American Beacon Balanced Fund NCSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-04984

AMERICAN BEACON FUNDS

(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)

Gene L. Needles, Jr., PRESIDENT
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) 391-6100

Date of fiscal year end: December 31, 2011

Date of reporting period: June 30, 2011

ITEM 1. REPORTS TO STOCKHOLDERS.

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


Message from American Beacon		1
Market and Performance Overview		2
Schedule of Investments		6
Additional Information	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		June 30, 2011

Fellow Shareholders,

The first half of 2011 reminded us that economic volatility continues for investors as concerns over the pace of global economic recovery, reoccurrences of sovereign debt worries, natural disasters, inflation fears along with a sharp rise in oil and other commodity prices impacted US and international markets.

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 six-month period ended June 30, 2011, the American Beacon Treasury Inflation Protected Securities Fund (Institutional Class) returned 5.23%.

While day-to-day volatility continues to influence the world’s equity and credit markets, American Beacon remains focused on seeking opportunities and meeting market challenges to deliver the type of consistency in performance and service our shareholders value.

Thank you for your continued investment in the American Beacon Funds. To obtain further details about the growing number of investment opportunities now available within the American Beacon Funds family or to access your account information, please visit our website at www.americanbeaconfunds.com.


		Best Regards,

		Gene L. Needles, Jr.
		President
		American Beacon Funds

You should consider the investment objectives, risks, fees and expenses of any mutual fund carefully before investing. This and other information is available in the Fund’s prospectus and summary prospectus which you may obtain at www.americanbeaconfunds.com or by calling 1-800-658-5811. Please read the prospectus and summary prospectus carefully before investing. Investments are subject to risks, including the possible loss of principal amount invested.

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.

Market Overview

June 30, 2011 (Unaudited)

2011 began much like 2010 with high levels of optimism surrounding the economic growth prospects for the United States. Unfortunately, that optimism was called into question early in the year by two important but unrelated events. The first was the growing level of political instability in the Middle East and North Africa that resulted in the overthrow of a ruling government in Egypt, a civil war in Libya and continued violence in several other countries. Given the region’s importance as a global exporter of petroleum, the instability resulted in oil prices increasing by over 25% from the February low. The spike in oil prices effectively neutralized the positive effects of fiscal stimulus passed late in 2010. The other significant event was the devastating earthquake in Japan on March 11 and the following catastrophe with the Fukushima Daiichi nuclear power plant. Beyond the negative impact on confidence, the destruction of manufacturing capacity in Japan caused supply chain disruptions for American manufacturers. The “soft patch” for U.S. economic growth proved to be more pronounced than most expected as the 2^nd quarter saw revived concerns over European financial health which served to add to the heightened levels of risk aversion and declining confidence on behalf of consumers and business.

TIPS performed well in the first half of 2011 as real yields peaked in early February and rallied by close to 70 basis points (0.70%) in response to slowing economic fundamentals. At the same time, the spike in gasoline prices boosted the inflation accrual, adding 2.8% to the total return for the first half. As of June, headline Consumer Price Index (“CPI”) was increasing at 3.6%. Besides the boost from oil and gas, core inflation has been steadily climbing in the first half driven by strong increases in apparel and used vehicle prices as well as steady increases in the housing component which is represented by the Owner’s Equivalent Rent category.

The supply and demand dynamics for TIPS were favorable in the first half which saw $65 billion in gross issuance and $35 billion in maturities. In addition, the second round of quantitative easing by the Federal Reserve was conducted in the first half in which they purchased $19 billion of TIPS in addition to the large purchases of nominal Treasuries.

Despite the strong nominal performance and favorable technicals, TIPS underperformed nominal Treasury securities over the first half as inflation expectations declined in response to slower economic growth. Following the spike in oil in the first quarter, TIPS break even inflation rates for 10 yrs bonds declined approximately 0.20% to end the first half at 2.45%.

Performance Overview
American Beacon Treasury Inflation Protected Securities Fund^SM
June 30, 2011 (Unaudited)

The Institutional Class of the Fund returned 5.23% for the six months ended June 30, 2011, trailing the Barclays Capital 1-10 Year U.S. TIPS Index (the “Index”) return of 5.38% and the Lipper TIPS Index return of 5.30%.


	Annualized Total Returns
	Periods Ended 6/30/11									Since Inception
	6 Months*			1 Year			5 Years			6/30/04
Institutional Class(1,7,8)		5.23	%		7.16	%		6.23	%		5.24	%
Y Class (1,3,7,8)		5.00	%		6.79	%		6.14	%		5.17	%
Investor Class(1,2,7,8)		5.06	%		6.86	%		6.04	%		5.10	%
A Class without sales load (1,4,7,8)		4.74	%		6.46	%		5.95	%		5.03	%
A Class with load (1,4,7,8)		-0.27	%		1.39	%		4.91	%		4.30	%
C Class without sales load (1,5,7,8)		4.49	%		5.81	%		5.84	%		4.96	%
C Class with sales load (1,5,7,8)		3.49	%		4.81	%		5.84	%		4.96	%
Barclays Capital 1-10 Yr. U.S. TIPS Index(6)		5.38	%		7.48	%		6.55	%		5.63	%
Barclays Capital U.S. TIPS Index(6)		5.81	%		7.74	%		6.91	%		5.98	%
Lipper TIPS Index(6)		5.30	%		7.23	%		6.30	%		5.53	%


*		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.

2.		Fund performance for the five-year and since inception periods 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.

3.		Fund performance for the five-year and since inception periods 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.

4.		Fund performance for the five-year and since inception periods 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 for the one-year, five-year, and since inception periods 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 Index tracks the results of the 30 largest mutual funds in the Lipper TIPS 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 ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A and C Class shares was 0.35%, 0.60%, 0.75%, 0.99%, and 1.77% 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.

The Fund produced strong absolute returns for the six-month time period. TIPS rallied during the first half of 2011, amid sharp increases in commodity prices and a weakening U.S. Dollar.

From a yield curve positioning standpoint during the period, the Fund benefited from overweighting the 9-10 year maturities, but not enough to compensate from value lost through overweighting the 1-2 year maturities and underweighting the 8-9 year maturities, particularly during the second quarter as the real yield curve flattened.

From a duration perspective, a tactical short duration position initiated during May contributed to the Fund’s relative underperformance.

Performance Overview
American Beacon Treasury Inflation Protected Securities Fund^SM
June 30, 2011 (Unaudited)

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, 1.125%, Due 1/15/2021		13.9	%
U.S. Treasury Note, 0.625%, Due 4/15/2013		11.1	%
U.S. Treasury Note, 3.000%, Due 7/15/2012		11.0	%
U.S. Treasury Note, 0.125%, Due 4/15/2016		10.6	%
U.S. Treasury Note, 1.625%, Due 1/15/2018		6.0	%
U.S. Treasury Note, 1.250%, Due 7/15/2020		4.7	%
U.S. Treasury Note, 2.375%, Due 1/15/2017		4.5	%
U.S. Treasury Note, 1.625%, Due 1/15/2015		4.3	%
U.S. Treasury Note, 2.625%, Due 7/15/2017		4.2	%
U.S. Treasury Note, 2.000%, Due 1/15/2016		4.0	%

Sector Allocation


	% of
	Fixed Income
U.S. Treasury Obligations		100.0	%

Fund Expenses
American Beacon Treasury Inflation Protected Securities Fund^SM
June 30, 2011 (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 January 1, 2011 through June 30, 2011.

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 you account was subject to a custodial IRA fee during the period, your cost 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*
	1/1/11		Value 6/30/11		1/1/11-6/30/11
Institutional Class
Actual	$	1,000.00	$	1,052.33	$	1.45
Hypothetical **	$	1,000.00	$	1,023.36	$	1.43
Y Class
Actual	$	1,000.00	$	1,050.00	$	3.23
Hypothetical **	$	1,000.00	$	1,021.65	$	3.18
Investor Class
Actual	$	1,000.00	$	1,050.57	$	3.43
Hypothetical **	$	1,000.00	$	1,021.45	$	3.38
A Class
Actual	$	1,000.00	$	1,047.44	$	5.24
Hypothetical **	$	1,000.00	$	1,019.68	$	5.17
C Class
Actual	$	1,000.00	$	1,044.93	$	9.05
Hypothetical **	$	1,000.00	$	1,015.94	$	8.92


*		Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.29%, 0.63%, 0.67%, 1.03% and 1.79% 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 (181) by days in the year (365) to reflect the half year period.

**		5% return before expenses.

American Beacon Treasury Inflation Protected Securities Fund

Schedule of Investments

June 30, 2010 (Unaudited)


	Par Amount		Value
	($000)		($000)
U.S. TREASURY OBLIGATIONS - 95.82%
2.00%, Due 4/15/2012^A		3,119		3,187
3.00%, Due 7/15/2012^A		22,580		23,561
0.625%, Due 4/15/2013^A		23,082		23,762
2.00%, Due 1/15/2014^A		4,372		4,711
1.25%, Due 4/15/2014^A		2,146		2,277
2.00%, Due 7/15/2014^A		6,880		7,502
1.625%, Due 1/15/2015^A		8,539		9,262
0.50%, Due 4/15/2015^A		3,519		3,673
2.00%, Due 1/15/2016^A		7,755		8,619
0.125%, Due 4/15/2016^A		22,218		22,719
2.50%, Due 7/15/2016^A		6,592		7,543
2.375%, Due 1/15/2017^A		8,379		9,559
2.625%, Due 7/15/2017^A		7,839		9,119
1.625%, Due 1/15/2018^A		11,683		12,848
1.375%, Due 7/15/2018^A		7,830		8,502
2.125%, Due 1/15/2019^A		1,388		1,577
1.875%, Due 7/15/2019^A		6,403		7,161
1.375%, Due 1/15/2020^A		5,495		5,893
1.25%, Due 7/15/2020^A		9,439		9,985
1.125%, Due 1/15/2021^A		28,777		29,882

Total U.S. Treasury Obligations (Cost $209,489)				211,342


	Shares
SHORT-TERM INVESTMENTS - 4.28% (Cost $9,442)
JPMorgan U.S. Government Money Market Fund		9,442,355		9,442

TOTAL INVESTMENTS - 100.10% (Cost $218,932)				220,784
LIABILITIES, NET OF OTHER ASSETS - (0.10%)				(232	)

TOTAL NET ASSETS - 100.00%			$	220,552


Percentages are stated as a percent of net assets.

^A		Inflation-Indexed Note.

See accompanying notes

American Beacon Treasury Inflation Protected Securities Fund
Statement of Assets and Liabilities
June 30, 2011 (Unaudited) (in thousands, except share and per share amounts)


Assets:
Investments in unaffiliated securities, at value ^A	$	220,784
Receivable for investments sold		4,665
Dividends and interest receivable		1,317
Receivable for fund shares sold		6,145
Receivable for expense reimbursement (Note 2)		16
Prepaid expenses		63

Total assets		232,990

Liabilities:
Payable for investments purchased		12,304
Payable for fund shares redeemed		44
Management and investment advisory fees payable (Note 2)		38
Administrative service and service fees payable (Note 2)		28
Professional fees payable		12
Other liabilities		12

Total liabilities		12,438

Net assets	$	220,552


Analysis of Net Assets:
Paid-in-capital		222,190
Undistributed net investment income		4,686
Accumulated net realized loss		(8,176	)
Unrealized appreciation of investments, futures contracts, and foreign currency		1,852

Net assets	$	220,552


Shares outstanding (no par value):
Institutional Class		18,185,836

Y Class		32,135

Investor Class		1,644,742

A Class		64,554

C Class		18,193


Net asset value, offering and redemption price per share:
Institutional Class	$	11.06

Y Class	$	11.13

Investor Class	$	11.01

A Class (net asset value and redemption price)	$	11.04

A Class (offering price)	$	11.59

C Class	$	10.93


^A Cost of investments in unaffiliated securities		$	218,932

See accompanying notes

American Beacon Treasury Inflation Protected Securities Fund
Statement of Operations
For the Six Months ended June 30, 2011 (Unaudited) (in thousands)


Investment Income:
Interest income		4,793

Total investment income		4,793

Expenses:
Management and investment advisory fees (Note 2)		103
Administrative service fees (Note 2):
Institutional Class		121
Y Class		1
Investor Class		24
A Class		1
Transfer agent fees:
Institutional Class		7
Investor Class		1
A Class		2
C Class		2
Y Class		2
Custody and fund accounting fees		10
Professional fees		24
Registration fees and expenses		33
Service fees (Note 2):
Investor Class		20
Distribution fees (Note 2):
C Class		1
Prospectus and shareholder reports		14
Insurance fees		2
Trustee fees		8
Other expenses		6

Total expenses		382

Net fees waived and expenses reimbursed by Manager (Note 2)		(94	)

Net expenses		288

Net investment income		4,505

Realized and unrealized gain (loss) on investments:
Net realized gain (loss) from:
Investments		4,273
Change in net unrealized appreciation or depreciation of:
Investments		96

Net gain on investments		4,369

Net increase in net assets resulting from operations	$	8,874

See accompanying notes

American Beacon Treasury Inflation Protected Securities Fund
Statement of Changes of Net Assets (in thousands)


	Six Months Ended			Year Ended
	June 30, 2011			December 31, 2010
	(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	4,505		$	2,885
Net realized gain on investments, futures contracts, and foreign currency transactions		4,273			8,451
Change in net unrealized appreciation or (depreciation) of investments, futures contracts, and foreign currency translations		96			(331	)

Net increase in net assets resulting from operations		8,874			11,005


Distributions to Shareholders:
Net investment income:
Institutional Class		—			(2,717	)
Y Class		—			(1	)
Investor Class		—			(166	)

Net distributions to shareholders		—			(2,884	)


Capital Share Transactions:
Proceeds from sales of shares		99,705			135,939
Reinvestment of dividends and distributions		—			2,242
Cost of shares redeemed		(61,157	)		(134,873	)

Net increase in net assets from capital share transactions		38,548			3,308

Net increase in net assets		47,422			11,429

Net Assets:
Beginning of period		173,130			161,701

End of Period *	$	220,552		$	173,130

*Includes undistributed net investment income of	$	4,686		$	182

See accompanying notes

American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
June 30, 2011 (Unaudited)

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 an 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, advisory, administrative and asset management consulting services to the Trust and other investors.

Class Disclosure

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.

Level 1 — Quoted prices in active markets for identical securities.

American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
June 30, 2011 (Unaudited)

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 transfers between levels. As of June 30, 2011 the Fund’s investments were classified as follows (in thousands):


	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	211,342	$	—	$	211,342
Short-Term Investments		9,442		—		—		9,442

Total Investments		9,442		211,342		—		220,784

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.

American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
June 30, 2011 (Unaudited)

Other

Under the Trust’s organizational documents, its officers and directors 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 six months ended June 30, 2011 were as follows:


		Amounts paid to
Management Fee		Investment	Net Amounts Retained
Rate	Management Fee	Advisors	by Manager
0.15%-0.19%	$103,316	$58,995	$44,321

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, 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 C Class, for the six months ended June 30, 2011, were less than $500.

Distribution Plans

The Trust, except for the A Class of the Fund, has 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 Classes 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 Class, for the six months ended June 30, 2011, were less than $500.

American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
June 30, 2011 (Unaudited)

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 Y, A, and C Classes for the six months ended June 30, 2011 were less than $500.

Interfund Lending Program

Pursuant to an exemptive order by the Securities and 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 six months ended June 30, 2011, 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 Y, Investor, A, and C Classes. For the six months ended June 30, 2011, the Manager reimbursed expenses of $80,171, $1,648, $8,893, $1,655, and $1,647 for the Institutional, Y, Investor, A, and C Classes, respectively.

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 reimbursement, due to the current assessment that a reimbursement is 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. For the six months ended June 30, 2011, there has been $493 in sales commissions from the sale of Class A shares that were received by Foreside.

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 Internal Revenue 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

American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
June 30, 2011 (Unaudited)

distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.

The tax character of distributions paid during the period ended June 30, 2011 and the fiscal year ended December 31, 2010 were as follows (in thousands):

Distributions paid from ordinary income*:


	Six Months Ended		Year Ended
	June 30,2011		December 31,
	(unaudited)		2010
Institutional Class	$	—	$	2,717
Y Class		—		1
Investor Class		—		166
A Class		—		—
C Class		—		—

Total taxable distributions		—	$	2,884


*		For tax purposes, short-term capital gains distributions are considered ordinary income distributions.

As of June 30, 2011, the components of distributable earnings on a tax basis were as follows (in thousands):


Cost basis of investments for federal income tax purposes	$	219,742

Unrealized appreciation		1,783
Unrealized depreciation		(741	)


Net unrealized appreciation/(depreciation)		1,042

Undistributed ordinary income		4,685
Undistributed long-term gain/(loss)		(7,365	)
Other temporary differences		—


Distributable earnings	$	1,638

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. 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 that have been reclassified as of June 30, 2011 (in thousands):


Paid in capital	$	2
Undistributed net investment income		(1	)
Accumulated net realized gain (loss)		(1	)
Unrealized appreciation (depreciation) of investments and foreign currency		—

At June 30, 2011, the capital loss carry forward positions for federal income tax purposes were $1,997 and $5,368 expiring in 2016 and 2017, respectively (in thousands). The Fund utilized $11,794 (in thousands) of net capital loss carryovers for the six months ended June 30, 2011.

4. Investment Transactions

Purchases and proceeds from sales of investments for the six months ended June 30, 2011, excluding short-term investments, were $332,914,205 and $290,868,883, respectively. These amounts also represent purchases and sales of U.S. Government securities.

American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
June 30, 2011 (Unaudited)

5. Capital Share Transactions

The tables below summarize the activity in capital shares (dollars and shares in thousands):

Six Months Ended June 30, 2011


	Institutional Class						Y Class						Investor Class
	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		8,618		$	94,699			5		$	56			401		$	4,329
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(5,384	)		(58,761	)		(7	)		(82	)		(213	)		(2,278	)

Net increase (decrease) in shares outstanding		3,234		$	35,938			(2	)	$	(26	)		188		$	2,051


	A Class						C Class
	Shares			Amount			Shares		Amount
Shares sold		53		$	581			4	$	40
Reinvestment of dividends		—			—			—		—
Shares redeemed		(3	)		(35	)		—		(1	)

Net increase in shares outstanding		50		$	546			4	$	39

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 in shares outstanding		15	$	155		15	$	151

American Beacon Treasury Inflation Protected Securities Fund
Financial Highlights
(For a share outstanding throughout the period)


	Institutional Class																		Y Class
	Six																		Six
	Months																		Months			March
	Ended																		Ended			01 to
	June 30,			Year Ended December 31,															June 30,			December
	2011			2010			2009^A			2008			2007^B			2006			2011			31, 2010
	(unaudited)																		(unaudited)
Net asset value, beginning of period	$	10.51		$	10.16		$	9.20		$	10.18		$	9.53		$	9.75		$	10.60		$	10.25

Income from investment operations:
Net investment income		0.23			0.16			0.06			0.80			0.45			0.29			0.26			0.05
Net gains (losses) on securities (both realized and unrealized)		0.32			0.35			0.95			(0.98	)		0.59			(0.19	)		0.27			0.35

Total income (loss) from investment operations		0.55			0.51			1.01			(0.18	)		1.04			0.10			0.53			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	$	11.06		$	10.51		$	10.16		$	9.20		$	10.18		$	9.53		$	11.13		$	10.60

Total return ^E		5.23	%^F		5.03	%		11.00	%		(2.09	)%		11.22	%		1.05	%		5.00	%^F		3.89	%^F

Ratios and supplemental data:
Net assets, end of period (in thousands)	$	201,181		$	157,195		$	155,833		$	140,189		$	223,697		$	33,792		$	357		$	365
Ratios to average net assets (annualized):
Expenses, before expense reimbursements (recoupments)		0.39	%		0.35	%		0.36	%		0.29	%		0.43	%		0.49	%		1.56	%		0.60	%^G
Expenses, after expense reimbursements (recoupments)		0.29	%		0.25	%		0.26	%		0.25	%		0.43	%		0.49	%		0.63	%		0.60	%^G
Net investment income (loss), before expense reimbursements (recoupments)		5.00	%		1.40	%		0.59	%		5.15	%		4.74	%		2.94	%		3.72	%		0.85	%^G
Net investment income (loss), after expense reimbursements (recoupements)		5.10	%		1.50	%		0.69	%		5.19	%		4.74	%		2.94	%		4.64	%		0.85	%^G
Portfolio turnover rate		160	%^F		214	%		180	%		128	%		139	%		259	%		160	%^F		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.


Investor Class									A Class						C Class
Six Months						March			Six Months			May			Six Months			September
Ended June 30,						02 to December			Ended June 30,			17 to December			Ended June 30,			01 to December
2011			2010			31, 2009^A			2011			31, 2010			2011			31, 2010
(unaudited)									(unaudited)						(unaudited)
$	10.48		$	10.13		$	9.25		$	10.54		$	10.35		$	10.46		$	10.38


	0.23			0.06			0.14			0.11			0.04			0.18			0.00

	0.30			0.41			0.79			0.39			0.19			0.29			0.08


	0.53			0.47			0.93			0.50			0.23			0.47			0.08


	—			(0.12	)		(0.05	)		—			(0.04	)		—			—

	—			—			—			—			—			—			—
	—			—			—			—			—			—			—

	—			(0.12	)		(0.05	)		—			(0.04	)		—			—

$	11.01		$	10.48		$	10.13		$	11.04		$	10.54		$	10.93		$	10.46

	5.06	%^F		4.62	%		10.05	%^F		4.74	%^F		2.23	%^F		4.49	%^F		0.77	%^F

					��
$	18,102		$	15,262		$	5,868		$	713		$	155		$	199		$	153



	0.78	%		0.75	%		0.81	%^G		2.19	%		0.99	%^G		3.74	%		1.77	%^G

	0.67	%		0.64	%		0.65	%^G		1.03	%		0.99	%^G		1.79	%		1.77	%^G


	4.67	%		1.06	%		3.04	%^G		4.02	%		0.55	%^G		1.88	%		(0.05	)%^G


	4.78	%		1.17	%		3.20	%^G		5.18	%		0.55	%^G		3.84	%		(0.05	)%^G
	160	%^F		214	%		180	%^I		160	%^F		214	%^H		160	%^F		214	%^H

Disclosure Regarding the Board of Trustees’ Approval of the Management Agreements and Investment Advisory Agreements of the Funds
(Unaudited)

At its May 26, 2011 meeting, the Board of Trustees (“Board”) considered the renewal of each Management Agreement between the Manager and the American Beacon Funds (“Beacon Trust”) and the renewal of each investment advisory agreement between the Manager and each subadvisor (each an “Investment Advisory Agreement”). The Management Agreement and the Investment Advisory Agreements are collectively referred to herein as the “Agreements.” In preparation for the Board’s consideration to renew these Agreements, the Board and its Investment Committee undertook steps to gather and consider information furnished by the Manager, the subadvisors and Lipper, Inc. (“Lipper”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and each subadvisor.

In addition, the Board’s Investment Committee worked with Lipper to obtain relevant comparative information regarding the performance, fees and expenses of the Funds. The Investment Committee held a separate meeting on May 11, 2011 to consider the information provided by Lipper. Further, the Board took into consideration information furnished for the Board’s review and consideration throughout the year at regular Board and Investment Committee meetings, as well as information specifically prepared in connection with the renewal process.

In connection with the Board’s consideration of the Management Agreement and each Investment Advisory Agreement, the Trustees considered, among other materials, responses by the Manager and the subadvisors to inquiries requesting:

	•		a description of any significant changes (actual or anticipated) to principal activities, personnel, services provided to the Funds, or any other area, including how these changes might affect the Funds;

	•		a copy of the firm’s most recent audited or unaudited financial statements, as well as Parts 1 and 2 of its Form ADV registration statement with the SEC;

	•		a summary of any material pending or anticipated litigation or regulatory proceedings involving the firm or its personnel, including the results of any recent regulatory examination or independent audit;

	•		a comparison of the performance of that portion of Fund assets managed or to be managed by each firm with the performance of other similar accounts managed by the firm, including a discussion of relative performance versus a peer group average and any remedial measures if the firm’s performance was materially below that of the peer group;

	•		any actual or anticipated economies of scale in relation to the services the Manager and the firm provide or will provide to each Fund;

	•		an analysis of compensation, including a comparison with fee rates charged to other clients for which similar services are provided, any proposed changes to the fee schedule, if applicable, and the effect of any fee waivers;

	•		a description of any payments made or to be made by the subadvisors to the Manager to support a Fund’s marketing efforts;

	•		an evaluation of any other benefits to the firm or Funds as a result of their relationship, if any;

	•		confirmation that the firm’s financial condition would not impair its ability to provide high-quality advisory services to the Funds

	•		a description of the scope of portfolio management services provided or to be provided to the Funds, including whether such services differ from the services provided to other clients, including other registered investment companies, and any advantages or disadvantages that might accrue to the Funds due to the firm’s involvement in other activities;

	•		a description of the personnel who are or will be assigned primary responsibility for managing the Funds, including any changes during the past year, and a discussion of the adequacy of current and projected staffing levels to service the Funds;

	•		a description of the basis upon which portfolio managers are compensated, including any “incentive” arrangements, and a description of the oversight mechanisms used to prevent a portfolio manager whose compensation is tied to performance of a Fund from taking undue risks;

	•		a description of the firm’s practices in monitoring the quality of portfolio holdings and in reviewing portfolio valuation;

	•		a discussion regarding the firm’s participation in “soft dollar” arrangements, if any, or other brokerage allocation policies with respect to Fund transactions, including the firm’s methodology for obtaining best execution and the use of any affiliated broker-dealers;

	•		a description of any actual or potential conflicts of interest anticipated in managing Fund assets;

	•		a discussion of whether the firm has identified any investment or operational matters that likely present a high risk in managing Fund assets;

	•		a description of the firm’s criteria for assessing counterparties and counterparty risk to the extent the firm enters into transactions with counterparties on a Fund’s behalf;

	•		a description of trade allocation procedures among accounts managed by the firm;

	•		a discussion of whether the firm receives, or anticipates receiving, other compensation, including any payment for order flow or ECN liquidity rebates with respect to the Funds;

	•		a certification by the firm regarding the reasonable design of its compliance program;

	•		a summary of the results of the firm’s most recent annual review of its compliance program and a discussion of any material compliance problems encountered by a subadvisor since the most recent annual review;

	•		information regarding the firm’s code of ethics, insider trading policy and disaster recovery plan, including a description of any material changes thereto and a related certification of compliance by the firm;

	•		a description of the firm’s affiliation with any broker-dealer;

Disclosure Regarding the Board of Trustees’ Approval of the Management Agreements and Investment Advisory Agreements of the Funds
(Unaudited)

	•		a discussion of any anticipated change in the firm’s controlling persons; and

	•		verification of the firm’s insurance coverage with regards to the services provided to the Funds.

In addition to the foregoing, the Manager provided the following information specific to the renewal of the Management Agreement:

	•		a comparison of the performance of each Fund to comparable investment companies and appropriate indices, including comments on the relative performance of, as applicable, each subadvisor and each Fund versus the respective peer group average;

	•		a discussion, if applicable, of any underperformance by a subadvisor relative to its peer group and what, if any, remedial measures the Manager has or intends to take;

	•		a comparison of advisory fee rates and expense ratios for comparable mutual funds;

	•		a profit/loss analysis of the Manager;

	•		an analysis of any material complaints received from Fund shareholders;

	•		a description of the extent to which the Manager monitors the investment activities and financial conditions of each subadvisor to the Funds;

	•		a description of the Manager’s distribution activities with respect to promoting sales of Fund shares, including any revenue sharing practices;

	•		a description of the Manager’s securities lending practices and the fees received from such practices;

	•		a discussion of any rebate arrangements between the Manager and a service provider to the Funds pursuant to which the Manager receives direct or indirect benefits from the service provider;

	•		a description of the portfolio turnover rate and average execution costs for each Fund and, as applicable, each subadvisor to a Fund; and

	•		a description of how expenses that are not readily identifiable to a particular Fund are allocated.

In connection with the Management Agreement and each Investment Advisory Agreement, the Board also obtained an analysis provided by Lipper that compared: (i) investment performance of each Fund versus comparable mutual funds and appropriate indices; (ii) total Fund expenses of each Fund versus comparable mutual funds; and (iii) each Fund’s investment advisory fee rate versus comparable mutual funds. For each Fund with more than one class of shares, the class of shares used for comparative purposes was the class with the longest performance history, which in most cases was the Institutional Class. References below to each Fund’s Lipper peer group are to the group of comparable mutual funds included in the analysis provided by Lipper.

Provided below is an overview of the primary factors the Trustees considered at the Investment Committee meeting on May 11, 2011 at which the Trustees reviewed the investment performance of the Manager and each subadvisor and the primary factors considered by the Board at its May 26, 2011 meeting at which the Board considered the renewal of the Management Agreement and Investment Advisory Agreements.

The Board did not identify any particular information that was most relevant to its consideration to renew each Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal of each Agreement. The memorandum explained the regulatory requirements surrounding the Trustees’ process for evaluating investment advisors and the terms of the contracts. Based on its evaluation, the Board unanimously concluded that the terms of each Agreement were reasonable and fair and that the renewal of each Agreement was in the best interests of the Funds and their shareholders.

Considerations With Respect to the Renewal of the Management Agreement and each Investment Advisory Agreement

In determining whether to renew the Management Agreement and each Investment Advisory Agreement on behalf of the Funds, the Trustees considered the best interests of each Fund separately. While the Management Agreement and the Investment Advisory Agreements for all of the Funds were considered at the May 26, 2011 meeting, the Board considered each Fund’s investment management and subadvisory relationships separately.

In each instance, the Board considered, among other things, the following factors: (1) the nature and quality of the services provided; (2) the investment performance of a Fund and, as applicable, each subadvisor for a Fund; (3) the costs incurred by the Manager in rendering services to the Funds and its resulting profits or losses; (4) the extent to which economies of scale have been taken into account in setting each fee schedule; (5) whether fee levels reflect these economies of scale for the benefit of Fund investors; (6) comparisons of services and fee rates with contracts entered into by the Manager or a subadvisor or their affiliates with other clients (such as pension funds and other institutional funds); and (7) any other benefits derived or anticipated to be derived by the Manager or a subadvisor from their relationship with a Fund. The Trustees posed questions to various management personnel of the Manager regarding certain key aspects of the materials submitted in support of the renewal.

Disclosure Regarding the Board of Trustees’ Approval of the Management Agreements and Investment Advisory Agreements of the Funds
(Unaudited)

personnel at the Manager; the low cost structure of the Funds; the Manager’s culture of compliance and support for compliance operations that reduce risks to the Funds; the manager’s commitment to increase assets in the Funds as demonstrated, for example, by the continued increase in sales personnel; the Manager’s continuing efforts to add new series and share classes to enhance the Funds’ product line; the Manager’s high quality of services; the Manager’s active role in monitoring and, as appropriate recommending additional or replacement subadvisors; the Manager’s commitment to increasing the number and training employees in conjunction with the Manager’s product expansion; and efforts made by the Manager to retain key employees.

With respect to the renewal of each Investment Advisory Agreement, the Trustees considered the background and experience of each subadvisor’s investment personnel responsible for managing the Funds, the size of the subadvisor and the subadvisor’s ability to continue to attract and retain qualified investment personnel. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and each subadvisor were appropriate for each Fund and, thus, determined to renew the Management Agreement and the Investment Advisory Agreement for each Fund.

Investment Performance. The Board evaluated the comparative information provided by Lipper and the Manager regarding each Fund’s investment performance relative to its benchmark index(es) and peer group. The Board considered the information provided by Lipper regarding its independent peer selection methodology to select all peer groups and universes. The Board also considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Manager also noted that it generally was satisfied with the performance of the subadvisors. A discussion regarding the Board’s considerations with respect to each Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to Each Fund.”

The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for certain Funds and classes that were in place during the last fiscal year and to put in place new expense waivers and reimbursements for certain new classes of the Funds and new series of the Beacon Trust. The Board further considered that each subadvised Fund pays the Manager the amounts due to its subadvisors, and the Manager remits these amounts directly to the applicable subadvisors. The Board considered that the Manager receives service and administrative fees to compensate the Manager for providing administrative services to the Funds and to compensate third-party administrators and broker-dealers for services to Fund shareholders. In addition, the Board considered that the Manager receives management fees for overseeing the securities lending program on behalf of various Funds. The Board also noted that certain classes of the Funds maintain higher expense ratios in order to compensate third-party distributors.

In analyzing the cost of services and profitability for each subadvisor in connection with its investment advisory services to the Fund, the Board considered that, in many cases, the Manager has negotiated the lowest subadvisory fee rate a subadvisor charges for any comparable client accounts. The Board did not consider profitability data of the subadvisors as imperative to its deliberations given the arm’s length nature of the relationship between the Manager and the subadvisors with respect to the negotiation of subadvisory fee rates.

Based on the foregoing information, the Board concluded that the profitability levels of the Manager were reasonable in light of the services performed by the Manager. A discussion regarding the Board’s considerations with respect to each Fund’s fee rates is set forth below under “Additional Considerations and Conclusions with Respect to Each Fund.”

Economies of Scale. In considering the reasonableness of the management and investment advisory fees rates, the Board considered whether economies of scale will be realized as the Funds grow and whether fee levels reflect these economies of scale for the benefit of Fund shareholders. In this regard, the Board considered that the Manager has negotiated breakpoints in many subadvisory fee rates. The Board also noted that, for purposes of determining the fee rates chargeable to the Funds, many subadvisors have agreed to take into account assets of AMR Corporation and its pension plans that are managed by the subadvisors. Thus, the Funds are able to receive lower effective fee rates. The Board also noted the Manager’s representation that assets in the Funds’ complex increased during 2010, primarily due to market appreciation.

In addition, the Board noted the Manager’s representation that many of the Funds benefit from economies of scale because comparably low fee rate levels are reflected in the current management and administration fee rates the Manager charges. The Board further noted the Manager’s representation that many of the Funds benefit from these comparably low fee rate levels despite not having yet reached an asset size at which economies of scale would traditionally be considered to exist, and the Manager’s belief that that breakpoints are not appropriate at this time. Based on the foregoing information, the Board concluded that the Manager and subadvisor fee schedules for each Fund provides for a reasonable sharing of benefits from any economies of scale with the Funds.

Benefits Derived from the Relationship with the Funds. The Board considered the “fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisors as a result of the advisory relationships with the Funds, including greater exposure in the marketplace with respect to the Manager’s or subadvisor’s investment process and expanding the level of assets under management by the Manager and the subadvisors. The Board also considered that the Manager will use its proprietary Large Cap Value Fund model to manage its collective investment trust.

In addition, the Manager noted that the Trusts also derive benefits from their association with the Manager. Specifically, the Board noted the Manager’s representation that it provides services to most Funds at a lower than industry average cost. The Board

Disclosure Regarding the Board of Trustees’ Approval of the Management Agreements and Investment Advisory Agreements of the Funds
(Unaudited)

considered that certain of the subadvisors reimburse the Manager for certain of its costs relating to distribution activities for the Funds. The Board also considered that the Funds did not pay commissions to any affiliated broker-dealer of the Manager or the relevant subadvisor during the most recent fiscal year ended December 31, 2010.

Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisors by virtue of their relationships with the Funds appear to be fair and reasonable.

Additional Considerations and Conclusions with Respect to the Treasury Inflation Protected Securities Fund

The performance comparisons below were made versus each Fund’s Lipper peer universe median. References to the Lipper expense universe below are to the universe of comparable mutual funds included in the analysis provided to the Trustees by Lipper.

In considering the renewal of the Management Agreement for the Treasury Inflation Protected Securities Fund, the Trustees considered the following additional factors: (1) the Treasury Inflation Protected Securities Fund outperformed or performed in-line with the peer universe median for the three- and five-year periods ended March 31, 2011, but underperformed for the one-year period; and (2) the expense ratio of the Institutional Class of Fund shares was the lowest of its Lipper expense universe.

In considering the renewal of the Investment Advisory Agreement with NISA Investment Advisors LLC (“NISA”) and Standish Mellon Asset Management LLC (“Standish”), the Trustees considered the following additional factors: (1) NISA outperformed the peer universe median for the three- and five-year periods ended March 31, 2011, but underperformed for the one-year period; (2) Standish was added as a subadvisor in December 2009 and underperformed the peer universe median for the one-year period ended March 31, 2011; (3) the performance of each subadvisor with respect to the portion of the Fund’s assets it manages was comparable to the performance of similar accounts managed by the subadvisor; (4) representations by each subadvisor regarding fee rates charged by the subadvisor to other comparable clients; (5) whether each subadvisor uses Fund commissions to obtain proprietary or third-party research; and (6) the Manager’s recommendation to continue to retain each subadvisor.

Based on these and other considerations, the Trustees (1) concluded that the fees paid to the Manager and the subadvisors under the Agreements are fair and reasonable, (2) determined that the Treasury Inflation Protected Securities Fund and its shareholders would benefit from the Manager’s and subadvisors’ continued management of the Fund and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the Treasury Inflation Protected Securities Fund.

Delivery of Documents

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To reduce expenses, your financial institution may mail only on e 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:



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 American Beacon Treasury Inflation Protected Securities Fund are service marks of American Beacon Advisors, Inc

SAR 6/11

About American Beacon Advisors

Contents


Message from American Beacon		1
Performance Overviews		2

American Beacon Funds
Statements of Assets and Liabilities		10
Statements of Operations		11
Statements of Changes in Net Assets		12
Notes to Financial Statements		13
Financial Highlights		18

State Street Equity 500 Index Portfolio
Portfolio of Investments		26
Statement of Assets and Liabilities		32
Statement of Operations		33
Statement of Changes in Net Assets		34
Financial Highlights		35
Notes to Financial Statements		36

Master Small Cap Index Series
Schedule of Investments		42
Statement of Assets and Liabilities		64
Statement of Operations		65
Statement of Changes in Net Assets		66
Financial Highlights		66
Notes to Financial Statements		67

Master International Index Series
Schedule of Investments		76
Statement of Assets and Liabilities		87
Statement of Operations		88
Statement of Changes in Net Assets		89
Financial Highlights		89
Notes to Financial Statements		90

Additional Information	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		June 30, 2011

Fellow Shareholders,

During the last six months, U.S. and International equity markets experienced an upswing, despite concerns over the pace of global economic recovery, reoccurrences of sovereign debt worries, natural disasters, inflation fears along with a sharp rise in oil and other commodity prices. Though challenging, these factors were offset by increasing reports of strength in corporate earnings, improving confidence levels and investors increasing their investment in riskier assets.

For the six-month period ended June 30, 2011, the American Beacon S&P 500 Index Fund (Institutional Class) returned 5.90%, the American Beacon Small Cap Index Fund (Institutional Class) returned 5.93%, and the American Beacon International Equity Index Fund (Institutional Class) finished the reporting period returning 5.37%.


	Sincerely,

	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.

Performance Overview
American Beacon S&P 500^{^®} Index Fund ^†

June 30, 2011 (Unaudited)

For the six months ended June 30, 2011, the total return of the Institutional Class of the American Beacon S&P 500^â Index Fund was 5.90%, slightly behind the S&P 500 Index (the “Index”) return of 6.02% and the Lipper S&P 500 Objective Funds Index return of 5.95%.


	Annualized Total Returns
	Periods Ended 6/30/11
	6 Months*			1 Year			5 Years			10 Years
Institutional Class(1,4)		5.90	%		30.45	%		2.89	%		2.59	%
Investor Class(1,2,4)		5.61	%		29.82	%		2.42	%		2.12	%
Lipper S&P 500 Objective Funds Index (3)		5.95	%		30.36	%		2.74	%		2.47	%
S&P500 Index (3)		6.02	%		30.69	%		2.94	%		2.72	%


*		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.

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 the ten-year period.

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 prospectus for the Institutional and Investor Class shares were 0.13% and 0.60%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report which are based on expenses incurred during the period covered by this report.

Performance Summary provided by SSgA Funds Management, Inc.

Apart from mild choppiness in January for smaller stocks, U.S. equities worked their way steadily higher in the first seven weeks of 2011, emboldened by solid profit reports and ongoing liquidity from the Federal Reserve. Only when Libyan violence erupted in late February, spurring a leap in oil and gasoline prices, did U.S. averages stumble in a meaningful way. Amid fresh concerns over the resilience of consumer spending, share prices slumped into early March, and when the broader scope of the devastation and nuclear aftermath from events in Japan became evident, the S&P 500 briefly slipped into the red on a year-to-date basis. But on Sunday March 20, communications powerhouse AT&T announced it had struck a deal to acquire T-Mobile from Deutsche Telekom. While the $39 billion price tag seemed more than generous, investors quickly focused on the enhanced pricing power that might accrue to the merged entity and its fewer remaining competitors. Furthermore, the ready arrangement of financing for such a huge outlay served notice to investors that the market climate remained favorable for buying, and the S&P 500 resumed the docile upward trading pattern that had prevailed through much of December and January. Although the S&P 500 did not surpass its highs of mid-February, it did provide a nominal gain for March, finishing the opening quarter of 2011 with a solid 5.9% return.

