 | ||||||
Curtiss-Wright Corp. | 12,650 | 419,980 | ||||||
Ducommun, Inc. | 2,779 | 60,527 | ||||||
Esterline Technologies Corp. (a) | 8,237 | 564,976 | ||||||
GenCorp, Inc. (a) | 17,241 | 89,136 | ||||||
Heico Corp. | 8,126 | 414,670 | ||||||
Herley Industries, Inc. (a) | 3,601 | 62,369 | ||||||
Kaman Corp., Class A | 7,307 | 212,414 | ||||||
Kratos Defense & Security Solutions, Inc. (a) | 5,735 | 75,530 | ||||||
LMI Aerospace, Inc. (a) | 2,864 | 45,795 | ||||||
Ladish Co., Inc. (a) | 4,397 | 213,738 | ||||||
Moog, Inc., Class A (a) | 12,575 | 500,485 | ||||||
Orbital Sciences Corp. (a) | 16,177 | 277,112 | ||||||
Teledyne Technologies, Inc. (a) | 9,978 | 438,733 | ||||||
Triumph Group, Inc. | 4,544 | 406,279 | ||||||
4,707,327 | ||||||||
Agriculture, Fishing & Ranching — 0.4% | ||||||||
The Andersons, Inc. | 5,228 | 190,038 | ||||||
Cadiz, Inc. (a) | 4,456 | 55,433 | ||||||
Cal-Maine Foods, Inc. | 3,927 | 124,015 | ||||||
Calavo Growers, Inc. | 3,311 | 76,318 | ||||||
Fresh Del Monte Produce, Inc. | 10,928 | 272,654 | ||||||
Limoneira Co. | 2,283 | 65,522 | ||||||
Pilgrims Pride Corp. (a) | 14,134 | 100,210 | ||||||
Sanderson Farms, Inc. | 6,201 | 242,769 | ||||||
Seaboard Corp. | 91 | 181,181 | ||||||
1,308,140 | ||||||||
Air Transport — 1.0% | ||||||||
Air Transport Services Group, Inc. (a) | 15,195 | 120,040 | ||||||
AirTran Holdings, Inc. (a) | 38,092 | 281,500 | ||||||
Alaska Air Group, Inc. (a) | 9,872 | 559,644 | ||||||
Allegiant Travel Co. | 4,241 | 208,827 | ||||||
Atlas Air Worldwide Holdings, Inc. (a) | 7,189 | 401,362 | ||||||
Bristow Group, Inc. (a) | 10,014 | 474,163 | ||||||
Hawaiian Holdings, Inc. (a) | 14,090 | 110,465 | ||||||
JetBlue Airways Corp. (a) | 68,311 | 451,536 | ||||||
PHI, Inc. (a) | 4,094 | 77,131 | ||||||
Pinnacle Airlines Corp. (a) | 5,107 | 40,345 | ||||||
Republic Airways Holdings, Inc. (a) | 11,165 | 81,728 | ||||||
SkyWest, Inc. | 15,379 | 240,220 | ||||||
US Airways Group, Inc. (a)(b) | 44,916 | 449,609 | ||||||
3,496,570 | ||||||||
Alternative Energy — 0.2% | ||||||||
Ameresco Inc. (a) | 2,197 | 31,549 | ||||||
Comverge, Inc. (a) | 7,712 | 53,290 | ||||||
EnerNOC, Inc. (a)(b) | 5,401 | 129,138 | ||||||
Green Plains Renewable Energy (a) | 5,005 | 56,356 | ||||||
Rex American Resources Corp. (a) | 1,997 | 30,674 | ||||||
Syntroleum Corp. (a) | 19,188 | 35,498 | ||||||
USEC, Inc. (a) | 32,263 | 194,223 | ||||||
530,728 | ||||||||
Aluminum — 0.2% | ||||||||
Century Aluminum Co. (a) | 17,538 | 272,365 | ||||||
Kaiser Aluminum Corp. | 4,291 | 214,936 | ||||||
Noranda Aluminum Holding Corp. (a) | 3,773 | 55,086 | ||||||
542,387 | ||||||||
Asset Management & Custodian — 0.9% | ||||||||
American Capital Ltd. (a) | 94,558 | 714,859 | ||||||
Apollo Investment Corp. | 54,856 | 607,256 | ||||||
Arlington Asset Investment Corp. | 1,873 | 44,933 | ||||||
Artio Global Investors, Inc. | 7,719 | 113,855 | ||||||
Calamos Asset Management, Inc., Class A | 5,728 | 80,192 | ||||||
Capital Southwest Corp. | 756 | 78,473 | ||||||
Cohen & Steers, Inc. | 5,021 | 131,048 | ||||||
Cowen Group, Inc., Class A (a) | 11,601 | 54,061 | ||||||
Diamond Hill Investments Group | 641 | 46,370 | ||||||
Epoch Holding Corp. | 3,651 | 56,700 | ||||||
Fifth Street Finance Corp. | 15,310 | 185,863 | ||||||
Financial Engines, Inc. (a) | 3,875 | 76,841 | ||||||
GAMCO Investors, Inc., Class A | 2,015 | 96,740 | ||||||
Golub Capital BDC, Inc. | 1,924 | 32,939 | ||||||
Harris & Harris Group, Inc. (a) | 8,451 | 37,015 | ||||||
JMP Group, Inc. | 3,753 | 28,635 | ||||||
MCG Capital Corp. | 21,011 | 146,447 | ||||||
MVC Capital, Inc. | 7,075 | 103,295 | ||||||
NGP Capital Resources Co. | 6,745 | 62,054 | ||||||
National Financial Partners Corp. (a) | 12,254 | 164,204 | ||||||
Oppenheimer Holdings, Inc. | 3,115 | 81,644 | ||||||
THL Credit, Inc. | 3,221 | 41,905 | ||||||
TICC Capital Corp. | 8,093 | 90,723 | ||||||
Virtus Investment Partners, Inc. (a) | 1,484 | 67,329 | ||||||
Westwood Holdings Group, Inc. | 1,777 | 71,009 | ||||||
3,214,390 | ||||||||
Auto Parts — 0.9% | ||||||||
American Axle & Manufacturing Holdings, Inc. (a) | 16,725 | 215,084 | ||||||
Amerigon, Inc. (a) | 6,524 | 70,981 | ||||||
ArvinMeritor, Inc. (a) | 26,179 | 537,193 | ||||||
Dana Holding Corp. (a) | 39,026 | 671,638 | ||||||
Dorman Products, Inc. (a) | 3,071 | 111,293 | ||||||
Exide Technologies (a) | 20,978 | 197,403 | ||||||
Fuel Systems Solutions, Inc. (a) | 4,164 | 122,338 | ||||||
Standard Motor Products, Inc. | 5,702 | 78,117 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
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Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Auto Parts (concluded) | ||||||||
Stoneridge, Inc. (a) | 4,113 | $ | 64,944 | |||||
Superior Industries International, Inc. | 6,596 | 139,967 | ||||||
Tenneco, Inc. (a) | 16,623 | 684,203 | ||||||
U.S. Auto Parts Network, Inc. (a) | 4,614 | 38,758 | ||||||
2,931,919 | ||||||||
Auto Services — 0.1% | ||||||||
Cooper Tire & Rubber Co. | 17,075 | 402,629 | ||||||
Back Office Support, HR & Consulting — 1.4% | ||||||||
APAC Customer Services, Inc. (a) | 9,849 | 59,783 | ||||||
Administaff, Inc. | 6,161 | 180,517 | ||||||
The Advisory Board Co. (a) | 4,373 | 208,286 | ||||||
Barrett Business Services, Inc. | 2,009 | 31,240 | ||||||
CBIZ, Inc. (a) | 12,599 | 78,618 | ||||||
CDI Corp. | 3,841 | 71,404 | ||||||
CRA International, Inc. (a) | 3,524 | 82,849 | ||||||
Compass Diversified Holdings | 8,945 | 158,237 | ||||||
Corporate Executive Board Co. | 9,581 | 359,767 | ||||||
CoStar Group, Inc. (a) | 5,837 | 335,978 | ||||||
Dice Holdings, Inc. (a) | 4,311 | 61,863 | ||||||
ExlService Holdings, Inc. (a) | 4,519 | 97,068 | ||||||
Forrester Research, Inc. | 3,965 | 139,925 | ||||||
GP Strategies Corp. (a) | 4,255 | 43,571 | ||||||
Heidrick & Struggles International, Inc. | 5,160 | 147,834 | ||||||
Hudson Highland Group, Inc. (a) | 8,669 | 50,540 | ||||||
Huron Consulting Group, Inc. (a) | 6,044 | 159,864 | ||||||
ICF International, Inc. (a) | 4,738 | 121,861 | ||||||
Kelly Services, Inc., Class A (a) | 7,463 | 140,304 | ||||||
Kforce, Inc. (a) | 8,450 | 136,721 | ||||||
Korn/Ferry International (a) | 12,668 | 292,758 | ||||||
LECG Corp. (a) | 9,818 | 13,549 | ||||||
Liquidity Services, Inc. (a) | 4,302 | 60,443 | ||||||
LoopNet, Inc. (a) | 5,965 | 66,271 | ||||||
MAXIMUS, Inc. | 4,877 | 319,834 | ||||||
Navigant Consulting, Inc. (a) | 13,829 | 127,227 | ||||||
On Assignment, Inc. (a) | 11,218 | 91,427 | ||||||
Resources Connection, Inc. | 13,167 | 244,775 | ||||||
SFN Group, Inc. (a) | 14,612 | 142,613 | ||||||
SYKES Enterprises, Inc. (a) | 11,714 | 237,326 | ||||||
TeleTech Holdings, Inc. (a) | 8,626 | 177,609 | ||||||
TrueBlue, Inc. (a) | 12,456 | 224,083 | ||||||
Volt Information Sciences, Inc. (a) | 4,122 | 35,655 | ||||||
4,699,800 | ||||||||
Banks: Diversified — 5.7% | ||||||||
1st Source Corp. | 4,534 | 91,768 | ||||||
1st United BanCorp., Inc. (a) | 5,635 | 38,938 | ||||||
Alliance Financial Corp. | 1,273 | 41,182 | ||||||
American National Bankshares, Inc. | 1,631 | 38,410 | ||||||
Ameris Bancorp (a) | 7,512 | 79,176 | ||||||
Ames National Corp. | 2,078 | 45,030 | ||||||
Arrow Financial Corp. | 2,576 | 70,866 | ||||||
Bancfirst Corp. | 1,916 | 78,920 | ||||||
Banco Latinoamericana De Comercio Exterior SA | 7,907 | 145,963 | ||||||
The Bancorp, Inc. (a) | 7,011 | 71,302 | ||||||
Bancorp Rhode Island, Inc. | 941 | 27,374 | ||||||
Bank of Marin Bancorp | 1,409 | 49,315 | ||||||
Bank of the Ozarks, Inc. | 3,448 | 149,471 | ||||||
Boston Private Financial Holdings, Inc. | 21,149 | 138,526 | ||||||
Bridge Bancorp, Inc. | 1,661 | 40,944 | ||||||
Bryn Mawr Bank Corp. | 2,485 | 43,363 | ||||||
CNB Financial Corp. | 3,286 | 48,666 | ||||||
CVB Financial Corp. (b) | 25,322 | 219,542 | ||||||
Camden National Corp. | 2,338 | 84,706 | ||||||
Capital City Bank Group, Inc. (b) | 4,028 | 50,753 | ||||||
Cardinal Financial Corp. | 8,760 | 101,879 | ||||||
Cathay General Bancorp | 22,030 | 367,901 | ||||||
Center Financial Corp. (a) | 11,411 | 86,495 | ||||||
Centerstate Banks, Inc. | 6,720 | 53,222 | ||||||
Chemical Financial Corp. | 6,973 | 154,452 | ||||||
Citizens & Northern Corp. | 3,883 | 57,701 | ||||||
Citizens Banking Corp. (a) | 119,962 | 73,777 | ||||||
City Holding Co. | 4,426 | 160,354 | ||||||
CoBiz Financial, Inc. | 8,417 | 51,175 | ||||||
Columbia Banking System, Inc. | 11,079 | 233,324 | ||||||
Community Bank System, Inc. | 9,024 | 250,596 | ||||||
Community Trust Bancorp, Inc. | 3,810 | 110,338 | ||||||
Danvers Bancorp, Inc. | 5,535 | 97,803 | ||||||
Eagle Bancorp, Inc. (a) | 4,253 | 61,371 | ||||||
Enterprise Financial Services Corp. | 5,009 | 52,394 | ||||||
F.N.B. Corp. | 32,065 | 314,878 | ||||||
Financial Institutions, Inc. | 3,012 | 57,138 | ||||||
First Bancorp, Inc. | 2,554 | 40,328 | ||||||
First Bancorp, North Carolina | 4,541 | 69,523 | ||||||
First Busey Corp. (b) | 16,782 | 78,875 | ||||||
First Commonwealth Financial Corp. | 29,581 | 209,433 | ||||||
First Community Bancshares, Inc. | 4,244 | 63,405 | ||||||
First Financial Bancorp | 16,288 | 301,002 | ||||||
First Financial Bankshares, Inc. | 5,711 | 292,289 | ||||||
First Financial Corp. | 3,157 | 110,937 | ||||||
First Merchants Corp. | 6,818 | 60,407 | ||||||
First Midwest Bancorp, Inc. | 21,086 | 242,911 | ||||||
The First of Long Island Corp. | 1,762 | 50,939 | ||||||
First South Bancorp, Inc. | 2,370 | 15,334 | ||||||
FirstMerit Corp. | 29,779 | 589,326 | ||||||
German American Bancorp, Inc. | 2,966 | 54,619 | ||||||
Glacier Bancorp, Inc. | 20,151 | 304,482 | ||||||
Greene County Bancshares, Inc. (a) | 2,897 | 9,270 | ||||||
Hancock Holding Co. | 7,954 | 277,276 | ||||||
Heartland Financial USA, Inc. | 4,147 | 72,407 | ||||||
Home Bancshares, Inc. | 6,370 | 140,331 | ||||||
Hudson Valley Holding Corp. | 3,941 | 97,569 | ||||||
IBERIABANK Corp. | 7,356 | 434,960 | ||||||
International Bancshares Corp. | 14,921 | 298,868 | ||||||
Investors Bancorp, Inc. (a) | 13,630 | 178,826 | ||||||
Lakeland Bancorp, Inc. | 6,402 | 70,230 | ||||||
Lakeland Financial Corp. | 4,784 | 102,665 | ||||||
MA Independent Bank Corp. | 5,778 | 156,295 | ||||||
MB Financial, Inc. | 15,086 | 261,290 | ||||||
MT First Interstate Bancsystem, Inc. | 4,065 | 61,951 | ||||||
MainSource Financial Group, Inc. | 6,639 | 69,112 | ||||||
Merchants Bancshares, Inc. | 1,312 | 36,159 | ||||||
Meridian Interstate Bancorp, Inc. (a) | 2,629 | 30,996 | ||||||
Metro Bancorp, Inc. (a) | 3,702 | 40,759 | ||||||
Midsouth Bancorp, Inc. | 2,164 | 33,239 | ||||||
NBT Bancorp, Inc. | 9,661 | 233,313 | ||||||
Nara Bancorp, Inc. (a) | 10,670 | 104,779 | ||||||
National Bankshares, Inc. | 1,803 | 56,776 | ||||||
National Penn Bancshares, Inc. | 35,969 | 288,831 | ||||||
Old National Bancorp | 24,002 | 285,384 | ||||||
Oriental Financial Group | 13,280 | 165,867 | ||||||
Orrstown Financial Service, Inc. | 1,867 | 51,174 | ||||||
Pacific Continental Corp. | 6,216 | 62,533 | ||||||
PacWest Bancorp | 8,404 | 179,678 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
50
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Banks: Diversified (concluded) | ||||||||
Park National Corp. (b) | 3,457 | $ | 251,220 | |||||
Peapack-Gladstone Financial Corp. | 2,357 | 30,759 | ||||||
Penns Woods Bancorp, Inc. | 1,114 | 44,337 | ||||||
Peoples Bancorp, Inc. | 2,840 | 44,446 | ||||||
Pinnacle Financial Partners, Inc. (a) | 9,935 | 134,917 | ||||||
PrivateBancorp, Inc. | 14,856 | 213,629 | ||||||
Prosperity Bancshares, Inc. | 12,899 | 506,673 | ||||||
Provident Financial Services, Inc. | 16,891 | 255,561 | ||||||
Renasant Corp. | 7,002 | 118,404 | ||||||
Republic Bancorp, Inc., Class A | 3,034 | 72,057 | ||||||
Rockville Financial, Inc. | 2,246 | 27,446 | ||||||
Roma Financial Corp. | 2,249 | 23,839 | ||||||
S&T Bancorp, Inc. (b) | 6,761 | 152,731 | ||||||
SCBT Financial Corp. | 3,549 | 116,230 | ||||||
SVB Financial Group (a) | 11,524 | 611,348 | ||||||
SY Bancorp, Inc. | 3,578 | 87,840 | ||||||
Sandy Spring Bancorp, Inc. | 6,732 | 124,071 | ||||||
Sierra Bancorp | 3,790 | 40,667 | ||||||
Signature Bank (a) | 11,244 | 562,200 | ||||||
Simmons First National Corp., Class A | 4,661 | 132,838 | ||||||
Southside Bancshares, Inc. | 4,240 | 89,337 | ||||||
Southwest Bancorp, Inc. (a) | 6,006 | 74,474 | ||||||
State Bancorp, Inc. | 5,482 | 50,708 | ||||||
StellarOne Corp. | 6,915 | 100,544 | ||||||
Sterling Bancorp | 7,118 | 74,525 | ||||||
Sterling Bancshares, Inc. | 24,928 | 174,995 | ||||||
Suffolk Bancorp | 2,560 | 63,181 | ||||||
Susquehanna Bancshares, Inc. | 35,570 | 344,318 | ||||||
Taylor Capital Group, Inc. (a) | 2,613 | 34,361 | ||||||
Texas Capital Bancshares, Inc. (a) | 10,251 | 218,039 | ||||||
Tompkins Trustco, Inc. | 2,287 | 89,559 | ||||||
Tower Bancorp, Inc. | 2,586 | 56,995 | ||||||
Towne Bank (b) | 6,578 | 104,524 | ||||||
Trico Bancshares | 3,626 | 58,560 | ||||||
TrustCo Bank Corp. NY | 21,337 | 135,277 | ||||||
Trustmark Corp. | 17,528 | 435,396 | ||||||
UMB Financial Corp. | 8,668 | 359,029 | ||||||
Umpqua Holdings Corp. | 31,483 | 383,463 | ||||||
Union First Market Bankshares Corp. | 5,403 | 79,856 | ||||||
United Bankshares, Inc. | 10,919 | 318,835 | ||||||
United Community Banks, Inc. (a) | 31,060 | 60,567 | ||||||
Univest Corp. of Pennsylvania | 4,951 | 94,911 | ||||||
Virginia Commerce Bancorp (a) | 5,599 | 34,602 | ||||||
Washington Banking Co. | 3,981 | 54,579 | ||||||
Washington Trust Bancorp, Inc. | 4,328 | 94,697 | ||||||
Webster Financial Corp. | 18,376 | 362,007 | ||||||
WesBanco, Inc. | 6,580 | 124,757 | ||||||
West Bancorp., Inc. | 4,227 | 32,928 | ||||||
West Coast Bancorp (a) | 24,788 | 69,902 | ||||||
Westamerica Bancorp. (b) | 7,958 | 441,430 | ||||||
Western Alliance Bancorp (a) | 18,035 | 132,738 | ||||||
Whitney Holding Corp. | 27,199 | 384,866 | ||||||
Wilshire Bancorp, Inc. | 5,264 | 40,112 | ||||||
Wintrust Financial Corp. | 8,503 | 280,854 | ||||||
19,129,500 | ||||||||
Banks: Savings, Thrift & Mortgage Lending — 1.0% | ||||||||
Abington Bancorp, Inc. | 5,676 | 67,715 | ||||||
Astoria Financial Corp. | 24,131 | 335,662 | ||||||
Bank Mutual Corp. | 12,544 | 59,960 | ||||||
BankFinancial Corp. | 5,050 | 49,238 | ||||||
Beneficial Mutual Bancorp, Inc. (a) | 10,634 | 93,898 | ||||||
Berkshire Hills Bancorp, Inc. | 4,256 | 94,058 | ||||||
BofI Holding, Inc. (a) | 1,803 | 27,965 | ||||||
Brookline Bancorp, Inc. | 15,960 | 173,166 | ||||||
Dime Community Bancshares, Inc. | 7,846 | 114,473 | ||||||
ESB Financial Corp. | 2,554 | 41,477 | ||||||
ESSA Bancorp, Inc. | 4,575 | 60,482 | ||||||
First Financial Holdings, Inc. | 5,653 | 65,066 | ||||||
Flagstar BanCorp., Inc. (a) | 11,589 | 18,890 | ||||||
Flushing Financial Corp. | 9,115 | 127,610 | ||||||
Great Southern Bancorp, Inc. | 2,691 | 63,481 | ||||||
Heritage Financial Corp. (a) | 2,621 | 36,484 | ||||||
Home Bancorp, Inc. (a) | 2,132 | 29,464 | ||||||
Home Federal Bancorp, Inc. | 4,516 | 55,411 | ||||||
Kearny Financial Corp. | 3,744 | 32,198 | ||||||
NewAlliance Bancshares, Inc. | 29,184 | 437,176 | ||||||
Northfield Bancorp, Inc. | 5,634 | 75,045 | ||||||
Northwest Bancshares, Inc. | 30,938 | 363,831 | ||||||
OceanFirst Financial Corp. | 5,261 | 67,709 | ||||||
Ocwen Financial Corp. (a) | 20,860 | 199,004 | ||||||
OmniAmerican Bancorp, Inc. (a) | 4,232 | 57,344 | ||||||
Oritani Financial Corp. | 15,172 | 185,705 | ||||||
Provident New York Bancorp | 11,601 | 121,694 | ||||||
Territorial BanCorp., Inc. | 3,203 | 63,772 | ||||||
United Financial Bancorp, Inc. | 5,324 | 81,297 | ||||||
ViewPoint Financial Group | 3,964 | 46,339 | ||||||
WSFS Financial Corp. | 1,549 | 73,485 | ||||||
Westfield Financial, Inc. | 8,079 | 74,731 | ||||||
3,393,830 | ||||||||
Beverage: Brewers & Distillers — 0.1% | ||||||||
Boston Beer Co., Inc., Class A (a) | 2,361 | 224,507 | ||||||
Beverage: Soft Drinks — 0.1% | ||||||||
Coca-Cola Bottling Co. Consolidated | 1,262 | 70,142 | ||||||
Farmer Bros. Co. | 2,052 | 36,526 | ||||||
Heckmann Corp. (a) | 24,875 | 125,121 | ||||||
National Beverage Corp. | 3,583 | 47,081 | ||||||
Peet’s Coffee & Tea, Inc. (a) | 3,198 | 133,484 | ||||||
412,354 | ||||||||
Biotechnology — 3.4% | ||||||||
AMAG Pharmaceuticals, Inc. (a) | 5,804 | 105,052 | ||||||
AVEO Pharmaceuticals Inc. (a) | 3,059 | 44,723 | ||||||
AVI BioPharma, Inc. (a) | 29,393 | 62,313 | ||||||
Accelrys, Inc. (a) | 15,873 | 131,746 | ||||||
Acorda Therapeutics, Inc. (a) | 10,646 | 290,210 | ||||||
Affymax, Inc. (a) | 5,315 | 35,345 | ||||||
Albany Molecular Research, Inc. (a) | 5,877 | 33,029 | ||||||
Allos Therapeutics, Inc. (a) | 23,553 | 108,579 | ||||||
Alnylam Pharmaceuticals, Inc. (a) | 10,297 | 101,528 | ||||||
Arena Pharmaceuticals, Inc. (a)(b) | 34,831 | 59,909 | ||||||
Ariad Pharmaceuticals, Inc. (a) | 35,601 | 181,565 | ||||||
Arqule, Inc. (a) | 11,067 | 64,963 | ||||||
Array Biopharma, Inc. (a) | 17,537 | 52,436 | ||||||
BioMimetic Therapeutics, Inc. (a) | 5,479 | 69,583 | ||||||
Biosante Pharmaceuticals, Inc. (a) | 25,188 | 41,308 | ||||||
Biotime, Inc. (a) | 7,035 | 58,602 | ||||||
Celera Corp. (a) | 22,818 | 143,753 | ||||||
Celldex Therapeutics, Inc. (a) | 8,602 | 35,440 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
51
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Biotechnology (continued) | ||||||||
Cepheid, Inc. (a) | 16,669 | $ | 379,220 | |||||
Chelsea Therapeutics International, Inc. (a) | 11,224 | 84,180 | ||||||
Clinical Data, Inc. (a) | 3,426 | 54,508 | ||||||
Codexis Inc. (a) | 3,408 | 36,130 | ||||||
Cubist Pharmaceuticals, Inc. (a) | 15,967 | 341,694 | ||||||
Curis, Inc. (a) | 25,136 | 49,769 | ||||||
Cypress Bioscience, Inc. (a) | 12,458 | 80,728 | ||||||
Cytokinetics, Inc. (a) | 12,738 | 26,622 | ||||||
Cytori Therapeutics, Inc. (a) | 13,585 | 70,506 | ||||||
CytRx Corp. (a) | 37,640 | 38,016 | ||||||
Dyax Corp. (a) | 29,631 | 63,410 | ||||||
Dynavax Technologies Corp. (a) | 26,944 | 86,221 | ||||||
Emergent Biosolutions, Inc. (a) | 5,490 | 128,795 | ||||||
Enzo Biochem, Inc. (a) | 9,003 | 47,536 | ||||||
Enzon Pharmaceuticals, Inc. (a) | 13,516 | 164,490 | ||||||
Exact Sciences Corp. (a) | 12,583 | 75,246 | ||||||
Exelixis, Inc. (a) | 31,077 | 255,142 | ||||||
Furiex Pharmaceuticals, Inc. (a) | 3,523 | 50,907 | ||||||
Genomic Health, Inc. (a) | 4,274 | 91,421 | ||||||
Geron Corp. (a)(b) | 32,882 | 170,000 | ||||||
Halozyme Therapeutics, Inc. (a) | 21,215 | 168,023 | ||||||
Idenix Pharmaceuticals, Inc. (a) | 10,319 | 52,008 | ||||||
ImmunoGen, Inc. (a) | 18,480 | 171,125 | ||||||
Immunomedics, Inc. (a) | 18,022 | 64,519 | ||||||
Incyte Corp. (a) | 24,787 | 410,473 | ||||||
Inhibitex, Inc. (a) | 12,947 | 33,662 | ||||||
Inovio Pharmaceuticals Inc. (a) | 21,433 | 24,648 | ||||||
InterMune, Inc. (a) | 13,045 | 474,838 | ||||||
Kensey Nash Corp. (a) | 1,854 | 51,597 | ||||||
Keryx Biopharmaceuticals, Inc. (a) | 14,942 | 68,434 | ||||||
Lexicon Genetics, Inc. (a) | 59,551 | 85,753 | ||||||
Ligand Pharmaceuticals, Inc. (a) | 6,858 | 61,173 | ||||||
MannKind Corp. (a)(b) | 18,293 | 147,442 | ||||||
Martek Biosciences Corp. (a) | 9,345 | 292,498 | ||||||
Maxygen, Inc. | 10,364 | 40,731 | ||||||
Medivation, Inc. (a) | 10,059 | 152,595 | ||||||
Metabolix, Inc. (a) | 7,956 | 96,825 | ||||||
Micromet, Inc. (a) | 24,767 | 201,108 | ||||||
Momenta Pharmaceuticals, Inc. (a) | 12,174 | 182,245 | ||||||
NPS Pharmaceuticals, Inc. (a) | 18,637 | 147,232 | ||||||
Nabi Biopharmaceuticals (a) | 11,908 | 68,947 | ||||||
Nektar Therapeutics (a) | 26,237 | 337,145 | ||||||
Neuralstem, Inc. (a) | 15,917 | 33,744 | ||||||
Neurocrine Biosciences, Inc. (a) | 13,998 | 106,945 | ||||||
Neurogesx, Inc. (a) | 4,216 | 26,814 | ||||||
Novavax, Inc. (a) | 28,284 | 68,730 | ||||||
Omeros Corp. (a) | 6,567 | 54,112 | ||||||
Onyx Pharmaceuticals, Inc. (a) | 17,542 | 646,774 | ||||||
Opko Health, Inc. (a) | 26,181 | 96,084 | ||||||
Orexigen Therapeutics, Inc. (a) | 9,144 | 73,884 | ||||||
Osiris Therapeutics, Inc. (a) | 4,623 | 36,013 | ||||||
PDL BioPharma, Inc. | 39,526 | 246,247 | ||||||
Pacific Biosciences of California, Inc. (a) | 4,226 | 67,236 | ||||||
Peregrine Pharmaceuticals, Inc. (a) | 20,894 | 48,056 | ||||||
Pharmasset, Inc. (a) | 8,256 | 358,393 | ||||||
Progenics Pharmaceuticals, Inc. (a) | 7,728 | 42,195 | ||||||
Pure Bioscience (a) | 9,330 | 20,713 | ||||||
RTI Biologics, Inc. (a) | 14,802 | 39,521 | ||||||
Rigel Pharmaceuticals, Inc. (a) | 14,492 | 109,125 | ||||||
Sangamo Biosciences, Inc. (a) | 12,393 | 82,290 | ||||||
Savient Pharmaceuticals, Inc. (a) | 19,100 | 212,774 | ||||||
Seattle Genetics, Inc. (a) | 23,588 | 352,641 | ||||||
Sequenom, Inc. (a) | 25,712 | 206,210 | ||||||
StemCells, Inc. (a) | 39,100 | 42,228 | ||||||
Targacept, Inc. (a) | 6,499 | 172,224 | ||||||
Theravance, Inc. (a) | 17,611 | 441,508 | ||||||
Vanda Pharmaceuticals, Inc. (a) | 8,530 | 80,694 | ||||||
ViroPharma, Inc. (a) | 21,748 | 376,675 | ||||||
ZIOPHARM Oncology, Inc. (a) | 15,452 | 72,006 | ||||||
Zalicus, Inc. (a) | 17,912 | 28,301 | ||||||
11,389,783 | ||||||||
Building Materials — 0.9% | ||||||||
Acuity Brands, Inc. | 11,956 | 689,503 | ||||||
Ameron International Corp. | 2,573 | 196,500 | ||||||
Builders FirstSource, Inc. (a) | 12,175 | 23,985 | ||||||
Gibraltar Industries, Inc. (a) | 8,715 | 118,263 | ||||||
Griffon Corp. (a) | 12,864 | 163,887 | ||||||
Headwaters, Inc. (a) | 18,899 | 86,557 | ||||||
LSI Industries, Inc. | 5,533 | 46,809 | ||||||
Louisiana-Pacific Corp. (a) | 35,850 | 339,141 | ||||||
NCI Building Systems, Inc. (a) | 6,307 | 88,235 | ||||||
Quanex Building Products Corp. | 10,811 | 205,085 | ||||||
Simpson Manufacturing Co., Inc. | 11,098 | 343,039 | ||||||
Texas Industries, Inc. | 5,750 | 263,235 | ||||||
Trex Co., Inc. (a) | 4,563 | 109,329 | ||||||
Watsco, Inc. | 7,647 | 482,373 | ||||||
3,155,941 | ||||||||
Building: Climate Control — 0.1% | ||||||||
Aaon, Inc. | 3,611 | 101,867 | ||||||
Comfort Systems USA, Inc. | 10,901 | 143,566 | ||||||
Interline Brands, Inc. (a) | 9,343 | 212,740 | ||||||
458,173 | ||||||||
Building: Roofing, Wallboard & Plumbing — 0.1% | ||||||||
Beacon Roofing Supply, Inc. (a) | 12,821 | 229,111 | ||||||
Cable Television Services — 0.1% | ||||||||
Knology, Inc. (a) | 8,440 | 131,917 | ||||||
Mediacom Communications Corp., Class A (a) | 11,599 | 98,128 | ||||||
230,045 | ||||||||
Casinos & Gambling — 0.3% | ||||||||
Ameristar Casinos, Inc. | 8,159 | 127,525 | ||||||
Boyd Gaming Corp. (a) | 15,602 | 165,381 | ||||||
Isle of Capri Casinos, Inc. (a) | 4,441 | 45,387 | ||||||
Monarch Casino & Resort, Inc. (a) | 2,571 | 32,137 | ||||||
Multimedia Games, Inc. (a) | 7,612 | 42,475 | ||||||
Pinnacle Entertainment, Inc. (a) | 15,194 | 213,020 | ||||||
Scientific Games Corp., Class A (a) | 17,953 | 178,812 | ||||||
Shuffle Master, Inc. (a) | 15,457 | 176,983 | ||||||
981,720 | ||||||||
Chemicals: Diversified — 1.5% | ||||||||
Aceto Corp. | 8,227 | 74,043 | ||||||
American Vanguard Corp. | 5,145 | 43,938 | ||||||
Arch Chemicals, Inc. | 6,189 | 234,749 | ||||||
Georgia Gulf Corp. (a) | 9,588 | 230,687 | ||||||
Hawkins, Inc. | 2,452 | 108,869 | ||||||
Innophos Holdings, Inc. | 6,064 | 218,789 | ||||||
KMG Chemicals, Inc. | 1,598 | 26,479 | ||||||
LSB Industries, Inc. (a) | 4,636 | 112,469 | ||||||
Landec Corp. (a) | 6,860 | 41,023 | ||||||
OM Group, Inc. (a) | 8,613 | 331,687 | ||||||
Olin Corp. | 21,795 | 447,233 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
52
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Chemicals: Diversified (concluded) | ||||||||
Omnova Solutions, Inc. (a) | 12,713 | $ | 106,281 | |||||
PolyOne Corp. (a) | 25,994 | 324,665 | ||||||
Rockwood Holdings, Inc. (a) | 14,506 | 567,475 | ||||||
Sensient Technologies Corp. | 13,600 | 499,528 | ||||||
Solutia, Inc. (a) | 33,774 | 779,504 | ||||||
TPC Group, Inc. (a) | 2,307 | 69,948 | ||||||
W.R. Grace & Co. (a) | 20,151 | 707,905 | ||||||
Westlake Chemical Corp. | 5,382 | 233,955 | ||||||
5,159,227 | ||||||||
Chemicals: Specialty — 0.5% | ||||||||
Balchem Corp. | 7,734 | 261,487 | ||||||
Calgon Carbon Corp. (a) | 15,390 | 232,697 | ||||||
Kraton Performance Polymers, Inc. (a) | 3,215 | 99,504 | ||||||
NewMarket Corp. | 2,831 | 349,260 | ||||||
Polypore International, Inc. (a) | 6,115 | 249,064 | ||||||
Quaker Chemical Corp. | 3,013 | 125,552 | ||||||
Senomyx, Inc. (a) | 11,804 | 84,162 | ||||||
Stepan Co. | 2,108 | 160,777 | ||||||
Zep, Inc. | 5,992 | 119,121 | ||||||
1,681,624 | ||||||||
Coal — 0.3% | ||||||||
Cloud Peak Energy, Inc. (a) | 8,872 | 206,097 | ||||||
International Coal Group, Inc. (a) | 37,154 | 287,572 | ||||||
James River Coal Co. (a) | 7,416 | 187,847 | ||||||
L&L Energy, Inc. (a) | 5,371 | 58,007 | ||||||
Patriot Coal Corp. (a) | 21,831 | 422,866 | ||||||
1,162,389 | ||||||||
Commercial Finance & Mortgage Companies — 0.1% | ||||||||
Asta Funding, Inc. | 4,159 | 33,688 | ||||||
Federal Agricultural Mortgage Corp., Class B | 2,525 | 41,208 | ||||||
Medallion Financial Corp. | 5,747 | 47,126 | ||||||
NewStar Financial, Inc. (a) | 8,462 | 89,443 | ||||||
211,465 | ||||||||
Commercial Services: Rental & Leasing — 0.6% | ||||||||
Aircastle Ltd. | 13,828 | 144,503 | ||||||
CAI International, Inc. (a) | 3,024 | 59,270 | ||||||
Electro Rent Corp. | 5,052 | 81,640 | ||||||
H&E Equipment Services, Inc. (a) | 8,394 | 97,119 | ||||||
Marlin Business Services, Inc. (a) | 2,283 | 28,880 | ||||||
McGrath RentCorp | 6,835 | 179,214 | ||||||
Mobile Mini, Inc. (a) | 10,363 | 204,048 | ||||||
PHH Corp. (a) | 15,575 | 360,561 | ||||||
RSC Holdings, Inc. (a) | 13,484 | 131,334 | ||||||
SeaCube Container Leasing Ltd. | 3,037 | 42,700 | ||||||
TAL International Group, Inc. | 4,828 | 149,040 | ||||||
United Rentals, Inc. (a) | 16,903 | 384,543 | ||||||
1,862,852 | ||||||||
Commercial Vehicles & Parts — 0.3% | ||||||||
Commercial Vehicle Group, Inc. (a) | 7,113 | 115,586 | ||||||
Force Protection, Inc. (a) | 19,673 | 108,398 | ||||||
Miller Industries, Inc. | 2,710 | 38,564 | ||||||
Modine Manufacturing Co. (a) | 13,116 | 203,298 | ||||||
Rush Enterprises, Inc., Class A (a) | 9,230 | 188,661 | ||||||
Spartan Motors, Inc. | 10,280 | 62,605 | ||||||
Wabash National Corp. (a) | 18,952 | 224,581 | ||||||
941,693 | ||||||||
Communications Technology — 3.2% | ||||||||
AboveNet, Inc. | 6,173 | 360,874 | ||||||
Acme Packet, Inc. (a) | 12,197 | 648,393 | ||||||
Adtran, Inc. | 17,264 | 625,129 | ||||||
Anaren, Inc. (a) | 4,408 | 91,907 | ||||||
Anixter International, Inc. | 7,796 | 465,655 | ||||||
Aruba Networks, Inc. (a) | 21,591 | 450,820 | ||||||
Aviat Networks, Inc. (a) | 18,839 | 95,514 | ||||||
Bel Fuse, Inc. | 3,256 | 77,818 | ||||||
BigBand Networks, Inc. (a) | 13,752 | 38,506 | ||||||
Black Box Corp. | 4,852 | 185,783 | ||||||
Comtech Telecommunications Corp. | 8,044 | 223,060 | ||||||
Digi International, Inc. (a) | 7,948 | 88,223 | ||||||
DigitalGlobe, Inc. (a) | 7,687 | 243,755 | ||||||
EMS Technologies, Inc. (a) | 4,405 | 87,131 | ||||||
Echelon Corp. (a) | 10,004 | 101,941 | ||||||
Emulex Corp. (a) | 23,243 | 271,013 | ||||||
Extreme Networks, Inc. (a) | 27,561 | 85,163 | ||||||
Finisar Corp. (a) | 21,060 | 625,271 | ||||||
GSI Technology, Inc. (a) | 4,937 | 39,990 | ||||||
GeoEye, Inc. (a) | 6,114 | 259,172 | ||||||
Globecomm Systems, Inc. (a) | 6,651 | 66,510 | ||||||
Harmonic, Inc. (a) | 27,452 | 235,264 | ||||||
Hughes Communications, Inc. (a) | 2,650 | 107,166 | ||||||
Infinera Corp. (a) | 24,897 | 257,186 | ||||||
InterDigital, Inc. (a)(b) | 12,235 | 509,465 | ||||||
Ixia (a) | 8,980 | 150,684 | ||||||
KVH Industries, Inc. (a) | 4,532 | 54,157 | ||||||
Loral Space & Communications Ltd. (a) | 3,024 | 231,336 | ||||||
NETGEAR, Inc. (a) | �� | 9,928 | 334,375 | |||||
Network Equipment Technologies, Inc. (a) | 8,165 | 37,804 | ||||||
Novatel Wireless, Inc. (a) | 8,850 | 84,518 | ||||||
Oclaro, Inc. (a) | 14,280 | 187,782 | ||||||
Oplink Communications, Inc. (a) | 5,696 | 105,205 | ||||||
PC-Tel, Inc. (a) | 4,815 | 28,890 | ||||||
Plantronics, Inc. | 13,418 | 499,418 | ||||||
Riverbed Technology, Inc. (a) | 35,147 | 1,236,120 | ||||||
SeaChange International, Inc. (a) | 8,576 | 73,325 | ||||||
Shoretel, Inc. (a) | 13,394 | 104,607 | ||||||
Sonus Networks, Inc. (a) | 58,419 | 155,979 | ||||||
Sycamore Networks, Inc. | 5,573 | 114,748 | ||||||
Syniverse Holdings, Inc. (a) | 19,166 | 591,271 | ||||||
Tekelec (a) | 18,982 | 226,076 | ||||||
Viasat, Inc. (a) | 9,276 | 411,947 | ||||||
10,868,951 | ||||||||
Computer Services Software & Systems — 6.7% | ||||||||
ACI Worldwide, Inc. (a)(c) | 9,391 | 252,336 | ||||||
Actuate Corp. (a) | 13,455 | 76,694 | ||||||
Acxiom Corp. (a) | 19,178 | 328,903 | ||||||
American Reprographics Co. (a) | 11,101 | 84,257 | ||||||
American Software, Class A | 7,492 | 50,721 | ||||||
Ariba, Inc. (a) | 25,118 | 590,022 | ||||||
Art Technology Group, Inc. (a) | 44,418 | 265,620 | ||||||
Aspen Technology, Inc. (a) | 17,836 | 226,517 | ||||||
Avid Technology, Inc. (a) | 8,148 | 142,264 | ||||||
Blackbaud, Inc. | 12,651 | 327,661 | ||||||
Blackboard, Inc. (a) | 9,618 | 397,223 | ||||||
Blue Coat Systems, Inc. (a) | 11,468 | 342,549 | ||||||
Bottomline Technologies, Inc. (a) | 9,065 | 196,801 | ||||||
BroadSoft, Inc. (a) | 2,081 | 49,694 | ||||||
CACI International, Inc., Class A (a) | 8,409 | 449,041 | ||||||
CDC Corp. (a) | 7,453 | 26,160 | ||||||
CSG Systems International, Inc. (a) | 9,715 | 184,002 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
53
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Computer Services Software & Systems (continued) | ||||||||
Ciber, Inc. (a) | 19,400 | $ | 90,792 | |||||
CommVault Systems, Inc. (a) | 12,126 | 347,046 | ||||||
Compellent Technologies, Inc. (a) | 6,600 | 182,094 | ||||||
Computer Task Group, Inc. (a) | 4,095 | 44,554 | ||||||
ComScore, Inc. (a) | 6,275 | 139,995 | ||||||
Concur Technologies, Inc. (a) | 11,198 | 581,512 | ||||||
Deltek, Inc. (a) | 5,271 | 38,267 | ||||||
DealerTrack Holdings, Inc. (a) | 11,426 | 229,320 | ||||||
DemandTec, Inc. (a) | 5,233 | 56,726 | ||||||
Digimarc Corp. (a) | 2,156 | 64,702 | ||||||
Digital River, Inc. (a) | 11,096 | 381,924 | ||||||
DynaVox, Inc., Class A (a) | 2,910 | 14,928 | ||||||
EPIQ Systems, Inc. | 9,048 | 124,229 | ||||||
EarthLink, Inc. | 30,934 | 266,032 | ||||||
Ebix, Inc. (a)(b) | 7,644 | 180,933 | ||||||
Epicor Software Corp. (a) | 13,337 | 134,704 | ||||||
Fortinet, Inc. (a) | 11,700 | 378,495 | ||||||
Hypercom Corp. (a) | 13,204 | 110,517 | ||||||
iGate Corp. | 6,883 | 135,664 | ||||||
Infospace, Inc. (a) | 11,166 | 92,678 | ||||||
Integral Systems, Inc. (a) | 5,890 | 58,370 | ||||||
Interactive Intelligence, Inc. (a) | 3,737 | 97,760 | ||||||
Internap Network Services Corp. (a) | 15,693 | 95,413 | ||||||
Internet Capital Group, Inc. (a) | 10,158 | 144,447 | ||||||
IntraLinks Holdings, Inc. (a) | 3,288 | 61,518 | ||||||
JDA Software Group, Inc. (a) | 11,783 | 329,924 | ||||||
KIT Digital, Inc. (a) | 7,970 | 127,839 | ||||||
Kenexa Corp. (a) | 6,263 | 136,471 | ||||||
Keynote Systems, Inc. | 4,265 | 62,354 | ||||||
Lawson Software, Inc. (a) | 38,987 | 360,630 | ||||||
Limelight Networks, Inc. (a) | 13,693 | 79,556 | ||||||
Lionbridge Technologies, Inc. (a) | 18,197 | 67,147 | ||||||
LivePerson, Inc. (a) | 13,020 | 147,126 | ||||||
LogMeIn, Inc. (a) | 4,233 | 187,691 | ||||||
Magma Design Automation, Inc. (a) | 17,304 | 86,693 | ||||||
Manhattan Associates, Inc. (a) | 6,447 | 196,891 | ||||||
Mantech International Corp., Class A (a) | 6,298 | 260,296 | ||||||
Mentor Graphics Corp. (a) | 30,075 | 360,900 | ||||||
Mercury Computer Systems, Inc. (a) | 6,749 | 124,047 | ||||||
MicroStrategy, Inc., Class A (a) | 2,484 | 212,307 | ||||||
Moduslink Global Solutions, Inc. (a) | 13,785 | 92,359 | ||||||
Monotype Imaging Holdings, Inc. (a) | 6,643 | 73,737 | ||||||
NCI, Inc., Class A (a) | 1,829 | 42,049 | ||||||
NIC, Inc. | 15,822 | 153,632 | ||||||
NetScout Systems, Inc. (a) | 8,614 | 198,208 | ||||||
NetSuite, Inc. (a) | 5,365 | 134,125 | ||||||
OpenTable, Inc. (a) | 4,446 | 313,354 | ||||||
Openwave Systems, Inc. (a) | 26,472 | 56,121 | ||||||
