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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-4984
AMERICAN BEACON 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: December 31, 2011
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ITEM 1. REPORTS TO STOCKHOLDERS.
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About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
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Back Cover |
Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and the Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
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
American Beacon Funds | December 31, 2011 |
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From around the globe to within U.S. borders, many events caused emotions to run high in 2011. We saw challenges that not only affected equity and credit markets — as well as our investments in them — but also changed many people’s lives in profound ways.
Among the headlines that had significant effects on investors were the political upheaval in the Middle East and North Africa, Japan’s earthquake and related nuclear disaster, controversy over U.S. troop withdrawal from Iraq, deterioration of the European economy, U.S. Congressional gridlocks over everything from the debt ceiling to tax breaks, the Occupy Wall Street movement and less-than-inspiring economic and jobs growth numbers domestically. Despite all these challenges, the broader stock market ended the year relatively unchanged while the government bond market, as represented by the Barclays Capital 1-10 Year U.S. TIPS Index, appreciated by 8.93%.
It’s easy to see how uncertainty in the markets — fueled by challenging events — could create an emotional response among investors. However, 2011 also reminded investors that maintaining a consistent, well-balanced investment strategy can protect against short-sighted actions — fueled by emotions — that can jeopardize long-term goals.
The long-term-focused, conservative management applied to the American Beacon Treasury Inflation Protected Securities (“TIPS”) Fund, which invests primarily in high-quality inflation-protected government securities, provided investors with a relative bright spot in an otherwise volatile (but ultimately flat) year overall. Over the 12-month period ended December 31, 2011, the American Beacon Treasury Inflation Protected Securities Fund (Institutional Class) returned 9.14%.
The year to come will surely provide its own list of unexpected national and world events. 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, |
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Gene L. Needles, Jr. President American Beacon Funds |
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December 31, 2011 (Unaudited)
2011 was a year of many shocks that tested the resiliency of the U.S. economy.
The year 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 more than 25% from the February low in the first half of the year. The spike in oil prices effectively neutralized the positive effects of U.S. fiscal stimulus passed in late 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 political impasse in the U.S. over the debt ceiling and the subsequent downgrade of U.S. debt by Standard and Poor’s shook investor confidence in 2011. However, the heightened sovereign debt risks in Europe and the subsequent negative connotations for the European and global banking systems led investors to purchase U.S. government securities due to the perceived relative safety of these investments.
TIPS investors were the beneficiaries of the risk aversion in 2011. On the back of increased demand for the highest quality, most liquid assets — as well as central bank policy that was designed to lower the return for risk-free assets — U.S. real rates declined by approximately 150 basis points (1.50%) from their February peak, which translated into solid principal returns for TIPS. In addition, the Arab Spring boost to oil prices — along with early strength in food, cotton and automobile prices — resulted in higher inflation accruals than would have been expected from an economy growing below 2%. For the year, the inflation accrual for TIPS was 3.5% with headline CPI peaking in September at 3.9%. Supply and demand dynamics for TIPS were favorable as the U.S. Department of
the Treasury’s issuance resulted in an increase of $112 billion TIPS outstanding over its fiscal year ended September 30.
Valuations of TIPS relative to nominal U.S. Treasuries cheapened throughout the year as inflation expectations declined in response to expectations for slower U.S. economic growth. For the year, break-even inflation rates fell from their April peak of 2.64% for 10-year TIPS to finish at 1.96%. TIPS did manage to find support in the fourth quarter as expectations for a U.S. double-dip recession waned, boosting inflation expectations from the September low of 1.71%. Despite the cheapening on valuation, TIPS managed to outperform comparable maturity nominal Treasury securities as the inflation accrual overwhelmed the relative valuation changes.
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American Beacon Treasury Inflation Protected Securities FundSM
Performance Overview
December 31, 2011 (Unaudited)
The Institutional Class of the Fund returned 9.14% for the twelve months ended December 31, 2011, outperforming the Barclays Capital 1-10 Year U.S. TIPS Index (the “Index”) return of 8.93% but trailing the Lipper TIPS Funds Index return of 11.93%.
Comparison of Change in Value
of a $10,000 Investment
For the Period From 6/30/04 through 12/31/11
Annualized Total Returns Periods Ended 12/31/2011 | Value of | |||||||||||||||
1 Year | 5 Years | Since Inception 6/30/04 | $10,000 6/30/04- 12/31/11 | |||||||||||||
Institutional Class (1,7,8) | 9.14 | % | 6.74 | % | 5.39 | % | $ | 14,825 | ||||||||
Y Class (1,2,7,8) | 8.66 | % | 6.60 | % | 5.29 | % | 14,728 | |||||||||
Investor Class (1,3,7,8) | 8.67 | % | 6.50 | % | 5.23 | % | 14,656 | |||||||||
A Class without sales charge (1,4,7,8) | 8.17 | % | 6.36 | % | 5.14 | % | 14,564 | |||||||||
A Class with sales charge (1,4,7,8) | 2.99 | % | 5.32 | % | 4.46 | % | 13,871 | |||||||||
C Class without sales charge (1,5,7,8) | 7.47 | % | 6.17 | % | 5.01 | % | 14,430 | |||||||||
C Class with sales charge (1,5,7,8) | 6.47 | % | 6.17 | % | 5.01 | % | 14,430 | |||||||||
Barclays Capital 1-10 Yr. U.S. TIPS Index(6) | 8.93 | % | 6.90 | % | 5.70 | % | 15,162 | |||||||||
Barclays Capital U.S. TIPS Index(6) | 13.56 | % | 7.95 | % | 6.57 | % | 16,116 | |||||||||
Lipper TIPS Funds Index(6) | 11.93 | % | 7.15 | % | 6.01 | % | 15,497 |
1. | Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. |
2. | Fund performance represents the total returns achieved by the Institutional Class up to 3/1/10, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Y Class been in existence since 6/30/04. |
3. | Fund performance represents the total returns achieved by the Institutional Class up to 3/2/09, the inception date of the Investor Class, and the returns of the Investor Class since its inception. Expenses of the Investor Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Investor Class been in existence since 6/30/04. |
4. | Fund performance represents the total returns achieved by the Institutional Class from 6/30/04 through 3/1/09, and the Investor Class from 3/2/09 up to 5/17/10, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Institutional and Investor Classes. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 6/30/04. The maximum sales charge for A Class is 4.75%. |
5. | Fund performance represents the total returns achieved by the Institutional Class from 6/30/04 through 3/1/09, and the Investor Class from 3/2/09 up to 9/1/10, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Institutional and Investor Classes. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 6/30/04. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase. |
6. | The Barclays Capital 1-10 Yr. U.S. TIPS Index is an unmanaged market index comprising U.S. Treasury inflation-indexed securities with maturities between one and ten years while the Barclays Capital U.S. TIPS Index includes all maturities. The Lipper TIPS Funds Index tracks the results of the 30 largest mutual funds in the Lipper TIPS Fund category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. |
7. | A portion of the fees charged to the Investor Class of the Fund was waived from its inception. A portion of the fees charged to the Institutional Class of the Fund has been waived since 2005. Performance prior to waiving fees was lower than the actual returns shown. |
8. | The total annual Fund operating expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 0.35%, 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. |
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American Beacon Treasury Inflation Protected Securities FundSM
Performance Overview
December 31, 2011 (Unaudited)
The Fund produced strong absolute returns for the twelve-month time period as TIPS rallied amid downgraded global growth expectations, increased risk aversion, and uncertainty surrounding the European financial environment.
From a yield curve positioning standpoint, the Fund benefited from overweighting 9-10 year maturity TIPS and underweighting 2-3 year maturity TIPS, but an overweight allocation to 1-2 year maturity TIPS detracted from relative performance for the year. Individual security selections within the 1-3 year and 4-5 year maturity ranges also added value.
From a duration perspective, the Fund’s average modified duration was generally in-line with the Index for the year. However, a tactical short duration position implemented during the second quarter caused the Fund to lag during that period.
The Fund remains focused on investing in TIPS to provide inflation protection and income to its shareholders.
Top Ten Holdings
% of Net Assets | ||||
U.S. Treasury Note, 2.00%, Due 1/15/2014 | 11.6 | % | ||
U.S. Treasury Note, 1.125%, Due 1/15/2021 | 11.1 | % | ||
U.S. Treasury Note, 1.375%, Due 1/15/2020 | 10.1 | % | ||
U.S. Treasury Note, 0.50%, Due 4/15/2015 | 9.5 | % | ||
U.S. Treasury Note, 0.125%, Due 4/15/2016 | 7.8 | % | ||
U.S. Treasury Note, 1.25%, Due 7/15/2020 | 7.1 | % | ||
U.S. Treasury Note, 2.00%, Due 7/15/2014 | 7.0 | % | ||
U.S. Treasury Note, 2.00%, Due 1/15/2016 | 6.6 | % | ||
U.S. Treasury Note, 0.625%, Due 7/15/2021 | 5.3 | % | ||
U.S. Treasury Note, 1.375%, Due 7/15/2018 | 4.2 | % |
Portfolio Diversification
% of Fixed Income | ||||
A | 0.0 | % | ||
AA | 0.0 | % | ||
AAA | 0.0 | % | ||
Treasury | 100.0 | % |
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American Beacon Treasury Inflation Protected Securities FundSM
Fund Expenses
December 31, 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 July 1, 2011 through December 31, 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 your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
Beginning Account Value 7/1/11 | Ending Account Value 12/31/11 | Expenses Paid During Period* 7/1/11-12/31/11 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,037.11 | $ | 1.28 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,023.95 | $ | 1.28 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,034.89 | $ | 3.18 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,022.08 | $ | 3.16 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,034.40 | $ | 3.54 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,021.73 | $ | 3.52 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,032.76 | $ | 5.28 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,020.01 | $ | 5.24 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,028.49 | $ | 9.15 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,016.18 | $ | 9.10 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.25%, 0.62%, 0.69%, 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 (184) by days in the year (365) to reflect the half year period. |
** | 5% return before expenses. |
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American Beacon Treasury Inflation Protected Securities Fund
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of
American Beacon Treasury Inflation Protected Securities Fund:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of the American Beacon Treasury Inflation Protected Securities Fund (one of the funds constituting the American Beacon Funds) (the “Fund”), as of December 31, 2011, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the American Beacon Treasury Inflation Protected Securities Fund at December 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Dallas, Texas
February 28, 2011
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American Beacon Treasury Inflation Protected Securities Fund
Schedule of Investments
December 31, 2011
Principal Amount | Fair Value | |||||||
(000’s) | (000’s) | |||||||
U.S. TREASURY OBLIGATIONS - 99.19% | ||||||||
U.S. Treasury Note, | ||||||||
3.375%, Due 1/15/2012, A | $ | 134 | $ | 134 | ||||
1.875%, Due 7/15/2013, A | 9,216 | 9,637 | ||||||
2.00%, Due 1/15/2014, A | 24,976 | 26,449 | ||||||
1.25%, Due 4/15/2014, A | 2,060 | 2,158 | ||||||
2.00%, Due 7/15/2014, A | 14,923 | 16,079 | ||||||
1.625%, Due 1/15/2015, A | 3,511 | 3,787 | ||||||
0.50%, Due 4/15/2015, A | 20,814 | 21,778 | ||||||
1.875%, Due 7/15/2015, A | 6,473 | 7,138 | ||||||
2.00%, Due 1/15/2016, A | 13,559 | 15,156 | ||||||
0.125%, Due 4/15/2016, A | 17,050 | 17,774 | ||||||
2.50%, Due 7/15/2016, A | 3,437 | 3,975 | ||||||
2.375%, Due 1/15/2017, A | 5,300 | 6,152 | ||||||
2.625%, Due 7/15/2017, A | 3,272 | 3,895 | ||||||
1.625%, Due 1/15/2018, A | 1,129 | 1,286 | ||||||
1.375%, Due 7/15/2018, A | 8,537 | 9,666 | ||||||
2.125%, Due 1/15/2019, A | 1,571 | 1,868 | ||||||
1.875%, Due 7/15/2019, A | 2,614 | 3,080 | ||||||
1.375%, Due 1/15/2020, A | 20,288 | 23,100 | ||||||
1.25%, Due 7/15/2020, A | 14,334 | 16,213 | ||||||
1.125%, Due 1/15/2021, A | 22,633 | 25,240 | ||||||
0.625%, Due 7/15/2021, A | 11,217 | 12,000 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $222,852) | 226,565 | |||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 0.18% (Cost $401) | ||||||||
JPMorgan U.S. Government Money Market Fund | 401,205 | 401 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 99.37% (Cost $223,253) | 226,966 | |||||||
OTHER ASSETS, NET OF LIABILITIES - 0.63% | 1,440 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 228,406 | ||||||
|
|
Percentages are stated as a percent of net assets.