Although U.S. equities hesitated in early April amid a dip in the Institute of Supply Management services index and a slump in small business confidence, a steady diet of healthy first-quarter earnings reports easily got share prices back on track. There were signs of malaise beneath the surface, however, as defensive sectors were starting to perform better and smaller stocks did not recover their swagger as readily as they had during the March volatility that was linked to Japan. The new vulnerabilities came home to roost during May, when weekly jobless claims surged and housing data deteriorated afresh. Share prices continued to slide through most of June, as the unemployment rate rebounded to 9.1%, its highest level of 2011, and consumer price inflation reached 3.6%, its highest point since October 2008. Core inflation also continued its steady climb, damping investor hopes that the Federal Reserve might soon introduce a new round of asset purchases after the expiration of QE2 at the end of June. The only relief for equity holders came late in the month with the announcement that crude oil in storage would be allocated to the marketplace. Developments in Europe provided an additional

Performance Overview
American Beacon S&P 500^{^®} Index Fund ^†

June 30, 2011 (Unaudited)

boost to sentiment, as competing interests seemed to come together on a financing plan for Greece that would buy the country at least a few months of time to shore up its budget. The late June rally in U.S. stocks was sharp enough that the S&P 500, which still lost 1.7% for the month, eked out a marginal second-quarter gain of 0.1% that lifted its year-to-date return to a thoroughly respectable 6.0%.

For the six-month period, nine out of the ten S&P 500 sectors finished with positive returns. Leading the charge were the Health Care, Energy and Industrials sectors contributing about 3.78% gains to the total return of the S&P 500. The Financials sector was the biggest detractor to performance with a negative impact to the Index followed by the Materials and Telecommunications Services sectors contributing modest gains. At the corporate level, Exxon Mobil Corp. provided the biggest boost to the index followed by International Business Machines, Pfizer Inc., Chevron Corp. and UnitedHealth Group Inc. On the other side of the scale financial and technology stocks dragged returns with Cisco Systems Inc. being the largest detractor to overall performance followed by Bank of America Corp., Google Inc., The Goldman Sachs Group Inc. and Citigroup Inc.

Portfolio Strategy

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.

Top Ten Holdings


	% of
	Net Assets*
Exxon Mobil Corp.		3.3	%
Apple, Inc.		2.6	%
International Business Machines Corp.		1.7	%
Chevron Corp.		1.7	%
General Electric Co.		1.7	%
Microsoft Corp.		1.6	%
AT&T, Inc.		1.5	%
Johnson & Johnson		1.5	%
Procter & Gamble Co.		1.5	%
Pfizer, Inc.		1.4	%


*		Percent of the equities of State Street Equity 500 Index Portfolio

Sector Allocation


	% of Equities*
Information Technology		17.8	%
Financials		15.1	%
Energy		12.7	%
Health Care		11.7	%
Industrials		11.3	%
Consumer Discretionary		10.7	%
Consumer Staples		10.7	%
Materials		3.7	%
Utilities		3.4	%
Telecommunication Services		3.1	%


*		Percent of the equities of State Street Equity 500 Index Portfolio

^†		S&P is a trademark of McGraw-Hill Companies, Inc. and has been licensed for use, “Standard and Poor’s^®”), “S&P”, “Standard and 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 of Trust Company.

Performance Overview
American Beacon Small Cap Index Fund^SM

June 30, 2011 (Unaudited)

For the six months ended June 30, 2011, the total return of the Institutional Class of the American Beacon Small Cap Index Fund was 5.93%. The Fund’s performance was below the Russell 2000â Index (the “Index”) return of 6.21% and also below the Lipper Small-Cap Core Funds Index return of 6.17% which consists primarily of actively managed funds.


	Annualized Total Returns
	Periods Ended 6/30/11
	6 Months*			1 Year			5 Years			10 Years
Institutional Class(1,3)		5.93	%		37.18	%		4.06	%		6.20	%
Lipper Small-Cap Core Funds Index(2)		6.17	%		36.32	%		4.74	%		6.91	%
Russell 2000 Index(2)		6.21	%		37.41	%		4.08	%		6.27	%


*		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.

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 comprising 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 0.18%. The expense ratio above may vary from the expense ratio presented in other sections of this report which is based on expenses incurred during the period covered by this report.

Performance Summary provided by BlackRock Investment Management, LLC

U.S. equity markets began the year on an upswing. Confidence levels were improving, the economy was recovering and investors were increasing their holdings of riskier assets. U.S. stocks moved higher during the first four months of 2011 and despite market weakness in the final two months of the period, U.S. stocks advanced year-to-date. Large cap stocks, as represented by the S&P 500 Index, gained 6.02%. Large cap growth stocks outperformed their value counterparts as the S&P 500 Growth Index moved up 6.79%, while the S&P 500 Value Index returned 5.23%. Small cap stocks, as represented by the Russell 2000 Index, climbed 6.21% for the period. The disparity between growth and value stocks was more pronounced within small caps as the Russell 2000 Growth Index advanced 8.59%, while the Russell 2000 Value Index returned 3.77%.

Sector performance was overall positive over the period. The Telecommunications Services sector (+18.60%) was the top contributor during the period. The Health Care sector (+13.06%) and Consumer Staples sector (+11.29%) posted strong gains as investors favored the more defensive stocks amid increasing uncertainty. The Energy sector (+11.04%) was also a strong performer, benefitting from the surge in energy prices during the first half of the year.

The Financials sector (+0.64%) lagged the other sectors amid renewed sovereign debt concerns, with the banking industry taking the hardest hit. The Industrials (+3.48%) and Consumer Discretionary sectors (+5.08%) while both in positive territory, contributed the least behind Financials over the first half of the year.

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.

Performance Overview
American Beacon Small Cap Index Fund^SM

June 30, 2011 (Unaudited)

Top Ten Holdings


	% of
	Net Assets*
Healthspring, Inc.		0.2	%
Sotheby’s		0.2	%
Netlogic Microsystems, Inc.		0.2	%
MFA Financial, Inc.		0.2	%
Tenneco, Inc.		0.2	%
Dana Holding Corp.		0.2	%
Parametric Technology Corp.		0.2	%
CBL & Associates Properties, Inc.		0.2	%
Berry Petroleum Co.		0.2	%
Rosetta Resources, Inc.		0.2	%


*		Percent of equity portion of Master Small Cap Index Series

Sector Allocation


	% of Equities*
Financials		20.6	%
Information Technology		18.5	%
Industrials		15.5	%
Consumer Discretionary		13.3	%
Health Care		12.5	%
Energy		7.0	%
Materials		4.9	%
Consumer Staples		3.3	%
Utilities		3.2	%
Telecommunications		1.1	%


*		Percent of equity portion of Master Small Cap Index Series

Performance Overview
American Beacon International Equity Index Fund^SM

June 30, 2011 (Unaudited)

For the six months ended June 30, 2011, the Institutional Class of the American Beacon International Equity Index Fund posted a total return of 5.37%, outperforming the MSCI EAFE Index (the “Index”) return of 4.98% and the Lipper International Funds Index return of 3.74% which consists primarily of actively managed funds. The investment manager’s application of its fair valuation policy during the period was a significant driver of the Fund’s outperformance.


	Annualized Total Returns
	Periods Ended 6/30/11
	6 Months*			1 Year			5 Years			10 Years
Institutional Class(1,3)		5.37	%		31.90	%		1.50	%		5.65	%
Lipper International Funds Index(2)		3.74	%		29.26	%		2.94	%		6.48	%
MSCI EAFE Index(2)		4.98	%		30.36	%		1.48	%		5.66	%


*		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.

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. 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 0.21%. The expense ratio above may vary from the expense ratio presented in other sections of this report, which is based on expenses incurred during the period covered by this report.

Performance Summary provided by BlackRock Investment Management, LLC

Stocks moved higher during the first four months of 2011 despite volatility from significant global events. The period began with political turmoil spreading across the Middle East/North Africa region and a sharp rise in oil and other commodity prices. March brought devastating natural disasters that left Japan with massive infrastructure damage and a nuclear crisis. In April, Standard & Poor’s changed its ratings outlook for long-term U.S. and Japanese debt from stable to negative. But equity markets charged forward as investors chose to focus on the continuing stream of strong corporate earnings reports.

Meanwhile, longer-term headwinds had been brewing beneath the surface. Inflationary pressures intensified in emerging economies, many of which were overheating, and the European debt crisis was not over. Financial markets were met with a sharp reversal in May when political unrest in Greece pushed the nation closer to defaulting on its debt. This development rekindled fears about the broader sovereign debt crisis in Europe and its further contagion among peripheral countries. Concurrently, it became evident that the pace of global economic growth had slowed. The impact of higher oil prices and supply chain disruptions in Japan finally surfaced in weak economic data. Investors pulled back from riskier assets amid heightened uncertainty and equity markets experienced a correction throughout most of May and June. The last week of June brought a sharp rally on encouraging data from the U.S. manufacturing sector and Germany’s decision to support the refinancing of Greece’s public debt. Stock markets in most countries of the Index posted gains for the six-month period.

For the first six months of the year, among developed markets, Ireland (+17.50%) delivered the strongest returns in the wake of its November 2010 bailout. In May, Portugal (+9.05%) became the third euro-zone nation to require a bailout (after Greece and Ireland), while the heavily indebted Spain (+15.71%) and Italy (+10.73%) moved into the spotlight. Greek stocks (-3.83%), which had topped the index in the first quarter, reversed sharply in the second quarter as it became apparent that the nation would again require financial assistance.

Elsewhere in Europe, German stocks (+14.23%) were regarded as safe haven investments amid the region’s ongoing financial instability. Germany remains the economic powerhouse of Europe, driven by the nation’s advanced technology and engineering and its exports of superior products and services. Stock markets in France (+15.55%), the second-largest economy in the European Union, also performed well. In the United Kingdom (+5.59%), economic growth slowed despite

Performance Overview
American Beacon International Equity Index Fund^SM

June 30, 2011 (Unaudited)

loose monetary policy from the Bank of England. Significant levels of consumer deleveraging, high rates of inflation and unemployment, and disappointing gross domestic product reports hindered appreciation in U.K. stocks, especially in the banking industry.

In other parts of the world, Japanese stocks (-4.73%) declined as industrial production slowed in the aftermath of the March earthquake and tsunami. Turmoil in the Middle East pushed stocks in Israel (-7.68%) to the bottom of the Index for the period.

On a sector basis, Health Care stocks (+10.73%) delivered the strongest performance in the Index, driven by increased merger and acquisition activity in Europe. Telecommunications Services (+8.82%) also provided strong returns, as did Energy stocks (+7.66%), which benefited from soaring oil prices earlier in the period. The more defensive Consumer Staples sector (+7.62%) saw greater price appreciation later in the period as economic data softened. Growth in the Financials sector (+3.71%) was limited due to heightened concerns about the sovereign debt crisis.

Information Technology (-2.12%) and Utilities (-1.13%) were the only sectors that declined during the period. Materials (+2.80%), while positive, was the least positive contributing sector over the period.

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.

Performance Overview
American Beacon International Equity Index Fund^SM

June 30, 2011 (Unaudited)

Top Ten Holdings


	% of Net Assets*
Nestle S.A.		1.8	%
HSBC Holdings plc		1.5	%
BHP Billiton Ltd.		1.3	%
Novartis AG		1.2	%
BP plc		1.2	%
Vodafone Group plc		1.2	%
Royal Dutch Shell plc		1.1	%
Total S.A.		1.0	%
Roche Holding Ltd.		1.0	%
Siemens AG		1.0	%


*		Percent of Master International Index Series

Sector Allocation


	% of Equities*
Financials		22.6	%
Industrials		14.8	%
Consumer Discretionary		12.6	%
Health Care		10.7	%
Materials		9.3	%
Energy		8.5	%
Consumer Staples		6.7	%
Telecommunication Services		6.3	%
Information Technology		5.8	%
Utilities		2.7	%


*		Percent of equity portion of Master International Index Series

Country Allocation


	% of
	Equities*
Japan		22.2	%
United Kingdom		21.0	%
France		10.6	%
Australia		8.7	%
Germany		7.8	%
Switzerland		7.8	%
Spain		3.9	%
Italy		3.2	%
Sweden		2.8	%
Netherlands		2.6	%
Hong Kong		2.4	%
Singapore		1.5	%
Finland		1.2	%
Belgium		1.0	%
Denmark		0.9	%
Norway		0.7	%
Greece		0.4	%
Austria		0.3	%
Portugal		0.3	%
Ireland		0.3	%
New Zealand		0.1	%


*		Percent of equity portion of Master International Index Series

Fund Expenses

June 30, 2011 (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 January 1, 2011 through June 30, 2011.

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 of the Institutional and Investor Classes 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 1/1/11	$	1,000.00		$	1,000.00		$	1,000.00
Ending Account Value 6/30/11	$	1,059.01		$	1059.34		$	1,053.70
Expenses Paid During Period* 1/1/11 — 6/30/11	$	0.92		$	1.17		$	1.07
Annualized Expense Ratio		0.18	%		0.23	%		0.21	%


Investor Class	S&P 500 Index
Beginning Account Value 1/1/11	$	1,000.00
Ending Account Value 6/30/11	$	1,056.12
Expenses Paid During Period* 1/1/11 — 6/30/11	$	3.31
Annualized Expense Ratio		0.65	%

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 of the Institutional and Investor Classes 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 1/1/11	$	1,000.00		$	1,000.00		$	1,000.00
Ending Account Value 6/30/11	$	1,023.90		$	1,023.65		$	1,023.75
Expenses Paid During Period* 1/1/11 — 6/30/11	$	0.90		$	1.15		$	1.05
Annualized Expense Ratio		0.18	%		0.23	%		0.21	%


Investor Class	S&P 500 Index
Beginning Account Value 1/1/11	$	1,000.00
Ending Account Value 6/30/11	$	1,021.57
Expenses Paid During Period* 1/1/11 — 6/30/11	$	3.26
Annualized Expense Ratio		0.65	%


*		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 (181) by days in the year (365) to reflect the half-year period.

American Beacon Funds

Statements of Assets and Liabilities

June 30, 2011 (Unaudited) (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	$	416,635		$	69,289		$	374,605
Receivable for fund shares sold		113			57			481
Prepaid expenses		22			7			24

Total assets		416,770			69,353			375,110


Liabilities:
Payable for fund shares redeemed		5			—			45
Administrative service and service fees payable (Note 2)		21			2			13
Printing fees payable		—			—			—
Professional fees payable		10			12			4
Sub-administration fees payable		—			5			71
Transfer agent fees payable		14			—			5
Trustee fees payable		9			—			—
Other taxes		11			—			—
Other liabilities		4			1			2

Total liabilities		74			20			140

Net Assets	$	416,696		$	69,333		$	374,970


Analysis of Net Assets:
Paid-in-capital		377,719			82,856			405,878
Undistributed net investment income (expense)		2,160			375			7,378
Accumulated net realized gain (loss)		(69,492	)		(15,916	)		(40,776	)
Unrealized net appreciation (depreciation) of investments and futures contracts		106,309			2,018			2,490

Net assets	$	416,696		$	69,333		$	374,970


Shares outstanding (no par value):
Institutional Class		22,183,509			5,176,365			36,052,257

Investor Class		977,488			—			—


Net asset value, offering and redemption price per share:
Institutional Class	$	18.00		$	13.39		$	10.40

Investor Class	$	17.78		$	—		$	—

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios

American Beacon Funds

Statements of Operations

Six Months ended June 30, 2011 (Unaudited) (in thousands)


							International
	S&P 500 Index Fund			Small Cap Index Fund			Equity Index Fund
Investment Income (expense) Allocated From Portfolio:
Dividend income	$	4,023		$	465		$	8,544
Interest income		3			—			—
Securities lending income		—			18			—
Portfolio expenses		(92	)		(34	)		(1,070	)
Other income		—			—			28

Net investment income allocated from Portfolio		3,934			449			7,502

Fund Expenses:
Administrative service fees (Note 2):
Institutional Class		101			23			89
Investor Class		22			—			—
Sub-administrative service fees:
Institutional Class		—			3			67
Transfer agent fees:
Institutional Class		15			3			8
Investor Class		3			—			—
Custody and accounting fees		4			5			7
Professional fees		20			12			12
Registration fees		18			1			8
Service fees — Investor Class (Note 2)		22			—			—
Printing		46			15			18
Trustee fees		23			5			12
Insurance		4			1			3
Other taxes		24			—			—
Other expenses		17			3			6

Total fund expenses		319			71			230

Net investment income		3,615			378			7,272


Realized and Unrealized Gain (Loss) Allocated From Master Portfolio
Net realized gain (loss) from:
Investments		6,241			3,470			(978	)
Foreign currency transactions		—			—			284
Futures contracts		343			—			(59	)
Change in net unrealized appreciation or depreciation of:
Investments		13,037			2,260			6,587
Futures contracts		81			22			4,889

Net gain on investments		19,702			5,752			10,723

Net increase in net assets resulting from operations	$	23,317		$	6,130		$	17,995

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios

American Beacon Funds

Statements of Changes in Net Assets (in thousands)


	S&P 500 Index Fund						Small Cap Index Fund						International Equity Index Fund
	Six Months			Year ended			Six Months			Year ended			Six Months			Year ended
	ended June 30,			December 31,			ended June 30,			December 31,			ended June 30,			December 31,
	2011			2010			2011			2010			2011			2010
	(unaudited)						(unaudited)						(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	3,615		$	6,563		$	378		$	882		$	7,272		$	7,231
Net realized gain (loss) on investments, foreign currency, and futures contracts		6,584			4,901			3,470			(2,864	)		(753	)		(7,559	)
Change in net unrealized appreciation or depreciation of investments and futures contracts		13,118			39,239			2,282			3,744			11,476			23,115

Net increase in net assets resulting from operations		23,317			50,703			6,130			1,762			17,995			22,787

Distributions to Shareholders:
Net investment income:
Institutional Class		(1,721	)		(6,796	)		—			(894	)		—			(7,040	)
Investor Class		(59	)		(318	)		—			—			—			—
Net realized gain on investments:
Institutional Class		—			—			—			—			—			—
Investor Class		—			—			—			—			—			—
Tax return of capital:
Institutional Class		—			—			—			(104	)		—			—

Total distributions to shareholders		(1,780	)		(7,114	)		—			(998	)		—			(7,040	)

Capital Share Transactions:
Proceeds from sales of shares		19,475			63,163			12,780			132,393			55,730			83,813
Reinvestment of dividends and distributions		1,777			7,107			—			998			—			7,040
Cost of shares redeemed		(25,392	)		(53,796	)		(42,715	)		(80,975	)		(24,810	)		(60,655	)

Net increase (decrease) in net assets from capital share transactions		(4,140	)		16,474			(29,935	)		52,416			30,920			30,198

Net increase (decrease) in net assets		17,397			60,063			(23,805	)		53,180			48,915			45,945

Net Assets:
Beginning of period		399,299			339,236			93,138			39,958			326,055			280,110

End of Period *	$	416,696		$	399,299		$	69,333		$	93,138		$	374,970		$	326,055

*Includes undistributed net investment income (loss) of	$	2,160		$	325		$	375		$	(3	)	$	7,378		$	(82	)

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios

American Beacon Funds

Notes to Financial Statements

June 30, 2011 (Unaudited)

1. Organization and Significant Accounting Policies

American Beacon Funds (the “Trust”) is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940 (the “Act”), as amended, as an 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.

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:	June 30, 2011
S&P 500 Index Fund	State Street Equity 500 Index Portfolio		21.9	%
Small Cap Index Fund	Master Small Cap Index Series		20.2	%
International Equity Index Fund	Master International Index Series		36.5	%

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

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.

American Beacon Funds

Notes to Financial Statements

June 30, 2011 (Unaudited)

At June 30, 2011, 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 include 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

Each of the Portfolios records its share of net investment income (loss) and realized gain (loss) on a daily basis. The net investment income (loss) and realized gain (loss) of the Portfolios is allocated pro rata to the Funds and other investors in the Portfolios on a daily basis. Expenses directly attributable to a Fund are charged to the Fund’s operations. Expenses incurred by the Portfolios with respect to the Funds are allocated in proportion to the net assets of each Fund, except where allocations of direct expenses to each Fund can otherwise be made fairly. Each share of each Fund bears equally those expenses that are allocated to the Fund as a whole.

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

Other

American Beacon Funds

Notes to Financial Statements

June 30, 2011 (Unaudited)

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. 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.

Subadministration Agreement

The Trust, the Manager and BlackRock Advisors, LLC (“BlackRock”) entered into a Subadministration 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 of the Funds to qualify as a regulated investment company, by complying with all applicable provisions of the Internal Revenue 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 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 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.

American Beacon Funds

Notes to Financial Statements

June 30, 2011 (Unaudited)

The tax character of distributions paid during the six months ended June 30, 2011 and fiscal year ended December 31, 2010 were as follows (in thousands):


	S&P 500 Index				Small Cap Index				International Equity Index
	Six Months		Year		Six Months		Year		Six Months		Year
	Ended		Ended		Ended		Ended		Ended		Ended
	June 30,		December 31,		June 30,		December 31,		June 30,		December 31,
	2011		2010		2011		2010		2011		2010
	(Unaudited)				(Unaudited)				(Unaudited)
Distributions paid from:
Ordinary income:*
Institutional Class	$	1,721	$	6,796	$	—	$	894	$	—	$	7,040
Investor Class		59		318		—		—		—		—
Return of Capital:
Institutional Class		—		—		—		104		—		—


Total taxable distributions	$	1,780	$	7,114	$	—	$	998	$	—	$	7,040


*		For tax purposes, short-term capital gains are considered ordinary income distributions.

At June 30, 2011 capital loss carry forward positions for federal income tax purposes were as follows (in thousands):


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	$	5,259	$	28,895

4. Capital Share Transactions

The tables below summarize the activity in capital shares for each Class of the Funds (shares and dollars in thousands):

Six Months ended June 30, 2011


	Institutional Class						Investor Class
S&P 500 Index Fund	Shares			Amount			Shares			Amount
Shares sold		939		$	16,729			156		$	2,746
Reinvestment of dividends		95			1,721			3			56
Shares redeemed		(1,203	)		(21,335	)		(231	)		(4,057	)

Net (decrease) in shares outstanding		(169	)	$	(2,885	)		(72	)	$	(1,255	)


	Institutional Class
Small Cap Index Fund	Shares			Amount
Shares sold		974			12,780
Reinvestment of dividends		—			—
Shares redeemed		(3,168	)		(42,715	)


Net (decrease) in shares outstanding		(2,194	)		(29,935	)


	Institutional Class
International Equity Index Fund	Shares			Amount
Shares sold		5,444		$	55,730
Reinvestment of dividends		—			—
Shares redeemed		(2,433	)		(24,810	)

Net increase in shares outstanding		3,011		$	30,920

American Beacon Funds

Notes to Financial Statements

June 30, 2011 (Unaudited)

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

American Beacon S&P 500 Index Fund

Financial Highlights

(For a share outstanding throughout each period)


	Institutional Class
	Six Months
	ended June			Year Ended December 31,
	30, 2011			2010			2009			2008			2007			2006
	(unaudited)
Net asset value, beginning of period	$	17.07		$	15.15		$	12.21		$	19.85		$	19.19		$	16.90
Income from investment operations:
Net investment income:^A		0.13			0.28			0.30			0.35			0.39			0.34	^B
Net gain (loss) on investments, foreign currency and futures transactions (both realized and unrealized)		0.88			1.96			2.91			(7.64	)		0.65			2.29


Total income (loss) from investment operations		1.01			2.24			3.21			(7.29	)		1.04			2.63

Less distributions:
Dividends from net investment income		(0.08	)		(0.32	)		(0.27	)		(0.35	)		(0.38	)		(0.34	)

Total distributions		(0.08	)		(0.32	)		(0.27	)		(0.35	)		(0.38	)		(0.34	)

Net asset value, end of period	$	18.00		$	17.07		$	15.15		$	12.21		$	19.85		$	19.19

Total return ^C		5.90	%^D		14.96	%		26.70	%		(37.08	)%		5.39	%		15.69	%

Ratios and supplemental data:
Net assets, end of period (in thousands)	$	399,322		$	381,592		$	316,975		$	224,583		$	271,746		$	223,008
Ratios to average net assets (annualized):^A
Net investment income		1.78	%		1.90	%		2.39	%		2.23	%		1.89	%		1.85	%
Expenses, including expenses allocated from the master portfolio		0.18	%		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 values may differ from the net asset value and returns for shareholder transactions.

^D		Not annualized.


Investor Class
Six Months
ended June			Year Ended December 31,
30, 2011			2010			2009			2008			2007			2006
(unaudited)
$	16.88		$	15.00		$	12.06		$	19.60		$	18.97		$	16.69


	0.05			0.25			0.33			0.33			0.31			0.23	^B


	0.91			1.89			2.80			(7.60	)		0.62			2.27



	0.96			2.14			3.13			(7.27	)		0.93			2.50


	(0.06	)		(0.26	)		(0.19	)		(0.27	)		(0.30	)		(0.22	)

	(0.06	)		(0.26	)		(0.19	)		(0.27	)		(0.30	)		(0.22	)

$	17.78		$	16.88		$	15.00		$	12.06		$	19.60		$	18.97

	5.67	%^D		14.43	%		26.26	%		(37.35	)%		4.88	%		15.09	%


$	17,374		$	17,707		$	22,261		$	12,915		$	18,430		$	16,056


	1.30	%		1.42	%		2.01	%		1.73	%		1.38	%		1.37	%

	0.65	%		0.60	%		0.60	%		0.62	%		0.63	%		0.61	%

American Beacon Small Cap Index Fund
Financial Highlights
(For a share outstanding throughout each period)


	Institutional Class
	Six Months
	ended June			Year Ended December 31,
	30, 2011			2010			2009			2008			2007			2006
	(unaudited)
Net asset value, beginning of period	$	12.64		$	10.06		$	8.00		$	13.51		$	14.89		$	12.78

Income from investment operations:
Net investment income^A		0.07			0.13			0.10			0.18			0.32			0.17
Net gain (loss) on investments, foreign currency and futures transactions (both realized and unrealized)		0.68			2.59			2.08			(4.78	)		(0.53	)		2.11

Total income (loss) from investment operations		0.75			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	$	13.39		$	12.64		$	10.06		$	8.00		$	13.51		$	14.89

Total return ^C		5.93	%^D		27.05	%		27.21	%		(33.58	)%		(1.63	)%		17.85	%

Ratios and supplemental data:
Net assets, end of period (in thousands)	$	69,333		$	93,138		$	39,958		$	31,552		$	52,325		$	151,878
Ratios to average net assets (annualized):^A
Net investment income		0.83	%		1.21	%		1.18	%		1.54	%		1.49	%		1.49	%
Expenses, including expenses allocated from the master portfolio		0.23	%		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 values may differ from the net asset value and returns for shareholder transactions.

^D		Not annualized.

American Beacon International Equity Index Fund
Financial Highlights
(For a share outstanding throughout each period)


	Institutional Class
	Six Months
	ended June			Year Ended December 31,
	30, 2011			2010			2009			2008			2007			2006
	(unaudited)
Net asset value, beginning of period	$	9.87		$	9.38		$	7.46		$	13.37		$	12.76		$	10.33

Income from investment operations:
Net investment income^A		0.21			0.22			0.21			0.39			0.51			0.23
Net gain (loss) on investments, foreign currency and futures transactions (both realized and unrealized)		0.32			0.49			1.93			(6.00	)		0.86			2.50

Total income (loss) from investment operations		0.53			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	$	10.40		$	9.87		$	9.38		$	7.46		$	13.37		$	12.76

Total return ^C		5.37%	)^D		7.57	%		28.72	%		(41.85	)%		10.68	%		26.52	%

Ratios and supplemental data:
Net assets, end of period (in thousands)	$	374,970		$	326,055		$	280,110		$	185,860		$	267,293		$	162,113
Ratios to average net assets (annualized):^A
Net investment income		4.21	%		2.66	%		2.66	%		3.58	%		2.96	%		2.44	%
Expenses, including expenses allocated from the master portfolio^E		0.21	%		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 values may differ from the net asset value and returns for shareholder transactions.

^D		Not annualized.

^E		Excludes taxes withheld from dividends of foreign securities.

American Beacon Funds
Disclosure Regarding the Board of Trustees’ Approval of the Management Agreements of the Funds (Unaudited)

At its May 26, 2011 meeting, the Board of Trustees (“Board”) considered the renewal of the existing Management Agreement between American Beacon Advisors, Inc. (the “Manager”) and the American Beacon Funds (collectively, the “Funds or the “Beacon Trust”). In preparation for the Board’s consideration to renew the Agreement, the Board and its Investment Committee undertook steps to gather and consider information furnished by the Manager and Lipper, Inc. (“Lipper”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager.

In connection with the Board’s consideration of the Management Agreement, the Trustees considered, among other materials, responses by the Manager to inquiries requesting:

	•		a description of any significant changes (actual or anticipated) to principal activities, personnel, services provided to the Funds, or any other area, including how these changes might affect the Funds;

	•		a copy of the Manager’s most recent audited or unaudited financial statements, as well as Parts 1 and 2 of its Form ADV registration statement with the SEC;

	•		a summary of any material pending or anticipated litigation or regulatory proceedings involving the Manager or its personnel, including the results of any recent regulatory examination or independent audit;

	•		a comparison of the performance of that portion of Fund assets managed or to be managed by each firm with the performance of other similar accounts managed by the firm, including a discussion of relative performance versus a peer group average and any remedial measures if the firm’s performance was materially below that of the peer group;

	•		any actual or anticipated economies of scale in relation to the services the Manager provides or will provide to each Fund;

	•		an analysis of compensation, including a comparison with fees charged to other clients for which similar services are provided, any proposed changes to the fee schedule and the effect of any fee waivers;

	•		a description of any payments made or to be made by the subadvisors to the Manager to support the Funds’ marketing efforts;

	•		an evaluation of any other benefits to the Manager or Funds as a result of their relationship, if any;

	•		confirmation that the Manager’s financial condition would not impair its ability to provide high-quality advisory services to the Funds;

	•		a description of the scope of portfolio management services provided or to be provided to the Funds, including whether such services differ from the services provided to other clients, including other mutual funds, and any advantages or disadvantages that might accrue to the Funds due to the Manager’s involvement in other activities;

	•		a description of the personnel who are or will be assigned primary responsibility for managing the Funds, including any changes during the past year, and a discussion of the adequacy of current and projected staffing levels to service the Funds;

	•		a description of the basis upon which portfolio managers are compensated, including any “incentive” arrangements, and a description of the oversight mechanisms used to prevent a portfolio manager whose compensation is tied to performance of a Fund from taking undue risks;

	•		a description of the Manager’s practices in monitoring the quality of portfolio holdings and in reviewing portfolio evaluation;

	•		a discussion regarding the Manager’s participation in “soft dollar” arrangements, if any, or other brokerage allocation policies with respect to Fund transactions, including the Manager’s methodology for obtaining best execution and the use of any affiliated broker-dealers;

	•		a description of any actual or potential conflicts of interest anticipated in managing Fund assets;

	•		a discussion of whether the Manager has identified any investment or operational matters that likely present a high risk in managing Fund assets;

	•		a description of the Manager’s criteria for assessing counterparties and counterparty risk to the extent the Manager enters into transactions with counterparties on a Fund’s behalf;

	•		a description of trade allocation procedures among accounts managed by the Manager;

	•		a discussion of whether the Manager receives, or anticipates receiving, other compensation, including any paymentfor order flow or ECN liquidity rebates with respect to the Funds;

	•		a certification by the Manager regarding the reasonable design of its compliance program;

	•		information regarding the Manager’s code of ethics, insider trading policy and disaster recovery plan, including a description of any material changes thereto and a related certification of compliance by the firm;

	•		a description of the Manager’s affiliation with any broker-dealer;

	•		a discussion of any anticipated change in the Manager’s controlling persons; and

	•		verification of the Manager’s insurance coverage with regards to the services provided to the Funds.

In addition to the foregoing, the Manager provided the following information specific to the renewal of the Management Agreement:

American Beacon Funds
Disclosure Regarding the Board of Trustees’ Approval of the Management Agreements of the Funds (Unaudited)

	•		a comparison of the performance of each Fund to comparable investment companies and appropriate indices, including comments on the relative performance of, as applicable, each subadvisor and each Fund versus the respective peer group average;

	•		a discussion, if applicable, of any underperformance by a subadvisor relative to its peer group and what, if any, remedial measures the Manager has or intends to take;

	•		a comparison of advisory fee rates and expense ratios for comparable mutual funds;

	•		a profit/loss analysis of the Manager;

	•		an analysis of any material complaints received from Fund shareholders;

	•		a description of the extent to which the Manager monitors the investment activities and financial conditions of each subadvisor to the Funds;

	•		a description of the Manager’s distribution activities with respect to promoting sales of Fund shares, including any revenue sharing practices;

	•		a description of the Manager’s securities lending practices and the fees received from such practices;

	•		a discussion of any rebate arrangements between the Manager and a service provider to the Funds pursuant to which the Manager receives direct or indirect benefits from the service provider;

	•		a description of the portfolio turnover rate and average execution costs for each Fund and, as applicable, each subadvisor to a Fund; and

	•		a description of how expenses that are not readily identifiable to a particular Fund are allocated.

In connection with the Management Agreement, the Board also obtained an analysis provided by Lipper that compared: (i) investment performance of each Fund versus comparable mutual funds and appropriate indices; (ii) total Fund expenses of each Fund versus comparable mutual funds; and (iii) each Fund’s investment advisory fees versus comparable mutual funds. For each Fund with more than one class of shares, the class of shares used for comparative purposes was the class with the longest performance history, which in most cases was the Institutional Class. References below to each Fund’s Lipper peer group or universe are to the group or universe of comparable mutual funds included in the analysis provided by Lipper.

Provided below is an overview of the primary factors the Trustees considered at the Investment Committee meeting on May 11, 2011 at which the Trustees reviewed the investment performance of the Manager and the primary factors considered by the Board at its May 26, 2011 meeting at which the Board considered the renewal of the Management Agreement.

The Board did not identify any particular information that was most relevant to its consideration to renew the Management Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal of the Management Agreement. The memorandum explained the regulatory requirements surrounding the Trustees’ process for evaluating investment advisors and the terms of the contracts. Based on its evaluation, the Board unanimously concluded that the terms of the Management Agreement were reasonable and fair and that the renewal of the Management Agreement was in the best interests of the Funds and their shareholders.

Considerations With Respect to All Funds

In determining whether to renew the Management Agreement, the Trustees considered the best interests of each Fund separately. While the Management Agreement for all of the Funds was considered at the May 26, 2011 meeting, the Board considered each Fund’s investment management and subadvisory relationships separately.

In each instance, the Board considered, among other things, the following factors: (1) the nature and quality of the services provided; (2) the investment performance of a Fund and, as applicable, each subadvisor for a Fund; (3) the costs incurred by the Manager in rendering services to the Funds and its resulting profits or losses; (4) the extent to which economies of scale have been taken into account in setting each fee schedule; (5) whether fee levels reflect these economies of scale for the benefit of Fund investors; (6) comparisons of services and fees with contracts entered into by the Manager or a subadvisor or their affiliates with other clients (such as pension funds and other institutional funds); and (7) any other benefits derived or anticipated to be derived by the Manager or a subadvisor from their relationship with a Fund. The Trustees posed questions to various management personnel of the Manager regarding certain key aspects of the materials submitted in support of the renewal.

Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Board considered, among other factors: each Fund’s generally favorable long-term performance and the background and experience of key investment personnel at the Manager; the low cost structure of the Funds; the Manager’s culture of compliance and support for compliance operations that reduce risks to the Funds; the Manager’s commitment to increase assets in the Funds as demonstrated, for example, by the continued increase in sales personnel; the Manager’s continuing efforts to add new series and share classes to enhance the Funds’ product line; the Manager’s high quality of services; the Manager’s commitment to increasing the number and training employees in conjunction with the Manager’s product expansion; and efforts made by the Manager to retain key employees.

Investment Performance. The Board evaluated the comparative information provided by Lipper and the Manager regarding each Fund’s investment performance relative to its benchmark index(es) and peer group. The Board considered the information provided by Lipper regarding its independent peer selection methodology to select all peer groups and universes. The Board also considered the performance reports and discussions with management at Board and Committee meetings throughout the year. A discussion regarding the Board’s considerations with respect to each Fund’s performance appears below under “Additional Considerations and Conclusions with

American Beacon Funds
Disclosure Regarding the Board of Trustees’ Approval of the Management Agreements of the Funds (Unaudited)

Respect to the International Equity Index Fund, Additional Considerations and Conclusions for the S&P 500 Index Fund, and Additional Considerations and Conclusions for the Small Cap Index.”

Costs of the Services Provided to the Funds and the Profits Realized by the Manager from its Relationship with the Funds. In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager. The profits or losses were noted at both an individual Fund level and at an aggregate level for all Funds. The Board also considered that the Management Agreement for the Beacon Trust stipulate that, to the extent that a Fund invests all of its investable assets in another registered investment company (i.e., is a “Feeder Fund”), the Fund will not pay the Manager a management fee. Although the Board noted that, in certain cases, the fee rates paid by other clients is lower than the fee rates paid by the Funds, the difference reflects the greater level of responsibility and regulatory requirements associated with managing the Funds.

The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for certain Funds and classes that were in place during the last fiscal year and to put in place new expense waivers and reimbursements for certain new classes of the Funds and new series of the Beacon Trust. The Board considered that the Manager receives service and administrative fees to compensate the Manager for providing administrative services to the Funds and to compensate third-party administrators and broker-dealers for services to Fund shareholders. In addition, the Board considered that the Manager receives management fees for overseeing the securities lending program on behalf of various Funds. The Board also noted that certain classes of the Funds maintain higher expense ratios in order to compensate third-party distributors.

Based on the foregoing information, the Board concluded that the profitability levels were reasonable in light of the services performed by the Manager. A discussion regarding the Board’s considerations with respect to each Fund’s fee rates is set forth below under “Additional Considerations and Conclusions with Respect to the International Equity Index Fund, Additional Considerations and Conclusions for the S&P 500 Index Fund, and Additional Considerations and Conclusions for the Small Cap Index.”

Economies of Scale. In considering the reasonableness of the management fee rates, the Board considered whether economies of scale will be realized as the Funds grow and whether fee levels reflect these economies of scale for the benefit of Fund shareholders. In this regard, the Board considered that the Manager has negotiated breakpoints in many subadvisory fee rates. The Board also noted that, for purposes of determining the fee rates chargeable to the Funds, many subadvisors have agreed to take into account assets of AMR Corporation and its pension plans that are managed by the subadvisors. Thus the Funds are able to receive lower effective fee rates. The Board also noted the Manager’s representation that assets in the Funds’ complex increased during 2010, primarily due to market appreciation.

In addition, the Board noted the Manager’s representation that many of the Funds benefit from economies of scale because comparably low fee rate levels are reflected in the current management and administration fee rates the Manager charges. The Board further noted that the Manager’s representation that many of the Funds benefit from those comparably low fee rate levels despite not having yet reached an asset size at with economies of scale would traditionally be considered to exit, and the Manager’s belief that breakpoints are not appropriate at this time. Based on the foregoing information, the Board concluded that the Manager fee schedules for each Fund provides for a reasonable sharing of benefits from any economies of scale with the Funds.

In addition, the Manager noted that the Trusts also derive benefits from their association with the Manager. Specifically, the Board noted that the Manager’s representation that it provides services to most Funds at a lower than industry average cost. The Board considered that certain of the subadvisors reimburse the Manager for certain of its costs relating to distribution activities for the Funds. The Board also considered that the Funds did not pay commissions to any affiliated broker-dealer of the Manager or the relevant subadvisor during the most recent fiscal year ended December 31, 2010.

Additional Considerations and Conclusions with Respect to the International Equity Index Fund

The performance comparisons below were made versus each Fund’s Lipper peer group or universe median. References to the Lipper expense group or universe below are to the group or universe of comparable mutual funds included in the analysis provided to the Trustees by Lipper.