Opnet Technologies, Inc. | 3,910 | 104,671 | ||||||
PDF Solutions, Inc. (a) | 6,099 | 29,397 | ||||||
PROS Holdings, Inc. (a) | 5,951 | 67,782 | ||||||
Parametric Technology Corp. (a) | 32,264 | 726,908 | ||||||
Pegasystems, Inc. | 4,662 | 170,769 | ||||||
Perficient, Inc. (a) | 6,938 | 86,725 | ||||||
Progress Software Corp. (a) | 11,739 | 496,794 | ||||||
QLIK Technologies, Inc. (a) | 3,794 | 97,923 | ||||||
Quest Software, Inc. (a) | 16,628 | 461,261 | ||||||
Rackspace Hosting, Inc. (a) | 27,028 | 848,949 | ||||||
Radiant Systems, Inc. (a) | 9,361 | 183,195 | ||||||
RealNetworks, Inc. (a) | 25,684 | 107,873 | ||||||
RealPage, Inc. (a) | 4,286 | 132,566 | ||||||
RightNow Technologies, Inc. (a) | 6,264 | 148,269 | ||||||
SAVVIS, Inc. (a) | 10,340 | 263,877 | ||||||
SRA International, Inc., Class A (a) | 11,801 | 241,330 | ||||||
SS&C Technologies Holdings, Inc. (a) | 3,576 | 73,344 | ||||||
SYNNEX Corp. (a) | 6,350 | 198,120 | ||||||
Saba Software, Inc. (a) | 9,438 | 57,761 | ||||||
Sapient Corp. | 28,831 | 348,855 | ||||||
Smith Micro Software, Inc. (a) | 8,650 | 136,151 | ||||||
SolarWinds, Inc. (a) | 9,916 | 190,883 | ||||||
Sonic Solutions, Inc. (a) | 11,983 | 179,745 | ||||||
Sourcefire, Inc. (a) | 7,788 | 201,943 | ||||||
SuccessFactors, Inc. (a) | 17,608 | 509,928 | ||||||
Support.com, Inc. (a) | 13,677 | 88,627 | ||||||
Synchronoss Technologies, Inc. (a) | 5,863 | 156,601 | ||||||
Syntel, Inc. | 3,723 | 177,922 | ||||||
TIBCO Software, Inc. (a) | 46,168 | 909,971 | ||||||
TNS, Inc. (a) | 7,144 | 148,595 | ||||||
Taleo Corp., Class A (a) | 11,227 | 310,427 | ||||||
TeleCommunication Systems, Inc., Class A (a) | 12,196 | 56,955 | ||||||
Terremark Worldwide, Inc. (a) | 16,771 | 217,184 | ||||||
Tier Technologies, Inc., Class B (a) | 3,808 | 22,810 | ||||||
Tyler Technologies, Inc. (a) | 8,776 | 182,190 | ||||||
Ultimate Software Group, Inc. (a) | 7,017 | 341,237 | ||||||
Unisys Corp. (a) | 11,764 | 304,570 | ||||||
United Online, Inc. | 25,722 | 169,765 | ||||||
VASCO Data Security International, Inc. (a) | 7,887 | 64,121 | ||||||
VeriFone Systems, Inc. (a) | 23,839 | 919,232 | ||||||
VirnetX Holding Corp. | 10,248 | 152,183 | ||||||
Virtusa Corp. (a) | 4,160 | 68,058 | ||||||
Wave Systems Corp., Class A (a) | 21,971 | 86,566 | ||||||
Websense, Inc. (a) | 11,904 | 241,056 | ||||||
Zix Corp. (a) | 17,043 | 72,774 | ||||||
22,602,405 | ||||||||
Computer Technology — 0.6% | ||||||||
Cray, Inc. (a) | 10,787 | 77,127 | ||||||
Hutchinson Technology, Inc. (a) | 6,167 | 22,880 | ||||||
Imation Corp. (a) | 8,846 | 91,202 | ||||||
Immersion Corp. (a) | 9,143 | 61,350 | ||||||
Insight Enterprises, Inc. (a) | 13,317 | 175,252 | ||||||
Intermec, Inc. (a) | 14,173 | 179,430 | ||||||
Quantum Corp. (a) | 59,610 | 221,749 | ||||||
Radisys Corp. (a) | 6,507 | 57,912 | ||||||
Rimage Corp. (a) | 3,339 | 49,784 | ||||||
STEC, Inc. (a) | 11,398 | 201,175 | ||||||
Safeguard Scientifics, Inc. (a) | 6,132 | 104,735 | ||||||
Silicon Graphics International Corp. (a) | 9,555 | 86,282 | ||||||
Stratasys, Inc. (a) | 5,828 | 190,226 | ||||||
Super Micro Computer, Inc. (a) | 7,145 | 82,453 | ||||||
Synaptics, Inc. (a) | 9,314 | 273,645 | ||||||
Xyratex Ltd. (a) | 8,251 | 134,574 | ||||||
2,009,776 | ||||||||
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
54
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Construction — 0.5% | ||||||||
EMCOR Group, Inc. (a) | 18,337 | $ | 531,406 | |||||
Granite Construction, Inc. | 9,570 | 262,505 | ||||||
Great Lakes Dredge & Dock Corp. | 16,695 | 123,042 | ||||||
Insituform Technologies, Inc., Class A (a) | 10,968 | 290,762 | ||||||
Orion Marine Group, Inc. (a) | 7,892 | 91,547 | ||||||
Primoris Services Corp. | 6,863 | 65,473 | ||||||
Sterling Construction Co., Inc. (a) | 5,135 | 66,961 | ||||||
Tutor Perini Corp. | 7,332 | 156,978 | ||||||
1,588,674 | ||||||||
Consumer Electronics — 0.2% | ||||||||
Audiovox Corp., Class A (a) | 4,450 | 38,403 | ||||||
RealD Inc. (a) | 4,079 | 105,728 | ||||||
TiVo, Inc. (a) | 31,997 | 276,134 | ||||||
Universal Electronics, Inc. (a) | 3,743 | 106,189 | ||||||
526,454 | ||||||||
Consumer Lending — 0.9% | ||||||||
Advance America, Cash Advance Centers, Inc. | 16,629 | 93,787 | ||||||
Cash America International, Inc. | 8,288 | 306,076 | ||||||
Credit Acceptance Corp. (a) | 1,510 | 94,783 | ||||||
Dollar Financial Corp. (a) | 6,982 | 199,895 | ||||||
Encore Capital Group, Inc. (a) | 4,108 | 96,333 | ||||||
Ezcorp, Inc. (a) | 12,908 | 350,194 | ||||||
First Cash Financial Services, Inc. (a) | 8,403 | 260,409 | ||||||
The First Marblehead Corp. (a) | 18,710 | 40,601 | ||||||
MGIC Investment Corp. (a) | 56,003 | 570,670 | ||||||
MoneyGram International, Inc. (a) | 26,653 | 72,230 | ||||||
Nelnet, Inc., Class A | 7,528 | 178,338 | ||||||
Netspend Holdings, Inc. (a) | 8,431 | 108,085 | ||||||
Portfolio Recovery Associates, Inc. (a) | 4,751 | 357,275 | ||||||
Student Loan Corp. | 1,040 | 33,738 | ||||||
World Acceptance Corp. (a) | 4,585 | 242,088 | ||||||
3,004,502 | ||||||||
Consumer Services: Miscellaneous — 0.7% | ||||||||
Ancestry.com, Inc. (a) | 5,484 | 155,307 | ||||||
Coinstar, Inc. (a) | 8,825 | 498,083 | ||||||
Core-Mark Holdings Co., Inc. (a) | 3,107 | 110,578 | ||||||
The Knot, Inc. (a) | 8,783 | 86,776 | ||||||
Move, Inc. (a) | 44,535 | 114,455 | ||||||
NutriSystem, Inc. (b) | 7,652 | 160,922 | ||||||
Pre-Paid Legal Services, Inc. (a) | 2,044 | 123,151 | ||||||
Sotheby’s Holdings, Inc., Class A | 18,618 | 837,810 | ||||||
Steiner Leisure Ltd. (a) | 4,315 | 201,510 | ||||||
2,288,592 | ||||||||
Containers & Packaging — 0.4% | ||||||||
AEP Industries, Inc. (a) | 1,150 | 29,843 | ||||||
Graham Packaging Co., Inc. (a) | 5,139 | 67,013 | ||||||
Graphic Packaging Holding Co. (a) | 31,761 | 123,550 | ||||||
Myers Industries, Inc. | 10,282 | 100,147 | ||||||
Rock-Tenn Co., Class A | 10,754 | 580,178 | ||||||
Silgan Holdings, Inc. | 14,840 | 531,420 | ||||||
1,432,151 | ||||||||
Cosmetics — 0.1% | ||||||||
Elizabeth Arden, Inc. (a) | 6,725 | 154,742 | ||||||
Inter Parfums, Inc. | 4,215 | 79,453 | ||||||
Revlon, Inc., Class A (a) | 3,695 | 36,359 | ||||||
270,554 | ||||||||
Diversified Financial Services — 0.4% | ||||||||
Duff & Phelps Corp. | 8,086 | 136,330 | ||||||
Evercore Partners, Inc., Class A | 4,505 | 153,170 | ||||||
FBR Capital Markets Corp. (a) | 14,655 | 55,982 | ||||||
Gleacher & Co, Inc. (a) | 23,750 | 56,288 | ||||||
Main Street Capital Corp. | 4,434 | 80,654 | ||||||
MidwestOne Financial Group, Inc. | 1,865 | 28,180 | ||||||
Piper Jaffray Cos. (a) | 4,213 | 147,497 | ||||||
Sanders Morris Harris Group, Inc. | 5,727 | 41,521 | ||||||
Stifel Financial Corp. (a) | 9,417 | 584,231 | ||||||
Triangle Capital Corp. | 4,316 | 82,004 | ||||||
1,365,857 | ||||||||
Diversified Manufacturing Operations — 0.3% | ||||||||
A.M. Castle & Co. (a) | 4,762 | 87,669 | ||||||
Barnes Group, Inc. | 13,810 | 285,453 | ||||||
Federal Signal Corp. | 17,890 | 122,725 | ||||||
Lydall, Inc. (a) | 4,646 | 37,400 | ||||||
OSI Systems, Inc. (a) | 4,609 | 167,583 | ||||||
Raven Industries, Inc. | 4,607 | 219,708 | ||||||
Standex International Corp. | 3,548 | 106,121 | ||||||
Trimas Corp. (a) | 4,407 | 90,167 | ||||||
1,116,826 | ||||||||
Diversified Materials & Processing — 0.8% | ||||||||
Belden, Inc. | 13,241 | 487,534 | ||||||
Cabot Microelectronics Corp. (a) | 6,637 | 275,104 | ||||||
Clarcor, Inc. | 13,889 | 595,699 | ||||||
Encore Wire Corp. | 5,047 | 126,579 | ||||||
Hexcel Corp. (a) | 26,888 | 486,404 | ||||||
Insteel Industries, Inc. | 4,853 | 60,614 | ||||||
Koppers Holdings, Inc. | 5,904 | 211,245 | ||||||
Rogers Corp. (a) | 4,522 | 172,966 | ||||||
Tredegar Corp. | 6,809 | 131,958 | ||||||
Uranium Energy Corp. (a)(b) | 16,751 | 101,176 | ||||||
2,649,279 | ||||||||
Diversified Media — 0.1% | ||||||||
Belo Corp., Class A (a) | 26,829 | 189,949 | ||||||
EW Scripps Co. (a) | 9,726 | 98,719 | ||||||
Playboy Enterprises, Inc., Class B (a) | 7,669 | 40,032 | ||||||
328,700 | ||||||||
Diversified Retail — 0.7% | ||||||||
99 Cents Only Stores (a) | 12,612 | 201,035 | ||||||
The Bon-Ton Stores, Inc. (a) | 3,782 | 47,880 | ||||||
Dillard’s, Inc., Class A | 11,211 | 425,345 | ||||||
Fred’s, Inc. | 10,754 | 147,975 | ||||||
GSI Commerce, Inc. (a) | 18,657 | 432,843 | ||||||
Gaiam, Inc. | 4,379 | 33,718 | ||||||
HSN, Inc. (a) | 10,902 | 334,037 | ||||||
Overstock.com, Inc. | 4,575 | 75,396 | ||||||
PriceSmart, Inc. | 4,549 | 172,999 | ||||||
Saks, Inc. (a) | 37,767 | 404,107 | ||||||
Tuesday Morning Corp. (a) | 7,728 | 40,804 | ||||||
2,316,139 | ||||||||
Drug & Grocery Store Chains — 0.7% | ||||||||
Arden Group, Inc., Class A | 556 | 45,870 | ||||||
Casey’s General Stores, Inc. | 10,841 | 460,851 | ||||||
drugstore.com, Inc. (a) | 24,853 | 54,925 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
55
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Drug & Grocery Store Chains (concluded) | ||||||||
The Fresh Market, Inc. (a) | 4,210 | $ | 173,452 | |||||
Ingles Markets, Inc., Class A | 4,294 | 82,445 | ||||||
Nash Finch Co. | 3,603 | 153,163 | ||||||
The Pantry, Inc. (a) | 7,076 | 140,529 | ||||||
PetMed Express, Inc. (b) | 6,312 | 112,417 | ||||||
Rite Aid Corp. (a) | 147,313 | 130,107 | ||||||
Ruddick Corp. | 12,199 | 449,411 | ||||||
Spartan Stores, Inc. | 6,686 | 113,328 | ||||||
Village Super Market, Inc., Class A | 2,539 | 83,787 | ||||||
Weis Markets, Inc. | 3,843 | 154,988 | ||||||
Winn-Dixie Stores, Inc. (a) | 15,711 | 112,648 | ||||||
2,267,921 | ||||||||
Education Services — 0.5% | ||||||||
Ambassadors Group, Inc. | 6,426 | 73,899 | ||||||
American Public Education, Inc. (a) | 5,243 | 195,249 | ||||||
Archipelago Learning, Inc. (a) | 3,223 | 31,618 | ||||||
Bridgepoint Education, Inc. (a) | 5,635 | 107,065 | ||||||
Capella Education Co. (a) | 4,619 | 307,533 | ||||||
Corinthian Colleges, Inc. (a)(b) | 24,036 | 125,228 | ||||||
Franklin Covey Co. (a) | 3,631 | 31,190 | ||||||
Grand Canyon Education, Inc. (a) | 8,882 | 173,998 | ||||||
K12, Inc. (a) | 7,103 | 203,572 | ||||||
Lincoln Educational Services Corp. | 4,710 | 73,052 | ||||||
Renaissance Learning, Inc. | 3,534 | 41,843 | ||||||
Rosetta Stone, Inc. (a) | 3,247 | 68,901 | ||||||
School Specialty, Inc. (a) | 5,959 | 83,009 | ||||||
Universal Technical Institute, Inc. | 6,007 | 132,274 | ||||||
1,648,431 | ||||||||
Electronic Components — 0.7% | ||||||||
3D Systems Corp. (a) | 5,226 | 164,567 | ||||||
Acacia Research — Acacia Technologies (a) | 9,518 | 246,897 | ||||||
Checkpoint Systems, Inc. (a) | 11,234 | 230,859 | ||||||
DDi Corp. | 4,437 | 52,179 | ||||||
Methode Electronics, Inc. | 10,475 | 135,861 | ||||||
Microvision, Inc. (a)(b) | 28,837 | 53,637 | ||||||
Multi-Fineline Electronix, Inc. (a) | 3,100 | 82,119 | ||||||
NVE Corp. (a) | 1,420 | 82,118 | ||||||
Park Electrochemical Corp. | 5,596 | 167,880 | ||||||
Pulse Electronics Corp. | 11,258 | 59,892 | ||||||
ScanSource, Inc. (a) | 7,682 | 245,056 | ||||||
Smart Modular Technologies WWH, Inc. (a) | 15,215 | 87,638 | ||||||
TTM Technologies, Inc. (a) | 22,744 | 339,113 | ||||||
Universal Display Corp. (a)(b) | 8,555 | 262,211 | ||||||
2,210,027 | ||||||||
Electronic Entertainment — 0.2% | ||||||||
DTS, Inc. (a) | 4,900 | 240,345 | ||||||
THQ, Inc. (a) | 17,766 | 107,662 | ||||||
Take-Two Interactive Software, Inc. (a) | 19,580 | 239,659 | ||||||
587,666 | ||||||||
Electronics — 0.6% | ||||||||
Agilysys, Inc. (a) | 4,728 | 26,619 | ||||||
American Science & Engineering, Inc. | 2,530 | 215,632 | ||||||
CPI International, Inc. (a) | 2,027 | 39,222 | ||||||
Coherent, Inc. (a) | 7,111 | 320,991 | ||||||
Daktronics, Inc. | 9,319 | 148,358 | ||||||
II-VI, Inc. (a) | 7,044 | 326,560 | ||||||
IPG Photonics Corp. (a) | 7,327 | 231,680 | ||||||
iRobot Corp. (a) | 5,743 | 142,886 | ||||||
Newport Corp. (a) | 10,058 | 174,707 | ||||||
Richardson Electronics Ltd. | 4,813 | 56,264 | ||||||
Rofin-Sinar Technologies, Inc. (a) | 7,968 | 282,386 | ||||||
SRS Labs Inc. (a) | 2,855 | 25,153 | ||||||
Spectrum Control, Inc. (a) | 3,858 | 57,831 | ||||||
2,048,289 | ||||||||
Energy Equipment — 0.2% | ||||||||
Capstone Turbine Corp. (a) | 74,225 | 71,241 | ||||||
Energy Conversion Devices, Inc. (a) | 13,908 | 63,977 | ||||||
Evergreen Solar, Inc. (a)(b) | 60,516 | 35,281 | ||||||
FuelCell Energy, Inc. (a) | 31,215 | 72,106 | ||||||
GT Solar International, Inc. (a) | 16,949 | 154,575 | ||||||
PowerSecure International, Inc. (a) | 4,805 | 37,383 | ||||||
STR Holdings, Inc. (a) | 8,135 | 162,700 | ||||||
597,263 | ||||||||
Engineering & Contracting Services — 0.5% | ||||||||
Dycom Industries, Inc. (a) | 10,628 | 156,763 | ||||||
Exponent, Inc. (a) | 3,921 | 147,155 | ||||||
Furmamite Corp. (a) | 10,777 | 74,469 | ||||||
Hill International, Inc. (a) | 7,044 | 45,575 | ||||||
Layne Christensen Co. (a) | 5,598 | 192,683 | ||||||
MYR Group, Inc. (a) | 5,845 | 122,745 | ||||||
Mastec, Inc. (a) | 14,840 | 216,516 | ||||||
Michael Baker Corp. (a) | 2,393 | 74,422 | ||||||
Mistras Group, Inc. (a) | 4,735 | 63,828 | ||||||
Tetra Tech, Inc. (a) | 17,187 | 430,706 | ||||||
VSE Corp. | 1,173 | 38,732 | ||||||
1,563,594 | ||||||||
Entertainment — 0.4% | ||||||||
Ascent Media Corp., Class A (a) | 4,280 | 165,893 | ||||||
CKx, Inc. (a) | 15,485 | 62,405 | ||||||
Cinemark Holdings, Inc. | 16,272 | 280,529 | ||||||
Lions Gate Entertainment Corp. (a) | 19,947 | 129,855 | ||||||
Live Nation Entertainment, Inc. (a) | 39,468 | 450,725 | ||||||
LodgeNet Interactive Corp. (a) | 8,242 | 35,028 | ||||||
Rentrak Corp. (a) | 2,896 | 87,343 | ||||||
Warner Music Group Corp. (a) | 13,332 | 75,059 | ||||||
World Wrestling Entertainment, Inc. | 7,119 | 101,375 | ||||||
1,388,212 | ||||||||
Environmental, Maintenance, & Security Service — 0.7% | ||||||||
ABM Industries, Inc. | 14,481 | 380,850 | ||||||
The Brink’s Co. | 13,331 | 358,337 | ||||||
G&K Services, Inc., Class A | 5,185 | 160,268 | ||||||
The Geo Group, Inc. (a) | 16,971 | 418,505 | ||||||
Healthcare Services Group, Inc. | 18,539 | 301,630 | ||||||
Mac-Gray Corp. | 3,791 | 56,675 | ||||||
Rollins, Inc. | 17,166 | 339,029 | ||||||
Standard Parking Corp. (a) | 4,544 | 85,836 | ||||||
Unifirst Corp. | 3,889 | 214,090 | ||||||
2,315,220 | ||||||||
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
56
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Fertilizers — 0.0% | ||||||||
Rentech, Inc. (a) | 64,661 | $ | 78,886 | |||||
Financial Data & Systems — 0.8% | ||||||||
Advent Software, Inc. (a) | 4,325 | 250,504 | ||||||
Cardtronics, Inc. (a) | 7,404 | 131,051 | ||||||
Cass Information Systems, Inc. | 2,384 | 90,449 | ||||||
Euronet Worldwide, Inc. (a) | 14,020 | 244,509 | ||||||
Fair Isaac Corp. | 11,427 | 267,049 | ||||||
Global Cash Access, Inc. (a) | 16,150 | 51,519 | ||||||
Heartland Payment Systems, Inc. | 10,871 | 167,631 | ||||||
Higher One Holdings, Inc. (a) | 3,197 | 64,675 | ||||||
Jack Henry & Associates, Inc. | 23,682 | 690,330 | ||||||
Online Resources Corp. (a) | 7,311 | 33,996 | ||||||
S1 Corp. (a) | 15,357 | 105,963 | ||||||
Wright Express Corp. (a) | 10,793 | 496,478 | ||||||
2,594,154 | ||||||||
Foods — 1.0% | ||||||||
B&G Foods, Inc., Class A | 13,669 | 187,675 | ||||||
Chiquita Brands International, Inc. (a) | 12,202 | 171,072 | ||||||
Diamond Foods, Inc. | 6,091 | 323,919 | ||||||
Dole Food Co.,Inc. (a) | 10,876 | 146,935 | ||||||
Hain Celestial Group, Inc. (a) | 11,456 | 309,999 | ||||||
J&J Snack Foods Corp. | 3,993 | 192,622 | ||||||
John B. Sanfilippo & Son, Inc. (a) | 2,400 | 29,856 | ||||||
Lancaster Colony Corp. | 5,319 | 304,247 | ||||||
Medifast, Inc. (a) | 3,726 | 107,607 | ||||||
Natures Sunshine Prods, Inc. (a) | 1,998 | 17,942 | ||||||
Nutraceutical International Corp. (a) | 2,499 | 35,461 | ||||||
Seneca Foods Corp. (a) | 2,214 | 59,734 | ||||||
Smart Balance, Inc. (a) | 19,827 | 85,851 | ||||||
Snyders-Lance, Inc. | 7,361 | 172,542 | ||||||
Synutra International, Inc. (a) | 5,592 | 75,212 | ||||||
Tootsie Roll Industries, Inc. (b) | 6,510 | 188,595 | ||||||
TreeHouse Foods, Inc. (a) | 9,559 | 488,369 | ||||||
United Natural Foods, Inc. (a) | 13,305 | 488,028 | ||||||
3,385,666 | ||||||||
Forest Products — 0.1% | ||||||||
Deltic Timber Corp. | 3,070 | 172,964 | ||||||
Universal Forest Products, Inc. | 5,542 | 215,584 | ||||||
388,548 | ||||||||
Forms & Bulk Printing Services — 0.2% | ||||||||
Consolidated Graphics, Inc. (a) | 2,559 | 123,932 | ||||||
Deluxe Corp. | 14,525 | 334,365 | ||||||
Ennis, Inc. | 7,538 | 128,900 | ||||||
Innerworkings, Inc. (a) | 6,187 | 40,525 | ||||||
M&F Worldwide Corp. (a) | 3,188 | 73,643 | ||||||
Multi-Color Corp. | 3,463 | 67,390 | ||||||
Schawk, Inc. | 3,365 | 69,252 | ||||||
838,007 | ||||||||
Fruit & Grain Processing — 0.0% | ||||||||
MGP Ingredients, Inc. | 3,933 | 43,420 | ||||||
Funeral Parlors & Cemeteries — 0.1% | ||||||||
Matthews International Corp., Class A | 8,281 | 289,669 | ||||||
Stewart Enterprises, Inc., Class A | 22,211 | 148,592 | ||||||
438,261 | ||||||||
Gas Pipeline — 0.0% | ||||||||
Crosstex Energy, Inc. | 11,553 | 102,360 | ||||||
Glass — 0.0% | ||||||||
Apogee Enterprises, Inc. | 8,299 | 111,788 | ||||||
Gold — 0.6% | ||||||||
Allied Nevada Gold Corp. (a) | 20,807 | 547,432 | ||||||
Capital Gold Corp. (a) | 17,576 | 89,110 | ||||||
Coeur d’Alene Mines Corp. (a) | 24,393 | 666,417 | ||||||
Golden Star Resources Ltd. (a) | 72,556 | 333,032 | ||||||
Jaguar Mining, Inc. (a) | 24,168 | 172,318 | ||||||
US Gold Corp. (a) | 25,079 | 202,388 | ||||||
2,010,697 | ||||||||
Health Care Facilities — 0.6% | ||||||||
Amsurg Corp. (a) | 8,820 | 184,779 | ||||||
Assisted Living Concepts, Inc. (a) | 2,928 | 95,248 | ||||||
Capital Senior Living Corp. (a) | 8,621 | 57,761 | ||||||
Contiucare Corp. (a) | 8,969 | 41,975 | ||||||
Emeritus Corp. (a) | 6,319 | 124,547 | ||||||
The Ensign Group, Inc. | 4,084 | 101,569 | ||||||
Five Star Quality Care, Inc. (a) | 9,511 | 67,243 | ||||||
Hanger Orthopedic Group, Inc. (a) | 7,373 | 156,234 | ||||||
HealthSouth Corp. (a) | 26,167 | 541,919 | ||||||
Kindred Healthcare, Inc. (a) | 11,204 | 205,817 | ||||||
LCA-Vision, Inc. (a) | 4,820 | 27,715 | ||||||
MedCath Corp. (a) | 6,149 | 85,778 | ||||||
National Healthcare Corp. | 2,595 | 120,071 | ||||||
Select Medical Holdings Corp. (a) | 13,893 | 101,558 | ||||||
Skilled Healthcare Group, Inc., Class A (a) | 6,242 | 56,053 | ||||||
Sunrise Senior Living, Inc. (a) | 16,340 | 89,053 | ||||||
US Physical Therapy, Inc. (a) | 3,213 | 63,682 | ||||||
2,121,002 | ||||||||
Health Care Management Services — 1.0% | ||||||||
AMERIGROUP Corp. (a) | 14,235 | 625,201 | ||||||
American Dental Partners, Inc. (a) | 5,099 | 68,887 | ||||||
Bioscript, Inc. (a) | 12,427 | 64,993 | ||||||
Catalyst Health Solutions, Inc. (a) | 10,553 | 490,609 | ||||||
Centene Corp. (a) | 13,736 | 348,070 | ||||||
Computer Programs & Systems, Inc. | 2,708 | 126,843 | ||||||
HealthSpring, Inc. (a) | 16,101 | 427,160 | ||||||
Magellan Health Services, Inc. (a) | 9,129 | 431,619 | ||||||
MedQuist Inc. | 3,203 | 27,706 | ||||||
Metropolitan Health Networks, Inc. (a) | 10,827 | 48,397 | ||||||
Molina Healthcare, Inc. (a) | 4,133 | 115,104 | ||||||
Triple-S Management Corp. (a) | 5,696 | 108,680 | ||||||
Universal American Financial Corp. | 8,747 | 178,876 | ||||||
WellCare Health Plans, Inc. (a) | 11,883 | 359,104 | ||||||
3,421,249 | ||||||||
Health Care Services — 1.3% | ||||||||
AMN Healthcare Services, Inc. (a) | 11,567 | 71,021 | ||||||
Accretive Health, Inc. (a) | 3,635 | 59,069 | ||||||
Air Methods Corp. (a) | 3,041 | 171,117 | ||||||
Alliance Healthcare Services, Inc. (a) | 7,266 | 30,808 | ||||||
Allied Healthcare International, Inc. (a) | 12,096 | 30,361 | ||||||
Almost Family, Inc. (a) | 2,370 | 91,055 | ||||||
Amedisys, Inc. (a) | 7,896 | 264,516 | ||||||
athenahealth, Inc. (a)(b) | 9,331 | 382,384 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
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Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Health Care Services (concluded) | ||||||||
CardioNet, Inc. (a) | 6,020 | $ | 28,174 | |||||
Chemed Corp. | 6,277 | 398,652 | ||||||
Chindex International, Inc. (a) | 4,132 | 68,137 | ||||||
Corvel Corp. (a) | 2,010 | 97,183 | ||||||
Cross Country Healthcare, Inc. (a) | 8,368 | 70,877 | ||||||
ExamWorks Group, Inc. (a) | 3,291 | 60,818 | ||||||
Gentiva Health Services, Inc. (a) | 8,396 | 223,334 | ||||||
HMS Holdings Corp. (a) | 7,521 | 487,135 | ||||||
Healthways, Inc. (a) | 9,598 | 107,114 | ||||||
IPC The Hospitalist Co., Inc. (a) | 4,653 | 181,513 | ||||||
LHC Group, Inc. (a) | 4,227 | 126,810 | ||||||
MWI Veterinary Supply, Inc. (a) | 3,513 | 221,846 | ||||||
Medidata Solutions, Inc. (a) | 5,179 | 123,674 | ||||||
Omnicell, Inc. (a) | 8,995 | 129,978 | ||||||
PharMerica Corp. (a) | 8,626 | 98,768 | ||||||
Quality Systems, Inc. (b) | 5,269 | 367,882 | ||||||
RehabCare Group, Inc. (a) | 7,132 | 169,028 | ||||||
Rural/Metro Corp. (a) | 5,805 | 84,637 | ||||||
Sun Healthcare Group Inc. (a) | 7,668 | 97,077 | ||||||
Team Health Holdings, Inc. (a) | 4,741 | 73,675 | ||||||
Transcend Services, Inc. (a) | 2,798 | 54,813 | ||||||
4,371,456 | ||||||||
Health Care: Miscellaneous — 0.1% | ||||||||
MedAssets, Inc. (a) | 12,070 | 243,693 | ||||||
The Providence Service Corp. (a) | 4,028 | 64,730 | ||||||
308,423 | ||||||||
Home Building — 0.2% | ||||||||
Beazer Homes USA, Inc. (a)(b) | 19,013 | 102,480 | ||||||
Hovnanian Enterprises, Inc., Class A (a)(b) | 16,382 | 67,002 | ||||||
M/I Homes, Inc. (a) | 6,002 | 92,311 | ||||||
Meritage Homes Corp. (a) | 9,116 | 202,375 | ||||||
Ryland Group, Inc. | 12,494 | 212,773 | ||||||
Standard-Pacific Corp. (a) | 29,587 | 136,100 | ||||||
813,041 | ||||||||
Hotel/Motel — 0.3% | ||||||||
Gaylord Entertainment Co. (a)(b) | 9,822 | 353,003 | ||||||
Marcus Corp. | 6,181 | 82,022 | ||||||
Morgans Hotel Group Co. (a) | 6,954 | 63,073 | ||||||
Orient Express Hotels Ltd., Class A (a) | 27,882 | 362,187 | ||||||
860,285 | ||||||||
Household Appliances — 0.1% | ||||||||
National Presto Industries, Inc. | 1,310 | 170,313 | ||||||
Household Equipment & Products — 0.2% | ||||||||
American Greetings Corp., Class A | 11,160 | 247,306 | ||||||
Blyth, Inc. | 1,589 | 54,789 | ||||||
CSS Industries, Inc. | 2,155 | 44,414 | ||||||
Central Garden & Pet Co., Class A (a) | 15,543 | 153,565 | ||||||
Helen of Troy Ltd. (a) | 8,684 | 258,262 | ||||||
Libbey, Inc. (a) | 4,923 | 76,159 | ||||||
834,495 | ||||||||
Household Furnishings — 0.2% | ||||||||
American Woodmark Corp. | 2,821 | 69,227 | ||||||
Ethan Allen Interiors, Inc. | 6,721 | 134,487 | ||||||
Furniture Brands International, Inc. (a) | 13,612 | 69,966 | ||||||
Hooker Furniture Corp. | 3,616 | 51,094 | ||||||
Kid Brands, Inc. (a) | 3,219 | 27,522 | ||||||
Kirkland’s, Inc. (a) | 5,129 | 71,960 | ||||||
La-Z-Boy, Inc. (a) | 14,172 | 127,831 | ||||||
Lifetime Brands, Inc. (a) | 3,057 | 42,920 | ||||||
Sealy Corp. (a)(b) | 13,256 | 38,708 | ||||||
Select Comfort Corp. (a) | 15,196 | 138,740 | ||||||
772,455 | ||||||||
Insurance: Life — 0.5% | ||||||||
American Equity Investment Life Holding Co. | 16,358 | 205,293 | ||||||
CNO Financial Group, Inc. (a) | 61,894 | 419,641 | ||||||
Citizens, Inc. (a) | 11,072 | 82,486 | ||||||
Delphi Financial Group, Inc., Class A | 13,193 | 380,486 | ||||||
FBL Financial Group, Inc., Class A | 3,792 | 108,717 | ||||||
Kansas City Life Insurance Co. | 1,186 | 39,174 | ||||||
Life Partners Holdings, Inc. | 2,272 | 43,463 | ||||||
National Western Life Insurance Co., Class A | 616 | 102,700 | ||||||
The Phoenix Cos., Inc. (a) | 35,222 | 89,464 | ||||||
Presidential Life Corp. | 6,613 | 65,667 | ||||||
Primerica, Inc. | 6,401 | 155,224 | ||||||
1,692,315 | ||||||||
Insurance: Multi-Line — 0.6% | ||||||||
Alterra Capital Holdings Ltd. | 26,686 | 577,485 | ||||||
Crawford & Co., Class B (a) | 8,394 | 28,540 | ||||||
eHealth, Inc. (a) | 6,702 | 95,101 | ||||||
Flagstone Reinsurance Holdings SA | 14,819 | 186,719 | ||||||
Horace Mann Educators Corp. | 10,981 | 198,097 | ||||||
Maiden Holdings Ltd. | 14,600 | 114,756 | ||||||
Pico Holdings, Inc. (a) | 6,453 | 205,206 | ||||||
Platinum Underwriters Holdings Ltd. | 11,251 | 505,958 | ||||||
1,911,862 | ||||||||
Insurance: Property-Casualty — 1.7% | ||||||||
American Safety Insurance Holdings Ltd. (a) | 2,775 | 59,330 | ||||||
Amerisafe, Inc. (a) | 4,659 | 81,533 | ||||||
AmTrust Financial Services, Inc. | 6,124 | 107,170 | ||||||
Argo Group International Holdings Ltd. | 8,550 | 320,198 | ||||||
Baldwin & Lyons, Inc., Class B | 2,672 | 62,872 | ||||||
CNA Surety Corp. (a) | 4,978 | 117,879 | ||||||
Donegal Group, Inc., Class A | 3,801 | 55,039 | ||||||
EMC Insurance Group, Inc. | 1,220 | 27,621 | ||||||
Employers Holdings, Inc. | 10,651 | 186,180 | ||||||
Enstar Group Ltd. (a) | 2,000 | 169,160 | ||||||
FPIC Insurance Group, Inc. (a) | 2,797 | 103,377 | ||||||
First American Financial Corp. | 28,911 | 431,930 | ||||||
First Mercury Financial Corp. | 4,283 | 70,241 | ||||||
Global Indemnity Plc (a) | 4,063 | 83,088 | ||||||
Greenlight Capital Re Ltd. (a) | 7,991 | 214,239 | ||||||
Hallmark Financial Services, Inc. (a) | 3,125 | 28,438 | ||||||
Harleysville Group, Inc. | 3,337 | 122,601 | ||||||
Hilltop Holdings, Inc. (a) | 11,058 | 109,695 | ||||||
Infinity Property & Casualty Corp. | 3,698 | 228,536 | ||||||
Meadowbrook Insurance Group, Inc. | 15,729 | 161,222 | ||||||
Montpelier Re Holdings Ltd. | 19,863 | 396,068 | ||||||
National Interstate Corp. | 1,701 | 36,401 | ||||||
Navigators Group, Inc. (a) | 3,393 | 170,838 | ||||||
The PMI Group, Inc. (a) | 41,267 | 136,181 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
58
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Insurance: Property-Casualty (concluded) | ||||||||
ProAssurance Corp. (a) | 8,824 | $ | 534,734 | |||||
RLI Corp. | 4,986 | 262,114 | ||||||
Radian Group, Inc. | 37,759 | 304,715 | ||||||
Safety Insurance Group, Inc. | 3,560 | 169,349 | ||||||
SeaBright Holdings, Inc. | 7,002 | 64,559 | ||||||
Selective Insurance Group, Inc. | 14,954 | 271,415 | ||||||
State Auto Financial Corp. | 4,480 | 78,042 | ||||||
Stewart Information Services Corp. | 4,621 | 53,280 | ||||||
Tower Group, Inc. | 11,064 | 283,017 | ||||||
United Fire & Casualty Co. | 6,351 | 141,754 | ||||||
5,642,816 | ||||||||
International Trade & Diversified Logistic — 0.0% | ||||||||
Global Sources Ltd. (a) | 6,515 | 62,023 | ||||||
Leisure Time — 0.6% | ||||||||
Callaway Golf Co. | 17,662 | 142,532 | ||||||
Churchill Downs, Inc. | 3,137 | 136,146 | ||||||
Interval Leisure Group, Inc. (a) | 11,392 | 183,867 | ||||||
Life Time Fitness, Inc. (a) | 11,638 | 477,042 | ||||||
Pool Corp. | 14,068 | 317,093 | ||||||
Smith & Wesson Holding Corp. (a) | 15,851 | 59,283 | ||||||
Speedway Motorsports, Inc. | 3,970 | 60,820 | ||||||
Steinway Musical Instruments, Inc. (a) | 1,615 | 32,058 | ||||||
Sturm Ruger & Co., Inc. | 5,038 | 77,031 | ||||||
Vail Resorts, Inc. (a) | 10,137 | 527,529 | ||||||
West Marine, Inc. (a) | 4,954 | 52,413 | ||||||
2,065,814 | ||||||||
Luxury Items — 0.0% | ||||||||
Movado Group, Inc. (a) | 4,897 | 79,038 | ||||||
Machinery: Agricultural — 0.2% | ||||||||
Alamo Group, Inc. | 1,915 | 53,275 | ||||||
Lindsay Manufacturing Co. (b) | 3,448 | 204,915 | ||||||
Titan International, Inc. (b) | 10,040 | 196,181 | ||||||
Titan Machinery, Inc. (a) | 3,589 | 69,268 | ||||||
523,639 | ||||||||
Machinery: Construction & Handling — 0.1% | ||||||||
Astec Industries, Inc. (a) | 5,569 | 180,491 | ||||||
Douglas Dynamics, Inc. | 2,729 | 41,345 | ||||||
NACCO Industries, Inc., Class A | 1,665 | 180,436 | ||||||
402,272 | ||||||||
Machinery: Engines — 0.1% | ||||||||
Briggs & Stratton Corp. (b) | 13,749 | 270,718 | ||||||
Machinery: Industrial — 1.4% | ||||||||
Actuant Corp., Class A | 18,814 | 500,829 | ||||||
Altra Holdings, Inc. (a) | 7,410 | 147,163 | ||||||
Applied Industrial Technologies, Inc. | 11,742 | 381,380 | ||||||
Chart Industries, Inc. (a) | 8,083 | 273,044 | ||||||
Colfax Corp. (a) | 6,529 | 120,199 | ||||||
Columbus McKinnon Corp. (a) | 5,464 | 111,028 | ||||||
DXP Enterprises, Inc. (a) | 2,538 | 60,912 | ||||||
EnPro Industries, Inc. (a) | 5,683 | 236,185 | ||||||
Flow International Corp. (a) | 12,968 | 53,039 | ||||||
Gerber Scientific, Inc. (a) | 7,871 | 61,945 | ||||||
Graham Corp. | 2,580 | 51,600 | ||||||
John Bean Technologies Corp. | 8,120 | 163,456 | ||||||
Kadant, Inc. (a) | 3,757 | 88,552 | ||||||
MTS Systems Corp. | 4,474 | 167,596 | ||||||
Middleby Corp. (a) | 4,614 | 389,514 | ||||||
Nordson Corp. | 9,462 | 869,369 | ||||||
Sauer-Danfoss, Inc. (a) | 3,362 | 94,976 | ||||||
Tecumseh Products Co., Class A (a) | 5,555 | 72,493 | ||||||
Tennant Co. | 5,299 | 203,535 | ||||||
Twin Disc, Inc. | 2,412 | 72,022 | ||||||
Woodward Governor Co. | 17,057 | 640,661 | ||||||
4,759,498 | ||||||||
Machinery: Specialty — 0.1% | ||||||||
Albany International Corp., Class A | 7,840 | 185,730 | ||||||
Cascade Corp. | 2,468 | 116,687 | ||||||
Presstek, Inc. (a) | 8,791 | 19,516 | ||||||
Xerium Technologies, Inc. (a) | 1,921 | 30,640 | ||||||
352,573 | ||||||||
Manufactured Housing — 0.0% | ||||||||
Cavco Industries, Inc. (a) | 1,766 | 82,455 | ||||||
Skyline Corp. | 2,564 | 66,869 | ||||||
149,324 | ||||||||
Medical & Dental Instruments & Supplies — 2.3% | ||||||||
Abiomed, Inc. (a) | 8,678 | 83,396 | ||||||
Align Technology, Inc. (a)(b) | 16,705 | 326,416 | ||||||
Alphatec Holdings, Inc. (a) | 13,198 | 35,635 | ||||||
American Medical Systems Holdings, Inc. (a) | 21,017 | 396,381 | ||||||
AngioDynamics, Inc. (a) | 6,834 | 105,039 | ||||||
Antares Pharma Inc. (a) | 26,215 | 44,566 | ||||||
Atrion Corp. | 464 | 83,269 | ||||||
CONMED Corp. (a) | 8,263 | 218,391 | ||||||
Cantel Medical Corp. | 3,843 | 89,926 | ||||||
Cerus Corp. (a) | 14,472 | 35,601 | ||||||
Conceptus, Inc. (a) | 8,485 | 117,093 | ||||||
CryoLife, Inc. (a) | 9,367 | 50,769 | ||||||
Cutera, Inc. (a) | 3,601 | 29,852 | ||||||
Delcath Systems Inc. (a)(b) | 12,269 | 120,236 | ||||||
Endologix, Inc. (a) | 14,633 | 104,626 | ||||||
Exactech, Inc. (a) | 2,225 | 41,875 | ||||||
Hansen Medical, Inc. (a) | 13,638 | 20,048 | ||||||
Heartware International, Inc. (a) | 2,571 | 225,142 | ||||||
ICU Medical, Inc. (a) | 3,309 | 120,778 | ||||||
Immucor, Inc. (a) | 19,543 | 387,538 | ||||||
Insulet Corp. (a) | 12,279 | 190,324 | ||||||
Integra LifeSciences Holdings Corp. (a) | 5,887 | 278,455 | ||||||
Invacare Corp. | 8,189 | 246,980 | ||||||
Landauer, Inc. | 2,693 | 161,499 | ||||||
MAKO Surgical Corp. (a)(b) | 8,659 | 131,790 | ||||||
Medical Action Industries, Inc. (a) | 3,794 | 36,347 | ||||||
Meridian Bioscience, Inc. | 11,442 | 264,997 | ||||||
Merit Medical Systems, Inc. (a) | 7,666 | 121,353 | ||||||
Neogen Corp. (a) | 6,405 | 262,797 | ||||||
NuVasive, Inc. (a) | 10,853 | 278,379 | ||||||
OraSure Technologies, Inc. (a) | 12,424 | 71,438 | ||||||
Orthofix International NV (a) | 4,802 | 139,258 | ||||||
Orthovita, Inc. (a) | 17,416 | 35,006 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
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Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Medical & Dental Instruments & Supplies (concluded) | ||||||||
Owens & Minor, Inc. | 17,336 | $ | 510,198 | |||||
PSS World Medical, Inc. (a) | 15,966 | 360,832 | ||||||
Quidel Corp. (a) | 6,370 | 92,046 | ||||||
Rochester Medical Corp. (a) | 2,911 | 31,788 | ||||||
Staar Surgical Co. (a) | 10,971 | 66,923 | ||||||
Steris Corp. | 16,245 | 592,293 | ||||||
SurModics, Inc. (a) | 5,440 | 64,573 | ||||||
Symmetry Medical, Inc. (a) | 10,591 | 97,967 | ||||||
Synovis Life Technologies, Inc. (a) | 3,647 | 58,753 | ||||||
Unilife Corp. (a) | 14,799 | 78,435 | ||||||
Vascular Solutions, Inc. (a) | 4,400 | 51,568 | ||||||
Volcano Corp. (a) | 14,036 | 383,323 | ||||||
West Pharmaceutical Services, Inc. | 9,216 | 379,699 | ||||||
Wright Medical Group, Inc. (a) | 10,460 | 162,444 | ||||||
Young Innovations, Inc. | 1,422 | 45,518 | ||||||
7,831,560 | ||||||||
Medical Equipment — 1.5% | ||||||||
Abaxis, Inc. (a) | 6,311 | 169,450 | ||||||
Accuray, Inc. (a) | 15,114 | 102,019 | ||||||