A | Inflation-Indexed Note. |
See accompanying notes
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American Beacon Treasury Inflation Protected Securities Fund
Statement of Assets and Liabilities
December 31, 2011 (in thousands, except share and per share amounts)
Assets: | ||||
Investments in unaffiliated securities, at fair value A | $ | 226,966 | ||
Dividends and interest receivable | 1,291 | |||
Receivable for fund shares sold | 221 | |||
Receivable for expense reimbursement (Note 2) | 19 | |||
Prepaid expenses | 38 | |||
|
| |||
Total assets | 228,535 | |||
|
| |||
Liabilities: | ||||
Payable for fund shares redeemed | 11 | |||
Management and investment advisory fees payable (Note 2) | 55 | |||
Administrative service and service fees payable (Note 2) | 35 | |||
Professional fees payable | 21 | |||
Other liabilities | 7 | |||
|
| |||
Total liabilities | 129 | |||
|
| |||
Net assets | $ | 228,406 | ||
|
| |||
Analysis of Net Assets: | ||||
Paid-in-capital | 225,908 | |||
Undistributed net investment income | — | |||
Accumulated net realized loss | (1,215 | ) | ||
Unrealized appreciation of investments | 3,713 | |||
|
| |||
Net assets | $ | 228,406 | ||
|
| |||
Shares outstanding (no par value): | ||||
Institutional Class | 18,540,956 | |||
|
| |||
Y Class | 44,545 | |||
|
| |||
Investor Class | 1,791,991 | |||
|
| |||
A Class | 76,689 | |||
|
| |||
C Class | 24,011 | |||
|
| |||
Net asset value, offering and redemption price per share: | ||||
Institutional Class | $ | 11.16 | ||
|
| |||
Y Class | $ | 11.24 | ||
|
| |||
Investor Class | $ | 11.12 | ||
|
| |||
A Class (net asset value and redemption price) | $ | 11.15 | ||
|
| |||
A Class (offering price) | $ | 11.71 | ||
|
| |||
C Class | $ | 11.06 | ||
|
| |||
| ||||
A Cost of investments in unaffiliated securities | $ | 223,253 |
See accompanying notes
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American Beacon Treasury Inflation Protected Securities Fund
Statement of Operations
For the Year Ended December 31, 2011 (in thousands)
Investment Income: | ||||
Interest income | $ | 6,223 | ||
|
| |||
Total investment income | 6,223 | |||
|
| |||
Expenses: | ||||
Management and investment advisory fees (Note 2) | 275 | |||
Administrative service fees (Note 2): | ||||
Institutional Class | 330 | |||
Y Class | 1 | |||
Investor Class | 53 | |||
A Class | 2 | |||
C Class | 1 | |||
Transfer agent fees: | ||||
Institutional Class | 10 | |||
Y Class | 2 | |||
Investor Class | 2 | |||
A Class | 2 | |||
C Class | 2 | |||
Custody and fund accounting fees | 28 | |||
Professional fees | 47 | |||
Registration fees and expenses | 69 | |||
Service fees (Note 2): | ||||
Investor Class | 44 | |||
A Class | 1 | |||
Distribution fees (Note 2): | ||||
A Class | 1 | |||
C Class | 2 | |||
Prospectus and shareholder reports | 40 | |||
Insurance fees | 5 | |||
Trustee fees | 18 | |||
Other expenses | 8 | |||
|
| |||
Total expenses | 943 | |||
|
| |||
Net fees waived and expenses reimbursed by Manager (Note 2) | (238 | ) | ||
|
| |||
Net expenses | 705 | |||
|
| |||
Net investment income | 5,518 | |||
|
| |||
Realized and unrealized gain (loss) on investments: | ||||
Net realized gain (loss) from: | ||||
Investments | 11,233 | |||
Change in net unrealized appreciation or (depreciation) of: | ||||
Investments | 1,958 | |||
|
| |||
Net gain on investments | 13,191 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 18,709 | ||
|
|
See accompanying notes
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American Beacon Treasury Inflation Protected Securities Fund
Statement of Changes in Net Assets
(in thousands)
Year Ended December 31, 2011 | Year Ended December 31, 2010 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 5,518 | $ | 2,885 | ||||
Net realized gain on investments | 11,233 | 8,451 | ||||||
Change in net unrealized appreciation or (depreciation) of investments | 1,958 | (331 | ) | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 18,709 | 11,005 | ||||||
|
|
|
| |||||
Distributions to Shareholders: | ||||||||
Net investment income: | ||||||||
Institutional Class | (5,260 | ) | (2,717 | ) | ||||
Y Class | (9 | ) | (1 | ) | ||||
Investor Class | (412 | ) | (166 | ) | ||||
A Class | (17 | ) | — | |||||
C Class | (3 | ) | — | |||||
Tax return of capital: | ||||||||
Institutional Class | (256 | ) | — | |||||
Y Class | (1 | ) | — | |||||
Investor Class | (24 | ) | — | |||||
A Class | (1 | ) | — | |||||
C Class | — | — | ||||||
|
|
|
| |||||
Net distributions to shareholders | (5,983 | ) | (2,884 | ) | ||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from sales of shares | 273,161 | 135,939 | ||||||
Reinvestment of dividends and distributions | 5,353 | 2,242 | ||||||
Cost of shares redeemed | (235,964 | ) | (134,873 | ) | ||||
|
|
|
| |||||
Net increase in net assets from capital share transactions | 42,550 | 3,308 | ||||||
|
|
|
| |||||
Net increase in net assets | 55,276 | 11,429 | ||||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of period | 173,130 | 161,701 | ||||||
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|
| |||||
End of Period * | $ | 228,406 | $ | 173,130 | ||||
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| |||||
* Includes undistributed net investment income (loss) of | $ | — | $ | 182 | ||||
|
|
|
|
See accompanying notes
10
Table of Contents
American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2011
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”) which is comprised of twenty Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, (the “Act”), as a diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon Treasury Inflation Protected Securities Fund (the “Fund”), a series of the Trust.
American Beacon Advisors, Inc. (the “Manager”) is a wholly-owned subsidiary of Lighthouse Holdings, Inc., and was organized in 1986 to provide business management, advisor, administration and asset management consulting services to the Trust and other investors.
Class Disclosure
The 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 |
Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the Fund. Class specific expenses, where applicable, currently include administrative service fees, service fees, and distribution fees and vary amongst the classes as described more fully in Note 2.
New Accounting Pronouncements
In May 2011, FASB issued an ASU to develop common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with U.S. generally accepted accounting principles, (“U.S. GAAP”) and International Financial Reporting Standards (IFRSs). FASB concluded that the amendments in this ASU will improve the comparability of fair value measurements presented and disclosed in financial statements prepared in accordance with U.S. GAAP and IFRSs. The ASU is effective prospectively during interim or annual periods beginning on or after December 15, 2011.
Management has evaluated the implications of these changes and determined that the impact will only affect the disclosure requirements related to the financial statements.
2. Transactions with Affiliates
Management Agreement
The Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all investment advisory and portfolio management services. Investment assets of the Fund may be managed by multiple investment advisors which have entered into separate investment advisory agreements with the Manager. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Fund an annualized fee equal to 0.05% of the average daily net assets plus amounts paid by the Manager to the investment advisors hired by the Manager to direct investment activities of the Fund. Management fees paid during the year ended December 31, 2011 were as follows:
Management | Management Fee | Amount paid to Investment Sub-Advisor | Net Amount Retained by Manager | |||||||||
0.15% – 0.19% | $ | 274,567 | $ | 156,431 | $ | 118,136 |
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American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2011
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.
Distribution Plans
The Fund, except for the A and C Classes of the Fund, have adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule 12b-1 under the Act, pursuant to which no fees may be charged to the Fund for distribution purposes. However, the Plan authorizes the management and administrative service fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Fund does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund shares.
Separate Distribution Plans (the “Distribution Plans”) have been adopted pursuant to Rule 12b-1 under the Act for the A and C Classes of the Fund. Under the Distribution Plans, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C Class of the Fund. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expense incurred in a particular month by the Manager for distribution assistance.
Service Plan
The Manager and the Trust entered into a Service Plans that obligate 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 Plans, 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 and C Classes for the period ended December 31, 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 year ended December 31, 2011, the Fund did not utilize the credit facility.
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American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2011
Reimbursement of Expenses
The Manager voluntarily and contractually 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. Of these amounts approximately $19,000 was receivable from the Manager at December 31, 2011. For the year ended December 31, 2011, the Manager reimbursed expenses as follows:
Expense Cap and Limits | ||||||||||||||||
Class | 1/1/11 to 2/28/11 | 3/1/11 to 12/31/11 | Reimbursed Expenses | Expiration of Reimbursements | ||||||||||||
Institutional* | 0.10 | % | 0.10 | % | $ | 217,538 | 2014 | |||||||||
Y** | N/A | N/A | 1,648 | 2014 | ||||||||||||
Investor | N/A | 0.69 | % | 15,596 | 2014 | |||||||||||
A** | N/A | N/A | 1,655 | 2014 | ||||||||||||
C** | N/A | N/A | 1,647 | 2014 |
* | Expense reduction. |
** | Voluntary Reimbursement. |
Expense Reimbursement Plan
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 carryover of excess expenses potentially reimbursable to the Manager, but not recorded as a liability is $131,280, $195,951, and $238,084 will expire in 2012, 2013, and 2014 respectively. The Fund has not recorded a liability for these potential reimbursements due to the current assessment that reimbursements are unlikely.
Sales Commissions
The Fund’s distributor, Foreside Fund Services, LLC (“Foreside”) may receive a portion of A Class sales charges from broker dealers and it may be used to offset expenses that the Manager pays to Foreside. For the year ended December 31, 2011 there has been $918 in sales commissions from the sale of A Class shares that were received by Foreside.
3. Security Valuation and Fair Value Measurements
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 (“NAV”) 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 Trust’s Board of Trustees (the “Board”).
Valuation Inputs
Various inputs may be used to determine the fair 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. |
13
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American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2011
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 other 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. |
Level 1 and Level 2 trading assets and trading liabilities, at fair value
Fixed income securities including corporate, U.S. government agencies, and U.S. treasury obligations, are normally valued by pricing service providers that use broker dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates, and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date are categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair value. These investments are categorized as Level 2 of the fair value hierarchy.
Level 3 trading assets and trading liabilities, at fair value
The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:
Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction and are categorized as Level 3 of the fair value hierarchy.
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the Exchange close, that materially affect the values of a Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade, do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager the responsibility for monitoring significant events that may materially affect the fair values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be re-evaluated in light of such significant events.
The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to the Manager. For instances in which daily market quotes are not readily available, investments may be valued, pursuant to guidelines established by the Board, with reference to other securities or indices. In the event that the security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the fair value of the security or asset will be determined in good faith by the Valuation Committee of the Board, generally based upon recommendations provided by the Manager.
14
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American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2011
When a Fund uses fair valuation methods applied by the Manager that use significant unobservable inputs to determine its NAV, securities will be priced by another method that the Board or persons acting at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Trust’s policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the Trust cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.
For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in and out of the Level 3 category during the period. The end of period timing recognition is used for the significant transfers between Levels of the Fund’s assets and liabilities. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included below.
The Fund’s investments are summarized by level based on the inputs used to determine their values. U.S. GAAP also requires all significant transfers between any levels to be disclosed. During the year ended December 31, 2011, there were no significant transfers into or out of any level for the Fund. As of December 31, 2011, the investments were classified as described below (in thousands):
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
U.S. Treasury Obligations | $ | — | $ | 226,565 | $ | — | $ | 226,565 | ||||||||
Short-term investments | 401 | — | — | 401 | ||||||||||||
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Total | $ | 401 | $ | 226,565 | $ | — | $ | 226,966 | ||||||||
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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 NAV. 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.
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American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2011
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. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
4. 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 Subchapter M of the Internal Revenue Code, as amended, 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, 2011 remains subject to examination by the Internal Revenue Service. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expense” on the Statement of Operations.
Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. GAAP. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.
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Table of Contents
American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2011
The tax character of distributions paid during the fiscal years ended December 31, 2011 and December 31, 2010 were as follows (in thousands):
Year Ended December 31, 2011 | Year Ended December 31, 2010 | |||||||
Distributions paid from: | ||||||||
Ordinary income:* | ||||||||
Institutional Class | $ | 5,260 | $ | 2,717 | ||||
Y Class | 9 | 1 | ||||||
Investor Class | 412 | 166 | ||||||
A Class | 17 | — | ||||||
C Class | 3 | — | ||||||
Tax return of capital: | ||||||||
Institutional Class | 256 | — | ||||||
Y Class | 1 | — | ||||||
Investor Class | 24 | — | ||||||
A Class | 1 | — | ||||||
C Class | — | — | ||||||
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Total distributions paid | $ | 5,983 | $ | 2,884 | ||||
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* | For tax purposes, short-term capital gains distributions are considered ordinary income distributions. |
As of December 31, 2011, the components of distributable earnings on a tax basis were as follows (in thousands):
Cost basis of investments for federal income tax purposes | $ | 223,791 | ||
Unrealized appreciation | 3,498 | |||
Unrealized depreciation | (323 | ) | ||
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| |||
Net unrealized appreciation or (depreciation) | 3,175 | |||
Undistributed ordinary income | — | |||
Accumulated long-term gain (loss) | (677 | ) | ||
Other temporary differences | — | |||
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| |||
Distributable earnings | $ | 2,498 | ||
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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 or (depreciation) are attributable primarily to the tax deferral of losses from wash sales.