In considering the renewal of the Management Agreement in regard to the International Equity Index Fund, the Trustees considered the following additional factors: (1) the performance of the Fund’s master portfolio outperformed the peer universe median for

American Beacon Funds
Disclosure Regarding the Board of Trustees’ Approval of the Management Agreements of the Funds (Unaudited)

the five-year period ended March 31, 2011, but underperformed for the one- and three-year periods; and (2) the Fund’s expense ratio was lower than the median of its Lipper expense universe.

Based on these and other considerations, the Trustees (1) concluded that the fees paid to the Manager under the Management Agreement are fair and reasonable, (2) determined that the Fund and its shareholders would benefit from the Manager’s continued management of the Fund and (3) approved the renewal of the Management Agreement with respect to the Fund.

Additional Considerations and Conclusions with Respect to the S&P 500 Index Fund

In considering the renewal of the Management Agreement in regard to the S&P 500 Index Fund, the Trustees considered the following additional factors: (1) the Fund’s master portfolio outperformed the peer universe median for the one-, three- and five-year periods ended March 31, 2011 and (2) the Fund’s actual total expense ratio ranked the lowest of its Lipper expense group.

Additional Considerations and Conclusions with Respect to the Small Cap Index Fund

In considering the renewal of the Management Agreement in regard to the Small Cap Index Fund, the Trustees considered the following additional factors: (1) The Fund’s master portfolio outperformed the peer universe median for the one- and three-year periods ended March 31, 2011, but underperformed the peer universe median for the five-year period; and (3) the Fund’s expense ratio ranked better than the median of it Lipper expense universe.

State Street Equity 500 Index Portfolio

Portfolio of Investments

June 30, 2011 (Unaudited)


			Market
			Value
	Shares		(000)
COMMON STOCKS — 98.6%
Consumer Discretionary — 11.0%
Abercrombie & Fitch Co. Class A		13,046	$	873
Amazon.Com, Inc.^(a)		56,792		11,613
Apollo Group, Inc. Class A^(a)		18,029		788
AutoNation, Inc.^(a)		9,763		357
AutoZone, Inc.^(a)		4,064		1,198
Bed Bath & Beyond, Inc.^(a)		40,645		2,372
Best Buy Co., Inc.		51,719		1,624
Big Lots, Inc.^(a)		12,727		422
Cablevision Systems Corp.		35,600		1,289
CarMax, Inc.^(a)		33,800		1,118
Carnival Corp.		68,250		2,568
CBS Corp. Class B		107,203		3,054
Chipotle Mexican Grill, Inc.^(a)		4,900		1,510
Coach, Inc.		46,728		2,987
Comcast Corp. Class A		443,248		11,232
D.R. Horton, Inc.		47,976		553
Darden Restaurants, Inc.		22,488		1,119
DeVry, Inc.		10,400		615
Direct TV. Class A^(a)		125,377		6,372
Discovery Communications, Inc. Class A^(a)		44,500		1,823
eBay, Inc.^(a)		182,903		5,902
Expedia, Inc.		29,215		847
Family Dollar Stores, Inc.		18,858		991
Ford Motor Co.^(a)		599,998		8,274
Fortune Brands, Inc.		23,445		1,495
GameStop Corp. Class A^(a)		19,400		517
Gannett Co., Inc.		33,574		481
Gap, Inc.		67,398		1,220
Genuine Parts Co.		23,909		1,301
Goodyear Tire & Rubber Co.^(a)		34,957		586
H&R Block, Inc.		44,415		712
Harley-Davidson, Inc.		35,901		1,471
Harman International Industries, Inc.		9,721		443
Hasbro, Inc.		20,425		897
Home Depot, Inc.		256,512		9,291
Host Hotels & Resorts, Inc.		104,421		1,770
International Game Technology		47,919		842
Interpublic Group of Cos., Inc.		71,894		899
JC Penney Co., Inc.		35,910		1,240
Johnson Controls, Inc.		107,186		4,465
Kohl’s Corp.		46,133		2,307
Lennar Corp. Class A		25,931		471
Limited Brands		40,467		1,556
Lowe’s Cos., Inc.		205,662		4,794
Macy’s, Inc.		65,323		1,910
Marriot International, Inc. Class A		45,050		1,599
Mattel, Inc.		53,676		1,476
McDonald’s Corp.		164,525		13,873
McGraw-Hill, Inc.		48,166		2,019
NetFlix, Inc.^(a)		6,700		1,760
Newell Rubbermaid, Inc.		42,693		674
News Corp. Class A		364,209		6,447
NIKE, Inc. Class B		60,852		5,475
Nordstrom, Inc.		25,933		1,217
O’Reilly Automotive, Inc.^(a)		22,900		1,500
Omnicom Group, Inc.		44,041		2,121
Polo Ralph Lauren Corp.		9,915		1,315
Priceline.com, Inc.^(a)		7,790		3,988
Pulte Homes, Inc.^(a)		54,705		419
Ross Stores, Inc.		18,100		1,450
Scripps Networks Interactive, Inc. Class A		13,135		642
Sears Holdings Corp.^(a)		7,474		534
Snap-On, Inc.		9,212		576
Stanley Black & Decker, Inc.		26,007		1,874
Staples, Inc.		114,233		1,805
Starbucks Corp.		117,761		4,650
Starwood Hotels & Resorts Worldwide, Inc.		29,947		1,678
Target Corp.		113,016		5,302
Tiffany & Co.		19,180		1,506
Time Warner Cable, Inc.		53,971		4,212
Time Warner, Inc.		172,391		6,270
TJX Cos., Inc.		62,606		3,289
Urban Outfitters, Inc.^(a)		18,300		515
V.F. Corp.		12,993		1,411
Viacom, Inc. Class B		96,122		4,902
Walt Disney Co.		301,845		11,784
Washington Post Co. Class B		660		277
Whirlpool Corp.		11,361		924
Wyndham Worldwide Corp.		25,599		861
Wynn Resorts, Ltd.		11,600		1,665
Yum! Brands, Inc.		74,392		4,109

				212,288

Consumer Staples — 10.4%
Altria Group, Inc.		333,799		8,816
Archer-Daniels-Midland Co.		101,324		3,055
Avon Products, Inc.		67,360		1,886
Brown-Forman Corp. Class B		15,455		1,154
Campbell Soup Co.		27,065		935
Clorox Co.		21,243		1,433
Coca-Cola Co.		361,711		24,340
Coca-Cola Enterprises, Inc.		50,901		1,485
Colgate-Palmolive Co.		78,101		6,827
ConAgra Foods, Inc.		62,475		1,612
Constellation Brands, Inc. Class A^(a)		29,326		611
Costco Wholesale Corp.		68,889		5,597
CVS Caremark Corp.		217,132		8,160
Dean Foods Co.^(a)		23,558		289
Dr Pepper Snapple Group, Inc.		34,400		1,442
Estee Lauder Cos., Inc. Class A		17,552		1,846
General Mills, Inc.		101,664		3,784
H.J. Heinz Co.		50,569		2,694
Hormel Foods Corp.		23,600		704
Kellogg Co.		39,935		2,209
Kimberly-Clark Corp.		64,800		4,313
Kraft Foods, Inc. Class A		279,309		9,840
Kroger Co.		100,376		2,489
Lorillard, Inc.		23,461		2,554
McCormick & Co., Inc.		19,853		984
Molson Coors Brewing Co., Class B		23,862		1,068
PepsiCo, Inc.		250,154		17,618
Philip Morris International, Inc.		282,099		18,836
Procter & Gamble Co.		441,519		28,067
Reynolds American, Inc.		52,874		1,959
Safeway, Inc.		56,564		1,322
Sara Lee Corp.		89,234		1,695
SuperValu, Inc.		34,848		328
Sysco Corp.		92,509		2,884
The Hershey Company		25,282		1,437

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)


				Market
				Value
	Shares			(000)
COMMON STOCKS — (continued)
Consumer Staples — (continued)
The J.M. Smucker Co.		18,060		$	1,381
Tyson Foods, Inc., Class A		43,735			849
Wal-Mart Stores, Inc.		301,602			16,027
Walgreen Co.		147,718			6,272
Whole Foods Market, Inc.		22,533			1,430

					200,232

Energy — 12.5%
Alpha Natural Resources, Inc.^(a)		35,600			1,618
Anadarko Petroleum Corp.		79,026			6,066
Apache Corp.		61,025			7,530
Baker Hughes, Inc.		68,573			4,976
Cabot Oil & Gas Corp.		17,300			1,147
Cameron International Corp.^(a)		38,100			1,916
Chesapeake Energy Corp.		103,482			3,072
Chevron Corp.^(b)		316,446			32,543
ConocoPhillips		225,430			16,950
Consol Energy, Inc.		35,373			1,715
Denbury Resources, Inc.^(a)		61,700			1,234
Devon Energy Corp.		67,251			5,300
Diamond Offshore Drilling, Inc.		10,100			711
El Paso Corp.		122,292			2,470
EOG Resources, Inc.		42,817			4,477
EQT Corp.		22,400			1,176
ExxonMobil Corp.^(b)		777,947			63,309
FMC Technologies, Inc.^(a)		37,400			1,675
Halliburton Co.		145,034			7,397
Helmerich & Payne, Inc.		16,000			1,058
Hess Corp.		47,601			3,559
Marathon Oil Corp.		112,977			5,952
Murphy Oil Corp.		29,941			1,966
Nabors Industries, Ltd.^(a)		43,104			1,062
National Oilwell Varco, Inc.		66,757			5,221
Newfield Exploration Co.^(a)		20,600			1,401
Noble Corp.		38,800			1,529
Noble Energy, Inc.		27,610			2,475
Occidental Petroleum Corp.		128,144			13,332
Peabody Energy Corp.		42,524			2,505
Pioneer Natural Resources Co.		18,000			1,612
QEP Resources, Inc.		26,468			1,107
Range Resources Corp.		24,500			1,360
Rowan Cos., Inc.^(a)		19,620			761
Schlumberger, Ltd.		213,558			18,451
Southwestern Energy Co.^(a)		54,500			2,337
Spectra Energy Corp.		102,398			2,807
Sunoco, Inc.		20,384			850
Tesoro Corp.^(a)		20,065			460
Valero Energy Corp.		89,109			2,279
Williams Cos., Inc.		92,268			2,791

					240,157

Financials — 15.4%
ACE Ltd.		53,800			3,541
AFLAC, Inc.		74,990			3,501
Allstate Corp.		85,006			2,595
American Express Co.		167,364			8,653
American International Group, Inc.^(a)		68,633			2,012
Ameriprise Financial, Inc.		39,107			2,256
AON Corp.		51,947			2,665
Apartment Investment & Management Co. Class A		16,252			415
Assurant, Inc.		14,131			513
AvalonBay Communities, Inc.		13,198			1,695
Bank of America Corp.		1,595,671			17,489
Bank of New York Mellon Corp.		197,985			5,072
BB&T Corp.		109,870			2,949
Berkshire Hathaway, Inc. Class B^(a)		272,903			21,120
BlackRock, Inc.		15,400			2,954
Boston Properties, Inc.		21,967			2,332
Capital One Financial Corp.		72,463			3,744
CB Richard Ellis Group, Inc. Class A^(a)		47,275			1,187
Charles Schwab Corp.		156,893			2,581
Chubb Corp.		46,075			2,885
Cincinnati Financial Corp.		27,114			791
Citigroup, Inc.		456,120			18,993
CME Group, Inc.		10,591	��		3,088
Comerica, Inc.		26,344			911
Developers Diversified Realty Corp.		1,532			22
Discover Financial Services		85,205			2,279
E*Trade Financial Corp.^(a)		33,931			468
Equity Residential		46,957			2,817
Federated Investors, Inc. Class B		14,870			354
Fifth Third Bancorp		141,016			1,798
First Horizon National Corp.		46,055			439
Franklin Resources, Inc.		22,980			3,017
Genworth Financial, Inc. Class A^(a)		72,151			742
Goldman Sachs Group, Inc.		81,534			10,851
Hartford Financial Services Group, Inc.		69,797			1,841
HCP, Inc.		64,100			2,352
Health Care REIT, Inc.		26,800			1,405
Hudson City Bancorp, Inc.		76,692			628
Huntington Bancshares, Inc.		127,456			836
IntercontinentalExchange, Inc.^(a)		11,180			1,394
Invesco Ltd.		72,300			1,692
J.P. Morgan Chase & Co.		628,015			25,711
Janus Capital Group, Inc.		31,407			296
KeyCorp		150,475			1,253
Kimco Realty Corp.		66,369			1,237
Legg Mason, Inc.		22,342			732
Leucadia National Corp.		29,736			1,014
Lincoln National Corp.		48,192			1,373
Loews Corp.		49,731			2,093
M & T Bank Corp.		18,637			1,639
Marsh & McLennan Cos., Inc.		85,653			2,671
Marshall & Ilsley Corp.		86,593			690
Mastercard, Inc. Class A		15,400			4,641
MetLife, Inc.		168,396			7,388
Moody’s Corp.		29,966			1,149
Morgan Stanley		244,430			5,624
NASDAQ OMX Group, Inc.^(a)		25,400			643
Northern Trust Corp.		38,006			1,747
NYSE Euronext		40,000			1,371
Paychex, Inc.		50,338			1,546
People’s United Financial, Inc.		52,600			707
PNC Financial Services Group, Inc.		83,717			4,990
Principal Financial Group, Inc.		50,091			1,524

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)


			Market
			Value
	Shares		(000)
COMMON STOCKS — (continued)
Financials — (continued)
Progressive Corp.		104,301	$	2,230
ProLogis, Inc.		66,699		2,390
Prudential Financial, Inc.		77,239		4,912
Public Storage, Inc.		21,987		2,507
Regions Financial Corp.		191,689		1,188
Simon Property Group, Inc.		46,615		5,418
SLM Corp.^(a)		82,954		1,394
State Street Corp.^(c)		79,725		3,595
SunTrust Banks, Inc.		85,618		2,209
T. Rowe Price Group, Inc.		40,475		2,442
Torchmark Corp.		11,421		733
Total System Services, Inc.		27,675		514
Travelers Cos., Inc.		68,904		4,023
U.S. Bancorp		306,652		7,823
Unum Group		47,529		1,211
Ventas, Inc.		26,800		1,413
Visa, Inc.		77,700		6,547
Vornado Realty Trust		25,614		2,387
Wells Fargo Co.		830,549		23,305
Western Union Co.		103,085		2,065
XL Capital, Ltd. Class A		47,568		1,046
Zions Bancorp		30,453		731

				296,999

Health Care — 11.2%
Abbott Laboratories		242,606		12,766
Aetna, Inc.		59,750		2,634
Allergan, Inc.		48,792		4,062
AmerisourceBergen Corp.		42,686		1,767
Amgen, Inc.^(a)		147,736		8,620
Baxter International, Inc.		92,761		5,537
Becton, Dickinson & Co.		34,397		2,964
Biogen Idec, Inc.^(a)		37,631		4,023
Boston Scientific Corp.^(a)		237,834		1,643
Bristol-Myers Squibb Co.		269,116		7,794
C.R. Bard, Inc.		12,897		1,417
Cardinal Health, Inc.		54,957		2,496
CareFusion Corp.^(a)		33,278		904
Celgene Corp.^(a)		74,818		4,513
Cephalon, Inc.^(a)		11,100		887
Cerner Corp.^(a)		23,400		1,430
CIGNA Corp.		42,396		2,180
Coventry Health Care, Inc.^(a)		21,903		799
Covidien PLC		77,600		4,131
DaVita, Inc.^(a)		14,600		1,264
Dentsply International, Inc.		20,900		796
Edwards Lifesciences Corp.^(a)		18,500		1,613
Eli Lilly & Co.		161,775		6,071
Express Scripts, Inc.^(a)		83,898		4,529
Forest Laboratories, Inc.^(a)		43,602		1,715
Gilead Sciences, Inc.^(a)		124,999		5,176
Hospira, Inc.^(a)		25,303		1,434
Humana, Inc.^(a)		26,007		2,095
Intuitive Surgical, Inc.^(a)		6,200		2,307
Johnson & Johnson		431,249		28,687
Laboratory Corp. of America Holdings^(a)		15,622		1,512
Life Technologies Corp.^(a)		28,787		1,499
McKesson Corp.		40,055		3,351
Mead Johnson Nutrition Co.		32,118		2,170
Medco Health Solutions, Inc.^(a)		63,868		3,610
Medtronic, Inc.		168,878		6,507
Merck & Co., Inc.		483,870		17,076
Mylan, Inc.^(a)		68,009		1,678
Patterson Cos., Inc.		16,494		542
Pfizer, Inc.		1,260,511		25,967
Quest Diagnostics, Inc.		24,200		1,430
St. Jude Medical, Inc.		50,626		2,414
Stryker Corp.		54,089		3,174
Tenet Healthcare Corp.^(a)		73,370		458
UnitedHealth Group, Inc.		172,996		8,923
Varian Medical Systems, Inc.^(a)		18,160		1,272
Watson Pharmaceuticals, Inc.^(a)		18,946		1,302
Wellpoint, Inc.		59,438		4,682
Zimmer Holdings, Inc.^(a)		30,852		1,950

				215,771

Industrials — 11.4%
3M Co.		113,572		10,772
Amphenol Corp. Class A		27,000		1,458
Avery Dennison Corp.		15,388		594
Boeing Co.		117,288		8,671
Caterpillar, Inc.		101,479		10,804
CH Robinson Worldwide, Inc.		26,061		2,055
Cintas Corp.		21,588		713
CSX Corp.		178,314		4,675
Cummins, Inc.		31,358		3,245
Danaher Corp.		85,272		4,519
Deere & Co.		67,637		5,577
Dover Corp.		29,195		1,979
Eaton Corp.		53,190		2,737
Emerson Electric Co.		120,248		6,764
Equifax, Inc.		17,883		621
Expeditors International Washington, Inc.		33,220		1,701
Fastenal Co.		45,200		1,627
FedEx Corp.		50,100		4,752
First Solar, Inc.^(a)		8,070		1,067
Flir Systems, Inc.		23,500		792
Flowserve Corp.		8,300		912
Fluor Corp.		28,060		1,814
General Dynamics Corp.		60,061		4,476
General Electric Co.^(b)		1,674,033		31,572
Goodrich Co.		19,645		1,876
Honeywell International, Inc.		124,581		7,424
Huntington Ingalls Industries, Inc.^(a)(d)		—		—
Illinois Tool Works, Inc.		78,871		4,455
Ingersoll-Rand PLC		51,100		2,320
Iron Mountain, Inc.		32,200		1,098
ITT Industries, Inc.		28,692		1,691
Jacobs Engineering Group, Inc.^(a)		20,400		882
Joy Global, Inc.		16,600		1,581
L-3 Communications Holdings, Inc.		17,203		1,504
Leggett & Platt, Inc.		24,998		609
Lockheed Martin Corp.		44,852		3,632
Masco Corp.		57,123		687
Monster Worldwide, Inc.^(a)		22,609		331
Norfolk Southern Corp.		55,855		4,185

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)


			Market
			Value
	Shares		(000)
COMMON STOCKS — (continued)
Industrials — (continued)
Northrop Grumman Corp.		46,311	$	3,212
PACCAR, Inc.		57,774		2,952
Pall Corp.		17,209		968
Parker-Hannifin Corp.		25,403		2,280
Pitney Bowes, Inc.		29,727		683
Precision Castparts Corp.		22,607		3,722
Quanta Services, Inc.^(a)		36,800		743
R.R. Donnelley & Sons Co.		29,609		581
Raytheon Co.		57,682		2,875
Republic Services, Inc.		46,803		1,444
Robert Half International, Inc.		23,440		634
Rockwell Automation, Inc.		21,905		1,901
Rockwell Collins, Inc.		24,231		1,495
Roper Industries, Inc.		14,400		1,200
Ryder Systems, Inc.		7,921		450
Southwest Airlines Co.		113,686		1,298
Stericycle, Inc.^(a)		12,900		1,150
Textron, Inc.		41,239		974
Thermo Fisher Scientific, Inc.^(a)		63,024		4,058
Tyco International Ltd.		74,000		3,658
Union Pacific Corp.		77,668		8,109
United Parcel Service, Inc. Class B		154,646		11,278
United Technologies Corp.		144,278		12,770
W.W. Grainger, Inc.		8,769		1,347
Waste Management, Inc.		75,239		2,804

				218,758

Information Technology — 16.5%
Adobe Systems, Inc.^(a)		80,457		2,530
Advanced Micro Devices, Inc.^(a)		84,086		588
Agilent Technologies, Inc.^(a)		54,568		2,789
Akamai Technologies, Inc.^(a)		31,124		979
Altera Corp.		51,154		2,371
Analog Devices, Inc.		46,869		1,834
AOL, Inc.^(a)(d)		1		—
Apple, Inc.^(a)		145,284		48,767
Applied Materials, Inc.		211,707		2,754
Autodesk, Inc.^(a)		34,976		1,350
Automatic Data Processing, Inc.		78,317		4,126
BMC Software, Inc.^(a)		29,221		1,598
Broadcom Corp. Class A^(a)		73,859		2,485
CA, Inc.		58,199		1,329
Cisco Systems, Inc.		871,519		13,604
Citrix Systems, Inc.^(a)		29,467		2,357
Cognizant Technology Solutions Corp. Class A^(a)		48,184		3,534
Computer Sciences Corp.		23,144		879
Compuware Corp.^(a)		37,450		366
Corning, Inc.		248,876		4,517
Dell, Inc.^(a)		266,550		4,443
Dun & Bradstreet Corp.		8,500		642
Electronic Arts, Inc.^(a)		50,300		1,187
EMC Corp.^(a)		327,884		9,033
F5 Networks, Inc.^(a)		12,200		1,345
Fidelity National Information Services, Inc.		43,277		1,333
Fiserv, Inc.^(a)		22,552		1,412
Google, Inc. Class A^(a)		39,490		19,997
Harris Corp.		19,000		856
Hewlett-Packard Co.		327,616		11,925
Intel Corp.		837,356		18,556
International Business Machines Corp.		192,242		32,979
Intuit, Inc.^(a)		43,963		2,280
Jabil Circuit, Inc.		31,651		639
Juniper Networks, Inc.^(a)		85,493		2,693
KLA-Tencor Corp.		25,105		1,016
Lexmark International Group, Inc. Class A^(a)		12,642		370
Linear Technology Corp.		36,963		1,221
LSI Corp.^(a)		89,162		635
MEMC Electronic Materials, Inc.^(a)		36,378		310
Microchip Technology, Inc.		28,189		1,069
Micron Technology, Inc.^(a)		130,962		980
Microsoft Corp.^(b)		1,165,735		30,309
Molex, Inc.		23,305		601
Motorola Mobility Holdings, Inc.^(a)		44,183		974
Motorola Solutions, Inc.^(a)		52,752		2,429
National Semiconductor Corp.		35,696		878
NetApp, Inc.^(a)		57,257		3,022
Novellus Systems, Inc.^(a)		15,230		550
NVIDIA Corp.^(a)		91,556		1,459
Oracle Corp.		613,362		20,186
PerkinElmer, Inc.		15,618		420
QUALCOMM, Inc.		259,111		14,715
Red Hat, Inc.^(a)		31,300		1,437
SAIC, Inc.^(a)		42,900		722
Salesforce.com, Inc.^(a)		18,600		2,771
SanDisk Corp.^(a)		36,267		1,505
Symantec Corp.^(a)		122,163		2,409
Tellabs, Inc.		63,030		291
Teradata Corp.^(a)		25,620		1,542
Teradyne, Inc.^(a)		28,149		417
Texas Instruments, Inc.		187,399		6,152
VeriSign, Inc.		25,721		861
Waters Corp.^(a)		13,765		1,318
Western Digital Corp.^(a)		35,200		1,281
Xerox Corp.		218,801		2,278
Xilinx, Inc.		42,402		1,546
Yahoo!, Inc.^(a)		206,619		3,108

				316,859

Materials — 3.8%
Air Products & Chemicals, Inc.		33,909		3,241
Airgas, Inc.		11,300		791
AK Steel Holding Corp.		20,000		315
Alcoa, Inc.		165,449		2,624
Allegheny Technologies, Inc.		17,228		1,093
Ball Corp.		25,124		966
Bemis Co., Inc.		18,462		624
CF Industries Holdings, Inc.		10,950		1,551
Cliffs Natural Resources, Inc.		21,200		1,960
Dow Chemical Co.		185,228		6,668
E.I. Du Pont de Nemours & Co.		146,012		7,892
Eastman Chemical Co.		10,504		1,072
Ecolab, Inc.		36,366		2,050
FMC Corp.		10,600		912

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)


			Market
			Value
	Shares		(000)
COMMON STOCKS — (continued)
Materials — (continued)
Freeport-McMoRan Copper & Gold, Inc. Class B		150,504	$	7,962
International Flavors & Fragrances, Inc.		13,031		837
International Paper Co.		68,711		2,049
MeadWestvaco Corp.		26,720		890
Monsanto Co.		85,555		6,206
Newmont Mining Corp.		78,406		4,232
Nucor Corp.		49,754		2,051
Owens-Illinois, Inc.^(a)		24,000		619
Plum Creek Timber Co., Inc.		24,211		982
PPG Industries, Inc.		25,671		2,331
Praxair, Inc.		48,711		5,280
Sealed Air Corp.		22,792		542
Sherwin-Williams Co.		13,396		1,124
Sigma-Aldrich Corp.		18,334		1,345
Titanium Metals Corp.^(a)		16,600		304
United States Steel Corp.		21,478		989
Vulcan Materials Co.		18,961		731
Weyerhaeuser Co.		84,074		1,838

				72,071

Telecommunication Services — 3.1%
American Tower Corp. Class A^(a)		63,200		3,307
AT&T, Inc.		931,950		29,273
CenturyTel, Inc.		93,165		3,767
Frontier Communications Corp.		149,444		1,206
JDS Uniphase Corp.^(a)		32,523		542
MetroPCS Communications, Inc.^(a)		38,300		659
Sprint Nextel Corp.^(a)		469,465		2,530
Verizon Communications, Inc.		449,166		16,722
Windstream Corp.		82,613		1,071

				59,077

Utilities — 3.3%
AES Corp.^(a)		102,795		1,310
Ameren Corp.		36,060		1,040
American Electric Power Co., Inc.		75,952		2,862
CenterPoint Energy, Inc.		64,211		1,242
CMS Energy Corp.		37,956		747
Consolidated Edison, Inc.		45,752		2,436
Constellation Energy Group, Inc.		30,014		1,139
Dominion Resources, Inc.		92,262		4,453
DTE Energy Co.		27,684		1,385
Duke Energy Corp.		210,420		3,962
Edison International		51,119		1,981
Entergy Corp.		28,498		1,946
Exelon Corp.		105,221		4,508
FirstEnergy Corp.		66,722		2,946
Integrys Energy Group, Inc.		13,216	��	685
NextEra Energy, Inc.		66,021		3,794
Nicor, Inc.		7,800		427
NiSource, Inc.		41,182		834
Northeast Utilities		26,200		921
NRG Energy, Inc.^(a)		36,700		902
Oneok, Inc.		16,100		1,192
Pepco Holdings, Inc.		32,500		638
PG&E Corp.		62,026		2,607
Pinnacle West Capital Corp.		15,860		707
PPL Corp.		90,175		2,510
Progress Energy, Inc.		46,081		2,212
Public Service Enterprise Group, Inc.		79,924		2,609
SCANA Corp.		19,300		760
Sempra Energy		37,686		1,993
Southern Co.		133,643		5,396
TECO Energy, Inc.		34,951		660
Wisconsin Energy Corp.		35,100		1,100
Xcel Energy, Inc.		77,151		1,875

				63,779

TOTAL COMMON STOCKS
(Cost $1,107,620)				1,895,991


	Par
	Amount
	(000)
U.S. GOVERNMENT SECURITIES — 0.2%
United States Treasury Bill^(b)(e)(f)
0.05% due 07/07/2011	$	3,765	3,765
United States Treasury Bill^(b)(e)(f)
0.06% due 08/25/2011		350	350

TOTAL U.S. GOVERNMENT SECURITIES (Cost $4,115)			4,115


	Shares
	(000)
MONEY MARKET FUNDS — 1.1%
AIM Short Term Investment Prime Portfolio		20,731		20,731
Federated Money Market Obligations Trust		577		577

TOTAL MONEY MARKET FUNDS (Cost $21,308)				21,308

TOTAL INVESTMENTS^(g)† — 99.9%
(Identified cost $1,133,042)				1,921,414
Other Assets in Excess of Liabilities — 0.1%				1,396

NET ASSETS — 100.0%			$	1,922,810


(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.

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)


(f)		Value determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2)

(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)

Schedule of Futures

Contracts S&P 500

Financial Futures

Contracts (long)

Expiration Date

9/2011

444

28,217

987

Total unrealized

appreciation on

open futures

contracts purchased

987

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 June 30, 2011 is listed in the Portfolio of Investments.

Income earned

Shares purchased

for the six

Shares sold for

Value at

months ended

Realized loss

Security

Number of shares

months ended

the six months

Number of shares

6/30/2011

on shares sold

Description

held at 12/31/2010

6/30/2011

ended 6/30/2011

held at 6/30/2011

(000)

State Street
Corp.

85,825

—

6,100

79,725

3,595

)

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities
June 30, 2011 (Unaudited)
(Amounts in thousands)


Assets
Investments in unaffiliated issuers at market value (identified cost $1,130,328)	$	1,917,819
Investments in non-controlled affiliates at market value (identified cost $2,714) (Note 4)		3,595

Total investments at market value (identified cost $1,133,042)		1,921,414
Receivable for investment securities sold		169
Daily variation margin on futures contracts		249
Dividends and interest		2,417

Total assets		1,924,249
Liabilities
Management fees (Note 4)		143
Accrued expenses and other liabilities		1,296

Total liabilities		1,439

Net Assets	$	1,922,810

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio

Statement of Operations
Six Months Ended June 30, 2011 (Unaudited)
(Amounts in thousands)


Investment Income
Interest	$	16
Dividend income — unaffiliated issuers (net of foreign taxes withheld of $2)		18,941
Dividend income — non-controlled affiliated issuer		29

Total investment income		18,986

Expenses
Management fees (Note 4)		438

Total expenses		438

Net Investment Income	$	18,548


Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments — unaffiliated issuers	$	29,251
Futures contracts		1,634

		30,885

Net change in net unrealized appreciation (depreciation) on:
Investments		65,579
Futures contracts		445

		66,024

Net realized and unrealized gain		96,909

Net Increase in Net Assets Resulting from Operations	$	115,457

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio

Statements of Changes in Net Assets
(Amounts in thousands)


	For The Six Months Ended
	June 30, 2011			For The Year Ended
	(Unaudited)			December 31, 2010
Increase (Decrease) in Net Assets From Operations:
Net investment income	$	18,548		$	37,668
Net realized gain on investments and futures contracts		30,885			26,111
Net change in net unrealized appreciation on investments and futures contracts		66,024			214,085

Net increase in net assets from operations		115,457			277,864

Capital Transactions
Contributions		42,648			241,838
Withdrawals		(333,432	)		(314,951	)

Net decrease in net assets from capital transactions		(290,784	)		(73,113	)

Net Increase (Decrease) in Net Assets		(175,327	)		204,751
Net Assets
Beginning of period		2,098,137			1,893,386

End of period	$	1,922,810		$	2,098,137

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio

Financial Highlights

The following table includes selected supplemental data and ratios to average net assets:


	Six Months
	Ended
	6/30/11			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			12/31/10			12/31/09			12/31/08			12/31/07			12/31/06
Supplemental Data and Ratios
Net assets, end of period (in thousands)		1,922,810			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	%		0.045	%
Net investment income		1.91	%*		1.99	%		2.28	%		2.30	%		1.96	%		1.94	%
Portfolio turnover rate^(a)		2	%**		12	%		19	%		14	%		12	%		10	%
Total return^(b)		5.97	%**		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.

*		Annualized.

**		Not annualized.

See Notes to Financial Statements.

State Street Equity 500 Index Portfolio

Notes to Financial Statements
June 30, 2011 (Unaudited)

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: State Street Equity 500 Index Portfolio, State Street Equity 400 Index Portfolio, State Street Equity 2000 Index Portfolio, State Street Aggregate Bond Index Portfolio, State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street Short-Term Tax Exempt Bond Portfolio, State Street Limited Duration Bond Portfolio, State Street Treasury Money Market Portfolio, State Street Treasury Plus Money Market Portfolio and State Street U.S. Government Money Market Portfolio. Information presented in these financial statements pertains only to State Street Equity 500 Index Portfolio (the “Portfolio”).

At June 30, 2011, the following Portfolios were in operation: the Portfolio, State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street Short-Term Tax Free Bond Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and 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 accordance with these provisions, fair value is defined as the price that the Portfolio would receive

State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)

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 June 30, 2011, 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	$	1,895,991	$	—	$	—	$	1,895,991
U.S. Government Securities		—		4,115		—		4,115
Money Market Funds		21,308		—		—		21,308
OTHER ASSETS:
Futures contracts		987		—		—		987

TOTAL ASSETS	$	1,918,286	$	4,115	$	—	$	1,955,401

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. 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 period ended June 30, 2011, 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

State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)

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 June 30, 2011, the book cost of investments was $1,133,042 which approximates cost computed on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $845,030 and $56,658 respectively, resulting in net appreciation/depreciation of $788,372 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

State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)

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 June 30, 2011:

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	$	—	$	—	$	—	$	987	$	—	$	—	$	987


⁽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 period ended June 30, 2011, 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	$	—	$	—	$	—	$	1,634	$	—	$	—	$	1,634

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	$	—	$	—	$	—	$	445	$	—	$	—	$	445


⁽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 June 30, 2011 was $35,204,583.

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.

State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)

3. Securities Transactions

For the period ended June 30, 2011, purchases and sales of investment securities, excluding short-term investments, futures contracts, and contributions in-kind and fair value of withdrawals, aggregated to $29,678,296 and $179,945,736, 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 June 30, 2011 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.

7. Subsequent Events

In accordance with provisions surrounding Subsequent Events adopted by the Portfolio, management has evaluated the possibility of subsequent events existing in the Portfolio’s financial statements. Management has determined that there are no material events that would require disclosure in the Portfolio’s financial statements.

State Street Equity 500 Index Portfolio
General Information
June 30, 2011 (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 without charge, upon request, (i) 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 without charge, upon request, (i) 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.



Schedule of Investments June 30, 2011 (Unaudited)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Advertising Agencies — 0.7%
Arbitron, Inc.		7,305	$	301,916
Constant Contact, Inc. (a)		7,998		202,989
DG FastChannel, Inc. (a)		7,304		234,093
Harte-Hanks, Inc.		11,078		89,953
MDC Partners, Inc.		6,254		112,947
Marchex, Inc., Class B		5,899		52,383
National CineMedia, Inc.		14,923		252,348
QuinStreet, Inc. (a)		7,090		92,028
ReachLocal, Inc. (a)		2,490		51,867
Travelzoo, Inc. (a)		1,521		98,318
Valassis Communications, Inc. (a)		13,220		400,566
ValueClick, Inc. (a)		21,289		353,398
Viad Corp.		5,559		123,910

				2,366,716

Aerospace — 1.4%
AAR Corp.		10,684		289,430
AeroVironment, Inc. (a)		4,571		161,585
Astronics Corp. (a)		2,680		82,544
Ceradyne, Inc. (a)		6,715		261,818
Cubic Corp.		4,268		217,625
Curtiss-Wright Corp.		12,390		401,064
Ducommun, Inc.		2,899		59,632
Esterline Technologies Corp. (a)		8,177		624,723
GenCorp, Inc. (a)		16,471		105,744
Heico Corp. (b)		11,112		608,271
Kaman Corp., Class A		7,098		251,766
Kratos Defense & Security Solutions, Inc. (a)		6,564		79,818
LMI Aerospace, Inc. (a)		2,612		63,811
Moog, Inc., Class A (a)		12,195		530,726
Orbital Sciences Corp. (a)		15,755		265,472
Teledyne Technologies, Inc. (a)		9,856		496,348
Triumph Group, Inc.		5,006		498,498

				4,998,875

Agriculture, Fishing & Ranching — 0.4%
Alico, Inc.		508		13,015
The Andersons, Inc.		4,993		210,954
Cadiz, Inc. (a)		3,961		43,016
Cal-Maine Foods, Inc. (b)		3,836		122,599
Calavo Growers, Inc.		3,140		66,128
Fresh Del Monte Produce, Inc.		9,835		262,299
Limoneira Co.		2,332		52,680
Pilgrims Pride Corp. (a)		13,360		72,278
Sanderson Farms, Inc.		5,943		283,957
Seaboard Corp.		85		205,530

				1,332,456

Air Transport — 0.9%
Air Transport Services Group, Inc. (a)		14,517		99,441
Alaska Air Group, Inc. (a)		9,626		658,996
Allegiant Travel Co. (a)		4,011		198,545
Atlas Air Worldwide Holdings, Inc. (a)		7,058		420,022
Bristow Group, Inc.		9,725		496,170
Hawaiian Holdings, Inc. (a)		13,687		78,016
JetBlue Airways Corp. (a)		66,282		404,320
PHI, Inc. (a)		3,621		78,684
Republic Airways Holdings, Inc. (a)		13,250		72,345
SkyWest, Inc.		14,186		213,641
Spirit Airlines, Inc. (a)		3,793		45,478
US Airways Group, Inc. (a)		43,606		388,529

				3,154,187

Alternative Energy — 0.2%
Ameresco, Inc. (a)		4,396		62,335
Amyris, Inc. (a)		4,670		131,180
EnerNOC, Inc. (a)		6,121		96,345
Gevo, Inc. (a)		1,277		20,087
Green Plains Renewable Energy (a)		5,223		56,356
Rex American Resources Corp. (a)		1,946		32,304
Solazyme, Inc. (a)		2,829		64,982
Syntroleum Corp. (a)(b)		20,906		30,732
USEC, Inc. (a)		31,404		104,889

				599,210

Aluminum — 0.2%
Century Aluminum Co. (a)		13,994		219,006
Kaiser Aluminum Corp.		4,236		231,370
Noranda Aluminum Holding Corp. (a)		5,704		86,359

				536,735

Asset Management & Custodian — 0.9%
Apollo Investment Corp.		53,195		543,121
Arlington Asset Investment Corp.		1,799		56,471
Artio Global Investors, Inc.		7,800		88,140
CIFC Deerfield Corp. (a)		1,963		13,447
Calamos Asset Management, Inc., Class A		5,240		76,085
Capital Southwest Corp.		782		72,155
Cohen & Steers, Inc.		4,790		158,788
Cowen Group, Inc., Class A (a)		18,989		71,399
Diamond Hill Investments Group		737		59,911
Epoch Holding Corp.		4,009		71,561
Fifth Street Finance Corp.		18,255		211,758
Financial Engines, Inc. (a)		10,130		262,570
GAMCO Investors, Inc., Class A		1,866		86,377
Golub Capital BDC, Inc.		2,800		41,804
Harris & Harris Group, Inc. (a)		8,908		45,698
JMP Group, Inc.		4,768		33,519
Kohlberg Capital Corp.		3,968		31,546
MCG Capital Corp.		21,234		129,103
MVC Capital, Inc.		6,793		89,871
Medley Capital Corp.		2,260		26,532
NGP Capital Resources Co.		6,302		51,676
National Financial Partners Corp. (a)		11,973		138,168
New Mountain Finance Corp. (a)		1,952		24,790
Oppenheimer Holdings, Inc.		2,732		77,070
Pzena Investment Management, Inc., Class A		1,140		6,475
Solar Capital Ltd.		8,859		218,729
Solar Senior Capital Ltd.		1,621		29,097
THL Credit, Inc.		2,919		37,947
TICC Capital Corp.		8,793		84,413
Virtus Investment Partners, Inc. (a)		1,473		89,411
Westwood Holdings Group, Inc.		1,773		67,551

				2,995,183

Auto Parts — 0.9%
American Axle & Manufacturing Holdings, Inc. (a)		17,840		203,019
Amerigon, Inc. (a)		6,235		108,364
Dana Holding Corp. (a)		39,232		717,946
Dorman Products, Inc. (a)		3,009		119,096
Exide Technologies (a)		20,968		160,196
Fuel Systems Solutions, Inc. (a)		4,525		112,899
Meritor, Inc. (a)		25,505		409,100
Motorcar Parts of America, Inc. (a)		2,726		40,917
Standard Motor Products, Inc.		5,461		83,171
Stoneridge, Inc. (a)		6,781		99,952
Superior Industries International, Inc.		6,329		139,934

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Auto Parts (concluded)
Tenneco, Inc. (a)		16,276	$	717,283
Tower International, Inc. (a)		1,424		25,191
U.S. Auto Parts Network, Inc. (a)		4,614		35,343