Affymetrix, Inc. (a) | 21,861 | 109,961 | ||||||
Analogic Corp. | 3,431 | 169,869 | ||||||
ArthroCare Corp. (a) | 7,616 | 236,553 | ||||||
Bruker BioSciences Corp. (a) | 20,059 | 332,979 | ||||||
Caliper Life Sciences, Inc. (a) | 13,459 | 85,330 | ||||||
Cyberonics, Inc. (a) | 7,867 | 244,034 | ||||||
Cynosure, Inc., Class A (a) | 2,515 | 25,728 | ||||||
DexCom, Inc. (a) | 17,344 | 236,746 | ||||||
Dionex Corp. (a) | 4,902 | 578,485 | ||||||
Greatbatch, Inc. (a) | 6,591 | 159,173 | ||||||
Haemonetics Corp. (a) | 6,876 | 434,426 | ||||||
IRIS International, Inc. (a) | 4,373 | 44,736 | ||||||
Luminex Corp. (a) | 10,705 | 195,687 | ||||||
MELA Sciences, Inc. (a)(b) | 9,363 | 31,366 | ||||||
Masimo Corp. | 14,437 | 419,684 | ||||||
Merge Healthcare, Inc. (a) | 15,972 | 59,576 | ||||||
Natus Medical, Inc. (a) | 7,848 | 111,285 | ||||||
NxStage Medical, Inc. (a) | 7,201 | 179,161 | ||||||
Palomar Medical Technologies, Inc. (a) | 4,943 | 70,240 | ||||||
Sirona Dental Systems, Inc. (a) | 9,262 | 386,966 | ||||||
Solta Medical, Inc. (a) | 15,700 | 47,885 | ||||||
SonoSite, Inc. (a) | 3,951 | 124,852 | ||||||
Spectranetic Corp. (a) | 10,944 | 56,471 | ||||||
Stereotaxis, Inc. (a) | 10,106 | 38,706 | ||||||
Syneron Medical Ltd. (a) | 10,776 | 109,807 | ||||||
Tomotherapy, Inc. (a) | 15,964 | 57,630 | ||||||
Vital Images, Inc. (a) | 4,790 | 66,964 | ||||||
Zoll Medical Corp. (a) | 5,912 | 220,104 | ||||||
5,105,873 | ||||||||
Medical Services — 0.2% | ||||||||
America Service Group, Inc. | 2,456 | 37,184 | ||||||
Bio-Reference Labs, Inc. (a) | 6,873 | 152,443 | ||||||
eResearch Technology, Inc. (a) | 13,873 | 101,967 | ||||||
Genoptix, Inc. (a) | 5,155 | 98,048 | ||||||
Kendle International, Inc. (a) | 4,053 | 44,137 | ||||||
Parexel International Corp. (a) | 16,422 | 348,639 | ||||||
782,418 | ||||||||
Metal Fabricating — 0.6% | ||||||||
Ampco-Pittsburgh Corp. | 2,707 | 75,931 | ||||||
Dynamic Materials Corp. | 3,530 | 79,672 | ||||||
Haynes International, Inc. | 3,332 | 139,378 | ||||||
Kaydon Corp. | 9,302 | 378,777 | ||||||
L.B. Foster Co., Class A (a) | 2,924 | 119,709 | ||||||
Metals USA Holdings Corp. (a) | 3,643 | 55,519 | ||||||
Mueller Industries, Inc. | 10,528 | 344,266 | ||||||
Mueller Water Products, Inc., Series A | 44,725 | 186,503 | ||||||
Northwest Pipe Co. (a) | 2,527 | 60,724 | ||||||
RBC Bearings, Inc. (a) | 6,016 | 235,105 | ||||||
RTI International Metals, Inc. (a) | 8,234 | 222,153 | ||||||
Worthington Industries, Inc. | 15,892 | 292,413 | ||||||
2,190,150 | ||||||||
Metals & Minerals: Diversified — 0.9% | ||||||||
AMCOL International Corp. | 6,762 | 209,622 | ||||||
Brush Engineered Materials, Inc. (a) | 5,627 | 217,427 | ||||||
Contango ORE Inc. (a) | 278 | 2,920 | ||||||
General Moly, Inc. (a) | 18,514 | 119,971 | ||||||
Globe Specialty Metals, Inc. | 17,292 | 295,520 | ||||||
Hecla Mining Co. (a) | 71,080 | 800,361 | ||||||
Minerals Technologies, Inc. | 5,227 | 341,898 | ||||||
Molycorp, Inc. (a) | 7,154 | 356,985 | ||||||
Oil-Dri Corp. of America | 1,497 | 32,170 | ||||||
Thompson Creek Metals Co., Inc. (a) | 45,097 | 663,828 | ||||||
US Energy Corp. Wyoming (a) | 7,411 | 45,059 | ||||||
United States Lime & Minerals, Inc. (a) | 728 | 30,671 | ||||||
3,116,432 | ||||||||
Miscellaneous Consumer Staples — 0.0% | ||||||||
Spectrum Brands Holdings, Inc. (a) | 5,218 | 162,645 | ||||||
Office Supplies & Equipment — 0.6% | ||||||||
ACCO Brands Corp. (a) | 15,757 | 134,250 | ||||||
Electronics for Imaging, Inc. (a) | 13,161 | 188,334 | ||||||
HNI Corp. | 12,699 | 396,209 | ||||||
Herman Miller, Inc. | 15,980 | 404,294 | ||||||
Kimball International, Inc., Class B | 8,306 | 57,311 | ||||||
Knoll, Inc. | 13,332 | 223,044 | ||||||
Steelcase, Inc., Class A | 21,566 | 227,953 | ||||||
United Stationers, Inc. (a) | 6,769 | 431,930 | ||||||
2,063,325 | ||||||||
Offshore Drilling & Other Services — 0.1% | ||||||||
Hercules Offshore, Inc. (a) | 34,953 | 120,937 | ||||||
Vantage Drilling Co. (a) | 46,103 | 93,589 | ||||||
214,526 | ||||||||
Oil Well Equipment & Services — 1.8% | ||||||||
Allis-Chalmers Energy, Inc. (a) | 9,963 | 70,638 | ||||||
Basic Energy Services, Inc. (a) | 6,663 | 109,806 | ||||||
CARBO Ceramics, Inc. | 5,248 | 543,378 | ||||||
Cal Dive International, Inc. (a) | 25,994 | 147,386 | ||||||
Complete Production Services, Inc. (a) | 21,680 | 640,644 | ||||||
Dawson Geophysical Co. (a) | 2,470 | 78,793 | ||||||
Dril-Quip, Inc. (a) | 9,416 | 731,812 | ||||||
Global Industries Ltd. (a) | 29,256 | 202,744 | ||||||
Golar LNG Ltd. | 10,033 | 150,595 | ||||||
Gulf Island Fabrication, Inc. | 4,117 | 116,017 | ||||||
Helix Energy Solutions Group, Inc. (a) | 29,289 | 355,568 | ||||||
Hornbeck Offshore Services, Inc. (a) | 6,679 | 139,458 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
60
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Oil Well Equipment & Services (concluded) | ||||||||
ION Geophysical Corp. (a) | 35,056 | $ | 297,275 | |||||
Key Energy Services, Inc. (a) | 35,088 | 455,442 | ||||||
Lufkin Industries, Inc. | 8,318 | 518,960 | ||||||
Matrix Service Co. (a) | 7,862 | 95,759 | ||||||
Natural Gas Services Group (a) | 3,749 | 70,894 | ||||||
Newpark Resources, Inc. (a) | 25,550 | 157,388 | ||||||
OYO Geospace Corp. (a) | 1,184 | 117,346 | ||||||
Parker Drilling Co. (a) | 32,126 | 146,816 | ||||||
Pioneer Drilling Co. (a) | 15,841 | 139,559 | ||||||
RPC, Inc. | 11,931 | 216,190 | ||||||
Seahawk Drilling, Inc. (a) | 4,013 | 35,916 | ||||||
T-3 Energy Services, Inc. (a) | 3,636 | 144,822 | ||||||
Tesco Corp. (a) | 8,657 | 137,473 | ||||||
Tetra Technologies, Inc. (a) | 21,356 | 253,496 | ||||||
Union Drilling, Inc. (a) | 5,000 | 36,400 | ||||||
Willbros Group, Inc. (a) | 13,595 | 133,503 | ||||||
6,244,078 | ||||||||
Oil: Crude Producers — 2.8% | ||||||||
ATP Oil & Gas Corp. (a) | 12,572 | 210,455 | ||||||
Abraxas Petroleum Corp. (a) | 19,363 | 88,489 | ||||||
Apco Oil and Gas International, Inc. | 2,582 | 148,465 | ||||||
Approach Resources, Inc. (a) | 4,530 | 104,643 | ||||||
BPZ Resources, Inc. (a)(b) | 27,350 | 130,186 | ||||||
Berry Petroleum Co., Class A | 14,151 | 618,399 | ||||||
Bill Barrett Corp. (a) | 12,617 | 518,937 | ||||||
Brigham Exploration Co. (a) | 32,390 | 882,304 | ||||||
CAMAC Energy, Inc. (a) | 12,646 | 25,166 | ||||||
Callon Petroleum Co. (a) | 9,307 | 55,097 | ||||||
Carrizo Oil & Gas, Inc. (a) | 8,579 | 295,890 | ||||||
Cheniere Energy, Inc. (a) | 17,673 | 97,555 | ||||||
Clayton Williams Energy, Inc. (a) | 1,716 | 144,093 | ||||||
Contango Oil & Gas Co. (a) | 3,259 | 188,794 | ||||||
Delta Petroleum Corp. (a)(b) | 57,892 | 43,998 | ||||||
Endeavour International Corp. (a) | 6,259 | 86,374 | ||||||
Energy Partners Ltd. (a) | 7,980 | 118,583 | ||||||
Energy XXI Bermuda Ltd. (a) | 18,882 | 522,465 | ||||||
FX Energy, Inc. (a)(b) | 13,204 | 81,205 | ||||||
GMX Resources Inc. (a) | 9,582 | 52,893 | ||||||
Gastar Exploration Ltd. (a) | 15,491 | 66,611 | ||||||
GeoResources, Inc. (a) | 3,475 | 77,180 | ||||||
Goodrich Petroleum Corp. (a) | 6,772 | 119,458 | ||||||
Gulfport Energy Corp. (a) | 7,748 | 167,744 | ||||||
Harvest Natural Resources, Inc. (a) | 9,106 | 110,820 | ||||||
Houston American Energy Corp. | 5,116 | 92,548 | ||||||
Kodiak Oil & Gas Corp. (a) | 48,935 | 322,971 | ||||||
Magnum Hunter Resources Corp. (a) | 15,421 | 111,031 | ||||||
McMoRan Exploration Co. (a)(b) | 26,600 | 455,924 | ||||||
Miller Petroleum, Inc. (a) | 4,608 | 23,962 | ||||||
Northern Oil And Gas, Inc. (a) | 14,942 | 406,572 | ||||||
Oasis Petroleum, Inc. (a) | 13,493 | 365,930 | ||||||
Panhandle Oil & Gas, Inc. | 2,254 | 61,805 | ||||||
Penn Virginia Corp. | 12,871 | 216,490 | ||||||
Petroleum Development Corp. (a) | 6,241 | 263,433 | ||||||
Petroquest Energy, Inc. (a) | 14,924 | 112,378 | ||||||
Ram Energy Resources, Inc. (a) | 20,867 | 38,395 | ||||||
Resolute Energy Corp. (a) | 10,965 | 161,843 | ||||||
Rex Energy Corp. (a) | 9,156 | 124,979 | ||||||
Rosetta Resources, Inc. (a) | 14,738 | 554,738 | ||||||
Stone Energy Corp. (a) | 11,897 | 265,184 | ||||||
Swift Energy Co. (a) | 11,320 | 443,178 | ||||||
TransAtlantic Petroleum Ltd. (a) | 41,201 | 137,199 | ||||||
Vaalco Energy, Inc. (a) | 14,252 | 102,044 | ||||||
Venoco, Inc. (a) | 5,644 | 104,132 | ||||||
W&T Offshore, Inc. | 9,928 | 177,413 | ||||||
Warren Resources, Inc. (a) | 20,216 | 91,376 | ||||||
9,589,329 | ||||||||
Oil: Refining & Marketing — 0.3% | ||||||||
CVR Energy, Inc. (a) | 8,639 | 131,140 | ||||||
Clean Energy Fuels Corp. (a)(b) | 13,108 | 181,415 | ||||||
Delek US Holdings, Inc. | 3,617 | 26,332 | ||||||
Western Refining, Inc. (a)(b) | 13,882 | 146,871 | ||||||
World Fuel Services Corp. | 19,149 | 692,428 | ||||||
1,178,186 | ||||||||
Paints & Coatings — 0.2% | ||||||||
Ferro Corp. (a) | 24,133 | 353,307 | ||||||
H.B. Fuller Co. | 13,730 | 281,740 | ||||||
635,047 | ||||||||
Paper — 0.4% | ||||||||
Boise, Inc. | 20,055 | 159,036 | ||||||
Buckeye Technologies, Inc. | 10,853 | 228,021 | ||||||
Clearwater Paper Corp. (a) | 3,233 | 253,144 | ||||||
Kapstone Paper and Packaging Corp. (a) | 10,431 | 159,594 | ||||||
Neenah Paper, Inc. | 4,231 | 83,266 | ||||||
P.H. Glatfelter Co. | 13,091 | 160,627 | ||||||
Schweitzer-Mauduit International, Inc. | 5,102 | 321,018 | ||||||
Wausau Paper Corp. | 14,144 | 121,780 | ||||||
1,486,486 | ||||||||
Personal Care — 0.1% | ||||||||
Female Health Co. | 4,865 | 27,682 | ||||||
USANA Health Sciences, Inc. (a) | 1,811 | 78,688 | ||||||
WD-40 Co. | 4,670 | 188,107 | ||||||
294,477 | ||||||||
Pharmaceuticals — 1.7% | ||||||||
Akorn, Inc. (a) | 16,579 | 100,635 | ||||||
Alexza Pharmaceuticals, Inc. (a) | 20,109 | 25,136 | ||||||
Alkermes, Inc. (a) | 26,192 | 321,638 | ||||||
Ardea Biosciences, Inc. (a) | 4,096 | 106,496 | ||||||
Auxilium Pharmaceuticals, Inc. (a) | 11,884 | 250,752 | ||||||
Avanir Pharmaceuticals, Inc. (a) | 25,426 | 103,738 | ||||||
BMP Sunstone Corp. (a) | 7,474 | 74,067 | ||||||
BioCryst Pharmaceuticals, Inc. (a) | 7,346 | 37,979 | ||||||
Biospecifics Technologies (a) | 941 | 24,090 | ||||||
Cadence Pharmaceuticals, Inc. (a)(b) | 8,926 | 67,391 | ||||||
Cambrex Corp. (a) | 7,802 | 40,336 | ||||||
Corcept Therapeutics Inc. (a) | 8,329 | 32,150 | ||||||
Depomed, Inc. (a) | 15,975 | 101,601 | ||||||
Durect Corp. (a) | 26,387 | 91,035 | ||||||
Eurand NV (a) | 6,048 | 71,548 | ||||||
Hi-Tech Pharmacal Co., Inc. (a) | 2,944 | 73,453 | ||||||
Impax Laboratories, Inc. (a) | 17,716 | 356,269 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
61
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Pharmaceuticals (concluded) | ||||||||
Inspire Pharmaceuticals, Inc. (a) | 17,578 | $ | 147,655 | |||||
Ironwood Pharmaceuticals, Inc. (a) | 6,233 | 64,512 | ||||||
Isis Pharmaceuticals, Inc. (a) | 26,819 | 271,408 | ||||||
Jazz Pharmaceuticals, Inc. (a) | 4,518 | 88,914 | ||||||
MAP Pharmaceuticals, Inc. (a) | 4,555 | 76,251 | ||||||
Medicines Co. (a) | 15,244 | 215,398 | ||||||
Medicis Pharmaceutical Corp., Class A | 16,868 | 451,894 | ||||||
Obagi Medical Products, Inc. (a) | 4,854 | 56,064 | ||||||
Optimer Pharmaceuticals, Inc. (a)(b) | 10,164 | 114,955 | ||||||
Pain Therapeutics, Inc. | 9,856 | 66,528 | ||||||
Par Pharmaceutical Cos., Inc. (a) | 9,642 | 371,313 | ||||||
Pharmacyclics, Inc. (a) | 12,579 | 76,480 | ||||||
Pozen, Inc. (a) | 7,391 | 49,150 | ||||||
Prestige Brands Holdings, Inc. (a) | 11,461 | 136,959 | ||||||
Questcor Pharmaceuticals, Inc. (a) | 15,416 | 227,078 | ||||||
SIGA Technologies, Inc. (a) | 9,807 | 137,298 | ||||||
Salix Pharmaceuticals Ltd. (a) | 15,916 | 747,415 | ||||||
Santarus, Inc. (a) | 16,883 | 55,207 | ||||||
Sciclone Pharmaceuticals, Inc. (a) | 9,599 | 40,124 | ||||||
Somaxon Pharmaceuticals, Inc. (a)(b) | 10,881 | 34,275 | ||||||
Spectrum Pharmaceuticals, Inc. (a) | 16,168 | 111,074 | ||||||
SuperGen, Inc. (a) | 15,322 | 40,144 | ||||||
Vical, Inc. (a) | 23,203 | 46,870 | ||||||
Vivus, Inc. (a)(b) | 23,017 | 215,669 | ||||||
Xenoport, Inc. (a) | 9,474 | 80,719 | ||||||
5,801,668 | ||||||||
Photography — 0.1% | ||||||||
CPI Corp. | 1,364 | 30,758 | ||||||
Eastman Kodak Co. (a) | 75,595 | 405,189 | ||||||
435,947 | ||||||||
Plastics — 0.1% | ||||||||
A Schulman, Inc. | 8,955 | 204,980 | ||||||
Spartech Corp. (a) | 8,818 | 82,536 | ||||||
287,516 | ||||||||
Power Transmission Equipment — 0.2% | ||||||||
Advanced Energy Industries, Inc. (a) | 9,933 | 135,486 | ||||||
Generac Holdings, Inc. (a) | 5,700 | 92,169 | ||||||
Maxwell Technologies, Inc. (a) | 7,390 | 139,597 | ||||||
Powell Industries, Inc. (a) | 2,486 | 81,740 | ||||||
Power-One, Inc. (a) | 19,602 | 199,940 | ||||||
Vicor Corp. | 5,552 | 91,053 | ||||||
739,985 | ||||||||
Precious Metals & Minerals — 0.1% | ||||||||
Horsehead Holding Corp. (a) | 11,875 | 154,850 | ||||||
Stillwater Mining Co. (a) | 12,542 | 267,772 | ||||||
422,622 | ||||||||
Printing & Copying Services — 0.0% | ||||||||
Casella Waste Systems, Inc. (a) | 6,770 | 47,999 | ||||||
Cenveo, Inc. (a) | 16,875 | 90,113 | ||||||
138,112 | ||||||||
Producer Durables: Miscellaneous — 0.1% | ||||||||
Blount International, Inc. (a) | 13,521 | 213,091 | ||||||
Park-Ohio Holdings Corp. (a) | 2,083 | 43,555 | ||||||
256,646 | ||||||||
Production Technology Equipment — 1.2% | ||||||||
ATMI, Inc. (a)(c) | 8,945 | 178,363 | ||||||
Axcelis Technologies, Inc. (a) | 29,688 | 102,721 | ||||||
Brooks Automation, Inc. (a) | 17,785 | 161,310 | ||||||
Cognex Corp. | 11,186 | 329,092 | ||||||
Cohu, Inc. | 6,543 | 108,483 | ||||||
Cymer, Inc. (a) | 8,378 | 377,597 | ||||||
Electro Scientific Industries, Inc. (a) | 7,947 | 127,390 | ||||||
Entegris, Inc. (a) | 37,073 | 276,935 | ||||||
FEI Co. (a) | 10,786 | 284,858 | ||||||
FSI International, Inc. (a) | 11,682 | 51,634 | ||||||
Intevac, Inc. (a) | 6,716 | 94,091 | ||||||
Kulicke & Soffa Industries, Inc. (a) | 19,073 | 137,326 | ||||||
LTX-Credence Corp. (a) | 13,925 | 103,045 | ||||||
MKS Instruments, Inc. (a) | 13,799 | 337,938 | ||||||
Mattson Technology, Inc. (a) | 13,255 | 39,765 | ||||||
Nanometrics, Inc. (a) | 5,369 | 68,884 | ||||||
Photronics, Inc. (a) | 14,837 | 87,687 | ||||||
Rudolph Technologies, Inc. (a) | 9,575 | 78,802 | ||||||
Tessera Technologies, Inc. (a) | 13,833 | 306,401 | ||||||
Ultra Clean Holdings, Inc. (a) | 5,622 | 52,341 | ||||||
Ultratech, Inc. (a) | 6,599 | 131,188 | ||||||
Veeco Instruments, Inc. (a)(b) | 11,281 | 484,632 | ||||||
3,920,483 | ||||||||
Publishing — 0.2% | ||||||||
AH Belo Corp. (a) | 5,824 | 50,669 | ||||||
Courier Corp. | 2,809 | 43,596 | ||||||
The Dolan Co. (a) | 8,415 | 117,137 | ||||||
Journal Communications, Inc., Class A (a) | 13,672 | 69,044 | ||||||
Lee Enterprises, Inc. (a) | 12,130 | 29,840 | ||||||
Martha Stewart Living Omnimedia, Inc., Class A (a) | 9,097 | 40,209 | ||||||
McClatchy Co., Class A (a) | 18,259 | 85,269 | ||||||
Media General, Inc., Class A (a) | 6,190 | 35,778 | ||||||
Scholastic Corp. | 8,601 | 254,073 | ||||||
725,615 | ||||||||
Radio & TV Broadcasters — 0.1% | ||||||||
Entercom Communications Corp. (a) | 7,400 | 85,692 | ||||||
Entravision Communications Corp., Class A (a) | 13,536 | 34,787 | ||||||
Fisher Communications, Inc. (a) | 1,917 | 41,791 | ||||||
Gray Television, Inc. (a) | 12,942 | 24,202 | ||||||
Lin TV Corp., Class A (a) | 9,820 | 52,046 | ||||||
Sinclair Broadcast Group, Inc., Class A | 13,411 | 109,702 | ||||||
348,220 | ||||||||
Railroad Equipment — 0.1% | ||||||||
American Railcar Industries, Inc. (a) | 2,946 | 65,195 | ||||||
Freightcar America, Inc. | 3,600 | 104,184 | ||||||
Greenbrier Cos., Inc. (a) | 5,227 | 109,715 | ||||||
279,094 | ||||||||
Railroads — 0.2% | ||||||||
Genesee & Wyoming, Inc., Class A (a) | 10,695 | 566,300 | ||||||
Railamerica, Inc. (a) | 6,557 | 84,913 | ||||||
651,213 | ||||||||
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
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Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Real Estate — 0.2% | ||||||||
Avatar Holdings, Inc. (a) | 3,071 | $ | 60,867 | |||||
Consolidated-Tomoka Land Co. | 1,421 | 41,067 | ||||||
Forestar Group, Inc. (a) | 10,343 | 199,620 | ||||||
HFF, Inc., Class A (a) | 5,892 | 56,917 | ||||||
Kennedy-Wilson Holdings, Inc. (a) | 5,704 | 56,983 | ||||||
Tejon Ranch Co. (a) | 3,901 | 107,472 | ||||||
Thomas Properties Group, Inc. | 10,000 | 42,200 | ||||||
565,126 | ||||||||
Real Estate Investment Trusts (REITs) — 7.1% | ||||||||
Acadia Realty Trust | 11,565 | 210,946 | ||||||
Agree Realty Corp. | 2,415 | 63,249 | ||||||
Alexander’s, Inc. | 584 | 240,772 | ||||||
American Campus Communities, Inc. | 18,057 | 573,490 | ||||||
American Capital Agency Corp. | 14,016 | 402,820 | ||||||
Anworth Mortgage Asset Corp. | 32,285 | 225,995 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 6,006 | 98,198 | ||||||
Ashford Hospitality Trust, Inc. (a) | 11,735 | 113,243 | ||||||
Associated Estates Realty Corp. | 11,693 | 178,786 | ||||||
BioMed Realty Trust, Inc. | 36,167 | 674,515 | ||||||
CBL & Associates Properties, Inc. | 38,540 | 674,450 | ||||||
Campus Crest Communities Inc. | 8,499 | 119,156 | ||||||
CapLease, Inc. | 18,681 | 108,723 | ||||||
Capstead Mortgage Corp. | 19,086 | 240,293 | ||||||
Cedar Shopping Centers, Inc. | 17,380 | 109,320 | ||||||
Chatham Lodging Trust | 3,147 | 54,286 | ||||||
Chesapeake Lodging Trust | 5,022 | 94,464 | ||||||
Cogdell Spencer, Inc. | 14,062 | 81,560 | ||||||
Colonial Properties Trust | 21,729 | 392,208 | ||||||
Colony Financial, Inc. | 4,051 | 81,101 | ||||||
Coresite Realty Corp. | 5,462 | 74,502 | ||||||
Cousins Properties, Inc. | 25,146 | 209,717 | ||||||
CreXus Investment Corp. | 5,325 | 69,758 | ||||||
Cypress Sharpridge Investments, Inc. | 13,900 | 179,449 | ||||||
DCT Industrial Trust, Inc. | 60,489 | 321,197 | ||||||
DiamondRock Hospitality Co. | 43,067 | 516,804 | ||||||
Dupont Fabros Technology, Inc. | 11,415 | 242,797 | ||||||
Dynex Capital Corp. | 7,178 | 78,384 | ||||||
Eastgroup Properties, Inc. | 7,421 | 314,057 | ||||||
Education Realty Trust, Inc. | 17,042 | 132,416 | ||||||
Entertainment Properties Trust | 12,733 | 588,901 | ||||||
Equity Lifestyle Properties, Inc. | 7,259 | 405,996 | ||||||
Equity One, Inc. | 10,012 | 182,018 | ||||||
Excel Trust, Inc. | 6,109 | 73,919 | ||||||
Extra Space Storage, Inc. | �� | 24,351 | 423,707 | |||||
FelCor Lodging Trust, Inc. (a) | 28,167 | 198,296 | ||||||
First Industrial Realty Trust, Inc. (a) | 18,205 | 159,476 | ||||||
First Potomac Realty Trust | 13,877 | 233,411 | ||||||
Franklin Street Properties Corp. | 19,776 | 281,808 | ||||||
Getty Realty Corp. | 5,991 | 187,398 | ||||||
Gladstone Commercial Corp. | 2,799 | 52,705 | ||||||
Glimcher Realty Trust | 24,338 | 204,439 | ||||||
Government Properties Income Trust | 7,670 | 205,479 | ||||||
Hatteras Financial Corp. (b) | 12,201 | 369,324 | ||||||
Healthcare Realty Trust, Inc. | 17,187 | 363,849 | ||||||
Hersha Hospitality Trust | 38,342 | 253,057 | ||||||
Highwoods Properties, Inc. | 17,419 | 554,795 | ||||||
Home Properties, Inc. | 10,247 | 568,606 | ||||||
Hudson Pacific Properties Inc. | 4,548 | 68,447 | ||||||
Inland Real Estate Corp. | 20,639 | 181,623 | ||||||
InvesCo. Mortgage Capital, Inc. | 10,710 | 233,906 | ||||||
Investors Real Estate Trust | 20,938 | 187,814 | ||||||
iStar Financial, Inc. (a) | 26,319 | 205,815 | ||||||
Kilroy Realty Corp. | 14,937 | 544,752 | ||||||
Kite Realty Group Trust | 15,363 | 83,114 | ||||||
LTC Properties, Inc. | 7,265 | 204,001 | ||||||
LaSalle Hotel Properties | 19,447 | 513,401 | ||||||
Lexington Corporate Properties Trust | 28,061 | 223,085 | ||||||
MFA Financial, Inc. | 74,984 | 611,869 | ||||||
MPG Office Trust, Inc. (a) | 15,904 | 43,736 | ||||||
Medical Properties Trust, Inc. | 30,546 | 330,813 | ||||||
Mid-America Apartment Communities, Inc. | 8,951 | 568,299 | ||||||
Mission West Properties, Inc. | 6,057 | 40,521 | ||||||
Monmouth Real Estate Investment Corp., Class A | 8,155 | 69,318 | ||||||
National Health Investors, Inc. | 6,729 | 302,940 | ||||||
National Retail Properties, Inc. | 22,612 | 599,218 | ||||||
Newcastle Investment Corp. | 16,873 | 113,049 | ||||||
NorthStar Realty Finance Corp. (b) | 23,413 | 111,212 | ||||||
Omega Healthcare Investors, Inc. | 27,382 | 614,452 | ||||||
One Liberty Properties, Inc. | 2,480 | 41,416 | ||||||
PS Business Parks, Inc. | 5,213 | 290,468 | ||||||
Parkway Properties, Inc. | 6,641 | 116,350 | ||||||
Pebblebrook Hotel Trust | 10,710 | 217,627 | ||||||
Pennsylvania Real Estate Investment Trust | 15,958 | 231,870 | ||||||
PennyMac Mortgage Investment Trust (d) | 5,329 | 96,721 | ||||||
Post Properties, Inc. | 13,498 | 489,977 | ||||||
Potlatch Corp. | 11,042 | 359,417 | ||||||
RAIT Investment Trust (a) | 29,403 | 64,393 | ||||||
Ramco-Gershenson Properties Trust | 11,025 | 137,261 | ||||||
Redwood Trust, Inc. | 22,240 | 332,043 | ||||||
Resource Capital Corp. | 13,297 | 98,132 | ||||||
Retail Opportunity Investments Corp. | 11,819 | 117,126 | ||||||
Sabra Healthcare REIT Inc. | 6,848 | 126,003 | ||||||
Saul Centers, Inc. | 1,979 | 93,706 | ||||||
Sovran Self Storage, Inc. | 7,612 | 280,198 | ||||||
Starwood Property Trust, Inc. | 13,525 | 290,517 | ||||||
Strategic Hotel Capital, Inc. (a) | 40,432 | 213,885 | ||||||
Sun Communities, Inc. | 5,660 | 188,535 | ||||||
Sunstone Hotel Investors, Inc. (a) | 31,316 | 323,494 | ||||||
Tanger Factory Outlet Centers, Inc. | 10,974 | 561,759 | ||||||
Terreno Realty Corp. (a) | 3,767 | 67,542 | ||||||
Two Harbors Investment Corp. | 7,240 | 70,880 | ||||||
UMH Properties, Inc. | 3,019 | 30,794 | ||||||
U-Store-It Trust | 26,625 | 253,736 | ||||||
Universal Health Realty Income Trust | 2,771 | 101,225 | ||||||
Urstadt Biddle Properties, Inc., Class A | 5,100 | 99,195 | ||||||
Walter Investment Management Corp. | 6,623 | 118,817 | ||||||
Washington Real Estate Investment Trust | 16,642 | 515,736 | ||||||
Winthrop Realty Trust | 7,107 | 90,899 | ||||||
24,054,947 | ||||||||
Recreational Vehicles & Boats — 0.4% | ||||||||
Arctic Cat, Inc. (a) | 3,278 | 47,990 | ||||||
Brunswick Corp. | 24,883 | 466,308 | ||||||
Drew Industries, Inc. | 5,231 | 118,848 | ||||||
Polaris Industries, Inc. | 8,607 | 671,518 | ||||||
Winnebago Industries, Inc. (a) | 8,586 | 130,507 | ||||||
1,435,171 | ||||||||
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
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Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Rental & Leasing Services: Consumer — 0.5% | ||||||||
Amerco, Inc. (a) | 2,429 | $ | 233,281 | |||||
Avis Budget Group, Inc. (a) | 28,726 | 446,977 | ||||||
Dollar Thrifty Automotive Group, Inc. (a) | 7,963 | 376,331 | ||||||
Rent-A-Center, Inc. | 18,264 | 589,562 | ||||||
1,646,151 | ||||||||
Restaurants — 1.4% | ||||||||
AFC Enterprises, Inc. (a) | 7,532 | 104,695 | ||||||
BJ’s Restaurants, Inc. (a) | 6,232 | 220,800 | ||||||
Biglari Holdings, Inc. (a) | 412 | 169,007 | ||||||
Bob Evans Farms, Inc. | 8,669 | 285,730 | ||||||
Bravo Brio Restaurant Group, Inc. (a) | 3,196 | 61,267 | ||||||
Buffalo Wild Wings, Inc. (a) | 5,161 | 226,310 | ||||||
CEC Entertainment, Inc. (a) | 6,276 | 243,697 | ||||||
California Pizza Kitchen, Inc. (a) | 5,592 | 96,630 | ||||||
The Cheesecake Factory, Inc. (a) | 16,690 | 511,715 | ||||||
Cracker Barrel Old Country Store, Inc. | 6,582 | 360,496 | ||||||
Denny’s Corp. (a) | 29,129 | 104,282 | ||||||
DineEquity, Inc. (a) | 5,112 | 252,431 | ||||||
Domino’s Pizza, Inc. (a) | 10,453 | 166,725 | ||||||
Jack in the Box, Inc. (a) | 15,432 | 326,078 | ||||||
Jamba, Inc. (a) | 15,119 | 34,320 | ||||||
Krispy Kreme Doughnuts, Inc. (a) | 16,537 | 115,428 | ||||||
McCormick & Schmick’s Seafood Restaurants, Inc. (a) | 4,210 | 38,269 | ||||||
O’Charleys, Inc. (a) | 6,021 | 43,351 | ||||||
P.F. Chang’s China Bistro, Inc. | 6,435 | 311,840 | ||||||
Papa John’s International, Inc. (a) | 6,071 | 168,167 | ||||||
Red Robin Gourmet Burgers, Inc. (a) | 4,602 | 98,805 | ||||||
Ruby Tuesday, Inc. (a) | 17,861 | 233,265 | ||||||
Ruth’s Hospitality Group, Inc. (a) | 8,052 | 37,281 | ||||||
Sonic Corp. (a) | 17,568 | 177,788 | ||||||
Texas Roadhouse, Inc., Class A (a) | 16,259 | 279,167 | ||||||
4,667,544 | ||||||||
Scientific Instruments: Control & Filter — 0.7% | ||||||||
Brady Corp. | 13,574 | 442,648 | ||||||
CIRCOR International, Inc. | 4,835 | 204,424 | ||||||
ESCO Technologies, Inc. | 7,294 | 276,005 | ||||||
Energy Recovery, Inc. (a) | 10,937 | 40,029 | ||||||
The Gorman-Rupp Co. | 3,373 | 109,015 | ||||||
L-1 Identity Solutions, Inc. (a) | 21,034 | 250,515 | ||||||
Mine Safety Appliances Co. | 7,211 | 224,478 | ||||||
PMFG, Inc. (a) | 4,319 | 70,832 | ||||||
Robbins & Myers, Inc. | 7,551 | 270,175 | ||||||
Sun Hydraulics, Inc. | 3,477 | 131,431 | ||||||
Watts Water Technologies, Inc., Class A | 8,220 | 300,770 | ||||||
X-Rite, Inc. (a) | 8,486 | 38,781 | ||||||
2,359,103 | ||||||||
Scientific Instruments: Electrical — 1.2% | ||||||||
A123 Systems, Inc. (a)(b) | 20,773 | 198,174 | ||||||
A.O. Smith Corp. | 10,085 | 384,037 | ||||||
AZZ, Inc. | 3,350 | 134,034 | ||||||
Advanced Battery Technologies, Inc. (a) | 17,782 | 68,461 | ||||||
American Superconductor Corp. (a)(b) | 13,836 | 395,571 | ||||||
Baldor Electric Co. | 13,059 | 823,239 | ||||||
Ballantyne Strong, Inc. (a) | 4,911 | 38,159 | ||||||
Broadwind Energy, Inc. (a) | 24,807 | 57,304 | ||||||
Ener1, Inc. (a) | 18,435 | 69,869 | ||||||
EnerSys (a) | 13,437 | 431,596 | ||||||
Franklin Electric Co., Inc. | 6,375 | 248,115 | ||||||
GrafTech International Ltd. (a) | 33,612 | 666,862 | ||||||
Houston Wire & Cable Co. | 4,860 | 65,318 | ||||||
Littelfuse, Inc. | 6,014 | 283,019 | ||||||
SatCon Technology Corp. (a) | 31,620 | 142,290 | ||||||
Taser International, Inc. (a) | 19,241 | 90,433 | ||||||
UQM Technologies Inc. (a) | 9,407 | 21,542 | ||||||
4,118,023 | ||||||||
Scientific Instruments: Gauges & Meters — 0.2% | ||||||||
Badger Meter, Inc. | 4,217 | 186,476 | ||||||
Faro Technologies, Inc. (a) | 4,657 | 152,936 | ||||||
Measurement Specialties, Inc. (a) | 4,213 | 123,651 | ||||||
Zygo Corp. (a) | 4,827 | 59,034 | ||||||
522,097 | ||||||||
Scientific Instruments: Pollution Control — 0.4% | ||||||||
Clean Harbors, Inc. (a) | 6,286 | 528,527 | ||||||
Darling International, Inc. (a) | 23,347 | 310,048 | ||||||
EnergySolutions, Inc. | 24,218 | 134,894 | ||||||
Fuel Tech, Inc. (a) | 4,784 | 46,453 | ||||||
Met-Pro Corp. | 4,635 | 54,739 | ||||||
Metalico, Inc. (a) | 10,052 | 59,106 | ||||||
Team, Inc. (a) | 5,437 | 131,575 | ||||||
US Ecology, Inc. | 5,386 | 93,609 | ||||||
1,358,951 | ||||||||
Securities Brokerage & Services — 0.6% | ||||||||
BGC Partners, Inc. | 16,478 | 136,932 | ||||||
GFI Group, Inc. | 19,254 | 90,301 | ||||||
Gladstone Investment Corp. | 7,015 | 53,665 | ||||||
International Assets Holding Corp., Inc. (a) | 3,747 | 88,429 | ||||||
Investment Technology Group, Inc. (a) | 12,215 | 199,960 | ||||||
KBW, Inc. | 9,961 | 278,111 | ||||||
Knight Capital Group, Inc., Class A (a) | 25,731 | 354,830 | ||||||
LaBranche & Co., Inc. (a) | 9,314 | 33,530 | ||||||
Ladenburg Thalmann Financial Services, Inc. (a) | 23,642 | 27,661 | ||||||
MF Global Holdings Ltd. (a) | 30,532 | 255,248 | ||||||
MarketAxess Holdings, Inc. | 7,864 | 163,650 | ||||||
optionsXpress Holdings, Inc. | 11,713 | 183,543 | ||||||
Penson Worldwide, Inc. (a) | 7,129 | 34,861 | ||||||
SWS Group, Inc. | 7,577 | 38,264 | ||||||
TradeStation Group, Inc. (a) | 12,076 | 81,513 | ||||||
2,020,498 | ||||||||
Semiconductors & Components — 2.5% | ||||||||
AXT, Inc. (a) | 9,186 | 95,902 | ||||||
Advanced Analogic Technologies, Inc. (a) | 11,443 | 45,886 | ||||||
Amkor Technology, Inc. (a) | 29,076 | 214,872 | ||||||
Anadigics, Inc. (a) | 18,245 | 126,438 | ||||||
Applied Micro Circuits Corp. (a) | 18,579 | 198,424 | ||||||
Cavium Networks, Inc. (a) | 12,355 | 465,536 | ||||||
Ceva, Inc. (a) | 5,769 | 118,265 | ||||||
Cirrus Logic, Inc. (a) | 19,249 | 307,599 | ||||||
Conexant Systems, Inc. (a) | 21,512 | 35,065 | ||||||
DSP Group, Inc. (a) | 7,463 | 60,749 | ||||||
Diodes, Inc. (a) | 9,303 | 251,088 | ||||||
Entropic Communications, Inc. (a) | 18,306 | 221,137 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
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Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Semiconductors & Components (concluded) | ||||||||
Exar Corp. (a) | 9,676 | $ | 67,539 | |||||
Formfactor, Inc. (a) | 13,608 | 120,839 | ||||||
Hittite Microwave Corp. (a) | 7,560 | 461,462 | ||||||
IXYS Corp. (a) | 6,681 | 77,633 | ||||||
Integrated Device Technology, Inc. (a) | 44,708 | 297,755 | ||||||
Integrated Silicon Solutions, Inc. (a) | 7,810 | 62,714 | ||||||
Kopin Corp. (a) | 20,001 | 83,204 | ||||||
Lattice Semiconductor Corp. (a) | 32,983 | 199,877 | ||||||
MIPS Technologies, Inc. (a) | 13,638 | 206,752 | ||||||
MaxLinear, Inc., Class A (a) | 2,353 | 25,318 | ||||||
Micrel, Inc. | 14,234 | 184,900 | ||||||
Microsemi Corp. (a) | 23,096 | 528,898 | ||||||
Mindspeed Technologies, Inc. (a) | 9,656 | 58,902 | ||||||
Monolithic Power Systems, Inc. (a) | 9,247 | 152,761 | ||||||
MoSys, Inc. (a) | 9,143 | 52,024 | ||||||
Netlogic Microsystems, Inc. (a) | 17,439 | 547,759 | ||||||
Omnivision Technologies, Inc. (a) | 14,804 | 438,347 | ||||||
PLX Technology, Inc. (a) | 9,602 | 34,663 | ||||||
Pericom Semiconductor Corp. (a) | 6,681 | 73,357 | ||||||
Power Integrations, Inc. | 6,719 | 269,701 | ||||||
RF Micro Devices, Inc. (a) | 74,875 | 550,331 | ||||||
Rubicon Technology, Inc. (a)(b) | 4,365 | 92,014 | ||||||
Semtech Corp. (a) | 17,250 | 390,540 | ||||||
Sigma Designs, Inc. (a) | 8,958 | 126,935 | ||||||
Silicon Image, Inc. (a) | 21,221 | 155,974 | ||||||
Spansion, Inc., Class A (a) | 3,756 | 77,749 | ||||||
Standard Microsystems Corp. (a) | 6,383 | 184,022 | ||||||
Supertex, Inc. (a) | 2,706 | 65,431 | ||||||
Trident Microsystems, Inc. (a) | 23,713 | 42,209 | ||||||
TriQuint Semiconductor, Inc. (a) | 43,132 | 504,213 | ||||||
Volterra Semiconductor Corp. (a) | 6,995 | 162,004 | ||||||
Zoran Corp. (a) | 14,988 | 131,894 | ||||||
8,568,682 | ||||||||
Shipping — 0.6% | ||||||||
Baltic Trading Ltd. | 4,253 | 43,423 | ||||||
DHT Holdings, Inc. | 15,477 | 71,968 | ||||||
Eagle Bulk Shipping, Inc. (a) | 18,333 | 91,298 | ||||||
Excel Maritime Carriers Ltd. (a) | 11,924 | 67,132 | ||||||
Genco Shipping & Trading Ltd. (a) | 7,599 | 109,426 | ||||||
General Maritime Corp. | 21,897 | 71,165 | ||||||
Gulfmark Offshore, Inc., Class A (a) | 6,658 | 202,403 | ||||||
Horizon Lines, Inc., Class A | 7,957 | 34,772 | ||||||
International Shipholding Corp. | 1,487 | 37,770 | ||||||
Knightsbridge Tankers Ltd. | 6,671 | 148,563 | ||||||
Nordic American Tanker Shipping Ltd. (b) | 12,946 | 336,855 | ||||||
Overseas Shipholding Group, Inc. | 7,082 | 250,845 | ||||||
Scorpio Tankers, Inc. (a) | 4,931 | 49,852 | ||||||
Ship Finance International Ltd. | 12,673 | 272,723 | ||||||
Teekay Tankers Ltd., Class A | 8,631 | 106,507 | ||||||
Ultrapetrol Bahamas Ltd. (a) | 7,456 | 47,942 | ||||||
1,942,644 | ||||||||
Specialty Retail — 3.4% | ||||||||
America’s Car Mart, Inc. (a) | 2,818 | 76,311 | ||||||
AnnTaylor Stores Corp. (a) | 16,340 | 447,553 | ||||||
Asbury Automotive Group, Inc. (a) | 8,005 | 147,932 | ||||||
Barnes & Noble, Inc. (b) | 11,041 | 156,230 | ||||||
bebe Stores, Inc. | 10,016 | 59,695 | ||||||
Big 5 Sporting Goods Corp. | 6,616 | 101,026 | ||||||
Blue Nile, Inc. (a) | 3,564 | 203,362 | ||||||
Brown Shoe Co., Inc. | 12,396 | 172,676 | ||||||
The Buckle, Inc. | 7,332 | 276,930 | ||||||
Build-A-Bear Workshop, Inc. (a) | 4,575 | 34,953 | ||||||
Cabela’s, Inc., Class A (a)(b) | 11,404 | 248,037 | ||||||
Casual Male Retail Group, Inc. (a) | 12,980 | 61,525 | ||||||
The Cato Corp., Class A | 7,687 | 210,701 | ||||||
Charming Shoppes, Inc. (a) | 31,854 | 113,082 | ||||||
The Children’s Place Retail Stores, Inc. (a) | 7,699 | 382,178 | ||||||
Christopher & Banks Corp. | 11,047 | 67,939 | ||||||
Citi Trends, Inc. (a) | 4,073 | 99,992 | ||||||
Coldwater Creek, Inc. (a) | 15,822 | 50,156 | ||||||
Collective Brands, Inc. (a) | 18,225 | 384,547 | ||||||