Due to inherent differences in the recognition of income, expenses, and realized gains (losses) under U.S. GAAP and federal income tax regulations, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statement of Assets and Liabilities.
Accordingly, the following amounts represent current year permanent differences derived from a return of capital that have been reclassified as of December 31, 2011 (in thousands):
Paid-in-capital | $ | (282 | ) | |
Undistributed net investment income | 283 | |||
Accumulated net realized gain (loss) | — | |||
Unrealized appreciation or (depreciation) of investments | (1 | ) |
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes are generally effective for taxable years beginning after the date of enactment. One of the more prominent changes addresses capital loss carryforwards. Under the Act, each Fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result
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American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2011
of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
Finally, the Act contains several provisions aimed at preserving the character of distributions made by a fiscal year registered investment company (“RIC”) during the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which a RIC might be required to file amended Forms 1099 to restate previously reported distributions. Except for the simplification provisions related to RIC qualification, the Act is effective for taxable years beginning after December 22, 2010. The provisions related to RIC qualification are effective for taxable years for which the extended due date of the tax return is after December 22, 2010.
Losses prior to the provisions of the Act are $677 expiring in 2017 (in thousands) which may be applied against any realized net taxable gains in each succeeding year or until the expiration date, whichever occurs first. The Fund utilized $11,117 of net capital loss carryforward for the year ended December 31, 2011.
5. Investment Transactions
The aggregate cost of purchases and proceeds from sales of investments for the year ended December 31, 2011, excluding short-term investments, were $931,953,635 and $893,075,861, respectively. These amounts also represent purchases and sales of U.S. Government securities.
6. Capital Share Transactions
The tables below summarize the activity in capital shares (dollars and shares in thousands):
Year Ended December 31, 2011
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Shares sold | 23,868 | $ | 263,690 | 21 | $ | 232 | 759 | $ | 8,298 | |||||||||||||||
Reinvestment of dividends | 450 | 4,913 | 1 | 10 | 38 | 416 | ||||||||||||||||||
Shares redeemed | (20,729 | ) | (230,629 | ) | (12 | ) | (128 | ) | (461 | ) | (5,039 | ) | ||||||||||||
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Net increase in shares outstanding | 3,589 | $ | 37,974 | 10 | $ | 114 | 336 | $ | 3,675 | |||||||||||||||
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A Class | C Class | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares sold | 76 | $ | 840 | 9 | $ | 101 | ||||||||||
Reinvestment of dividends | 1 | 11 | — | 3 | ||||||||||||
Shares redeemed | (15 | ) | (167 | ) | — | (1 | ) | |||||||||
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Net increase in shares outstanding | 62 | $ | 684 | 9 | $ | 103 | ||||||||||
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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 | ) | ||||||||||||||
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Net increase (decrease) in shares outstanding | (390 | ) | $ | (6,323 | ) | 34 | $ | 360 | 877 | $ | 8,965 | |||||||||||||
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18
Table of Contents
American Beacon Treasury Inflation Protected Securities Fund
Notes to Financial Statements
December 31, 2011
A Class | C Class | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares sold | 15 | $ | 155 | 15 | $ | 151 | ||||||||||
Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
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Net increase (decrease) in shares outstanding | 15 | $ | 155 | 15 | $ | 151 | ||||||||||
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19
Table of Contents
American Beacon Treasury Inflation Protected Securities Fund
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | Y Class | |||||||||||||||||||||||||||
Year Ended December 31, | Year Ended December 31, | March 1 to December 31, | ||||||||||||||||||||||||||
2011 | 2010 | 2009A | 2008 | 2007B | 2011 | 2010 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.51 | $ | 10.16 | $ | 9.20 | $ | 10.18 | $ | 9.53 | $ | 10.60 | $ | 10.25 | ||||||||||||||
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Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income | 0.28 | 0.16 | 0.06 | 0.80 | 0.45 | 0.26 | 0.05 | |||||||||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | 0.67 | 0.35 | 0.95 | (0.98 | ) | 0.59 | 0.65 | 0.35 | ||||||||||||||||||||
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Total income (loss) from investment operations | 0.95 | 0.51 | 1.01 | (0.18 | ) | 1.04 | 0.91 | 0.40 | ||||||||||||||||||||
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Less distributions: | ||||||||||||||||||||||||||||
Dividends from net investment income | (0.29 | ) | (0.16 | ) | (0.05 | ) | (0.80 | ) | (0.39 | ) | (0.26 | ) | (0 .05 | ) | ||||||||||||||
Distributions from net realized gains on securities | — | — | — | — | — | — | — | |||||||||||||||||||||
Tax return of capital | (0.01 | )C | — | — | — | 0.00 | C,D | (0.01 | )C | — | ||||||||||||||||||
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Total distributions | (0.30 | ) | (0.16 | ) | (0.05 | ) | (0.80 | ) | (0.39 | ) | (0.27 | ) | (0.05 | ) | ||||||||||||||
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Net asset value, end of period | $ | 11.16 | $ | 10.51 | $ | 10.16 | $ | 9.20 | $ | 10.18 | $ | 11.24 | $ | 10.60 | ||||||||||||||
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Total return E | 9.14 | % | 5.03 | % | 11.00 | % | (2.09 | )% | 11.22 | % | 8.66 | % | 3.89 | %F | ||||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 206,864 | $ | 157,195 | $ | 155,833 | $ | 140,189 | $ | 223,697 | $ | 501 | $ | 365 | ||||||||||||||
Ratios to average net assets (annualized): | ||||||||||||||||||||||||||||
Expenses, before reimbursements | 0.36 | % | 0.35 | % | 0.36 | % | 0.29 | % | 0.43 | % | 1.04 | % | 0.60 | %G | ||||||||||||||
Expenses, after reimbursements | 0.26 | % | 0.25 | % | 0.26 | % | 0.25 | % | 0.43 | % | 0.63 | % | 0.60 | %G | ||||||||||||||
Net investment income (loss), before reimbursements | 2.24 | % | 1.40 | % | 0.59 | % | 5.15 | % | 4.74 | % | 1.80 | % | 0.85 | %G | ||||||||||||||
Net investment income (loss), after reimbursements | 2.34 | % | 1.50 | % | 0.69 | % | 5.19 | % | 4.74 | % | 2.21 | % | 0.85 | %G | ||||||||||||||
Portfolio turnover rate | 381 | % | 214 | % | 180 | % | 128 | % | 139 | % | 381 | % | 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. |
20
Table of Contents
American Beacon Treasury Inflation Protected Securities Fund
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | A Class | C Class | ||||||||||||||||||||||
Year Ended | March 2 to December 31, | Year Ended December 31, | May 17 to December 31, | Year Ended December 31, | September 1 to December 31, | |||||||||||||||||||
2011 | 2010 | 2009A | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||
$10.48 | $ | 10.13 | $ | 9.25 | $ | 10.54 | $ | 10.35 | $ | 10.46 | $ | 10.38 | ||||||||||||
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0.24 | 0.06 | 0.14 | 0.10 | 0.04 | 0.13 | 0.00 | ||||||||||||||||||
0.66 | 0.41 | 0.79 | 0.76 | 0.19 | 0.65 | 0.08 | ||||||||||||||||||
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0.90 | 0.47 | 0.93 | 0.86 | 0.23 | 0.78 | 0.08 | ||||||||||||||||||
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(0.25) | (0.12 | ) | (0.05 | ) | (0.24 | ) | (0.04 | ) | (0.17 | ) | — | |||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||
(0.01)C | — | — | (0.01 | )C | — | (0.01 | )C | — | ||||||||||||||||
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(0.26) | (0.12 | ) | (0.05 | ) | (0.25 | ) | (0.04 | ) | (0.18 | ) | — | |||||||||||||
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$11.12 | $ | 10.48 | $ | 10.13 | $ | 11.15 | $ | 10.54 | $ | 11.06 | $ | 10.46 | ||||||||||||
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8.67% | 4.62 | % | 10.05 | %F | 8.17 | % | 2.23 | %F | 7.47 | % | 0.77 | %F | ||||||||||||
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$19,920 | $ | 15,262 | $ | 5,868 | $ | 855 | $ | 155 | $ | 266 | $ | 153 | ||||||||||||
0.77% | 0.75 | % | 0.81 | %G | 1.32 | % | 0.99 | %G | 2.62 | % | 1.77 | %G | ||||||||||||
0.68% | 0.64 | % | 0.65 | %G | 1.03 | % | 0.99 | %G | 1.79 | % | 1.77 | %G | ||||||||||||
2.24% | 1.06 | % | 3.04 | %G | 0.88 | % | 0.55 | %G | 0.25 | % | (0.05 | )%G | ||||||||||||
2.32% | 1.17 | % | 3.20 | %G | 1.17 | % | 0.55 | %G | 1.08 | % | (0.05 | )%G | ||||||||||||
381% | 214 | % | 180 | %I | 381 | % | 214 | %H | 381 | % | 214 | %H |
21
Table of Contents
American Beacon Treasury Inflation Protected Securities Fund
Privacy Policy and Federal Tax Information
December 31, 2011 (Unaudited)
Privacy Policy
The American Beacon Funds recognize and respect the privacy of our shareholders. We are providing this notice to you so you will understand how shareholder information may be collected and used.
We may collect nonpublic personal information about you from one or more of the following sources:
• | information we receive from you on applications or other forms; |
• | information about your transactions with us or our service providers; and |
• | information we receive from third parties. |
We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law.
We restrict access to your nonpublic personal information to those employees or service providers who need to know that information to provide products or services to you. To ensure the confidentiality of your nonpublic personal information, we maintain safeguards that comply with federal standards.
Federal Tax Information
We are providing this information as required by the Internal Revenue Code. The amounts shown may differ from those in other areas of this report because of differences between tax and financial reporting requirements.
The Fund’s distributions to shareholders did not include any short-term capital gains.
Of the ordinary dividends paid to shareholders during the tax year ended December 31, 2011, 99.6% were derived from U.S. Treasury Obligations.
22
Table of Contents
Trustees and Officers of the American Beacon Funds
(Unaudited)
The Trustees and officers of the American Beacon Funds (the “Trust”) are listed below, together with their principal occupations during the past five years. Unless otherwise indicated, the address of each person listed below is 4151 Amon Carter Boulevard, MD 2450, Fort Worth, Texas 76155. Each Trustee oversees twenty-two funds in the fund complex that includes the Trust, the American Beacon Master Trust, the American Beacon Mileage Trust, and the American Beacon Select Funds. The Trust’s Statement of Additional Information contains additional information about the Trustees and is available without charge by calling 1-800-658-5811.