				2,972,411

Auto Services — 0.1%
Cooper Tire & Rubber Co.		16,732		331,126

Back Office Support, HR & Consulting — 1.7%
APAC Customer Services, Inc. (a)		9,398		50,091
The Advisory Board Co. (a)		4,347		251,604
Barrett Business Services, Inc.		2,404		34,425
CBIZ, Inc. (a)		10,171		74,859
CDI Corp.		3,664		48,695
CRA International, Inc. (a)		2,994		81,107
Compass Diversified Holdings		10,677		176,064
Convergys Corp. (a)		27,623		376,778
Corporate Executive Board Co.		9,296		405,770
CoStar Group, Inc. (a)		6,740		399,547
Dice Holdings, Inc. (a)		12,761		172,529
ExlService Holdings, Inc. (a)		4,375		101,062
FTI Consulting, Inc. (a)		11,134		422,424
Forrester Research, Inc.		4,035		132,994
GP Strategies Corp. (a)		4,345		59,353
The Hackett Group, Inc. (a)		6,650		33,848
Heidrick & Struggles International, Inc.		4,762		107,812
Hudson Highland Group, Inc. (a)		9,157		48,990
Huron Consulting Group, Inc. (a)		6,072		183,435
ICF International, Inc. (a)		5,134		130,301
Insperity, Inc.		6,051		179,170
Kelly Services, Inc., Class A (a)		7,238		119,427
Kforce, Inc. (a)		8,692		113,691
Korn/Ferry International (a)		12,736		280,065
Liquidity Services, Inc. (a)		4,900		115,689
LoopNet, Inc. (a)		4,640		85,283
MAXIMUS, Inc.		4,687		387,756
Navigant Consulting, Inc. (a)		13,979		146,640
On Assignment, Inc. (a)		10,354		101,780
PRGX Global, Inc. (a)		4,411		31,539
RPX Corp. (a)		2,414		67,664
Resources Connection, Inc.		12,664		152,475
SFN Group, Inc. (a)		13,862		126,006
SYKES Enterprises, Inc. (a)		11,327		243,870
ServiceSource International, Inc. (a)		2,544		56,528
Stream Global Services, Inc. (a)		1,055		3,481
TeleTech Holdings, Inc. (a)		6,939		146,274
TrueBlue, Inc. (a)		12,026		174,136

				5,823,162

Banks: Diversified — 5.6%
1st Source Corp.		4,428		91,837
1st United BanCorp., Inc. (a)		8,113		50,463
Alliance Financial Corp.		1,443		44,055
Ameris Bancorp (a)		6,844		60,706
Ames National Corp.		2,617		47,525
Arrow Financial Corp.		2,863		70,058
Bancfirst Corp.		1,920		74,112
Banco Latinoamericana De Comercio Exterior SA		7,904		136,897
The Bancorp, Inc. (a)		8,448		88,282
Bancorp Rhode Island, Inc.		1,078		48,855
BancorpSouth, Inc.		21,319		264,569
Bank of Kentucky Financial Corp.		933		20,778
Bank of Marin Bancorp		1,551		54,859
Bank of the Ozarks, Inc.		3,688		191,997
Banner Corp.		4,134		72,345
Boston Private Financial Holdings, Inc.		21,459		141,200
Bridge Bancorp, Inc.		1,910		40,645
Bridge Capital Holdings (a)		1,226		13,584
Bryn Mawr Bank Corp.		2,977		60,284
CNB Financial Corp.		3,897		54,129
CVB Financial Corp.		24,666		228,160
Camden National Corp.		2,247		73,724
Cape Bancorp, Inc. (a)		1,720		17,200
Capital Bank Corp. (a)		2,127		7,423
Capital City Bank Group, Inc.		3,749		38,465
Cardinal Financial Corp.		8,456		92,593
Cascade Bancorp (a)		1,008		10,181
Cathay General Bancorp		21,341		349,779
Center Bancorp, Inc.		1,527		15,942
Center Financial Corp. (a)		10,062		63,894
Centerstate Banks, Inc.		7,749		53,623
Central Pacific Financial Corp. (a)		3,557		49,798
Century Bancorp, Inc., Class A		260		6,880
Chemical Financial Corp.		6,857		128,637
Citizens & Northern Corp.		3,593		54,146
City Holding Co.		4,271		141,071
CoBiz Financial, Inc.		9,926		64,916
Columbia Banking System, Inc.		10,795		185,890
Community Bank System, Inc.		9,628		238,678
Community Trust Bancorp, Inc.		3,812		105,669
Danvers Bancorp, Inc. (b)		5,595		121,803
Eagle Bancorp, Inc. (a)		4,991		66,380
Encore Bancshares, Inc. (a)		1,383		16,624
Enterprise Bancorp, Inc.		765		11,529
Enterprise Financial Services Corp.		4,733		64,037
F.N.B. Corp.		33,626		348,029
Financial Institutions, Inc.		3,917		64,317
First Bancorp, Inc.		2,876		42,737
First Bancorp, North Carolina		4,541		46,500
First Busey Corp.		19,568		103,515
First Commonwealth Financial Corp.		28,697		164,721
First Community Bancshares, Inc.		4,629		64,806
First Financial Bancorp		16,032		267,574
First Financial Bankshares, Inc.		8,634		297,441
First Financial Corp.		3,154		103,262
First Interstate Bancsystem, Inc.		3,667		54,052
First Merchants Corp.		7,293		65,199
First Midwest Bancorp, Inc.		20,437		251,171
The First of Long Island Corp.		2,056		57,342
FirstMerit Corp.		29,543		487,755
German American Bancorp, Inc.		3,849		63,816
Glacier Bancorp, Inc.		19,581		263,952
Hampton Roads Bankshares, Inc. (a)		2,370		23,463
Hancock Holding Co.		13,890		430,312
Heartland Financial USA, Inc.		3,822		55,610
Heritage Commerce Corp. (a)		4,119		21,048
Home Bancshares, Inc.		6,200		146,568
Hudson Valley Holding Corp.		3,811		73,590
IBERIABANK Corp.		7,301		420,830
Independent Bank Corp.		5,961		156,476
International Bancshares Corp.		14,326		239,674
Investors Bancorp, Inc. (a)		12,864		182,669
Lakeland Bancorp, Inc.		6,471		64,581
Lakeland Financial Corp.		4,629		103,042
MB Financial, Inc.		14,727		283,347

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Banks: Diversified (continued)
MainSource Financial Group, Inc.		5,643	$	46,837
Merchants Bancshares, Inc.		1,496		36,607
Meridian Interstate Bancorp, Inc. (a)		3,162		43,288
Metro Bancorp, Inc. (a)		4,106		46,891
Midsouth Bancorp, Inc.		2,518		34,320
NBT Bancorp, Inc.		9,604		212,537
Nara Bancorp, Inc. (a)		10,967		89,162
National Bankshares, Inc.		2,049		51,307
National Penn Bancshares, Inc.		33,767		267,772
Old National Bancorp		25,845		279,126
Oriental Financial Group		12,461		160,622
Orrstown Financial Service, Inc.		2,049		53,909
Pacific Capital Bancorp NA (a)		855		27,180
Pacific Continental Corp.		5,680		51,972
PacWest Bancorp		8,328		171,307
Park National Corp.		3,445		226,888
Park Sterling Corp. (a)		5,922		29,373
Penns Woods Bancorp, Inc.		1,246		42,813
Peoples Bancorp, Inc.		3,241		36,526
Pinnacle Financial Partners, Inc. (a)		9,462		147,229
PrivateBancorp, Inc.		15,878		219,116
Prosperity Bancshares, Inc.		12,634		553,622
Provident Financial Services, Inc.		16,516		236,509
Renasant Corp.		7,072		102,473
Republic Bancorp, Inc., Class A		2,764		55,004
Rockville Financial, Inc.		7,000		69,300
Roma Financial Corp.		2,724		28,602
S&T Bancorp, Inc.		7,103		132,045
SCBT Financial Corp.		3,923		112,512
SVB Financial Group (a)		11,515		687,561
SY Bancorp, Inc.		3,458		80,398
Sandy Spring Bancorp, Inc.		6,837		122,998
Seacoast Banking Corp. of Florida (a)		15,334		23,001
Sierra Bancorp		3,790		42,903
Signature Bank (a)		11,183		639,668
Simmons First National Corp., Class A		4,786		122,809
Southside Bancshares, Inc.		4,825		95,776
Southwest Bancorp, Inc. (a)		5,646		55,274
State Bancorp, Inc.		4,485		59,830
State Bank Financial Corp. (a)		7,713		126,262
StellarOne Corp.		6,719		81,367
Sterling Bancorp		8,837		83,863
Sterling Bancshares, Inc.		26,822		218,867
Sterling Financial Corp. (a)		6,627		106,496
Suffolk Bancorp		2,844		39,702
Sun Bancorp, Inc. (a)		8,103		29,576
Susquehanna Bancshares, Inc.		35,287		282,296
Taylor Capital Group, Inc. (a)		3,636		29,670
Texas Capital Bancshares, Inc. (a)		10,186		263,104
Tompkins Trustco, Inc.		2,287		89,742
Tower Bancorp, Inc.		2,849		78,063
Towne Bank (b)		6,843		91,559
Trico Bancshares		4,283		62,532
TrustCo Bank Corp. NY		22,101		108,295
Trustmark Corp.		17,294		404,853
UMB Financial Corp.		8,622		361,089
Umpqua Holdings Corp.		31,077		359,561
Union First Market Bankshares Corp.		5,200		63,336
United Bankshares, Inc. (b)		10,792		264,188
United Community Banks, Inc. (a)		5,281		55,767
Univest Corp. of Pennsylvania		4,951		77,384
Virginia Commerce Bancorp (a)		6,627		39,166
Washington Banking Co.		4,451		58,842
Washington Trust Bancorp, Inc.		4,107		94,338
Webster Financial Corp.		19,407		407,935
WesBanco, Inc.		6,486		127,515
West Bancorp., Inc.		4,940		43,521
West Coast Bancorp (a)		5,344		89,565
Westamerica Bancorp.		7,810		384,642
Western Alliance Bancorp (a)		18,707		132,820
Wilshire Bancorp, Inc. (a)		14,593		42,903
Wintrust Financial Corp.		9,492		305,453

				19,280,960

Banks: Savings, Thrift & Mortgage Lending — 0.9%
Abington Bancorp, Inc.		6,208		64,749
Astoria Financial Corp.		23,576		301,537
Bank Mutual Corp.		13,869		50,899
BankFinancial Corp.		6,267		53,081
Beneficial Mutual Bancorp, Inc. (a)		9,905		81,370
Berkshire Hills Bancorp, Inc.		4,767		106,733
BofI Holding, Inc. (a)		2,132		30,722
Brookline Bancorp, Inc.		9,760		90,475
Charter Financial Corp.		489		4,841
Clifton Savings Bancorp, Inc.		694		7,662
Dime Community Bancshares, Inc.		7,889		114,706
Doral Financial Corp. (a)		31,668		62,069
ESB Financial Corp.		3,459		44,690
ESSA Bancorp, Inc.		3,914		48,612
First Defiance Financial Corp. (a)		1,611		23,666
First Financial Holdings, Inc.		4,812		43,164
First Pactrust Bancorp, Inc.		1,584		23,538
Flagstar BanCorp., Inc. (a)		48,236		57,401
Flushing Financial Corp.		8,758		113,854
Fox Chase BanCorp., Inc.		3,035		41,124
Franklin Financial Corp. (a)		3,109		37,495
Great Southern Bancorp, Inc.		3,047		57,741
Heritage Financial Corp.		4,091		52,897
Home Federal Bancorp, Inc.		4,988		54,818
Kearny Financial Corp.		4,784		43,582
Northfield Bancorp, Inc.		5,193		73,014
Northwest Bancshares, Inc.		29,109		366,191
OceanFirst Financial Corp.		4,430		57,369
Ocwen Financial Corp. (a)		20,184		257,548
OmniAmerican Bancorp, Inc. (a)		3,649		54,626
Oritani Financial Corp.		15,699		200,790
Provident New York Bancorp		11,221		93,808
Territorial BanCorp., Inc.		3,645		75,524
United Financial Bancorp, Inc.		5,010		77,304
ViewPoint Financial Group		8,639		119,218
WSFS Financial Corp.		1,663		65,938
Westfield Financial, Inc.		8,729		70,879

				3,123,635

Beverage: Brewers & Distillers — 0.1%
Boston Beer Co., Inc., Class A (a)		2,251		201,690
Central European Distribution Corp. (a)		19,131		214,267
Craft Brewers Alliance, Inc. (a)		1,996		17,185

				433,142

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Beverage: Soft Drinks — 0.2%
Coca-Cola Bottling Co. Consolidated		1,190	$	80,515
Farmer Bros. Co.		2,067		20,959
Heckmann Corp. (a)		25,335		153,024
National Beverage Corp.		3,398		49,781
Peet’s Coffee & Tea, Inc. (a)		3,389		195,545
Primo Water Corp. (a)		2,961		42,609

				542,433

Biotechnology — 3.4%
AMAG Pharmaceuticals, Inc. (a)		5,803		109,096
AVEO Pharmaceuticals, Inc. (a)		7,022		144,723
AVI BioPharma, Inc. (a)		39,313		56,218
Accelrys, Inc. (a)		15,273		108,591
Acorda Therapeutics, Inc. (a)		10,628		343,391
Aegerion Pharmaceuticals, Inc. (a)		1,849		29,122
Affymax, Inc. (a)		9,002		61,844
Albany Molecular Research, Inc. (a)		6,376		30,669
Alimera Sciences, Inc. (a)		2,430		19,804
Allos Therapeutics, Inc. (a)		21,828		46,712
Alnylam Pharmaceuticals, Inc. (a)		10,131		94,927
Amicus Therapeutics, Inc. (a)		3,373		20,036
Anthera Pharmaceuticals, Inc. (a)		4,257		34,780
Arena Pharmaceuticals, Inc. (a)		37,319		50,754
Ariad Pharmaceuticals, Inc. (a)		35,351		400,527
Arqule, Inc. (a)		14,622		91,387
Array Biopharma, Inc. (a)		16,290		36,490
BG Medicine, Inc. (a)		1,060		8,438
BioMimetic Therapeutics, Inc. (a)		5,718		29,276
Biosante Pharmaceuticals, Inc. (a)(b)		25,625		70,469
Biotime, Inc. (a)		6,846		35,120
Cell Therapeutics, Inc. (a)		43,752		68,909
Celldex Therapeutics, Inc. (a)		12,912		45,838
Cepheid, Inc. (a)		16,573		574,089
Chelsea Therapeutics International, Inc. (a)		13,894		70,859
Codexis, Inc. (a)		6,010		57,876
Complete Genomics, Inc. (a)		2,521		38,521
Cornerstone Therapeutics, Inc. (a)		1,104		9,892
Cubist Pharmaceuticals, Inc. (a)		16,090		579,079
Curis, Inc. (a)(b)		21,225		75,985
Cytori Therapeutics, Inc. (a)(b)		13,213		63,290
Dyax Corp. (a)		28,498		56,426
Dynavax Technologies Corp. (a)		31,052		85,393
Emergent Biosolutions, Inc. (a)		6,359		143,395
Enzo Biochem, Inc. (a)		10,078		42,831
Enzon Pharmaceuticals, Inc. (a)		11,465		115,223
Exact Sciences Corp. (a)		13,882		119,385
Exelixis, Inc. (a)		34,569		309,738
Furiex Pharmaceuticals, Inc. (a)		2,802		49,848
GTx, Inc. (a)		4,103		19,653
Genomic Health, Inc. (a)		4,445		124,060
Geron Corp. (a)		35,103		140,763
Halozyme Therapeutics, Inc. (a)		22,365		154,542
Harvard Bioscience, Inc. (a)		4,524		24,113
Idenix Pharmaceuticals, Inc. (a)		14,338		71,690
ImmunoGen, Inc. (a)		20,376		248,383
Immunomedics, Inc. (a)(b)		18,824		76,614
Incyte Corp. (a)		23,861		451,927
Inhibitex, Inc. (a)		17,195		67,404
Insmed, Inc. (a)		6,241		74,830
InterMune, Inc. (a)		13,182		472,575
Kensey Nash Corp. (a)		2,151		54,270
Keryx Biopharmaceuticals, Inc. (a)		18,216		86,162
Lexicon Genetics, Inc. (a)		48,686		85,687
Ligand Pharmaceuticals, Inc. (a)		5,493		65,641
MannKind Corp. (a)(b)		20,738		78,804
Maxygen, Inc.		8,508		46,539
Medivation, Inc. (a)		8,557		183,377
Metabolix, Inc. (a)		9,515		67,937
Micromet, Inc. (a)		25,063		143,862
Momenta Pharmaceuticals, Inc. (a)		12,361		240,545
NPS Pharmaceuticals, Inc. (a)		23,393		221,064
Nabi Biopharmaceuticals (a)		12,076		64,969
Nektar Therapeutics (a)		31,085		225,988
Neurocrine Biosciences, Inc. (a)		13,520		108,836
Novavax, Inc. (a)(b)		27,072		54,685
Nymox Pharmaceutical Corp. (a)		4,339		36,231
OncoGenex Pharmaceutical, Inc. (a)		2,335		39,765
Oncothyreon, Inc. (a)		10,931		100,456
Onyx Pharmaceuticals, Inc. (a)		17,059		602,183
Opko Health, Inc. (a)		28,642		105,689
Orexigen Therapeutics, Inc. (a)		9,144		14,539
Osiris Therapeutics, Inc. (a)		4,831		37,392
PDL BioPharma, Inc.		37,771		221,716
Pacific Biosciences of California, Inc. (a)		8,652		101,228
Peregrine Pharmaceuticals, Inc. (a)(b)		18,905		35,163
PharmAthene, Inc. (a)		8,935		26,269
Progenics Pharmaceuticals, Inc. (a)(b)		8,143		58,467
RTI Biologics, Inc. (a)		15,457		41,888
Raptor Pharmaceutical Corp. (a)		8,247		51,049
Rigel Pharmaceuticals, Inc. (a)		18,171		166,628
Sangamo Biosciences, Inc. (a)(b)		14,117		83,149
Savient Pharmaceuticals, Inc. (a)(b)		19,297		144,535
Seattle Genetics, Inc. (a)		25,937		532,227
Sequenom, Inc. (a)		26,914		203,201
Sucampo Pharmaceuticals, Inc., Class A (a)		1,820		7,462
Sunesis Pharmaceuticals, Inc. (a)		6,815		14,243
Synta Pharmaceuticals Corp. (a)		5,270		26,508
Targacept, Inc. (a)		7,465		157,288
Theravance, Inc. (a)		18,474		410,308
Transcept Pharmaceuticals, Inc. (a)		1,061		11,618
Trius Therapeutics, Inc. (a)		1,279		10,130
Vanda Pharmaceuticals, Inc. (a)		7,715		55,085
ViroPharma, Inc. (a)		20,464		378,584
ZIOPHARM Oncology, Inc. (a)(b)		16,244		99,413
Zalicus, Inc. (a)(b)		20,887		49,711

				11,805,996

Building Materials — 0.8%
Acuity Brands, Inc.		11,641		649,335
Ameron International Corp.		2,472		162,361
Builders FirstSource, Inc. (a)		13,105		28,176
Gibraltar Industries, Inc. (a)		8,426		95,382
Griffon Corp. (a)		12,864		129,669
Headwaters, Inc. (a)		16,571		51,867
LSI Industries, Inc.		5,576		44,274
Louisiana-Pacific Corp. (a)		35,138		286,023
NCI Building Systems, Inc. (a)		5,541		63,112
Quanex Building Products Corp.		10,306		168,915
Simpson Manufacturing Co., Inc.		10,964		327,495
Texas Industries, Inc.		6,040		251,445
Trex Co., Inc. (a)		4,266		104,432
Watsco, Inc.		7,550		513,325

				2,875,811

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks		Shares		Value

Building: Climate Control — 0.1%
Aaon, Inc.			5,236	$	114,343
Comfort Systems USA, Inc.			10,442		110,790
Interline Brands, Inc. (a)			9,043		166,120

					391,253

Building: Roofing, Wallboard & Plumbing — 0.2%
Beacon Roofing Supply, Inc. (a)			12,373		282,352
USG Corp. (a)			18,904		271,083

					553,435

Cable Television Services — 0.0%
Knology, Inc. (a)			8,422		125,067

Casinos & Gambling — 0.3%
Ameristar Casinos, Inc.			8,401		199,188
Boyd Gaming Corp. (a)			14,686		127,768
Isle of Capri Casinos, Inc. (a)			5,689		50,348
Monarch Casino & Resort, Inc. (a)			2,544		26,559
Multimedia Games Holdings Co., Inc. (a)			8,136		37,019
Pinnacle Entertainment, Inc. (a)			16,709		248,964
Scientific Games Corp., Class A (a)			16,014		165,585
Shuffle Master, Inc. (a)			14,795		138,407

					993,838

Cement — 0.1%
Eagle Materials, Inc.			11,524		321,174

Chemicals: Diversified — 1.0%
Aceto Corp.			7,511		50,399
American Vanguard Corp.			5,721		74,201
Arch Chemicals, Inc.			6,107		210,325
Chemtura Corp. (a)			25,516		464,391
Georgia Gulf Corp. (a)			9,146		220,784
Hawkins, Inc.			2,391		86,602
Innophos Holdings, Inc.			5,852		285,578
KMG Chemicals, Inc.			1,885		31,743
LSB Industries, Inc. (a)			4,917		211,038
Landec Corp. (a)			7,596		50,134
OM Group, Inc. (a)			8,321		338,166
Olin Corp.	��		21,400		484,924
Omnova Solutions, Inc. (a)			12,243		85,211
PolyOne Corp.			25,165		389,303
Sensient Technologies Corp.			13,444		498,369
TPC Group, Inc. (a)			3,441		134,956

					3,616,124

Chemicals: Specialty — 0.6%
Balchem Corp.			7,783		340,740
Calgon Carbon Corp. (a)			15,316		260,372
FutureFuel Corp.			5,010		60,671
Innospec, Inc. (a)			6,226		209,256
Kraton Performance Polymers, Inc. (a)			8,482		332,240
NewMarket Corp.			2,430		414,825
Quaker Chemical Corp.			3,457		148,685
Senomyx, Inc. (a)			11,358		58,380
Stepan Co.			2,149		152,364
Zep, Inc.			6,104		115,366

					2,092,899

Coal — 0.3%
Cloud Peak Energy, Inc. (a)			16,146		343,910
Hallador Energy Co.			372		3,567
James River Coal Co. (a)			9,624		200,372
L&L Energy, Inc. (a)(b)			5,371		27,553
Patriot Coal Corp. (a)			24,478		544,880
Westmoreland Coal Co. (a)			2,280		40,470

					1,160,752

Commercial Finance & Mortgage Companies — 0.1%
Federal Agricultural Mortgage Corp., Class B			2,693		59,569
Medallion Financial Corp.			4,808		46,878
NewStar Financial, Inc. (a)			7,694		82,172
Walker & Dunlop, Inc. (a)			2,399		31,907

					220,526

Commercial Services: Rental & Leasing — 0.6%
Aircastle Ltd.			15,095		192,008
CAI International, Inc. (a)			3,241		66,959
Electro Rent Corp.			4,726		80,909
Essex Rental Corp. (a)			3,056		20,139
H&E Equipment Services, Inc. (a)			7,856		109,905
Marlin Business Services, Inc. (a)			2,680		33,902
McGrath RentCorp			6,545		183,784
Mobile Mini, Inc. (a)			10,105		214,125
PHH Corp. (a)			15,098		309,811
RSC Holdings, Inc. (a)			17,954		214,730
SeaCube Container Leasing Ltd.			3,035		52,141
TAL International Group, Inc.			5,284		182,457
United Rentals, Inc. (a)			16,720		424,688

					2,085,558

Commercial Vehicles & Parts — 0.3%
Accuride Corp. (a)			10,453		132,021
Commercial Vehicle Group, Inc. (a)			7,593		107,745
Force Protection, Inc. (a)			19,298		95,815
Miller Industries, Inc.			2,893		54,070
Modine Manufacturing Co. (a)			12,653		194,477
Rush Enterprises, Inc., Class A (a)			8,812		167,692
Spartan Motors, Inc.			9,496		51,278
Wabash National Corp. (a)			18,606		174,338

					977,436

Communications Technology — 2.5%
AboveNet, Inc.			6,259		441,009
Adtran, Inc.			17,288		669,218
Anaren, Inc. (a)			4,253		90,376
Anixter International, Inc.			7,726		504,817
Aruba Networks, Inc. (a)			22,962		678,527
Aviat Networks, Inc. (a)			16,926		66,688
Bel Fuse, Inc.			2,946		63,899
BigBand Networks, Inc. (a)			13,823		29,996
Black Box Corp.			4,780		149,471
Calix, Inc. (a)			9,908		206,285
Comtech Telecommunications Corp.			7,218		202,393
Dialogic, Inc. (a)			3,009		13,540
Digi International, Inc. (a)			7,032		91,416
DigitalGlobe, Inc. (a)			9,285		235,932
EMS Technologies, Inc. (a)			4,182		137,881
Echelon Corp. (a)			9,348		84,973
Emulex Corp. (a)			23,752		204,267
Extreme Networks, Inc. (a)			25,983		84,185
Finisar Corp. (a)			24,130		435,064
GSI Technology, Inc. (a)			5,695		41,004
GeoEye, Inc. (a)			6,048		226,195
Globecomm Systems, Inc. (a)			6,049		94,122
Harmonic, Inc. (a)			31,341		226,595

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Communications Technology (concluded)
Infinera Corp. (a)		27,610	$	190,785
InterDigital, Inc.		12,156		496,573
Ixia (a)		10,177		130,266
KVH Industries, Inc. (a)		4,202		44,667
Loral Space & Communications Ltd. (a)		2,966		206,048
Meru Networks, Inc. (a)		2,602		31,250
NETGEAR, Inc. (a)		9,771		427,188
NeoPhotonics Corp. (a)		1,882		13,023
Novatel Wireless, Inc. (a)		9,082		49,769
Numerex Corp. (a)		1,631		15,870
Oclaro, Inc. (a)		13,558		91,110
Oplink Communications, Inc. (a)		5,598		104,291
Plantronics, Inc.		12,934		472,479
Procera Networks, Inc. (a)		2,900		31,117
SeaChange International, Inc. (a)		7,519		81,055
Shoretel, Inc. (a)		12,552		128,030
Sonus Networks, Inc. (a)		57,223		185,403
Sycamore Networks, Inc.		5,416		120,452
Tekelec (a)		16,747		152,900
TeleNav, Inc. (a)		4,219		74,803
Viasat, Inc. (a)(b)		9,674		418,594
Westell Technologies, Inc., Class A (a)		12,712		45,382

				8,488,908

Computer Services Software & Systems — 6.5%
ACI Worldwide, Inc. (a)(c)		9,084		306,767
The Active Network, Inc. (a)		3,078		54,173
Actuate Corp. (a)		10,545		61,688
Acxiom Corp. (a)		21,406		280,633
American Reprographics Co. (a)		10,530		74,447
American Software, Class A		6,755		56,134
Aspen Technology, Inc. (a)		22,582		387,959
Avid Technology, Inc. (a)		8,040		151,474
Blackbaud, Inc.		12,068		334,525
Blackboard, Inc. (a)		9,444		409,775
Blue Coat Systems, Inc. (a)		11,599		253,554
Bottomline Technologies, Inc. (a)		9,188		227,035
BroadSoft, Inc. (a)		6,042		230,381
CACI International, Inc., Class A (a)		8,102		511,074
CSG Systems International, Inc. (a)		9,366		173,084
Callidus Software, Inc. (a)		7,445		43,553
Ciber, Inc. (a)		17,831		98,962
CommVault Systems, Inc. (a)		11,879		528,022
Computer Task Group, Inc. (a)		4,331		57,039
ComScore, Inc. (a)		8,451		218,881
Concur Technologies, Inc. (a)		11,967		599,188
Convio, Inc. (a)		2,759		29,825
Cornerstone OnDemand, Inc. (a)		2,798		49,385
DealerTrack Holdings, Inc. (a)		11,127		255,365
Deltek, Inc. (a)		6,038		45,225
Demand Media, Inc. (a)		1,921		26,030
DemandTec, Inc. (a)		8,347		75,958
Digimarc Corp. (a)		1,858		65,086
Digital River, Inc. (a)		10,708		344,369
DynaVox, Inc., Class A (a)		2,910		22,116
EPIQ Systems, Inc.		8,801		125,150
EarthLink, Inc.		30,033		231,104
Ebix, Inc. (a)		8,266		157,467
Envestnet, Inc. (a)		4,672		69,379
ePlus, Inc. (a)		660		17,450
FalconStor Software, Inc. (a)		6,684		29,944
FriendFinder Networks, Inc. (a)		1,161		4,714
Guidance Software, Inc. (a)		2,655		21,638
Hypercom Corp. (a)		14,639		143,901
ICG Group, Inc. (a)		10,220		124,991
iGate Corp.		8,116		132,453
Infospace, Inc. (a)		10,197		92,997
Integral Systems, Inc. (a)		4,592		55,885
Interactive Intelligence, Inc. (a)		3,939		138,062
interCLICK, Inc. (a)		5,007		39,856
Internap Network Services Corp. (a)		14,587		107,214
IntraLinks Holdings, Inc. (a)		8,519		147,208
JDA Software Group, Inc. (a)		11,466		354,185
KIT Digital, Inc. (a)		9,417		112,439
Kenexa Corp. (a)		7,213		172,968
Keynote Systems, Inc.		3,996		86,433
The Keyw Holding Corp. (a)		4,269		52,893
Lawson Software, Inc. (a)		43,875		492,277
Limelight Networks, Inc. (a)		17,863		81,455
Lionbridge Technologies, Inc. (a)		17,116		54,429
LivePerson, Inc. (a)		14,035		198,455
LogMeIn, Inc. (a)		5,461		210,631
Magma Design Automation, Inc. (a)		18,292		146,153
Manhattan Associates, Inc. (a)		5,958		205,194
Mantech International Corp., Class A		6,157		273,494
Mediamind Technologies, Inc. (a)		1,984		43,529
Mentor Graphics Corp. (a)		26,093		334,251
Mercury Computer Systems, Inc. (a)		8,174		152,690
MicroStrategy, Inc., Class A (a)		2,163		351,877
Moduslink Global Solutions, Inc.		12,361		55,377
Monotype Imaging Holdings, Inc. (a)		9,334		131,889
Motricity, Inc. (a)		9,654		74,625
NCI, Inc., Class A (a)		1,954		44,395
NIC, Inc.		16,893		227,380
Ness Technologies, Inc. (a)		8,137		61,597
NetScout Systems, Inc. (a)		9,921		207,250
NetSuite, Inc. (a)		7,286		285,611
OpenTable, Inc. (a)		6,329		526,066
Openwave Systems, Inc. (a)		23,444		53,687
Opnet Technologies, Inc.		3,845		157,414
PDF Solutions, Inc. (a)		6,633		39,533
PROS Holdings, Inc. (a)		5,716		99,973
Parametric Technology Corp. (a)		32,068		735,319
Pegasystems, Inc.		4,542		211,430
Perficient, Inc. (a)		6,418		65,849
Progress Software Corp. (a)		18,081		436,295
QAD, Inc. (a)		1,104		11,283
QLIK Technologies, Inc. (a)		18,810		640,669
Quepasa Corp. (a)		1,781		12,912
Quest Software, Inc. (a)		16,381		372,340
Radiant Systems, Inc. (a)		10,668		222,961
RealNetworks, Inc. (a)		23,280		79,152
RealPage, Inc. (a)		8,033		212,633
Responsys, Inc. (a)		2,322		41,169
RightNow Technologies, Inc. (a)		6,619		214,456
SAVVIS, Inc. (a)		12,106		478,550
SPS Commerce, Inc. (a)		1,878		33,410
SRA International, Inc., Class A (a)		12,156		375,863
SS&C Technologies Holdings, Inc. (a)		6,404		127,247
SYNNEX Corp. (a)		6,560		207,952
Saba Software, Inc. (a)		8,157		73,658
Sapient Corp. (a)		29,182		438,605
SciQuest, Inc. (a)		3,002		51,304

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Computer Services Software & Systems (concluded)
Smith Micro Software, Inc. (a)		9,525	$	40,100
SolarWinds, Inc. (a)		15,214		397,694
Sourcefire, Inc. (a)		7,715		229,290
SuccessFactors, Inc. (a)		21,210		623,574
Support.com, Inc. (a)		13,789		66,187
Synchronoss Technologies, Inc. (a)		7,087		224,870
Syntel, Inc.		4,083		241,387
TNS, Inc. (a)		7,016		116,466
Taleo Corp., Class A (a)		11,049		409,144
TechTarget, Inc. (a)		2,835		21,461
TeleCommunication Systems, Inc., Class A (a)		12,857		62,099
Tyler Technologies, Inc. (a)		8,516		228,058
Ultimate Software Group, Inc. (a)		7,018		381,990
Unisys Corp. (a)		11,600		298,120
United Online, Inc.		24,122		145,456
VASCO Data Security International, Inc. (a)		7,459		92,865
Verint Systems, Inc. (a)		5,569		206,276
VirnetX Holding Corp. (a)(b)		10,953		316,980
Virtusa Corp. (a)		4,009		75,971
Wave Systems Corp., Class A (b)		23,163		65,320
Web.Com Group, Inc. (a)		7,543		92,930
Websense, Inc. (a)		10,820		280,995
Zix Corp. (a)		17,863		68,594

				22,628,154

Computer Technology — 0.6%
Cray, Inc. (a)		10,372		66,381
Dot Hill Systems Corp. (a)		12,720		36,125
Dynamics Research Corp. (a)		1,735		23,665
Identive Group, Inc. (a)		9,543		22,140
Imation Corp. (a)		8,404		79,334
Immersion Corp. (a)		8,029		68,487
Insight Enterprises, Inc. (a)		12,616		223,429
Intermec, Inc. (a)		15,344		169,398
OCZ Technology Group, Inc. (a)		13,659		109,272
PC Connection, Inc. (a)		1,482		12,271
Quantum Corp. (a)		61,073		201,541
Radisys Corp. (a)		5,982		43,609
Rimage Corp.		2,682		36,019
STEC, Inc. (a)		11,125		189,236
Safeguard Scientifics, Inc. (a)		5,697		107,559
Silicon Graphics International Corp. (a)		8,429		144,979
Stratasys, Inc. (a)		5,682		191,484
Super Micro Computer, Inc. (a)		7,325		117,859
Synaptics, Inc. (a)		9,253		238,172
Xyratex Ltd. (a)		8,270		84,850

				2,165,810

Construction — 0.4%
EMCOR Group, Inc. (a)		17,967		526,613
Granite Construction, Inc.		10,133		248,563
Great Lakes Dredge & Dock Corp.		16,029		89,442
Insituform Technologies, Inc., Class A (a)		10,662		223,582
Orion Marine Group, Inc. (a)		7,403		69,662
Primoris Services Corp.		6,851		88,378
Sterling Construction Co., Inc. (a)		4,620		63,617
Tutor Perini Corp.		8,123		155,799

				1,465,656

Consumer Electronics — 0.3%
Audiovox Corp., Class A (a)		5,250		39,690
RealD, Inc. (a)		10,391		243,045
TiVo, Inc. (a)		32,258		331,935
Universal Electronics, Inc. (a)		3,832		96,796
XO Group, Inc. (a)		8,405		83,630
Zagg, Inc. (a)		5,330		71,422

				866,518

Consumer Lending — 1.0%
Advance America, Cash Advance Centers, Inc.		15,111		104,115
Cash America International, Inc.		7,922		458,446
Credit Acceptance Corp. (a)		1,757		148,414
Dollar Financial Corp. (a)		11,847		256,488
Encore Capital Group, Inc. (a)		4,273		131,267
Ezcorp, Inc. (a)		12,695		451,625
First Cash Financial Services, Inc. (a)		8,457		355,109
The First Marblehead Corp. (a)		16,614		29,407
Imperial Holdings, Inc. (a)		4,178		42,448
MGIC Investment Corp. (a)		50,699		301,659
MoneyGram International, Inc. (a)		23,057		76,549
Nelnet, Inc., Class A		6,998		154,376
Netspend Holdings, Inc. (a)		8,273		82,730
Nicholas Financial, Inc. (a)		1,952		23,190
Portfolio Recovery Associates, Inc. (a)		4,617		391,475
World Acceptance Corp. (a)		4,292		281,426

				3,288,724

Consumer Services: Miscellaneous — 0.6%
Ancestry.com, Inc. (a)		8,480		350,987
Coinstar, Inc. (a)(b)		8,430		459,772
Core-Mark Holdings Co., Inc. (a)		3,079		109,921
Move, Inc. (a)		43,920		96,185
NutriSystem, Inc.		7,334		103,116
Pre-Paid Legal Services, Inc. (a)		2,021		134,376
Sotheby’s Holdings, Inc., Class A		18,157		789,830
Steiner Leisure Ltd. (a)		4,090		186,831

				2,231,018

Containers & Packaging — 0.2%
AEP Industries, Inc. (a)		1,326		38,706
Graham Packaging Co., Inc. (a)		6,456		162,820
Graphic Packaging Holding Co. (a)		41,985		228,399
Myers Industries, Inc.		8,907		91,564

				521,489

Copper — 0.0%
Revett Minerals, Inc. (a)		5,138		23,172

Cosmetics — 0.1%
Elizabeth Arden, Inc. (a)		6,658		193,282
Inter Parfums, Inc.		4,083		94,031
Revlon, Inc., Class A (a)		3,144		52,819

				340,132

Diversified Financial Services — 0.4%
Duff & Phelps Corp.		7,861		100,857
Edelman Financial Group, Inc.		5,939		46,859
Evercore Partners, Inc., Class A		5,164		172,065
FBR Capital Markets Corp. (a)		14,783		50,262
Gleacher & Co, Inc. (a)		22,034		44,949
Intersections, Inc.		2,185		39,767
Main Street Capital Corp.		5,360		101,572

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Diversified Financial Services (concluded)
Piper Jaffray Cos. (a)		4,267	$	122,932
Stifel Financial Corp. (a)		14,369		515,272
Triangle Capital Corp.		5,331		98,410

				1,292,945

Diversified Manufacturing Operations — 0.4%
A.M. Castle & Co. (a)		4,604		76,473
Barnes Group, Inc.		14,377		356,693
Federal Signal Corp.		17,281		113,363
Lydall, Inc. (a)		4,920		58,843
OSI Systems, Inc. (a)		4,992		214,656
Raven Industries, Inc.		4,777		266,127
Standex International Corp.		3,346		102,622
Trimas Corp. (a)		6,699		165,800

				1,354,577

Diversified Materials & Processing — 0.7%
Belden, Inc.		12,742		444,186
Cabot Microelectronics Corp. (a)		6,325		293,923
Clarcor, Inc.		13,522		639,320
Encore Wire Corp.		5,028		121,778
Harbinger Group, Inc. (a)		1,447		8,841
Hexcel Corp. (a)		26,342		576,626
Insteel Industries, Inc.		4,829		60,556
Koppers Holdings, Inc.		5,586		211,877
NL Industries, Inc.		1,320		24,235
Tredegar Corp.		6,573		120,615
Uranium Energy Corp. (a)(b)		18,856		57,699

				2,559,656

Diversified Media — 0.1%
Belo Corp., Class A (a)		25,223		189,929
EW Scripps Co. (a)		9,334		90,260

				280,189

Diversified Retail — 0.5%
99 Cents Only Stores (a)		12,579		254,599
The Bon-Ton Stores, Inc.		3,419		33,233
Fred’s, Inc.		10,687		154,213
Geeknet, Inc. (a)		1,036		27,682
Gordmans Stores, Inc. (a)		1,272		22,120
HSN, Inc. (a)		10,728		353,166
Overstock.com, Inc. (a)		3,371		51,306
PriceSmart, Inc.		4,779		244,828
Saks, Inc. (a)		31,228		348,817
Tuesday Morning Corp. (a)		10,449		48,588
ValueVision Media, Inc., Class A (a)		10,652		81,488
Winmark Corp.		428		18,545