DSW, Inc., Class A (a) | 3,966 | 155,071 | ||||||
Destination Maternity Corp. (a) | 1,529 | 57,995 | ||||||
Dress Barn, Inc. (a) | 16,482 | 435,454 | ||||||
Express, Inc. | 4,703 | 88,416 | ||||||
The Finish Line, Inc., Class A | 14,003 | 240,712 | ||||||
Genesco, Inc. (a) | 6,594 | 247,209 | ||||||
Group 1 Automotive, Inc. | 6,947 | 290,107 | ||||||
Haverty Furniture Cos., Inc. | 5,412 | 70,248 | ||||||
hhgregg, Inc. (a) | 3,708 | 77,683 | ||||||
Hibbett Sports, Inc. (a) | 8,175 | 301,658 | ||||||
Hot Topic, Inc. | 13,385 | 83,924 | ||||||
Jo-Ann Stores, Inc. (a) | 7,609 | 458,214 | ||||||
Jos. A. Bank Clothiers, Inc. (a) | 7,714 | 311,028 | ||||||
Lithia Motors, Inc., Class A | 5,802 | 82,911 | ||||||
Lumber Liquidators Holdings, Inc. (a) | 6,357 | 158,353 | ||||||
MarineMax, Inc. (a) | 7,200 | 67,320 | ||||||
Men’s Wearhouse, Inc. | 14,674 | 366,557 | ||||||
Midas, Inc. (a) | 5,279 | 42,813 | ||||||
Monro Muffler, Inc. | 8,388 | 290,141 | ||||||
Nu Skin Enterprises, Inc., Class A | 13,495 | 408,359 | ||||||
OfficeMax, Inc. (a) | 23,668 | 418,924 | ||||||
Pacific Sunwear of California, Inc. (a) | 18,106 | 98,135 | ||||||
Penske Auto Group, Inc. (a) | 12,565 | 218,882 | ||||||
The Pep Boys — Manny, Moe & Jack. | 14,932 | 200,537 | ||||||
Pier 1 Imports, Inc. (a) | 29,399 | 308,689 | ||||||
Regis Corp. | 16,175 | 268,505 | ||||||
Retail Ventures, Inc. (a) | 6,397 | 104,271 | ||||||
Rue21, Inc. (a) | 4,317 | 126,531 | ||||||
Sally Beauty Co., Inc. (a) | 26,406 | 383,679 | ||||||
Shoe Carnival, Inc. (a) | 2,651 | 71,577 | ||||||
Shutterfly, Inc. (a) | 7,503 | 262,830 | ||||||
Sonic Automotive, Inc. | 11,572 | 153,213 | ||||||
Stage Stores, Inc. | 11,100 | 192,474 | ||||||
Stamps.com, Inc. | 3,109 | 41,194 | ||||||
Stein Mart, Inc. | 8,185 | 75,711 | ||||||
Systemax, Inc. | 3,543 | 49,956 | ||||||
The Talbots, Inc. (a) | 19,271 | 164,189 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 8,830 | 300,220 | ||||||
Vitacost.com, Inc. (a) | 3,712 | 15,869 | ||||||
Vitamin Shoppe, Inc. (a) | 4,353 | 146,435 | ||||||
The Wet Seal, Inc., Class A (a) | 28,686 | 106,138 | ||||||
Zumiez, Inc. (a) | 5,812 | 156,168 | ||||||
11,393,125 | ||||||||
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
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Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Steel — 0.0% | ||||||||
Olympic Steel, Inc. | 2,838 | $ | 81,394 | |||||
Universal Stainless & Alloy Products, Inc. (a) | 2,055 | 64,280 | ||||||
145,674 | ||||||||
Sugar — 0.0% | ||||||||
Imperial Sugar Co., New Shares | 3,829 | 51,194 | ||||||
Synthetic Fibers & Chemicals — 0.0% | ||||||||
Zoltek Cos., Inc. (a) | 7,893 | 91,164 | ||||||
Technology: Miscellaneous — 0.4% | ||||||||
Benchmark Electronics, Inc. (a) | 17,445 | 316,801 | ||||||
CTS Corp. | 10,129 | 112,027 | ||||||
Fabrinet (a) | 2,967 | 63,790 | ||||||
LaBarge, Inc. (a) | 3,842 | 60,358 | ||||||
Plexus Corp. (a) | 11,426 | 353,520 | ||||||
Sanmina-SCI Corp. (a) | 22,595 | 259,391 | ||||||
Vocus, Inc. (a) | 4,824 | 133,432 | ||||||
1,299,319 | ||||||||
Telecommunications Equipment — 0.3% | ||||||||
Applied Signal Technology, Inc. | 3,684 | 139,587 | ||||||
Arris Group, Inc. (a) | 35,704 | 400,599 | ||||||
Brightpoint, Inc. (a) | 19,082 | 166,586 | ||||||
Powerwave Technologies, Inc. (a) | 37,889 | 96,238 | ||||||
Symmetricom, Inc. (a) | 11,826 | 83,846 | ||||||
UTStarcom, Inc. (a) | 36,206 | 74,584 | ||||||
961,440 | ||||||||
Textile Products — 0.1% | ||||||||
Culp, Inc. (a) | 2,338 | 24,222 | ||||||
Interface, Inc., Class A | 13,980 | 218,787 | ||||||
Unifi Inc. (a) | 3,594 | 60,846 | ||||||
303,855 | ||||||||
Textiles, Apparel & Shoes — 2.0% | ||||||||
Carter’s, Inc. (a) | 16,474 | 486,148 | ||||||
Cherokee, Inc. | 2,626 | 49,395 | ||||||
Columbia Sportswear Co. (b) | 3,184 | 191,995 | ||||||
Crocs, Inc. (a) | 23,934 | 409,750 | ||||||
Deckers Outdoor Corp. (a) | 10,738 | 856,248 | ||||||
G-III Apparel Group, Ltd. (a) | 4,319 | 151,813 | ||||||
Iconix Brand Group, Inc. (a) | 20,160 | 389,290 | ||||||
Joe’s Jeans, Inc. (a) | 11,104 | 17,322 | ||||||
The Jones Group, Inc. | 24,603 | 382,331 | ||||||
K-Swiss, Inc., Class A (a) | 7,948 | 99,112 | ||||||
Kenneth Cole Productions, Inc., Class A (a) | 1,973 | 24,643 | ||||||
Lacrosse Footwear, Inc. | 1,607 | 26,355 | ||||||
Liz Claiborne, Inc. (a) | 26,788 | 191,802 | ||||||
Maidenform Brands, Inc. (a) | 6,451 | 153,340 | ||||||
Oxford Industries, Inc. | 4,150 | 106,282 | ||||||
Perry Ellis International, Inc. (a) | 2,958 | 81,256 | ||||||
Quiksilver, Inc. (a) | 36,863 | 186,895 | ||||||
R.G. Barry Corp. | 2,469 | 27,455 | ||||||
Skechers U.S.A., Inc., Class A (a) | 9,505 | 190,100 | ||||||
Steven Madden Ltd. (a) | 6,876 | 286,867 | ||||||
Timberland Co., Class A (a) | 11,721 | 288,219 | ||||||
True Religion Apparel, Inc. (a) | 7,295 | 162,387 | ||||||
Under Armour, Inc., Class A (a) | 9,754 | 534,909 | ||||||
Vera Bradley, Inc. (a) | 3,515 | 115,995 | ||||||
Volcom, Inc. | 5,636 | 106,351 | ||||||
The Warnaco Group, Inc. (a) | 12,297 | 677,196 | ||||||
Weyco Group, Inc. | 2,288 | 56,033 | ||||||
Wolverine World Wide, Inc. | 13,723 | 437,489 | ||||||
6,686,978 | ||||||||
Tobacco — 0.2% | ||||||||
Alliance One International, Inc. (a) | 25,723 | 109,066 | ||||||
Star Scientific, Inc. (a)(b) | 25,890 | 50,486 | ||||||
Universal Corp. | 6,546 | 266,422 | ||||||
Vector Group Ltd. | 12,814 | 221,938 | ||||||
647,912 | ||||||||
Toys — 0.1% | ||||||||
Jakks Pacific, Inc. (a) | 7,617 | 138,782 | ||||||
Leapfrog Enterprises, Inc. (a) | 10,348 | 57,431 | ||||||
RC2 Corp. (a) | 6,130 | 133,450 | ||||||
329,663 | ||||||||
Transportation Miscellaneous — 0.2% | ||||||||
Dynamex, Inc. (a) | 2,925 | 72,423 | ||||||
Echo Global Logistics, Inc. (a) | 3,566 | 42,935 | ||||||
HUB Group, Inc., Class A (a) | 10,486 | 368,478 | ||||||
Pacer International, Inc. (a) | 10,668 | 72,969 | ||||||
Textainer Group Holdings Ltd. | 2,701 | 76,951 | ||||||
633,756 | ||||||||
Truckers — 0.6% | ||||||||
Arkansas Best Corp. | 7,215 | 197,835 | ||||||
Celadon Group, Inc. (a) | 5,989 | 88,577 | ||||||
Forward Air Corp. | 8,130 | 230,729 | ||||||
Heartland Express, Inc. | 13,822 | 221,429 | ||||||
Knight Transportation, Inc. | 16,549 | 314,431 | ||||||
Marten Transport Ltd. | 4,439 | 94,906 | ||||||
Old Dominion Freight Line, Inc. (a) | 11,594 | 370,892 | ||||||
Patriot Transportation Holding, Inc. (a) | 419 | 38,950 | ||||||
Roadrunner Transportation Systems, Inc. (a) | 2,926 | 42,310 | ||||||
Saia, Inc. (a) | 4,815 | 79,881 | ||||||
USA Truck, Inc. (a) | 2,058 | 27,227 | ||||||
Werner Enterprises, Inc. | 11,976 | 270,658 | ||||||
1,977,825 | ||||||||
Utilities: Electrical — 1.6% | ||||||||
Allete, Inc. | 8,705 | 324,348 | ||||||
Avista Corp. | 15,368 | 346,087 | ||||||
Black Hills Corp. | 10,960 | 328,800 | ||||||
CH Energy Group, Inc. | 4,373 | 213,796 | ||||||
Central Vermont Public Service Corp. | 3,495 | 76,401 | ||||||
Cleco Corp. | 16,476 | 506,802 | ||||||
Dynegy, Inc. (a) | 29,783 | 167,380 | ||||||
El Paso Electric Co. (a) | 12,274 | 337,903 | ||||||
The Empire District Electric Co. | 11,333 | 251,593 | ||||||
IDACORP, Inc. | 13,081 | 483,735 | ||||||
MGE Energy, Inc. | 6,476 | 276,914 | ||||||
NorthWestern Corp. | 9,886 | 285,013 | ||||||
Otter Tail Corp. | 10,421 | 234,889 | ||||||
PNM Resources, Inc. | 25,030 | 325,891 | ||||||
Pike Electric Corp. (a) | 4,459 | 38,258 | ||||||
Portland General Electric Co. | 21,080 | 457,436 | ||||||
UIL Holdings Corp. | 13,829 | 414,317 | ||||||
Unisource Energy Corp. | 9,990 | 358,042 | ||||||
Unitil Corp. | 3,936 | 89,505 | ||||||
5,517,110 | ||||||||
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
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Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Utilities: Gas Distributors — 1.1% | ||||||||
Chesapeake Utilities Corp. | 3,046 | $ | 126,470 | |||||
The Laclede Group, Inc. | 5,938 | 216,975 | ||||||
New Jersey Resources Corp. | 11,122 | 479,469 | ||||||
Nicor, Inc. | 12,256 | 611,819 | ||||||
Northwest Natural Gas Co. | 7,202 | 334,677 | ||||||
Piedmont Natural Gas Co. | 19,260 | 538,510 | ||||||
South Jersey Industries, Inc. | 7,981 | 421,556 | ||||||
Southwest Gas Corp. | 12,308 | 451,334 | ||||||
WGL Holdings, Inc. | 13,680 | 489,334 | ||||||
3,670,144 | ||||||||
Utilities: Telecommunications — 0.8% | ||||||||
Alaska Communications Systems Group, Inc. | 12,137 | 134,721 | ||||||
Atlantic Tele-Network, Inc. | 2,692 | 103,211 | ||||||
Cbeyond Communications, Inc. (a) | 7,617 | 116,388 | ||||||
Cincinnati Bell, Inc. (a) | 58,060 | 162,568 | ||||||
Cogent Communications Group, Inc. (a) | 13,188 | 186,478 | ||||||
Consolidated Communications Holdings, Inc. | 6,966 | 134,444 | ||||||
FiberTower Corp. (a) | 14,944 | 66,650 | ||||||
General Communication, Inc., Class A (a) | 13,704 | 173,493 | ||||||
Global Crossing Ltd. (a) | 8,617 | 111,332 | ||||||
Globalstar, Inc. (a) | 18,513 | 26,844 | ||||||
ICO Global Communications Holdings Ltd. (a) | 25,018 | 37,527 | ||||||
IDT Corp., Class B | 4,028 | 103,318 | ||||||
Iridium Communications, Inc. (a) | 10,005 | 82,541 | ||||||
j2 Global Communications, Inc. (a) | 12,718 | 368,186 | ||||||
NTELOS Holdings Corp. | 8,491 | 161,753 | ||||||
Neutral Tandem, Inc. (a) | 9,548 | 137,873 | ||||||
PAETEC Holding Corp. (a) | 34,431 | 128,772 | ||||||
Premiere Global Services, Inc. (a) | 16,448 | 111,846 | ||||||
Shenandoah Telecom Co. | 6,908 | 129,387 | ||||||
USA Mobility, Inc. | 6,187 | 109,943 | ||||||
Vonage Holdings Corp. (a) | 31,678 | 70,959 | ||||||
2,658,234 | ||||||||
Utilities: Water — 0.2% | ||||||||
American States Water Co. | 4,969 | 171,281 | ||||||
Artesian Resources Corp., Class A | 1,997 | 37,843 | ||||||
California Water Service Group | 5,402 | 201,332 | ||||||
Connecticut Water Service, Inc. | 2,503 | 69,784 | ||||||
Consolidated Water Co., Inc. | 4,169 | 38,230 | ||||||
Middlesex Water Co. | 4,270 | 78,354 | ||||||
SJW Corp. | 3,863 | 102,254 | ||||||
York Water Co. | 4,375 | 75,644 | ||||||
774,722 | ||||||||
Total Common Stocks — 97.2% | 328,812,277 | |||||||
Par | ||||||||
Corporate Bonds | (000) | |||||||
Asset Management & Custodian — 0.0% | ||||||||
GAMCO Investors, Inc., 0.00% 12/31/15 (a) | $ | 6 | 6,448 | |||||
Total Corporate Bonds — 0.0% | 6,448 | |||||||
BlackRock Kelso Capital Corp. (d) | 20,122 | 222,549 | ||||||
Gladstone Capital Corp. | 6,364 | 73,313 | ||||||
Hercules Technology Growth Capital, Inc. | 9,946 | 103,041 | ||||||
Kayne Anderson Energy Development Co. | 3,186 | 57,380 | ||||||
Pennantpark Investment Corp. | 10,729 | 131,323 | ||||||
Prospect Capital Corp. | 21,298 | 230,018 | ||||||
Total Investment Companies — 0.3% | 817,624 | |||||||
Warrants (e) | ||||||||
Alternative Energy — 0.0% | ||||||||
GreenHunter Energy, Inc. (Expires 8/27/11) (b)(f) | 180 | — | ||||||
Technology Hardware & Equipment — 0.0% | ||||||||
Lantronix, Inc. (Expires 2/09/11) | 138 | — | ||||||
Total Warrants — 0.0% | — | |||||||
Total Long-Term Investments (Cost — $234,628,095) — 97.5% | 329,636,349 | |||||||
Short-Term Securities | ||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.17%, (d)(g) | 7,181,244 | 7,181,244 | ||||||
Beneficial | ||||||||
Interest | ||||||||
(000) | ||||||||
BlackRock Liquidity Series, LLC Money Market Series, 0.44% (d)(g)(h) | $ | 8,153 | 8,152,630 | |||||
Total Short-Term Securities (Cost — $15,333,874) — 4.5% | 15,333,874 | |||||||
Total Investments (Cost — $249,961,969*) — 102.0% | 344,970,223 | |||||||
Liabilities in Excess of Other Assets — (2.0)% | (6,798,242 | ) | ||||||
Net Assets — 100.0% | $ | 338,171,981 | ||||||
* | The cost and unrealized appreciation (depreciation) of investments as of December 31, 2010, as computed for federal income tax purposes were as follows: |
Aggregate cost | $ | 262,243,337 | ||
Gross unrealized appreciation | $ | 92,244,989 | ||
Gross unrealized depreciation | (9,518,103 | ) | ||
Net unrealized appreciation | $ | 82,726,886 | ||
(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. |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
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Schedule of Investments (continued) | Master Small Cap Index Series |
(d) | Investments in companies considered to be an affiliate of the Series during the year, 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 | Beneficial | Beneficial | Interest Held | Value | Realized | |||||||||||||||||||||||
at December 31, | Interest | Interest | at December 31, | at December 31, | Gain | |||||||||||||||||||||||
Affiliate | 2009 | Purchased | Sold | 2010 | 2010 | (Loss) | Income | |||||||||||||||||||||
BlackRock Kelso Capital Corp. | 3,100 | 21,457 | (4,435 | ) | 20,122 | $ | 222,549 | $ | 3,137 | $ | 13,911 | |||||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | 9,452,117 | — | (2,270,873 | )1 | 7,181,244 | $ | 7,181,244 | — | $ | 13,732 | ||||||||||||||||||
BlackRock Liquidity Series, LLC | ||||||||||||||||||||||||||||
Money Market Series | $ | 17,386,620 | — | $ | (9,233,990 | )1 | $ | 8,152,630 | $ | 8,152,630 | — | $ | 148,068 | |||||||||||||||
PennyMac Mortgage Investment Trust | 3,500 | 2,915 | (1,086 | ) | 5,329 | $ | 96,721 | $ | (2,435 | ) | $ | 3,689 |
1 | Represents net shares/beneficial interest sold. |
(e) | 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, if any. | |
(f) | Restricted security as to resale, representing 0.0% of net assets was as follows: |
Acquisition | ||||||||||||
Issue | Date | Cost | Value | |||||||||
GreenHunter Energy, Inc. | 6/27/08 | — | — | |||||||||
(g) | Represents the current yield as of report date. | |
(h) | Security was purchased with the cash collateral from loaned securities. | |
• | 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. | |
• | Financial futures contracts purchased as of December 31,2010 were as follows: |
Notional | Unrealized | |||||||||||||||||||
Contracts | Issue | Exchange | Expiration | Value | Depreciation | |||||||||||||||
108 | Russell | ICE Futures | March 2011 | $ | 8,449,217 | $ | (377 | ) | ||||||||||||
2000 EMINI | US Indices | |||||||||||||||||||
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives, which are as follows: |
• | Level 1 — price quotations in active markets/exchanges for identical assets and liabilities | ||
• | 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) | ||
• | 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 derivatives and other significant accounting policies, please refer to Note 1 of the Series’ Notes to Financial Statements.
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
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Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series |
The following tables summarize the inputs used as of December 31, 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 Investments2: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Advertising Agencies | $ | 2,479,587 | — | — | $ | 2,479,587 | ||||||||||
Aerospace | 4,707,327 | — | — | 4,707,327 | ||||||||||||
Agriculture, Fishing & Ranching | 1,308,140 | — | — | 1,308,140 | ||||||||||||
Air Transport | 3,496,570 | — | — | 3,496,570 | ||||||||||||
Alternative Energy | 530,728 | — | — | 530,728 | ||||||||||||
Aluminum | 542,387 | — | — | 542,387 | ||||||||||||
Asset Management & Custodian | 3,214,390 | — | — | 3,214,390 | ||||||||||||
Auto Parts | 2,931,919 | — | — | 2,931,919 | ||||||||||||
Auto Services | 402,629 | — | — | 402,629 | ||||||||||||
Back Office Support, HR & Consulting | 4,699,800 | — | — | 4,699,800 | ||||||||||||
Banks: Diversified | 19,129,500 | — | — | 19,129,500 | ||||||||||||
Banks: Savings, Thrift & Mortgage Lending | 3,393,830 | — | — | 3,393,830 | ||||||||||||
Beverage: Brewers & Distillers | 224,507 | — | — | 224,507 | ||||||||||||
Beverage: Soft Drinks | 412,354 | — | — | 412,354 | ||||||||||||
Biotechnology | 11,389,783 | — | — | 11,389,783 | ||||||||||||
Building Materials | 3,155,941 | — | — | 3,155,941 | ||||||||||||
Building: Climate Control | 458,173 | — | — | 458,173 | ||||||||||||
Building: Roofing, Wallboard & Plumbing | 229,111 | — | — | 229,111 | ||||||||||||
Cable Television Services | 230,045 | — | — | 230,045 | ||||||||||||
Casinos & Gambling | 981,720 | — | — | 981,720 | ||||||||||||
Chemicals: Diversified | 5,159,227 | — | — | 5,159,227 | ||||||||||||
Chemicals: Specialty | 1,681,624 | — | — | 1,681,624 | ||||||||||||
Coal | 1,162,389 | — | — | 1,162,389 | ||||||||||||
Commercial Finance & Mortgage Companies | 211,465 | — | — | 211,465 | ||||||||||||
Commercial Services: Rental & Leasing | 1,862,852 | — | — | 1,862,852 | ||||||||||||
Commercial Vehicles & Parts | 941,693 | — | — | 941,693 | ||||||||||||
Communications Technology | 10,868,951 | — | — | 10,868,951 | ||||||||||||
Computer Services Software & Systems | 22,602,405 | — | — | 22,602,405 | ||||||||||||
Computer Technology | 2,009,776 | — | — | 2,009,776 | ||||||||||||
Construction | 1,588,674 | — | — | 1,588,674 | ||||||||||||
Consumer Electronics | 526,454 | — | — | 526,454 | ||||||||||||
Consumer Lending | 3,004,502 | — | — | 3,004,502 | ||||||||||||
Consumer Services: Miscellaneous | 2,288,592 | — | — | 2,288,592 | ||||||||||||
Containers & Packaging | 1,432,151 | — | — | 1,432,151 | ||||||||||||
Cosmetics | 270,554 | — | — | 270,554 | ||||||||||||
Diversified Financial Services | 1,365,857 | — | — | 1,365,857 | ||||||||||||
Diversified Manufacturing Operations | 1,116,826 | — | — | 1,116,826 | ||||||||||||
Diversified Materials & Processing | 2,649,279 | — | — | 2,649,279 | ||||||||||||
Diversified Media | 328,700 | — | — | 328,700 | ||||||||||||
Diversified Retail | 2,316,139 | — | — | 2,316,139 | ||||||||||||
Drug & Grocery Store Chains | 2,267,921 | — | — | 2,267,921 | ||||||||||||
Education Services | 1,648,431 | — | — | 1,648,431 | ||||||||||||
Electronic Components | 2,210,027 | — | — | 2,210,027 | ||||||||||||
Electronic Entertainment | 587,666 | — | — | 587,666 | ||||||||||||
Electronics | 2,048,289 | — | — | 2,048,289 | ||||||||||||
Energy Equipment | 597,263 | — | — | 597,263 | ||||||||||||
Engineering & Contracting Services | 1,563,594 | — | — | 1,563,594 | ||||||||||||
Entertainment | 1,388,212 | — | — | 1,388,212 | ||||||||||||
Environmental, Maintenance, & Security Service | 2,315,220 | — | — | 2,315,220 | ||||||||||||
Fertilizers | 78,886 | — | — | 78,886 | ||||||||||||
Financial Data & Systems | 2,594,154 | — | — | 2,594,154 | ||||||||||||
Foods | 3,385,666 | — | — | 3,385,666 | ||||||||||||
Forest Products | 388,548 | — | — | 388,548 | ||||||||||||
Forms & Bulk Printing Services | 838,007 | — | — | 838,007 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2010 |
69
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series |
The following tables summarize the inputs used as of December 31, 2010 in determining the fair valuation of the Series’ investments and derivatives (continued):
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Long-Term Investments2: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Fruit & Grain Processing | $ | 43,420 | — | — | $ | 43,420 | ||||||||||
Funeral Parlors & Cemeteries | 438,261 | — | — | 438,261 | ||||||||||||
Gas Pipeline | 102,360 | — | — | 102,360 | ||||||||||||
Glass | 111,788 | — | — | 111,788 | ||||||||||||
Gold | 2,010,697 | — | — | 2,010,697 | ||||||||||||
Health Care Facilities | 2,121,002 | — | — | 2,121,002 | ||||||||||||
Health Care Management Services | 3,421,249 | — | — | 3,421,249 | ||||||||||||
Health Care Services | 4,371,456 | — | — | 4,371,456 | ||||||||||||
Health Care: Miscellaneous | 308,423 | — | — | 308,423 | ||||||||||||
Home Building | 813,041 | — | — | 813,041 | ||||||||||||
Hotel/Motel | 860,285 | — | — | 860,285 | ||||||||||||
Household Appliances | 170,313 | — | — | 170,313 | ||||||||||||
Household Equipment & Products | 834,495 | — | — | 834,495 | ||||||||||||
Household Furnishings | 772,455 | — | — | 772,455 | ||||||||||||
Insurance: Life | 1,692,315 | — | — | 1,692,315 | ||||||||||||
Insurance: Multi-Line | 1,911,862 | — | — | 1,911,862 | ||||||||||||
Insurance: Property-Casualty | 5,642,816 | — | — | 5,642,816 | ||||||||||||
International Trade & Diversified Logistic | 62,023 | — | — | 62,023 | ||||||||||||
Leisure Time | 2,065,814 | — | — | 2,065,814 | ||||||||||||
Luxury Items | 79,038 | — | — | 79,038 | ||||||||||||
Machinery: Agricultural | 523,639 | — | — | 523,639 | ||||||||||||
Machinery: Construction & Handling | 402,272 | — | — | 402,272 | ||||||||||||
Machinery: Engines | 270,718 | — | — | 270,718 | ||||||||||||
Machinery: Industrial | 4,759,498 | — | — | 4,759,498 | ||||||||||||
Machinery: Specialty | 352,573 | — | — | 352,573 | ||||||||||||
Manufactured Housing | 149,324 | — | — | 149,324 | ||||||||||||
Medical & Dental Instruments & Supplies | 7,831,560 | — | — | 7,831,560 | ||||||||||||
Medical Equipment | 5,105,873 | — | — | 5,105,873 | ||||||||||||
Medical Services | 782,418 | — | — | 782,418 | ||||||||||||
Metal Fabricating | 2,190,150 | — | — | 2,190,150 | ||||||||||||
Metals & Minerals: Diversified | 3,116,432 | — | — | 3,116,432 | ||||||||||||
Miscellaneous Consumer Staples | 162,645 | — | — | 162,645 | ||||||||||||
Office Supplies & Equipment | 2,063,325 | — | — | 2,063,325 | ||||||||||||
Offshore Drilling & Other Services | 214,526 | — | — | 214,526 | ||||||||||||
Oil Well Equipment & Services | 6,244,078 | — | — | 6,244,078 | ||||||||||||
Oil: Crude Producers | 9,589,329 | — | — | 9,589,329 | ||||||||||||
Oil: Refining & Marketing | 1,178,186 | — | — | 1,178,186 | ||||||||||||
Paints & Coatings | 635,047 | — | — | 635,047 | ||||||||||||
Paper | 1,486,486 | — | — | 1,486,486 | ||||||||||||
Personal Care | 294,477 | — | — | 294,477 | ||||||||||||
Pharmaceuticals | 5,801,668 | — | — | 5,801,668 | ||||||||||||
Photography | 435,947 | — | — | 435,947 | ||||||||||||
Plastics | 287,516 | — | — | 287,516 | ||||||||||||
Power Transmission Equipment | 739,985 | — | — | 739,985 | ||||||||||||
Precious Metals & Minerals | 422,622 | — | — | 422,622 | ||||||||||||
Printing & Copying Services | 138,112 | — | — | 138,112 | ||||||||||||
Producer Durables: Miscellaneous | 256,646 | — | — | 256,646 | ||||||||||||
Production Technology Equipment | 3,920,483 | — | — | 3,920,483 | ||||||||||||
Publishing | 725,615 | — | — | 725,615 | ||||||||||||
Radio & TV Broadcasters | 348,220 | — | — | 348,220 | ||||||||||||
Railroad Equipment | 279,094 | — | — | 279,094 | ||||||||||||
Railroads | 651,213 | — | — | 651,213 | ||||||||||||
Real Estate | 565,126 | — | — | 565,126 | ||||||||||||
Real Estate Investment Trusts (REITs) | 24,054,947 | — | — | 24,054,947 | ||||||||||||
Recreational Vehicles & Boats | 1,435,171 | — | — | 1,435,171 | ||||||||||||
Rental & Leasing Services: Consumer | 1,646,151 | — | — | 1,646,151 |
See Notes to Financial Statements.
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Schedule of Investments (concluded) | Master Small Cap Index Series |
The following tables summarize the inputs used as of December 31, 2010 in determining the fair valuation of the Series’ investments and derivatives (concluded):
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Long-Term Investments2: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Restaurants | $ | 4,667,544 | — | — | $ | 4,667,544 | ||||||||||
Scientific Instruments: Control & Filter | 2,359,103 | — | — | 2,359,103 | ||||||||||||
Scientific Instruments: Electrical | 4,118,023 | — | — | 4,118,023 | ||||||||||||
Scientific Instruments: Gauges & Meters | 522,097 | — | — | 522,097 | ||||||||||||
Scientific Instruments: Pollution Control | 1,358,951 | — | — | 1,358,951 | ||||||||||||
Securities Brokerage & Services | 2,020,498 | — | — | 2,020,498 | ||||||||||||
Semiconductors & Components | 8,568,682 | — | — | 8,568,682 | ||||||||||||
Shipping | 1,942,644 | — | — | 1,942,644 | ||||||||||||
Specialty Retail | 11,377,256 | $ | 15,869 | 11,393,125 | ||||||||||||
Steel | 145,674 | — | — | 145,674 | ||||||||||||
Sugar | 51,194 | — | — | 51,194 | ||||||||||||
Synthetic Fibers & Chemicals | 91,164 | — | — | 91,164 | ||||||||||||
Technology: Miscellaneous | 1,299,319 | — | — | 1,299,319 | ||||||||||||
Telecommunications Equipment | 961,440 | — | — | 961,440 | ||||||||||||
Textile Products | 303,855 | — | — | 303,855 | ||||||||||||
Textiles, Apparel & Shoes | 6,686,978 | — | — | 6,686,978 | ||||||||||||
Tobacco | 647,912 | — | — | 647,912 | ||||||||||||
Toys | 329,663 | — | — | 329,663 | ||||||||||||
Transportation Miscellaneous | 633,756 | — | — | 633,756 | ||||||||||||
Truckers | 1,977,825 | — | — | 1,977,825 | ||||||||||||
Utilities: Electrical | 5,517,110 | — | — | 5,517,110 | ||||||||||||
Utilities: Gas Distributors | 3,670,144 | — | — | 3,670,144 | ||||||||||||
Utilities: Telecommunications | 2,658,234 | — | — | 2,658,234 | ||||||||||||
Utilities: Water | 774,722 | — | — | 774,722 | ||||||||||||
Corporate Bonds | — | $ | 6,448 | — | 6,448 | |||||||||||
Investment Companies | 817,624 | — | — | 817,624 | ||||||||||||
Short-Term Securities | 7,181,244 | 8,152,630 | — | 15,333,874 | ||||||||||||
Total | $ | 336,795,276 | $ | 8,159,078 | $ | 15,869 | $ | 344,970,223 | ||||||||
2 | See above Schedule of Investments for values in each industry. |
Derivative Financial Instruments3 | ||||||||||||||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Liabilities: | ||||||||||||||||
Equity contracts | $ | (377 | ) | — | — | $ | (377 | ) |
3 | Derivative financial instruments are financial futures contracts, which are shown at the unrealized appreciation/ depreciation on the instrument. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Common Stocks | ||||
Balance as of December 31, 2009 — | — | |||
Accrued discounts/premium | — | |||
Net realized gain (loss) | — | |||
Net change in unrealized appreciation/depreciation4 | — | |||
Purchases | — | |||
Sales | — | |||
Transfers in5 | $ | 15,869 | ||
Transfers out5 | — | |||
Balance, as of December 31, 2010 | $ | 15,869 | ||
4 | Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The net change in unrealized appreciation/depreciation on securities still held at December 31, 2010 was $0. | |
5 | 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 Notes to Financial Statements.
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Statement of Assets and Liabilities | Master Small Cap Index Series |
December 31, 2010 | ||||
Assets | ||||
Investments at value — unaffiliated (including securities loaned of $7,765,924) (cost — $234,327,179) | $ | 329,317,079 | ||
Investments at value — affiliated (cost — $15,634,790) | 15,653,144 | |||
Cash pledged as collateral for financial futures contracts | 952,000 | |||
Cash | 1,258 | |||
Dividends receivable | 347,807 | |||
Contributions receivable from investors | 118,507 | |||
Receivable from advisor | 39,379 | |||
Securities lending income receivable — affiliated | 12,105 | |||
Investments sold receivable | 96 | |||
Prepaid expenses | 9,447 | |||
Total assets | 346,450,822 | |||
Liabilities | ||||
Collateral on securities loaned at value | 8,152,630 | |||
Margin variation payable | 55,037 | |||
Other affiliates payable | 1,362 | |||
Directors’ fees payable | 125 | |||
Other accrued expenses payable | 69,687 | |||
Total liabilities | 8,278,841 | |||
Net Assets | $ | 338,171,981 | ||
Net Assets Consist of | ||||
Investors’ capital | $ | 243,164,104 | ||
Net unrealized appreciation/depreciation | 95,007,877 | |||
Net Assets | $ | 338,171,981 | ||
See Notes to Financial Statements.
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Statement of Operations | Master Small Cap Index Series |
Year Ended December 31, 2010 | ||||
Investment Income | ||||
Dividends — unaffiliated | $ | 3,540,861 | ||
Foreign taxes withheld | (3,110 | ) | ||
Securities lending — affiliated | 148,068 | |||
Dividends — affiliated | 31,332 | |||
Total income | 3,717,151 | |||
Expenses | ||||
Investment advisory | 27,646 | |||
Custodian | 126,874 | |||
Professional | 84,100 | |||
Accounting services | 68,403 | |||
Directors | 9,377 | |||
Printing | 836 | |||
Miscellaneous | 10,155 | |||
Total expenses | 327,391 | |||
Less fees waived and/or reimbursed by advisor | (111,964 | ) | ||
Total expenses after fees waived and/or reimbursed | 215,427 | |||
Net investment income | 3,501,724 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) from: | ||||
Investments — unaffiliated | (10,138,980 | ) | ||
Investments — affiliated | 702 | |||
Financial futures contracts | 248,961 | |||
(9,889,317 | ) | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | 60,793,710 | |||
Financial futures contracts | (88,950 | ) | ||
60,704,760 | ||||
Total realized and unrealized gain | 50,815,443 | |||
Net Increase in Net Assets Resulting from Operations | $ | 54,317,167 | ||
See Notes to Financial Statements.
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Statements of Changes in Net Assets | Master Small Cap Index Series |
Year Ended | ||||||||
December 31, | ||||||||
Increase (Decrease) in Net Assets: | 2010 | 2009 | ||||||
Operations | ||||||||
Net investment income | $ | 3,501,724 | $ | 4,243,420 | ||||
Net realized loss | (9,889,317 | ) | (30,867,280 | ) | ||||
Net change in unrealized appreciation/depreciation | 60,704,760 | 124,588,792 | ||||||
Net increase in net assets resulting from operations | 54,317,167 | 97,964,932 | ||||||
Capital Transactions | ||||||||
Proceeds from contributions | 226,075,632 | 171,416,855 | ||||||
Value of withdrawals | (171,857,514 | ) | (384,465,211 | ) | ||||
Net increase (decrease) in net assets derived from capital transactions | 54,218,118 | (213,048,356 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) in net assets | 108,535,285 | (115,083,424 | ) | |||||
Beginning of year | 229,636,696 | 344,720,120 | ||||||
End of year | $ | 338,171,981 | $ | 229,636,696 |
Financial Highlights | Master Small Cap Index Series |
Year Ended December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Total Investment Return | ||||||||||||||||||||
Total investment return | 27.19 | % | 27.37 | % | (33.57 | )% | (1.46 | )% | 18.13 | % | ||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||
Total expenses | 0.12 | % | 0.09 | % | 0.08 | % | 0.06 | % | 0.07 | % | ||||||||||
Total expenses after fees waived and/or reimbursed and fees paid indirectly | 0.08 | % | 0.07 | % | 0.07 | % | 0.06 | % | 0.07 | % | ||||||||||
Net investment income | 1.27 | % | 1.27 | % | 1.60 | % | 1.69 | % | 1.55 | % | ||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 338,172 | $ | 229,637 | $ | 344,720 | $ | 630,394 | $ | 561,373 | ||||||||||
Portfolio turnover | 42 | % | 43 | % | 42 | % | 26 | % | 40 | % | ||||||||||
See Notes to Financial Statements.
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Notes to Financial Statements | Master Small Cap Index Series |
1. Organization and Significant Accounting Policies:
Master Small Cap Index Series (the “Series”), a non-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 under policies approved by the Board. Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) 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 price 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 at their last sale price. Investments in open-end registered 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 (the “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 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.
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, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.
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. During the term of the loan, the Series earns dividend and interest on the securities loaned. 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.
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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 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. The statute of limitations on the Series’ US federal tax returns remains open for each of the four years ended December 31, 2010. The statutes of limitations on the Series’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.