Name, Age and Address | Position, Term of | Principal Occupation(s) During Past 5 Years | ||
INTERESTED TRUSTEES | ||||
Term Lifetime of Trust until removal, resignation or retirement* | ||||
Alan D. Feld** (75) | Trustee since 1996 | Sole Shareholder of a professional corporation which is a Partner in the law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (law firm) (1960-Present); Director, Clear Channel Communications (1984-2008); Trustee, American Beacon Mileage Funds (1996-Present); Trustee, American Beacon Select Funds (1999-Present); Trustee, American Beacon Master Trust (1996-Present). | ||
NON-INTERESTED TRUSTEES | ||||
Term Lifetime of Trust until removal, resignation or retirement* | ||||
W. Humphrey Bogart (67) | Trustee since 2004 | Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-Present). | ||
Brenda A. Cline (51) | Trustee since 2004 | Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, American Beacon Mileage Funds (2004-present); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-Present). | ||
Eugene J. Duffy (57) | Trustee since 2008 | Principal and Executive Vice President, Paradigm Asset Management (1994- Present); Director, Sunrise Bank of Atlanta (2008-Present); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-Present). | ||
Thomas M. Dunning (69) | Trustee since 2008 | Non-Executive Chairman (2008-Present); Chairman (1998-2008) and Chief Executive Officer (1998-2007), Lockton Dunning Benefits (consulting firm in employee benefits); Director, Oncor Electric Delivery Company LLC (2007- Present); Board Member, BancTec (2010-Present); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008- Present); Trustee, American Beacon Master Trust (2008-Present). | ||
Richard A. Massman (68) | Trustee since 2004 Chairman since 2008 | Consultant and General Counsel Emeritus (2009-Present) and Senior Vice President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding company engaged in oil and gas exploration and production, refining, real estate, farming, ranching and venture capital activities); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004- Present); Trustee, American Beacon Master Trust (2004-Present). |
23
Table of Contents
Trustees and Officers of the American Beacon Funds
(Unaudited)
Name, Age and Address | Position, Term of | Principal Occupation(s) During Past 5 Years | ||
R. Gerald Turner (66) | Trustee since 2001 | President, Southern Methodist University (1995-Present); Director, J.C. Penney Company, Inc. (1996-Present); Director, Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Director, First Broadcasting Investment Partners, LLC (2003-2007); Trustee, American Beacon Mileage Funds (2001- Present); Trustee, American Beacon Select Funds (2001-Present); Trustee, American Beacon Master Trust (2001-Present). | ||
Paul J. Zucconi, CPA (71) | Trustee since 2008 | Director, Affirmative Insurance Holdings, Inc. (producer of nonstandard automobile insurance) (2004-Present); Director, Titanium Metals Corporation (producer of titanium melted and mill products) (2002-Present); Director, Torchmark Corporation (life and health insurance products) (2002-Present); Director, Charter Bank (community bank services and products) (2010-Present); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-Present). | ||
OFFICERS | ||||
Term One Year | ||||
Gene L. Needles, Jr. (57) | President since 2009 Executive Vice President since 2009 | President, CEO and Director (2009-Present), American Beacon Advisors, Inc.; President (2009-Present), President, CEO and Director (2009-Present), Lighthouse Holdings, Inc.; President and CEO (2009-Present), Lighthouse Holdings Parent, Inc.; President (2009-Present), American Beacon Select Funds; President (2009-Present), American Beacon Mileage Funds; President (2008- 2009), Touchstone Investments; President (2003-2007), CEO (2004-2007), AIM Distributors. | ||
William F. Quinn (63) | Executive Vice President from 2007 to 2008 and 2009 to Present President from 1987 to 2007 and 2008 to 2009 Trustee from 1987 to 2008 | Executive Chairman (2009-Present), Chairman (2006-2009), CEO (2006-2007), and Director (2003-Present), American Beacon Advisors, Inc.; Chairman and Director (2008-Present), Lighthouse Holdings, Inc.; Chairman and Director (2008-Present), Lighthouse Holdings Parent, Inc.; Director (2003-Present), American Airlines Federal Credit Union; Director, Hicks Acquisition I, Inc. (2007- 2009); Director, Hicks Acquisition II, Inc. (2010-Present) (special purpose acquisition company); Director, Crescent Real Estate Equities, Inc. (1994-2007); Trustee (1995-2008) and President (1995-2007, 2008-2009), American Beacon Mileage Funds; Trustee (1999-2008) and President (1999-2007, 2008-2009), American Beacon Select Funds; Director, American Beacon Global Funds SPC (2002-2011); Director, American Beacon Global Funds, plc (2007-2009). | ||
Rosemary K. Behan (52) | VP, Secretary and Chief Legal Officer since 2006 | Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006- Present); Secretary (2008-Present), Lighthouse Holdings, Inc.; Secretary (2008- Present), Lighthouse Holdings Parent, Inc. | ||
Brian E. Brett (51) | VP since 2004 | Vice President, Director of Sales, American Beacon Advisors, Inc. (2004- Present). | ||
Wyatt L. Crumpler (45) | VP since 2007 | Vice President, Asset Management (2009-Present) and Vice President, Trust Investments (2007-2009), American Beacon Advisors, Inc. | ||
Erica Duncan (41) | VP Since 2011 | Vice President, Marketing & Client Services (2011-Present), American Beacon Advisors, Inc.; Supervisor, Brand Marketing (2010-2011), Invesco; Supervisor, Marketing Communications (2009-2010) and Senior Financial Writer (2004-2009), Invesco AIM. | ||
Michael W. Fields (57) | VP since 1989 | Chief Fixed Income Officer (2011-Present) and Vice President, Fixed Income Investments, American Beacon Advisors, Inc. (1988-2011); Director, American Beacon Global Funds SPC (2002-2011); Director, American Beacon Global Funds plc (2007-2009). |
24
Table of Contents
Trustees and Officers of the American Beacon Funds
(Unaudited)
Name, Age and Address | Position, Term of | Principal Occupation(s) During Past 5 Years | ||
Melinda G. Heika (50) | Treasurer since 2010 | Vice President, Finance & Accounting (2010-Present); Treasurer (2010-Present), and Controller (2005-2009), American Beacon Advisors, Inc.; Treasurer (2010- Present), Lighthouse Holdings, Inc.; Treasurer (2010-Present), Lighthouse Holdings Parent, Inc. | ||
Terri L. McKinney (48) | VP since 2010 | Vice President, Enterprise Services (2009-Present) and Managing Director (2003- 2009), American Beacon Advisors, Inc. | ||
Jeffrey K. Ringdahl (36) | VP since 2010 | Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present); Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010); Senior Director, Business Integration, Fidelity Investments (2005-2007). | ||
Samuel J. Silver (48) | VP Since 2011 | Vice President, Fixed Income Investments (2011-Present) and Senior Portfolio Manager, Fixed Income Investments (1999-2011), American Beacon Advisors, Inc. | ||
Christina E. Sears (40) | Chief Compliance Officer since 2004 and Asst. Secretary since 1999 | Chief Compliance Officer (2004-Present), American Beacon Advisors, Inc. | ||
John J. Okray (37) | Asst. Secretary since 2010 | Assistant General Counsel, American Beacon Advisors, Inc. (2010-Present); Asst. Secretary (2010-Present), Lighthouse Holdings, Inc.; Asst. Secretary (2010- Present), Lighthouse Holdings Parent, Inc.; Vice President, OppenheimerFunds, Inc. (2004-2010). | ||
Sonia L. Bates (55) | Asst. Treasurer since 2011 | Director, Tax and Financial Reporting (2011 - Present) and Manager, Tax and Financial Reporting (2005-2010), American Beacon Advisors, Inc.; Asst. Treasurer (2011-Present), Lighthouse Holdings, Inc.; Asst. Treasurer (2011- Present), Lighthouse Holdings Parent, Inc. |
* | The Board has adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in which they reach the age of 72, provided, however, that the Board may determine to grant one or more annual exemptions to this requirement. |
** | Mr. Feld is deemed to be an “interested person” of the Trusts, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s and Master Trust’s sub-advisors. |
25
Table of Contents
Delivery of Documents
eDelivery is NOW AVAILABLE - Stop traditional mail delivery and receive your
shareholder reports and summary prospectus on-line. Sign up at
www.americanbeaconfunds.com
If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Summary Prospectus, Annual Report and Semi-Annual Report, by e-mail. If you are interested in this option, please go to www.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.
To obtain more information about the Fund:
![]() | ![]() | |
By E-mail: | On the Internet: | |
american_beacon.funds@ambeacon.com | Visit our website at www.americanbeaconfunds.com |
![]() | ![]() | |
By Telephone: | By Mail: | |
Call (800) 658-5811 | American Beacon Funds | |
P.O. Box 219643 | ||
Kansas City, MO 64121-9643 | ||
Availability of Quarterly Portfolio Schedules | Availability of Proxy Voting Policy and Records | |
In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N -Q may also be reviewed and copied at the SEC’s Public Reference Room, 450 Fifth Street, NW, Washington, DC 20549. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. A complete schedule of the Fund’s portfolio holdings is also available on the Funds’ website (www.americanbeaconfunds.com) approximately twenty days after the end of each month. | A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s website (www.americanbeaconfunds.com) and by calling 1-800-967 -9009 or by accessing the SEC’s website at www.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009. |
Fund Service Providers:
CUSTODIAN State Street Bank and Trust Boston, Massachusetts | TRANSFER AGENT Boston Financial Data Services Kansas City, Missouri | INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Dallas, Texas | DISTRIBUTOR Foreside Fund Services, LLC Portland, Maine |
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.
American Beacon Funds and the American Beacon Treasury Inflation Protected Securities Fund are service marks of American Beacon Advisors, Inc.
AR 12/11
Table of Contents
Table of Contents
About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
Contents
1 | ||||
2 | ||||
American Beacon Funds | ||||
12 | ||||
13 | ||||
14 | ||||
15 | ||||
22 | ||||
State Street Equity 500 Index Portfolio | ||||
Portfolio of Investments | 30 | |||
Statement of Assets and Liabilities | 36 | |||
Statement of Operations | 37 | |||
Statements of Changes in Net Assets | 38 | |||
Financial Highlights | 39 | |||
Notes to Financial Statements | 40 | |||
Master Small Cap Index Series | ||||
Schedule of Investments | 51 | |||
Statement of Assets and Liabilities | 72 | |||
Statement of Operations | 73 | |||
Statements of Changes in Net Assets | 74 | |||
Financial Highlights | 74 | |||
Notes to Financial Statements | 75 | |||
Master International Index Series | ||||
Summary Schedule of Investments | 83 | |||
Statement of Assets and Liabilities | 93 | |||
Statement of Operations | 94 | |||
Statements of Changes in Net Assets | 95 | |||
Financial Highlights | 95 | |||
Notes to Financial Statements | 96 | |||
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.
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.
American Beacon Funds | December 31, 2011 |
Table of Contents
From around the globe to within U.S. borders, many events caused emotions to run high in 2011. We saw challenges that not only affected equity and credit markets – as well as our investments in them – but also changed many people’s lives in profound ways.
Among the headlines that had significant effects on investors were the political upheaval in the Middle East and North Africa, Japan’s earthquake and related nuclear disaster, controversy over U.S. troop withdrawal from Iraq, deterioration of the European economy, U.S. Congressional gridlocks over everything from the debt ceiling to tax breaks, the Occupy Wall Street movement and less-than-inspiring economic and jobs growth numbers domestically.
It’s easy to see how uncertainty in the markets – fueled by these events – could create an emotional response among investors. However, 2011 also reminded investors that maintaining a consistent, well-balanced investment strategy can protect against short-sighted actions – fueled by emotions – that can jeopardize long-term goals.
Volatility both domestically and internationally caused most equity markets to end the year flat or down. Over the 12-month period ended December 31, 2011, the American Beacon S&P 500 Index Fund (Institutional Class) returned 1.92%. The American Beacon Small Cap Index Fund (Institutional Class) returned -4.54% over the same period. And the American Beacon International Equity Index Fund (Institutional Class) returned -12.50%. These returns were generally in line with the performance of each Fund’s respective Index.
The year to come will surely provide its own list of unexpected national and world events. 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 |
1
Table of Contents
American Beacon S&P 500 Index Fund†
Performance Overview
December 31, 2011 (Unaudited)
For the twelve months ended December 31, 2011, the total return of the Institutional Class of the American Beacon S&P 500 Index Fund was 1.92%, slightly behind the S&P 500 Index (the “Index”) return of 2.11% but consistent with the Lipper S&P 500 Objective Funds Index return of 1.93%.
Comparison of Change in Value
of a $10,000 Investment
For the Period from 12/31/01 through 12/31/11
Annualized Total Returns Periods Ended 12/31/11 | Value of $10,000 12/31/01- 12/31/11 | |||||||||||||||
1 Year | 5 Years | 10 Years | ||||||||||||||
Institutional Class (1,4). | 1.92 | % | -0.31 | % | 2.79 | % | $ | 13,172 | ||||||||
Investor Class (1,2,4) | 1.44 | % | -0.75 | % | 2.33 | % | $ | 12,592 | ||||||||
Lipper S&P 500 Objective Funds Index (3) | 1.93 | % | -0.45 | % | 2.68 | % | $ | 13,028 | ||||||||
S&P 500 Index (3) | 2.11 | % | -0.25 | % | 2.92 | % | $ | 13,332 |
1. | Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. |
2. | A portion of the fees charged to the Investor Class of the Fund was waived through 2002. Performance prior to waiving fees was lower than the actual returns shown for periods prior to 2002. |
3. | The Lipper S&P 500 Objective Funds Index tracks the results of the 30 largest mutual funds in the Lipper S&P 500 Objective Funds category. Lipper is an independent mutual fund research and ranking service. The S&P 500 Index is a market capitalization weighted index of common |
stocks publicly traded in the U.S. One cannot invest directly in an index. |
4. | The total annual Fund operating expense ratios set forth in the most recent Fund prospectus for the Institutional and Investor Class shares were 0.13% and 0.60%, 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. |
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 Index briefly slipped into the red on a year-to-date basis. 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 Index resumed the docile upward trading pattern that had prevailed through much of December and January. Although the Index 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 for Supply Management’s 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
2
Table of Contents
American Beacon S&P 500 Index Fund†
Performance Overview
December 31, 2011 (Unaudited)
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 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 market declines continued in the third quarter as weak payroll data, increasing political gridlock, and a downgrade of the United States’ credit rating all helped drive the Index down during the quarter. Increasing concerns over debt issues in Europe also weighed on investor sentiment. The Federal Reserve attempted to boost morale by announcing interest rates would remain near zero well into 2013, but the impact was muted. The third quarter ended with the largest drop in the Index since the fourth quarter of 2008, arguably the height of the financial crisis.
The final quarter of the year brought relief for weary investors, as the Index rose 11.82%. Sentiment was aided by hopes for progress in Europe, a quieting of the rancorous debates in Washington, solid corporate earnings and signs of improvement in U.S. housing and employment data.
The volatile times of 2011 ended with the Index rising 2.11% for the year. While investor concerns were high through much of the year, the return was quite respectable. In comparison, U.S. markets were much stronger than the international markets. The Index beat the MSCI EAFE benchmark (developed international markets) by 14.00%, and beat the MSCI Emerging Index by more than 20.00%.