				1,638,585

Drug & Grocery Store Chains — 0.7%
Arden Group, Inc., Class A		378		34,783
Casey’s General Stores, Inc.		10,199		448,756
The Fresh Market, Inc. (a)		7,461		288,591
GNC Holdings, Inc. (a)		5,837		127,305
Ingles Markets, Inc., Class A		3,600		59,580
Nash Finch Co.		3,265		116,920
The Pantry, Inc. (a)		6,300		118,377
PetMed Express, Inc.		5,995		71,041
Rite Aid Corp. (a)		159,370		211,962
Ruddick Corp.		13,003		566,151
Spartan Stores, Inc.		6,113		119,387
Susser Holdings Corp. (a)		1,549		24,350
Village Super Market, Inc., Class A		1,694		46,941
Weis Markets, Inc.		2,982		121,457
Winn-Dixie Stores, Inc. (a)		15,267		129,006

				2,484,607

Education Services — 0.6%
Ambassadors Group, Inc.		5,130		45,298
American Public Education, Inc. (a)		4,880		217,209
Archipelago Learning, Inc. (a)(b)		3,904		38,493
Bridgepoint Education, Inc. (a)(b)		4,854		121,350
Cambium Learning Group, Inc. (a)		1,353		4,560
Capella Education Co. (a)		4,246		177,695
Corinthian Colleges, Inc. (a)		21,058		89,707
Franklin Covey Co. (a)		4,231		40,956
Grand Canyon Education, Inc. (a)		7,828		111,001
HealthStream, Inc. (a)		3,767		49,988
K12, Inc. (a)		7,016		232,510
Lincoln Educational Services Corp.		5,608		96,177
National American University Holdings, Inc.		1,167		10,982
Renaissance Learning, Inc.		3,699		46,386
Rosetta Stone, Inc. (a)(b)		3,028		48,872
School Specialty, Inc. (a)		4,606		66,280
Strayer Education, Inc.		3,217		406,597
Universal Technical Institute, Inc.		5,742		113,519

				1,917,580

Electronic Components — 0.8%
3D Systems Corp. (a)		11,243		221,599
Acacia Research — Acacia Technologies (a)		11,503		422,045
Checkpoint Systems, Inc. (a)		10,834		193,712
DDi Corp.		4,159		39,677
Kemet Corp. (a)		11,618		166,021
LeCroy Corp. (a)		4,015		48,341
Methode Electronics, Inc.		10,321		119,827
Microvision, Inc. (a)(b)		30,963		37,775
Multi-Fineline Electronix, Inc. (a)		2,482		53,636
NVE Corp. (a)		1,333		77,914
Park Electrochemical Corp.		5,635		157,498
Pulse Electronics Corp.		11,386		50,326
Rogers Corp. (a)		4,316		199,399
ScanSource, Inc. (a)		7,288		273,154
Smart Modular Technologies WWH, Inc. (a)		17,163		157,213
TTM Technologies, Inc. (a)		14,204		227,548
Universal Display Corp. (a)		10,331		362,515
Viasystems Group, Inc. (a)		557		12,527

				2,820,727

Electronic Entertainment — 0.2%
DTS, Inc. (a)		4,748		192,531
Glu Mobile, Inc. (a)		11,158		58,803
THQ, Inc. (a)		18,907		68,443
Take-Two Interactive Software, Inc. (a)		19,523		298,312

				618,089

Electronics — 0.5%
Agilysys, Inc. (a)		4,991		41,625
American Science & Engineering, Inc.		2,453		196,240
Coherent, Inc. (a)		6,760		373,625
Daktronics, Inc.		9,526		102,786
II-VI, Inc. (a)		13,906		355,994
iRobot Corp. (a)		6,314		222,821
Newport Corp. (a)		10,151		184,444

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Electronics (concluded)
Richardson Electronics Ltd.		4,307	$	58,532
Rofin-Sinar Technologies, Inc. (a)		7,675		262,101
SRS Labs, Inc. (a)		3,533		33,881

				1,832,049

Energy Equipment — 0.2%
Capstone Turbine Corp. (a)(b)		68,229		104,390
FuelCell Energy, Inc. (a)(b)		32,271		42,275
GT Solar International, Inc. (a)		33,592		544,190
PowerSecure International, Inc. (a)		5,195		37,508
STR Holdings, Inc. (a)(b)		7,841		116,988

				845,351

Engineering & Contracting Services — 0.5%
Argan, Inc. (a)		1,168		11,843
Dycom Industries, Inc. (a)		9,596		156,799
Exponent, Inc. (a)		3,860		167,949
Furmamite Corp. (a)		10,313		81,885
Hill International, Inc. (a)		7,132		41,080
Layne Christensen Co. (a)		5,323		161,500
MYR Group, Inc. (a)		5,445		127,413
Mastec, Inc. (a)(b)		15,108		297,930
Michael Baker Corp. (a)		2,263		47,794
Mistras Group, Inc. (a)		4,044		65,513
Tetra Tech, Inc. (a)		16,828		378,630
UniTek Global Services, Inc. (a)		2,078		16,437
VSE Corp.		1,088		27,091

				1,581,864

Entertainment — 0.4%
Ascent Media Corp., Class A (a)		4,024		213,151
Cinemark Holdings, Inc.		24,758		512,738
Lions Gate Entertainment Corp. (a)		13,354		88,404
Live Nation Entertainment, Inc. (a)		38,198		438,131
Rentrak Corp. (a)		2,896		51,375
Warner Music Group Corp. (a)		15,437		126,892
World Wrestling Entertainment, Inc.		6,831		65,100

				1,495,791

Environmental, Maintenance, & Security Service — 0.7%
ABM Industries, Inc.		14,271		333,085
The Brink’s Co.		12,550		374,366
G&K Services, Inc., Class A		5,064		171,467
The Geo Group, Inc. (a)		17,275		397,843
Healthcare Services Group, Inc.		18,004		292,565
Mac-Gray Corp.		3,488		53,890
Rollins, Inc.		17,213		350,801
Standard Parking Corp. (a)		4,567		72,935
Swisher Hygiene, Inc. (a)(b)		22,703		127,818
Unifirst Corp.		3,810		214,084

				2,388,854

Fertilizers — 0.0%
Rentech, Inc. (a)		65,704		69,646

Financial Data & Systems — 0.8%
Advent Software, Inc. (a)		8,780		247,333
Cardtronics, Inc. (a)		11,414		267,658
Cass Information Systems, Inc.		2,388		90,171
Euronet Worldwide, Inc. (a)		13,820		212,966
Fair Isaac Corp.		10,770		325,254
Global Cash Access, Inc. (a)		14,592		46,403
Heartland Payment Systems, Inc.		10,421		214,673
Higher One Holdings, Inc. (a)		7,994		151,246
Jack Henry & Associates, Inc.		23,259		698,003
S1 Corp. (a)		14,413		107,809
Wright Express Corp. (a)		10,421		542,621

				2,904,137

Foods — 1.1%
B&G Foods, Inc., Class A		12,996		267,977
Chiquita Brands International, Inc. (a)		12,254		159,547
Diamond Foods, Inc.		5,948		454,070
Dole Food Co., Inc. (a)		9,695		131,076
Hain Celestial Group, Inc. (a)		9,731		324,626
J&J Snack Foods Corp.		3,879		193,368
Lancaster Colony Corp.		5,024		305,560
Lifeway Foods, Inc. (a)		446		4,986
Medifast, Inc. (a)		3,678		87,279
Natures Sunshine Prods, Inc. (a)		2,765		53,862
Nutraceutical International Corp. (a)		2,816		43,310
Omega Protein Corp. (a)		4,841		66,806
Schiff Nutrition International, Inc.		2,168		24,260
Seneca Foods Corp. (a)		2,527		64,641
Smart Balance, Inc. (a)		16,842		87,242
Snyders-Lance, Inc.		12,290		265,833
Synutra International, Inc. (a)(b)		5,080		49,886
Tootsie Roll Industries, Inc.		6,440		188,434
TreeHouse Foods, Inc. (a)		9,548		521,416
United Natural Foods, Inc. (a)		13,007		555,009

				3,849,188

Forest Products — 0.1%
Deltic Timber Corp.		2,902		155,808
Universal Forest Products, Inc.		5,240		125,551

				281,359

Forms & Bulk Printing Services — 0.3%
Consolidated Graphics, Inc. (a)		2,485		136,551
Deluxe Corp.		13,875		342,851
Ennis, Inc.		7,023		122,200
Innerworkings, Inc. (a)		7,131		59,473
M&F Worldwide Corp. (a)		2,775		71,706
Multi-Color Corp.		3,179		78,489
Quad/Graphics, Inc.		6,589		256,049
Schawk, Inc.		3,316		54,913

				1,122,232

Fruit & Grain Processing — 0.0%
MGP Ingredients, Inc.		3,933		34,256

Funeral Parlors & Cemeteries — 0.3%
Hillenbrand, Inc.		16,112		381,049
Matthews International Corp., Class A		7,955		319,393
Stewart Enterprises, Inc., Class A		21,510		157,023

				857,465

Gas Pipeline — 0.1%
Crosstex Energy, Inc.		11,159		132,792
SemGroup Corp. (a)		10,999		282,344

				415,136

Glass — 0.0%
Apogee Enterprises, Inc.		7,663		98,163

Gold — 0.4%
Coeur d’Alene Mines Corp. (a)		24,113		584,981
Gold Resource Corp.		7,526		187,623
Golden Star Resources Ltd. (a)		70,127		154,280

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Gold (concluded)
Jaguar Mining, Inc. (a)(b)		23,399	$	111,847
Midway Gold Corp. (a)		20,031		39,261
US Gold Corp. (a)		28,517		171,958
Vista Gold Corp. (a)		17,880		50,600

				1,300,550

Health Care Facilities — 0.7%
Amsurg Corp. (a)		8,394		219,335
Assisted Living Concepts, Inc.		5,315		89,186
Capital Senior Living Corp. (a)		7,488		69,564
Contiucare Corp. (a)		8,969		55,429
Emeritus Corp. (a)		8,040		170,850
The Ensign Group, Inc.		4,260		129,461
Five Star Quality Care, Inc. (a)		9,107		52,912
Hanger Orthopedic Group, Inc. (a)		8,807		215,507
HealthSouth Corp. (a)		25,653		673,391
Kindred Healthcare, Inc. (a)		13,881		298,033
MedCath Corp. (a)		5,695		77,395
National Healthcare Corp.		2,539		125,858
Select Medical Holdings Corp. (a)		12,326		109,332
Skilled Healthcare Group, Inc., Class A (a)		5,382		50,914
Sunrise Senior Living, Inc. (a)		15,642		149,068
US Physical Therapy, Inc.		3,062		75,723

				2,561,958

Health Care Management Services — 0.9%
American Dental Partners, Inc. (a)		4,452		57,698
Bioscript, Inc. (a)		11,320		73,467
Centene Corp. (a)		13,437		477,417
Computer Programs & Systems, Inc.		2,928		185,869
HealthSpring, Inc. (a)		18,210		839,663
Magellan Health Services, Inc. (a)		8,602		470,873
Metropolitan Health Networks, Inc. (a)		11,309		54,170
Molina Healthcare, Inc. (a)		7,367		199,793
National Research Corp.		247		9,023
Triple-S Management Corp. (a)		5,336		115,951
Universal American Corp.		8,761		95,933
WellCare Health Plans, Inc. (a)		11,443		588,285

				3,168,142

Health Care Services — 1.4%
AMN Healthcare Services, Inc. (a)		10,802		89,873
Accretive Health, Inc. (a)		10,628		305,980
Air Methods Corp. (a)		3,052		228,107
Alliance Healthcare Services, Inc. (a)		7,482		28,432
Almost Family, Inc. (a)		2,291		62,773
Amedisys, Inc. (a)		7,851		209,072
athenahealth, Inc. (a)		9,454		388,559
CardioNet, Inc. (a)		7,353		39,044
Chemed Corp.		5,699		373,399
Chindex International, Inc. (a)		3,438		46,826
Corvel Corp. (a)		1,796		84,232
Cross Country Healthcare, Inc. (a)		8,074		61,362
ePocrates, Inc. (a)		1,539		28,379
ExamWorks Group, Inc. (a)		7,094		180,117
Gentiva Health Services, Inc. (a)		8,243		171,702
HMS Holdings Corp. (a)		7,597		583,981
Healthways, Inc. (a)		9,215		139,884
IPC The Hospitalist Co., Inc. (a)		4,453		206,397
LHC Group, Inc. (a)		4,322		99,665
MWI Veterinary Supply, Inc. (a)		3,420		276,233
Medidata Solutions, Inc. (a)		5,614		134,006
MedQuist Holdings, Inc. (a)		8,021		103,631
Omnicell, Inc. (a)		9,000		140,310
PharMerica Corp. (a)		7,944		101,366
Quality Systems, Inc.		5,218		455,531
Rural/Metro Corp. (a)		5,042		86,924
Sun Healthcare Group, Inc. (a)		6,737		54,031
Team Health Holdings, Inc. (a)		7,012		157,840
Transcend Services, Inc. (a)		2,463		72,388

				4,910,044

Health Care: Miscellaneous — 0.1%
MedAssets, Inc. (a)		12,616		168,550
The Providence Service Corp. (a)		3,678		46,526

				215,076

Home Building — 0.3%
Beazer Homes USA, Inc. (a)		21,063		71,404
Hovnanian Enterprises, Inc., Class A (a)(b)		16,563		39,917
KB Home		20,318		198,710
M/I Homes, Inc. (a)		5,245		64,304
MDC Holdings, Inc.		9,795		241,349
Meritage Homes Corp. (a)		7,638		172,313
Ryland Group, Inc.		12,017		198,641
Standard-Pacific Corp. (a)		28,981		97,086

				1,083,724

Hotel/Motel — 0.2%
Gaylord Entertainment Co. (a)		9,547		286,410
Marcus Corp.		5,693		56,247
Morgans Hotel Group Co. (a)		6,613		47,547
Orient Express Hotels Ltd., Class A (a)		25,972		279,199
Red Lion Hotels Corp. (a)		2,685		21,212

				690,615

Household Appliances — 0.0%
National Presto Industries, Inc.		1,306		132,546

Household Equipment & Products — 0.3%
American Greetings Corp., Class A		10,843		260,666
Blyth, Inc.		1,412		71,094
CSS Industries, Inc.		2,259		47,281
Central Garden & Pet Co., Class A (a)		13,212		134,102
Helen of Troy Ltd. (a)		8,319		287,255
Libbey, Inc. (a)		5,481		88,902
Summer Infant, Inc. (a)		2,504		20,332

				909,632

Household Furnishings — 0.2%
American Woodmark Corp.		2,692		46,626
Ethan Allen Interiors, Inc.		6,576		140,003
Furniture Brands International, Inc. (a)		11,781		48,773
Kirkland’s, Inc. (a)		4,502		54,114
La-Z-Boy, Inc. (a)		14,044		138,614
Lifetime Brands, Inc.		2,733		32,085
Sealy Corp. (a)(b)		14,087		35,640
Select Comfort Corp. (a)		14,979		269,323

				765,178

Insurance: Life — 0.6%
American Equity Investment Life Holding Co.		15,929		202,458
CNO Financial Group, Inc. (a)		59,708		472,290
Citizens, Inc. (a)		11,072		75,511
Delphi Financial Group, Inc., Class A		12,938		377,919
FBL Financial Group, Inc., Class A		3,514		112,975
Independence Holding Co.		1,158		12,090

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Insurance: Life (concluded)
Kansas City Life Insurance Co.		1,200	$	37,380
National Western Life Insurance Co., Class A		590		94,087
The Phoenix Cos., Inc. (a)		31,863		78,383
Presidential Life Corp.		6,050		63,162
Primerica, Inc.		8,729		191,776
Symetra Financial Corp.		16,567		222,495

				1,940,526

Insurance: Multi-Line — 0.5%
Alterra Capital Holdings Ltd.		23,974		534,620
Crawford & Co., Class B		7,318		51,738
eHealth, Inc. (a)		6,016		80,374
Flagstone Reinsurance Holdings SA		13,181		111,116
Fortegra Financial Corp. (a)		703		5,512
Horace Mann Educators Corp.		10,743		167,698
Maiden Holdings Ltd.		13,754		125,161
Pico Holdings, Inc. (a)		6,186		179,394
Platinum Underwriters Holdings Ltd.		9,941		330,439
Primus Guaranty Ltd. (a)		4,664		24,486

				1,610,538

Insurance: Property-Casualty — 1.4%
American Safety Insurance Holdings Ltd. (a)		2,931		56,099
Amerisafe, Inc. (a)		5,115		115,701
AmTrust Financial Services, Inc.		6,325		144,083
Argo Group International Holdings Ltd.		7,371		219,066
Baldwin & Lyons, Inc., Class B		2,451		56,790
Donegal Group, Inc., Class A		2,716		34,765
EMC Insurance Group, Inc.		1,446		27,619
Employers Holdings, Inc.		10,430		174,911
Enstar Group Ltd. (a)		1,815		189,649
FPIC Insurance Group, Inc. (a)		2,302		95,947
First American Financial Corp.		28,249		442,097
Global Indemnity Plc (a)		3,750		83,175
Greenlight Capital Re Ltd. (a)		7,649		201,092
Hallmark Financial Services, Inc. (a)		3,699		29,111
Harleysville Group, Inc.		3,192		99,495
Hilltop Holdings, Inc. (a)		11,133		98,416
Infinity Property & Casualty Corp.		3,341		182,619
Meadowbrook Insurance Group, Inc.		14,738		146,054
Montpelier Re Holdings Ltd.		16,767		301,806
National Interstate Corp.		1,878		43,006
Navigators Group, Inc. (a)		3,587		168,589
OneBeacon Insurance Group Ltd.		4,509		60,376
The PMI Group, Inc. (a)		41,185		44,068
ProAssurance Corp. (a)		8,198		573,860
RLI Corp.		4,891		302,851
Radian Group, Inc.		35,954		152,085
Safety Insurance Group, Inc.		3,419		143,735
SeaBright Holdings, Inc.		5,953		58,935
Selective Insurance Group, Inc.		14,441		234,955
State Auto Financial Corp.		3,961		69,040
Stewart Information Services Corp.		5,205		52,206
Tower Group, Inc.		9,881		235,365
United Fire & Casualty Co.		5,978		103,838
Universal Insurance Holdings, Inc.		3,333		15,565

				4,956,969

International Trade & Diversified Logistic — 0.0%
Global Sources Ltd. (a)		3,842		35,308

Leisure Time — 0.8%
Black Diamond, Inc. (a)		2,534		19,968
Callaway Golf Co.		17,423		108,371
Churchill Downs, Inc.		3,314		149,395
International Speedway Corp., Class A		7,304		207,507
Interval Leisure Group, Inc. (a)		10,977		150,275
Johnson Outdoors, Inc. (a)		697		11,933
Life Time Fitness, Inc. (a)		11,379		454,136
Orbitz Worldwide, Inc. (a)		4,601		11,456
Pool Corp.		13,016		388,007
Six Flags Entertainment Corp.		11,006		412,175
Smith & Wesson Holding Corp. (a)		17,731		53,193
Speedway Motorsports, Inc.		3,282		46,539
Steinway Musical Instruments, Inc. (a)		1,760		45,214
Sturm Ruger & Co., Inc.		5,167		113,416
Town Sports International Holdings, Inc. (a)		4,918		37,426
Vail Resorts, Inc.		9,706		448,611
West Marine, Inc. (a)		4,126		42,786

				2,700,408

Luxury Items — 0.0%
Movado Group, Inc.		4,578		78,330

Machinery: Agricultural — 0.2%
Alamo Group, Inc.		1,737		41,167
Lindsay Manufacturing Co.		3,408		234,470
Titan International, Inc.		11,396		276,467
Titan Machinery, Inc. (a)		4,200		120,876

				672,980

Machinery: Construction & Handling — 0.1%
Astec Industries, Inc. (a)		5,400		199,692
Douglas Dynamics, Inc.		4,580		72,318
NACCO Industries, Inc., Class A		1,559		150,943

				422,953

Machinery: Engines — 0.1%
Briggs & Stratton Corp.		13,485		267,812

Machinery: Industrial — 1.2%
Actuant Corp., Class A		18,428		494,423
Altra Holdings, Inc. (a)		7,360		176,566
Applied Industrial Technologies, Inc.		11,361		404,565
Chart Industries, Inc. (a)		7,947		428,979
Colfax Corp. (a)		6,770		167,896
Columbus McKinnon Corp. (a)		5,282		94,865
DXP Enterprises, Inc. (a)		2,433		61,677
EnPro Industries, Inc. (a)		5,576		268,038
Flow International Corp. (a)		13,816		49,185
Gerber Scientific, Inc. (a)		6,986		77,754
Graham Corp.		2,822		57,569
John Bean Technologies Corp.		7,811		150,909
Kadant, Inc. (a)		3,354		105,685
MTS Systems Corp.		4,205		175,895
Middleby Corp. (a)		4,989		469,166
Sauer-Danfoss, Inc. (a)		3,144		158,426
Tecumseh Products Co., Class A (a)		5,236		53,407
Tennant Co.		5,137		205,120
Twin Disc, Inc.		2,308		89,158
Woodward Governor Co.		16,531		576,271

				4,265,554

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Machinery: Specialty — 0.1%
Albany International Corp., Class A		7,472	$	197,186
Cascade Corp.		2,455		116,784
Hurco Cos., Inc. (a)		1,478		47,607
Xerium Technologies, Inc. (a)		2,865		53,146

				414,723

Manufactured Housing — 0.0%
Cavco Industries, Inc. (a)		1,898		85,410
Skyline Corp.		2,276		39,830

				125,240

Medical & Dental Instruments & Supplies — 2.4%
Abiomed, Inc. (a)		8,636		139,903
Align Technology, Inc. (a)		16,379		373,441
Alphatec Holdings, Inc. (a)		14,674		51,066
AngioDynamics, Inc. (a)		6,710		95,483
Antares Pharma, Inc. (a)		25,435		56,211
AtriCure, Inc. (a)		3,262		42,080
Atrion Corp.		435		86,043
Biolase Technology, Inc. (a)		7,329		37,671
CONMED Corp. (a)		7,678		218,669
Cantel Medical Corp.		3,630		97,683
Cardiovascular Systems, Inc. (a)		3,318		48,310
Cerus Corp. (a)(b)		13,230		39,690
Conceptus, Inc. (a)		8,492		99,102
CryoLife, Inc. (a)		8,419		47,146
Delcath Systems, Inc. (a)(b)		11,804		60,909
Endologix, Inc. (a)		13,558		126,089
Exactech, Inc. (a)		2,362		42,540
Hansen Medical, Inc. (a)		12,818		43,709
Heartware International, Inc. (a)(b)		3,204		237,352
ICU Medical, Inc. (a)		3,211		140,321
Immucor, Inc. (a)		16,344		333,744
Insulet Corp. (a)		12,494		276,992
Integra LifeSciences Holdings Corp. (a)		5,591		267,306
Invacare Corp.		7,709		255,862
Landauer, Inc.		2,574		158,533
MAKO Surgical Corp. (a)		8,672		257,819
Medical Action Industries, Inc. (a)		4,090		33,334
Medtox Scientific, Inc.		1,356		23,689
Meridian Bioscience, Inc.		11,082		267,187
Merit Medical Systems, Inc. (a)		9,857		177,130
Neogen Corp. (a)		6,318		285,637
Neoprobe Corp. (a)		23,238		77,150
NuVasive, Inc. (a)		10,663		350,599
OraSure Technologies, Inc. (a)		12,865		109,738
Orthofix International NV (a)		4,898		208,018
Owens & Minor, Inc.		16,986		585,847
PSS World Medical, Inc. (a)		14,893		417,153
Quidel Corp. (a)		7,384		111,868
Rockwell Medical Technologies, Inc. (a)		4,057		52,092
Staar Surgical Co. (a)		10,445		55,359
Steris Corp.		15,848		554,363
SurModics, Inc. (a)		4,369		48,496
Symmetry Medical, Inc. (a)		9,738		87,350
Synovis Life Technologies, Inc. (a)		3,111		54,194
Tornier NV (a)		2,657		71,606
Unilife Corp. (a)		15,093		78,182
Uroplasty, Inc. (a)		4,999		37,493
Vascular Solutions, Inc. (a)		4,909		60,872
Volcano Corp. (a)		13,938		450,058
West Pharmaceutical Services, Inc.		8,944		391,389
Wright Medical Group, Inc. (a)		10,522		157,830
Young Innovations, Inc.		1,618		46,145

				8,426,453

Medical Equipment — 1.2%
Abaxis, Inc. (a)		6,172		168,187
Accuray, Inc. (a)		18,234		146,054
Affymetrix, Inc. (a)		19,097		151,439
Analogic Corp.		3,380		177,754
ArthroCare Corp. (a)		7,357		246,239
Bacterin International Holdings, Inc. (a)		4,076		11,576
Caliper Life Sciences, Inc. (a)		13,084		106,111
Cyberonics, Inc. (a)		7,756		216,780
Cynosure, Inc., Class A (a)		3,022		36,566
DexCom, Inc. (a)		18,181		263,443
Fluidigm Corp. (a)		1,516		25,423
Greatbatch, Inc. (a)		6,370		170,844
Haemonetics Corp. (a)		6,873		442,415
IRIS International, Inc. (a)		4,884		48,791
Luminex Corp. (a)		10,169		212,532
Masimo Corp.		14,105		418,637
Merge Healthcare, Inc. (a)		14,457		75,176
Natus Medical, Inc. (a)		7,808		118,291
NxStage Medical, Inc. (a)		11,843		246,571
Palomar Medical Technologies, Inc. (a)		5,233		59,028
Solta Medical, Inc. (a)		17,354		47,897
SonoSite, Inc. (a)		3,788		133,224
Spectranetic Corp. (a)		9,345		58,126
Stereotaxis, Inc. (a)		11,133		39,077
Synergetics USA, Inc. (a)		4,615		25,429
Zoll Medical Corp. (a)		5,927		335,824

				3,981,434

Medical Services — 0.2%
Bio-Reference Labs, Inc. (a)		6,678		139,570
eResearch Technology, Inc. (a)		13,796		87,881
Kendle International, Inc. (a)		4,012		60,501
Neostem, Inc. (a)		7,900		11,692
Parexel International Corp. (a)		15,877		374,062
RadNet, Inc. (a)		7,210		31,724

				705,430

Metal Fabricating — 0.7%
Ampco-Pittsburgh Corp.		2,459		57,664
Dynamic Materials Corp.		3,657		81,990
Haynes International, Inc.		3,311		205,050
Kaydon Corp.		8,725		325,617
L.B. Foster Co., Class A		2,651		87,244
Lawson Products, Inc.		416		8,183
Metals USA Holdings Corp. (a)		3,328		49,587
Mueller Industries, Inc.		10,161		385,204
Mueller Water Products, Inc., Series A		41,848		166,555
NN, Inc. (a)		4,190		62,682
Northwest Pipe Co. (a)		2,647		68,981
RBC Bearings, Inc. (a)		5,950		224,672
RTI International Metals, Inc. (a)		8,140		312,332
Worthington Industries, Inc.		15,539		358,951

				2,394,712

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Metals & Minerals: Diversified — 0.7%
AMCOL International Corp.		6,540	$	249,566
General Moly, Inc. (a)(b)		19,115		85,253
Globe Specialty Metals, Inc.		17,024		381,678
Hecla Mining Co. (a)		75,422		579,995
Materion Corp. (a)		5,535		204,629
Minerals Technologies, Inc.		4,930		326,810
Oil-Dri Corp. of America		1,630		34,915
Paramount Gold and Silver Corp. (a)		30,820		100,473
Thompson Creek Metals Co., Inc. (a)		41,167		410,847
US Energy Corp. Wyoming (a)		7,385		31,534
United States Lime & Minerals, Inc. (a)		747		30,634
Ur-Energy, Inc. (a)		25,143		40,229
Uranerz Energy Corp. (a)		16,570		50,041
Uranium Resources, Inc. (a)		24,271		40,533

				2,567,137

Miscellaneous Consumer Staples — 0.0%
Spectrum Brands Holdings, Inc. (a)		4,582		146,624

Office Supplies & Equipment — 0.6%
ACCO Brands Corp. (a)		15,036		118,032
AT Cross Co. (a)		1,784		20,320
Electronics for Imaging, Inc. (a)		12,732		219,245
HNI Corp.		12,008		301,641
Herman Miller, Inc.		15,433		420,086
Kimball International, Inc., Class B		8,839		56,835
Knoll, Inc.		12,854		257,980
Steelcase, Inc., Class A		21,239		241,912
United Stationers, Inc.		12,386		438,836

				2,074,887

Offshore Drilling & Other Services — 0.1%
Hercules Offshore, Inc. (a)		31,242		172,143
Vantage Drilling Co. (a)		45,575		82,947

				255,090

Oil Well Equipment & Services — 2.0%
Basic Energy Services, Inc. (a)		6,564		206,569
Cal Dive International, Inc. (a)		25,933		155,079
Complete Production Services, Inc. (a)		21,214		707,699
Dawson Geophysical Co. (a)		2,194		74,925
Dril-Quip, Inc. (a)		9,228		625,935
Exterran Holdings, Inc. (a)		16,710		331,359
Flotek Industries, Inc. (a)		13,210		112,549
Geokinetics, Inc. (a)		2,438		19,211
Global Geophysical Services, Inc. (a)		4,393		78,195
Global Industries Ltd. (a)		27,444		150,393
Golar LNG Ltd.		9,901		345,446
Gulf Island Fabrication, Inc.		3,927		126,764
Helix Energy Solutions Group, Inc. (a)		28,508		472,093
Hornbeck Offshore Services, Inc. (a)		6,175		169,813
ION Geophysical Corp. (a)		35,329		334,212
Key Energy Services, Inc. (a)		33,640		605,520
Lufkin Industries, Inc.		8,184		704,233
Matrix Service Co. (a)		7,242		96,898
Mitcham Industries, Inc. (a)		2,448		42,350
Natural Gas Services Group (a)		3,386		54,718
Newpark Resources, Inc. (a)		24,455		221,807
OYO Geospace Corp. (a)		1,176		117,600
Parker Drilling Co. (a)		31,571		184,690
Pioneer Drilling Co. (a)		14,748		224,760
RigNet, Inc. (a)		1,183		20,111
Tesco Corp. (a)		8,209		159,337
Tetra Technologies, Inc. (a)		20,719		263,753
Union Drilling, Inc. (a)		4,119		42,385
Willbros Group, Inc. (a)		10,902		93,103

				6,741,507

Oil: Crude Producers — 3.0%
ATP Oil & Gas Corp. (a)		12,187		186,583
Abraxas Petroleum Corp. (a)(b)		22,579		86,478
Apco Oil and Gas International, Inc.		2,481		215,673
Approach Resources, Inc. (a)(b)		5,964		135,204
BPZ Resources, Inc. (a)(b)		26,912		88,271
Berry Petroleum Co., Class A		13,861		736,435
Bill Barrett Corp. (a)		12,660		586,791
CAMAC Energy, Inc. (a)(b)		16,042		21,336
Callon Petroleum Co. (a)		10,762		75,549
Carrizo Oil & Gas, Inc. (a)		10,432		435,536
Cheniere Energy, Inc. (a)		18,879		172,932
Clayton Williams Energy, Inc. (a)		1,603		96,260
Comstock Resources, Inc. (a)		12,597		362,668
Contango Oil & Gas Co. (a)		3,277		191,508
Crimson Exploration, Inc. (a)		4,054		14,392
Endeavour International Corp. (a)(b)		9,805		147,761
Energy Partners Ltd. (a)		7,894		116,910
Energy XXI Bermuda Ltd. (a)		20,302		674,432
Evolution Petroleum Corp. (a)		3,102		22,024
FX Energy, Inc. (a)		14,395		126,388
GMX Resources, Inc. (a)		16,450		73,203
Gastar Exploration Ltd. (a)		16,072		55,127
GeoResources, Inc. (a)		5,281		118,770
Goodrich Petroleum Corp. (a)		6,964		128,207
Gulfport Energy Corp. (a)		10,389		308,449
Harvest Natural Resources, Inc. (a)		9,317		102,767
Houston American Energy Corp.		4,685		84,939
Hyperdynamics Corp. (a)		41,329		177,715
Isramco, Inc. (a)		178		11,762
Kodiak Oil & Gas Corp. (a)		48,500		279,845
Magnum Hunter Resources Corp. (a)		29,730		200,975
McMoRan Exploration Co. (a)		26,485		489,443
Northern Oil And Gas, Inc. (a)(b)		16,922		374,822
Oasis Petroleum, Inc. (a)		15,923		472,595
Panhandle Oil & Gas, Inc.		2,108		62,165
Penn Virginia Corp.		12,328		162,853
Petroleum Development Corp. (a)		6,380		190,826
Petroquest Energy, Inc. (a)(b)		15,664		109,961
Resolute Energy Corp. (a)		12,218		197,443
Rex Energy Corp. (a)		9,242		94,915
Rosetta Resources, Inc. (a)		14,282		736,094
Stone Energy Corp. (a)		13,124		398,838
Swift Energy Co. (a)		11,430		425,996
Triangle Petroleum Corp. (a)		10,633		68,689
Vaalco Energy, Inc. (a)		14,221		85,610
Venoco, Inc. (a)		7,751		98,748
Voyager Oil & Gas, Inc. (a)		11,326		33,638
W&T Offshore, Inc.		9,408		245,737
Warren Resources, Inc. (a)		19,529		74,406
Zion Oil & Gas, Inc. (a)		5,728		34,082

				10,391,751

Oil: Integrated — 0.0%
Targa Resources, Inc.		4,479		149,867

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Oil: Refining & Marketing — 0.5%
Alon USA Energy, Inc.		2,717	$	30,621
CVR Energy, Inc. (a)		23,480		578,078
Clean Energy Fuels Corp. (a)(b)		13,347		175,513
Delek US Holdings, Inc.		3,973		62,376
Miller Energy Resources, Inc. (a)		7,968		50,995
Western Refining, Inc. (a)(b)		14,358		259,449
World Fuel Services Corp.		18,980		681,951

				1,838,983

Paints & Coatings — 0.2%
Chase Corp.		882		14,782
Ferro Corp. (a)		23,327		313,515
H.B. Fuller Co.		13,233		323,150

				651,447

Paper — 0.4%
Boise, Inc.		27,840		216,873
Buckeye Technologies, Inc.		10,735		289,630
Clearwater Paper Corp. (a)		3,121		213,102
Kapstone Paper and Packaging Corp. (a)		10,712		177,498
Neenah Paper, Inc.		4,104		87,333
P.H. Glatfelter Co.		12,328		189,605
Schweitzer-Mauduit International, Inc.		4,732		265,702
Verso Paper Corp. (a)		2,941		7,882
Wausau Paper Corp.		13,309		89,703

				1,537,328

Personal Care — 0.1%
Female Health Co.		5,795		28,975
USANA Health Sciences, Inc. (a)		1,742		54,490
WD-40 Co.		4,557		177,905

				261,370

Pharmaceuticals — 1.9%
Achillion Pharmaceuticals, Inc. (a)		10,430		77,599
Acura Pharmaceuticals, Inc. (a)		2,437		9,431
Akorn, Inc. (a)		15,873		111,111
Alkermes, Inc. (a)		25,667		477,406
Ampio Pharmaceuticals, Inc. (a)		4,662		36,317
Anacor Pharmaceuticals, Inc. (a)		2,215		14,309
Ardea Biosciences, Inc. (a)		4,439		113,017
Auxilium Pharmaceuticals, Inc. (a)		12,789		250,664
Avanir Pharmaceuticals, Inc. (a)(b)		33,054		111,061
BioCryst Pharmaceuticals, Inc. (a)		7,913		30,228
Biospecifics Technologies (a)		1,361		30,486
Cadence Pharmaceuticals, Inc. (a)(b)		10,048		92,442
Cambrex Corp. (a)		8,344		38,549
Cleveland Biolabs, Inc. (a)		5,838		19,908
Columbia Laboratories, Inc. (a)		18,549		57,316
Corcept Therapeutics, Inc. (a)		10,542		42,063
Depomed, Inc. (a)		14,910		121,964
Durect Corp. (a)		23,829		48,373
Dusa Pharmaceuticals, Inc. (a)		6,076		37,793
Endocyte, Inc. (a)		3,539		50,678
Hi-Tech Pharmacal Co., Inc. (a)		2,844		82,277
ISTA Pharmaceuticals, Inc. (a)		6,830		52,215
Impax Laboratories, Inc. (a)		17,461		380,475
Infinity Pharmaceuticals, Inc. (a)		4,063		33,560
Ironwood Pharmaceuticals, Inc. (a)		13,151		206,734
Isis Pharmaceuticals, Inc. (a)		26,182		239,827
Jazz Pharmaceuticals, Inc. (a)		5,950		198,433
K-V Pharmaceutical Co., Class A (a)		13,662		37,161
Lannett Co., Inc. (a)		3,346		16,663
MAP Pharmaceuticals, Inc. (a)		5,808		92,754
Medicines Co. (a)		14,632		241,574
Medicis Pharmaceutical Corp., Class A		16,608		633,927
Obagi Medical Products, Inc. (a)		4,556		42,963
Optimer Pharmaceuticals, Inc. (a)		12,272		145,914
Pacira Pharmaceuticals, Inc. (a)		1,171		14,052
Pain Therapeutics, Inc. (a)		10,458		40,472
Par Pharmaceutical Cos., Inc. (a)		9,788		322,808
Pernix Therapeutics Holdings (a)		449		3,821
Pharmacyclics, Inc. (a)		12,519		130,698
Pozen, Inc. (a)		7,363		30,925
Prestige Brands Holdings, Inc. (a)		13,213		169,655
Questcor Pharmaceuticals, Inc. (a)		14,437		347,932
SIGA Technologies, Inc. (a)(b)		9,633		93,825
Sagent Pharmaceuticals, Inc. (a)		1,669		45,030
Salix Pharmaceuticals Ltd. (a)		15,747		627,203
Santarus, Inc. (a)		14,853		50,055
Sciclone Pharmaceuticals, Inc. (a)		9,741		58,836
Spectrum Pharmaceuticals, Inc. (a)		14,269		132,202
SuperGen, Inc. (a)		15,690		46,756
Vical, Inc. (a)		19,516		80,406
Vivus, Inc. (a)		22,486		183,036
Xenoport, Inc. (a)		9,396		66,900
Zogenix, Inc. (a)		2,264		9,079

				6,628,883

Photography — 0.1%
Eastman Kodak Co. (a)(b)		72,800		260,624

Plastics — 0.1%
A. Schulman, Inc.		8,356		210,488
Spartech Corp. (a)		8,411		51,223

				261,711

Power Transmission Equipment — 0.3%
Active Power, Inc. (a)		19,131		46,871
Advanced Energy Industries, Inc. (a)		11,338		167,689
Generac Holdings, Inc. (a)		6,488		125,867
Global Power Equipment Group, Inc. (a)		3,900		103,428
Maxwell Technologies, Inc. (a)		7,773		125,845
Powell Industries, Inc. (a)		2,427		88,586
Power-One, Inc. (a)(b)		18,530		150,093
Vicor Corp.		5,444		88,029

				896,408

Precious Metals & Minerals — 0.2%
Golden Minerals Co. (a)		3,166		56,292
Horsehead Holding Corp. (a)		11,884		158,295
Stillwater Mining Co. (a)		27,539		606,133

				820,720

Printing & Copying Services — 0.0%
Casella Waste Systems, Inc. (a)		7,204		43,944
Cenveo, Inc. (a)		15,384		98,458

				142,402

Producer Durables: Miscellaneous — 0.1%
Blount International, Inc. (a)		13,348		233,190
Park-Ohio Holdings Corp. (a)		2,394		50,609

				283,799

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Production Technology Equipment — 1.3%
ATMI, Inc. (a)		8,555	$	174,779
Axcelis Technologies, Inc. (a)		29,877		48,998
Brooks Automation, Inc. (a)		17,840		193,743
Cognex Corp.		11,090		392,919
Cohu, Inc.		6,697		87,798
Cymer, Inc. (a)		8,188		405,388
Electro Scientific Industries, Inc. (a)		6,330		122,169
Entegris, Inc. (a)		36,386		368,226
FEI Co. (a)		10,426		398,169
FSI International, Inc. (a)		11,111		30,444
GSI Group, Inc. (a)		6,468		77,939
Intevac, Inc. (a)		6,492		66,283
Kulicke & Soffa Industries, Inc. (a)		19,393		216,038
LTX-Credence Corp. (a)		13,519		120,860
MKS Instruments, Inc.		13,996		369,774
Nanometrics, Inc. (a)		5,269		100,058
Photronics, Inc. (a)		14,924		126,406
Rudolph Technologies, Inc. (a)		8,745		93,659
Tessera Technologies, Inc. (a)		13,716		235,092
Ultra Clean Holdings, Inc. (a)		6,333		57,504
Ultratech, Inc. (a)		6,860		208,407
Veeco Instruments, Inc. (a)(b)		10,946		529,896