Other: Expenses directly related to the Series are charged to the 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 return 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 and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts 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 securities (equity risk). Financial futures contracts are agreements between the Series and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on settlement date. 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 recorded 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:
Liability Derivatives | ||||||||
Statement of | ||||||||
Assets and | ||||||||
Liabilities | ||||||||
Location | Value | |||||||
Net | ||||||||
unrealized | ||||||||
appreciation/ | ||||||||
Equity contracts | depreciation* | $ | 377 |
* | 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
Year Ended December 31, 2010
Year Ended December 31, 2010
Net Realized Gain From | ||||
Financial Futures Contracts | ||||
Equity contracts | $ | 248,961 |
Net Change in Unrealized | ||||
Appreciation/Depreciation on | ||||
Financial Futures Contracts | ||||
Equity contracts | $ | (88,950 | ) | |
For the year ended December 31, 2010, the average quarterly balances of outstanding derivative financial instruments were as follows:
Financial futures contracts: | ||||
Average number of contracts purchased | 104 | |||
Average notional value of contracts purchased | $ | 7,098,137 |
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
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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 Master LLC. For such services, the Series pays the Manager a monthly fee at an annual rate of 0.01% of the Series’ average daily net assets.
The Manager contractually agreed to waive and/or reimburse fees and/or expenses to ensure that the management fee of the Series, when combined with the administration fee of BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc., would not exceed 0.30%. This agreement was terminated on December 1, 2010. For the year ended December 31, 2010 no fees were waived and/or reimbursed for the Series.
The Manager entered into a contractual arrangement with the Master LLC with respect to the Series under which the Manager will waive and/or reimburse its fees and/or expenses so that the total annual operating expenses incurred by the Series (excluding dividend expense, interest expense, acquired fund fees and certain other Series expenses) will not exceed 0.08% of the average daily value of the Series’ net assets. The Manager has agreed not to reduce or discontinue this contractual waiver or reimbursement before May 1, 2012 unless approved by the Board, including a majority of the non-interested directors. For the year ended December 31, 2010, the Series waived and/or reimbursed $106,243, which is included in fees waived and/or reimbursed by advisor in the Statement of Operations.
The Manager voluntarily agreed to waive its investment 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 investment advisory fees by the amount of investment advisory fees paid through the Series’ investment in other affiliated investment companies, if any. For the year ended December 31, 2010, the Manager waived advisory fees in the amount of $5,721, which is included in fees waived and/or reimbursed 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.
For the year ended December 31, 2010, the Series reimbursed the Manager $5,038 for certain accounting services, which are 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 it, 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, if applicable 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 year ended December 31, 2010, BIM received $36,692 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 year ended December 31, 2010, were $169,021,756 and $113,962,091, 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 expired in November 2010. The Series may borrow under the credit agreement to fund investor withdrawals. Effective November 2009, the credit agreement had the following terms: 0.02% upfront fee on the aggregate commitment amount which was allocated to the Master LLC based on its net assets as of Octo-ber 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 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. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2009. Effective November 2010, the credit agreement was renewed until November 2011 with the following terms: a commitment fee of 0.08% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.00% per annum and (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2010. The Series did not borrow under the credit agreement during the year ended December 31, 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 (issuer credit risk). The value of securities held by the Series may decline
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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 counter-party 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 credit 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 counterpar-ties. 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.
As of December 31, 2010, the Series invested a significant portion of its assets in securities in the financial services sector. Changes in economic conditions affecting the financial services 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.
Report of Independent Registered Public Accounting Firm | Master Small Cap Index Series |
To the Investors and Board of Directors of Quantitative Master Series LLC:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master Small Cap Index Series, one of the portfolios constituting Quantitative Master Series LLC, (the “Master LLC”) as of December 31, 2010, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Master LLC’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master LLC’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master Small Cap Index Series of Quantitative Master Series LLC as of December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 24, 2011
Princeton, New Jersey
February 24, 2011
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Officers and Directors | Master Small Cap Index Series |
Number of BlackRock- | ||||||||||
Advised Registered | ||||||||||
Length | Investment Companies | |||||||||
Position(s) | of Time | (“RICs”) Consisting of | ||||||||
Name, Address | Held with | Served as | Investment Portfolios | Public | ||||||
and Year of Birth | Master LLC | a Director2 | Principal Occupation(s) During Past Five Years | (“Portfolios”)Overseen | Directorships | |||||
Non-Interested Directors1 | ||||||||||
Ronald W. Forbes 55 East 52nd Street New York, NY 10055 1940 | Co-Chair of the Board and Director | Since 2007 | Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000. | 36 RICs consisting of 95 Portfolios | None | |||||
Rodney D. Johnson 55 East 52nd Street New York, NY 10055 1941 | Co-Chair of the Board and Director | Since 2007 | President, Fairmount Capital Advisors, Inc. since 1987; Director, Fox Chase Cancer Center since 2004; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director, The Committee of Seventy (civic) since 2006. | 36 RICs consisting of 95 Portfolios | None | |||||
David O. Beim 55 East 52nd Street New York, NY 10055 1940 | Director | Since 2007 | Professor of Finance and Economics at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006. | 36 RICs consisting of 95 Portfolios | None | |||||
Dr. Matina S. Horner 55 East 52nd Street New York, NY 10055 1939 | Director | Since 2007 | Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003. | 36 RICs consisting of 95 Portfolios | NSTAR (electric and gas utility) | |||||
Herbert I. London 55 East 52nd Street New York, NY 10055 1939 | Director and Member of the Audit Committee | Since 2007 | Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005. | 36 RICs consisting of 95 Portfolios | AIMS Worldwide, Inc.(marketing) | |||||
Cynthia A. Montgomery 55 East 52nd Street New York, NY 10055 1952 | Director | Since 2007 | Professor, Harvard Business School since 1989; Director, Harvard Business School Publishing since 2005; Director, McLean Hospital since 2005. | 36 RICs consisting of 95 Portfolios | Newell Rubbermaid, Inc. (manufacturing) | |||||
Joseph P. Platt 55 East 52nd Street New York, NY 10055 1947 | Director | Since 2007 | Director, The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investment) since 1998; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008. | 36 RICs consisting of 95 Portfolios | Greenlight Capital Re, Ltd. (reinsurance company); WQED Multi-Media (public broadcasting not-for-profit) | |||||
Robert C. Robb, Jr. 55 East 52nd Street New York, NY 10055 1945 | Director | Since 2007 | Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981. | 36 RICs consisting of 95 Portfolios | None | |||||
Toby Rosenblatt 55 East 52nd Street New York, NY 10055 1938 | Director | Since 2007 | President, Founders Investments Ltd. (private investments) since 1999; Director, College Access Foundation of California (philanthropic foundation) since 2009; Director, Forward Management, LLC since 2007; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008. | 36 RICs consisting of 95 Portfolios | A.P. Pharma, Inc. (specialty pharmaceuticals) |
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Officers and Directors (continued) | Master Small Cap Index Series |
Number of BlackRock- | ||||||||||
Advised Registered | ||||||||||
Length | Investment Companies | |||||||||
of Time | (“RICs”) Consisting of | |||||||||
Position(s) | Served as | Investment Portfolios | ||||||||
Name, Address | Held with | a | (“Portfolios”) | Public | ||||||
and Year of Birth | Master LLC | Director2 | Principal Occupation(s) During Past Five Years | Overseen | Directorships | |||||
Non-Interested Directors1 (concluded) | ||||||||||
Kenneth L. Urish 55 East 52nd Street New York, NY 10055 1951 | Chair of the Audit Committee and Director | Since 2007 | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Chairman Elect of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committe Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation from 2001 to 2009; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007. | 36 RICs consisting of 95 Portfolios | None | |||||
Frederick W. Winter 55 East 52nd Street New York, NY 10055 1945 | Director and Member of the Audit Committee | Since 2007 | Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005; Director, Alkon Corporation (pneumatics) since 1992; Director, Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008. | 36 RICs consisting of 95 Portfolios | None |
1 | Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved one-year extensions in terms of Directors who turn 72 prior to December 31, 2013. | |
2 | Date shown is the earliest date a person has served as a director for the Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows directors as joining the Master LLC board in 2007, each director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. |
| | | | | | ||||||||||
Interested Directors3 | ||||||||||
Richard S. Davis 55 East 52nd Street New York, NY 10055 1945 | Director | Since 2007 | Managing Director, BlackRock, Inc. since 2005; Chief Executive Officer, State Street Research & Management Company from 2000 to 2005; Chairman of the Board of Trustees, State Street Research Mutual Funds from 2000 to 2005. | 169 RICs consisting of 289 Portfolios | None | |||||
Henry Gabbay 55 East 52nd Street New York, NY 10055 1947 | Director | Since 2007 | Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006. | 169 RICs consisting of 289 Portfolios | None |
3 | Mr. Davis is an “interested person” as defined in the 1940 Act, of the Master LLC based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an “interested person” of the Master LLC based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and The PNC Financial Services Group, Inc. securities. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. |
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Officers and Directors (concluded) | Master Small Cap Index Series |
Position(s) | Length | |||||
Name, Address | Held with | of Time | ||||
and Year of Birth | Master LLC | Served | Principal Occupation(s) During Past Five Years | |||
Officers1 | ||||||
John M. Perlowski 55 East 52nd Street New York, NY 10055 1964 | President and Chief Executive Officer | Since 2010 | Managing Director of BlackRock, Inc. since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009. | |||
Brendan Kyne 55 East 52nd Street New York, NY 10055 1977 | Vice President | Since 2009 | Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Product Development and Management for BlackRock’s US Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008. | |||
Brian Schmidt 55 East 52nd Street New York, NY 10055 1958 | Vice President | Since 2009 | Managing Director of BlackRock, Inc. since 2004; Various positions with U.S. Trust Company from 1991 to 2003 including Director from 2001 to 2003 and Senior Vice President from 1998 to 2003; Vice President, Chief Financial Officer and Treasurer of Excelsior Funds, Inc., Excelsior Tax-Exempt Funds, Inc. and Excelsior Funds Trust from 2001 to 2003. | |||
Neal Andrews 55 East 52nd Street New York, NY 10055 1966 | Chief Financial Officer | Since 2007 | Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006. | |||
Jay Fife 55 East 52nd Street New York, NY 10055 1970 | Treasurer | Since 2007 | Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Assistant Treasurer of the Merrill Lynch Investment Managers, L.P. (“MLIM”) and Fund Asset Management, L.P.-advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006. | |||
Brian Kindelan 55 East 52nd Street New York, NY 10055 1959 | Chief Compliance Officer | Since 2007 | Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005. | |||
Ira Shapiro 55 East 52nd Street New York, NY 10055 1963 | Secretary | Since 2010 | Managing Director of BlackRock, Inc. since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principle thereof from 2004 to 2008. |
1 | Officers of the Master LLC serve at the pleasure of the Board of Directors. |
Further information about the Master LLC’s Officers and Directors is available in the Master LLC’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.
Investment Advisor | Sub-Advisor | Custodian | Accounting Agent | Independent Registered | Legal Counsel | |||||
BlackRock Advisors, LLC Wilmington, DE 19809 | BlackRock Investment Management, LLC Plainsboro, NJ 08536 | State Street Bank and Trust Company Boston, MA 02111 | State Street Bank and Trust Company Princeton, NJ 08540 | Public Accounting Firm Deloitte & Touche LLP Princeton, NJ 08540 | Sidley Austin LLP New York, NY 10019 |
Effective September 24, 2010, John M. Perlowski became President and Chief Executive Officer of the Master LLC.
Effective November 16, 2010, Ira Shapiro became Secretary of the Master LLC.
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Schedule of Investments December 31, 2010 | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Australia — 8.6% | ||||||||
AGL Energy Ltd. | 36,852 | $ | 574,488 | |||||
AMP Ltd. | 169,535 | 917,366 | ||||||
AXA Asia Pacific Holdings Ltd. | 84,379 | 544,899 | ||||||
Alumina Ltd. | 197,274 | 501,487 | ||||||
Amcor Ltd. | 100,121 | 691,329 | ||||||
Asciano Group (a) | 237,702 | 388,047 | ||||||
Australia & New Zealand Banking Group Ltd. | 209,425 | 5,002,133 | ||||||
Australian Stock Exchange Ltd. | 14,178 | 546,524 | ||||||
BGP Holdings Plc (a) | 783,183 | — | ||||||
BHP Billiton Ltd. | 274,798 | 12,778,392 | ||||||
Bendigo and Adelaide Bank Ltd. | 29,862 | 304,111 | ||||||
Billabong International Ltd. | 16,993 | 141,704 | ||||||
BlueScope Steel Ltd. | 149,481 | 343,550 | ||||||
Boral Ltd. | 57,533 | 284,608 | ||||||
Brambles Ltd. | 116,064 | 845,421 | ||||||
CFS Retail Property Trust | 173,084 | 311,462 | ||||||
CSL Ltd. | 44,993 | 1,670,237 | ||||||
CSR Ltd. | 121,841 | 209,299 | ||||||
Caltex Australia Ltd. | 11,046 | 162,321 | ||||||
Coca-Cola Amatil Ltd. | 46,125 | 512,902 | ||||||
Cochlear Ltd. | 4,588 | 377,682 | ||||||
Commonwealth Bank of Australia Ltd. | 126,733 | 6,585,102 | ||||||
Computershare Ltd. | 36,181 | 398,787 | ||||||
Crown Ltd. | 36,450 | 307,842 | ||||||
DB RREEF Trust | 388,898 | 316,138 | ||||||
Fairfax Media Ltd. | 171,024 | 245,237 | ||||||
Fortescue Metals Group Ltd. (a) | 102,597 | 687,744 | ||||||
Foster’s Group Ltd. | 158,076 | 918,941 | ||||||
General Property Trust | 144,930 | 436,397 | ||||||
Goodman Fielder Ltd. | 116,560 | 160,408 | ||||||
Goodman Group | 521,205 | 346,384 | ||||||
Harvey Norman Holdings Ltd. | 43,462 | 130,715 | ||||||
Incitec Pivot Ltd. | 132,340 | 536,504 | ||||||
Insurance Australia Group Ltd. | 170,369 | 676,636 | ||||||
Leighton Holdings Ltd. | 10,946 | 345,004 | ||||||
Lend Lease Group | 43,397 | 383,179 | ||||||
MacArthur Coal Ltd. | 14,359 | 188,537 | ||||||
Macquarie Group Ltd. | 28,257 | 1,069,260 | ||||||
Map Group | 31,261 | 95,552 | ||||||
Metcash Ltd. | 61,185 | 257,065 | ||||||
Mirvac Group | 265,085 | 332,600 | ||||||
National Australia Bank Ltd. | 174,226 | 4,226,987 | ||||||
Newcrest Mining Ltd. | 62,551 | 2,594,523 | ||||||
OZ Mineral Ltd. | 255,778 | 451,746 | ||||||
OneSteel Ltd. | 107,501 | 284,787 | ||||||
Orica Ltd. | 29,518 | 752,784 | ||||||
Origin Energy Ltd. | 71,896 | 1,225,857 | ||||||
Paladin Resources Ltd. (a) | 54,836 | 276,381 | ||||||
QBE Insurance Group Ltd. | 85,035 | 1,579,190 | ||||||
QR National Ltd. (a) | 139,757 | 393,094 | ||||||
Qantas Airways Ltd. (a) | 88,991 | 231,196 | ||||||
Ramsay Health Care Ltd. | 10,748 | 195,769 | ||||||
Rio Tinto Ltd. | 35,707 | 3,126,751 | ||||||
SP AusNet | 112,442 | 100,035 | ||||||
Santos Ltd. | 68,600 | 923,604 | ||||||
Sims Metal Management Ltd. | 13,095 | 288,034 | ||||||
Sonic Healthcare Ltd. | 29,853 | 354,878 | ||||||
Stockland | 195,033 | 718,405 | ||||||
Suncorp Group Ltd. | 104,322 | 918,690 | ||||||
Tabcorp Holdings Ltd. | 55,212 | 401,465 | ||||||
Tatts Group Ltd. | 102,272 | 270,056 | ||||||
Telstra Corp. Ltd. | 356,354 | 1,016,648 | ||||||
Toll Holdings Ltd. | 54,447 | 319,501 | ||||||
Transurban Group | 105,377 | 553,214 | ||||||
Wesfarmers Ltd., Ordinary Shares | 82,305 | 2,696,246 | ||||||
Wesfarmers Ltd., Partially Protected Shares | 12,351 | 408,546 | ||||||
Westfield Group | 179,392 | 1,757,196 | ||||||
Westfield Retail Trust (a) | 179,392 | 471,548 | ||||||
Westpac Banking Corp. | 244,595 | 5,556,680 | ||||||
Woodside Petroleum Ltd. | 51,068 | 2,224,550 | ||||||
Woolworths Ltd. | 100,744 | 2,782,028 | ||||||
WorleyParsons Ltd. | 15,599 | 427,235 | ||||||
79,053,618 | ||||||||
Austria — 0.3% | ||||||||
Erste Bank der Oesterreichischen Sparkassen AG | 15,540 | 733,441 | ||||||
IMMOFINANZ Immobilien Anlagen AG (a) | 80,227 | 342,901 | ||||||
Immoeast AG NPV (a) | 30,710 | — | ||||||
OMV AG | 12,288 | 512,111 | ||||||
Raiffeisen International Bank Holding AG | 3,999 | 220,285 | ||||||
Telekom Austria AG | 27,364 | 385,694 | ||||||
Verbund — Oesterreichische Elektrizitaetswirtschafts AG | 6,175 | 230,731 | ||||||
Vienna Insurance Group | 3,349 | 174,551 | ||||||
Voestalpine AG | 8,818 | 421,772 | ||||||
3,021,486 | ||||||||
Belgium — 0.9% | ||||||||
Anheuser-Busch InBev NV | 59,259 | 3,386,011 | ||||||
Anheuser-Busch InBev NV WPR Strip (a) | 24,368 | 130 | ||||||
Bekaert SA | 3,181 | 365,031 | ||||||
Belgacom SA | 12,482 | 419,359 | ||||||
Colruyt SA | 6,100 | 310,205 | ||||||
Delhaize Group | 8,175 | 604,569 | ||||||
Dexia NV (a) | 44,011 | 152,903 | ||||||
Fortis | 183,167 | 418,648 | ||||||
Groupe Bruxelles Lambert SA | 6,597 | 555,062 | ||||||
KBC Bancassurance Holding (a) | 13,262 | 451,875 | ||||||
Mobistar SA | 2,338 | 151,708 | ||||||
Nationale A Portefeuille | 2,247 | 109,953 |
Portfolio Abbreviation
ADR | American Depositary Receipts |
See Notes to Financial Statements. MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2010 |
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Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Belgium (concluded) | ||||||||
Solvay SA | 4,872 | $ | 519,493 | |||||
UCB SA | 8,119 | 278,791 | ||||||
Umicore SA | 9,429 | 490,914 | ||||||
8,214,652 | ||||||||
Bermuda — 0.1% | ||||||||
SeaDrill Ltd. | 22,670 | 773,346 | ||||||
China — 0.0% | ||||||||
Foxconn International Holdings Ltd. (a) | 179,313 | 125,168 | ||||||
Denmark — 1.0% | ||||||||
A.P.Moller — Maersk A/S, Class A | 45 | 396,447 | ||||||
A.P. Moller — Maersk A/S, Class B | 108 | 977,794 | ||||||
Carlsberg A/S | 8,753 | 878,587 | ||||||
Coloplast A/S, Class B | 1,866 | 253,576 | ||||||
DSV A/S | 17,009 | 377,037 | ||||||
Danske Bank A/S (a) | 37,247 | 955,213 | ||||||
Novo-Nordisk A/S, Class B | 34,255 | 3,859,324 | ||||||
Novozymes A/S, Class B | 3,779 | 527,294 | ||||||
TrygVesta A/S | 2,275 | 104,913 | ||||||
Vestas Wind Systems A/S (a) | 17,032 | 539,408 | ||||||
William Demant Holding (a) | 1,985 | 146,741 | ||||||
9,016,334 | ||||||||
Finland — 1.1% | ||||||||
Elisa Corp. | 10,661 | 232,112 | ||||||
Fortum Oyj | 36,243 | 1,093,214 | ||||||
Kesko Oyj, Class B | 5,511 | 257,531 | ||||||
Kone Oyj, Class B | 12,667 | 703,556 | ||||||
Metso Oyj | 10,528 | 588,943 | ||||||
Neste Oil Oyj | 10,756 | 171,989 | ||||||
Nokia Oyj | 307,149 | 3,181,702 | ||||||
Nokian Renkaat Oyj | 8,836 | 324,661 | ||||||
Orion Oyj | 7,586 | 166,077 | ||||||
Outokumpu Oyj | 10,321 | 191,318 | ||||||
Pohjola Bank Plc | 11,663 | 139,922 | ||||||
Rautaruukki Oyj | 7,372 | 173,106 | ||||||
Sampo Oyj | 34,259 | 916,072 | ||||||
Sanoma Oyj | 6,877 | 149,153 | ||||||
Stora Enso Oyj, Class R | 47,872 | 492,656 | ||||||
UPM-Kymmene Oyj | 42,587 | 754,977 | ||||||
Wartsila Oyj | 6,476 | 493,498 | ||||||
10,030,487 | ||||||||
France — 8.9% | ||||||||
AXA SA | 140,585 | 2,340,099 | ||||||
Accor SA | 12,098 | 539,178 | ||||||
Aeroports de Paris | 2,495 | 197,192 | ||||||
Air France-KLM (a) | 11,270 | 205,730 | ||||||
Air Liquide | 23,182 | 2,935,176 | ||||||
Alcatel SA (a) | 189,255 | 553,670 | ||||||
Alstom | 16,850 | 807,641 | ||||||
Atos Origin SA (a) | 3,692 | 196,886 | ||||||
BNP Paribas SA | 78,431 | 4,995,004 | ||||||
BioMerieux | 1,006 | 99,280 | ||||||
Bouygues | 18,786 | 810,777 | ||||||
Bureau Veritas SA | 3,936 | 298,695 | ||||||
CNP Assurances | 12,028 | 217,094 | ||||||
Cap Gemini SA | 11,914 | 556,975 | ||||||
Carrefour SA | 49,057 | 2,022,745 | ||||||
Casino Guichard Perrachon SA | 4,524 | 441,426 | ||||||
Christian Dior SA | 5,228 | 747,782 | ||||||
Cie de Saint-Gobain SA | 32,575 | 1,677,794 | ||||||
Cie Générale d’Optique Essilor International SA | 16,634 | 1,071,745 | ||||||
Compagnie Généralé de Géophysique SA (a) | 11,558 | 352,834 | ||||||
Compagnie Généralé des Etablissements Michelin | 14,233 | 1,021,726 | ||||||
Credit Agricole SA | 78,606 | 999,533 | ||||||
Dassault Systémes SA | 4,808 | 362,961 | ||||||
EDP Renovaveis SA (a) | 19,120 | 110,875 | ||||||
Edenred (a) | 12,396 | 293,447 | ||||||
Eiffage | 3,323 | 146,724 | ||||||
Electricité de France SA | 21,047 | 864,350 | ||||||
Eramet | 468 | 160,599 | ||||||
Eurazeo | 2,412 | 178,976 | ||||||
European Aeronautic Defense and Space Co. (a) | 33,345 | 778,107 | ||||||
Eutelsat Communications | 8,009 | 293,316 | ||||||
Fonciére Des Regions | 2,189 | 211,858 | ||||||
France Telecom SA | 152,160 | 3,184,079 | ||||||
GDF Suez | 101,225 | 3,635,513 | ||||||
Gecina SA | 1,623 | 178,679 | ||||||
Groupe Danone | 47,796 | 3,005,276 | ||||||
Groupe Eurotunnel SA | 39,103 | 344,116 | ||||||
Hermes International | 864 | 181,166 | ||||||
ICADE | 1,913 | 195,340 | ||||||
Iliad SA | 1,331 | 144,833 | ||||||
Imerys SA | 3,106 | 207,317 | ||||||
JC Decaux SA (a) | 5,627 | 173,259 | ||||||
Klepierre | 7,759 | 280,237 | ||||||
L’Oreal SA | 19,601 | 2,179,470 | ||||||
LVMH Moët Hennessy Louis Vuitton SA | 20,075 | 3,306,446 | ||||||
Lafarge SA | 16,407 | 1,029,977 | ||||||
Lagardere S.C.A. | 9,607 | 396,092 | ||||||
Legrand Promesses | 12,920 | 527,007 | ||||||
M6-Metropole Television SA | 5,646 | 136,775 | ||||||
Natixis (a) | 71,265 | 333,361 | ||||||
Neopost SA | 2,501 | 218,109 | ||||||
PagesJaunes Groupe SA | 10,867 | 98,817 | ||||||
Pernod-Ricard SA | 16,216 | 1,526,400 | ||||||
Peugeot SA (a) | 12,545 | 476,671 | ||||||
Pinault-Printemps-Redoute | 6,210 | 988,705 | ||||||
Publicis Groupe | 10,110 | 527,553 | ||||||
Renault SA (a) | 15,773 | 918,182 | ||||||
Safran SA | 13,534 | 479,759 | ||||||
Sanofi-Aventis | 85,807 | 5,501,155 | ||||||
Schneider Electric SA | 19,890 | 2,982,228 | ||||||
Scor SE | 13,510 | 343,335 | ||||||
Société BIC SA | 2,183 | 187,671 | ||||||
Société Générale SA | 51,546 | 2,773,527 | ||||||
Société Télévision Française 1 | 9,864 | 171,478 | ||||||
Sodexho Alliance SA | 7,683 | 530,163 | ||||||
Suez Environnement SA | 21,938 | 453,220 | ||||||
Technip SA | 8,110 | 749,636 | ||||||
Thales SA | 7,174 | 251,285 | ||||||
Total SA | 172,944 | 9,211,435 | ||||||
Unibail-Rodamco SE | 7,482 | 1,481,422 | ||||||
Vallourec SA | 8,896 | 935,316 |
See Notes to Financial Statements. MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2010 |
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Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
France (concluded) | ||||||||
Veolia Environnement SA | 28,237 | $ | 826,535 | |||||
Vinci SA | 36,048 | 1,961,650 | ||||||
Vivendi SA | 100,725 | 2,721,756 | ||||||
82,245,146 | ||||||||
Germany — 8.1% | ||||||||
Adidas-Salomon AG | 17,134 | 1,114,552 | ||||||
Allianz AG, Registered Shares | 37,140 | 4,412,815 | ||||||
Axel Springer AG | 1,214 | 197,918 | ||||||
BASF SE | 75,155 | 5,997,593 | ||||||
Bayer AG | 67,665 | 5,015,827 | ||||||
Bayerische Motoren Werke AG | 27,092 | 2,134,498 | ||||||
Bayerische Motoren Werke AG, Preference Shares | 4,252 | 218,622 | ||||||
Beiersdorf AG | 8,201 | 455,075 | ||||||
Brenntag AG (a) | 2,318 | 236,344 | ||||||
Celesio AG | 6,290 | 156,750 | ||||||
Commerzbank AG (a) | 58,084 | 432,425 | ||||||
Continental AG (a) | 4,014 | 318,853 | ||||||
Daimler AG (a) | 73,823 | 4,995,226 | ||||||
Deutsche Bank AG, Registered Shares | 76,203 | 3,985,111 | ||||||
Deutsche Boerse AG | 15,887 | 1,097,650 | ||||||
Deutsche Lufthansa AG (a) | 18,793 | 408,799 | ||||||
Deutsche Post AG | 69,113 | 1,172,516 | ||||||
Deutsche Telekom AG | 232,525 | 2,997,529 | ||||||
E.ON AG | 147,359 | 4,500,174 | ||||||
Fraport AG | 3,007 | 189,851 | ||||||
Fresenius AG | 2,292 | 192,332 | ||||||
Fresenius AG, Preference Shares | 6,590 | 564,599 | ||||||
Fresenius Medical Care AG | 15,901 | 914,197 | ||||||
GEA Group AG | 13,334 | 385,331 | ||||||
Hannover Rueckversicherung AG, Registered Shares | 4,935 | 264,737 | ||||||
HeidelbergCement AG | 11,425 | 717,067 | ||||||
Henkel KGaA | 10,588 | 545,909 | ||||||
Henkel KGaA, Preference Shares | 14,575 | 903,675 | ||||||
Hochtief AG | 3,665 | 310,690 | ||||||
Infineon Technologies AG (a) | 88,518 | 825,102 | ||||||
K+S AG | 11,763 | 886,603 | ||||||
Kabel Deutschland Holding AG (a) | 4,419 | 207,223 | ||||||
Lanxess | 6,808 | 535,296 | ||||||
Linde AG | 13,835 | 2,092,950 | ||||||
MAN SE | 8,631 | 1,028,003 | ||||||
Merck KGaA | 5,316 | 425,601 | ||||||
Metro AG | 10,594 | 764,641 | ||||||
Muenchener Rueckversicherungs AG, Registered Shares | 15,420 | 2,335,432 | ||||||
Porsche Automobil Holding SE, Preference Shares | 7,095 | 566,725 | ||||||
ProSieben SAT.1 Media AG, Preference Shares | 6,266 | 188,077 | ||||||
Puma AG Rudolf Dassler Sport | 420 | 139,190 | ||||||
Qiagen NV (a) | 18,745 | 367,907 | ||||||
RWE AG | 34,262 | 2,288,354 | ||||||
RWE AG, Preference Shares | 3,102 | 198,960 | ||||||
SAP AG | 70,432 | 3,592,220 | ||||||
Salzgitter AG | 3,386 | 261,785 | ||||||
Siemens AG | 67,324 | 8,339,736 | ||||||
Suedzucker AG | 5,874 | 156,874 | ||||||
TUI AG (a) | 12,274 | 172,180 | ||||||
ThyssenKrupp AG | 27,366 | 1,136,917 | ||||||
United Internet AG | 9,819 | 159,764 | ||||||
Volkswagen AG | 2,425 | 343,964 | ||||||
Volkswagen AG, Preference Shares | 13,904 | 2,260,633 | ||||||
Wacker Chemie AG | 1,309 | 228,219 | ||||||
74,339,021 | ||||||||
Greece - 0.2% | ||||||||
Alpha Bank AE (a) | 40,797 | 207,399 | ||||||
Bank of Cyprus Public Co. Ltd. | 69,678 | 240,485 | ||||||
Coca-Cola Hellenic Bottling Co. SA | 14,949 | 387,286 | ||||||
EFG Eurobank Ergasias SA (a) | 27,241 | 136,739 | ||||||
Hellenic Telecommunications Organization SA | 21,160 | 173,677 | ||||||
National Bank of Greece SA (a) | 78,954 | 642,397 | ||||||
OPAP SA | 17,926 | 310,154 | ||||||
Public Power Corp. | 9,559 | 137,470 | ||||||
2,235,607 | ||||||||
Hong Kong — 2.8% | ||||||||
AIA Group Ltd. (a) | 641,400 | 1,803,030 | ||||||
ASM Pacific Technology Ltd. | 16,504 | 208,435 | ||||||
BOC Hong Kong Holdings Ltd. | 303,900 | 1,033,419 | ||||||
Bank of East Asia Ltd. | 124,332 | 520,275 | ||||||
CLP Holdings Ltd. | 157,687 | 1,280,377 | ||||||
Cathay Pacific Airways Ltd. | 99,263 | 273,819 | ||||||
Cheung Kong Holdings Ltd. | 113,835 | 1,754,365 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 37,500 | 171,687 | ||||||
Esprit Holdings Ltd. | 94,887 | 451,368 | ||||||
Hang Lung Group Ltd. | 66,000 | 433,631 | ||||||
Hang Lung Properties Ltd. | 201,000 | 939,479 | ||||||
Hang Seng Bank Ltd. | 62,753 | 1,031,053 | ||||||
Henderson Land Development Co., Ltd. | 87,491 | 595,956 | ||||||
The Hong Kong & China Gas Ltd. | 353,319 | 832,532 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 83,827 | 1,900,582 | ||||||
HongKong Electric Holdings Ltd. | 113,000 | 712,356 | ||||||
Hopewell Holdings Ltd. | 46,849 | 147,015 | ||||||
Hutchison Whampoa Ltd. | 174,176 | 1,791,800 | ||||||
Hysan Development Co. Ltd. | 48,791 | 229,583 | ||||||
Kerry Properties Ltd. | 58,000 | 301,966 | ||||||
Li & Fung Ltd. | 187,990 | 1,090,723 | ||||||
Lifestyle International Holdings Ltd. | 52,466 | 129,102 | ||||||
The Link Real Estate Investment Trust | 179,914 | 558,623 | ||||||
MTR Corp. | 117,000 | 425,766 | ||||||
Mongolia Energy Co. Ltd. (a) | 277,140 | 82,667 | ||||||
NWS Holdings Ltd. | 109,500 | 166,186 | ||||||
New World Development Ltd. | 207,484 | 389,281 | ||||||
Orient Overseas International Ltd. | 18,057 | 175,036 | ||||||
PCCW Ltd. | 321,000 | 141,978 | ||||||
SJM Holdings Ltd. | 129,000 | 204,639 | ||||||
Sands China Ltd. (a) | 202,600 | 445,381 | ||||||
Shangri-La Asia Ltd. | 106,990 | 290,242 | ||||||
Sino Land Co. | 138,421 | 258,644 | ||||||
Sun Hung Kai Properties Ltd. | 116,324 | 1,930,002 | ||||||
Swire Pacific Ltd., Class A | 63,077 | 1,036,357 | ||||||
Wharf Holdings Ltd. | 112,870 | 867,795 | ||||||
Wheelock and Co., Ltd. | 76,000 | 307,316 | ||||||
Wing Hang Bank Ltd. | 14,500 | 200,430 | ||||||
Wynn Macau Ltd. | 124,000 | 277,528 | ||||||
Yue Yuen Industrial Holdings Ltd. | 59,285 | 213,261 | ||||||
25,603,685 | ||||||||
See Notes to Financial Statements. MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2010 |
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Table of Contents
Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Ireland — 0.2% | ||||||||
Anglo Irish Bank Corp. Plc (a) | 62,641 | — | ||||||
Bank of Ireland (a) | 276,647 | $ | 137,608 | |||||
CRH Plc | 57,632 | 1,198,544 | ||||||
Elan Corp. Plc (a) | 40,603 | 228,928 | ||||||
James Hardie Industries SE, Chess Depository Interest(a) | 34,963 | 242,440 | ||||||
Kerry Group Plc | 11,530 | 384,729 | ||||||
Ryanair Holdings Plc | 29,444 | 148,243 | ||||||
2,340,492 | ||||||||
Israel — 0.8% | ||||||||
Bank Hapoalim Ltd. (a) | 80,458 | 418,888 | ||||||
Bank Leumi Le-Israel BM | 96,283 | 493,534 | ||||||
Bezeq Israeli Telecommunication Corp. Ltd. | 141,076 | 429,494 | ||||||
Cellcom Israel Ltd. | 4,310 | 139,860 | ||||||
Delek Group Ltd. | 304 | 78,382 | ||||||
Elbit Systems Ltd. | 2,059 | 109,884 | ||||||
Israel Chemicals Ltd. | 36,231 | 620,519 | ||||||
The Israel Corp. Ltd. (a) | 197 | 239,017 | ||||||
Israel Discount Bank Ltd. (a) | 52,473 | 119,457 | ||||||
Makhteshim-Agan Industries Ltd. (a) | 18,550 | 95,270 | ||||||
Nice Systems Ltd. (a) | 5,144 | 179,208 | ||||||
Partner Communications Co. Ltd. | 7,239 | 146,548 | ||||||
Teva Pharmaceutical Industries Ltd. | 76,618 | 3,987,845 | ||||||
United Mizrahi Bank Ltd. | 10,047 | 110,491 | ||||||
7,168,397 | ||||||||
Italy — 2.4% | ||||||||
A2A SpA | 94,579 | 130,176 | ||||||
Assicurazioni Generali SpA | 95,543 | 1,819,104 | ||||||
Autogrill SpA (a) | 9,990 | 141,436 | ||||||
Autostrade SpA | 19,629 | 400,847 | ||||||
Banca Carige SpA | 49,397 | 103,610 | ||||||
Banca Monte dei Paschi di Siena SpA (a) | 180,685 | 206,292 | ||||||
Banco Popolare SpA | 51,827 | 235,248 | ||||||
Enel Green Power SpA (a) | 123,095 | 260,063 | ||||||
Enel SpA | 539,599 | 2,703,957 | ||||||
Eni SpA | 213,030 | 4,669,067 | ||||||
Exor SpA | 5,439 | 179,519 | ||||||
Fiat SpA | 62,899 | 1,300,823 | ||||||
Finmeccanica SpA | 32,962 | 375,018 | ||||||
Intesa Sanpaolo SpA | 629,648 | 1,711,787 | ||||||
Intesa Sanpaolo SpA, Non-Convertible Savings Shares | 76,292 | 181,947 | ||||||
Luxottica Group SpA | 9,379 | 286,715 | ||||||
Mediaset SpA | 57,906 | 350,690 | ||||||
Mediobanca SpA | 38,712 | 345,299 | ||||||
Parmalat SpA | 140,429 | 385,207 | ||||||
Pirelli & C. SpA | 20,321 | 164,443 | ||||||
Prysmian SpA | 14,654 | 249,743 | ||||||
Saipem SpA | 21,688 | 1,070,806 | ||||||
Snam Rete Gas SpA | 117,430 | 584,772 | ||||||
Telecom Italia SpA | 765,587 | 993,315 | ||||||
Telecom Italia SpA, Non-Convertible Savings Shares | 493,132 | 536,721 | ||||||
Terna SpA | 106,204 | 448,863 | ||||||
Unicredit SpA | 1,105,400 | 2,291,679 | ||||||
Unione Di Banche Italiane ScpA | 49,809 | 437,035 | ||||||
22,564,182 | ||||||||
Japan — 21.6% | ||||||||
The 77 Bank Ltd. | 29,000 | 153,201 | ||||||
ABC-Mart, Inc. | 2,200 | 78,361 | ||||||
Advantest Corp. | 12,900 | 290,033 | ||||||
Aeon Co., Ltd. | 48,800 | 608,941 | ||||||
Aeon Credit Service Co., Ltd. | 6,100 | 85,833 | ||||||
Aeon Mall Co. Ltd. | 6,900 | 184,579 | ||||||
Air Water Inc. | 12,000 | 152,835 | ||||||
Aisin Seiki Co., Ltd. | 15,600 | 549,689 | ||||||
Ajinomoto Co., Inc. | 54,000 | 560,956 | ||||||
Alfresa Holdings Corp. | 3,200 | 141,806 | ||||||
All Nippon Airways Co., Ltd. (a) | 68,000 | 253,060 | ||||||
Amada Co., Ltd. | 29,000 | 235,019 | ||||||
Aozora Bank Ltd. | 46,000 | 94,879 | ||||||
Asahi Breweries Ltd. | 31,500 | 607,970 | ||||||
Asahi Glass Co., Ltd. | 83,100 | 966,439 | ||||||
Asahi Kasei Corp. | 102,000 | 663,475 | ||||||
Asics Corp. | 13,000 | 166,394 | ||||||
Astellas Pharma, Inc. | 36,600 | 1,390,999 | ||||||
The Bank of Kyoto Ltd. | 26,000 | 245,764 | ||||||
The Bank of Yokohama Ltd. | 98,000 | 505,345 | ||||||
Benesse Holdings, Inc. | 5,600 | 257,657 | ||||||
Bridgestone Corp. | 52,900 | 1,018,271 | ||||||