Seven of the ten S&P sectors posted gains and defensive sectors were in favor during the year. The Utilities (+19.93%), Consumer Staples (+13.89%) and Health Care (+12.72%) sectors all rose significantly. These sectors are normally expected
to do well when the economy slows, and investor fears were heightened this year. At the other end of the spectrum, the Financials (-16.74%) sector was the worst performing sector. The sovereign debt issues in Europe and the United States combined with fears of a slowing global economy to weigh heavily on the Financials sector’s share prices.
Some notable contributors to return in 2011 were Apple (+25.56%), Philip Morris (+39.75%) and Pfizer (+28.77%). Apple continues to produce strong earnings and revenues as demand for their products continues to be very strong. Pfizer and Philip Morris appeared to benefit from the anti-cyclical nature of their businesses.
Many of the biggest drags on return came from financial firms. Citibank (-44.33%), Goldman Sachs (-45.60%) and Bank of America (-58.13%) all weighed heavily on the Fund and Index. The concerns in global equity and debt markets weighed heavily on these financial giants.
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. | 3.6 | % | ||
Apple, Inc. | 3.3 | % | ||
Chevron Corp. | 1.9 | % | ||
International Business Machine Corp. | 1.9 | % | ||
General Electric Co. | 1.7 | % | ||
Microsoft Corp. | 1.7 | % | ||
AT&T, Inc. | 1.6 | % | ||
Johnson & Johnson | 1.6 | % | ||
Procter & Gamble Co. | 1.6 | % | ||
Pfizer, Inc. | 1.5 | % |
* | Percent of net assets of State Street Equity 500 Index Portfolio |
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Table of Contents
American Beacon S&P 500 Index Fund†
Performance Overview
December 31, 2011 (Unaudited)
Sector Allocation
% of Equities* | ||||
Information Technology | 19.0 | % | ||
Financials | 13.6 | % | ||
Energy | 12.3 | % | ||
Health Care | 11.9 | % | ||
Consumer Staples | 11.6 | % | ||
Consumer Discretionary | 10.7 | % | ||
Industrials | 10.7 | % | ||
Utilities | 3.8 | % | ||
Materials | 3.5 | % | ||
Telecommunication Services | 2.9 | % |
* | Percent of the equities of State Street Equity 500 Index Portfolio |
† | S&P is a trademark of the McGraw-Hill Companies, Inc. and has been licensed for use. “Standard and Poor’s®”, “S&P”, “Standard & Poor’s 500”, “S&P 500” are all trademarks of the McGraw-Hill Companies, Inc. and have been licensed for use by State Street Bank and Trust Company. |
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Table of Contents
American Beacon Small Cap Index FundSM
Performance Overview
December 31, 2011 (unaudited)
For the twelve months ended December 31, 2011, the total return of the Institutional Class of the American Beacon Small Cap Index Fund was -4.54%. The Fund’s performance was below the Russell 2000 Index (the “Index”) return of -4.18% and also below the Lipper Small-Cap Core Funds Index return of -3.81% which consists primarily of actively managed funds.
Comparison of Change in Value
of a $10,000 Investment
For the Period from 12/31/01 through 12/31/11
Annualized Total Returns Periods Ended 12/31/11 | Value of 12/31/01- | |||||||||||||||
1 Year | 5 Years | 10 Years | 12/31/11 | |||||||||||||
Institutional Class(1,3) | -4.54 | % | 0.16 | % | 5.53 | % | $ | 17,128 | ||||||||
Lipper Small-Cap Core Funds Index(2) | -3.81 | % | 1.32 | % | 5.81 | % | $ | 17,584 | ||||||||
Russell 2000 Index(2) | -4.18 | % | 0.15 | % | 5.62 | % | $ | 17,274 |
1. | Performance shown is historical and may not be indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. |
2. | The Lipper Small-Cap Core Funds Index tracks the results of the 30 largest mutual funds in the Lipper Small-Cap Core Funds category. Lipper is an independent mutual fund research and ranking service. The Russell 2000 Index is an unmanaged index comprised of approximately 2,000 smaller-capitalization stocks from various industrial sectors. One cannot invest directly in an index. |
3. | The total annual Fund operating expense ratio set forth in the most recent prospectus for the Fund was 0.18%. The expense ratio above may vary from the expense ratio presented in other sections of this report that is based on expenses incurred during the period covered by this report. |
Performance Summary provided by Blackrock Investment Management, LLC
U.S. equities delivered paltry rewards for the extreme volatility investors endured in 2011. Political turmoil, natural disasters, and above all, global debt problems drove a “risk on - risk off” tug-of-war that characterized the year’s market activity.
Early in the year, stocks moved unevenly higher despite political upheaval spreading across the Middle East/North Africa region and a sharp rise in oil and other commodity prices. March brought devastating natural disasters in Japan, resulting in global supply chain disruptions. But equity markets were remarkably resilient as the global economic recovery appeared to be on track and investors were gradually increasing their appetite for risk. After peaking in late April, equities were met with a sharp reversal when the heightened possibility of Greece defaulting on its debt rekindled fears about the potential impact of the sovereign debt crisis spreading in Europe. In the United States, a prolonged debt ceiling debate revealed the ineffectiveness of the nation’s policymakers and ultimately led to Standard & Poor’s decision to downgrade the U.S. government’s credit rating in early August. This announcement spurred one of the most volatile periods in trading history. Stock markets across the world whipsawed on hopes and fears driven by news flow. Equities swooned as debt problems in Europe spread to Italy and Spain, and global economic indicators grew increasingly bleak.
U.S. stocks staged a strong rebound in October as the domestic labor market improved and corporate profits continued to beat analyst expectations. Encouraging news from Europe also contributed to the rally. After months of deliberation, European leaders agreed upon a new plan to reduce Greece’s debt burden, recapitalize the region’s banks and increase the size of the euro-zone bailout fund. However, a lack of definitive details about the rescue plan soon raised
5
Table of Contents
American Beacon Small Cap Index FundSM
Performance Overview
December 31, 2011 (unaudited)
doubts among investors and thwarted the rally at the end of October. In November, political instability in Greece and Italy fueled uncertainty as to whether Europe’s leaders would be able to contain the crisis. In the United States, bickering lawmakers failed to reach an agreement on reducing the U.S. budget deficit, further undermining investors’ confidence in policymakers on both sides of the Atlantic. Market volatility softened in December with the support of global central bank actions and continued improvement in economic data.
For the year, U.S. stocks outperformed most international markets given their relative safety during a time of heightened uncertainty overseas. Dividend-paying stocks performed particularly well as investors sought yield in a low interest rate environment. Relative to the Russell 2000 Index from a sector perspective, the Utilities sector (+16.64%) led the index for 2011. The defensive Consumer Staples sector (+7.81%) performed well amid high volatility, as did the Health Care sector (+1.87%), which benefited from increased merger and acquisition activity during the year. Battered by the world’s debt problems, the Financials sector (-4.25%) saw the largest losses. The more cyclical Materials (-12.31%) and Industrials (-5.41%) sectors also declined amid heightened uncertainty about the global economy.
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.
Top Ten Holdings
% of Net Assets* | ||||
HealthSpring, Inc. | 0.3 | % | ||
NetLogic Microsystems Inc. | 0.3 | % | ||
SuccessFactors, Inc. | 0.3 | % | ||
Clean Harbors, Inc. | 0.3 | % | ||
World Fuel Services Corp. | 0.3 | % | ||
Jack Henry & Associates Inc . | 0.3 | % | ||
American Campus Communities Inc. | 0.3 | % | ||
Salix Pharmaceuticals Ltd. | 0.3 | % | ||
Biomed Realty Trust Inc. | 0.3 | % | ||
Onyx Pharmaceuticals Inc. | 0.3 | % |
* | Percent of net assets of Master Small Cap Index Series |
Sector Allocation
% of Equities* | ||||
Financials | 22.2 | % | ||
Information Technology | 17.1 | % | ||
Industrials | 15.7 | % | ||
Consumer Discretionary | 13.0 | % | ||
Health Care | 12.6 | % | ||
Energy | 6.7 | % | ||
Materials | 4.5 | % | ||
Utilities | 3.7 | % | ||
Consumer Staples | 3.7 | % | ||
Telecommunications | 0.8 | % |
* | Percent of equity portion of Master Small Cap Index Series |
6
Table of Contents
American Beacon International Equity Index FundSM
Performance Overview
December 31, 2011 (Unaudited)
For the twelve months ended December 31, 2011, the Institutional Class of the American Beacon International Equity Index Fund posted a total return of -12.50%, underperforming the MSCI EAFE Index (the “Index”) return of -12.14% but outperforming the Lipper International Large-Cap Core Funds Index return of -13.56% 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 underperformance.
Comparison of Change in Value
of a $10,000 Investment
For the Period from 12/31/01 through 12/31/11
Annualized Total Returns Periods Ended 12/31/11 | Value of $10,000 12/31/01- | |||||||||||||||
1 Year | 5 Years | 10 Years | 12/31/11 | |||||||||||||
Institutional Class(1,3) | -12.50 | % | -4.86 | % | 4.66 | % | $ | 15,765 | ||||||||
Lipper International Large-Cap Core Funds Index(2) | -13.56 | % | -4.96 | % | 2.43 | % | $ | 12,712 | ||||||||
MSCI EAFE Index(2) | -12.14 | % | -4.72 | % | 4.67 | % | $ | 15,838 |
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 Large-Cap Core Funds Index tracks the results of the 30 largest mutual funds in the Lipper International Large-Cap Core Funds category. Lipper is an independent mutual fund research and ranking service. The MSCI EAFE Index is a market capitalization weighted index of international stock performance composed of equities from developed markets |
excluding the U.S. and Canada. Performance is that of the MSCI Provisional EAFE Index from 12/31/01 through 5/31/02, and the MSCI EAFE Index thereafter. One cannot invest directly in an index. |
3. | The total annual Fund operating expense ratio in the most recent prospectus for the Fund was 0.21%. The expense ratio above may vary from the expense ratio presented in other sections of this report that is based on expenses incurred during the period covered by this report. |
Performance Summary provided by Blackrock Investment Management, LLC
International equities lost the “risk on - risk off” trading tug- of-war that characterized 2011. Political turmoil, natural disasters, and above all, global debt problems, consumed investors’ attention and drove broad market swings. As the year progressed, news flow grew increasingly influential over investors’ trading activity, to the point where company fundamentals became virtually meaningless. The MSCI EAFE Index lost 12.14% (in US dollar terms) for the year amid a whirlwind of unprecedented global events.
Early in the year, stocks moved unevenly higher despite political upheaval 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, resulting in global supply chain disruptions. All the while, inflationary pressures persisted in developing countries. Nevertheless, the global economy continued to expand, although at a slower pace. Solid corporate profits, improving labor market conditions and reasonably upbeat leading indicators pushed most of the world’s equity markets forward.
After reaching their peak at the end of April, equities were met with a sharp reversal when the heightened possibility of Greece defaulting on its debt rekindled fears about the potential impact of the sovereign debt crisis spreading in Europe. Concurrently, it became evident that the pace of economic growth had slowed in the United States and other developed nations. In the United States, a prolonged debt ceiling debate revealed the ineffectiveness of the nation’s policymakers and ultimately led to Standard & Poor’s decision to downgrade the U.S. government’s credit rating in early August. This announcement was the catalyst that spurred one of the most volatile periods in equity trading history. Stock markets across the world swooned as debt problems in Europe spread to Italy and Spain, and global economic indicators grew increasingly bleak.
7
Table of Contents
American Beacon International Equity Index FundSM
Performance Overview
December 31, 2011 (Unaudited)
Equities rebounded in October as stronger economic data from the United States helped to calm fears of a global double-dip recession and European leaders demonstrated greater unity in their quest to stem the debt crisis. After months of deliberation, at last finance ministers agreed upon a new plan to reduce Greece’s debt burden, recapitalize the region’s banks and increase the size of the euro-zone bailout fund. However, a lack of definitive details about the rescue plan raised doubts among investors and thwarted the rally at the end of October. International equities generally declined through the final two months of the year as political instability in Greece and Italy fueled uncertainty as to whether Europe’s leaders would be able to contain the crisis. Market volatility softened in December with the support of global central bank actions and improving economic data.
Of the 22 developed countries in the MSCI EAFE Index, only Ireland (+14.30%) and New Zealand (+6.35%) posted gains for the year (in USD). While equity markets sold off broadly across Europe, countries participating in the euro currency union saw particularly painful losses. Greece (-60.56%) finished well below all other countries in the index. Asian stocks were dragged down by the world’s debt problems and a weak outlook for consumer demand from Europe and the United States. Japan (-14.19%) also suffered the effects of its appreciating yen on its export-driven economy.
From a sector perspective, the Health Care sector (+6.32%) was the top performer in 2011. The defensive Consumer Staples sector (+4.63%) also outperformed amid highly volatile conditions. However, heightened uncertainty did not bode well for the more cyclical Materials (-22.50%) and Financials (-21.24%) sectors which were battered by the world’s debt problems.
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.