				4,424,549

Publishing — 0.3%
AH Belo Corp.		5,346		39,774
Courier Corp.		3,240		35,802
The Dolan Co. (a)		8,594		72,791
Journal Communications, Inc., Class A (a)		11,975		61,911
Martha Stewart Living Omnimedia, Inc., Class A (a)(b)		7,727		33,535
McClatchy Co., Class A (a)(b)		15,716		44,162
Meredith Corp.		9,403		292,715
The New York Times Co., Class A (a)		35,859		312,691
Primedia, Inc.		4,008		28,256
Scholastic Corp.		7,156		190,350

				1,111,987

Radio & TV Broadcasters — 0.2%
Central European Media Enterprises Ltd. (a)		9,594		189,481
Crown Media Holdings, Inc., Class A (a)		5,512		10,528
Cumulus Media, Inc., Class A (a)		4,732		16,562
Entercom Communications Corp. (a)		6,915		60,022
Entravision Communications Corp., Class A (a)		16,076		29,741
Fisher Communications, Inc. (a)		2,230		66,499
Global Traffic Network, Inc. (a)		3,503		40,249
Gray Television, Inc. (a)(b)		14,595		38,531
Lin TV Corp., Class A (a)		9,076		44,200
Nexstar Broadcasting Group, Inc., Class A (a)		2,512		20,624
Outdoor Channel Holdings, Inc. (a)		2,729		18,666
Saga Communications, Inc. (a)		769		28,453
Sinclair Broadcast Group, Inc., Class A		13,488		148,098
Westwood One, Inc. (a)		722		3,726

				715,380

Railroad Equipment — 0.1%
American Railcar Industries, Inc. (a)		2,764		64,816
Freightcar America, Inc. (a)		3,280		83,115
Greenbrier Cos., Inc. (a)		5,072		100,223

				248,154

Railroads — 0.2%
Genesee & Wyoming, Inc., Class A (a)		10,640		623,930
Railamerica, Inc. (a)		5,911		88,665

				712,595

Real Estate — 0.2%
Avatar Holdings, Inc. (a)		2,564		38,998
Consolidated-Tomoka Land Co.		1,330		38,038
Forestar Group, Inc. (a)		9,686		159,141
Griffin Land & Nurseries, Inc.		271		8,805
HFF, Inc., Class A (a)		7,523		113,522
Kennedy-Wilson Holdings, Inc. (b)		5,929		72,630
Tejon Ranch Co. (a)		3,736		127,398
United Capital Corp. (a)		137		4,103

				562,635

Real Estate Investment Trusts (REITs) — 7.8%
ARMOUR Residential REIT, Inc.		12,150		89,303
Acadia Realty Trust		11,116		225,988
Agree Realty Corp.		2,640		58,951
Alexander’s, Inc.		560		222,320
American Assets Trust, Inc.		8,998		202,005
American Campus Communities, Inc.		17,938		637,158
Anworth Mortgage Asset Corp.		32,736		245,847
Apollo Commercial Real Estate Finance, Inc.		5,188		83,631
Ashford Hospitality Trust, Inc.		12,814		159,534
Associated Estates Realty Corp.		11,580		188,175
BioMed Realty Trust, Inc.		35,292		679,018
CBL & Associates Properties, Inc.		39,611		718,147
Campus Crest Communities, Inc.		8,404		108,748
CapLease, Inc.		19,056		93,565
Capstead Mortgage Corp.		20,550		275,370
Cedar Shopping Centers, Inc.		15,776		81,246
Chatham Lodging Trust		4,114		66,277
Chesapeake Lodging Trust		7,660		130,680
Cogdell Spencer, Inc.		13,646		81,740
Colonial Properties Trust		22,499		458,980
Colony Financial, Inc.		9,209		166,407
Coresite Realty Corp.		5,591		91,692
Cousins Properties, Inc.		25,155		214,824
CreXus Investment Corp.		13,961		155,107
Cypress Sharpridge Investments, Inc.		21,508		275,518
DCT Industrial Trust, Inc.		66,764		349,176
DiamondRock Hospitality Co. (b)		45,053		483,419
Dupont Fabros Technology, Inc.		15,495		390,474
Dynex Capital Corp.		10,145		98,204
Eastgroup Properties, Inc.		7,343		312,151
Education Realty Trust, Inc.		20,271		173,722
Entertainment Properties Trust		12,567		586,879
Equity Lifestyle Properties, Inc.		6,876		429,337
Equity One, Inc.		13,281		247,558
Excel Trust, Inc.		5,340		58,900
Extra Space Storage, Inc.		25,370		541,142
FelCor Lodging Trust, Inc. (a)		34,143		181,982
First Industrial Realty Trust, Inc. (a)		21,290		243,771
First Potomac Realty Trust		13,998		214,309
Franklin Street Properties Corp.		19,259		248,634
Getty Realty Corp.		6,614		166,871
Gladstone Commercial Corp.		3,431		59,459
Glimcher Realty Trust		27,366		259,977
Government Properties Income Trust		7,693		207,865
Hatteras Financial Corp.		19,644		554,550
Healthcare Realty Trust, Inc.		19,588		404,100
Hersha Hospitality Trust		37,620		209,543

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Real Estate Investment Trusts (REITs) (concluded)
Highwoods Properties, Inc.		19,361	$	641,430
Home Properties, Inc.		10,360		630,717
Hudson Pacific Properties, Inc.		5,772		89,639
Inland Real Estate Corp.		21,364		188,644
InvesCo. Mortgage Capital, Inc.		18,717		395,490
Investors Real Estate Trust		22,095		191,343
iStar Financial, Inc. (a)		25,112		203,658
Kilroy Realty Corp.		15,739		621,533
Kite Realty Group Trust		16,180		80,576
LTC Properties, Inc.		8,295		230,767
LaSalle Hotel Properties		22,877		602,580
Lexington Corporate Properties Trust (b)		31,544		287,997
MFA Financial, Inc.		93,102		748,540
MPG Office Trust, Inc. (a)		13,761		39,356
Medical Properties Trust, Inc.		30,454		350,221
Mid-America Apartment Communities, Inc.		9,712		655,269
Mission West Properties, Inc.		5,886		51,679
Monmouth Real Estate Investment Corp., Class A		9,853		83,258
National Health Investors, Inc.		6,558		291,372
National Retail Properties, Inc.		22,578		553,387
Newcastle Investment Corp.		21,566		124,651
NorthStar Realty Finance Corp.		27,024		108,907
Omega Healthcare Investors, Inc.		27,086		569,077
One Liberty Properties, Inc.		3,334		51,477
PS Business Parks, Inc.		4,966		273,627
Parkway Properties, Inc.		6,199		105,755
Pebblebrook Hotel Trust		13,169		265,882
Pennsylvania Real Estate Investment Trust		15,187		238,436
PennyMac Mortgage Investment Trust (d)		7,667		127,042
Post Properties, Inc.		13,394		545,939
Potlatch Corp.		10,794		380,704
RAIT Investment Trust (a)		31,427		65,997
RLJ Lodging Trust (a)		6,502		112,940
Ramco-Gershenson Properties Trust		10,756		133,159
Redwood Trust, Inc. (b)		21,295		321,980
Resource Capital Corp.		18,133		114,601
Retail Opportunity Investments Corp.		11,524		123,998
STAG Industrial, Inc.		3,042		37,265
Sabra Healthcare REIT, Inc.		7,136		119,243
Saul Centers, Inc.		1,882		74,094
Sovran Self Storage, Inc.		7,436		304,876
Starwood Property Trust, Inc.		25,096		514,719
Strategic Hotel Capital, Inc. (a)		46,376		328,342
Summit Hotel Properties, Inc.		7,377		83,729
Sun Communities, Inc.		5,611		209,346
Sunstone Hotel Investors, Inc. (a)		32,004		296,677
Tanger Factory Outlet Centers, Inc.		22,005		589,074
Terreno Realty Corp.		3,047		51,829
Two Harbors Investment Corp.		22,806		245,165
UMH Properties, Inc.		4,696		50,247
U-Store-It Trust		27,021		284,261
Universal Health Realty Income Trust		3,196		127,776
Urstadt Biddle Properties, Inc., Class A		6,640		120,250
Walter Investment Management Corp.		7,064		156,750
Washington Real Estate Investment Trust		17,588		571,962
Whitestone REIT		1,296		16,485
Winthrop Realty Trust		8,015		95,699

				27,011,671

Recreational Vehicles & Boats — 0.2%
Arctic Cat, Inc. (a)		3,496		46,951
Brunswick Corp.		23,981		489,212
Drew Industries, Inc.		5,218		128,989
Marine Products Corp. (a)		1,233		8,286
Winnebago Industries, Inc. (a)		8,168		78,903

				752,341

Rental & Leasing Services: Consumer — 0.5%
Amerco, Inc. (a)		2,328		223,837
Avis Budget Group, Inc. (a)		28,218		482,246
Dollar Thrifty Automotive Group, Inc. (a)		7,781		573,771
Rent-A-Center, Inc.		17,107		522,790
Zipcar, Inc. (a)		2,500		51,025

				1,853,669

Restaurants — 1.5%
AFC Enterprises, Inc. (a)		6,935		114,081
BJ’s Restaurants, Inc. (a)		6,440		337,198
Benihana, Inc., Class A (a)		2,680		28,113
Biglari Holdings, Inc. (a)		340		132,957
Bob Evans Farms, Inc.		8,170		285,705
Bravo Brio Restaurant Group, Inc. (a)		4,992		121,955
Buffalo Wild Wings, Inc. (a)		4,956		328,632
CEC Entertainment, Inc.		5,409		216,955
California Pizza Kitchen, Inc. (a)		5,208		96,192
Caribou Coffee Co., Inc. (a)		2,990		39,588
Carrols Restaurant Group, Inc. (a)		2,594		27,081
The Cheesecake Factory, Inc. (a)		15,549		487,772
Cracker Barrel Old Country Store, Inc.		6,157		303,602
Denny’s Corp. (a)		27,573		106,983
DineEquity, Inc. (a)		4,220		220,579
Domino’s Pizza, Inc. (a)		16,498		416,409
Einstein Noah Restaurant Group, Inc.		1,177		17,620
Ellie Mae, Inc. (a)		1,487		8,535
Jack in the Box, Inc. (a)		13,393		305,093
Jamba, Inc. (a)		18,231		39,014
Krispy Kreme Doughnuts, Inc. (a)		15,863		150,857
Luby’s, Inc. (a)		2,931		16,179
McCormick & Schmick’s Seafood Restaurants, Inc. (a)		4,030		34,618
O’Charleys, Inc. (a)		5,152		37,661
P.F. Chang’s China Bistro, Inc.		6,132		246,752
Papa John’s International, Inc. (a)		5,380		178,939
Red Robin Gourmet Burgers, Inc. (a)		3,550		129,149
Ruby Tuesday, Inc. (a)		17,592		189,642
Ruth’s Hospitality Group, Inc. (a)		8,621		48,364
Sonic Corp. (a)		16,873		179,360
Texas Roadhouse, Inc., Class A		16,625		291,519

				5,137,104

Scientific Instruments: Control & Filter — 0.8%
Brady Corp.		12,756		408,957
CIRCOR International, Inc.		4,684		200,616
ESCO Technologies, Inc.		7,196		264,813
Energy Recovery, Inc. (a)		12,744		41,673
The Gorman-Rupp Co.		4,176		137,557
L-1 Identity Solutions, Inc. (a)		20,213		237,503
Mine Safety Appliances Co.		7,299		272,545
PMFG, Inc. (a)		5,013		99,508
Robbins & Myers, Inc.		10,648		562,747
Sun Hydraulics, Inc.		3,534		168,925
Thermon Group Holdings, Inc. (a)		2,168		26,016

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Scientific Instruments: Control & Filter (concluded)
Watts Water Technologies, Inc., Class A		8,053	$	285,157
X-Rite, Inc. (a)		8,429		41,892

				2,747,909

Scientific Instruments: Electrical — 0.7%
A123 Systems, Inc. (a)(b)		23,973		127,536
A.O. Smith Corp.		10,109		427,611
AZZ, Inc.		3,402		155,812
American Superconductor Corp. (a)		12,190		110,198
Broadwind Energy, Inc. (a)		28,774		41,722
Coleman Cable, Inc. (a)		1,982		29,116
Ener1, Inc. (a)		19,667		21,634
EnerSys (a)		13,433		462,364
Franklin Electric Co., Inc.		6,294		295,503
Houston Wire & Cable Co.		5,069		78,823
Littelfuse, Inc.		6,074		356,665
Preformed Line Products Co.		551		39,220
SatCon Technology Corp. (a)(b)		25,649		61,301
Taser International, Inc. (a)		16,980		77,259
Valence Technology, Inc. (a)		16,291		19,223

				2,303,987

Scientific Instruments: Gauges & Meters — 0.2%
Badger Meter, Inc.		4,063		150,290
Faro Technologies, Inc. (a)		4,446		194,735
Measurement Specialties, Inc. (a)		4,126		147,298
Vishay Precision Group, Inc. (a)		2,917		49,239
Zygo Corp. (a)		4,684		61,923

				603,485

Scientific Instruments: Pollution Control — 0.5%
Clean Harbors, Inc. (a)		6,319		652,437
Darling International, Inc. (a)		31,338		554,683
EnergySolutions, Inc.		21,816		107,771
Fuel Tech, Inc. (a)		5,194		34,436
Heritage-Crystal Clean, Inc. (a)		949		18,202
Met-Pro Corp.		4,635		52,746
Metalico, Inc. (a)		10,762		63,496
TRC Cos., Inc. (a)		3,974		24,838
Team, Inc. (a)		5,265		127,044
US Ecology, Inc.		5,213		89,142
WCA Waste Corp. (a)		2,705		15,581

				1,740,376

Securities Brokerage & Services — 0.5%
BGC Partners, Inc.		19,651		151,902
FXCM Inc.		4,942		49,025
GFI Group, Inc.		19,147		87,885
Gain Capital Holdings, Inc. (a)		1,501		10,222
Gladstone Investment Corp.		6,682		47,710
International FCStone, Inc. (a)		3,747		90,715
Investment Technology Group, Inc. (a)		11,141		156,197
KBW, Inc.		9,685		181,110
Knight Capital Group, Inc., Class A (a)		27,018		297,738
Ladenburg Thalmann Financial Services, Inc. (a)		28,848		39,810
MF Global Holdings Ltd. (a)		43,457		336,357
MarketAxess Holdings, Inc.		7,684		192,561
optionsXpress Holdings, Inc.		11,552		192,687
SWS Group, Inc.		8,270		49,537

				1,883,456

Semiconductors & Components — 2.7%
AXT, Inc. (a)		8,873		75,243
Advanced Analogic Technologies, Inc. (a)		11,876		71,909
Aeroflex Holding Corp. (a)		5,025		91,204
Alpha & Omega Semiconductor, Ltd. (a)		3,022		40,041
Amkor Technology, Inc. (a)		28,380		175,105
Amtech Systems, Inc. (a)		2,421		49,969
Anadigics, Inc. (a)		18,044		57,921
Applied Micro Circuits Corp. (a)		17,384		154,022
Cavium, Inc. (a)		13,031		568,021
Ceva, Inc. (a)		6,279		191,258
Cirrus Logic, Inc. (a)		17,882		284,324
DSP Group, Inc. (a)		6,828		59,404
Diodes, Inc. (a)		9,420		245,862
eMagin Corp. (a)		4,226		25,652
Emcore Corp. (a)		22,116		60,598
Entropic Communications, Inc. (a)(b)		22,782		202,532
Exar Corp. (a)		10,113		64,015
Formfactor, Inc. (a)		13,876		125,717
Hittite Microwave Corp. (a)		8,304		514,101
IXYS Corp. (a)		6,787		101,669
Inphi Corp. (a)		5,205		90,567
Integrated Device Technology, Inc. (a)		40,031		314,644
Integrated Silicon Solutions, Inc. (a)		7,276		70,359
Kopin Corp. (a)		17,986		84,714
Lattice Semiconductor Corp. (a)		31,838		207,584
MIPS Technologies, Inc. (a)		14,324		98,979
MaxLinear, Inc., Class A (a)		3,577		30,977
Micrel, Inc.		13,722		145,179
Microsemi Corp. (a)		23,075		473,037
Mindspeed Technologies, Inc. (a)		9,083		72,664
Monolithic Power Systems, Inc. (a)		8,201		126,459
MoSys, Inc. (a)		9,544		54,878
Netlogic Microsystems, Inc. (a)		18,300		739,686
Omnivision Technologies, Inc. (a)		15,526		540,460
PLX Technology, Inc. (a)		11,333		39,325
Pericom Semiconductor Corp. (a)		7,014		62,705
Power Integrations, Inc.		7,599		292,030
RF Micro Devices, Inc. (a)		74,166		453,896
Rambus, Inc. (a)		25,999		381,665
Rubicon Technology, Inc. (a)(b)		4,739		79,900
Semtech Corp. (a)		17,559		480,063
Sigma Designs, Inc. (a)		8,667		66,216
Silicon Image, Inc. (a)		21,671		139,995
Spansion, Inc., Class A (a)		13,037		251,223
Standard Microsystems Corp. (a)		6,297		169,956
Supertex, Inc. (a)		2,804		62,810
TriQuint Semiconductor, Inc. (a)		44,215		450,551
Volterra Semiconductor Corp. (a)		6,691		165,000
Zoran Corp. (a)		13,603		114,265

				9,418,354

Shipping — 0.5%
Baltic Trading Ltd.		4,859		27,891
DHT Holdings, Inc.		18,435		70,606
Eagle Bulk Shipping, Inc. (a)(b)		16,811		41,691
Excel Maritime Carriers Ltd. (a)(b)		11,924		36,964
Frontline, Ltd.		13,530		199,432
Genco Shipping & Trading Ltd. (a)(b)		8,003		60,183
General Maritime Corp. (b)		28,973		39,114
Gulfmark Offshore, Inc., Class A (a)		6,386		282,197
International Shipholding Corp.		1,681		35,772
Knightsbridge Tankers Ltd. (b)		6,149		135,463
Nordic American Tanker Shipping Ltd. (b)		12,747		289,867

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Shipping (concluded)
Overseas Shipholding Group, Inc.		6,993	$	188,391
Scorpio Tankers, Inc. (a)		6,498		64,915
Ship Finance International Ltd. (b)		12,212		220,060
Teekay Tankers Ltd., Class A (b)		11,115		104,481
Ultrapetrol Bahamas Ltd. (a)		6,259		30,919

				1,827,946

Specialty Retail — 3.2%
1-800-FLOWERS.COM, Inc., Class A (a)		4,764		14,768
ANN, Inc. (a)		14,009		365,635
Aéropostale, Inc. (a)		21,442		375,235
America’s Car Mart, Inc. (a)		2,552		84,216
Asbury Automotive Group, Inc. (a)		7,939		147,110
Ascena Retail Group, Inc. (a)		16,771		571,053
Barnes & Noble, Inc.		7,834		129,888
bebe Stores, Inc.		10,195		62,291
Big 5 Sporting Goods Corp.		6,191		48,661
Blue Nile, Inc. (a)		3,487		153,358
Body Central Corp. (a)		2,991		70,378
Brown Shoe Co., Inc.		11,752		125,159
The Buckle, Inc.		7,271		310,472
Build-A-Bear Workshop, Inc. (a)		4,884		31,795
Cabela’s, Inc., Class A (a)		11,540		313,311
Casual Male Retail Group, Inc. (a)		12,138		50,373
The Cato Corp., Class A		7,496		215,885
Charming Shoppes, Inc. (a)		31,510		131,082
The Children’s Place Retail Stores, Inc. (a)		7,001		311,474
Christopher & Banks Corp.		9,978		57,374
Citi Trends, Inc. (a)		4,046		61,014
Coldwater Creek, Inc. (a)		15,941		22,317
Collective Brands, Inc. (a)		16,515		242,605
Conn’s, Inc. (a)		3,338		28,874
Cost Plus, Inc. (a)		4,764		47,640
Destination Maternity Corp.		2,883		57,602
Express, Inc.		14,595		318,171
The Finish Line, Inc., Class A		13,939		298,295
Genesco, Inc. (a)		6,379		332,346
Group 1 Automotive, Inc.		6,475		266,640
Haverty Furniture Cos., Inc.		5,411		62,281
hhgregg, Inc. (a)(b)		4,686		62,792
Hibbett Sports, Inc. (a)		7,420		302,068
Hot Topic, Inc.		12,067		89,778
Jos. A. Bank Clothiers, Inc. (a)		7,441		372,124
Lithia Motors, Inc., Class A		5,944		116,681
Lumber Liquidators Holdings, Inc. (a)		6,258		158,953
MarineMax, Inc. (a)		6,642		58,184
Men’s Wearhouse, Inc.		13,838		466,341
Monro Muffler, Inc.		8,237		307,158
New York & Co. (a)		6,435		31,853
Nu Skin Enterprises, Inc., Class A		14,595		548,042
Office Depot, Inc. (a)		73,651		310,807
OfficeMax, Inc. (a)(b)		23,120		181,492
Pacific Sunwear of California, Inc. (a)		13,666		35,668
Penske Auto Group, Inc.		12,024		273,426
The Pep Boys — Manny, Moe & Jack		14,293		156,222
Pier 1 Imports, Inc. (a)		28,681		331,839
Regis Corp.		15,500		237,460
Rue21, Inc. (a)		4,066		132,145
Shoe Carnival, Inc. (a)		2,508		75,616
Shutterfly, Inc. (a)		8,017		460,336
Sonic Automotive, Inc.		10,882		159,421
Stage Stores, Inc.		9,762		164,002
Stamps.com, Inc.		3,243		43,262
Stein Mart, Inc.		7,314		70,507
Syms Corp. (a)		1,173		12,645
Systemax, Inc. (a)		2,908		43,446
The Talbots, Inc. (a)(b)		18,899		63,123
Vitamin Shoppe, Inc. (a)		6,611		302,519
The Wet Seal, Inc., Class A (a)		27,612		123,426
Zale Corp. (a)		8,386		46,962
Zumiez, Inc. (a)		5,720		142,828

				11,188,429

Steel — 0.1%
Handy & Harman Ltd. (a)		1,262		19,422
Olympic Steel, Inc.		2,501		68,852
Shiloh Industries, Inc.		497		5,358
TMS International Corp. (a)		3,028		39,515
Universal Stainless & Alloy Products, Inc. (a)		1,918		89,686

				222,833

Sugar — 0.0%
Imperial Sugar Co., New Shares		3,279		65,580

Synthetic Fibers & Chemicals — 0.0%
Zoltek Cos., Inc. (a)		7,558		79,586

Technology: Miscellaneous — 0.4%
Benchmark Electronics, Inc. (a)		16,364		270,006
CTS Corp.		9,270		89,641
Fabrinet (a)		5,275		128,077
Plexus Corp. (a)		10,121		352,312
Sanmina-SCI Corp. (a)		21,706		224,223
Vocus, Inc. (a)		4,738		145,030

				1,209,289

Telecommunications Equipment — 0.2%
Arris Group, Inc. (a)		33,395		387,716
Brightpoint, Inc. (a)		18,722		151,835
Communications Systems, Inc.		1,254		22,484
OpNext, Inc. (a)		10,681		24,353
Powerwave Technologies, Inc. (a)		45,740		134,933
Symmetricom, Inc. (a)		12,132		70,730

				792,051

Textile Products — 0.1%
Interface, Inc., Class A		14,092		272,962
Unifi, Inc. (a)		4,056		55,973

				328,935

Textiles, Apparel & Shoes — 1.6%
Carter’s, Inc. (a)		13,249		407,539
Cherokee, Inc.		2,365		40,583
Columbia Sportswear Co.		3,151		199,773
Crocs, Inc. (a)		23,037		593,203
Delta Apparel, Inc. (a)		1,395		23,715
G-III Apparel Group, Ltd. (a)		4,357		150,229
Iconix Brand Group, Inc. (a)		19,633		475,119
The Jones Group, Inc.		23,422		254,129
K-Swiss, Inc., Class A (a)		7,370		78,343
Kenneth Cole Productions, Inc., Class A (a)		2,350		29,352
Liz Claiborne, Inc. (a)		25,780		137,923
Maidenform Brands, Inc. (a)		6,400		177,024
Oxford Industries, Inc.		3,513		118,599
Perry Ellis International, Inc. (a)		3,337		84,259
Quiksilver, Inc. (a)		35,103		164,984
R.G. Barry Corp.		2,519		28,414

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Textiles, Apparel & Shoes (concluded)
Skechers U.S.A., Inc., Class A (a)		9,966	$	144,308
Steven Madden Ltd. (a)		10,226		383,577
Timberland Co., Class A (a)		10,674		458,662
True Religion Apparel, Inc. (a)		6,969		202,659
Vera Bradley, Inc. (a)		5,252		200,626
The Warnaco Group, Inc. (a)		11,817		617,438
Weyco Group, Inc.		2,078		51,119
Wolverine World Wide, Inc.		13,325		556,319

				5,577,896

Tobacco — 0.2%
Alliance One International, Inc. (a)		23,287		75,217
Star Scientific, Inc. (a)(b)		28,652		128,934
Universal Corp.		6,123		230,653
Vector Group Ltd.		12,444		221,379

				656,183

Toys — 0.1%
Jakks Pacific, Inc. (a)		7,502		138,112
Leapfrog Enterprises, Inc. (a)		10,609		44,770

				182,882

Transportation Miscellaneous — 0.2%
Echo Global Logistics, Inc. (a)		3,203		56,853
HUB Group, Inc., Class A (a)		9,958		375,018
Odyssey Marine Exploration, Inc. (a)		17,445		54,603
Pacer International, Inc. (a)		9,452		44,614
Textainer Group Holdings Ltd.		2,919		89,730

				620,818

Truckers — 0.7%
Arkansas Best Corp.		6,894		163,595
Celadon Group, Inc. (a)		5,506		76,864
Covenant Transport Group, Class A (a)		1,275		9,881
Forward Air Corp.		7,931		267,989
Heartland Express, Inc.		13,652		226,077
Knight Transportation, Inc.		16,291		276,784
Marten Transport Ltd.		4,391		94,846
Old Dominion Freight Line, Inc. (a)		12,646		471,696
Patriot Transportation Holding, Inc. (a)		1,417		31,698
Quality Distribution, Inc. (a)		3,665		47,718
Roadrunner Transportation Systems, Inc. (a)		2,690		40,565
Saia, Inc. (a)		4,386		74,343
Swift Transportation Co. (a)		20,993		284,455
Universal Truckload Services, Inc. (a)		580		9,935
Werner Enterprises, Inc.		11,689		292,809

				2,369,255

Utilities: Electrical — 1.8%
Allete, Inc.		8,522		349,743
Atlantic Power Corp. (a)		17,772		270,490
Avista Corp.		15,192		390,282
Black Hills Corp.		10,576		318,232
CH Energy Group, Inc.		4,311		229,604
Central Vermont Public Service Corp.		3,667		132,562
Cleco Corp.		16,362		570,216
Dynegy, Inc. (a)		28,202		174,570
El Paso Electric Co.		11,456		370,029
The Empire District Electric Co.		11,226		216,213
IDACORP, Inc.		13,253		523,493
MGE Energy, Inc.		6,334		256,717
NorthWestern Corp.		9,745		322,657
Otter Tail Corp.		9,796		206,696
PNM Resources, Inc.		23,365		391,130
Pike Electric Corp. (a)		4,786		42,308
Portland General Electric Co.		20,206		510,808
UIL Holdings Corp.		13,638		441,189
Unisource Energy Corp.		9,854		367,850
Unitil Corp.		3,236		85,107

				6,169,896

Utilities: Gas Distributors — 1.1%
Chesapeake Utilities Corp.		2,670		106,880
The Laclede Group, Inc.		6,073		229,742
New Jersey Resources Corp.		11,089		494,680
Nicor, Inc.		12,185		667,007
Northwest Natural Gas Co.		7,102		320,513
Piedmont Natural Gas Co.		19,263		582,898
South Jersey Industries, Inc.		8,069		438,228
Southwest Gas Corp.		12,251		473,011
WGL Holdings, Inc.		13,643		525,119

				3,838,078

Utilities: Miscellaneous — 0.0%
Ormat Technologies, Inc.		4,339		95,501

Utilities: Telecommunications — 1.0%
8x8, Inc. (a)		16,098		78,719
Alaska Communications Systems Group, Inc.		12,675		112,427
Atlantic Tele-Network, Inc.		2,567		98,470
Boingo Wireless, Inc. (a)		1,305		11,849
Cbeyond Communications, Inc. (a)		7,559		100,006
Cincinnati Bell, Inc. (a)		54,680		181,538
Cogent Communications Group, Inc. (a)		12,585		214,071
Consolidated Communications Holdings, Inc.		7,053		137,110
Fairpoint Communications, Inc. (a)		5,360		49,366
General Communication, Inc., Class A (a)		11,677		140,941
Global Crossing Ltd. (a)		8,311		318,976
Globalstar, Inc. (a)(b)		26,299		32,348
HickoryTech Corp.		2,507		29,783
ICO Global Communications Holdings Ltd. (a)		38,338		106,196
IDT Corp., Class B		3,794		102,514
inContact, Inc. (a)		7,255		34,461
Iridium Communications, Inc. (a)(b)		11,285		97,615
j2 Global Communications, Inc. (a)		12,439		351,153
Leap Wireless International, Inc. (a)		16,334		265,101
NTELOS Holdings Corp.		8,160		166,627
Neutral Tandem, Inc. (a)		9,144		159,289
ORBCOMM, Inc. (a)		7,056		22,085
PAETEC Holding Corp. (a)		34,397		164,762
Premiere Global Services, Inc. (a)		14,439		115,223
Shenandoah Telecom Co.		6,683		113,745
SureWest Communications		3,170		53,003
Towerstream Corp. (a)		8,319		41,512
USA Mobility, Inc.		5,854		89,332
Vonage Holdings Corp. (a)		37,196		164,034

				3,552,256

Utilities: Water — 0.2%
American States Water Co.		5,040		174,687
Artesian Resources Corp., Class A		2,270		40,906
California Water Service Group		10,803		202,124
Connecticut Water Service, Inc.		2,511		64,231
Consolidated Water Co., Inc.		4,273		39,696
Middlesex Water Co.		4,428		82,272

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master Small Cap Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Utilities: Water (concluded)
Pennichuck Corp.		551	$	15,841
SJW Corp.		3,647		88,403
York Water Co.		3,878		64,181

				772,341

Total Common Stocks — 97.0%				335,896,907


Investment Companies

Asset Management & Custodian — 0.2%
BlackRock Kelso Capital Corp. (d)		19,817		177,758
Gladstone Capital Corp.		5,990		55,348
Hercules Technology Growth Capital, Inc.		12,157		127,892
Pennantpark Investment Corp.		12,406		139,071
Prospect Capital Corp.		26,418		267,086

				767,155

Total Investment Companies — 0.2%				767,155


	Beneficial
	Interest
Other Interests (e)	(000)

Diversified Financial Services — 0.0%
Student Loan Corp.	$	1	2,600

Total Other Interests — 0.0%			2,600


Warrants (f)	Shares

Alternative Energy — 0.0%
GreenHunter Energy, Inc. (Expires 8/27/11) (b)(g)		180	—

Total Warrants — 0.0%			—

Total Long-Term Investments (Cost — $238,117,513) — 97.2%			336,666,662


Short-Term Securities	Shares		Value

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.09% (d)(h)		5,123,615	$	5,123,615


	Beneficial
	Interest
	(000)

BlackRock Liquidity Series, LLC Money Market Series, 0.07% (d)(h)(i)	$	7,981	7,981,404

Total Short-Term Securities (Cost — $13,105,019) — 3.8%			13,105,019

*Total Investments Before Short Positions (Cost — $251,222,532) — 101.0%**			349,771,681


Short Positions (j)	Shares

Banks: Savings, Thrift & Mortgage Lending — (0.0%)
People’s United Financial, Inc.		9,086		(122,116	)

Total Short Positions (Proceeds — $120,530) — (0.0%)				(122,116	)

Total Investments, Net of Short Positions (Cost — $251,102,002) — 101.0%				349,649,565

Liabilities in Excess of Other Assets — (1.0%)				(3,517,084	)


Net Assets — 100.0%			$	346,132,481


*	��	The cost and unrealized appreciation (depreciation) of investments as of June 30, 2011, as computed for federal income tax purposes, were as follows:


Aggregate cost	$	263,502,286

Gross unrealized appreciation	$	120,435,519
Gross unrealized depreciation		(34,166,124	)

Net unrealized appreciation	$	86,269,395

(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		JUNE 30, 2011



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/			Beneficial
	Interest Held				Beneficial			Interest Held		Value
	at December 31,		Shares		Interest			at June 30,		at June 30,		Realized
Affiliate	2010		Purchased		Sold			2011		2011		Loss			Income

BlackRock Kelso Capital Corp		20,122		1,268		(1,573	)		19,817	$	177,758	$	(2,773	)	$	13,284
BlackRock Liquidity Funds, TempFund, Institutional Class		7,181,244		—		(2,057,629	)¹		5,123,615	$	5,123,615		—		$	4,665
BlackRock Liquidity Series, LLC
Money Market Series	$	8,152,630		—	$	(171,226	)¹	$	7,981,404	$	7,981,404		—		$	128,098
PennyMac Mortgage Investment Trust		5,329		3,642		(1,304	)		7,667	$	127,042	$	(2,530	)	$	5,409


¹		Represents net shares/beneficial interest sold.

(e)		Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

(f)		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.

(g)		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

—

(h)		Represents the current yield as of report date.

(i)		Security was purchased with the cash collateral from loaned securities.

(j)		In order to track the performance of its benchmark index, the Series sold non-index securities that it subsequently received in corporate actions occurring on the opening of market trading on the following business day.

•		Financial futures contracts purchased as of June 30,2011 were as follows:

Expiration

Notional

Unrealized

Contracts

Issue

Exchange

Date

Value

Appreciation

115

Russell

ICE Futures

September 2011

9,492,100

254,499

2000 EMINI

US Indices

•

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.

•

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are summarized in three broad levels for financial statement purposes 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 derivative financial instruments)

The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Series’ perceived risk of investing in those securities. For information about the Series’ policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Schedule of Investments (concluded)		Master Small Cap Index Series

The following tables summarize the inputs used as of June 30, 2011 in determining the fair valuation of the Series’ investments and derivative financial instruments:


Valuation Inputs	Level 1			Level 2		Level 3		Total

Assets:
Investments:
Long-Term Investments²:
Common Stocks	$	335,896,907			—		—	$	335,896,907
Investment Companies		767,155			—		—		767,155
Warrants		—		$	2,600		—		2,600
Short-Term Securities		5,123,615			7,981,404		—		13,105,019
Liabilities:
Short Positions		(122,116	)		—		—		(122,116	)

Total	$	341,665,561		$	7,984,004		—	$	349,649,565


²		See above Schedule of Investments for values in each industry.


Valuation Inputs	Level 1		Level 2		Level 3		Total

Derivative Financial Instruments³
Assets:
Equity contracts	$	254,499		—		—	$	254,499

Derivative financial instruments are financial futures contracts, which are shown at the unrealized appreciation/ depreciation on the instrument.

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Statement of Assets and Liabilities		Master Small Cap Index Series


June 30, 2011 (Unaudited)

Assets

Investments at value — unaffiliated (including securities loaned of $7,981,079) (cost — $237,779,014)	$	336,361,862
Investments at value — affiliated (cost — $13,443,518)		13,409,819
Cash pledged as collateral for financial futures contracts		194,000
Contributions receivable from investors		2,768,368
Investments sold receivable		1,102,046
Dividends receivable		410,644
Margin variation receivable		55,104
Securities lending income receivable — affiliated		48,157
Prepaid expenses		9,447

Total assets		354,359,447



Liabilities

Collateral on securities loaned at value		7,981,404
Bank overdraft		79,254
Short positions at value (proceeds — $120,530)		122,116
Investment advisory fees payable		1,979
Other affiliates payable		2,826
Directors’ fees payable		153
Other accrued expenses payable		33,732
Other liabilities payable		5,502

Total liabilities		8,226,966

Net Assets	$	346,132,481



Net Assets Consist of

Investors’ capital	$	247,330,390
Net unrealized appreciation/depreciation		98,802,091

Net Assets	$	346,132,481

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Statement of Operations		Master Small Cap Index Series


Six Months Ended June 30, 2011 (Unaudited)

Investment Income

Dividends — unaffiliated	$	1,861,195
Foreign taxes withheld		(488	)
Securities lending — affiliated		128,098
Dividends — affiliated		23,358

Total income		2,012,163



Expenses

Investment advisory		17,766
Accounting services		48,351
Custodian		37,174
Professional		35,763
Directors		4,974
Miscellaneous		4,797

Total expenses		148,825
Less fees waived and/or reimbursed by advisor		(16,933	)

Total expenses after fees waived and/or reimbursed		131,892

Net investment income		1,880,271



Realized and Unrealized Gain (Loss)

Net realized gain (loss) from:
Investments — unaffiliated		16,352,200
Investments — affiliated		(5,303	)
Financial futures contracts		(284,631	)

		16,062,266


Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated		3,540,895
Financial futures contracts		254,876
Short positions		(1,586	)
Foreign currency transactions		29

		3,794,214


Total realized and unrealized gain		19,856,480

Net Increase in Net Assets Resulting from Operations	$	21,736,751

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Statements of Changes in Net Assets		Master Small Cap Index Series


	Six Months
	Ended
	June 30,			Year Ended
	2011			December 31,
Increase (Decrease) in Net Assets:	(Unaudited)			2010

Operations

Net investment income	$	1,880,271		$	3,501,724
Net realized gain (loss)		16,062,266			(9,889,317	)
Net change in unrealized appreciation/depreciation		3,794,214			60,704,760

Net increase in net assets resulting from operations		21,736,751			54,317,167



Capital Transactions

Proceeds from contributions		81,854,088			226,075,632
Value of withdrawals		(95,630,339	)		(171,857,514	)

Net increase (decrease) in net assets derived from capital transactions		(13,776,251	)		54,218,118



Net Assets

Total increase in net assets		7,960,500			108,535,285
Beginning of period		338,171,981			229,636,696

End of period	$	346,132,481		$	338,171,981



Financial Highlights		Master Small Cap Index Series


	Six Months
	Ended
	June 30,
	2011			Year Ended December 31,
	(Unaudited)			2010			2009			2008			2007			2006

Total Investment Return

Total investment return		6.07	%¹		27.19	%		27.37	%		(33.57	)%		(1.46	)%		18.13	%



Ratios to Average Net Assets

Total expenses		0.08	%²		0.12	%		0.09	%		0.08	%		0.06	%		0.07	%

Total expenses after fees waived and/or reimbursed and fees paid indirectly		0.07	%²		0.08	%		0.07	%		0.07	%		0.06	%		0.07	%

Net investment income		1.06	%²		1.27	%		1.27	%		1.60	%		1.69	%		1.55	%




Supplemental Data

Net assets, end of period (000)	$	346,132		$	338,172		$	229,637		$	344,720		$	630,394		$	561,373

Portfolio turnover		17	%		42	%		43	%		42	%		26	%		40	%


¹		Aggregate total investment return.

²		Annualized.

See Notes to Financial Statements.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Notes to Financial Statements (Unaudited)		Master Small Cap Index Series

1. Organization and Significant Accounting Policies:

Master Small Cap Index Series (the “Series”), a diversified, open-end management investment company, is a series of Quantitative Master Series LLC (the “Master LLC”). The Master LLC is registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”), and is organized as a Delaware limited liability company. The Master LLC’s Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the “Board”) to issue non-transferable interests, subject to certain limitations. The Series’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), 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: US GAAP defines fair value as the price the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. 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 (long positions) or ask (short positions) price. If no bid or ask 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 underlying fund’s net assets. 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 under the 1940 Act. The Fund 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 Securities and Exchange Commission (“SEC”) require that the Series either deliver collateral or segregate 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 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 to such transactions 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. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. 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 approved borrowers, such as banks, brokers and other financial institutions. The borrower pledges cash, securities issued or guaranteed by the US government or irrevocable letters of credit issued by a bank 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 but does



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Notes to Financial Statements (continued)		Master Small Cap Index Series

not receive dividend or interest income on the securities received as collateral. 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. During the period, the Series accepted only cash collateral in connection with securities loaned.

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.

Recent Accounting Standard: In May 2011, the Financial Accounting Standards Board issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Series’ financial statements and disclosures.