Brother Industries Ltd. | 19,100 | 281,895 | ||||||
Canon, Inc. | 92,800 | 4,766,698 | ||||||
Canon Marketing Japan Inc. | 5,700 | 80,966 | ||||||
Casio Computer Co., Ltd. | 20,100 | 161,328 | ||||||
Central Japan Railway Co. | 123 | 1,028,210 | ||||||
The Chiba Bank Ltd. | 62,000 | 402,021 | ||||||
Chiyoda Corp. | 13,000 | 128,758 | ||||||
Chubu Electric Power Co., Inc. | 53,500 | 1,313,334 | ||||||
Chugai Pharmaceutical Co., Ltd. | 18,200 | 333,251 | ||||||
The Chugoku Bank Ltd. | 14,000 | 168,935 | ||||||
Chugoku Electric Power Co. | 24,100 | 489,140 | ||||||
Chuo Mitsui Trust Holdings, Inc. | 81,000 | 334,605 | ||||||
Citizens Holding Co., Ltd. | 19,500 | 133,798 | ||||||
Coca-Cola West Holdings Co., Ltd. | 4,500 | 81,456 | ||||||
Cosmo Oil Co., Ltd. | 50,000 | 163,288 | ||||||
Credit Saison Co., Ltd. | 12,100 | 197,468 | ||||||
Dai Nippon Printing Co., Ltd. | 46,000 | 623,911 | ||||||
Dai-ichi Life Insurance Co. | 655 | 1,060,034 | ||||||
Daicel Chemical Industries Ltd. | 22,000 | 160,093 | ||||||
Daido Steel Co., Ltd. | 25,000 | 146,372 | ||||||
Daihatsu Motor Co., Ltd. | 16,000 | 244,780 | ||||||
Daiichi Sankyo Co., Ltd. | 54,900 | 1,199,070 | ||||||
Daikin Industries Ltd. | 19,100 | 674,719 | ||||||
Dainippon Pharma Co., Ltd. | 13,400 | 121,544 | ||||||
Daito Trust Construction Co., Ltd. | 6,400 | 437,392 | ||||||
Daiwa House Industry Co., Ltd. | 40,000 | 489,987 | ||||||
Daiwa Securities Group, Inc. | 135,000 | 692,497 | ||||||
Dena Co. Ltd. | 6,500 | 232,874 | ||||||
Denki Kagaku Kogyo Kabushiki Kaisha | 38,000 | 179,918 | ||||||
Denso Corp. | 39,800 | 1,368,279 | ||||||
Dentsu, Inc. | 13,313 | 411,335 | ||||||
Diamond Lease Co., Ltd. | 4,690 | 185,117 | ||||||
Dowa Mining Co., Ltd. | 21,350 | 139,482 | ||||||
East Japan Railway Co. | 27,849 | 1,807,100 | ||||||
Eisai Co., Ltd. | 20,400 | 736,997 |
See Notes to Financial Statements. MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2010 |
85
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Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Japan (continued) | ||||||||
Electric Power Development Co. | 9,400 | $ | 294,387 | |||||
Elpida Memory, Inc. (a) | 15,000 | 173,489 | ||||||
FamilyMart Co., Ltd. | 5,200 | 195,637 | ||||||
Fanuc Ltd. | 15,700 | 2,399,844 | ||||||
Fast Retailing Co., Ltd. | 4,300 | 682,072 | ||||||
Fuji Electric Holdings Co., Ltd. | 48,800 | 151,229 | ||||||
Fuji Heavy Industries Ltd. | 48,000 | 370,166 | ||||||
Fuji Media Holdings, Inc. | 44 | 69,314 | ||||||
Fuji Photo Film Co., Ltd. | 37,900 | 1,365,108 | ||||||
Fujitsu Ltd. | 153,000 | 1,060,037 | ||||||
Fukuoka Financial Group, Inc. | 62,000 | 268,369 | ||||||
Furukawa Electric Co., Ltd. | 51,000 | 228,235 | ||||||
GS Yuasa Corp. | 30,000 | 206,849 | ||||||
Gree Inc. | 7,400 | 93,854 | ||||||
The Gunma Bank Ltd. | 32,000 | 175,160 | ||||||
The Hachijuni Bank Ltd. | 35,000 | 195,011 | ||||||
Hakuhodo DY Holdings, Inc. | 2,070 | 118,213 | ||||||
Hamamatsu Photonics KK | 5,600 | 204,139 | ||||||
Hankyu Hanshin Holdings, Inc. | 94,000 | 435,659 | ||||||
Hino Motors Ltd. | 23,000 | 123,993 | ||||||
Hirose Electric Co., Ltd. | 2,600 | 292,168 | ||||||
The Hiroshima Bank Ltd. | 41,000 | 172,433 | ||||||
Hisamitsu Pharmaceutical Co., Ltd. | 5,300 | 222,756 | ||||||
Hitachi Chemical Co., Ltd. | 8,500 | 175,181 | ||||||
Hitachi Construction Machinery Co., Ltd. | 7,800 | 186,166 | ||||||
Hitachi High-Technologies Corp. | 5,900 | 137,474 | ||||||
Hitachi Ltd. | 370,000 | 1,964,393 | ||||||
Hitachi Metals Ltd. | 14,000 | 167,362 | ||||||
Hokkaido Electric Power Co., Inc. | 14,800 | 302,227 | ||||||
Hokuhoku Financial Group, Inc. | 104,100 | 211,039 | ||||||
Hokuriku Electric Power | 14,300 | 351,127 | ||||||
Honda Motor Co., Ltd. | 133,400 | 5,265,136 | ||||||
Hoya Corp. | 35,300 | 853,526 | ||||||
IHI Corp. | 106,000 | 235,338 | ||||||
Ibiden Co., Ltd. | 10,400 | 326,231 | ||||||
Idemitsu Kosan Co., Ltd. | 1,800 | 190,739 | ||||||
Inpex Corp. | 175 | 1,021,893 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 30,305 | 351,234 | ||||||
Isuzu Motors Ltd. | 97,000 | 438,315 | ||||||
Ito En, Ltd. | 4,300 | 71,397 | ||||||
Itochu Corp. | 123,200 | 1,241,331 | ||||||
Itochu Techno-Science Corp. | 2,600 | 97,268 | ||||||
The Iyo Bank Ltd. | 20,000 | 159,562 | ||||||
J Front Retailing Co. Ltd. | 38,600 | 210,352 | ||||||
JFE Holdings, Inc. | 37,700 | 1,307,147 | ||||||
JGC Corp. | 17,000 | 368,452 | ||||||
JS Group Corp. | 20,300 | 445,296 | ||||||
JSR Corp. | 14,400 | 267,279 | ||||||
JTEKT Corp. | 18,200 | 213,551 | ||||||
JX Holdings, Inc. | 182,860 | 1,237,419 | ||||||
Japan Petroleum Explora | 2,400 | 91,013 | ||||||
Japan Prime Realty Investment Corp. | �� | 58 | 178,352 | |||||
Japan Real Estate Investment Corp. | 40 | 414,384 | ||||||
Japan Retail Fund Investment Corp. | 133 | 254,342 | ||||||
The Japan Steel Works, Ltd. | 25,000 | 260,378 | ||||||
Japan Tobacco, Inc. | 368 | 1,358,866 | ||||||
The Joyo Bank Ltd. | 53,000 | 232,317 | ||||||
Jupiter Telecommunications Co., Ltd. | 196 | 205,621 | ||||||
KDDI Corp. | 238 | 1,372,484 | ||||||
Kajima Corp. | 69,800 | 185,079 | ||||||
Kamigumi Co., Ltd. | 21,000 | 175,757 | ||||||
Kaneka Corp. | 25,000 | 172,728 | ||||||
The Kansai Electric Power Co., Inc. | 61,400 | 1,514,051 | ||||||
Kansai Paint Co., Ltd. | 18,000 | 173,802 | ||||||
Kao Corp. | 44,000 | 1,182,504 | ||||||
Kawasaki Heavy Industries Ltd. | 115,000 | 385,415 | ||||||
Kawasaki Kisen Kaisha Ltd. | 55,000 | 239,456 | ||||||
Keihin Electric Express Railway Co., Ltd. | 39,000 | 343,984 | ||||||
Keio Electric Railway Co., Ltd. | 47,000 | 320,127 | ||||||
Keisei Electric Railway Co., Ltd. | 24,000 | 159,747 | ||||||
Keyence Corp. | 3,420 | 986,790 | ||||||
Kikkoman Corp. | 13,000 | 145,269 | ||||||
Kinden Corp. | 12,000 | 110,581 | ||||||
Kintetsu Corp. | 133,000 | 415,585 | ||||||
Kirin Holdings Co., Ltd. | 68,000 | 951,052 | ||||||
Kobe Steel Ltd. | 204,000 | 515,454 | ||||||
Koito Manufacturing Co., Ltd. | 8,000 | 124,370 | ||||||
Komatsu Ltd. | 77,600 | 2,335,517 | ||||||
Konami Corp. | 7,400 | 156,569 | ||||||
Konica Minolta Holdings, Inc. | 39,000 | 403,079 | ||||||
Kubota Corp. | 94,000 | 885,584 | ||||||
Kuraray Co., Ltd. | 28,000 | 399,698 | ||||||
Kurita Water Industries Ltd. | 9,100 | 285,668 | ||||||
Kyocera Corp. | 13,300 | 1,351,246 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 21,000 | 215,669 | ||||||
Kyushu Electric Power Co., Inc. | 30,800 | 689,550 | ||||||
Lawson, Inc. | 4,900 | 241,897 | ||||||
MS&AD Insurance Group Holdings, Inc. | 43,870 | 1,095,113 | ||||||
Mabuchi Motor Co., Ltd. | 2,100 | 107,948 | ||||||
Makita Corp. | 9,000 | 366,227 | ||||||
Marubeni Corp. | 135,000 | 945,107 | ||||||
Marui Group Co. Ltd. | 18,800 | 152,644 | ||||||
Maruichi Steel Tube Ltd. | 3,700 | 78,456 | ||||||
Matsui Securities Co., Ltd. | 9,400 | 66,582 | ||||||
Mazda Motor Corp. | 122,400 | 349,140 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 5,500 | 137,810 | ||||||
Medipal Holdings Corp. | 12,200 | 134,245 | ||||||
Meiji Holdings Co., Ltd. | 5,493 | 247,880 | ||||||
Minebea Co., Ltd. | 28,000 | 175,649 | ||||||
Miraca Holdings, Inc. | 4,500 | 180,642 | ||||||
Mitsubishi Chemical Holdings Corp. | 105,000 | 709,261 | ||||||
Mitsubishi Corp. | 111,100 | 2,994,338 | ||||||
Mitsubishi Electric Corp. | 158,000 | 1,650,985 | ||||||
Mitsubishi Estate Co., Ltd. | 96,000 | 1,774,196 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 32,000 | 226,336 | ||||||
Mitsubishi Heavy Industries Ltd. | 247,200 | 925,391 | ||||||
Mitsubishi Logistics Corp. | 9,000 | 119,258 | ||||||
Mitsubishi Materials Corp. (a) | 90,000 | 286,001 | ||||||
Mitsubishi Motors Corp. (a) | 316,000 | 457,855 | ||||||
Mitsubishi Tanabe Pharma Corp. | 18,000 | 303,433 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 1,042,074 | 5,618,989 | ||||||
Mitsui & Co., Ltd. | 142,100 | 2,338,101 | ||||||
Mitsui Chemicals, Inc. | 71,000 | 253,130 | ||||||
Mitsui Engineering & Shipbuilding Co., Ltd. | 59,000 | 155,567 | ||||||
Mitsui Fudosan Co., Ltd. | 68,000 | 1,351,404 | ||||||
Mitsui Mining & Smelting Co., Ltd. | 47,000 | 154,578 | ||||||
Mitsui OSK Lines Ltd. | 93,000 | 630,181 |
See Notes to Financial Statements. MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2010 |
86
Table of Contents
Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Japan (continued) | ||||||||
Mitsumi Electric Co., Ltd. | 6,800 | $ | 124,270 | |||||
Mizuho Financial Group, Inc. | 1,672,740 | 3,137,851 | ||||||
Murata Manufacturing Co., Ltd. | 16,500 | 1,151,793 | ||||||
NEC Corp. | 212,000 | 634,304 | ||||||
NGK Insulators Ltd. | 21,000 | 341,125 | ||||||
NGK Spark Plug Co., Ltd. | 13,000 | 198,662 | ||||||
NHK Spring Co., Ltd. | 12,000 | 130,062 | ||||||
NKSJ Holdings, Inc. (a) | 115,100 | 844,341 | ||||||
NOK Corp. | 8,400 | 174,118 | ||||||
NSK Ltd. | 36,000 | 323,761 | ||||||
NTN Corp. | 41,000 | 216,373 | ||||||
NTT Data Corp. | 101 | 348,309 | ||||||
NTT DoCoMo, Inc. | 1,253 | 2,182,233 | ||||||
NTT Urban Development Co. | 89 | 87,369 | ||||||
Nabtesco Corp. | 7,800 | 165,844 | ||||||
Namco Bandai Holdings, Inc. | 15,200 | 162,927 | ||||||
Nidec Corp. | 8,800 | 887,340 | ||||||
Nikon Corp. | 26,000 | 524,855 | ||||||
Nintendo Co., Ltd. | 8,100 | 2,364,809 | ||||||
Nippon Building Fund, Inc. | 42 | 430,430 | ||||||
Nippon Electric Glass Co. | 28,500 | 409,086 | ||||||
Nippon Express Co., Ltd. | 69,000 | 309,871 | ||||||
Nippon Meat Packers, Inc. | 15,000 | 195,451 | ||||||
Nippon Paper Group, Inc. | 7,894 | 206,640 | ||||||
Nippon Sanso Corp. | 22,000 | 193,663 | ||||||
Nippon Sheet Glass Co., Ltd. | 73,000 | 195,804 | ||||||
Nippon Steel Corp. | 418,000 | 1,497,467 | ||||||
Nippon Telegraph & Telephone Corp. | 42,476 | 1,934,264 | ||||||
Nippon Yusen Kabushiki Kaisha | 125,000 | 550,321 | ||||||
The Nishi-Nippon City Bank Ltd. | 56,000 | 169,378 | ||||||
Nissan Chemical Industries Ltd. | 11,000 | 141,927 | ||||||
Nissan Motor Co., Ltd. | 203,400 | 1,924,134 | ||||||
Nisshin Seifun Group, Inc. | 15,500 | 196,213 | ||||||
Nisshin Steel Co., Ltd. | 62,000 | 137,610 | ||||||
Nisshinbo Industries, Inc. | 10,000 | 109,153 | ||||||
Nissin Foods Holdings Co., Ltd. | 5,400 | 193,260 | ||||||
Nitori Co., Ltd. | 3,000 | 262,153 | ||||||
Nitto Denko Corp. | 13,410 | 628,939 | ||||||
Nomura Holdings, Inc. | 289,100 | 1,834,361 | ||||||
Nomura Real Estate Holdings, Inc. | 8,300 | 150,605 | ||||||
Nomura Real Estate Office Fund, Inc. | 22 | 158,721 | ||||||
Nomura Research Institute Ltd. | 8,100 | 179,943 | ||||||
OJI Paper Co., Ltd. | 68,000 | 328,169 | ||||||
ORIX Corp. | 8,550 | 837,688 | ||||||
Obayashi Corp. | 53,000 | 243,307 | ||||||
Obic Co., Ltd. | 600 | 123,221 | ||||||
Odakyu Electric Railway Co., Ltd. | 51,000 | 474,040 | ||||||
Olympus Corp. | 17,700 | 532,949 | ||||||
Omron Corp. | 16,500 | 434,835 | ||||||
Ono Pharmaceutical Co., Ltd. | 6,800 | 317,096 | ||||||
Oracle Corp. Japan | 3,200 | 156,864 | ||||||
Oriental Land Co., Ltd. | 4,100 | 379,218 | ||||||
Osaka Gas Co., Ltd. | 158,000 | 612,477 | ||||||
Otsuka Holdings Co., Ltd. | 20,500 | 504,988 | ||||||
Otsuka Shokai Co., Ltd. | 1,300 | 88,455 | ||||||
Panasonic Corp. | 160,400 | 2,264,655 | ||||||
Rakuten, Inc. | 585 | 489,558 | ||||||
Resona Holdings, Inc. | 51,256 | 305,521 | ||||||
Ricoh Co., Ltd. | 55,000 | 801,956 | ||||||
Rinnai Corp. | 3,000 | 182,884 | ||||||
Rohm Co., Ltd. | 7,800 | 507,255 | ||||||
SBI Holdings, Inc. | 1,670 | 251,839 | ||||||
SMC Corp. | 4,400 | 750,844 | ||||||
Sankyo Co., Ltd. | 4,500 | 253,545 | ||||||
Santen Pharmaceutical Co., Ltd. | 5,900 | 204,554 | ||||||
Sapporo Hokuyo Holdings, Inc. | 28,289 | 132,187 | ||||||
Sapporo Holdings Ltd. | 23,000 | 103,888 | ||||||
Secom Co., Ltd. | 17,100 | 807,989 | ||||||
Sega Sammy Holdings, Inc. | 16,232 | 307,851 | ||||||
Seiko Epson Corp. | 10,600 | 192,437 | ||||||
Sekisui Chemical Co., Ltd. | 35,000 | 250,401 | ||||||
Sekisui House Ltd. | 47,000 | 473,596 | ||||||
Senshu Ikeda Holdings, Inc. | 49,470 | 70,458 | ||||||
Seven & I Holdings Co., Ltd. | 61,700 | 1,641,476 | ||||||
Seven Bank Ltd. | 56 | 118,416 | ||||||
Sharp Corp. | 82,000 | 841,473 | ||||||
Shikoku Electric Power Co., Inc. | 14,300 | 420,036 | ||||||
Shimadzu Corp. | 20,000 | 154,913 | ||||||
Shimamura Co., Ltd. | 1,900 | 175,863 | ||||||
Shimano, Inc. | 5,400 | 273,750 | ||||||
Shimizu Corp. | 48,000 | 204,474 | ||||||
Shin-Etsu Chemical Co., Ltd. | 33,600 | 1,810,925 | ||||||
Shinko Electric Industries | 6,200 | 69,172 | ||||||
Shinko Securities Co., Ltd. | 48,300 | 137,728 | ||||||
Shinsei Bank Ltd. | 81,000 | 105,421 | ||||||
Shionogi & Co., Ltd. | 24,200 | 476,907 | ||||||
Shiseido Co., Ltd. | 27,800 | 605,382 | ||||||
The Shizuoka Bank Ltd. | 49,000 | 450,551 | ||||||
Showa Denko KK | 116,000 | 260,238 | ||||||
Showa Shell Sekiyu KK | 15,100 | 137,964 | ||||||
Softbank Corp. | 66,400 | 2,289,502 | ||||||
Sojitz Corp. | 102,000 | 223,034 | ||||||
Sony Corp. | 82,200 | 2,939,855 | ||||||
Sony Financial Holdings, Inc. | 71 | 285,941 | ||||||
Square Enix Holdings Co., Ltd. | 5,300 | 93,746 | ||||||
Stanley Electric Co., Ltd. | 11,900 | 221,285 | ||||||
Sumco Corp. (a) | 9,400 | 133,851 | ||||||
Sumitomo Chemical Co., Ltd. | 128,000 | 628,352 | ||||||
Sumitomo Corp. | 91,800 | 1,292,293 | ||||||
Sumitomo Electric Industries Ltd. | 61,300 | 847,116 | ||||||
Sumitomo Heavy Industries Ltd. | 44,000 | 281,438 | ||||||
Sumitomo Metal Industries Ltd. | 274,000 | 671,713 | ||||||
Sumitomo Metal Mining Co., Ltd. | 42,000 | 731,562 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 110,050 | 3,896,555 | ||||||
Sumitomo Realty & Development Co., Ltd. | 29,000 | 689,899 | ||||||
Sumitomo Rubber Industries, Ltd. | 14,400 | 149,781 | ||||||
The Sumitomo Trust & Banking Co., Ltd. | 116,000 | 726,699 | ||||||
Suruga Bank Ltd. | 17,000 | 157,747 | ||||||
Suzuken Co., Ltd. | 5,200 | 158,550 | ||||||
Suzuki Motor Corp. | 27,700 | 680,002 | ||||||
Sysmex Corp. | 2,800 | 193,658 | ||||||
T&D Holdings, Inc. | 22,100 | 557,492 |
See Notes to Financial Statements. MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2010 |
87
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Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Japan (concluded) | ||||||||
TDK Corp. | 9,900 | $ | 685,440 | |||||
THK Co., Ltd. | 9,700 | 221,866 | ||||||
Taisei Corp. | 83,000 | 193,533 | ||||||
Taisho Pharmaceutical Co., Ltd. | 11,000 | 240,416 | ||||||
Takashimaya Co., Ltd. | 22,000 | 187,901 | ||||||
Takeda Pharmaceutical Co., Ltd. | 61,400 | 3,016,326 | ||||||
Teijin Ltd. | 77,000 | 327,827 | ||||||
Terumo Corp. | 13,700 | 768,396 | ||||||
Tobu Railway Co., Ltd. | 67,000 | 375,755 | ||||||
Toho Co., Ltd. | 8,600 | 137,892 | ||||||
Toho Gas Co., Ltd. | 35,000 | 174,718 | ||||||
Tohoku Electric Power Co., Inc. | 34,600 | 770,344 | ||||||
Tokio Marine Holdings, Inc. | 59,200 | 1,758,681 | ||||||
Tokuyama Corp. | 25,000 | 128,856 | ||||||
The Tokyo Electric Power Co., Inc. | 116,400 | 2,838,129 | ||||||
Tokyo Electron Ltd. | 14,000 | 881,457 | ||||||
Tokyo Gas Co., Ltd. | 209,000 | 925,507 | ||||||
Tokyo Steel Manufacturing Co., Ltd. | 9,200 | 99,950 | ||||||
Tokyo Tatemono Co., Ltd. | 32,000 | 147,490 | ||||||
Tokyu Corp. | 92,000 | 420,857 | ||||||
Tokyu Land Corp. | 38,000 | 190,158 | ||||||
TonenGeneral Sekiyu KK | 23,000 | 250,958 | ||||||
Toppan Printing Co., Ltd. | 44,000 | 400,415 | ||||||
Toray Industries, Inc. | 116,700 | 695,710 | ||||||
Toshiba Corp. | 329,000 | 1,785,577 | ||||||
Tosoh Corp. | 45,000 | 145,726 | ||||||
Toto Ltd. | 24,000 | 173,445 | ||||||
Toyo Seikan Kaisha Ltd. | 12,200 | 231,120 | ||||||
Toyo Suisan Kaisha, Ltd. | 8,000 | 177,622 | ||||||
Toyoda Gosei Co., Ltd. | 5,700 | 133,360 | ||||||
Toyota Boshoku Corp. | 5,100 | 89,665 | ||||||
Toyota Industries Corp. | 14,500 | 448,620 | ||||||
Toyota Motor Corp. | 225,700 | 8,885,458 | ||||||
Toyota Tsusho Corp. | 17,100 | 299,444 | ||||||
Trend Micro, Inc. | 7,900 | 259,530 | ||||||
Tsumura & Co. | 5,000 | 161,542 | ||||||
UNY Co., Ltd. | 16,100 | 162,141 | ||||||
USS Co., Ltd. | 1,940 | 158,313 | ||||||
Ube Industries Ltd. | 79,000 | 236,559 | ||||||
Uni-Charm Corp. | 10,200 | 405,036 | ||||||
Ushio, Inc. | 8,700 | 165,196 | ||||||
West Japan Railway Co. | 138 | 515,085 | ||||||
Yahoo! Japan Corp. | 1,166 | 450,691 | ||||||
Yakult Honsha Co., Ltd. | 8,000 | 230,007 | ||||||
Yamada Denki Co., Ltd. | 6,650 | 452,408 | ||||||
Yamaguchi Financial Group, Inc. | 17,000 | 171,211 | ||||||
Yamaha Corp. | 13,300 | 164,199 | ||||||
Yamaha Motor Co., Ltd. (a) | 21,000 | 340,783 | ||||||
Yamato Kogyo Co. Ltd. | 3,800 | 114,249 | ||||||
Yamato Transport Co., Ltd. | 32,100 | 455,359 | ||||||
Yamazaki Baking Co., Ltd. | 10,000 | 120,411 | ||||||
Yaskawa Electric Corp. | 19,000 | 178,903 | ||||||
The Yasuda Trust & Banking Co., Ltd. (a) | 136,000 | 140,090 | ||||||
Yokogawa Electric Corp. | 17,700 | 140,158 | ||||||
199,262,862 | ||||||||
Kazakhstan — 0.0% | ||||||||
Eurasian Natural Resources Corp. | 20,964 | 344,740 | ||||||
Luxembourg — 0.5% | ||||||||
ArcelorMittal | 70,185 | 2,671,009 | ||||||
SES Global | 24,468 | 582,647 | ||||||
Tenaris SA | 38,580 | 946,160 | ||||||
4,199,816 | ||||||||
Netherlands — 2.5% | ||||||||
ASML Holding NV | 35,290 | 1,353,449 | ||||||
Aegon NV (a) | 127,549 | 780,819 | ||||||
Akzo Nobel NV | 18,868 | 1,173,917 | ||||||
Corio NV | 4,778 | 306,790 | ||||||
Delta Lloyd NV | 6,510 | 131,287 | ||||||
Fugro NV | 5,592 | 460,421 | ||||||
Heineken Holding NV | 9,628 | 418,716 | ||||||
Heineken NV | 21,292 | 1,044,303 | ||||||
ING Groep NV CVA (a) | 314,184 | 3,065,099 | ||||||
Koninklijke Ahold NV | 97,526 | 1,288,342 | ||||||
Koninklijke Boskalis Westminster NV | 5,548 | 264,899 | ||||||
Koninklijke DSM NV | 12,704 | 724,166 | ||||||
Koninklijke KPN NV | 128,679 | 1,879,474 | ||||||
Koninklijke Philips Electronics NV | 80,676 | 2,473,311 | ||||||
Koninklijke Vopak NV | 5,668 | 267,969 | ||||||
Randstad Holdings NV (a) | 8,980 | 474,585 | ||||||
Reed Elsevier NV | 56,237 | 696,233 | ||||||
SBM Offshore NV | 13,278 | 297,913 | ||||||
STMicroelectronics NV | 51,528 | 535,862 | ||||||
TNT NV | 31,190 | 824,845 | ||||||
Unilever NV | 133,292 | 4,158,390 | ||||||
Wolters Kluwer NV | 24,438 | 535,946 | ||||||
23,156,736 | ||||||||
New Zealand — 0.1% | ||||||||
Auckland International Airport Ltd. | 81,425 | 138,214 | ||||||
Contact Energy Ltd. | 26,924 | 130,807 | ||||||
Fletcher Building Ltd. | 48,760 | 290,657 | ||||||
Sky City Ltd. | 51,491 | 130,013 | ||||||
Telecom Corp. of New Zealand Ltd. | 156,365 | 262,857 | ||||||
952,548 | ||||||||
Norway — 0.7% | ||||||||
Aker Solutions ASA | 13,242 | 225,917 | ||||||
DnB NOR ASA | 80,460 | 1,131,915 | ||||||
Norsk Hydro ASA | 72,408 | 533,341 | ||||||
Orkla ASA | 63,881 | 623,123 | ||||||
Renewable Energy Corp. ASA (a) | 39,887 | 122,498 | ||||||
Statoil ASA | 91,319 | 2,175,040 | ||||||
Telenor ASA | 65,303 | 1,064,135 | ||||||
Telenor ASA — ADR | 839 | 41,027 | ||||||
Yara International ASA | 15,711 | 914,519 | ||||||
6,831,515 | ||||||||
Portugal — 0.2% | ||||||||
Banco Comercial Portugues SA, Registered Shares | 228,344 | 177,574 | ||||||
Banco Espirito Santo SA, Registered Shares | 44,077 | 169,506 | ||||||
Brisa-Auto Estradas de Portugal SA, Private Shares | 15,277 | 106,562 | ||||||
Cimpor Cimentos de Portugal SA | 16,593 | 112,431 | ||||||
Energias de Portugal SA | 156,167 | 519,974 | ||||||
Galp Energia SGPS SA | 18,699 | 358,609 | ||||||
Jeronimo Martins SGPS SA | 18,022 | 274,789 | ||||||
Portugal Telecom SGPS SA, Registered Shares | 47,680 | 544,271 | ||||||
2,263,716 | ||||||||
See Notes to Financial Statements.
MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2010 |
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Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Singapore — 1.7% | ||||||||
Ascendas Real Estate Investment Trust | 126,962 | $ | 204,875 | |||||
CapitaLand Ltd. | 208,749 | 603,809 | ||||||
CapitaMall Trust | 179,700 | 273,312 | ||||||
CapitaMalls Asia Ltd. | 110,000 | 166,346 | ||||||
City Developments Ltd. | 44,535 | 436,475 | ||||||
ComfortDelgro Corp. Ltd. | 153,816 | 185,756 | ||||||
Cosco Corp. (Singapore) Ltd. | 79,002 | 131,858 | ||||||
DBS Group Holdings Ltd. | 141,407 | 1,578,323 | ||||||
Fraser and Neave Ltd. | 80,096 | 399,846 | ||||||
Genting Singapore Plc (a) | 504,227 | 862,585 | ||||||
Global Logistic Properties Ltd. (a) | 130,000 | 218,802 | ||||||
Golden Agri-Resources Ltd. | 540,251 | 337,315 | ||||||
Jardine Cycle & Carriage Ltd. | 8,721 | 248,665 | ||||||
Keppel Corp. Ltd. | 103,616 | 914,263 | ||||||
Keppel Land Ltd. | 59,000 | 220,914 | ||||||
Neptune Orient Lines Ltd. (a) | 73,350 | 124,682 | ||||||
Noble Group Ltd. | 241,840 | 408,766 | ||||||
Olam International Ltd. | 102,900 | 252,016 | ||||||
Oversea-Chinese Banking Corp. | 200,914 | 1,546,828 | ||||||
SembCorp Industries Ltd. | 78,590 | 314,598 | ||||||
Sembcorp Marine Ltd. | 69,197 | 289,478 | ||||||
Singapore Airlines Ltd. | 44,009 | 525,137 | ||||||
Singapore Exchange Ltd. | 70,000 | 459,081 | ||||||
Singapore Press Holdings Ltd. | 127,316 | 395,261 | ||||||
Singapore Technologies Engineering Ltd. | 135,213 | 360,294 | ||||||
Singapore Telecommunications Ltd. | 652,132 | 1,549,689 | ||||||
StarHub Ltd. | 52,157 | 107,108 | ||||||
UOL Group Ltd. | 38,457 | 142,492 | ||||||
United Overseas Bank Ltd. | 100,572 | 1,427,214 | ||||||
Wilmar International Ltd. | 156,670 | 688,753 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 126,183 | 187,908 | ||||||
15,562,449 | ||||||||
Spain — 3.2% | ||||||||
ACS Actividades de Construccion y Servicios SA | 11,628 | 545,016 | ||||||
Abertis Infraestructuras SA | 24,189 | 436,695 | ||||||
Acciona SA | 2,167 | 153,817 | ||||||
Acerinox SA | 7,858 | 138,341 | ||||||
Amadeus IT Holding SA, Class A (a) | 16,481 | 346,353 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 350,714 | 3,574,224 | ||||||
Banco de Sabadell SA | 84,681 | 333,821 | ||||||
Banco de Valencia SA | 16,986 | 74,660 | ||||||
Banco Popular Espanol SA | 72,772 | 375,238 | ||||||
Banco Santander SA | 673,324 | 7,174,823 | ||||||
Bankinter SA | 24,950 | 138,886 | ||||||
Corp. Mapfre SA | 62,698 | 174,780 | ||||||
Criteria Caixacorp. SA | 68,975 | 368,395 | ||||||
Enagas | 14,444 | 288,886 | ||||||
Ferrovial SA | 35,567 | 355,190 | ||||||
Fomento de Construcciones y Contratas SA | 4,167 | 109,741 | ||||||
Gas Natural SDG SA | 26,398 | 406,660 | ||||||
Gestevision Telecinco SA | 10,971 | 120,849 | ||||||
Grifols SA | 11,816 | 161,501 | ||||||
Iberdrola Renovables | 69,262 | 246,156 | ||||||
Iberdrola SA | 330,654 | 2,563,763 | ||||||
Iberia Lineas Aereas de Espana (a) | 38,994 | $ | 167,321 | |||||
Inditex SA | 17,993 | 1,346,840 | ||||||
Indra Sistemas SA | 7,647 | 131,072 | ||||||
Red Electrica de Espana | 8,893 | 419,231 | ||||||
Repsol YPF SA | 59,938 | 1,678,481 | ||||||
Telefonica SA | 336,104 | 7,673,269 | ||||||
Zardoya Otis SA | 11,840 | 167,001 | ||||||
29,671,010 | ||||||||
Sweden — 3.2% | ||||||||
Alfa Laval AB | 27,893 | 588,905 | ||||||
Assa Abloy AB, Series B | 25,592 | 721,917 | ||||||
Atlas Copco AB, Class A | 54,951 | 1,387,154 | ||||||
Atlas Copco AB, Class B | 32,080 | 726,204 | ||||||
Boliden AB | 22,397 | 456,314 | ||||||
CDON Group AB (a) | 4,108 | 18,996 | ||||||
Electrolux AB | 19,478 | 552,742 | ||||||
Getinge AB, Class B | 16,450 | 344,375 | ||||||
Hennes & Mauritz AB, B Shares | 83,777 | 2,790,198 | ||||||
Hexagon AB | 21,252 | 456,432 | ||||||
Holmen AB, Class B | 4,661 | 153,437 | ||||||
Husqvarna AB | 33,227 | 277,640 | ||||||
Industrivarden AB | 9,633 | 169,006 | ||||||
Investor AB | 37,325 | 798,689 | ||||||
Kinnevik Investment AB | 17,606 | 358,550 | ||||||
Millicom International Cellular SA — ADR | 6,219 | 596,936 | ||||||
Modern Times Group AB | 4,108 | 272,162 | ||||||
Nordea Bank AB | 265,000 | 2,881,304 | ||||||
Ratos AB | 8,157 | 301,584 | ||||||
SKB AB | 31,930 | 911,177 | ||||||
SSAB AB, Series A | 14,628 | 246,542 | ||||||
Sandvik AB | 82,522 | 1,610,166 | ||||||
Scania AB | 26,383 | 607,312 | ||||||
Securitas AB | 25,233 | 295,478 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 116,620 | 973,687 | ||||||
Skanska AB, Class B | 32,777 | 649,795 | ||||||
Svenska Cellulosa AB | 46,921 | 740,829 | ||||||
Svenska Handelsbanken, Class A | 40,158 | 1,283,671 | ||||||
Swedbank AB, A Shares (a) | 58,427 | 817,003 | ||||||
Swedish Match AB | 18,902 | 547,747 | ||||||
Tele2 AB | 25,727 | 533,773 | ||||||
Telefonaktiebolaget LM Ericsson | 246,614 | 2,857,965 | ||||||
TeliaSonera AB | 183,716 | 1,458,457 | ||||||
Volvo AB, B Shares (a) | 112,778 | 1,986,674 | ||||||
29,372,821 | ||||||||
Switzerland — 7.9% | ||||||||
ABB Ltd. | 179,305 | 4,003,505 | ||||||
Actelion Ltd. (a) | 8,296 | 454,284 | ||||||
Adecco SA, Registered Shares | 10,018 | 656,974 | ||||||
Aryzta AG | 7,164 | 330,924 | ||||||
Baloise Holding AG | 4,101 | 398,927 | ||||||
Compagnie Financiéré Richemont SA | 42,713 | 2,511,688 | ||||||
Crédit Suisse Group AG | 92,456 | 3,723,660 | ||||||
GAM Holdings Ltd. (a) | 16,634 | 274,955 | ||||||
Geberit AG | 3,178 | 734,825 | ||||||
Givaudan SA | 674 | 727,586 |
See Notes to Financial Statements.
MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2010 |
89
Table of Contents
Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Switzerland (concluded) | ||||||||
Holcim Ltd. | 20,073 | $ | 1,518,973 | |||||
Julius Baer Group Ltd. | 17,001 | 796,039 | ||||||
Kuehne & Nagel International AG | 4,421 | 615,088 | ||||||
Lindt & Spruengli AG | 72 | 217,350 | ||||||
Lindt & Spruengli AG ‘R’ | 9 | 289,648 | ||||||
Logitech International SA (a) | 15,054 | 286,251 | ||||||
Lonza Group AG, Registered Shares | 3,676 | 294,650 | ||||||
Nestle SA, Registered Shares | 283,524 | 16,609,877 | ||||||
Novartis AG, Registered Shares | 172,659 | 10,163,677 | ||||||
Pargesa Holding SA | 2,175 | 184,481 | ||||||
Roche Holding AG | 57,487 | 8,427,183 | ||||||
SGS SA | 448 | 751,910 | ||||||
Schindler Holding AG | 4,002 | 473,419 | ||||||
Schindler Holding AG, Registered Shares | 1,762 | 210,895 | ||||||
Sika AG | 166 | 364,409 | ||||||
Sonova Holding AG | 3,721 | 479,661 | ||||||
Straumann Holding AG, Registered Shares | 656 | 150,227 | ||||||
The Swatch Group Ltd., Bearer Shares | 2,524 | 1,125,377 | ||||||
The Swatch Group Ltd., Registered Shares | 3,649 | 294,433 | ||||||
Swiss Life Holding | 2,475 | 356,976 | ||||||
Swiss Reinsurance Co., Registered Shares | 28,816 | 1,545,887 | ||||||
Swisscom AG | 1,905 | 837,412 | ||||||
Syngenta AG | 7,731 | 2,266,218 | ||||||
Synthes, Inc. | 4,823 | 650,995 | ||||||
Transocean Ltd. (a) | 26,179 | 1,803,439 | ||||||
UBS AG (a) | 297,783 | 4,889,198 | ||||||
Zurich Financial Services AG | 11,917 | 3,086,106 | ||||||
72,507,107 | ||||||||
United Kingdom — 21.0% | ||||||||
3i Group Plc | 79,229 | 407,023 | ||||||
ARM Holdings Plc | 109,009 | 744,009 | ||||||
Admiral Group Plc | 16,401 | 387,923 | ||||||
Aggreko Plc | 21,377 | 494,653 | ||||||
Amec Plc | 27,184 | 488,875 | ||||||
Anglo American Plc | 107,948 | 5,647,034 | ||||||
Antofagasta Plc | 31,934 | 808,026 | ||||||
Associated British Foods Plc | 29,225 | 539,535 | ||||||
AstraZeneca Plc | 117,271 | 5,344,552 | ||||||
Autonomy Corp. Plc (a) | 17,668 | 415,660 | ||||||
Aviva Plc | 231,255 | 1,421,489 | ||||||
BAE Systems Plc | 278,825 | 1,436,167 | ||||||
BG Group Plc | 276,736 | 5,613,647 | ||||||
BHP Billiton Plc | 180,589 | 7,265,398 | ||||||
BP Plc | 1,537,565 | 11,333,288 | ||||||
BT Group Plc | 634,926 | 1,803,318 | ||||||
Babcock International Group Plc | 30,277 | 269,812 | ||||||
Balfour Beatty Plc | 55,595 | 271,850 | ||||||
Barclays Plc | 936,461 | 3,870,282 | ||||||
British Airways Plc (a) | 48,900 | 208,437 | ||||||
British American Tobacco Plc | 163,386 | 6,284,800 | ||||||
British Land Co. Plc | 71,159 | 584,106 | ||||||
British Sky Broadcasting Plc | 93,199 | 1,069,449 | ||||||
Bunzl Plc | 26,664 | 299,392 | ||||||
Burberry Group Plc | 35,919 | 631,273 | ||||||
Cable & Wireless Worldwide | 209,855 | 214,959 | ||||||
Cairn Energy Plc (a) | 114,919 | 754,457 | ||||||
Capita Group Plc | 50,969 | 554,314 | ||||||
Capital Shopping Centers Group Plc | 38,691 | 252,365 | ||||||
Carnival Plc | 14,373 | 668,522 | ||||||
Centrica Plc | 420,626 | 2,179,388 | ||||||
Cobham Plc | 93,617 | 297,675 | ||||||
Compass Group Plc | 155,384 | 1,410,251 | ||||||
Diageo Plc | 205,017 | 3,798,555 | ||||||
Essar Energy Plc (a) | 26,663 | 242,008 | ||||||
Experian Group Ltd. | 84,087 | 1,047,319 | ||||||
Firstgroup Plc | 39,467 | 245,562 | ||||||
Fresnillo Plc | 14,480 | 378,904 | ||||||
G4S Plc | 115,198 | 456,989 | ||||||
GlaxoSmithKline Plc | 424,901 | 8,240,024 | ||||||
HSBC Holdings Plc | 1,440,801 | 14,725,149 | ||||||
Hammerson Plc | 57,667 | 375,807 | ||||||
Home Retail Group | 71,142 | 210,228 | ||||||
ICAP Plc | 45,159 | 377,598 | ||||||
ITV Plc (a) | 296,490 | 325,098 | ||||||
Imperial Tobacco Group Plc | 83,375 | 2,562,914 | ||||||
Inmarsat Plc | 35,635 | 374,774 | ||||||
Intercontinental Hotels Group Plc | 24,198 | 472,681 | ||||||
International Power Plc | 125,206 | 857,459 | ||||||
Intertek Group Plc | 13,369 | 369,647 | ||||||
Invensys Plc | 65,422 | 361,571 | ||||||
Investec Plc | 38,518 | 317,322 | ||||||
J Sainsbury Plc | 99,485 | 584,460 | ||||||
Johnson Matthey Plc | 17,633 | 561,785 | ||||||
Kazakhmys Plc | 17,543 | 445,319 | ||||||
Kingfisher Plc | 193,160 | 795,764 | ||||||
Land Securities Group Plc | 62,184 | 655,948 | ||||||
Legal & General Group Plc | 482,689 | 731,051 | ||||||
Lloyds TSB Group Plc (a) | 3,351,766 | 3,460,026 | ||||||
London Stock Exchange Group Plc | 12,623 | 165,501 | ||||||
Lonmin Plc | 13,242 | 407,619 | ||||||
Man Group Plc | 145,808 | 676,095 | ||||||
Marks & Spencer Group Plc | 129,556 | 747,083 | ||||||
National Grid Plc | 286,041 | 2,472,320 | ||||||
Next Plc | 15,002 | 463,333 | ||||||
Old Mutual Plc | 446,307 | 859,456 | ||||||
Pearson Plc | 66,529 | 1,048,438 | ||||||
Petrofac Ltd. | 21,216 | 527,153 | ||||||
Prudential Plc | 207,771 | 2,170,623 | ||||||
Rangold Resources Ltd. | 7,336 | 604,943 | ||||||
Reckitt Benckiser Plc | 50,475 | 2,776,867 | ||||||
Reed Elsevier Plc | 99,546 | 840,864 | ||||||
Resolution Ltd. | 117,583 | 430,191 | ||||||
Rexam Plc | 71,587 | 371,777 | ||||||
Rio Tinto Plc, Registered Shares | 118,619 | 8,455,322 | ||||||
Rolls-Royce Group Plc | 151,718 | 1,478,223 | ||||||
Rolls-Royce Group Plc (a) | 9,817,536 | 15,306 | ||||||
Royal & Sun Alliance Insurance Group | 280,584 | 548,546 | ||||||
Royal Bank of Scotland Group Plc (a) | 1,428,612 | 877,333 | ||||||
Royal Dutch Shell Plc | 290,124 | 9,686,771 | ||||||
Royal Dutch Shell Plc, Class B | 220,585 | 7,304,569 | ||||||
SABMiller Plc | 77,733 | 2,738,462 |
See Notes to Financial Statements.
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Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
United Kingdom (concluded) | ||||||||
Sage Group Plc | 107,732 | $ | 460,172 | |||||
Schroders Plc | 9,304 | 269,801 | ||||||
Scottish & Southern Energy Plc | 75,535 | 1,442,884 | ||||||
Sego Plc | 59,362 | 265,805 | ||||||
Serco Group Plc | 40,080 | 347,934 | ||||||
Severn Trent Plc | 19,368 | 447,783 | ||||||
Shire Ltd. | 45,931 | 1,107,493 | ||||||
Smith & Nephew Plc | 72,092 | 761,208 | ||||||
Smiths Group Plc | 32,111 | 624,226 | ||||||
Standard Chartered Plc | 190,865 | 5,152,512 | ||||||
Standard Life Plc | 185,169 | 625,382 | ||||||
TUI Travel Plc | 47,505 | 183,070 | ||||||
Tesco Plc | 656,748 | 4,354,907 | ||||||
Thomas Cook Group Plc | 68,661 | 203,245 | ||||||
Tullow Oil Plc | 72,763 | 1,436,886 | ||||||
Unilever Plc | 105,193 | 3,231,120 | ||||||
United Utilities Group Plc | 55,994 | 518,038 | ||||||
Vedanta Resources Plc | 9,950 | 392,542 | ||||||
Vodafone Group Plc | 4,316,073 | 11,330,291 | ||||||
The Weir Group Plc | 17,245 | 479,112 | ||||||
WPP Plc | 102,548 | 1,267,756 | ||||||
Whitbread Plc | 14,314 | 400,534 | ||||||
William Morrison Supermarkets Plc | 173,666 | 725,584 | ||||||
Wolseley Plc (a) | 23,393 | 748,859 | ||||||
Xstrata Plc | 168,709 | 3,997,754 | ||||||
193,387,584 | ||||||||
Total Common Stocks — 98.0% | 904,244,525 | |||||||
Total Long-Term Investments | ||||||||
(Cost — $815,717,744) — 98.0% | 904,244,525 | |||||||
Short-Term Securities | ||||||||
BlackRock Liquidity Funds,TempCash, Institutional Class,0.18% (b)(c) | 2,576,868 | 2,576,868 | ||||||
Total Short-Term Securities | ||||||||
(Cost — $2,576,868) — 0.3% | 2,576,868 | |||||||
Total Investments (Cost — $818,294,612*) — 98.3% | 906,821,393 | |||||||
Other Assets Less Liabilities — 1.7% | 15,878,962 | |||||||
Net Assets — 100.0% | $ | 922,700,355 | ||||||
* | The cost and unrealized appreciation (depreciation) of investments as of December 31, 2010, as computed for federal income tax purposes, were as follows: |
Aggregate cost | $ | 858,176,885 | ||
Gross unrealized appreciation. | $ | 145,966,648 | ||
Gross unrealized depreciation. | (97,322,140 | ) | ||
Net unrealized appreciation | $ | 48,644,508 | ||
(a) | Non-income producing security. | |
(b) | Investments in companies considered to be an affiliate of the Series during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Shares | Shares | |||||||||||||||
Held at | Held at | |||||||||||||||
December 31, | Net | December 31, | ||||||||||||||
Affiliate | 2009 | Activity | 2010 | Income | ||||||||||||
BlackRock Liquidity Funds, TempCash, Institutional Class | 6,620,218 | (4,043,350 | ) | 2,576,868 | $ | 6,442 |
(c) | Represents the current yield as of report date. | |
• | Financial futures contracts purchased as of December 31,2010 were as follows: |
Unrealized | ||||||||||||||||||||
Notional | Appreciation | |||||||||||||||||||
Contracts | Issue | Exchange | Expiration | Value | (Depreciation) | |||||||||||||||
95 | DJ Euro | |||||||||||||||||||
Stoxx 50 | Eurex | March 2011 | $ | 3,617,151 | $ | (70,186 | ) | |||||||||||||
10 | Emini | Chicago | ||||||||||||||||||
MSCI EAFE | Mercantile | March 2011 | $ | 816,785 | 13,715 | |||||||||||||||
35 | FTSE 100 Index | LIFFE | March 2011 | $ | 3,182,925 | 32,775 | ||||||||||||||
11 | SPI 200 Index | Sydney | March 2011 | $ | 1,342,541 | (12,136 | ) | |||||||||||||
25 | TOPIXIndex | Tokyo | March 2011 | $ | 2,718,205 | 40,764 | ||||||||||||||
Total | $ | 4,932 | ||||||||||||||||||
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives, which are as follows: |
• | Level 1 — price quotations in active markets/exchanges for identical assets and liabilities | ||
• | 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) | ||
• | 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 risks associated with investing in those securities. For information about the Series’ policy regarding valuation of investments and derivatives and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
See Notes to Financial Statements.