Sector Allocation
% of Equities* | ||||
Financials | 19.9 | % | ||
Industrials | 14.4 | % | ||
Health Care | 12.3 | % | ||
Consumer Discretionary | 10.7 | % | ||
Energy | 10.0 | % | ||
Materials | 9.6 | % | ||
Consumer Staples | 7.7 | % | ||
Telecommunication Services | 6.8 | % | ||
Information Technology | 6.3 | % | ||
Utilities | 2.3 | % |
* | Percent of equity portion of Master International Index Series |
Country Allocation
% of Equities* | ||||
United Kingdom | 23.3 | % | ||
Japan | 21.6 | % | ||
France | 8.9 | % | ||
Australia | 8.6 | % | ||
Switzerland | 8.6 | % | ||
Germany | 7.8 | % | ||
Spain | 3.3 | % | ||
Sweden | 3.1 | % | ||
Hong Kong | 2.8 | % | ||
Netherlands | 2.7 | % | ||
Italy | 2.3 | % | ||
Singapore | 1.6 | % | ||
Denmark | 1.1 | % | ||
Belgium | 1.0 | % | ||
Norway | 0.9 | % | ||
Finland | 0.8 | % | ||
Israel | 0.7 | % | ||
Ireland | 0.3 | % | ||
Austria | 0.2 | % | ||
Portugal. | 0.2 | % | ||
New Zealand | 0.1 | % | ||
Greece | 0.1 | % |
* | Percent of equity portion of Master International Index Series |
8
Table of Contents
American Beacon International Equity Index FundSM
Performance Overview
December 31, 2011 (Unaudited)
Top Ten Holdings
% of Net Assets* | ||||
Nestle S.A. | 1.9 | % | ||
Vodafone Group plc | 1.4 | % | ||
HSBC Holding plc | 1.4 | % | ||
BP plc | 1.4 | % | ||
Novartis AG | 1.4 | % | ||
Royal Dutch Shell plc (Class A) | 1.4 | % | ||
Roche Holding AG | 1.2 | % | ||
GlaxoSmithKline plc | 1.2 | % | ||
BHP Billiton Ltd. | 1.2 | % | ||
Total S.A. | 1.1 | % |
* | Percent of net assets of Master International Index Series |
9
Table of Contents
American Beacon Funds
Fund Expenses
December 31, 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 July 1, 2011 through December 31, 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 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
Institutional Class | S&P 500 Index | Small Cap Index | International Equity Index | Investor Class | S&P 500 Index | |||||||||||||
Beginning Account Value 7/1/11 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | Beginning Account Value 7/1/11 | $ | 1,000.00 | |||||||||
Ending Account Value 12/31/11 | $ | 962.39 | $ | 901.16 | $ | 830.39 | Ending Account Value 12/31/11 | $ | 960.56 | |||||||||
Expenses Paid During Period* 7/1/11 - 12/31/11 | $ | 0.69 | $ | 1.53 | $ | 1.25 | Expenses Paid During Period* 7/1/11 - 12/31/11 | $ | 3.06 | |||||||||
Annualized Expense Ratio | 0.14 | % | 0.32 | % | 0.27 | % | Annualized Expense Ratio | 0.62 | % |
Hypothetical Example for Comparison Purposes
The following table provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in a particular Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders that invest in a Fund through an IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by a Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Expenses Paid During Period” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
Hypothetical
Institutional Class | S&P 500 Index | Small Cap Index | International Equity Index | Investor Class | S&P 500 Index | |||||||||||||
Beginning Account Value 7/1/11 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | Beginning Account Value 7/1/11 | $ | 1,000.00 | |||||||||
Ending Account Value 12/31/11 | $ | 1,024.50 | $ | 1,023.59 | $ | 1,023.84 | Ending Account Value 12/31/11 | $ | 1,022.08 | |||||||||
Expenses Paid During Period* 7/1/11 - 12/31/11 | $ | 0.71 | $ | 1.63 | $ | 0.38 | Expenses Paid During Period* 7/1/11 - 12/31/11 | $ | 3.16 | |||||||||
Annualized Expense Ratio | 0.14 | % | 0.32 | % | 0.27 | % | Annualized Expense Ratio | 0.62 | % |
* | Expenses are equal to each Fund’s annualized expense ratio for the six-month period multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (184) by days in the year (365) to reflect the half-year period. |
10
Table of Contents
American Beacon Funds
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of
American Beacon International Equity Index Fund, American Beacon S&P 500 Index Fund, and American Beacon Small Cap Index Fund:
We have audited the accompanying statements of assets and liabilities of the American Beacon International Equity Index Fund, the American Beacon S&P 500 Index Fund, and the American Beacon Small Cap Index Fund (three of the funds constituting the American Beacon Funds) (collectively, the “Funds”) as of December 31, 2011, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of each Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian and the Master International Index Series, the State Street Equity 500 Index Portfolio, and the Master Small Cap Index Series, respectively. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the American Beacon International Equity Index Fund, the American Beacon S&P 500 Index Fund, and the American Beacon Small Cap Index Fund at December 31, 2011, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Dallas, Texas
February 28, 2012
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Table of Contents
Statements of Assets and Liabilities
December 31, 2011 (in thousands, except share and per share amounts)
S&P 500 Index Fund | Small Cap Index Fund | International Equity Index Fund | ||||||||||
Assets: | ||||||||||||
Investment in Portfolio, at fair value | $ | 438,357 | $ | 43,198 | $ | 320,498 | ||||||
Receivable for fund shares sold | 217 | 9 | 1,279 | |||||||||
Prepaid expenses | 10 | 5 | 23 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 438,584 | 43,212 | 321,800 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Payable for fund shares redeemed | 50 | 29 | 151 | |||||||||
Administrative service and service fees payable (Note 2) | 25 | 2 | 13 | |||||||||
Printing fees payable | — | 4 | — | |||||||||
Professional fees payable | 13 | 15 | 11 | |||||||||
Sub-administration fees payable | — | 4 | 26 | |||||||||
Transfer agent fees payable | 3 | — | 3 | |||||||||
Trustee fees payable | 1 | — | 3 | |||||||||
Other liabilities | 1 | 1 | 1 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 93 | 55 | 208 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 438,491 | $ | 43,157 | $ | 321,592 | ||||||
|
|
|
|
|
| |||||||
Analysis of Net Assets: | ||||||||||||
Paid-in-capital | 427,031 | 62,711 | 422,381 | |||||||||
Undistributed net investment income (distribution in excess) | 151 | (3 | ) | 11 | ||||||||
Accumulated net realized gain (loss) | (67,004 | ) | (14,970 | ) | (47,912 | ) | ||||||
Unrealized net appreciation or (depreciation) of investments, futures contracts, and foreign currency translations | 78,313 | (4,581 | ) | (52,888 | ) | |||||||
|
|
|
|
|
| |||||||
Net assets | $ | 438,491 | $ | 43,157 | $ | 321,592 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (no par value): | ||||||||||||
Institutional Class | 24,772,683 | 3,638,048 | 38,466,946 | |||||||||
|
|
|
|
|
| |||||||
Investor Class | 960,665 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share: | ||||||||||||
Institutional Class | $ | 17.05 | $ | 11.86 | $ | 8.36 | ||||||
|
|
|
|
|
| |||||||
Investor Class | $ | 16.82 | $ | — | $ | — | ||||||
|
|
|
|
|
|
See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios attached
12
Table of Contents
Statements of Operations
For the Year ended December 31, 2011 (in thousands)
S&P 500 Index Fund | Small Cap Index Fund | International Equity Index Fund | ||||||||||
Investment Income (expense) Allocated From Portfolio: | ||||||||||||
Dividend income (net of foreign taxes)A | $ | 8,598 | $ | 826 | $ | 11,628 | ||||||
Interest income | 5 | 2 | 1 | |||||||||
Securities lending income | — | 77 | — | |||||||||
Portfolio expenses (net of fees waived)B | (183 | ) | (51 | ) | (401 | ) | ||||||
Other income | — | — | 5 | |||||||||
|
|
|
|
|
| |||||||
Net investment income allocated from Portfolio | 8,420 | 854 | 11,233 | |||||||||
|
|
|
|
|
| |||||||
Fund Expenses: | ||||||||||||
Administrative service fees (Note 2): | ||||||||||||
Institutional Class | 202 | 35 | 170 | |||||||||
Investor Class | 42 | — | — | |||||||||
Sub-administrative service fees: | ||||||||||||
Institutional Class | — | 3 | 55 | |||||||||
Transfer agent fees: | ||||||||||||
Institutional Class | 12 | 4 | 13 | |||||||||
Investor Class | 5 | — | — | |||||||||
Custody and accounting fees | 14 | 12 | 12 | |||||||||
Professional fees | 34 | 23 | 31 | |||||||||
Registration fees | 46 | 4 | 21 | |||||||||
Service fees - Investor Class (Note 2) | 42 | — | — | |||||||||
Printing | 90 | 36 | 60 | |||||||||
Trustee fees | 31 | 7 | 27 | |||||||||
Insurance | 9 | 2 | 7 | |||||||||
Other expenses | 28 | 2 | 9 | |||||||||
|
|
|
|
|
| |||||||
Total fund expenses | 555 | 128 | 405 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 7,865 | 726 | 10,828 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) Allocated From Master Portfolio | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments | 15,068 | 2,964 | (9,316 | ) | ||||||||
Foreign currency transactions | — | — | 60 | |||||||||
Futures contracts | 661 | (114 | ) | (202 | ) | |||||||
Change in net unrealized appreciation or (depreciation) of: | ||||||||||||
Investments | (14,747 | ) | (4,319 | ) | (44,079 | ) | ||||||
Futures contracts | (131 | ) | 2 | 162 | ||||||||
|
|
|
|
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| |||||||
Net gain (loss) on investments | 851 | (1,467 | ) | (53,375 | ) | |||||||
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|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 8,716 | $ | (741 | ) | $ | (42,547 | ) | ||||
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|
|
| |||||||
A Foreign taxes | $ | 7 | $ | — | $ | 1,171 | ||||||
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|
|
|
|
| |||||||
B Fees waived by Master Portfolio | — | 15 | 1 | |||||||||
|
|
|
|
|
|
See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios attached
13
Table of Contents
Statements of Changes in Net Assets (in thousands)
S&P 500 Index | Small Cap Index | International Equity Index | ||||||||||||||||||||||
Fund | Fund | Fund | ||||||||||||||||||||||
Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | |||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 7,865 | $ | 6,563 | $ | 726 | $ | 882 | $ | 10,828 | $ | 7,231 | ||||||||||||
Net realized gain (loss) on investments, foreign currency, and futures contracts | 15,729 | 4,901 | 2,850 | (2,864 | ) | (9,458 | ) | (7,559 | ) | |||||||||||||||
Change in net unrealized appreciation or depreciation of investments and futures contracts | (14,878 | ) | 39,239 | (4,317 | ) | 3,744 | (43,917 | ) | 23,115 | |||||||||||||||
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| |||||||||||||
Net increase (decrease) in net assets resulting from operations | 8,716 | 50,703 | (741 | ) | 1,762 | (42,547 | ) | 22,787 | ||||||||||||||||
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| |||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||
Institutional Class | (7,679 | ) | (6,796 | ) | (729 | ) | (894 | ) | (10,886 | ) | (7,040 | ) | ||||||||||||
Investor Class | (289 | ) | (318 | ) | — | — | — | — | ||||||||||||||||
Tax return of capital: | ||||||||||||||||||||||||
Institutional Class | (54 | ) | — | (15 | ) | (104 | ) | — | — | |||||||||||||||
Investor Class | (2 | ) | — | — | — | — | — | |||||||||||||||||
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Total distributions to shareholders | (8,024 | ) | (7,114 | ) | (744 | ) | (998 | ) | (10,886 | ) | (7,040 | ) | ||||||||||||
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Capital Share Transactions: | ||||||||||||||||||||||||
Proceeds from sales of shares | 214,771 | 63,163 | 16,709 | 132,393 | 111,683 | 83,813 | ||||||||||||||||||
Reinvestment of dividends and distributions | 8,012 | 7,107 | 744 | 998 | 10,886 | 7,040 | ||||||||||||||||||
Cost of shares redeemed | (184,283 | ) | (53,796 | ) | (65,949 | ) | (80,975 | ) | (73,599 | ) | (60,655 | ) | ||||||||||||
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| |||||||||||||
Net increase (decrease) in net assets from capital share transactions | 38,500 | 16,474 | (48,496 | ) | 52,416 | 48,970 | 30,198 | |||||||||||||||||
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Net increase (decrease) in net assets | 39,192 | 60,063 | (49,981 | ) | 53,180 | (4,463 | ) | 45,945 | ||||||||||||||||
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Net Assets: | ||||||||||||||||||||||||
Beginning of period | 399,299 | 339,236 | 93,138 | 39,958 | 326,055 | 280,110 | ||||||||||||||||||
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End of Period * | $ | 438,491 | $ | 399,299 | $ | 43,157 | $ | 93,138 | $ | 321,592 | $ | 326,055 | ||||||||||||
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* Includes undistributed net investment income (distribution in excess) of | $ | 151 | $ | 325 | $ | (3 | ) | $ | (3 | ) | $ | 11 | $ | (82 | ) | |||||||||
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See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios attached
14
Table of Contents
Notes to Financial Statements
December 31, 2011
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”) which is comprised of 20 Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, (the “Act”) as a diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon S&P 500 Index Fund, the American Beacon Small Cap Index Fund (closed to new investors), and the American Beacon International Equity Index Fund (each a “Fund” and collectively, the “Funds”), each a series of the Trust.