The Series has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Series engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Series and to economically hedge, or protect, its exposure to certain risks such as equity risk. These contracts may be transacted on an exchange.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. Counterparty risk related to exchange-traded financial futures contracts 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 the 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 the 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 appreciation or depreciation. 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 contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Notes to Financial Statements (continued)		Master Small Cap Index Series

Derivative Financial Instruments Categorized by Risk Exposure:

Fair Values of Derivative Financial Instruments as of June 30, 2011


	Asset Derivatives
	Statement of
	Assets and
	Liabilities
	Location	Value

	Net
	unrealized
Equity contracts	appreciation*	$	254,499


*		Includes cumulative appreciation/depreciation on 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 Financial Instruments in the Statement of Operations
Six Months Ended June 30, 2011


	Net Realized Loss from
	Financial Futures Contracts
Equity contracts	$	(284,631	)


	Net Change in Unrealized
	Appreciation/Depreciation on
	Financial Futures Contracts
Equity contracts	$	254,876

For the six months ended June 30, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:



Financial futures contracts:
Average number of contracts purchased		82
Average notional value of contracts purchased	$	6,603,410

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) 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 Barclays is not.

The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Series’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of the Series’ portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Series. For such services, the Series pays the Manager a monthly fee at an annual rate of 0.01% of the Series’ average daily 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 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 independent directors. For the six months ended June 30, 2011, the Series waived and/or reimbursed $14,724, 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 six months ended June 30, 2011, the Manager waived $2,209, 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 six months ended June 30, 2011, the Series reimbursed the Manager $2,262 for certain accounting services, which is included in accounting services in the Statement of Operations.

The Master LLC, on behalf of the Series, received an exemptive order from the SEC permitting 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 at value and collateral on securities loaned at value, respectively. The cash collateral invested by BIM is disclosed in the Schedule of Investments. The share of income earned by the Series on such investments is shown as securities lending — affiliated in the Statement of Operations. For the six months ended June 30, 2011, BIM received $40,607 in securities lending agent fees related to securities lending activities for the Series.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Notes to Financial Statements (concluded)		Master Small Cap Index 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 period ended June 30, 2011, were $60,835,840 and $69,275,441, respectively.

5. Borrowings:

The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders, which expires in November 2011. The Series may borrow under the credit agreement to fund shareholder redemptions. The Series pays 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 six months ended June 30, 2011.

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 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 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.

As of June 30, 2011, the Series invested a significant portion of its assets in securities in the energy sector. Changes in economic conditions affecting the energy 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.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement

The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of Quantitative Master Series LLC (the “Master LLC”) met on April 5, 2011 and May 17—18, 2011 to consider the approval of the Master LLC’s investment advisory agreement (the “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), the Master LLC’s investment advisor, on behalf of the Master Small Cap Index Series (the “Master Portfolio”), a series of the Master LLC. The Board of Directors of the Master LLC also considered the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and BlackRock Investment Management, LLC (the “Sub-Advisor”), with respect to the Master Portfolio. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreement are referred to herein as the “Agreements.”

Activities and Composition of the Board

The Board consists of thirteen individuals, eleven of whom are not “interested persons” of the Master LLC as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Master LLC and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Co-Chairs of the Board are each Independent Board Members. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight and Contract Committee and an Executive Committee, each of which is composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member) and is chaired by Independent Board Members. The Board also established an ad hoc committee, the Joint Product Pricing Committee, which consisted of Independent Board Members and directors/trustees of the boards of certain other BlackRock-managed funds, who were not “interested persons” of their respective funds.

The Agreements

Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreements on an annual basis. In connection with this process, the Board assessed, among other things, the nature, scope and quality of the services provided to the Master Portfolio by BlackRock, its personnel and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services, risk oversight, compliance program and assistance in meeting applicable legal and regulatory requirements.

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Master Portfolio and its shareholders. Among the matters the Board considered were: (a) investment performance of an affiliated feeder fund that invests all of its investable assets in the Master Portfolio (the “representative feeder fund”) for one-, three- and five-year periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management’s and portfolio managers’ analysis of the reasons for any over performance or underperformance against its peers and/or benchmark, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolio for services, such as marketing and distribution and fund accounting; (c) the Master Portfolio’s operating expenses and how BlackRock allocates expenses to the Master Portfolio; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Master Portfolio’s investment objective, policies and restrictions; (e) the Master LLC’s compliance with its Code of Ethics and other compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Master LLC’s valuation and liquidity procedures; (k) an analysis of contractual and actual management fees for products with similar investment objectives across the open-end fund, exchange traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable; (l) BlackRock’s compensation methodology for its investment professionals and the incentives it creates; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April 5, 2011 meeting, the Board requested and received materials specifically relating to the Agreements. The Board is engaged in a process with BlackRock to review periodically the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April meeting included (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on fees and expenses of the Master Portfolio and the representative feeder fund, as applicable, and the investment performance of the representative feeder fund as compared with a peer group of funds as determined by Lipper (collectively,“Peers”), as well as the gross investment performance of the representative feeder fund as compared with its benchmark; (b) information on the profitability of the Agreements to BlackRock and a discussion of fall-out benefits to BlackRock and its affiliates and significant shareholders; (c) a general analysis provided by BlackRock concerning investment management fees (a combination of the advisory fee and the administration fee, if any) charged to other clients, such as institutional clients, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) the impact of economies of scale; (e) a summary of aggregate amounts paid by the Master Portfolio to BlackRock; and (f) if applicable, a comparison of management fees to similar BlackRock open-end funds, as classified by Lipper.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued)

At an in-person meeting held on April 5, 2011, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the April 5, 2011 meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the May 17—18, 2011 Board meeting.

At an in-person meeting held on May 17—18, 2011, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Master LLC with respect to the Master Portfolio and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Master Portfolio, each for a one-year term ending June 30, 2012. In approving the continuation of the Agreements, the Board considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Master Portfolio and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio; (d) economies of scale; (e) fall out benefits to BlackRock as a result of its relationship with the Master Portfolio; and (f) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to the distribution of Master Portfolio shares, services related to the valuation and pricing of portfolio holdings of the Master Portfolio, direct and indirect benefits to BlackRock and its affiliates and significant shareholders from their relationship with the Master Portfolio and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Master Portfolio. The Board received information regarding the investment performance of the representative feeder fund. The Board met with BlackRock’s senior management personnel responsible for investment operations, including the senior investment officers. The Board also reviewed the materials provided by the portfolio management team discussing performance of the representative feeder fund and the Master Portfolio’s investment objective, strategies and outlook.

The Board considered, among other factors, the number, education and experience of BlackRock’s investment personnel generally and the Master Portfolio’s portfolio management team, investments by portfolio managers in the funds they manage, BlackRock’s portfolio trading capabilities, BlackRock’s use of technology, BlackRock’s commitment to compliance, BlackRock’s credit analysis capabilities, BlackRock’s risk analysis capabilities and BlackRock’s approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board engaged in a review of BlackRock’s compensation structure with respect to the Master Portfolio’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to advisory services, the Board considered the quality of the administrative and non-investment advisory services provided to the Master Portfolio. BlackRock and its affiliates and significant shareholders provide the Master Portfolio with certain administrative, transfer agency, shareholder and other services (in addition to any such services provided to the Master Portfolio by third parties) and officers and other personnel as are necessary for the operations of the Master Portfolio. In addition to investment advisory services, BlackRock and its affiliates provide the Master Portfolio with other services, including (i) preparing disclosure documents, such as the prospectus, the statement of additional information and periodic shareholder reports; (ii) assisting with daily accounting and pricing; (iii) overseeing and coordinating the activities of other service providers; (iv) organizing Board meetings and preparing the materials for such Board meetings; (v) providing legal and compliance support; and (vi) performing other administrative functions necessary for the operation of the Master Portfolio, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Board reviewed the structure and duties of BlackRock’s fund administration, accounting, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Master Portfolio and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Master Portfolio. The Board noted that the Master Portfolio’s investment results correspond directly to the investment results of the representative feeder fund. In preparation for the April 5, 2011 meeting, the Board worked with BlackRock and Lipper to develop a template for, and was provided with, reports independently prepared by Lipper, which included a comprehensive analysis of the representative feeder fund’s performance. The Board also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper’s rankings. In connection with its review, the Board received and reviewed information regarding the investment performance of the representative feeder fund as compared to funds in the representative feeder fund’s applicable Lipper category and the gross investment performance of the representative feeder fund as compared with its benchmark. The Board was provided with a description of the methodology used by Lipper to select peer funds. The Board and the Board’s Performance Oversight and Contract Committee regularly review and meet with Master Portfolio management to discuss the performance of



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued)

the Master Portfolio and the representative feeder fund, as applicable, throughout the year.

The Board noted that the representative feeder fund’s gross performance exceeded its benchmark index during each of the one-, three- and five-year periods reported.

The Board noted that BlackRock has made changes to the organization of the overall equity group management structure designed to result in a strengthened leadership team with clearer accountability.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio: The Board, including the Independent Board Members, reviewed the representative feeder fund’s contractual management fee ratio compared with the other funds in the representative feeder fund’s Lipper category. It also compared the representative feeder fund’s total expense ratio, as well as actual management fee ratio, to those of other funds in its Lipper category. The Board considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including separately managed institutional accounts.

The Board received and reviewed statements relating to BlackRock’s financial condition and profitability with respect to the services it provided the Master Portfolio. The Board was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolio. The Board reviewed BlackRock’s profitability with respect to the Master Portfolio and other funds the Board currently oversees for the year ended December 31, 2010 compared to available aggregate profitability data provided for the years ended December 31, 2009 and December 31, 2008. The Board reviewed BlackRock’s profitability with respect to other fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, expense allocations and business mix, and the difficulty of comparing profitability as a result of those factors.

The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board considered BlackRock’s operating margin, in general, compared to the operating margin for leading investment management firms whose operations include advising open-end funds, among other product types. That data indicates that operating margins for BlackRock, in general and with respect to its registered funds, are generally consistent with margins earned by similarly situated publicly traded competitors. In addition, the Board considered, among other things, certain third party data comparing BlackRock’s operating margin with that of other publicly-traded asset management firms. That third party data indicates that larger asset bases do not, in themselves, translate to higher profit margins.

In addition, the Board considered the cost of the services provided to the Master Portfolio by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Master Portfolio and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs to the management of the Master Portfolio. The Board also considered whether BlackRock has the financial resources necessary to attract and retain high-quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board.

The Board noted that the representative feeder fund’s contractual management fee ratio (a combination of the advisory fee and the administration fee, if any) was lower than or equal to the median contractual management fee ratio paid by the representative feeder fund’s Peers, in each case before taking into account any expense reimbursements or fee waivers. The Board also noted that BlackRock has contractually agreed to waive fees and/or reimburse expenses in order to limit, to a specified amount, the Master Portfolio’s total operating expenses as a percentage of the Master Portfolio’s average daily net assets.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolio increase. The Board also considered the extent to which the Master Portfolio benefit from such economies and whether there should be changes in the advisory fee rate or structure in order to enable the Master Portfolio to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the asset level of the Master Portfolio.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates and significant shareholders may derive from their respective relationships with the Master Portfolio, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates and significant shareholders as service providers to the Master Portfolio, including for administrative, distribution and securities lending services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (concluded)

accounts. The Board further noted that BlackRock’s funds may invest in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.

In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

Conclusion

The Board of the Master LLC, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Master LLC, with respect to the Master Portfolio, for a one-year term ending June 30, 2012 and the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to the Master Portfolio, for a one-year term ending June 30, 2012. As part of its approval, the Board of the Master LLC considered the detailed review of BlackRock’s fee structure, as it applies to the Master LLC, conducted by the ad hoc Joint Product Pricing Committee. Based upon its evaluation of all of the aforementioned factors in their totality, the Board of the Master LLC, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Master Portfolio and its shareholders. In arriving at its decision to approve the Agreements, the Board of the Master LLC did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolio reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011



Officers and Directors		Master Small Cap Index Series

Ronald W. Forbes, Co-Chair of the Board and Director
Rodney D. Johnson, Co-Chair of the Board and Director
David O. Beim, Director
Richard S. Davis, Director
Henry Gabbay, Director
Dr. Matina S. Horner, Director
Herbert I. London, Director
Cynthia A. Montgomery, Director
Joseph P. Platt, Director
Robert C. Robb, Jr., Director
Toby Rosenblatt, Director
Kenneth L. Urish, Director
Frederick W. Winter, Director
John M. Perlowski, President and Chief Executive Officer
Brendan Kyne, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Brian Kindelan, Chief Compliance Officer and Anti-Money Laundering Officer
Ira P. Shapiro, Secretary


Investment Advisor	Sub-Advisor	Custodian	Accounting	Legal Counsel	Independent Registered
BlackRock Advisors, LLC Wilmington, DE 19809	BlackRock Investment Management, LLC Princeton, NJ 08540	State Street Bank and Trust Company Boston, MA 02111	Agent State Street Bank and Trust Company Boston, MA 02116	Sidley Austin LLP New York, NY 10019	Public Accounting Firm Deloitte & Touche LLP Princeton, NJ 08540



MASTER SMALL CAP INDEX SERIES		JUNE 30, 2011

Schedule of Investments June 30, 2011 (Unaudited)

Master International Index Series
(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Australia — 8.4%
AGL Energy Ltd.		39,541	$	622,397
AMP Ltd.		243,895		1,282,621
ASX Ltd.		15,311		501,640
Alumina Ltd.		213,456		488,875
Amcor Ltd.		105,699		819,056
Asciano Ltd.		261,088		461,599
Australia & New Zealand Banking Group Ltd.		226,256		5,363,358
BGP Holdings Plc		783,183		11
BHP Billiton Ltd.		279,869		13,226,859
Bendigo and Adelaide Bank Ltd.		32,898		313,716
BlueScope Steel Ltd.		161,329		209,952
Boral Ltd.		64,514		305,869
Brambles Ltd.		128,183		996,643
CFS Retail Property Trust		157,954		307,900
CSL Ltd.		47,214		1,678,270
Caltex Australia, Ltd.		11,046		140,156
Coca-Cola Amatil, Ltd.		49,409		606,244
Cochlear Ltd.		4,915		380,409
Commonwealth Bank of Australia Ltd.		134,991		7,602,724
Computershare, Ltd.		37,756		360,645
Crown, Ltd.		38,180		367,017
Dexus Property Group		432,199		409,465
Echo Entertainment Group Ltd. (a)		59,733		263,314
Fairfax Media Ltd.		189,335		199,870
Fortescue Metals Group, Ltd.		109,696		752,676
Foster’s Group Ltd.		170,332		940,852
GPT Group		152,603		518,736
Goodman Group		593,829		450,184
Harvey Norman Holdings, Ltd.		43,462		116,377
Iluka Resources Ltd.		36,056		652,225
Incitec Pivot, Ltd.		141,185		587,997
Insurance Australia Group Ltd.		182,261		666,341
Leighton Holdings Ltd.		12,693		286,327
Lend Lease Group		47,274		456,542
Lynas Corp. Ltd. (a)		145,691		309,397
MacArthur Coal Ltd.		14,042		165,655
Macquarie Group, Ltd.		29,932		1,009,770
Metcash, Ltd.		64,819		289,275
Mirvac Group		300,218		403,792
National Australia Bank Ltd.		189,084		5,227,688
Newcrest Mining Ltd.		66,974		2,713,769
OZ Minerals Ltd.		28,782		409,565
OneSteel Ltd.		112,768		225,197
Orica Ltd.		31,887		924,451
Origin Energy Ltd.		92,504		1,572,821
Paladin Energy, Ltd. (a)		57,611		157,041
QBE Insurance Group Ltd.		92,107		1,709,509
QR National, Ltd. (a)		147,372		536,315
Qantas Airways Ltd. (a)		101,794		201,964
Ramsay Health Care, Ltd.		11,800		230,530
Rio Tinto Ltd.		37,862		3,370,133
SP AusNet		112,442		114,047
Santos Ltd.		77,108		1,124,281
Sims Metal Management, Ltd.		13,902		264,326
Sonic Healthcare Ltd.		33,077		457,736
Stockland		205,344		753,197
Suncorp-Metway Ltd.		112,917		986,993
Tabcorp Holdings Ltd.		59,733		211,310
Tatts Group, Ltd.		118,724		306,528
Telstra Corp. Ltd.		376,796		1,170,851
Toll Holdings, Ltd.		56,864		296,646
Transurban Group		112,554		632,227
Wesfarmers Ltd., Ordinary Shares		87,467		2,997,654
Wesfarmers Ltd., Partially Protected Shares		13,370		463,644
Westfield Group		192,035		1,789,869
Westfield Retail Trust		256,982		749,089
Westpac Banking Corp.		262,211		6,290,906
Woodside Petroleum Ltd.		54,681		2,412,364
Woolworths, Ltd.		106,015		3,163,138
WorleyParsons, Ltd.		16,787		511,115

				86,489,660

Austria — 0.3%
Erste Bank der Oesterreichischen Sparkassen AG		16,326		855,043
IMMOFINANZ Immobilien Anlagen AG (a)		84,988		362,365
Immoeast AG NPV		30,711		1
OMV AG		14,273		623,536
Raiffeisen Bank International AG		4,394		226,339
Telekom Austria AG		29,064		370,895
Verbund AG		5,702		248,252
Vienna Insurance Group		3,349		184,063
Voestalpine AG		9,839		542,668

				3,413,162

Belgium — 0.9%
Ageas		197,412		534,714
Anheuser-Busch InBev NV		70,002		4,062,732
Bekaert SA		3,397		258,668
Belgacom SA		13,120		467,501
Colruyt SA		6,401		320,243
Delhaize Group		8,815		661,438
Dexia SA (a)		50,077		155,912
Groupe Bruxelles Lambert SA		7,018		623,453
KBC Bancassurance Holding		13,906		545,658
Mobistar SA		2,628		199,352
Solvay SA		5,097		786,954
UCB SA		9,088		408,369
Umicore SA		9,914		540,733

				9,565,727

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:


AUD		Australian Dollar
CHF		Swiss Franc
DKK		Danish Krone
EUR		Euro
GBP		British Pound
ILS		Israeli New Shekel
JPY		Japanese Yen
MSCI		Morgan Stanley Capital International
NOK		Norwegian Krone
NZD		New Zealand Dollar
SEK		Swedish Krona
SGD		Singapore Dollar
USD		US Dollar

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master International Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Bermuda — 0.1%
Seadrill Ltd.		26,709	$	939,056

China — 0.0%
Foxconn International Holdings Ltd. (a)		179,313		79,115

Cyprus — 0.0%
Bank of Cyprus Plc		76,169		224,579

Denmark — 1.0%
A.P. Moller — Maersk A/S, Class A		48		397,613
A.P. Moller — Maersk A/S, Class B		116		1,001,429
Carlsberg A/S, Class B		9,344		1,017,402
Coloplast A/S, Class B		2,006		305,051
DSV A/S		18,798		451,240
Danske Bank A/S (a)		57,482		1,063,870
Novo-Nordisk A/S, Class B		36,494		4,571,941
Novozymes A/S, Class B		4,010		653,374
Pandora A/S		4,920		154,581
TDC A/S		32,016		292,186
Tryg A/S		2,275		131,373
Vestas Wind Systems A/S (a)		17,972		417,200
William Demant Holding A/S (a)		1,985		179,270

				10,636,530

Finland — 0.9%
Elisa Corp.		12,246		263,557
Fortum Oyj		38,452		1,114,926
Kesko Oyj, Class B		5,924		275,510
Kone Oyj, Class B		13,787		866,146
Metso Oyj		10,990		624,763
Neste Oil OYj		10,756		168,735
Nokia Oyj		324,982		2,096,361
Nokian Renkaat Oyj		9,362		470,099
Orion Oyj		8,394		216,513
Outokumpu Oyj		11,706		155,122
Pohjola Bank Plc		11,663		150,875
Rautaruukki Oyj		7,372		166,628
Sampo Oyj		36,252		1,170,381
Sanoma Oyj		6,877		127,605
Stora Enso Oyj, Class R		49,876		523,767
UPM-Kymmene Oyj		45,911		839,995
Wartsila Oyj		14,440		488,289

				9,719,272

France — 9.7%
AXA SA		151,983		3,450,036
Accor SA		12,885		576,443
Aeroports de Paris		2,987		280,878
Air France-KLM (a)		11,270		173,088
Air Liquide		24,818		3,555,480
Alcatel-Lucent SA (a)		200,799		1,158,738
Alstom SA		17,862		1,100,203
Arkema SA		4,767		490,295
Atos Origin SA		4,223		238,549
BNP Paribas SA		83,571		6,444,072
Bouygues SA		20,469		900,107
Bureau Veritas SA		4,701		396,983
CNP Assurances		13,166		286,627
Cap Gemini SA		12,870		753,637
Carrefour SA		50,193		2,063,410
Casino Guichard Perrachon SA		4,781		450,610
Christian Dior SA		4,678		735,120
Cie de Saint-Gobain		34,644		2,245,555
Cie Générale d’Optique Essilor International SA		17,506		1,420,415
Cie Générale de Géophysique — Veritas (a)		12,579		461,011
Cie Générale des Etablissements Michelin		15,277		1,496,225
Credit Agricole SA		84,579		1,270,661
Danone		50,903		3,800,067
Dassault Systèmes SA		5,311		451,650
EDP Renoveveis SA		21,301		835,104
Edenred		13,448		410,314
Eiffage SA		3,633		240,151
Eramet		468		154,842
Eurazeo		2,533		184,690
Eutelsat Communications SA		8,394		377,902
Foncière Des Regions		2,385		252,638
France Telecom SA		162,020		3,445,110
GDF Suez		107,993		3,946,882
Gecina SA		1,890		264,075
Groupe Eurotunnel SA		44,780		501,084
ICADE		2,075		255,610
Iliad SA		1,649		221,293
Imerys SA		2,817		198,163
JC Decaux SA (a)		5,627		180,567
Klepierre		8,990		371,184
L’Oreal SA		20,996		2,724,734
LVMH Moët Hennessy Louis Vuitton SA		21,419		3,848,931
Lafarge SA		17,363		1,106,362
Lagardere S.C.A.		10,554		446,620
Legrand Promesses		16,992		715,235
Metropole Television SA		4,771		110,442
Natixis		75,674		379,687
Neopost SA		2,895		248,737
Pernod-Ricard SA		17,265		1,702,778
Peugeot SA		13,161		590,419
Pinault-Printemps-Redoute		6,586		1,173,000
Publicis Groupe		11,018		615,069
Renault SA		16,934		1,004,700
Safran SA		14,469		617,403
Sanofi-Aventis		97,115		7,811,988
Schneider Electric SA		21,374		3,568,853
Scor SE		14,491		411,314
Société BIC SA		2,488		240,350
Société Générale SA		55,104		3,263,590
Société Television Française 1		9,864		179,936
Sodexo Alliance SA		8,288		649,230
Suez Environnement Co.		23,632		470,941
Technip SA		8,569		918,524
Thales SA		8,580		369,515
Total SA		184,289		10,654,385
Unibail-Rodamco SE		8,053		1,860,651
Vallourec SA		9,863		1,202,455
Veolia Environnement SA		30,730		865,779
Vinci SA		38,657		2,480,907
Vivendi SA		107,654		3,000,633
Wendel SA		2,830		347,531

				99,620,168

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master International Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Germany — 8.8%
Adidas-Salomon AG		18,413	$	1,459,812
Allianz AG, Registered Shares		39,558		5,516,236
Axel Springer AG		3,231		159,586
BASF SE		80,045		7,846,115
Bayer AG, Registered Shares		72,069		5,788,333
Bayerische Motoren Werke AG		28,763		2,872,243
Bayerische Motoren Werke AG, Preference Shares		4,752		302,194
Beiersdorf AG		8,774		570,060
Brenntag AG		2,821		328,107
Celesio AG		7,348		146,723
Commerzbank AG (a)		312,309		1,345,169
Continental AG		6,888		725,844
Daimler AG		78,942		5,953,133
Deutsche Bank AG, Registered Shares		81,009		4,781,192
Deutsche Boerse AG		16,848		1,279,260
Deutsche Lufthansa AG		19,985		435,296
Deutsche Post AG		74,425		1,430,794
Deutsche Telekom AG, Registered Shares		245,138		3,825,167
E.ON AG		157,000		4,462,628
Fraport AG		3,268		262,580
Fresenius Medical Care AG		17,253		1,290,437
Fresenius SE & Co. KGaA		10,035		1,047,460
GEA Group AG		15,041		538,657
Hannover Rueckversicherung AG, Registered Shares		5,470		284,472
HeidelbergCement AG		12,363		790,684
Henkel KGaA		11,305		647,971
Henkel KGaA, Preference Shares		15,571		1,082,778
Hochtief AG		3,829		319,955
Infineon Technologies AG		94,294		1,059,520
K+S AG		15,155		1,163,727
Kabel Deutschland Holding AG (a)		6,204		382,170
Lanxess		7,247		594,461
Linde AG		14,694		2,578,009
MAN AG		9,312		1,240,357
Merck KGaA		5,587		607,469
Metro AG		11,158		675,705
Muenchener Rueckversicherungs AG, Registered Shares		16,511		2,520,486
Porsche Automobil Holding SE, Preference Shares		13,443		1,066,333
ProSieben SAT.1 Media AG, Preference Shares		6,266		178,389
RWE AG		36,460		2,025,607
RWE AG, Preference Shares		3,320		169,446
SAP AG		80,191		4,861,841
Salzgitter AG		3,282		250,240
Siemens AG		71,704		9,853,619
Suedzucker AG		5,874		209,156
TUI AG (a)		12,274		133,407
ThyssenKrupp AG		29,345		1,524,697
United Internet AG		9,819		206,424
Volkswagen AG		2,584		475,329
Volkswagen AG, Preference Shares		12,568		2,599,007
Wacker Chemie AG		1,427		308,232

				90,176,517

Greece — 0.2%
Alpha Bank AE (a)		43,309		218,100
Coca-Cola Hellenic Bottling Co. SA		16,481		442,695
EFG Eurobank Ergasias SA (a)		27,241		127,781
Hellenic Telecommunications Organization SA		21,160		197,428
National Bank of Greece SA (a)		85,219		612,803
OPAP SA		19,756		308,550
Public Power Corp.		9,559		137,056

				2,044,413

Hong Kong — 2.7%
AIA Group Ltd. (a)		681,200		2,371,275
ASM Pacific Technology, Ltd.		16,504		226,927
BOC Hong Kong Holdings Ltd.		325,400		947,878
Bank of East Asia Ltd.		134,932		555,514
CLP Holdings Ltd.		167,187		1,483,128
Cathay Pacific Airways Ltd.		99,263		230,912
Cheung Kong Holdings Ltd.		121,835		1,789,151
Cheung Kong Infrastructure Holdings Ltd.		37,500		195,100
Esprit Holdings Ltd.		105,987		331,157
Galaxy Entertainment Group Ltd. (a)		107,000		230,166
Hang Lung Group Ltd.		75,000		476,227
Hang Lung Properties Ltd.		218,000		896,339
Hang Seng Bank Ltd.		66,953		1,071,004
Henderson Land Development Co., Ltd.		95,491		617,497
The Hong Kong & China Gas Ltd.		408,450		929,185
Hong Kong Exchanges and Clearing Ltd.		89,727		1,889,368
Hopewell Holdings Ltd.		46,849		148,618
Hutchison Whampoa Ltd.		186,176		2,017,208
Hysan Development Co., Ltd.		54,791		271,808
Kerry Properties Ltd.		63,000		304,507
The Link REIT		192,914		658,991
Li & Fung Ltd.		491,980		983,315
Lifestyle International Holdings Ltd.		52,466		153,494
MTR Corp.		127,000		451,703
Map Group		31,261		112,259
NWS Holdings, Ltd.		109,500		146,791
New World Development Ltd.		203,484		308,933
Orient Overseas International Ltd.		18,057		116,745
PCCW, Ltd.		321,000		138,517
Power Assets Holdings Ltd.		119,500		904,500
SJM Holdings, Ltd.		147,000		349,695
Sands China Ltd. (a)		210,600		570,841
Shangri-La Asia, Ltd.		129,905		318,919
Sino Land Co., Ltd.		228,421		367,373
Sun Hung Kai Properties Ltd.		123,324		1,802,698
Swire Pacific Ltd., Class A, Class A		64,077		943,401
Wharf Holdings Ltd.		130,357		909,047
Wheelock & Co., Ltd.		81,000		325,812
Wing Hang Bank, Ltd.		14,500		159,110
Wynn Macau Ltd.		136,400		446,677
Yue Yuen Industrial Holdings, Ltd.		63,785		202,900

				27,354,690

Ireland — 0.3%
Anglo Irish Bank Corp. Plc		62,641		1
CRH Plc		62,267		1,379,956
Elan Corp. Plc (a)		42,771		490,929
James Hardie Industries SE (a)		37,231		235,881
Kerry Group Plc		12,192		502,293
Ryanair Holdings Plc		29,444		150,151

				2,759,211

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master International Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Israel — 0.7%
Bank Hapoalim Ltd.		91,371	$	456,722
Bank Leumi Le-Israel BM		104,733		495,220
Bezeq Israeli Telecommunication Corp., Ltd.		156,262		395,610
Cellcom Israel, Ltd.		4,972		138,727
Delek Group, Ltd.		395		88,781
Elbit Systems Ltd.		2,059		97,887
Israel Chemicals Ltd.		38,577		615,616
The Israel Corp. Ltd.		197		215,382
Israel Discount Bank Ltd. (a)		63,946		126,071
Makhteshim-Agan Industries, Ltd. (a)		18,550		103,651
Mizrahi Tefahot Bank, Ltd.		10,047		106,929
Nice Systems, Ltd. (a)		5,144		185,984
Partner Communications Co., Ltd.		7,239		109,159
Teva Pharmaceutical Industries Ltd.		81,949		3,952,339

				7,088,078

Italy — 2.6%
A2A SpA		94,579		147,313
Assicurazioni Generali SpA		101,508		2,140,036
Atlantia SpA		27,490		585,382
Autogrill SpA		9,990		131,190
Banca Carige SpA		58,018		131,385
Banca Monte dei Paschi di Siena SpA		371,709		281,357
Banco Popolare SpA		151,959		349,964
Enel Green Power SpA		154,583		426,346
Enel SpA		574,395		3,753,195
Eni SpA		209,447		4,963,671
Exor SpA		5,439		170,114
Fiat Industrial SpA (a)		65,697		848,517
Fiat SpA		65,530		720,048
Finmeccanica SpA		36,147		437,367
Intesa Sanpaolo SpA		875,784		2,332,016
Intesa Sanpaolo SpA, Non-Convertible Savings Shares		76,292		164,456
Luxottica Group SpA		9,883		317,315
Mediaset SpA		61,786		290,459
Mediobanca SpA		44,507		450,724
Parmalat SpA (a)		104,061		391,445
Pirelli & C SpA		20,321		219,745
Prysmian SpA		18,305		368,483
Saipem SpA		22,912		1,183,182
Snam Rete Gas SpA		138,325		818,746
Telecom Italia SpA		811,255		1,128,447
Telecom Italia SpA, Non-Convertible Savings Shares		529,336		615,817
Terna SpA		103,110		479,415
UniCredit SpA		1,181,036		2,499,917
Unione di Banche Italiane ScpA		67,197		378,247

				26,724,299

Japan — 19.7%
ABC-Mart, Inc.		2,200		89,222
Advantest Corp.		12,400		228,277
Aeon Co. Ltd.		52,100		628,854
Aeon Credit Service Co. Ltd.		7,100		97,248
Aeon Mall Co., Ltd.		6,000		145,349
Air Water, Inc.		12,000		144,560
Aisin Seiki Co. Ltd.		16,700		646,215
Ajinomoto Co., Inc.		59,000		700,439
Alfresa Holdings Corp.		3,200		124,362
All Nippon Airways Co. Ltd.		75,000		244,651
Amada Co., Ltd.		30,000		230,674
Aozora Bank Ltd.		46,000		106,630
Asahi Breweries Ltd.		33,700		678,836
Asahi Glass Co., Ltd.		87,100		1,019,268
Asahi Kasei Corp.		110,000		741,294
Asics Corp.		13,000		194,042
Astellas Pharma Inc.		39,100		1,517,122
The Bank of Kyoto Ltd.		29,000		267,013
The Bank of Yokohama Ltd.		108,000		539,897
Benesse Holdings, Inc.		5,900		253,474
Bridgestone Corp.		56,500		1,301,790
Brother Industries Ltd.		20,000		295,835
Canon, Inc.		98,800		4,699,550
Casio Computer Co., Ltd.		20,100		141,852
Central Japan Railway Co.		133		1,045,552
The Chiba Bank Ltd.		69,000		431,821
Chiyoda Corp.		13,000		149,851
Chubu Electric Power Co., Inc.		60,600		1,183,441
Chugai Pharmaceutical Co., Ltd.		19,700		323,034
The Chugoku Bank Ltd.		16,000		197,947
The Chugoku Electric Power Co., Inc.		26,300		455,378
Citizen Holdings Co., Ltd.		23,400		140,074
Coca-Cola West Co., Ltd.		5,600		107,302
Cosmo Oil Co., Ltd.		50,000		142,347
Credit Saison Co., Ltd.		13,500		227,253
Dai Nippon Printing Co., Ltd.		48,000		540,979
The Dai-ichi Life Insurance Co.		794		1,113,456
Daicel Chemical Industries Ltd.		26,000		171,764
Daido Steel Co., Ltd.		25,000		167,233
Daihatsu Motor Co. Ltd.		16,000		272,298
Daiichi Sankyo Co., Ltd.		58,800		1,149,014
Daikin Industries Ltd.		20,400		723,106
Dainippon Sumitomo Pharma Co., Ltd.		13,400		127,341
Daito Trust Construction Co., Ltd.		6,400		543,359
Daiwa House Industry Co. Ltd.		41,000		517,366
Daiwa Securities Group Inc.		144,000		634,449
Dena Co. Ltd.		8,500		365,555
Denki Kagaku Kogyo KK		41,000		197,666
Denso Corp.		42,800		1,591,837
Dentsu Inc.		15,613		462,152
East Japan Railway Co.		29,749		1,703,749
Eisai Co., Ltd.		21,800		850,543
Electric Power Development Co.		9,900		267,595
Elpida Memory, Inc. (a)		16,600		195,527
FANUC Corp.		16,800		2,809,346
FUJIFILM Holdings Corp.		40,100		1,250,678
FamilyMart Co., Ltd.		5,900		216,631
Fast Retailing Co., Ltd.		4,700		760,123
Fuji Electric Co., Ltd.		48,800		152,451
Fuji Heavy Industries Ltd.		53,000		411,864
Fujitsu Ltd.		165,000		943,123
Fukuoka Financial Group, Inc.		65,000		271,673
Furukawa Electric Co., Ltd.		54,000		225,455
GS Yuasa Corp.		32,000		213,566
Gree, Inc. (a)		8,500		185,816
The Gunma Bank Ltd.		32,000		169,133
The Hachijuni Bank, Ltd.		35,000		196,662
Hakuhodo DY Holdings, Inc.		2,070		110,546
Hamamatsu Photonics KK		5,600		242,126
Hino Motors Ltd.		23,000		134,310
Hirose Electric Co., Ltd.		2,900		297,276

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master International Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Japan (continued)
The Hiroshima Bank Ltd.		41,000	$	178,925
Hisamitsu Pharmaceutical Co., Inc.		5,200		221,523
Hitachi Chemical Co., Ltd.		8,500		168,634
Hitachi Construction Machinery Co., Ltd.		10,000		224,176
Hitachi High-Technologies Corp.		6,000		131,463
Hitachi Ltd.		394,000		2,338,390
Hitachi Metals Ltd.		14,000		197,828
Hokkaido Electric Power Co., Inc.		16,100		267,805
Hokuhoku Financial Group, Inc.		104,100		206,210
Hokuriku Electric Power Co.		14,900		284,339
Honda Motor Co., Ltd.		142,000		5,470,823
Hoya Corp.		37,600		832,408
IHI Corp.		112,000		289,403
ITOCHU Corp.		132,400		1,377,073
Ibiden Co., Ltd.		10,200		319,341
Idemitsu Kosan Co., Ltd.		2,000		213,446
Inpex Holdings, Inc.		190		1,404,704
Isetan Mitsukoshi Holdings Ltd.		31,505		308,647
Isuzu Motors, Ltd.		106,000		501,797
Itochu Techno-Solutions Corp.		2,600		92,294
The Iyo Bank, Ltd.		20,000		184,120
J Front Retailing Co., Ltd.		44,600		197,028
JFE Holdings, Inc.		40,100		1,102,816
JGC Corp.		18,000		493,148
JS Group Corp.		22,900		590,659
JSR Corp.		15,100		292,685
JTEKT Corp.		19,900		293,222
JX Holdings, Inc.		194,160		1,305,928
Japan Petroleum Exploration Co.		2,400		112,673
Japan Prime Realty Investment Corp.		58		153,598
Japan Real Estate Investment Corp.		42		413,232
Japan Retail Fund Investment Corp.		133		204,957
The Japan Steel Works, Ltd.		28,000		191,936
Japan Tobacco, Inc.		396		1,528,588
The Joyo Bank, Ltd.		54,000		226,865
Jupiter Telecommunications Co., Ltd.		148		165,579
KDDI Corp.		255		1,834,709
Kajima Corp.		69,800		200,249
Kamigumi Co., Ltd.		21,000		196,262
Kaneka Corp.		25,000		164,265
The Kansai Electric Power Co., Inc.		64,800		1,290,407
Kansai Paint Co., Ltd.		18,000		164,001
Kao Corp.		47,100		1,238,456
Kawasaki Heavy Industries Ltd.		125,000		498,034
Kawasaki Kisen Kaisha, Ltd.		65,000		227,250
Keikyu Corp.		43,000		310,072
Keio Electric Railway Co., Ltd.		53,000		292,326
Keisei Electric Railway Co., Ltd.		24,000		142,034
Keyence Corp.		3,620		1,027,829
Kikkoman Corp.		13,000		137,005
Kinden Corp.		12,000		102,669
Kintetsu Corp.		141,000		452,812
Kirin Holdings Co., Ltd.		72,000		1,003,746
Kobe Steel Ltd.		214,000		486,648
Koito Manufacturing Co., Ltd.		8,000		139,803
Komatsu Ltd.		83,100		2,594,642
Konami Corp.		8,200		194,225
Konica Minolta Holdings, Inc.		42,000		350,804
Kubota Corp.		100,000		887,157
Kuraray Co., Ltd.		30,900		452,685
Kurita Water Industries, Ltd.		10,200		304,296
Kyocera Corp.		13,400		1,364,361
Kyowa Hakko Kirin Co. Ltd.		24,000		228,934
Kyushu Electric Power Co., Inc.		34,700		624,795
Lawson, Inc.		5,500		288,535
MS&AD Insurance Group Holdings, Inc.		50,270		1,176,661
Mabuchi Motor Co., Ltd.		2,100		105,982
Makita Corp.		10,000		465,989
Marubeni Corp.		145,000		963,642
Marui Group Co., Ltd.		18,800		142,779
Maruichi Steel Tube, Ltd.		3,700		91,727
Mazda Motor Corp. (a)		128,400		338,360
McDonald’s Holdings Co. Japan, Ltd.		5,500		139,842
Medipal Holdings Corp.		12,200		108,132
Meiji Holdings Co., Ltd.		5,793		244,244
Minebea Co., Ltd.		28,000		149,391
Miraca Holdings, Inc.		5,100		206,635
Mitsubishi Chemical Holdings Corp.		116,500		825,534
Mitsubishi Corp.		118,700		2,964,871
Mitsubishi Electric Corp.		168,000		1,951,505
Mitsubishi Estate Co., Ltd.		110,000		1,930,494
Mitsubishi Gas Chemical Co., Inc.		36,000		263,755
Mitsubishi Heavy Industries Ltd.		266,200		1,251,732
Mitsubishi Logistics Corp.		9,000		101,244
Mitsubishi Materials Corp.		94,000		296,170
Mitsubishi Motors Corp. (a)		349,000		425,786
Mitsubishi Tanabe Pharma Corp.		18,900		316,322
Mitsubishi UFJ Financial Group, Inc.		1,109,874		5,408,789
Mitsubishi UFJ Lease & Finance Co., Ltd.		5,260		203,567
Mitsui & Co. Ltd.		152,200		2,631,557
Mitsui Chemicals, Inc.		70,000		255,070
Mitsui Engineering & Shipbuilding Co., Ltd.		59,000		128,832
Mitsui Fudosan Co. Ltd.		74,000		1,274,494
Mitsui OSK Lines Ltd.		100,000		538,076
Mizuho Financial Group, Inc.		1,784,440		2,932,955
Mizuho Securities Co., Ltd. (a)		48,300		116,407
Mizuho Trust & Banking Co., Ltd.		136,000		120,496
Murata Manufacturing Co., Ltd.		17,700		1,183,394
NEC Corp. (a)		231,000		527,506
NGK Insulators Ltd.		23,000		428,480
NGK Spark Plug Co., Ltd.		15,000		207,262
NHK Spring Co., Ltd.		12,000		122,713
NKSJ Holdings, Inc.		129,100		852,084
NOK Corp.		8,400		143,956
NSK Ltd.		40,000		399,329
NTN Corp.		41,000		233,562
NTT Data Corp.		109		362,248
NTT DoCoMo, Inc.		1,333		2,380,660
NTT Urban Development Corp.		89		76,345
Nabtesco Corp.		9,000		218,027
Namco Bandai Holdings, Inc.		17,300		208,247
Nidec Corp.		9,500		886,923
Nikon Corp.		29,300		692,896
Nintendo Co., Ltd.		8,700		1,633,758
Nippon Building Fund, Inc.		48		469,060
Nippon Electric Glass Co., Ltd.		34,500		442,674
Nippon Express Co., Ltd.		77,000		312,013
Nippon Meat Packers, Inc.		15,000		215,174
Nippon Paper Group, Inc.		8,894		197,349
Nippon Sheet Glass Co., Ltd.		75,000		233,195