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Schedule of Investments (concluded) | Master International Index Series |
The following tables summarize the inputs used as of December 31,2010 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: | ||||||||||||||||
Australia | $ | 1,783,333 | $ | 77,270,285 | — | $ | 79,053,618 | |||||||||
Austria | — | 3,021,486 | — | 3,021,486 | ||||||||||||
Belgium | 130 | 8,214,522 | — | 8,214,652 | ||||||||||||
Bermuda | — | 773,346 | — | 773,346 | ||||||||||||
China | — | 125,168 | — | 125,168 | ||||||||||||
Denmark | — | 9,016,334 | — | 9,016,334 | ||||||||||||
Finland | — | 10,030,487 | — | 10,030,487 | ||||||||||||
France | 293,447 | 81,951,699 | — | 82,245,146 | ||||||||||||
Germany | 1,028,527 | 73,310,494 | — | 74,339,021 | ||||||||||||
Greece | — | 2,235,607 | — | 2,235,607 | ||||||||||||
Hong Kong | 2,515,386 | 23,088,299 | — | 25,603,685 | ||||||||||||
Ireland | 384,729 | 1,955,763 | — | 2,340,492 | ||||||||||||
Israel | — | 7,168,397 | — | 7,168,397 | ||||||||||||
Italy | 260,063 | 22,304,119 | — | 22,564,182 | ||||||||||||
Japan | 504,988 | 198,757,874 | — | 199,262,862 | ||||||||||||
Kazakhstan | — | 344,740 | — | 344,740 | ||||||||||||
Luxembourg | — | 4,199,816 | — | 4,199,816 | ||||||||||||
Netherlands | — | 23,156,736 | — | 23,156,736 | ||||||||||||
New Zealand | — | 952,548 | — | 952,548 | ||||||||||||
Norway | 41,027 | 6,790,488 | — | 6,831,515 | ||||||||||||
Portugal | — | 2,263,716 | — | 2,263,716 | ||||||||||||
Singapore | 218,802 | 15,343,647 | — | 15,562,449 | ||||||||||||
Spain | 545,016 | 29,125,994 | — | 29,671,010 | ||||||||||||
Sweden | 18,996 | 29,353,825 | — | 29,372,821 | ||||||||||||
Switzerland | 454,284 | 72,052,823 | — | 72,507,107 | ||||||||||||
United Kingdom | 1,284,408 | 192,103,176 | — | 193,387,584 | ||||||||||||
Short-Term Securities | 2,576,868 | — | — | 2,576,868 | ||||||||||||
Total | $ | 11,910,004 | $ | 894,911,389 | — | $ | 906,821,393 | |||||||||
Derivative Financial Instruments1 | ||||||||||||||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Equity contracts | $ | 87,254 | — | — | $ | 87,254 | ||||||||||
Liabilities: | ||||||||||||||||
Equity contracts | (82,322 | ) | — | — | (82,322 | ) | ||||||||||
Total | $ | 4,932 | — | — | $ | 4,932 | ||||||||||
1 | Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Common Stocks | ||||
Assets: | ||||
Balance, as of December 31,2009 | $ | 15 | ||
Accrued discounts/premiums | — | |||
Net realized gain (loss) | — | |||
Net change in unrealized appreciation/depreciation2 | — | |||
Purchases | — | |||
Sales | — | |||
Transfers in3 | — | |||
Transfers out3 | (15 | ) | ||
Balance, as of December 31,2010 | $ | — | ||
2 | The change in unrealized appreciation/depreciation securities still held on December 31,2010 was $0. | |
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 Notes to Financial Statements. | ||
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Statement of Assets and Liabilities | Master International Index Series |
December 31, 2010 | ||||
Assets | ||||
Investments at value — unaffiliated (cost — $815,717,744) | $ | 904,244,525 | ||
Investments at value — affiliated (cost — $2,576,868) | 2,576,868 | |||
Foreign currency at value (cost — $10,204,882) | 10,303,607 | |||
Cash pledged as collateral for financial futures contracts | 962,000 | |||
Dividends receivable | 4,139,504 | |||
Contributions receivable from investors | 2,292,185 | |||
Receivable from advisor | 6,270 | |||
Prepaid expenses | 19,524 | |||
Total assets | 924,544,483 | |||
Liabilities | ||||
Bank overdraft | 769,758 | |||
Investments purchased payable | 520,775 | |||
Margin variation payable | 125,494 | |||
Other affiliates payable | 4,040 | |||
Directors’fees payable | 318 | |||
Other accrued expenses payable | 257,293 | |||
Other liabilities | 166,450 | |||
Total liabilities | 1,844,128 | |||
Net Assets | $ | 922,700,355 | ||
Net Assets Consist of | ||||
Investors’ capital | $ | 833,852,476 | ||
Net unrealized appreciation/depreciation | 88,847,879 | |||
Net Assets | $ | 922,700,355 | ||
See Notes to Financial Statements. | ||
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Statement of Operations | Master International Index Series |
Year Ended December 31,2010 | ||||
Investment Income | ||||
Dividends- unaffiliated | $ | 24,643,163 | ||
Foreign taxes withheld | (2,145,389 | ) | ||
Dividends — affiliated | 6,442 | |||
Total income | 22,504,216 | |||
Expenses | ||||
Investment advisory | 79,568 | |||
Custodian | 362,621 | |||
Accounting services | 153,218 | |||
Pricing | 116,507 | |||
Professional | 78,830 | |||
Directors | 22,052 | |||
Printing | 1,967 | |||
Miscellaneous | 24,085 | |||
Total expenses | 838,848 | |||
Less fees waived by advisor | (49,666 | ) | ||
Less fees paid indirectly | (768 | ) | ||
Total expenses after fees waived and paid indirectly | 788,414 | |||
Net investment income | 21,715,802 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized loss from: | ||||
Investments | (19,541,760 | ) | ||
Financial futures contracts | (1,497,079 | ) | ||
Foreign currency transactions | (567,649 | ) | ||
(21,606,488 | ) | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | 84,455,663 | |||
Financial futures contracts | (501,842 | ) | ||
Foreign currency transactions | 359,660 | |||
84,313,481 | ||||
Total realized and unrealized gain | 62,706,993 | |||
Net Increase in Net Assets Resulting from Operations | $ | 84,422,795 | ||
See Notes to Financial Statements. | ||
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Statements of Changes in Net Assets | Master International Index Series |
Year Ended | ||||||||
December 31, | ||||||||
Increase (Decrease) in Net Assets: | 2010 | 2009 | ||||||
Operations | ||||||||
Net investment income | $ | 21,715,802 | $ | 22,305,320 | ||||
Net realized gain (loss) | (21,606,488 | ) | 520,540 | |||||
Net change in unrealized appreciation/depreciation | 84,313,481 | 184,128,794 | ||||||
Net increase in net assets resulting from operations | 84,422,795 | 206,954,654 | ||||||
Capital Transactions | ||||||||
Proceeds from contributions | 325,133,239 | 359,210,927 | ||||||
Value of withdrawals | (236,135,595 | ) | (523,005,063 | ) | ||||
Net increase (decrease) in net assets derived from capital transactions | 88,997,644 | (163,794,136 | ) | |||||
Net Assets | ||||||||
Total increase in net assets | 173,420,439 | 43,160,518 | ||||||
Beginning of year | 749,279,916 | 706,119,398 | ||||||
End of year | $ | 922,700,355 | $ | 749,279,916 | ||||
Financial Highlights | Master International Index Series |
Year Ended December 31, | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||
Total Investment Return | |||||||||||||||||||||||
Total investment return | 7.66 | % | 28.99 | % | (41.94 | )% | 10.80 | % | 26.61 | % | |||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||
Total expenses | 0.11 | % | 0.09 | % | 0.11 | % | 0.10 | % | 0.11 | % | |||||||||||||
Total expenses after fees waived and paid indirectly | 0.10 | % | 0.09 | % | 0.10 | % | 0.09 | % | 0.10 | % | |||||||||||||
Net investment income | 2.73 | % | 2.98 | % | 3.54 | % | 2.86 | % | 2.70 | % | |||||||||||||
Supplemental Data | |||||||||||||||||||||||
Net assets, end of year (000) | $ | 922,700 | $ | 749,280 | $ | 706,119 | $ | 1,143,172 | $ | 829,986 | |||||||||||||
Portfolio turnover | 8 | % | 30 | % | 30 | % | 30 | % | 23 | % | |||||||||||||
See Notes to Financial Statements. | ||
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Notes to Financial Statements | Master International Index Series |
1. Organization and Significant Accounting Policies:
Master International Index Series (the “Series”), a non-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 (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 (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosure 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 fair values its financial instruments at market value using independent dealers or pricing services under policies approved by the Board. Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) 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 price 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 at their last sale price. Investments in open-end registered 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.
Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.
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.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Series’ net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair values, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Board. Each business day, the Series uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.
Foreign Currency Transactions: The Series’ books and records are maintained in US dollars. Purchases and sales of investments are recorded at the rates of exchange prevailing on the date the transactions are entered into. Generally, when the US dollar rises in value against a foreign currency, the Series’ investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.
The Series reports foreign currency related transactions as components of realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.
Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Series either delivers collateral or segregates assets in connection with certain investments (e.g., financial futures contracts and foreign currency exchange 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 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.
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Notes to Financial Statements (continued) | Master International Index Series |
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. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Series has determined the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest.
Income Taxes: The Series is classified as a partnership for federal income tax purposes. As such, each investor in the Series is treated as the owner of its proportionate share of net assets, income, expenses and realized 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 31,2010. The statutes of limitations on the Series’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.
Other: Expenses directly related to the Series are charged to the 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 Opera-tions. 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 and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.
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. The Series’ maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. Counterparty risk related to exchange-traded financial futures contracts is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.
The Series may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreement implemented between the Series and each of its respective counterparties. The ISDA Master Agreement allows the Series to offset with each separate counterparty certain derivative financial instrument’s payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Series from its counterparties are not fully collateralized contractually or otherwise, the Series bears the risk of loss from counterparty non-performance. See Note 1 “Segregation and Collateralization” for information with respect to collateral practices. In addition, the Series manages counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Series’ net assets decline by a stated percentage or the Series fails to meet the terms of its ISDA Master Agreements, which would cause the Series to accelerate payment of any net liability owed to the counterparty.
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 values of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are agreements between the Series and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on settlement date. 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 recorded 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.
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Notes to Financial Statements (continued) | Master International Index Series |
Foreign Currency Exchange Contracts: The Series enters into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Series, help to manage the overall exposure to the currency backing some of the investments held by the Series.The contract is marked-to-market daily and the change in market value is recorded by the Series as an unrealized gain or loss.When the contract is closed, the Series records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed.The use of foreign currency exchange contracts involves the risk that the value of a foreign currency contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform it obligations under the agreement.
Derivative Instruments Categorized by Risk Exposure:
Fair Values of Derivative Instruments as of December 31,2010 | ||||||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||||||
Statement of | Statement of | |||||||||||||||
Assets and | Assets and | |||||||||||||||
Liabilities | Liabilities | |||||||||||||||
Location | Value | Location | Value | |||||||||||||
Equity contracts | Net unrealized | Net unrealized | ||||||||||||||
appreciation/ | appreciation/ | |||||||||||||||
depreciation* | $ | 87,254 | depreciation* | $ | 82,322 |
* | 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
Year Ended December 31, 2010
Year Ended December 31, 2010
Net Realized Gain (Loss) from | ||||||||
Financial | Foreign | |||||||
Futures | Currency | |||||||
Contracts | Transactions | |||||||
Foreign currency exchange contracts | — | $ | 258,055 | |||||
Equity contracts | $ | (1,497,079 | ) | — |
Net Change in Unrealized | ||||||||
Appreciation/Depreciation on | ||||||||
Financial | Foreign | |||||||
Futures | Currency | |||||||
Contracts | Transactions | |||||||
Foreign currency exchange contracts | — | $ | 147,613 | |||||
Equity contracts | $ | (501,842 | ) | — |
For the year ended December 31,2010, the average quarterly balances of outstanding derivative financial instruments were as follows:
Financial futures contracts: | ||||
Average number of contracts purchased | 225 | |||
Average notional value of contracts purchased | $ | 13,412,825 | ||
Foreign currency exchange contracts: | ||||
Average number of contracts — US dollars purchased | 2 | |||
Average number of contracts — US dollars sold | 2 | |||
Average US dollar amounts purchased | $ | 348,679 | ||
Average US dollar amounts sold | $ | 181,414 |
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 Master LLC’s 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 entered into a contractual arrangement with the Master LLC with respect to the Series under which the Manager will waive and/or reimburse its fees and/or expenses so that the total annual operating expenses incurred by the Series excluding interest expense, dividend expense, acquired fund fees and expenses and certain other Series’ expenses will not exceed 0.12% of the average daily value of the Series’ net assets.The Manager has agreed not to reduce or discontinue this contractual waiver or reimbursement prior to May 1,2012 unless approved by the Board, including a majority of non-interested Directors. For the year ended December 31,2010, the Series waived $46,646, which is included in fees waived by advisor in the Statement of Operations.
The Manager voluntarily agreed to waive its investment 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. For the year ended December 31,2010, the Series waived $3,020, which is included in fees waived by advisor in the Statement of Operations.
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Notes to Financial Statements (concluded) | Master International Index Series |
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.
For the year ended December 31, 2010, the Series reimbursed the Manager $14,269 for certain accounting services, which are included in accounting services in the Statement of Operations.
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 year ended December 31, 2010, were $175,951,778 and $57,569,320, 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 expired in November 2010.The Series may borrow under the credit agreement to fund investor withdrawals. Effective November 2009, the credit agreement had the following terms: 0.02% upfront fee on the aggregate commitment amount, which was allocated to the Series 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, 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. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2009. Effective November 2010, the credit agreement was renewed until November 2011 with the following terms: a commitment fee of 0.08% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.00% per annum and (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2010.The Series did not borrow under the credit agreement during the year ended December 31, 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 (issuer 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 credit 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 substantial amount of its assets in issuers located in a single country or a limited number of countries. When the Series concentrates its investments in this manner, it assumes the risk that economic, political and social conditions in those countries may have a significant impact on their investment performance. Please see the Schedule of Investments for concentrations in specific countries.
As of December 31, 2010, the Series had the following industry classifications:
Percent of | ||||
Long-Term | ||||
Industry | Investments | |||
Commercial Banks | 13 | % | ||
Oil, Gas & Consumable Fuels | 7 | |||
Pharmaceuticals | 7 | |||
Metals & Mining | 6 | |||
Other* | 67 |
* | All other industries held were each less than 5% of long-term investments. |
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.
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Report of Independent Registered Public Accounting Firm | Master International Index Series |
To the Investors and Board of Directors of Quantitative Master Series LLC:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master International Index Series, one of the portfolios constituting Quantitative Master Series LLC, (the “Master LLC”) as of December 31, 2010, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Master LLC’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master LLC’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures.We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master International Index Series of Quantitative Master Series LLC as of December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche llp
Princeton, New Jersey
February 25, 2011
Princeton, New Jersey
February 25, 2011
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Officers and Directors | Master International Index Series |
Number of BlackRock- | ||||||||||
Advised Registered | ||||||||||
Length | Investment Companies | |||||||||
Position(s) | of Time | (“RICs”) Consisting of | ||||||||
Name, Address | Held with | Served as | Investment Portfolios | Public | ||||||
and Year of Birth | Master LLC | a Director2 | Principal Occupation(s) During Past Five Years | ("Portfolios") Overseen | Directorships | |||||
Non-Interested Directors1 | ||||||||||
Ronald W. Forbes 55 East 52nd Street New York, NY 10055 1940 | Co-Chair of the Board and Director | Since 2007 | Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000. | 36 RICs consisting of 95 Portfolios | None | |||||
Rodney D. Johnson 55 East 52nd Street New York, NY 10055 1941 | Co-Chair of the Board and Director | Since 2007 | President, Fairmount Capital Advisors, Inc. since 1987; Director, Fox Chase Cancer Center since 2004; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director,The Committee of Seventy (civic) since 2006. | 36 RICs consisting of 95 Portfolios | None | |||||
David O. Beim 55 East 52nd Street New York, NY 10055 1940 | Director | Since 2007 | Professor of Finance and Economics at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman,Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006. | 36 RICs consisting of 95 Portfolios | None | |||||
Dr. Matina S. Horner 55 East 52nd Street New York, NY 10055 1939 | Director | Since 2007 | Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003. | 36 RICs consisting of 95 Portfolios | NSTAR (electric and gas utility) | |||||
Herbert I. London 55 East 52nd Street New York, NY 10055 1939 | Director and Member of the Audit Committee | Since 2007 | Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005. | 36 RICs consisting of 95 Portfolios | AIMS Worldwide, Inc. (marketing) | |||||
Cynthia A. Montgomery 55 East 52nd Street New York, NY 10055 1952 | Director | Since 2007 | Professor, Harvard Business School since 1989; Director, Harvard Business School Publishing since 2005; Director, McLean Hospital since 2005. | 36 RICs consisting of 95 Portfolios | Newell Rubbermaid, Inc. (manufacturing) | |||||
Joseph P. Platt 55 East 52nd Street New York, NY 10055 1947 | Director | Since 2007 | Director,The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner,Thorn Partners, LP (private investment) since 1998; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008. | 36 RICs consisting of 95 Portfolios | Greenlight Capital Re, Ltd. (reinsurance company); WQED Multi-Media (public broadcasting not-for-profit) | |||||
Robert C. Robb, Jr. 55 East 52nd Street New York, NY 10055 1945 | Director | Since 2007 | Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981. | 36 RICs consisting of 95 Portfolios | None | |||||
Toby Rosenblatt 55 East 52nd Street New York, NY 10055 1938 | Director | Since 2007 | President, Founders Investments Ltd. (private investments) since 1999; Director, College Access Foundation of California (philanthropic foundation) since 2009; Director, Forward Management, LLC since 2007; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008. | 36 RICs consisting of 95 Portfolios | A.P. Pharma, Inc. (specialty pharmaceuticals) | |||||
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Officers and Directors (continued) | Master International Index Series |
Number of BlackRock- | ||||||||||
Advised Registered | ||||||||||
Length | Investment Companies | |||||||||
Position(s) | of Time | (“RICs”) Consisting of | ||||||||
Name, Address | Held with | Served as | Investment Portfolios | Public | ||||||
and Year of Birth | Master LLC | a Director2 | Principal Occupation(s) During Past Five Years | (“Portfolios”) Overseen | Directorships | |||||
Non-Interested Directors1 (concluded) | ||||||||||
Kenneth L. Urish 55 East 52nd Street New York, NY 10055 1951 | Chair of the Audit Committee and Director | Since 2007 | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Chairman Elect of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation from 2001 to 2009; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007. | 36 RICs consisting of 95 Portfolios | None | |||||
Frederick W. Winter 55 East 52nd Street New York, NY 10055 1945 | Director and Member of the Audit Committee | Since 2007 | Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005; Director, Alkon Corporation (pneumatics) since 1992; Director,Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008. | 36 RICs consisting of 95Portfolios | None | |||||
1 | Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.The Board has approved one-year extensions in terms of Directors who turn 72 prior to December 31,2013. | |
2 | Date shown is the earliest date a person has served as a director for the Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new Fund boards in 2007.As a result, although the chart shows directors as joining the Master LLC Board in 2007, each director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. |
Interested Directors3 | ||||||||||
Richard S. Davis 55 East 52nd Street New York, NY 10055 1945 | Director | Since 2007 | Managing Director, BlackRock, Inc. since 2005; Chief Executive Officer, State Street Research & Management Company from 2000 to 2005; Chairman of the Board of Trustees, State Street Research Mutual Funds from 2000 to 2005. | 169 RICs consisting of 289 Portfolios | None | |||||
Henry Gabbay 55 East 52nd Street New York, NY 10055 1947 | Director | Since 2007 | Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006. | 169 RICs consisting of 289 Portfolios | None |
3 | Mr. Davis is an “interested person” as defined in the Investment Company Act of 1940, of the Master LLC based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an “interested person” of the Master LLC based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and The PNC Financial Services Group, Inc. securities. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. |
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Officers and Directors (concluded) | Master International Index Series |
Name, Address | Position(s) | Length of Time | ||||
and Year of Birth | Held with Master LLC | Served | Principal Occupation(s) During Past Five Years | |||
Officers1 | ||||||
John M. Perlowski 55 East 52nd Street New York, NY 10055 1964 | President and Chief Executive Officer | Since 2010 | Managing Director of BlackRock, Inc. since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009. | |||
Brendan Kyne 55 East 52nd Street New York, NY 10055 1977 | Vice President | Since 2009 | Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008. | |||
Brian Schmidt 55 East 52nd Street New York, NY 10055 1958 | Vice President | Since 2009 | Managing Director of BlackRock, Inc. since 2004; Various positions with U.S. Trust Company from 1991 to 2003 including Director from 2001 to 2003 and Senior Vice President from 1998 to 2003; Vice President, Chief Financial Officer and Treasurer of Excelsior Funds, Inc., Excelsior Tax-Exempt Funds, Inc. and Excelsior Funds Trust from 2001 to 2003. | |||
Neal Andrews 55 East 52nd Street New York, NY 10055 1966 | Chief Financial Officer | Since 2007 | Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006. | |||
Jay Fife 55 East 52nd Street New York, NY 10055 1970 | Treasurer | Since 2007 | Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Assistant Treasurer of the Merrill Lynch Investment Managers, L.P. (“MLIM”) and Fund Asset Management, L.P.-advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006. | |||
Brian Kindelan 55 East 52nd Street New York, NY 10055 1959 | Chief Compliance Officer | Since 2007 | Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005. | |||
Ira Shapiro 55 East 52nd Street New York, NY 10055 1963 | Secretary | Since 2010 | Managing Director of BlackRock, Inc. since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008. |
1 | Officers of the Master LLC serve at the pleasure of the Board of Directors. | |
Further information about the Master LLC’s Officers and Directors is available in the Master LLC’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762. |
Investment Advisor | Sub-Advisor | Custodian | Accounting Agent | Independent Registered | Legal Counsel | |||||
BlackRock Advisors, LLC | BlackRock Investment | JPMorgan Chase Bank, N.A. | State Street Bank and | Public Accounting Firm | Sidley Austin LLP | |||||
Wilmington, DE 19809 | Management, LLC | Brooklyn,NY 11245 | Trust Company | Deloitte & Touche LLP | New York,NY | |||||
Plainsboro, NJ 08536 | Princeton, NJ 08540 | Princeton, NJ 08540 | 10019 |
Effective September 24,2010, John M. Perlowski
became President and Chief Executive Officer
of the Master LLC.
became President and Chief Executive Officer
of the Master LLC.
Effective November 16,2010, Ira Shapiro became Secretary of the Master
LLC.
LLC.
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To obtain more information about the Fund:
7 | 8 | |
By E-mail: | On the Internet: | |
american_beacon.funds@ambeacon.com | Visit our website at www.americanbeaconfunds.com |
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By Telephone: | By Mail: | |
Institutional and Investor Classes | American Beacon Funds | |
Call (800) 658-5811 | P.O. Box 219643 Kansas City, MO 64121 |
Availability of Quarterly Portfolio Schedules In addition to the Schedule of Investments provided in each semi-annual and annual report, each Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room, 450 Fifth Street, NW, Washington, DC 20549. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. | Availability of Proxy Voting Policy and Records A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available in each Fund’s Statement of Additional Information, which may be obtained free of charge by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. Each Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009. |
Fund Service Providers:
Custodian State Street Bank and Trust Boston, Massachusetts | Transfer Agent Boston Financial Data Services Kansas City, Missouri | Independent Registered Public Accounting Firm Ernst & Young LLP Dallas, Texas | Distributor Foreside Fund Services, LLC Portland, Maine | |||
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.
American Beacon Funds, American Beacon Small Cap Index Fund and American Beacon International Equity Index Fund are service marks of American Beacon Advisors, Inc.
AR 12/10
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About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
Contents
1 | ||||
2 | ||||
7 | ||||
Back Cover |
Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and the Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
There is no guarantee that the investment objectives will be met of the American Beacon Global Real Estate Fund. Investing in a global fund concentrating in real estate securities involves special risks, such as declines in the value of real estate as well as increased susceptibility to adverse economic, political, or regulatory developments affecting the industry. Investing in one economic sector, such as real estate, may result in greater price fluctuations than owning a portfolio of diversified investments. Changes in interest rates may also affect the value of the Fund’s investments in real estate securities. The real estate industry tends to be cyclical and therefore such cycles may adversely affect the value of the Fund’s portfolio. The Fund may invest in smaller and mid-size companies. Certain real estate securities have a relatively small market capitalization, which may tend to increase the volatility of the market price of their securities. Investing in the securities of small and mid-capitalization companies involves greater risk and the possibility of greater price volatility than investing in larger capitalization and more established companies. Investing in foreign equities entails additional risk not associated with domestic equities, such as currency fluctuations, economic and political instability, and differences in accounting standards. The risks of investing in foreign equities are heightened when investing in emerging markets. By itself, the Fund does not constitute a complete investment plan and should be considered a long term investment for investors who can afford to weather changes in the value of their investments. Some of the Fund’s investments may be considered speculative and are not appropriate for individuals who require safety of principal or stable income from their investments.
American Beacon Funds | December 31, 2010 |
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Fellow Shareholders,
The market conditions we have experienced over the last 12 months were not without challenges, but they also confirmed our belief that investments managed with patience and a disciplined investment process can still provide favorable results over varied market cycles.
For the 12 months ended December 31, 2010, the American Beacon Global Real Estate Fund (Y Class) returned 17.60%. Please note that the recent growth rate in the stock market has helped to produce short-term increases that are not typical and may not continue in the future.
As always, we appreciate the opportunity to assist you in the pursuit of your financial goals. We trust the enclosed market overview, portfolio listings, and financial data will provide you with valuable insight into the past year’s performance of your fund.
We thank you for your continued investment in the American Beacon Funds, and we remain focused on providing the type of responsive service and expert investment management that will sustain your confidence and earn your trust for many years to come. If you’d like to access your account information or obtain further details about the American Beacon Funds, please contact your investment advisor or visit our website at www.americanbeaconfunds.com.
Sincerely, | ||||
![]() | ||||
Gene L. Needles, Jr. | ||||
President American Beacon Funds |
1
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Market Overview
December 31, 2010 (Unaudited)
December 31, 2010 (Unaudited)
Global real estate investment trusts (“REITS”) staged another strong year of absolute returns, thanks to improving economic and real estate markets.
The outlook had appeared less positive in the summer of 2010, during our last report. At the time, the risk of an economic double-dip seemed plausible, especially given the stagnant economic conditions in the U.S. The aggressive monetary policy moves by the U.S. Federal Reserve along with those of other central banks around the world appeared to have worked in reigniting the global economic recovery.
Real estate transaction activity accelerated in the third and fourth quarters of 2010 as confidence in the economic recovery began to take hold and debt capital markets continued to reopen to borrowers. Global REITs were at the forefront of this debt market activity. They took advantage of their access to attractively priced capital to acquire assets at a spread to their cost of capital.
Despite the generally cheery year-end results, 2010 was not without its bumps. A series of negative shocks and headlines led to volatile and divergent performance among the major regions. The primary factors were:
Negative Global Factors:
• | Rising house prices in Asia and S.E. Asia, most notably China, Hong Kong and Singapore, led to restrictive government policy and rising interest rates. | ||
• | Sovereign debt issues continued to weigh on the peripheral countries in Europe, although perhaps to the benefit of the core Eurozone countries (namely Germany and France). | ||
• | Inflationary pressures in emerging markets presented a destabilizing offset to their anticipated growth potential. | ||
• | Weak labor markets in most developed markets persisted as the gains in the economy appeared to be benefitting larger corporations versus smaller businesses. |
Positive Global Factors:
• | Stimulus efforts in Europe, the U.S. and Japan seemed to have had a positive impact on the near-term economic outlook. | ||
• | Persistent low interest rates in the developed economies pushed investors towards real assets that offered an attractive income return, namely real estate. | ||
• | Earnings results from property companies continued to surprise on the upside, leading to higher expectations of growth. | ||
• | REIT dividend growth resumed in 2010. | ||
• | REITs retained significant access to capital, which offered a distinct advantage relative to the private market. |
2
Table of Contents
Performance Overview
American Beacon Global Real Estate FundSM
December 31, 2010 (Unaudited)
American Beacon Global Real Estate FundSM
December 31, 2010 (Unaudited)
The Y Class of the Global Real Estate Fund returned 17.60% for the twelve months ended December 31, 2010. The Fund underperformed the FTSE EPRA/NAREIT Developed Index (“Index”) return of 20.41% and the Lipper Global Real Estate Funds Index return of 18.33% for the period.
Comparison of Change in Value
of a $10,000 Investment
For the Period from 10/26/07 through 12/31/10
of a $10,000 Investment
For the Period from 10/26/07 through 12/31/10
![(GRAPH)](https://capedge.com/proxy/N-CSR/0000950123-11-023661/d80258d8025813.gif)
Annualized Total Returns | ||||||||||||||||
Periods Ended 12/31/10 | Value of | |||||||||||||||
Since Inception | $10,000 | |||||||||||||||
1 Year | 3 Years | 10/26/07 | 10/26/07-12/31/10 | |||||||||||||
Institutional Class (1,2,6) | 17.43 | % | -4.14 | % | -7.94 | % | $ | 7,686 | ||||||||
Y Class(1,6,7) | 17.60 | % | -4.10 | % | -7.90 | % | 7,697 | |||||||||
Investor Class(1,6,7) | 17.33 | % | -4.38 | % | -8.17 | % | 7,626 | |||||||||
A Class excluding sales charge (1,3,6) | 17.33 | % | -4.38 | % | -8.17 | % | 7,626 | |||||||||
A Class with sales charge (1,3,6) | 10.65 | % | -6.26 | % | -9.86 | % | 7,188 | |||||||||
C Class excluding sales charge (1,4,6) | 16.98 | % | -4.47 | % | -8.25 | % | 7,603 | |||||||||
C Class with sales charge (1,4,6) | 15.98 | % | -4.47 | % | -8.25 | % | 7,603 | |||||||||
FTSE EPRA/NAREIT Developed Index (5) | 20.41 | % | -4.53 | % | -7.64 | % | 6,758 | |||||||||
Lipper Global Real Estate Index(5) | 18.33 | % | -4.08 | % | -8.04 | % | 6,910 |
* | Not annualized | |
1. | Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. Please note that the recent growth rate in the stock market helped to produce short-term returns that are not typical and may not continue in the future. | |
2. | Fund performance represents the total returns achieved by the Y Class up to 9/1/10, the inception date of the Institutional Class, and the returns of the Institutional Class since its inception. Expenses of the Institutional Class are lower than that of the Y Class. As a result, returns shown may be lower than they would have been had the Institutional Class been in existence since 10/26/07. | |
3. | Fund performance represents the total returns achieved by the Investor Class up to 5/17/10, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the A Class been in existence since inception. A Class has a maximum sales charge of 5.75%. | |
4. | Fund performance represents the total returns achieved by the Investor Class up to 9/1/10, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since inception. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase. | |
5. | The FTSE EPRA/NAREIT Developed Index is a market-capitalization weighted index of approximately 330 stocks designed to track listed real estate companies in North America, Europe and Asia-Pacific that meet the size, liquidity and revenue minimums of the index. The Lipper Global Real Estate Index tracks the results of the 10 largest mutual funds in the Lipper Global Real Estate category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. | |
6. | The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 1.17%, 1.27%, 1.55%, 1.67%, and 2.42%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. | |
7. | A portion of the fees charged to the Y and Investor Classes of the Fund were waived from their inception to March 1, 2010. Performance prior to waiving fees was lower than the actual returns shown. |
The Fund underperformed the Index by 2.81% over the twelve-month period due to stock selection and country/regional allocation.
From a country/regional perspective, overweighting the United Kingdom (up 1.7%) and Singapore (up 13.5%) led to the Fund’s relative underperformance in the period, despite value added from underweighting Continental Europe (up
3
Table of Contents
Performance Overview
American Beacon Global Real Estate FundSM
December 31, 2010 (Unaudited)
American Beacon Global Real Estate FundSM
December 31, 2010 (Unaudited)
14.0%) and Hong Kong/China (up 12.2%). Security selections in Hong Kong/China (Henderson Land Development Co. Ltd. — down 7.7%, China Resources Land Ltd. — down 18.3%), the United States (Coresite Realty Corp. — down 16.0%, Pebblebrook Hotel Trust — down 14.9% for the period the Fund owned the security) and Singapore (Global Logistic Properties Ltd. — down 5.9%, Yanlord Land Group Ltd. — down 14.3%) detracted for the period, but selections in Japan (Kenedix — up 82.4%, NTT Urban Development Corp. — up 51.5%) benefited the Fund’s relative performance for the year.
The Fund is designed with a total return perspective. It is expected to provide ongoing income through the payment of dividends while seeking to generate long-term capital appreciation through the underlying properties held.
Top Ten Holdings
% of | ||||
Net Assets | ||||
Sun Hung Kai Properties Ltd. | 4.7 | % | ||
Simon Property Group, Inc. | 3.9 | % | ||
Westfield Group | 3.8 | % | ||
Mitsubishi Estate Co. Ltd. | 3.8 | % | ||
Vornado Realty Trust | 3.4 | % | ||
Stockland | 3.2 | % | ||
Global Logistic Properties Ltd. | 3.0 | % | ||
CapitaLand Ltd. | 2.7 | % | ||
Digital Realty Trust, Inc. | 2.5 | % | ||
British Land Co. Plc | 2.5 | % |
Regional Allocation
![(REGIONAL ALLOCATION GRAPH)](https://capedge.com/proxy/N-CSR/0000950123-11-023661/d80258d8025814.gif)
Asia | 43.3 | % | ||
North America | 40.6 | % | ||
Europe | 14.9 | % | ||
South America | 1.2 | % |
4
Table of Contents
Fund Expenses
American Beacon Global Real Estate FundSM
December 31, 2010 (Unaudited)
American Beacon Global Real Estate FundSM
December 31, 2010 (Unaudited)
Fund Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2010 through December 31, 2010.
Actual Expenses
The “Actual” line of the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. Shareholders that invest in the Fund through an IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
Hypothetical Example for Comparison Purposes
The “Hypothetical” line of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in the Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders that invest in the Fund through an IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” 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. If you were subject to any transaction costs during the period, your costs would have been higher.
Beginning | Expenses Paid | |||||||||||
Account Value | Ending Account | During Period* | ||||||||||
7/1/10 | Value 12/31/10 | 7/1/10-12/31/10 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,097.45 | $ | 4.07 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,019.31 | $ | 5.96 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,244.95 | $ | 6.51 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,019.41 | $ | 5.85 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,244.32 | $ | 7.98 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.10 | $ | 7.17 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,244.39 | $ | 8.77 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,017.39 | $ | 7.88 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,094.77 | $ | 7.85 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,009.17 | $ | 7.58 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 1.17%, 1.15%, 1.41%, 1.55% and 2.26% for the Institutional, Y, Investor, A and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (184) by days in the year (365) to reflect the half year period except for Institutional and C Classes. Beginning account value for Institutional and C Classes is the inception date of 9/1/10 and the days in the period were 122. | |
** | 5% return before expenses. |
5
Table of Contents
American Beacon Global Real Estate Fund
Report of Independent Registered Public Accounting Firm
Report of Independent Registered Public Accounting Firm
To the Shareholders of and the Board of Trustees of American Beacon Global Real Estate Fund:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of the American Beacon Global Real Estate Fund (one of the funds constituting the American Beacon Funds) (the “Fund”), as of December 31, 2010, and the related statement of operations, statement of changes in net assets, and financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended December 31, 2009, and the financial highlights for each of the three years in the period then ended were audited by other auditors whose report dated February 25, 2010, expressed an unqualified opinion on those statements and financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the American Beacon Global Real Estate Fund at December 31, 2010, and the results of its operations, the changes in its net assets, and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
![]() |
Dallas, Texas
March 1, 2011
March 1, 2011
6
Table of Contents
Shares | Value | |||||||
($000) | ||||||||
AUSTRALIA — 10.86% | ||||||||
COMMON STOCKS — 10.86% (Cost $1,685) | ||||||||
Dexus Property GroupA | 308,583 | 251 | ||||||
ING Office Fund | 458,316 | 260 | ||||||
StocklandA | 171,827 | 633 | ||||||
Westfield GroupA | 78,356 | 768 | ||||||
Westfield Retail TrustA B | 95,156 | 250 | ||||||
Total Australia | 2,162 | |||||||
AUSTRIA — 0.52% | ||||||||
COMMON STOCKS — 0.52% (Cost $94) | ||||||||
Atrium European Real Estate Ltd. | 17,892 | 104 | ||||||
BRAZIL — 1.20% | ||||||||
COMMON STOCKS — 1.20% (Cost $227) | ||||||||
Gafisa S.A., ADRC | 16,407 | 238 | ||||||
CANADA — 3.93% | ||||||||
COMMON STOCKS — 3.93% (Cost $596) | ||||||||
Allied Properties Real Estate Investment TrustA | 5,666 | 123 | ||||||
Boardwalk Real Estate Investment TrustA | 2,744 | 114 | ||||||
Brookfield Properties Corp. | 14,970 | 262 | ||||||
First Capital Realty, Inc. | 5,173 | 79 | ||||||
RioCan Real Estate Investment TrustD | 2,000 | 44 | ||||||
RioCan Real Estate Investment TrustA | 7,302 | 161 | ||||||
Total Canada | 783 | |||||||
FRANCE — 5.10% | ||||||||
COMMON STOCKS — 5.10% (Cost $907) | ||||||||
IcadeA | 2,900 | 296 | ||||||
KlepierreA | 6,332 | 228 | ||||||
Unibail-RodamcoA | 2,478 | 490 | ||||||
Total France | 1,014 | |||||||
GERMANY — 0.59% | ||||||||
COMMON STOCKS — 0.59% (Cost $99) | ||||||||
Alstria Office REIT-AGA | 8,377 | 118 | ||||||
HONG KONG/CHINA — 12.74% | ||||||||
COMMON STOCKS — 12.74% (Cost $1,715) | ||||||||
China Resources Land Ltd. | 105,503 | 192 | ||||||
Hang Lung Properties Ltd. | 79,132 | 368 | ||||||
Henderson Land Development Co. Ltd. | 13,748 | 94 | ||||||
Kerry Properties Ltd. | 72,000 | 373 | ||||||
Longfor Properties Co. Ltd. | 131,690 | 183 | ||||||
Poly Hong Kong Investments Ltd. | 116,000 | 114 | ||||||
Sun Hung Kai Properties Ltd. | 56,641 | 936 | ||||||
The Link REITA | 88,714 | 276 | ||||||
Total Hong Kong/China | 2,536 | |||||||
JAPAN — 8.03% | ||||||||
COMMON STOCKS — 8.03% (Cost $1,438) | ||||||||
Frontier Real Estate Investment Corp.A | 18 | 172 | ||||||
Japan Prime Realty Investment Corp.A | 66 | 203 | ||||||
Mitsubishi Estate Co. Ltd. | 40,698 | 755 | ||||||
Mori Trust Sogo REIT, Inc.A | 20 | 196 | ||||||
NTT Urban Development Corp. | 276 | 272 | ||||||
Total Japan | 1,598 | |||||||
NETHERLANDS — 0.96% | ||||||||
COMMON STOCKS — 0.96% (Cost $170) | ||||||||
Eurocommercial Properties NVA | 4,153 | 191 | ||||||
NORWAY — 0.97% | ||||||||
COMMON STOCKS — 0.97% (Cost $214) | ||||||||
Norwegian Property ASAB | 109,270 | 194 | ||||||
SINGAPORE — 10.84% | ||||||||
COMMON STOCKS — 10.84% (Cost $1,584) | ||||||||
Allgreen Properties Ltd. | 129,095 | 119 | ||||||
CapitaCommercial TrustA | 141,372 | 165 | ||||||
CapitaLand Ltd. | 188,161 | 544 | ||||||
CapitaMall TrustA | 197,726 | 300 | ||||||
Global Logistic Properties Ltd.B | 352,226 | 593 | ||||||
Overseas Union Enterprise Ltd. | 54,000 | 138 | ||||||
Suntec Real Estate Investment TrustA | 117,000 | 137 | ||||||
Yanlord Land Group Ltd. | 122,895 | 161 | ||||||
Total Singapore | 2,157 | |||||||
UNITED KINGDOM — 6.46% | ||||||||
COMMON STOCKS — 6.46% (Cost $888) | ||||||||
Big Yellow Group PlcA | 23,253 | 127 | ||||||
British Land Co. PlcA | 61,505 | 504 | ||||||
Derwent London plcA | 9,226 | 224 | ||||||
Great Portland Estates PlcA | 29,140 | 164 | ||||||
Helical Bar Plc | 29,957 | 133 | ||||||
St. Modwen Properties plc | 52,074 | 134 | ||||||
Total United Kingdom | 1,286 | |||||||
UNITED STATES — 35.85% | ||||||||
COMMON STOCKS — 35.85% (Cost $5,010) | ||||||||
Alexandria Real Estate Equities, Inc.A | 4,688 | 343 | ||||||
American Campus Communities, Inc.A | 10,416 | 331 | ||||||
AvalonBay Communities, Inc. | 3,996 | 449 | ||||||
Brookdale Senior Living, Inc.B | 10,298 | 221 | ||||||
Coresite Realty Corp.A | 9,165 | 125 | ||||||
Corporate Office Properties TrustA | 7,661 | 268 | ||||||
DiamondRock Hospitality Co.A | 18,899 | 227 | ||||||
Digital Realty Trust, Inc.A | 9,814 | 506 | ||||||
Douglas Emmett, Inc.A | 14,443 | 240 | ||||||
Duke Realty Corp.A | 22,265 | 277 | ||||||
Equity One, Inc.A | 7,568 | 138 | ||||||
Federal Realty Investment TrustA | 3,830 | 298 | ||||||
General Growth Properties, Inc.A | 11,290 | 175 | ||||||
Health Care REIT, Inc.A | 7,597 | 362 | ||||||
Hersha Hospitality TrustA | 27,728 | 183 | ||||||
Hyatt Hotels Corp.B | 3,186 | 146 | ||||||
Kite Realty Group TrustA | 23,776 | 129 | ||||||
Marriott International, Inc. | 3,257 | 135 | ||||||
ProLogisA | 20,709 | 299 | ||||||
Public Storage, Inc.A | 4,855 | 492 | ||||||
Simon Property Group, Inc.A | 7,845 | 781 | ||||||
UDR, Inc.A | 14,240 | 335 | ||||||
Vornado Realty TrustA | 8,134 | 678 | ||||||
Total United States | 7,138 | |||||||
SHORT-TERM INVESTMENTS — 0.90% (Cost $178) | ||||||||
JPMorgan U.S. Government Money Market Fund | 178,167 | 178 | ||||||
See accompanying notes
7
Table of Contents
American Beacon Global Real Estate Fund
Schedule of Investments
December 31, 2010
Schedule of Investments
December 31, 2010
Shares | Value | |||||||
($000) | ||||||||
TOTAL INVESTMENTS - 98.95% (Cost $14,805) | 19,697 | |||||||
OTHER ASSETS, NET OF LIABILITIES - 1.05% | 210 | |||||||
TOTAL NET ASSETS - 100.00% | $ | 19,907 | ||||||
Percentages are stated as a percent of net assets.