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master International Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Japan (continued)
Nippon Steel Corp.		448,000	$	1,453,379
Nippon Telegraph & Telephone Corp.		41,776		2,014,933
Nippon Yusen KK		134,000		497,855
The Nishi-Nippon City Bank Ltd.		56,000		165,413
Nissan Motor Co., Ltd.		216,600		2,276,295
Nisshin Seifun Group, Inc.		15,500		193,731
Nisshin Steel Co., Ltd.		62,000		118,574
Nissin Foods Holdings Co., Ltd.		5,500		200,355
Nitori Holdings Co., Ltd.		3,150		298,966
Nitto Denko Corp.		14,210		722,026
Nomura Holdings, Inc.		307,300		1,516,430
Nomura Real Estate Holdings, Inc.		8,300		138,387
Nomura Real Estate Office Fund, Inc.		25		165,515
Nomura Research Institute Ltd.		9,400		205,899
OJI Paper Co., Ltd.		74,000		354,910
ORIX Corp.		9,260		900,737
Obayashi Corp.		58,000		253,330
Odakyu Electric Railway Co., Ltd.		57,000		452,586
Olympus Corp.		18,900		637,725
Omron Corp.		17,900		497,770
Ono Pharmaceutical Co., Ltd.		7,600		406,588
Oracle Corp. Japan		3,200		139,455
Oriental Land Co., Ltd.		4,300		364,760
Osaka Gas Co., Ltd.		169,000		641,036
Otsuka Corp.		1,300		80,937
Otsuka Holdings Co., Ltd.		21,900		579,488
Panasonic Corp.		191,900		2,346,796
Rakuten, Inc.		631		653,100
Resona Holdings, Inc.		164,256		772,796
Ricoh Co., Ltd.		60,000		665,603
Rinnai Corp.		2,700		194,979
Rohm Co., Ltd.		8,600		493,394
SBI Holdings, Inc.		1,670		155,194
SMC Corp.		4,700		847,269
Sankyo Co., Ltd.		4,500		232,504
Santen Pharmaceutical Co., Ltd.		6,300		255,401
Secom Co., Ltd.		18,600		891,806
Sega Sammy Holdings, Inc.		18,732		362,103
Seiko Epson Corp.		11,900		206,272
Sekisui Chemical Co., Ltd.		40,000		341,763
Sekisui House Ltd.		49,000		456,243
Seven & I Holdings Co., Ltd.		65,600		1,764,245
Seven Bank Ltd.		44		87,924
Sharp Corp.		86,000		784,838
Shikoku Electric Power Co., Inc.		16,200		367,886
Shimadzu Corp.		20,000		183,184
Shimamura Co., Ltd.		1,900		181,123
Shimano, Inc.		6,500		357,593
Shimizu Corp.		53,000		220,882
Shin-Etsu Chemical Co. Ltd.		35,700		1,913,582
Shinsei Bank Ltd.		116,000		116,029
Shionogi & Co., Ltd.		26,300		430,677
Shiseido Co., Ltd.		31,000		578,649
The Shizuoka Bank Ltd.		52,000		478,134
Showa Denko KK		129,000		267,213
Showa Shell Sekiyu KK		17,300		160,671
Softbank Corp.		75,200		2,847,995
Sojitz Corp.		113,700		212,981
Sony Corp.		87,300		2,303,433
Sony Financial Holdings, Inc.		15,800		285,657
Square Enix Holdings Co., Ltd.		5,300		95,387
Stanley Electric Co., Ltd.		13,500		236,988
Sumco Corp. (a)		10,600		179,462
Sumitomo Chemical Co., Ltd.		137,000		684,053
Sumitomo Corp.		97,300		1,323,694
Sumitomo Electric Industries Ltd.		65,100		949,525
Sumitomo Heavy Industries Ltd.		49,000		342,014
Sumitomo Metal Industries Ltd.		292,000		655,966
Sumitomo Metal Mining Co., Ltd.		46,000		755,745
Sumitomo Mitsui Financial Group, Inc.		116,750		3,599,950
Sumitomo Mitsui Trust Holdings, Inc.		268,820		935,690
Sumitomo Realty & Development Co., Ltd.		31,000		692,838
Sumitomo Rubber Industries Ltd.		14,400		174,256
Suruga Bank Ltd.		18,000		156,932
Suzuken Co., Ltd.		5,700		131,495
Suzuki Motor Corp.		28,900		651,450
Sysmex Corp.		6,200		233,194
T&D Holdings, Inc.		24,950		593,864
TDK Corp.		10,800		595,744
THK Co., Ltd.		11,000		281,123
Taisei Corp.		93,000		213,426
Taisho Pharmaceutical Co., Ltd.		10,000		225,293
Taiyo Nippon Sanso Corp.		22,000		175,207
Takashimaya Co., Ltd.		22,000		151,776
Takeda Pharmaceutical Co., Ltd.		69,100		3,193,588
Teijin, Ltd.		84,000		370,258
Terumo Corp.		14,800		801,191
Tobu Railway Co., Ltd.		89,000		374,628
Toho Co. Ltd.		9,900		164,385
Toho Gas Co., Ltd.		35,000		189,403
Tohoku Electric Power Co., Inc.		39,300		567,121
Tokio Marine Holdings, Inc.		62,700		1,755,248
The Tokyo Electric Power Co., Inc.		125,500		508,042
Tokyo Electron, Ltd.		15,200		831,179
Tokyo Gas Co., Ltd.		224,000		1,010,992
Tokyu Corp.		100,000		415,746
Tokyu Land Corp.		38,000		161,446
TonenGeneral Sekiyu KK		24,000		295,210
Toppan Printing Co., Ltd.		51,000		395,687
Toray Industries, Inc.		129,700		957,728
Toshiba Corp.		353,000		1,861,138
Tosoh Corp.		45,000		180,705
Toto Ltd.		27,000		210,144
Toyo Seikan Kaisha Ltd.		14,000		235,715
Toyo Suisan Kaisha Ltd.		8,000		189,261
Toyoda Gosei Co., Ltd.		5,700		129,444
Toyota Boshoku Corp.		5,100		84,737
Toyota Industries Corp.		15,700		518,340
Toyota Motor Corp.		240,300		9,895,359
Toyota Tsusho Corp.		17,900		307,215
Trend Micro, Inc.		9,100		282,712
Tsumura & Co.		5,000		159,844
USS Co., Ltd.		1,940		150,493
Ube Industries Ltd.		87,000		261,926
Uni-charm Corp.		9,800		428,160
Ushio, Inc.		8,700		172,019
West Japan Railway Co.		15,000		585,585
Yahoo! Japan Corp.		1,308		450,143
Yakult Honsha Co., Ltd.		8,900		257,451
Yamada Denki Co., Ltd.		7,250		590,727
Yamaguchi Financial Group, Inc.		20,000		186,585
Yamaha Corp.		13,300		151,680
Yamaha Motor Co., Ltd. (a)		24,300		446,334

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master International Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Japan (concluded)
Yamato Holdings Co., Ltd.		35,100	$	552,148
Yamato Kogyo Co., Ltd.		3,800		118,336
Yamazaki Baking Co., Ltd.		10,000		133,891
Yaskawa Electric Corp.		19,000		213,308
Yokogawa Electric Corp. (a)		17,700		151,067

				202,435,781

Luxembourg — 0.5%
ArcelorMittal		74,455		2,589,269
Millicom International Cellular SA		6,655		697,240
SES Global		26,021		730,975
Tenaris SA		41,257		943,094

				4,960,578

Netherlands — 2.7%
ASML Holding NV		37,661		1,389,116
Aegon NV (a)		151,377		1,031,486
Akzo Nobel NV		20,364		1,286,613
Corio NV		5,006		331,532
Delta Lloyd NV		8,681		206,199
European Aeronautic Defence and Space Co. NV		35,355		1,183,246
Fugro NV		5,871		422,875
Heineken Holding NV		10,182		521,251
Heineken NV		22,387		1,347,404
ING Groep NV CVA (a)		334,126		4,117,603
Koninklijke Ahold NV		104,421		1,403,968
Koninklijke Boskalis Westminster NV		6,070		287,213
Koninklijke DSM NV		13,498		875,972
Koninklijke KPN NV		137,009		1,992,796
Koninklijke Philips Electronics NV		85,486		2,196,994
Koninklijke Vopak NV		5,984		293,060
QIAGEN NV (a)		20,535		393,676
Randstad Holding NV		10,253		474,077
Reed Elsevier NV		59,247		795,908
SBM Offshore NV		14,390		380,479
STMicroelectronics NV		54,709		544,557
TNT Express NV (a)		32,142		333,360
TNT NV		29,064		246,284
Unilever NV		141,973		4,659,643
Wolters Kluwer NV		25,969		575,748

				27,291,060

New Zealand — 0.1%
Auckland International Airport Ltd.		81,425		150,346
Contact Energy, Ltd.		29,916		132,933
Fletcher Building Ltd.		59,637		426,739
Sky City Ltd.		51,491		154,758
Telecom Corp. of New Zealand Ltd.		173,312		353,231

				1,218,007

Norway — 0.8%
Aker Solutions ASA		14,045		280,612
DnB NOR ASA		84,493		1,177,115
Gjensidige Forsikring ASA		17,265		212,806
Norsk Hydro ASA		80,174		613,733
Orkla ASA		66,423		632,385
Renewable Energy Corp. ASA (a)		39,887		68,381
Statoil ASA		96,798		2,450,538
Subsea 7 SA (a)		24,130		617,177
Telenor ASA		65,807		1,076,951
Yara International ASA		16,601		932,731

				8,062,429

Portugal — 0.2%
Banco Comercial Portugues SA, Registered Shares (a)		286,234		170,254
Banco Espirito Santo SA, Registered Shares		44,077		164,319
Cimpor Cimentos de Portugal SGPS SA		16,593		126,682
Energias de Portugal SA		167,759		595,350
Galp Energia SGPS SA		20,400		486,534
Jeronimo Martins SGPS SA		19,417		372,916
Portugal Telecom SGPS SA, Registered Shares		57,888		569,083

				2,485,138

Singapore — 1.7%
Ascendas Real Estate Investment Trust		150,962		251,088
CapitaLand Ltd.		223,749		531,546
CapitaMall Trust		163,700		249,522
CapitaMalls Asia Ltd.		110,000		132,067
City Developments, Ltd.		42,535		361,160
ComfortDelGro Corp., Ltd.		153,816		183,091
Cosco Corp. (Singapore) Ltd.		81,002		129,151
DBS Group Holdings Ltd.		152,407		1,823,133
Fraser and Neave Ltd.		78,096		368,991
Genting Singapore Plc (a)		536,227		845,431
Global Logistic Properties Ltd. (a)		159,000		267,115
Golden Agri-Resources, Ltd.		586,251		325,689
Hutchison Port Holdings Trust (a)		460,000		388,700
Jardine Cycle & Carriage Ltd.		9,721		341,104
Keppel Corp. Ltd.		123,577		1,118,081
Keppel Land Ltd.		66,000		195,022
Neptune Orient Lines Ltd.		73,350		91,739
Noble Group Ltd.		332,840		535,992
Olam International, Ltd.		117,900		262,092
Oversea-Chinese Banking Corp. Ltd.		217,914		1,664,503
SembCorp Industries, Ltd.		89,590		364,831
SembCorp Marine Ltd.		74,197		321,095
Singapore Airlines Ltd.		47,009		544,092
Singapore Exchange, Ltd.		76,000		467,012
Singapore Press Holdings Ltd.		133,316		423,682
Singapore Technologies Engineering, Ltd.		130,213		319,740
Singapore Telecommunications Ltd.		698,132		1,799,459
StarHub, Ltd.		52,157		118,612
UOL Group Ltd.		38,457		156,163
United Overseas Bank Ltd.		107,572		1,727,084
Wilmar International Ltd.		168,670		746,198
Yangzijiang Shipbuilding Holdings Ltd.		161,183		192,302

				17,245,487

Spain — 3.5%
ACS Actividades de Construccion y Servicios SA		12,194		575,534
Abertis Infraestructuras SA		31,814		710,076
Acciona SA		2,167		230,072
Acerinox SA		8,050		146,788
Amadeus IT Holding SA, Class A (a)		21,210		440,866
Banco Bilbao Vizcaya Argentaria SA		371,990		4,366,710
Banco de Sabadell SA		97,907		403,876
Banco Popular Espanol SA		82,933		466,627
Banco Santander SA		735,560		8,473,753
Bankinter SA		18,086		122,690
Criteria Caixacorp SA		72,524		505,012
EDP Renovaveis SA (a)		19,120		126,127
Enagas SA		15,149		366,820
Ferrovial SA		31,418		396,983
Fomento de Construcciones y Contratas SA		4,167		127,120

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master International Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

Spain (concluded)
Gas Natural SDG SA		27,842	$	583,156
Gestevision Telecinco SA		13,979		121,547
Grifols SA		11,816		237,037
Iberdrola Renovables		75,820		334,934
Iberdrola SA (a)		330,956		2,944,446
Inditex SA		19,069		1,737,448
Indra Sistemas SA		8,623		177,875
International Consolidated Airlines Group SA (a)		79,390		323,369
Mapfre SA		62,698		232,624
Red Electrica de Espana		9,332		562,953
Repsol YPF SA		69,018		2,393,922
Telefonica SA		357,972		8,743,011
Zardoya Otis SA		13,552		199,117
Zardoya Otis SA (a)		11,840		8,980

				36,059,473

Sweden — 3.0%
Alfa Laval AB		29,044		626,373
Assa Abloy AB, Series B		26,989		725,417
Atlas Copco AB, Class A		58,509		1,540,913
Atlas Copco AB, Class B		33,806		797,515
Boliden AB		23,635		436,506
Electrolux AB		20,851		498,674
Getinge AB, Class B		17,462		469,578
Hennes & Mauritz AB, B Shares		88,816		3,062,475
Hexagon AB		22,073		543,485
Holmen AB, Class B		4,661		145,342
Husqvarna AB		38,981		258,279
Industrivarden AB		9,633		159,400
Investor AB		40,154		920,857
Kinnevik Investment AB		17,419		386,910
Modern Times Group AB		4,086		270,240
Nordea Bank AB		230,162		2,471,941
Ratos AB		16,128		310,004
SKF AB		34,197		990,165
SSAB AB, Series A		13,368		199,716
Sandvik AB		87,804		1,538,269
Scania AB		27,457		637,356
Securitas AB		26,566		281,273
Skandinaviska Enskilda Banken AB, Class A		124,181		1,015,362
Skanska AB, Class B		34,795		623,733
Svenska Cellulosa AB		49,334		695,587
Svenska Handelsbanken, Class A		42,951		1,324,290
Swedbank AB, Class A		71,225		1,197,714
Swedish Match AB		18,829		632,207
Tele2 AB		27,468		542,165
Telefonaktiebolaget LM Ericsson		262,867		3,784,103
TeliaSonera AB		189,163		1,387,606
Volvo AB, B Shares		119,887		2,098,775

				30,572,230

Switzerland — 8.2%
ABB Ltd. (a)		191,049		4,963,894
Actelion Ltd. (a)		9,476		467,581
Adecco SA, Registered Shares (a)		11,406		732,098
Aryzta AG		7,164		384,764
Baloise Holding AG		4,070		419,968
Compagnie Financière Richemont SA		45,666		2,992,632
Crédit Suisse Group AG		98,302		3,831,047
GAM Holdings Ltd. (a)		17,488		287,737
Geberit AG (a)		3,365		798,312
Givaudan SA		721		762,722
Holcim Ltd. (a)		21,374		1,616,409
Julius Baer Group Ltd. (a)		17,891		739,042
Kuehne & Nagel International AG		4,696		713,440
Lindt & Spruengli AG		83		258,650
Lindt & Spruengli AG, Registered Shares		9		328,046
Lonza Group AG, Registered Shares		4,333		339,460
Nestlé SA, Registered Shares		301,959		18,790,453
Novartis AG, Registered Shares		203,381		12,464,634
Pargesa Holding SA		2,484		230,221
Roche Holding AG		61,226		10,250,500
SGS SA		471		894,682
Schindler Holding AG		4,208		511,799
Schindler Holding AG, Registered Shares		1,929		234,256
Sika AG		184		444,162
Sonova Holding AG (a)		4,234		395,324
Straumann Holding AG, Registered Shares		656		158,198
Sulzer AG		2,068		337,187
The Swatch Group Ltd., Bearer Shares		2,665		1,345,045
The Swatch Group Ltd., Registered Shares		3,649		328,082
Swiss Life Holding		2,716		445,428
Swiss Reinsurance Co., Registered Shares (a)		30,572		1,716,686
Swisscom AG		2,051		940,254
Syngenta AG, Registered Shares		8,278		2,797,553
Synthes, Inc.		5,765		1,014,146
Transocean Ltd.		27,846		1,817,905
UBS AG (a)		317,167		5,788,159
Zurich Financial Services AG (a)		12,646		3,199,939

				83,740,415

United Kingdom — 20.8%
3i Group Plc		84,667		382,338
ARM Holdings Plc		118,543		1,114,732
Admiral Group Plc		17,676		471,377
Aggreko Plc		23,635		732,272
Amec Plc		28,479		497,630
Anglo American Plc		115,065		5,706,527
Antofagasta Plc		33,994		760,722
Associated British Foods Plc		30,780		535,508
AstraZeneca Plc		121,242		6,059,831
Autonomy Corp. Plc (a)		19,858		543,951
Aviva Plc		246,758		1,736,940
BAE Systems Plc		296,607		1,517,340
BG Group Plc		295,261		6,704,173
BHP Billiton Plc		190,175		7,472,694
BP Plc		1,638,262		12,062,510
BT Group Plc		675,124		2,189,025
Babcock International Group Plc		30,277		346,226
Balfour Beatty Plc		60,162		298,281
Barclays Plc		1,008,618		4,137,705
British American Tobacco Plc		174,017		7,630,922
British Land Co. Plc		72,206		705,963
British Sky Broadcasting Group Plc		100,004		1,357,664
Bunzl Plc		27,854		348,806
Burberry Group Plc		38,491		895,095
Cairn Energy Plc (a)		120,406		802,979
The Capita Group Plc		53,066		609,482
Capital Shopping Centres Group Plc		47,118		302,294
Carnival Plc		15,993		619,695
Centrica Plc		447,836		2,325,377
Cobham Plc		100,563		341,303

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master International Index Series
		(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value

United Kingdom (continued)
Compass Group Plc		165,397	$	1,594,782
Diageo Plc		218,265		4,465,469
Essar Energy Plc (a)		29,542		193,785
Eurasian Natural Resources Corp. Plc		21,888		274,640
Experian Plc		87,473		1,114,223
Fresnillo Plc		15,122		340,647
G4S Plc		123,087		553,310
GlaxoSmithKline Plc		452,024		9,688,800
Glencore International Plc (a)		71,533		563,702
HSBC Holdings Plc		1,543,080		15,299,227
Hammerson Plc		62,940		486,605
Home Retail Group		71,142		187,017
ICAP Plc		49,487		375,326
ITV Plc (a)		324,878		373,036
Imperial Tobacco Group Plc		88,550		2,948,049
Inmarsat Plc		39,692		354,193
Intercontinental Hotels Group Plc		25,177		515,393
International Power Plc		132,634		685,021
Intertek Group Plc		13,998		443,623
Invensys Plc		73,110		378,167
Investec Plc		41,548		337,245
J Sainsbury Plc		105,468		558,691
Johnson Matthey Plc		18,713		590,938
Kazakhmys Plc		18,615		412,639
Kingfisher Plc		208,593		896,029
Land Securities Group Plc		67,387		921,857
Legal & General Group Plc		517,011		979,433
Lloyds TSB Group Plc (a)		3,555,382		2,793,939
London Stock Exchange Group Plc		12,623		215,058
Lonmin Plc		14,124		329,602
Man Group Plc		161,815		615,505
Marks & Spencer Group Plc		136,639		792,090
National Grid Plc		306,947		3,021,646
Next Plc		15,911		594,460
Old Mutual Plc		474,026		1,014,714
Pearson Plc		71,569		1,353,889
Petrofac Ltd.		22,607		549,734
Prudential Plc		222,862		2,573,344
RSA Insurance Group Plc		310,783		672,221
Randgold Resources Ltd.		8,004		674,166
Reckitt Benckiser Group Plc		53,686		2,965,189
Reed Elsevier Plc		106,764		972,015
Resolution, Ltd.		126,155		594,707
Rexam Plc		77,986		479,450
Rio Tinto Plc, Registered Shares		126,068		9,102,833
Rolls-Royce Group Plc		15,289,824		24,539
Rolls-Royce Holdings Plc (a)		163,821		1,696,514
Royal Bank of Scotland Group Plc (a)		1,515,761		937,591
Royal Dutch Shell Plc		310,590		11,051,902
Royal Dutch Shell Plc, Class B		234,937		8,383,947
SABMiller Plc		82,809		3,022,570
The Sage Group Plc		115,262		534,368
Schroders Plc		10,062		249,823
Scottish & Southern Energy Plc		81,494		1,822,662
Segro Plc		67,170		336,780
Serco Group Plc		41,765		370,478
Severn Trent Plc		20,836		492,263
Shire Plc		49,106		1,535,382
Smith & Nephew Plc		78,984		846,446
Smiths Group Plc		34,027		656,353
Standard Chartered Plc		204,648		5,375,626
Standard Life Plc		196,292		663,450
TUI Travel Plc		42,176		151,800
Tesco Plc		701,278		4,530,943
Tullow Oil Plc		77,947		1,552,245
Unilever Plc		112,120		3,617,669
United Utilities Group Plc		58,600		563,619
Vedanta Resources Plc		10,542		354,377
Vodafone Group Plc		4,512,358		11,965,152
WPP Plc		110,696		1,386,784
The Weir Group Plc		18,435		629,312
Whitbread Plc		15,559		403,405
William Morrison Supermarkets Plc		199,662		954,976
Wolseley Plc		24,529		800,663
Xstrata Plc		181,107		3,988,953

				212,956,363

Total Common Stocks — 97.8%				1,003,861,438


Rights

Spain — 0.0%
Banco Popular Espanol SA (expires 12/31/49)		82,933		6,013
Criteria Caixacorp SA (expires 7/15/11)		72,524		5,469

Total Rights — 0.0%				11,482

Total Long-Term Investments (Cost — $883,977,674) — 97.8%				1,003,872,920


Short-Term Securities

BlackRock Liquidity Funds, TempCash, Institutional Class, 0.07% (b)(c)		5,986,018		5,986,018

Total Short-Term Securities (Cost — $5,986,018) — 0.6%				5,986,018

*Total Investments (Cost — $889,963,692) — 98.4%**				1,009,858,938
Other Assets Less Liabilities — 1.6%				16,149,286

Net Assets — 100.0%			$	1,026,008,224


*		The cost and unrealized appreciation (depreciation) of investments as of June 30, 2011, as computed for federal income tax purposes, were as follows:


Aggregate cost	$	929,845,965

Gross unrealized appreciation	$	201,888,644
Gross unrealized depreciation		(121,875,671	)

Net unrealized appreciation	$	80,012,973


(a)		Non-income producing security.

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Schedule of Investments (continued)		Master International Index Series


(b)		Investments in companies considered to be an affiliate of the Series during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Shares

Held at

December 31,

Net

June 30,

Affiliate

2010

Activity

2011

Income

BlackRock Liquidity Funds, TempCash, Institutional Class

2,576,868

3,409,150

5,986,018

1,133


(c)		Represents the current yield as of report date.

•

Financial futures contracts purchased as of June 30, 2011 were as follows:


				Notional		Unrealized
Contracts	Index	Exchange	Expiration	Value		Appreciation
142	DJ Euro Stoxx 50	Eurex	September 2011	$	5,591,085	$	195,825
7	Emini MSCI EAFE	Chicago Mercantile	September 2011	$	571,642		28,924
54	FTSE 100 Index	LIFFE	September 2011	$	5,021,551		136,652
18	SPI 200 Index	Sydney	September 2011	$	2,162,284		39,625
34	TOPIX Index	Tokyo	September 2011	$	3,480,500		104,746

Total						$	505,772


•		Foreign currency exchange contracts as of June 30, 2011 were as follows:


							Unrealized
Currency		Currency			Settlement		Appreciation
Purchased		Sold		Counterparty	Date		(Depreciation)

AUD	444,000	USD	473,748	Deutsche Bank AG		7/01/11	$	2,464
CHF	378,000	USD	452,966	Deutsche Bank AG		7/01/11		(3,367	)
DKK	380,000	USD	73,478	Deutsche Bank AG		7/01/11		403
EUR	1,047,000	USD	1,510,298	Deutsche Bank AG		7/01/11		8,009
GBP	579,000	USD	929,642	Deutsche Bank AG		7/01/11		(376	)
ILS	128,000	USD	37,369	Deutsche Bank AG		7/01/11		256
JPY	78,117,000	USD	965,719	Deutsche Bank AG		7/01/11		4,618
NOK	334,000	USD	62,041	Deutsche Bank AG		7/01/11		(134	)
NZD	10,000	USD	8,235	Deutsche Bank AG		7/01/11		50
SEK	1,396,000	USD	219,618	Deutsche Bank AG		7/01/11		1,087
SGD	127,000	USD	102,976	Deutsche Bank AG		7/01/11		419
CHF	59,000	USD	70,221	Deutsche Bank AG		7/05/11		(46	)
EUR	128,000	USD	185,728	Deutsche Bank AG		7/05/11		(109	)
GBP	74,000	USD	118,896	Deutsche Bank AG		7/05/11		(129	)

Total							$	13,145

•

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes 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 derivative financial instruments)

The following tables summarize the inputs used as of June 30, 2011 in determining the fair valuation of the Series’ investments and derivative financial instruments:


Valuation Inputs	Level 1		Level 2		Level 3		Total

Assets:
Investments:
Long-Term Investments:
Common Stocks:
Australia	$	1,204,166	$	85,285,483	$	11	$	86,489,660
Austria		554,958		2,858,204		—		3,413,162
Belgium		320,243		9,245,484		—		9,565,727
Bermuda		—		939,056		—		939,056
China		—		79,115		—		79,115
Cyprus		—		224,579		—		224,579
Denmark		446,767		10,189,763		—		10,636,530
Finland		—		9,719,272		—		9,719,272
France		410,314		99,209,854		—		99,620,168
Germany		977,003		89,199,514		—		90,176,517
Greece		—		2,044,413		—		2,044,413
Hong Kong		—		27,354,690		—		27,354,690
Ireland		—		2,759,210		1		2,759,211
Israel		109,160		6,978,918		—		7,088,078
Italy		391,445		26,332,854		—		26,724,299
Japan		—		202,435,781		—		202,435,781
Luxembourg		—		4,960,578		—		4,960,578
Netherlands		2,719,832		24,571,228		—		27,291,060
New Zealand		—		1,218,007		—		1,218,007
Norway		212,806		7,849,623		—		8,062,429
Portugal		—		2,485,138		—		2,485,138
Singapore		388,700		16,856,787		—		17,245,487
Spain		637,749		35,421,724		—		36,059,473
Sweden		3,062,475		27,509,755		—		30,572,230
Switzerland		3,947,110		79,793,305		—		83,740,415
United Kingdom		917,895		212,038,468		—		212,956,363
Rights:
Spain		11,482		—		—		11,482
Short-Term
Securities		5,986,018		—		—		5,986,018

Total	$	22,298,123	$	987,560,803	$	12	$	1,009,858,938

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Schedule of Investments (concluded)		Master International Index Series


	Derivative Financial Instruments¹
Valuation Inputs	Level 1		Level 2			Level 3		Total

Assets:
Equity contracts	$	505,772		—			—	$	505,772
Foreign currency exchange contracts		—	$	17,306			—		17,306
Liabilities:
Foreign currency exchange contracts		—		(4,161	)		—		(4,161	)

Total	$	505,772	$	13,145			—	$	518,917


¹		Derivative financial instruments are financial futures contracts and foreign currency exchange contracts. Financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Statement of Assets and Liabilities		Master International Index Series


June 30, 2011 (Unaudited)

Assets
Investments at value — unaffiliated (cost — $883,977,674)	$	1,003,872,920
Investments at value — affiliated (cost — $5,986,018)		5,986,018
Unrealized appreciation on foreign currency exchange contracts		17,306
Foreign currency at value (cost — $8,962,021)		9,005,769
Cash pledged as collateral for financial futures contracts		1,202,000
Dividends receivable		5,996,832
Contributions receivable from investors		1,047,760
Margin variation receivable		100,552
Investments sold receivable		11,214
Prepaid expenses		19,579

Total assets		1,027,259,950


Liabilities
Bank overdraft		597,687
Unrealized depreciation on foreign currency exchange contracts		4,161
Investments purchased payable		468,190
Investment advisory fees payable		8,151
Other affiliates payable		4,964
Directors’ fees payable		368
Other accrued expenses payable		168,205

Total liabilities		1,251,726

Net Assets	$	1,026,008,224


Net Assets Consist of
Investors’ capital	$	905,026,999
Net unrealized appreciation/depreciation		120,981,225

Net Assets	$	1,026,008,224

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Statement of Operations		Master International Index Series


Six Months Ended June 30, 2011 (Unaudited)

Investment Income
Dividends — unaffiliated	$	24,093,115
Foreign taxes withheld		(2,600,722	)
Dividends — affiliated		1,133

Total income		21,493,526


Expenses
Investment advisory		48,607
Custodian		141,061
Accounting services		78,474
Pricing		61,674
Professional		39,872
Directors		10,998
Printing		891
Miscellaneous		14,079

Total expenses		395,656
Less fees waived by advisor		(3,315	)

Total expenses after fees waived and paid indirectly		392,341

Net investment income		21,101,185


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		(2,747,518	)
Financial futures contracts		(276,824	)
Foreign currency transactions		828,771

		(2,195,571	)

Net change in unrealized appreciation/depreciation on:
Investments		31,368,465
Financial futures contracts		500,840
Foreign currency transactions		264,041

		32,133,346

Total realized and unrealized gain		29,937,775

Net Increase in Net Assets Resulting from Operations	$	51,038,960

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011

Statements of Changes in Net Assets

Master International Index Series


	Six Months
	Ended
	June 30,			Year Ended
	2011			December 31,
Increase (Decrease) in Net Assets:	(Unaudited)			2010

Operations
Net investment income	$	21,101,185		$	21,715,802
Net realized loss		(2,195,571	)		(21,606,488	)
Net change in unrealized appreciation/depreciation		32,133,346			84,313,481

Net increase in net assets resulting from operations		51,038,960			84,422,795


Capital Transactions
Proceeds from contributions		135,883,215			325,133,239
Value of withdrawals		(83,614,306	)		(236,135,595	)

Net increase in net assets derived from capital transactions		52,268,909			88,997,644


Net Assets
Total increase in net assets		103,307,869			173,420,439
Beginning of period		922,700,355			749,279,916

End of period	$	1,026,008,224		$	922,700,355



Financial Highlights		Master International Index Series


	Six Months
	Ended
	June 30,
	2011			Year Ended December 31,
	(Unaudited)			2010			2009			2008			2007			2006

Total Investment Return
Net investment income		5.50	%¹		7.66	%		28.99	%		(41.94	)%		10.80	%		26.61	%


Ratios to Average Net Assets
Total expenses		0.08	%²		0.11	%		0.09	%		0.11	%		0.10	%		0.11	%

Total expenses after fees waived and paid indirectly		0.08	%²		0.10	%		0.09	%		0.10	%		0.09	%		0.10	%

Net investment income		4.34	%²		2.73	%		2.98	%		3.54	%		2.86	%		2.70	%


Supplemental Data
Net assets, end of period (000)	$	1,026,008		$	922,700		$	749,280		$	706,119		$	1,143,172		$	829,986

Portfolio turnover		1	%		8	%		30	%		30	%		30	%		23	%


¹		Aggregate total investment return.

²		Annualized.

See Notes to Financial Statements.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Notes to Financial Statements (Unaudited)		Master International Index Series

1. Organization and Significant Accounting Policies:

Master International Index Series (the “Series”), a diversified open-end management investment company, is a series of Quantitative Master Series LLC (the “Master LLC”). The Master LLC is registered 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 in the Master LLC, 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: US GAAP defines fair value as the price the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. 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 (long positions) or ask (short positions) price. If no bid or ask 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 its 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.

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 value, 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 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 investment securities 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 realized currency gains (losses) on foreign currency related transactions as components of net 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 deliver collateral or segregate 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 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 to such transactions has requirements to deliver/deposit securities as collateral for certain investments.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



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 is informed of 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 the net assets, income, expenses and realized and unrealized gains and losses of the Master LLC. 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.

Recent Accounting Standard: In May 2011, the Financial Accounting Standards Board issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Series’ financial statements and disclosures.

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 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. master agreement (“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 its 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 value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are agreements between the Series and the 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 the settlement date. Pursuant to the contract, the Series agrees to receive from or pay to the



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Notes to Financial Statements (continued)		Master International Index Series

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 appreciation or depreciation. 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 contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.

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 currencies, in which some of the investments held by the Series are denominated. 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 exchange 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 its obligations under the agreement.

Derivative Financial Instruments Categorized by Risk Exposure:

Fair Values of Derivative Financial Instruments as of June 30, 2011

Asset Derivatives

Liability Derivatives

Statement of

Assets and

Liabilities

Location

Value

Location

Value

Foreign currency exchange contracts

Unrealized appreciation on foreign currency exchange contracts

17,306

Unrealized depreciation on foreign currency exchange contracts

4,161

Equity contracts

Net unrealized appreciation/ depreciation*

505,772

Net unrealized appreciation/ depreciation*

—

Total

523,078

4,161


*		Includes cumulative appreciation/depreciation on 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 Financial Instruments in the Statement of Operations
Six Months Ended June 30, 2011


	Net Realized Gain (Loss) from
	Financial			Foreign Currency
	Futures Contracts			Exchange Contracts

Foreign currency exchange contracts		—		$	711,831
Equity contracts	$	(164,610	)		—


	Net Change in Unrealized
	Appreciation/Depreciation on
	Financial		Foreign Currency
	Futures Contracts		Exchange Contracts

Foreign currency exchange contracts		—	$	13,145
Equity contracts	$	497,839		—

For the six months ended June 30, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:


Financial futures contracts:
Average number of contracts purchased		217
Average notional value of contracts purchased	$	14,582,339
Foreign currency exchange contracts:
Average number of contracts — US dollars purchased		2
Average number of contracts — US dollars sold		12
Average US dollar amounts purchased .	$	260,752
Average US dollar amounts sold	$	3,445,122

3. Investment Advisory Agreement and Other Transactions with Affiliates:

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 the independent Directors. For the



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Notes to Financial Statements (concluded)		Master International Index Series

six months ended June 30, 2011, the Series waived $2,108, 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 investment advisory fees by the amount of investment advisory fees paid through the Series’ investment in other affiliated investment companies, if any. For the six months ended June 30, 2011, the Series waived $1,207, which is included in fees waived by advisor in the Statement of Operations.

The Manager entered into a sub-advisory agreement with BlackRock Investment Management LLC (“BIM”), an affiliate of the Manager. The Manager pays BIM for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Series to the Manager.

For the six months ended June 30, 2011, the Series reimbursed the Manager $4,824 for certain accounting services, which is 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 six months ended June 30, 2011, were $82,207,960 and $12,909,177, respectively.

5. Borrowings:

6. Concentration, Market and Credit Risk:

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 June 30, 2011, the Series had the following industry classifications:


	Percent of
	Long-Term
Industry	Investments
Commercial Banks		12	%
Oil, Gas & Consumable Fuels		7	%
Pharmaceuticals		7	%
Metals & Mining		6	%
Other*		68	%


*		All other industries held were each less than 5% of long-term investments.

7. Subsequent Events:



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement

The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of Quantitative Master Series LLC (the “Master LLC”) met on April 5, 2011 and May 17—18, 2011 to consider the approval of the Master LLC’s investment advisory agreement (the “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), the Master LLC’s investment advisor, on behalf of the Master International Index Series (the “Master Portfolio”), a series of the Master LLC. The Board of Directors of the Master LLC also considered the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and BlackRock Investment Management, LLC (the “Sub-Advisor”), with respect to the Master Portfolio. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreement are referred to herein as the “Agreements.”

Activities and Composition of the Board

The Agreements

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April 5, 2011 meeting, the Board requested and received materials specifically relating to the Agreements. The Board is engaged in a process with BlackRock to review periodically the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April meeting included (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on fees and expenses of the Master Portfolio and the representative feeder fund, as applicable, and the investment performance of the representative feeder fund as compared with a peer group of funds as determined by Lipper (collectively, “Peers”), as well as the gross investment performance of the representative feeder fund as compared with its benchmark; (b) information on the profitability of the Agreements to BlackRock and a discussion of fall-out benefits to BlackRock and its affiliates and significant shareholders; (c) a general analysis provided by BlackRock concerning investment management fees (a combination of the advisory fee and the administration fee, if any) charged to other clients, such as institutional clients, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) the impact of economies of scale; (e) a summary of aggregate amounts paid by the Master Portfolio to BlackRock; and (f) if applicable, a comparison of management fees to similar BlackRock open-end funds, as classified by Lipper.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued)



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued)

discuss the performance of the Master Portfolio and the representative feeder fund, as applicable, throughout the year.

The Board noted that the representative feeder fund’s gross performance exceeded its benchmark index during each of the one-, three- and five-year periods reported.

The Board noted that BlackRock has made changes to the organization of the overall equity group management structure designed to result in a strengthened leadership team with clearer accountability.



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (concluded)

accounts. The Board further noted that BlackRock’s funds may invest in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.

Conclusion



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011



Officers and Directors		Master International Index Series


Investment Advisor	Sub-Advisor	Custodian	Accounting	Legal Counsel	Independent Registered
BlackRock Advisors, LLC Wilmington, DE 19809	BlackRock Investment Management, LLC Princeton, NJ 08540	JPMorgan Chase Bank, N.A. Brooklyn, NY 11245	Agent State Street Bank and Trust Company Boston, MA 02116	Sidley Austin LLP New York, NY 10019	Public Accounting Firm Deloitte & Touche LLP Princeton, NJ 08540



MASTER INTERNATIONAL INDEX SERIES		JUNE 30, 2011

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101

Delivery of Documents

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To obtain more information about the Fund:



By E-mail:		On the Internet:
american_beacon.funds@ambeacon.com		Visit our website at www.americanbeaconfunds.com



By Telephone:		By Mail:
Institutional and Investor Class		American Beacon Funds
Call (800) 658-5811		P.O. Box 219643
		Kansas City, MO 64121


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, 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.		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.

SAR 6/11

ITEM 2. CODE OF ETHICS.

The Trust did not amend the code of ethics that applies to its principal executive and financial officers (the “Code”) nor did it grant any waivers to the provisions of the Code during the period covered by the shareholder report presented in Item 1.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable.

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) Not Applicable.

(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.

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.
		Gene L. Needles, Jr.
		President

Date: September 2, 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.
		Gene L. Needles, Jr.
		President

Date: September 2, 2011



	By	/s/ Melinda G. Heika
		Melinda G. Heika
		Treasurer

Date: September 2, 2011

American Beacon Balanced Fund (AABPX) N-CSRSCertified semi-annual shareholder report (management investment company)