A | REIT | |
B | Non-income producing security. | |
C | ADR — American Depository Receipt | |
D | Security exempt from registration under the Securities Act of 1933. These securities may be resold to qualified institutional buyers pursuant to Rule 144A. At the period end, the value of these securities amounted to $205 or 1.03% of net assets. The Fund has no right to demand registration of these securities |
Futures Contracts
(dollars in thousands)
Unrealized | ||||||||||||||||
Appreciation/ | ||||||||||||||||
Number of Contracts | Expiration Date | Value | (Depreciation) | |||||||||||||
S&P Midcap 400 Mini E Index Future | 200 | March, 2011 | $ | 181 | $ | (1 | ) | |||||||||
$ | 181 | $ | (1 | ) | ||||||||||||
Sector Diversification
Percent of Net Assets | ||||
Diversified | 33.8 | % | ||
Retail | 19.3 | % | ||
Office | 14.2 | % | ||
Not Classified | 9.6 | % | ||
Residential | 7.3 | % | ||
Industrial | 4.6 | % | ||
Self Storage | 3.2 | % | ||
Specialty | 2.6 | % | ||
Lodging/Resorts | 2.1 | % | ||
Health Care | 1.9 | % | ||
Industrial/Office Mixed | 1.4 | % |
8
Table of Contents
American Beacon Global Real Estate Fund
Statement of Assets and Liabilities
December 31, 2010 (in thousands, except share and per share amounts)
Statement of Assets and Liabilities
December 31, 2010 (in thousands, except share and per share amounts)
Assets: | ||||
Investments in securities, at value A | $ | 19,697 | ||
Foreign currency, at value B | 9 | |||
Deposit with brokers for futures contracts | 12 | |||
Receivable for investments sold | 134 | |||
Dividends and interest receivable | 65 | |||
Receivable for fund shares sold | 22 | |||
Receivable for tax reclaims | 4 | |||
Receivable for expense reimbursement (Note 2) | 28 | |||
Prepaid expenses | 50 | |||
Total assets | 20,021 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 58 | |||
Management and investment advisory fees payable (Note 2) | 35 | |||
Administrative service and service fees payable (Note 2) | 8 | |||
Professional fees payable | 4 | |||
Other liabilities | 9 | |||
Total liabilities | 114 | |||
Net assets | $ | 19,907 | ||
Analysis of Net Assets: | ||||
Paid-in-capital | 30,673 | |||
Undistributed (distributions in excess of) net investment income | (855 | ) | ||
Accumulated net realized loss | (14,804 | ) | ||
Unrealized appreciation of investments, futures contracts, and foreign currency | 4,893 | |||
Net assets | $ | 19,907 | ||
Shares outstanding (no par value): | ||||
Institutional Class | 156 | |||
Y Class | 2,754,008 | |||
Investor Class | 184,739 | |||
A Class | 33,876 | |||
C Class | 3,730 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional Class | $ | 7.07 | ||
Y Class | $ | 6.68 | ||
Investor Class | $ | 6.77 | ||
A Class (net asset value and redemption price) | $ | 7.16 | ||
A Class (offering price) | $ | 7.60 | ||
C Class | $ | 7.15 | ||
A Cost of investments in securities | $ | 14,805 | ||
B Cost of foreign currency | $ | 9 |
See accompanying notes
9
Table of Contents
American Beacon Global Real Estate Fund
Statement of Operations
Year ended December 31, 2010 (in thousands)
Statement of Operations
Year ended December 31, 2010 (in thousands)
Investment Income: | ||||
Dividend income (net of foreign taxes)* | $ | 904 | ||
Total investment income | 904 | |||
Expenses: | ||||
Management and investment advisory fees (Note 2) | 149 | |||
Administrative service fees (Note 2): | ||||
Y Class | 75 | |||
Investor Class | 4 | |||
Transfer agent fees: | ||||
Investor Class | 1 | |||
Y Class | 20 | |||
Custody and fund accounting fees | 19 | |||
Professional fees | 42 | |||
Registration fees and expenses | 46 | |||
Service fees (Note 2): | ||||
Y Class | 18 | |||
Investor Class | 4 | |||
Prospectus and shareholder reports | 5 | |||
Insurance fees | 12 | |||
Trustee fees | 10 | |||
Other expenses | 28 | |||
Total expenses | 433 | |||
Net (fees waived and expenses reimbursed) (Note 2) | (129 | ) | ||
Net expenses | 304 | |||
Net investment income | 600 | |||
Realized and unrealized gain (loss) on investments: | ||||
Net realized gain (loss) from: | ||||
Investments | 2,231 | |||
Foreign currency transactions | 133 | |||
Futures contracts | 108 | |||
Change in net unrealized appreciation or depreciation of: | ||||
Investments | 164 | |||
Foreign currency translations | 495 | |||
Futures contracts | (1 | ) | ||
Net gain on investments | 3,130 | |||
Net increase in net assets resulting from operations | $ | 3,730 | ||
* Foreign taxes | $ | 27 |
See accompanying notes
10
Table of Contents
American Beacon Global Real Estate Fund
Statement of Changes of Net Assets (in thousands)
Statement of Changes of Net Assets (in thousands)
Year Ended | Year Ended | |||||||
December 31, 2010 | December 31, 2009 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 600 | $ | 517 | ||||
Net realized gain (loss) on investments, futures contracts, and foreign currency transactions | 2,472 | (11,884 | ) | |||||
Change in net unrealized appreciation of investments, futures contracts, and foreign currency translations | 658 | 17,570 | ||||||
Net increase in net assets resulting from operations | 3,730 | 6,203 | ||||||
Distributions to Shareholders: | ||||||||
Net investment income: | ||||||||
Y Class | (1,236 | ) | (842 | ) | ||||
Investor Class | (61 | ) | (100 | ) | ||||
Return of Capital: | ||||||||
Y Class | (224 | ) | — | |||||
Investor Class | (11 | ) | — | |||||
Net distributions to shareholders | (1,532 | ) | (942 | ) | ||||
Capital Share Transactions: | ||||||||
Proceeds from sales of shares | 24,996 | 3,294 | ||||||
Reinvestment of dividends and distributions | 1,530 | 364 | ||||||
Cost of shares redeemed | (36,314 | ) | (9,556 | ) | ||||
Redemption fees (Note 1) | 1 | 12 | ||||||
Net decrease in net assets from capital share transactions | (9,787 | ) | (5,886 | ) | ||||
Net decrease in net assets | (7,589 | ) | (625 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 27,496 | 28,121 | ||||||
End of Period * | $ | 19,907 | $ | 27,496 | ||||
*Includes undistributed (distributions in excess of) net investment loss of | $ | (855 | ) | $ | (582 | ) | ||
See accompanying notes
11
Table of Contents
American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”) which is comprised of 19 Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, (the “Act”), as a diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon Global Real Estate Fund (the “Fund”), a series of the Trust.
American Beacon Advisors, Inc. (the “Manager”) is a wholly-owned subsidiary of Lighthouse Holdings, Inc. and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services to the Trust and other investors.
Reorganization
The Fund is the accounting and performance successor to the CNL Global Real Estate Fund (the “Predecessor Fund”). On March 1, 2010, the Fund acquired all the net assets of the Predecessor Fund pursuant to a plan of reorganization, in exchange for Y and Investor Class shares of the Fund. The acquisition was accounted for as a tax-free exchange of 3,881,253 Y Class shares and 193,564 Investor Class shares of the Fund for the net assets of the Predecessor Fund, which amounted to $24,238,869 including $3,297,338 of unrealized appreciation, after the close of business on February 28, 2010. Accounting and performance history of the Institutional and A Shares of the Predecessor Fund were redesignated as that of the Y and Investor Class Shares of the Fund, respectively.
For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Predecessor Fund was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The Predecessor Fund had a distribution plan pursuant to Rule 12b-1 for the Class A shares. Under this plan, the Fund collected 0.25% of the average daily net assets for distribution or service activity conducted on behalf of the Fund. Class A shares were converted to Investor Shares on March 1, and this distribution plan was terminated. Prior to the reorganization the distributor for the Fund received $0 in sales commissions from the sale of Class A shares.
Class Disclosure
May 17, 2010 is the inception date of the A Class and September 1, 2010 is the inception date of the Institutional and C Classes.
The Fund has multiple classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:
Class: | Offered to: | |
Institutional Class | Investors making an initial investment of $250,000 | |
Y Class | Investors making an initial investment of $100,000 | |
Investor Class | General public and investors investing through an intermediary | |
A Class | General public and Investors investing through an intermediary with applicable sales charges | |
C Class | General public and Investors investing through an intermediary with a contingent deferred sales charge if sold within 12 months |
Administrative service fees, service fees and distribution fees vary amongst the classes as described more fully in footnote 2.
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American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Security Valuation
Investments are valued at the close of the New York Stock Exchange (the “Exchange”), normally 4 p.m. ET, each day that the Exchange is open for business. Equity securities for which market quotations are available are valued at the last sale price of official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade.
Debt securities (other than short-term securities) normally are valued on the basis of prices provided by an independent pricing service and may take into account appropriate factors such as institution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data. The prices of debt securities may be determined using quotes obtained from brokers.
Investments in mutual funds are valued at the closing net asset value per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method, which approximates fair value.
Securities for which market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Board of Trustees (the “Board”).
Futures are valued based upon the last sale price at the close of market on the principal exchange on which they are traded.
Most foreign markets close before the Exchange. Developments that could affect the values of securities that occur between the close of a foreign market and the close of the Exchange normally will not be reflected in security valuations. If such developments are so significant that they will, in the judgment of the pricing committee of the Fund, clearly and materially affect the value of securities, the foreign market closing prices may be adjusted to reflect the fair value of the securities as of the close of the Exchange, as determined in good faith and pursuant to procedures approved by the Board. Adjustments to the closing prices to reflect fair value on affected foreign securities may be provided by an independent pricing service.
Valuation Inputs
Various inputs may be used to determine the value of the Fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 — Quoted prices in active markets for identical securities. | ||
Level 2 — Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. | ||
Level 3 — Prices determined using significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of December 31, 2010, the Fund’s investments were classified as follows (in thousands):
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American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Asset Description: | ||||||||||||||||
Common Stock | $ | 19,519 | $ | — | $ | — | $ | 19,519 | ||||||||
Short-Term Investments | 178 | — | — | 178 | ||||||||||||
Total Investments | $ | 19,697 | $ | — | $ | — | $ | 19,697 | ||||||||
Futures Contracts | (1 | ) | — | — | (1 | ) |
For the period January 1, 2010 through December 31, 2010, common stock with a value of $16,694,000 was transferred from Level 2 to Level 1 as of the end of the period in accordance with fair value procedures established by the Board at December 31, 2010.
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security purchase or sale. The Fund may purchase securities with delivery or payment to occur at a later date. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded, and the value of the security is reflected in the net asset value. The value of the security may vary with market fluctuations.
Dividend income, net of foreign taxes, is recorded on the ex-dividend date except certain dividends from foreign securities which are recorded as soon as the information is available to the Fund. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification.
Currency Translations
All assets and liabilities initially expressed in foreign currency values are converted into U.S. dollar values at the mean of the bid and ask prices of such currencies against U.S. dollars as last quoted by a recognized dealer. Income, expenses and purchases and sales of investments are translated into U.S. dollars at the rate of exchange prevailing on the respective dates of such transactions. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and is reported with all other foreign currency gains and losses in the Fund’s Statement of Operations.
Forward Foreign Currency Exchange Contracts
The Fund may enter into forward foreign currency contracts to hedge the exchange rate risk on investment transactions or to hedge the value of Fund securities denominated in foreign currencies. Forward foreign currency contracts are valued at the forward exchange rate prevailing on the day of valuation. The Fund bears the market risk that arises from changes in foreign exchange rates, and accordingly, the unrealized gain (loss) on these contracts is reflected in the accompanying financial statements. The Fund also bears the credit risk if the counterparty fails to perform under the contract.
Futures Contracts
Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Fund may enter into financial futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or bond market, as applicable. The primary risks associated with the use of futures contracts are the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations.
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American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Upon entering into a futures contract, the Fund is required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents 5% of the face value of the futures contract. The initial margin amount is reflected as a Deposit with broker for futures contracts on the Statement of Assets and Liabilities. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded.
Values of Derivative Instruments not accounted for as hedging instruments as of December 31, 2010 (in thousands)
Statement of Assets and Liabilities | Liability Derivatives | Total | ||||
Unrealized appreciation of investments, futures contracts, and foreign currency | Equity Contracts* | $ | (1 | ) |
Effect of derivative instruments not accounted for as hedging instruments during the year ended December 31, 2010 (in thousands)
Statement of Operations | Derivative | Total | ||||
Net realized gain (loss) from futures contracts | Equity Contracts | $ | 108 | |||
Change in net unrealized appreciation or depreciation of futures contracts | Equity Contracts | (1 | ) |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments footnotes. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Dividends to Shareholders
Dividends from net investment income of the Fund normally will be declared and paid at least quarterly. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date.
Allocation of Income, Expenses, Gains, and Losses
Income, expenses (other than those attributable to a specific class), gains, and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
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 affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.
Redemption Fees
The Fund imposes a 2% redemption fee on shares held for less than 90 days. The fee is deducted from the redemption proceeds and is intended to offset the trading costs, market impact and other costs associated with short-term trading activities in the Fund. The “first-in, first-out” method is used to determine the holding period. The fee is allocated to all classes of the Fund pro-rata based on the respective net assets. Prior to March 1, 2010 the Fund had a redemption fee of 1% for shares redeemed within 75 days of purchase.
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made
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American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
2. Transactions with Affiliates
Management Agreement
Prior to March 1, 2010, the manager of the Predecessor Fund received an annual rate of 1.00% of the average daily net assets. Since March 1, the Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all investment advisory and portfolio management services. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Fund an annualized fee equal to 0.05% of the average daily net assets plus amounts paid by the Manager to the investment advisor hired by the Manager to direct investment activities of the Fund. Management fees paid including amounts paid by the Predecessor Fund during the year ended December 31, 2010 were as follows: (in thousands)
Amounts paid to | Net Amounts | |||||
Management Fee Rate | Management Fee | Investment Advisors | Retained by Manager | |||
0.35% — 1.00% | $149 | $139 | $10 |
Administrative Services Agreement
As of March 1, the Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative services to the Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of 0.30% of the average daily net assets of the Institutional, Y, and Investor Classes and 0.40% of the average daily net assets of the A and C Classes of the Fund. Administrative Service Fees for the Institutional, A, and C Classes for the period ended December 31, 2010 were less than $500.
Distribution Plans
The Fund, except for the A and C Classes of the Fund, have adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule 12b-1 under the Act, pursuant to which no fees may be charged to the Fund for distribution purposes. However, the Plan authorizes the management and administrative service fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Fund does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund shares.
A separate Distribution Plan (the “Distribution Plan”) has been adopted pursuant to Rule 12b-1 under the Act for the A and C Classes of the Fund. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class, and 1.00% of the average daily net assets of the C Class of the Fund. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance. Distribution fees for the A and C Classes for the period ended December 31, 2010 were less than $500.
Sales Commissions
The Fund’s distributor, Foreside Fund Services, LLC (“Foreside”), may receive a portion of A Class sales charges from broker dealers and it may be used to offset expenses that the Manager pays to Foreside. Since May 17th (the inception date of the A Class), there has not been any sales commissions received by Foreside from the sale of Class A shares.
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American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Services Plan
The Manager and the Trust entered into a Service Plan which obligates the Manager to oversee additional shareholder servicing of the Y, Investor, A, and C Classes of the Fund. As compensation for performing the duties required under the Service Plan, the Manager receives an annualized fee of 0.10% of the average daily net assets of the Y Class, 0.15% of the average daily net assets of the A and C Classes and up to 0.375% of the average daily net assets of the Investor Class of the Fund. Service fees for the A and C Classes for the period ended December 31, 2010 were less than $500.
Investment in Affiliated Funds
The Fund may invest in the American Beacon Money Market Select Fund and the American Beacon US Government Money Market Select Fund (the “USG Select Fund”) and (collectively the “Select Funds”). The Fund and the Select Funds have the same investment advisor and, therefore, are considered to be affiliated. The Manager serves as investment advisor to the Select Funds and receives from the Select Funds an annualized fee equal to 0.09% of the Select Funds’ average daily net assets. During the year ended December 31, 2010, the Fund did not invest in the Select Funds.
Interfund Lending Program
Pursuant to an exemptive order by the Securities Exchange Commission (the “SEC”), the Fund, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program as a borrower. This program provides an alternative credit facility allowing the Fund to borrow from other participating Funds. For the year ended December 31, 2010, the Fund borrowed from the American Beacon Money Market Portfolio and the USG Select Fund on average $429,545, for 21 days at 0.84% with interest charges of $209.
Reimbursement of Expenses
Prior to March 1, the Predecessor Fund contractually agreed to reimburse operating expenses to the extent that total annual fund expenses exceeded 1.80% for Class A (now Investor Class) and 1.55% for Institutional Class (now Class Y). At the time of reorganization the Predecessor Fund had reimbursed the Fund $5,332 and $95,230 for the A and Institutional Classes, respectively.
After the reorganization the Manager agreed to reimburse operating expenses to the extent that total annual fund operating expenses exceed the Fund’s expense caps. For the period ended December 31, 2010, the Predecessor Fund and the Manager reimbursed the following:
Total reimbursed | ||||||||||||||||
Expense Cap | Reimbursed | Expense Cap | for the period | |||||||||||||
Class: | 1/1/10-2/28/10 | prior to 3/1/10 | 3/1/10-12/31/10 | ended 12/31/10 | ||||||||||||
Institutional | 1.55 | % | $ | N/A | 1.17 | %* | $ | 3 | ||||||||
Y | 1.55 | % | 95,230 | 1.27 | % | 121,433 | ||||||||||
Investor | 1.80 | % | 5,332 | 1.55 | % | 7,101 | ||||||||||
A | N/A | N/A | 1.55 | %* | 143 | |||||||||||
C | N/A | N/A | 2.30 | %* | 23 |
* | From the inception date of each Class. |
The Fund has adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of fees waived or expenses reimbursed for a period of up to three years. However, reimbursement will occur only if the Class’s average net assets have grown or expenses have declined sufficiently to allow reimbursement without causing its expense ratio to exceed the previously agreed upon contractual expense limit. The Fund has not recorded a liability for potential reimbursements. At December 31, 2010, $27,772 was receivable from the Manager.
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American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
3. Federal Income and Excise Taxes
It is the policy of the Fund to qualify as a regulated investment company, by complying with all applicable provisions of the Code, and to make distribution of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, the Fund is treated as a single entity for the purpose of determining such qualification.
The Fund does not have any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2010, remains subject to examination by the Internal Revenue Service. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statement of Operations.
Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. generally accepted accounting principles. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.
The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on returns on income earned or gains realized or repatriated. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation, as applicable, as the income is earned or capital gains are recorded.
The tax character of distributions paid during the fiscal years ended December 31, 2010 and December 31, 2009 were as follows (in thousands):
Year Ended | Year Ended | |||||||
December 31, | December 31, | |||||||
2010 | 2009 | |||||||
Distributions paid from: | ||||||||
Y Class | $ | 1,236 | $ | 842 | ||||
Investor Class | 61 | 100 | ||||||
Return of Capital: | ||||||||
Y Class | 224 | — | ||||||
Investor Class | 11 | — | ||||||
Total taxable distributions | $ | 1,532 | $ | 942 | ||||
As of December 31, 2010, the components of distributable earnings on a tax basis were as follows (in thousands):
Cost basis of investments for federal income tax purposes | $ | 17,272 | ||
Unrealized appreciation | 3,296 | |||
Unrealized depreciation | (871 | ) | ||
Net unrealized appreciation/(depreciation) | 2,425 | |||
Undistributed ordinary income | — | |||
Accumulated long-term gain/(loss) | (13,126 | ) | ||
Other temporary differences | (65 | ) | ||
Distributable earnings | $ | (10,766 | ) | |
Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The temporary differences between financial reporting and tax-basis reporting of unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses from wash.
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American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
Due to inherent differences in the recognition of income, expenses and realized gains/(losses) under U.S. generally accepted accounting principles and federal income tax regulations, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statement of Assets and Liabilities.
Accordingly, the following amounts represent current year permanent differences derived from reclassifications of income from real estate. Investment securities, foreign currency, investments in passive foreign investment companies and partnership transactions that have been reclassified as of December 31, 2010 (in thousands):
Paid in capital | $ | (224 | ) | |
Undistributed net investment income | 659 | |||
Accumulated net realized gain (loss) | (435 | ) | ||
Unrealized appreciation (depreciation) of investments and foreign currency | — |
At December 31, 2010, the capital loss carry forward positions for federal income tax purposes were $6 and $13,121 expiring in 2016 and 2017, respectively (in thousands). The Fund utilized $1,164 (in thousands) of net capital loss carryovers for the year ended December 31, 2010.
4. Investment Transactions
The aggregate cost of purchases and proceeds from sales of investments, other than short-term obligations, for the year ended December 31, 2010, were $12,221,832 and $22,915,607, respectively.
5. Capital Share Transactions
The tables below summarize the activity in capital shares (dollars and shares in thousands):
Year Ended December 31, 2010
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Shares sold | — | $ | 1 | 3,905 | $ | 23,237 | 246 | $ | 1,489 | |||||||||||||||
Reinvestment of dividends | — | — | 220 | 1,460 | 10 | 70 | ||||||||||||||||||
Shares redeemed | — | — | (5,299 | ) | (32,492 | )* | (622 | ) | (3,821 | )* | ||||||||||||||
Net increase (decrease) in shares outstanding | — | $ | 1 | (1,174 | ) | $ | (7,795 | ) | (366 | ) | $ | (2,262 | ) |
A Class | C Class | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares sold | 34 | $ | 243 | 4 | $ | 26 | ||||||||||
Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Net increase (decrease) in shares outstanding | 34 | $ | 243 | 4 | $ | 26 |
Year Ended December 31, 2009
Y Class | Investor Class | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares sold | 346 | $ | 1,482 | 376 | $ | 1,812 | ||||||||||
Reinvestment of dividends | 49 | 266 | 17 | 98 | ||||||||||||
Shares redeemed | (2,290 | ) | (8,941 | ) | (111 | ) | (603 | ) | ||||||||
Net increase (decrease) in shares outstanding | (1,896 | ) | $ | (7,193 | ) | 282 | $ | 1,307 |
* | Net of Redemption Fees |
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American Beacon Global Real Estate Fund
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
6. Subsequent Events
Subsequent to December 31, 2010, the Board approved the liquidation and termination of the American Beacon Global Real Estate Fund with an anticipated effective date of March 15, 2011.
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American Beacon Global Real Estate Fund
Financial Highlights
(For a share outstanding throughout the period)
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | Y ClassD | |||||||||||||||||||||||||||||||
September 01 | October 26 | Investor ClassD | ||||||||||||||||||||||||||||||
to December | Year Ended December 31 | to December | Year Ended December 31 | |||||||||||||||||||||||||||||
31, 2010 | 2010 | 2009 | 2008 | 31, 2007 | 2010 | 2009 | 2008 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 6.57 | $ | 6.14 | $ | 4.62 | $ | 8.64 | $ | 10.00 | $ | 6.13 | $ | 4.61 | $ | 8.64 | ||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.08 | 0.14 | 0.11 | E | 0.13 | E | 0.04 | E | (0.04 | ) | 0.09 | E | 0.10 | E | ||||||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | 0.57 | 0.93 | 1.62 | (4.06 | ) | (1.31 | ) | 1.09 | 1.63 | (4.06 | ) | |||||||||||||||||||||
Total income (loss) from investment operations | 0.65 | 1.07 | 1.73 | (3.93 | ) | (1.27 | ) | 1.05 | 1.72 | (3.96 | ) | |||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||
Dividends from net investment income | (0.15 | ) | (0.45 | ) | (0.21 | ) | (0.09 | ) | (0.09 | ) | (0.35 | ) | (0.20 | ) | (0.07 | ) | ||||||||||||||||
Distributions from net realized gains on securities | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Tax return of capital | — | F,G | (0.08 | )F | — | — | — | (0.06 | )F | — | — | |||||||||||||||||||||
Total distributions | (0.15 | ) | (0.53 | ) | (0.21 | ) | (0.09 | ) | (0.09 | ) | (0.41 | ) | (0.20 | ) | (0.07 | ) | ||||||||||||||||
Net asset value, end of period | $ | 7.07 | $ | 6.68 | $ | 6.14 | $ | 4.62 | $ | 8.64 | $ | 6.77 | $ | 6.13 | $ | 4.61 | ||||||||||||||||
Total return | 9.90 | %A | 17.60 | % | 38.03 | % | (45.66 | )% | (12.73 | )%A | 17.33 | % | 37.77 | % | (45.91 | )% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1 | $ | 18,386 | $ | 24,119 | $ | 26,880 | $ | 4,517 | $ | 1,250 | $ | 3,378 | $ | 1,241 | ||||||||||||||||
Ratios to average net assets (annualized): | ||||||||||||||||||||||||||||||||
Expenses, after expense reimbursements (recoupments) | 1.17 | %B | 1.35 | % | 1.55 | % | 1.55 | % | 1.55 | %B | 1.62 | % | 1.80 | % | 1.80 | % | ||||||||||||||||
Expenses, before expense reimbursements (recoupments) | 2.07 | %B | 1.93 | % | 4.05 | % | 5.49 | % | 28.94 | %B | 2.22 | % | 4.24 | % | 4.99 | % | ||||||||||||||||
Net investment income, after expense reimbursements (recoupements) | 3.35 | %B | 2.71 | % | 2.19 | % | 2.09 | % | 2.45 | %B | 2.40 | % | 1.72 | % | 1.69 | % | ||||||||||||||||
Net investment income (loss), before expense reimbursements (recoupments) | 2.45 | %B | 2.13 | % | (0.31 | )% | (1.85 | )% | (24.94 | )%B | 1.80 | % | (0.72 | )% | (1.50 | )% | ||||||||||||||||
Portfolio turnover rate | 55 | %C | 55 | % | 62 | % | 25 | % | 6 | % | 55 | % | 62 | % | 25 | % |
A | Not annualized. | |
B | Annualized. | |
C | Portfolio turnover rate is for the period from January 1 to December 31, 2010. | |
D | Prior to the reorganization on March 1, 2010, the Y Class was known as the Institutional Class and the Investor Class was known as the A Class. | |
E | Per share numbers have been calculated using average shares method. | |
F | The tax return of capital is calculated based upon outstanding shares at the time of distribution. | |
G | Amount represents less than $0.01 per share. |
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American Beacon Global Real Estate Fund
Financial Highlights
(For a share outstanding throughout the period)
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | A Class | C Class | ||||||||
October 26 | May 17 | September 01 | ||||||||
to December | to December | to December | ||||||||
31, 2007 | 31, 2010 | 31, 2010 | ||||||||
$ | 10.00 | $ | 6.03 | $ | 6.55 | |||||
0.07 | E | 0.05 | 0.02 | |||||||
(1.35 | ) | 1.11 | 0.60 | |||||||
(1.28 | ) | 1.16 | 0.62 | |||||||
(0.08 | ) | (0.03 | ) | (0.02 | ) | |||||
— | — | — | ||||||||
— | — | F,G | — | F,G | ||||||
(0.08 | ) | (0.03 | ) | (0.02 | ) | |||||
$ | 8.64 | $ | 7.16 | $ | 7.15 | |||||
(12.77 | )%A | 19.28 | %A | 9.48 | %A | |||||
$ | 61 | $ | 243 | $ | 27 | |||||
1.80 | %B | 1.56 | %B | 2.41 | %B | |||||
29.19 | %B | 1.94 | %B | 3.10 | %B | |||||
4.30 | %B | 2.08 | %B | 1.39 | %B | |||||
(23.09 | )%B | 1.71 | %B | 0.69 | %B | |||||
6 | % | 55 | %C | 55 | %C |
23
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Trustees and Officers of the American Beacon Funds
(Unaudited)
(Unaudited)
The Trustees and officers of the American Beacon Funds (the “Trust”) are listed below, together with their principal occupations during the past five years. Unless otherwise indicated, the address of each person listed below is 4151 Amon Carter Boulevard, MD 2450, Fort Worth, Texas 76155. Each Trustee oversees 23 funds in the fund complex that includes the Trust, the American Beacon Master Trust, the American Beacon Mileage Funds, and the American Beacon Select Funds. The Trust’s Statement of Additional Information contains additional information about the Trustees and is available without charge by calling 1-800-658-5811.
Position, Term of | ||||
Office and Length | ||||
of Time Served | Principal Occupation(s) During Past 5 Years | |||
Name, Age and Address | with the Trust | and Current Directorships | ||
INTERESTED TRUSTEES | ||||
Term | ||||
Lifetime of Trust until removal, resignation or retirement* | ||||
Alan D. Feld** (73) | Trustee since 1996 | Sole Shareholder of a professional corporation which is a Partner in the law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (1960-Present); Director, Clear Channel Communications (1984-2008); Trustee, CenterPoint Properties (1994-2006); Member, Board of Trustees, Southern Methodist University ; Member, Board of Visitors, M.D. Anderson Hospital; Board of Visitors, Zale/Lipshy Hospital; Trustee, American Beacon Mileage Funds (1996-Present); Trustee, American Beacon Select Funds (1999-Present) | ||
NON-INTERESTED TRUSTEES | Term | |||
W. Humphrey Bogart (66) | Trustee since 2004 | Board Member, Baylor University Medical Center Foundation (1992-2004); Consultant, New River Canada Ltd. (mutual fund servicing company) (1998-2003); President and CEO, Allmerica Trust Company, NA (1996-1997); President and CEO, Fidelity Investments Southwest Company (1983-1995); Senior Vice President of Regional Centers, Fidelity Investments (1988-1995); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present) | ||
Brenda A. Cline (49) | Trustee since 2004 | Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, Texas Christian University (1998-Present); Trustee, W.I. Cook Foundation, Inc. (d/b/a Cook Children’s Health Foundation) (2001-2006); Director, Christian Church Foundation (1999-2007); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present) | ||
Eugene J. Duffy (56) | Trustee since 2008 | Principal and Executive Vice President, Paradigm Asset Management (1994-Present); Director, Sunrise Bank of Atlanta (2008-Present); Chairman, Special Contributions Fund Board of Trustees, National Association for the Advancement of Colored People (2007-Present); Trustee, National Association for the Advancement of Colored People (2000-Present); Board of Visitors, Emory University (2006-Present); Trustee, Atlanta Botanical Garden (2006-Present); Board Member, Willie L. Brown Jr. Institute on Politics and Public Service (2001-Present); Chair, National Association of Securities Professionals (2000-2002); Deputy Chief Administrative Officer, City of Atlanta (1985-1990); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present) |
24
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Trustees and Officers of the American Beacon Funds
(Unaudited)
(Unaudited)
Position, Term of | ||||
Office and Length | ||||
of Time Served | Principal Occupation(s) During Past 5 Years | |||
Name, Age and Address | with the Trust | and Current Directorships | ||
NON-INTERESTED TRUSTEES (CONT.) | ||||
Thomas M. Dunning (68) | Trustee since 2008 | Consultant, (2008-Present); Chairman (1998-2008) and Chief Executive Officer (1998-2007), Lockton Dunning Benefits (consulting firm in employee benefits); Director, Oncor Electric Delivery Company LLC (2007-Present); Board Member, Baylor Health Care System Foundation (2007-Present); Vice Chair, State Fair of Texas (1987-Present); Board Member, Southwestern Medical Foundation (1994-Present); Board Member, John Tower Center for Political Studies/SMU (2008-Present); Board Member, University of Texas Development Board (2008-Present); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present) | ||
Richard A. Massman (67) | Trustee since 2004 Chairman since 2008 | Consultant and General Counsel Emeritus (2009-Present), Senior Vice President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding company engaged in oil and gas exploration and production, refining, real estate, farming, ranching and venture capital activities); Chairman (2007-Present) and Director (2005-Present), The Dallas Opera Foundation; Chairman (2006-2009) and Director (2005-Present), Temple Emanu-El Foundation; Trustee, Presbyterian | ||
Healthcare Foundation (2006-Present); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present) | ||||
R. Gerald Turner (64) | Trustee since 2001 | President, Southern Methodist University (1995-Present); Director, ChemFirst (1986-2002); Director, J.C. Penney Company, Inc. (1996-Present); Director, California Federal Preferred Capital Corp. (2001-2003); Director, Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Director, First Broadcasting Investment Partners, LLC (2003-2007); Member, Salvation Army of Dallas Board of Directors; Member, Methodist Hospital Advisory Board; Co-Chair, Knight Commission on Intercollegiate Athletics; Trustee, American Beacon Mileage Funds (2001-Present); Trustee, American Beacon Select Funds (2001-Present) | ||
Paul J. Zucconi,CPA (70) | Trustee since 2008 | Director, Affirmative Insurance Holdings, Inc. (producer of nonstandard automobile insurance) (2004-present); Director, Titanium Metals Corporation (producer of titanium melted and mill products and sponge) (2002- present); Director, Torchmark Corporation (life and health insurance products) (2002-present); Director, National Kidney Foundation serving North Texas (2003-Present); Director, Dallas Chapter of National Association of Corporate Directors (2004-Present); Partner, KPMG (1976-2001); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present) | ||
OFFICERS | ||||
Term | ||||
One Year | ||||
William F. Quinn (62) | Executive Vice President from 2007 to 2008 and 2009 to Present President from 1987 to 2007 Trustee from 1987 to 2008 | Executive Chairman (2009-Present), Chairman (2006-2009) CEO (2006-2007), President (1986-2006) and Director (2003-Present), American Beacon Advisors, Inc.; Chairman (1989-2003) and Director (1979-1989, 2003-Present), American Airlines Federal Credit Union; Director Hicks Acquisition I, Inc. (2007-2009); Director, Crescent Real Estate Equities, Inc.(1994-2007); Director, Pritchard, Hubble & Herr, LLC (investment advisor) (2001-2006); Director of Investment Committee, Southern Methodist University Endowment Fund (1996-Present); Member, Southern Methodist University Cox School of Business Advisory Board (1999-2002); Member, New York Stock Exchange Pension Manager Committee (1997-1998, 2000-2002, 2006-Present); Vice Chairman (2004-2007) and Chairman (2007-Present), Committee for the Investment of Employee Benefits; Director, United Way of Metropolitan Tarrant County (1988-2000, 2004-Present); Trustee (1995-2008) and President (1995-2007, 2008-Present), American Beacon Mileage Funds; Trustee (1999-2008) and President (1999-2007, 2008-Present) American Beacon Select Funds; Director American Beacon Global Funds SPC (2002-Present); Director, American Beacon Global Funds, plc (2007-2009) |
25
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Trustees and Officers of the American Beacon Funds
(Unaudited)
(Unaudited)
Position, Term of | ||||
Office and Length | ||||
of Time Served | Principal Occupation(s) During Past 5 Years | |||
Name, Age and Address | with the Trust | and Current Directorships | ||
Gene L. Needles, Jr. (55) | President since 2009 Executive Vice President 2009 | President, CEO and Director (2009-Present), American Beacon Advisors, Inc.; President (2008-2009), Touchstone Investments; President (2003-2007), CEO (2004-2007), Managing Director of Sales (2002-2003), National Sales Manager (1999-2002), and Regional Sales Manager (1993-1999), AIM Distributors | ||
Rosemary K. Behan (51) | VP, Secretary and Chief Legal Officer since 2006 | Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006-Present); Assistant General Counsel, First Command Financial Planning, Inc. (2004-2006); Attorney, Enforcement Division, Securities and Exchange Commission (1995-2004) | ||
Brian E. Brett (50) | VP since 2004 | Vice President, Director of Sales and Marketing, American Beacon Advisors, Inc. (2004-Present); Regional Vice President, Neuberger Berman, LLC (investment advisor) (1996-2004) | ||
Wyatt L. Crumpler (44) | VP since 2007 | Vice President, Asset Management, American Beacon Advisors, Inc. (2007-Present); Managing Director of Corporate Accounting (2004-2007), Director of IT Strategy and Finance (2001-2004), American Airlines, Inc. | ||
Michael W. Fields (56) | VP since 1989 | Vice President, Fixed Income Investments, American Beacon Advisors, Inc. (1988-Present); Director American Beacon Global Funds SPC (2002-Present); Director, American Beacon Global Funds plc (2007-2009) | ||
Melinda G. Heika (49) | Treasurer since 2010 | Vice President, Finance & Accounting (2010-Present), Controller (2005-2009), Assistant Controller (1998-2004), American Beacon Advisors, Inc. | ||
Terri L. McKinney (47) | VP since 2010 | Vice President, Enterprise Services (2009-Present), Managing Director (2003-2009), Director of Marketing & Retail Sales (1996-2003), American Beacon Advisors, Inc.; Vice President, Board of Trustees (2008-Present), Trustee (2006-2008) Down Syndrome Guild of Dallas | ||
Jeffrey K. Ringdahl (35) | VP since 2010 | Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present); Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010); Senior Director, Business Integration, Fidelity Investments (2005-2007) | ||
Christina E. Sears (39) | Chief Compliance Officer since 2004 and Asst. Secretary since 1999 | Chief Compliance Officer (2004-Present) and Senior Compliance Analyst (1998-2004), American Beacon Advisors, Inc. |
* | The Board has adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in which they reach the age of 72, provided, however, that the Board may determine to grant one or more annual exemptions to this requirement. | |
** | Mr. Feld is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s s sub-advisors. |
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![(GRAPHIC)](https://capedge.com/proxy/N-CSR/0000950123-11-023661/d80258d8025806.gif)
Delivery of Documents
eDelivery is NOW AVAILABLE — Stop traditional mail delivery and receive your
shareholder reports and summary prospectus on-line. Sign up at
www.americanbeaconfunds.com
shareholder reports and summary prospectus on-line. Sign up at
www.americanbeaconfunds.com
If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Summary Prospectus, Annual Report and Semi-Annual Report, by e-mail. If you are interested in this option, please go to www.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.
To obtain more information about the Fund:
7 | 8 | |
By E-mail: | On the Internet: | |
american_beacon.funds@ambeacon.com | Visit our website at www.americanbeaconfunds.com | |
( | - | |
By Telephone: | By Mail: | |
Call (800) 658-5811 | American Beacon Funds | |
P.O. Box 219643 | ||
Kansas City, MO 64121-9643 | ||
Availability of Quarterly Portfolio Schedules | Availability of Proxy Voting Policy and Records | |
In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room, 450 Fifth Street, NW, Washington, DC 20549. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. A complete schedule of the Fund’s portfolio holdings is also available on the Funds’ website (www.americanbeaconfunds.com) approximately twenty days after the end of each month. | A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s website (www.americanbeaconfunds.com) and by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009. |
Fund Service Providers:
Custodian | Transfer Agent | Independent | Distributor | |||
State Street | Boston Financial Data | Registered | Foreside Fund | |||
Bank and Trust | Services | Public | Services, LLC | |||
Boston, Massachusetts | Kansas City, Missouri | Accounting | Portland, Maine | |||
Firm | ||||||
Ernst & Young LLP | ||||||
Dallas, Texas |
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.
American Beacon Funds and American Beacon Global Real Estate Fund are service marks of American Beacon Advisors, Inc
AR 12/10
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ITEM 2. CODE OF ETHICS.
The Trust has adopted a code of ethics that applies to its principal executive and financial officers (the “Code”). The Trust amended its code February 16, 2010 to disclose a change in the Principal Financial Office. The Trust did not grant any waivers to the provisions of the Code during the period covered by the shareholder report presented in Item 1. The Code is filed herewith as Exhibit 99.CODE ETH.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Trust’s Board of Trustees has determined that Mr. Paul Zucconi, a member of the Trust’s Audit and Compliance Committee, is an “audit committee financial expert” as defined in Form N-CSR. Mr. Paul Zucconi is “independent” as defined in Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a)
Audit Fees | Fiscal Year Ended | |||
$ | 298,018 | 10/31/2009 | ||
$ | 72,414 | 12/31/2009 | ||
$ | 37,869 | 8/31/2010 | ||
$ | 318,158 | 10/31/2010 | ||
$ | 95,455 | 12/31/2010 |
(b)
Audit-Related | ||||
Fees | Fiscal Year Ended | |||
$ | 13,750 | * | 10/31/2009 | |
$ | 0 | 12/31/2009 | ||
$ | 0 | 8/31/2010 | ||
$ | 12,375 | * | 10/31/2010 | |
$ | 3,875 | * | 12/31/2010 |
* | Review of N-1A filings |
(c)
Tax Fees | Fiscal Year Ended | |||
$ | 11,628 | 10/31/2009 | ||
$ | 1,704 | 12/31/2009 | ||
$ | 3,426 | 8/31/2010 | ||
$ | 40,277 | 10/31/2010 | ||
$ | 5,129 | 12/31/2010 |
(d)
All Other Fees | Fiscal Year Ended | |||
$ | 0 | 10/31/2009 | ||
$ | 0 | 12/31/2009 | ||
$ | 0 | 8/31/2010 | ||
$ | 0 | 10/31/2010 | ||
$ | 0 | 12/31/2010 |
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(e)(1) Pursuant to its charter, the Trust’s Audit and Compliance Committee shall have the following duties and powers pertaining to pre-approval of audit and non-audit services provided by the Trust’s principal accountant:
- to approve, prior to appointment, the engagement of auditors to annually audit and provide their opinion on the Trusts’ financial statements, and, in connection therewith, reviewing and evaluating matters potentially affecting the independence and capabilities of the auditors;
- to approve, prior to appointment, the engagement of the auditors to provide non-audit services to the Trusts, an investment adviser to any series of the Trusts or any entity controlling, controlled by, or under common control with an investment adviser (“adviser affiliate”) that provides ongoing services to the Trusts, if the engagement relates directly to the operations and financial reporting of the Trusts;
- to consider whether the non-audit services provided by a Trust’s auditor to an investment adviser or any adviser affiliate that provides ongoing services to a series of the Trusts, which services were not pre-approved by the Committee, are compatible with maintaining the auditor’s independence;
- to review the arrangements for and scope of the annual audit and any special audits; and
- to review and approving the fees proposed to be charged to the Trusts by the auditors for each audit and non-audit service.
The Audit and Compliance Committee may delegate any portion of its authority, including the authority to grant pre-approvals of audit and permitted non-audit services, to a subcommittee of one or more members. Any decisions of the subcommittee to grant pre-approvals shall be presented to the full audit committee at its next regularly scheduled meeting.
(e)(2) None of the fees disclosed in paragraphs (b) through (d) above were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) Aggregate Non-Audit Fees for Services Rendered to the:
Adviser’s Affiliates Providing | |||||||
Registrant | Adviser | Ongoing Services to Registrant | Fiscal Year Ended | ||||
$25,378 | $0 | N/A | 10/31/2009 | ||||
$ 1,704 | $0 | N/A | 12/31/2009 | ||||
$ 3,246 | $0 | N/A | 8/31/2010 | ||||
$52,652 | $0 | N/A | 10/31/2010 | ||||
$ 9,004 | $0 | N/A | 12/31/2010 |
(h) Not applicable.
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ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
The schedules of investments for each series of the Trust are included in the shareholder report presented in Item 1.
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 Trust has made no material changes to the procedures by which shareholders may recommend nominees to the Trust’s Board of Trustees since the Trust last disclosed such procedures in Schedule 14A.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based upon an evaluation within 90 days of the filing date of this report, the principal executive and financial officers concluded that the disclosure controls and procedures of the Trust are effective.
(b) There were no changes in the Trust’s internal control over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Filed herewith as EX-99.CODE ETH.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the Investment Company Act of 1940 is attached hereto as EX-99.CERT.
(a)(3) Not applicable.
(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.
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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): American Beacon Funds
By | /s/ Gene L. Needles, Jr. | |||
President |
Date: March 9, 2011
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ Gene L. Needles, Jr. | |||
President |
Date: March 9, 2011
By | /s/ Melinda G. Heika | |||
Treasurer |
Date: March 9, 2011