American Beacon Advisors, Inc. (the “Manager”) is a wholly-owned subsidiary of Lighthouse Holdings, Inc. and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services to the Trust and other investors.
Each Fund invests all of its investable assets in a corresponding portfolio. The State Street Equity 500 Index Portfolio, Master Small Cap Index Series and the Master International Index Series (each a “Portfolio” and collectively the “Portfolios”) are open-ended management investment companies registered under the Act. The value of such investment reflects each Fund’s proportionate interest in the net assets of the corresponding Portfolio.
American Beacon: | Portfolios: | % of Portfolio Held by Fund at December 31, 2011 | ||||
S&P 500 Index Fund | State Street Equity 500 Index Portfolio | 24.01 | % | |||
Small Cap Index Fund | Master Small Cap Index Series | 8.19 | % | |||
International Equity Index Fund | Master International Index Series | 37.45 | % |
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 |
Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the respective Fund. Class specific expenses, where applicable, currently include administrative service fees, and service fees, and vary amongst the classes as described more fully in Note 2.
New Accounting Pronouncements
In May 2011, FASB issued an ASU to develop common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with U.S. generally accepted accounting principles, (“U.S. GAAP”) and International Financial Reporting Standards (IFRSs). FASB concluded that the amendments in this ASU will improve the comparability of fair value measurements presented and disclosed in financial statements prepared in accordance with U.S. GAAP and IFRSs. The ASU is effective prospectively during interim or annual periods beginning on or after December 15, 2011.
15
Table of Contents
American Beacon Funds
Notes to Financial Statements
December 31, 2011
Management has evaluated the implications of these changes and determined that the impact will only affect the disclosure requirements related to the financial statements.
2. 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 0.25% of the average daily net assets of the Investor Class of the S&P 500 Index Fund.
Service Plans
The Manager and the Trust entered into a Service Plan that obligates the Manager to oversee additional shareholder servicing of the Investor Class of S&P 500 Index Fund. As compensation for performing the duties required under the Service Plan, the Manager receives up to 0.375% of the average daily net assets of the Investor Class of the S&P 500 Index Fund.
Sub-administration Agreement
The Trust, the Manager and BlackRock Advisors, LLC (“BlackRock”) entered into a Sub-administration Agreement that obligates BlackRock to provide certain other administrative services to the Small Cap Index Fund and the International Equity Index Fund. As compensation for performing these services, BlackRock receives an annualized fee of 0.08% of the average daily net assets of the Small Cap Index Fund and 0.12% of the average daily net assets of the International Equity Index Fund; however, the fee of each is reduced by the total expense ratio of its corresponding Portfolio, net of any fee waivers.
3. Security Valuation and Fair Value Measurements
U.S. GAAP defines fair market value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds’ policy is to fair value its financial instruments in the Portfolios at fair value based on the Fund’s apportionate interest in the net assets of the Portfolios. Valuation of securities held by the Portfolios is discussed in the accompanying Notes to the Financial Statements of the respective Portfolios attached.
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.
16
Table of Contents
American Beacon Funds
Notes to Financial Statements
December 31, 2011
Allocation of Income, Expenses, Gains and Losses
Income, expenses (other than those attributable to a specific class), gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Valuation of Shares
The price per share is calculated on each day on which shares are offered for sale. NAV per share is computed by dividing the value of each Fund’s total assets (which includes the value of the Fund’s investments in its Portfolio) less liabilities, by the number of Fund shares outstanding.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
4. Federal Income and Excise Taxes
It is the policy of each Fund to qualify as a regulated investment company, by complying with all applicable provisions of Subchapter M of the Internal Revenue Code, as amended, 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, 2011 remains subject to examination by the Internal Revenue Service. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statements of Operations.
Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. GAAP. 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.
17
Table of Contents
American Beacon Funds
Notes to Financial Statements
December 31, 2011
The tax character of distributions paid during the years ended December 31, 2011 and December 31, 2010 were as follows (in thousands):
S&P 500 Index Fund | Small Cap Index Fund | International Equity Index Fund | ||||||||||||||||||||||
Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | |||||||||||||||||||
Distributions paid from: | ||||||||||||||||||||||||
Ordinary income: | ||||||||||||||||||||||||
Institutional Class | $ | 7,679 | $ | 6,796 | $ | 729 | $ | 894 | $ | 10,886 | $ | 7,040 | ||||||||||||
Investor Class | 289 | 318 | — | — | — | — | ||||||||||||||||||
Return of Capital: | ||||||||||||||||||||||||
Institutional Class | 54 | — | 15 | 104 | — | — | ||||||||||||||||||
Investor Class | 2 | — | — | — | — | — | ||||||||||||||||||
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Total paid distributions | $ | 8,024 | $ | 7,114 | $ | 744 | $ | 998 | $ | 10,886 | $ | 7,040 | ||||||||||||
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As of December 31, 2011, the components of distributable earnings on a tax basis were as follows (in thousands):
S&P 500 Index Fund | Small Cap Index Fund | Int’l Equity Index Fund | ||||||||||
Cost basis of investments for federal income tax purposes | $ | 381,441 | $ | 48,902 | $ | 386,223 | ||||||
Unrealized appreciation | 87,193 | 7,270 | 82,659 | |||||||||
Unrealized depreciation | (30,277 | ) | (12,974 | ) | (148,384 | ) | ||||||
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Net unrealized depreciation | 56,916 | (5,704 | ) | (65,725 | ) | |||||||
Undistributed ordinary income | — | — | 65 | |||||||||
Capital and other accumulated losses | (45,394 | ) | (13,850 | ) | (35,129 | ) | ||||||
Other temporary differences | (62 | ) | — | — | ||||||||
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Distributable earnings | $ | 11,460 | $ | (19,554 | ) | $ | (100,789 | ) | ||||
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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 or (depreciation) are attributable primarily to the tax deferral of wash sales, the realization for tax purposes of unrealized gains (losses) on certain derivative instruments, reclassifications of income from real estate investment securities, and the realization for tax purposes on unrealized gains (losses) on investments in passive foreign investment companies.
Due to the inherent differences in the recognition of income, expenses and realized gains (losses) under the U.S. GAAP and federal income tax regulations, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statements of Assets and Liabilities.
Accordingly, the following amounts represent current year permanent differences derived from reclassifications of income from real estate investment securities, foreign currency, sales of investments in passive foreign investment companies, and partnership transactions that have been reclassified as of December 31, 2011 (in thousands):
S&P 500 Index Fund | Small Cap Index Fund | Int’l Equity Index Fund | ||||||||||
Paid-in-capital | $ | 6,728 | $ | (1,569 | ) | $ | 355 | |||||
Undistributed net investment income | (71 | ) | 3 | 151 | ||||||||
Accumulated net realized gain/(loss) | (6,657 | ) | 1,566 | (521 | ) | |||||||
Unrealized appreciation or (depreciation) of investments, futures contracts, and foreign currency | — | — | 15 |
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes are generally effective for taxable years beginning after the date of enactment. One of the more prominent changes addresses capital loss carryforwards. Under the Act, each Fund will be
18
Table of Contents
American Beacon Funds
Notes to Financial Statements
December 31, 2011
permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
Finally, the Act contains several provisions aimed at preserving the character of distributions made by a fiscal year registered investment company (“RIC”) during the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which a RIC might be required to file amended Forms 1099 to restate previously reported distributions. Except for the simplification provisions related to RIC qualification, the Act is effective for taxable years beginning after December 22, 2010. The provisions related to RIC qualification are effective for taxable years for which the extended due date of the tax return is after December 22, 2010.
Losses incurred that will be carried forward under the provisions of the Act are as follows:
Loss Carryforward Character | ||||||||||||
Fund | Short term | Long term | Total | |||||||||
S&P 500 Index Fund | $ | — | $ | — | $ | — | ||||||
Small Cap Index Fund | — | — | — | |||||||||
International Equity Index Fund | 888 | 5,346 | 6,234 |
Capital losses prior to the provisions of the Act which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, which ever occurs first (in thousands) are as follows:
Fund | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | Total | |||||||||||||||||||||
S&P 500 Index Fund | $ | 918 | $ | 286 | $ | — | $ | 11,180 | $ | 28,055 | $ | 4,955 | $ | 45,394 | ||||||||||||||
Small Cap Index Fund | — | — | — | — | 4,998 | 8,852 | 13,850 | |||||||||||||||||||||
International Equity Index Fund | — | — | — | 9,746 | 13,890 | 5,259 | 28,895 |
The S&P 500 Index and Small Cap Index Funds utilized (in thousands) $3,087 and $4,385, respectively, of net capital loss carryforwards for the year ended December 31, 2011.
Net capital and foreign currency losses incurred after October 31, 2011 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the period ended December 31, 2011 (in thousands), the S&P 500 Index Fund deferred $61 of capital loss and the International Equity Index Fund deferred $216 of foreign currency losses to January 1, 2012.
5. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Funds (shares and dollars in thousands):
Year ended December 31, 2011
Institutional Class | Investor Class | |||||||||||||||
S&P 500 Index Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 12,416 | $ | 209,438 | 313 | $ | 5,333 | ||||||||||
Reinvestment of dividends | 456 | 7,732 | 17 | 280 | ||||||||||||
Shares redeemed | (10,452 | ) | (177,155 | ) | (418 | ) | (7,128 | ) | ||||||||
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Net increase (decrease) in shares outstanding | 2,420 | $ | 40,015 | (88 | ) | $ | (1,515 | ) | ||||||||
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19
Table of Contents
American Beacon Funds
Notes to Financial Statements
December 31, 2011
Institutional Class | ||||||||
Small Cap Index Fund | Shares | Amount | ||||||
Shares sold | 1,307 | $ | 16,709 | |||||
Reinvestment of dividends | 62 | 744 | ||||||
Shares redeemed | (5,101 | ) | (65,949 | ) | ||||
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Net (decrease) in shares outstanding | (3,732 | ) | $ | (48,496 | ) | |||
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Institutional Class | ||||||||
International Equity Index Fund | Shares | Amount | ||||||
Shares sold | 11,684 | $ | 111,683 | |||||
Reinvestment of dividends | 1,312 | 10,886 | ||||||
Shares redeemed | (7,570 | ) | (73,599 | ) | ||||
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Net increase in shares outstanding | 5,426 | $ | 48,970 | |||||
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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 | ) | ||||||||
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Net increase (decrease) in shares outstanding | 1,429 | $ | 23,064 | (435 | ) | $ | (6,590 | ) | ||||||||
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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 | ) | ||||
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Net increase in shares outstanding | 3,396 | $ | 52,416 | |||||
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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 | ) | ||||
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Net increase in shares outstanding | 3,173 | $ | 30,198 | |||||
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21
Table of Contents
American Beacon S&P 500 Index Fund
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||
Net asset value, beginning of period | $ | 17.07 | $ | 15.15 | $ | 12.21 | $ | 19.85 | $ | 19.19 | ||||||||||
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Income from investment operations: | ||||||||||||||||||||
Net investment income:A | 0.34 | 0.29 | 0.30 | 0.35 | 0.39 | |||||||||||||||
Net gain (loss) on investments, foreign currency and futures transactions (both realized and unrealized) | (0.02 | ) | 1.95 | 2.91 | (7.64 | ) | 0.65 | |||||||||||||
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Total income (loss) from investment operations | 0.32 | 2.24 | 3.21 | (7.29 | ) | 1.04 | ||||||||||||||
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Less distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.34 | ) | (0.32 | ) | (0.27 | ) | (0.35 | ) | (0.38 | ) | ||||||||||
Tax return of capital | (0.00 | )CD | — | — | — | — | ||||||||||||||
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Total distributions | (0.34 | ) | (0.32 | ) | (0.27 | ) | (0.35 | ) | (0.38 | ) | ||||||||||
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Net asset value, end of period | $ | 17.05 | $ | 17.07 | $ | 15.15 | $ | 12.21 | $ | 19.85 | ||||||||||
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Total returnB | 1.92 | % | 14.96 | % | 26.70 | % | (37.08 | )% | 5.39 | % | ||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 422,337 | $ | 381,592 | $ | 316,975 | $ | 224,583 | $ | 271,746 | ||||||||||
Ratios to average net assets (annualized):A | ||||||||||||||||||||
Net investment income | 1.95 | % | 1.90 | % | 2.39 | % | 2.23 | % | 1.89 | % | ||||||||||
Expenses, including expenses allocated from the master portfolio | 0.16 | % | 0.13 | % | 0.15 | % | 0.13 | % | 0.13 | % |
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 | 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 the net asset value may differ from the net asset value and returns for shareholder transactions. |
C | Amount represents less than $0.01 per share. |
D | The tax return of capital is calculated based upon outstanding shares at the time of distribution. |
22
Table of Contents
American Beacon S&P 500 Index Fund
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||
$ | 16.88 | $ | 15.00 | $ | 12.06 | $ | 19.60 | $ | 18.97 | |||||||||
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0.22 | 0.15 | 0.33 | 0.33 | 0.31 | ||||||||||||||
0.02 | 1.99 | 2.80 | (7.60 | ) | 0.62 | |||||||||||||
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0.24 | 2.14 | 3.13 | (7.27 | ) | 0.93 | |||||||||||||
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(0.30 | ) | (0.26 | ) | (0.19 | ) | (0.27 | ) | (0.30 | ) | |||||||||
(0.00 | )CD | — | — | — | — | |||||||||||||
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(0.30 | ) | (0.26 | ) | (0.19 | ) | (0.27 | ) | (0.30 | ) | |||||||||
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$ | 16.82 | $ | 16.88 | $ | 15.00 | $ | 12.06 | $ | 19.60 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1.44 | % | 14.43 | % | 26.26 | % | (37.35 | )% | 4.88 | % | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 16,154 | $ | 17,707 | $ | 22,261 | $ | 12,915 | $ | 18,430 | |||||||||
1.44 | % | 1.42 | % | 2.01 | % | 1.73 | % | 1.38 | % | |||||||||
0.64 | % | 0.60 | % | 0.60 | % | 0.62 | % | 0.63 | % |
23
Table of Contents
American Beacon Small Cap Index FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||
Net asset value, beginning of period | $ | 12.64 | $ | 10.06 | $ | 8.00 | $ | 13.51 | $ | 14.89 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment incomeA | 0.19 | 0.13 | 0.10 | 0.18 | 0.32 | |||||||||||||||
Net gain (loss) on investments and futures transactions (both realized and unrealized) | (0.76 | ) | 2.59 | 2.08 | (4.78 | ) | (0.53 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income (loss) from investment operations | (0.57 | ) | 2.72 | 2.18 | (4.60 | ) | (0.21 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.21 | ) | (0.13 | ) | (0.11 | ) | (0.17 | ) | (0.31 | ) | ||||||||||
Distributions from net realized gains on investments | — | — | — | (0.61 | ) | (0.80 | ) | |||||||||||||
Tax return of capital | (0.00 | )BD | (0.01 | )B | (0.01 | )B | (0.13 | )B | (0.06 | )B | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (0.21 | ) | (0.14 | ) | (0.12 | ) | (0.91 | ) | (1.17 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 11.86 | $ | 12.64 | $ | 10.06 | $ | 8.00 | $ | 13.51 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total returnC | (4.54 | )% | 27.05 | % | 27.21 | % | (33.58 | )% | (1.63 | )% | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 43,157 | $ | 93,138 | $ | 39,958 | $ | 31,552 | $ | 52,325 | ||||||||||
Ratios to average net assets (annualized):A | ||||||||||||||||||||
Net investment income | 1.04 | % | 1.21 | % | 1.18 | % | 1.54 | % | 1.49 | % | ||||||||||
Expenses, including expenses allocated from the master portfolio | 0.26 | % | 0.18 | % | 0.23 | % | 0.20 | % | 0.20 | % |
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 the net asset value may differ from the net asset value and returns for shareholder transactions. |
D | Amount represents less than $0.01 per share. |
24
Table of Contents
American Beacon International Equity Index FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||
Net asset value, beginning of period | $ | 9.87 | $ | 9.38 | $ | 7.46 | $ | 13.37 | $ | 12.76 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment incomeA | 0.29 | 0.22 | 0.21 | 0.39 | 0.51 | |||||||||||||||
Net gain (loss) on investments, foreign currency and futures transactions (both realized and unrealized) | (1.51 | ) | 0.49 | 1.93 | (6.00 | ) | 0.86 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income (loss) from investment operations | (1.22 | ) | 0.71 | 2.14 | (5.61 | ) | 1.37 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.29 | ) | (0.22 | ) | (0.22 | ) | (0.30 | ) | (0.53 | ) | ||||||||||
Distributions from net realized gains on investments | — | — | — | — | (0.22 | ) | ||||||||||||||
Tax return of capital | — | — | — | — | (0.01 | )B | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (0.29 | ) | (0.22 | ) | (0.22 | ) | (0.30 | ) | (0.76 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 8.36 | $ | 9.87 | $ | 9.38 | $ | 7.46 | $ | 13.37 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total returnC | (12.29 | )% | 7.57 | % | 28.72 | % | (41.85 | )% | 10.68 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 321,592 | $ | 326,055 | $ | 280,110 | $ | 185,860 | $ | 267,293 | ||||||||||
Ratios to average net assets (annualized):A | ||||||||||||||||||||
Net investment income | 3.26 | % | 2.66 | % | 2.66 | % | 3.58 | % | 2.96 | % | ||||||||||
Expenses, including expenses allocated from the master portfolio | 0.24 | % | 0.21 | % | 0.23 | % | 0.19 | % | 0.19 | % |
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 the net asset value may differ from the net asset value and returns for shareholder transactions. |
25
Table of Contents
American Beacon Funds
Privacy Policy and Federal Tax Information
December 31, 2011 (Unaudited)
Privacy Policy
The American Beacon Funds recognize and respect the privacy of our shareholders. We are providing this notice to you so you will understand how shareholder information may be collected and used.
We may collect nonpublic personal information about you from one or more of the following sources:
• | information we receive from you on applications or other forms; |
• | information about your transactions with us or our service providers; and |
• | information we receive from third parties. |
We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law.
We restrict access to your nonpublic personal information to those employees or service providers who need to know that information to provide products or services to you. To ensure the confidentiality of your nonpublic personal information, we maintain safeguards that comply with federal standards.
Federal Tax Information
We are providing this information as required by the Internal Revenue Code. The amounts shown may differ from those in other areas of this report because of differences between tax and financial reporting requirements.
For corporate shareholders in the Funds, the percentage of ordinary dividend income distributed for the year ended December 31, 2011, which is designated as qualifying for the dividends-received deduction, is as follows:
S&P 500 Index Fund | 98.04 | % | ||
Small Cap Index Fund | 60.52 | % | ||
International Equity Index Fund | 0.00 | % |
For shareholders in the Funds, the percentage of dividend income distributed for the year ended December 31, 2011, which designated as qualified dividend income under the Jobs and Growth Tax Relief Act of 2003, is as follows:
S&P 500 Index Fund | 100.00 | % | ||
Small Cap Index Fund | 75.58 | % | ||
International Equity Index Fund | 100.00 | % |
26
Table of Contents
Trustees and Officers of the American Beacon Funds
(Unaudited)
The Trustees and officers of the American Beacon Funds (the “Trust”) are listed below, together with their principal occupations during the past five years. Unless otherwise indicated, the address of each person listed below is 4151 Amon Carter Boulevard, MD 2450, Fort Worth, Texas 76155. Each Trustee oversees twenty-two funds in the fund complex that includes the Trust, the American Beacon Master Trust, the American Beacon Mileage Funds, and the American Beacon Select Funds. The Trust’s Statement of Additional Information contains additional information about the Trustees and is available without charge by calling 1-800-658-5811.
Name, Age and Address | Position, Term of with the Trust | Principal Occupation(s) During Past 5 Years and Current Directorships | ||
INTERESTED TRUSTEES | ||||
Term Lifetime of Trust until removal, resignation or retirement* | ||||
Alan D. Feld** (75) | Trustee since 1996 | Sole Shareholder of a professional corporation which is a Partner in the law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (law firm) (1960-Present); Director, Clear Channel Communications (1984-2008); Trustee, American Beacon Mileage Funds (1996-Present); Trustee, American Beacon Select Funds (1999-Present); Trustee, American Beacon Master Trust (1996-Present). | ||
NON-INTERESTED TRUSTEES | Term Lifetime of Trust until removal, resignation or retirement* | |||
W. Humphrey Bogart (67) | Trustee since 2004 | Board Member, Baylor University Medical Center Foundation (1992-2004); Consultant, New River Canada Ltd. (mutual fund servicing company) (1998-2003); President and CEO, Allmerica Trust Company, NA (1996-1997); President and CEO, Fidelity Investments Southwest Company (1983-1995); Senior Vice President of Regional Centers, Fidelity Investments (1988-1995); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004- Present); Trustee, American Beacon Master Trust (2004-Present). | ||
Brenda A. Cline (51) | Trustee since 2004 | Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, Texas Christian University (1998- Present); Trustee, W.I. Cook Foundation, Inc. (d/b/a Cook Children’s Health Foundation) (2001-2006); Director, Christian Church Foundation (1999-2007); Trustee, Trinity Valley School (2003-2004); Member; Trinity Valley School Endowment Committee (2004-Present); Trustee, American Beacon Mileage Funds (2004-present); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-Present). | ||
Eugene J. Duffy (57) | Trustee since 2008 | Principal and Executive Vice President, Paradigm Asset Management (1994- Present); Director, Sunrise Bank of Atlanta (2008-Present); Chairman, Special Contributions Fund Board of Trustees, National Association for the Advancement of Colored People (2007-Present); Trustee, National Association for the Advancement of Colored People (2000-Present); Board of Visitors, Emory University (2006-Present); Trustee, Atlanta Botanical Garden (2006-Present); Board Member, Willie L. Brown Jr. Institute on Politics and Public Service (2001- Present); Chair, National Association of Securities Professionals (2000-2002); Deputy Chief Administrative Officer, City of Atlanta (1985-1990); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-Present). |
27
Table of Contents
Trustees and Officers of the American Beacon Funds
(Unaudited)
Name, Age and Address | Position, Term of with the Trust | Principal Occupation(s) During Past 5 Years and Current Directorships | ||
Thomas M. Dunning (69) | Trustee since 2008 | Non-Executive Chairman (2008-Present); Chairman (1998-2008) and Chief Executive Officer (1998-2007), Lockton Dunning Benefits (consulting firm in employee benefits); Director, Oncor Electric Delivery Company LLC (2007- Present); Board Member, BancTec (2010-Present); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008- Present); Trustee, American Beacon Master Trust (2008-Present). | ||
Richard A. Massman (68) | Trustee since 2004 Chairman since 2008 | Consultant and General Counsel Emeritus (2009-Present) and Senior Vice President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding company engaged in oil and gas exploration and production, refining, real estate, farming, ranching and venture capital activities); Trustee, American Beacon Mileage Funds (2004-Present); Trustee, American Beacon Select Funds (2004- Present); Trustee, American Beacon Master Trust (2004-Present). | ||
R. Gerald Turner (66) | Trustee since 2001 | President, Southern Methodist University (1995-Present); Director, J.C. Penney Company, Inc. (1996-Present); Director, Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Director, First Broadcasting Investment Partners, LLC (2003-2007); Trustee, American Beacon Mileage Funds (2001-Present); Trustee, American Beacon Select Funds (2001-Present); Trustee, American Beacon Master Trust (2001-Present). | ||
Paul J. Zucconi, CPA (71) | Trustee since 2008 | Director, Affirmative Insurance Holdings, Inc. (producer of nonstandard automobile insurance) (2004-Present); Director, Titanium Metals Corporation (producer of titanium melted and mill products) (2002-Present); Director, Torchmark Corporation (life and health insurance products) (2002-Present); Director, Charter Bank (community bank services and products) (2010-Present); Trustee, American Beacon Mileage Funds (2008-Present); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-Present). | ||
OFFICERS | ||||
Term | ||||
One Year | ||||
Gene L. Needles, Jr. (57) | President since 2009 Executive Vice President 2009 | President, CEO and Director (2009-Present), American Beacon Advisors, Inc.; President (2009-Present), President, CEO and Director (2009-Present), Lighthouse Holdings, Inc.; President and CEO (2009-Present), Lighthouse Holdings Parent, Inc.; President (2009-Present), American Beacon Select Funds; President (2009- Present), American Beacon Mileage Funds; President (2008-2009), Touchstone Investments; President (2003-2007), CEO (2004-2007), AIM Distributors. | ||
William F. Quinn (63) | Executive Vice President from 2007 to 2008 and 2009 to Present President from 1987 to 2007 and 2008 to 2009 Trustee from 1987 to 2008 | Executive Chairman (2009-Present), Chairman (2006-2009), CEO (2006-2007), and Director (2003-Present), American Beacon Advisors, Inc.; Chairman and Director (2008-Present), Lighthouse Holdings, Inc.; Chairman and Director (2008-Present), Lighthouse Holdings Parent, Inc.; Director (2003-Present), American Airlines Federal Credit Union; Director, Hicks Acquisition I, Inc. (2007-2009); Director, Hicks Acquisition II, Inc. (2010-Present) (special purpose acquisition company); Director, Crescent Real Estate Equities, Inc. (1994-2007); Trustee (1995-2008) and President (1995-2007, 2008-2009), American Beacon Mileage Funds; Trustee (1999-2008) and President (1999-2007, 2008-2009), American Beacon Select Funds; Director, American Beacon Global Funds SPC (2002-2011); Director, American Beacon Global Funds, plc (2007-2009). | ||
Rosemary K. Behan (52) | VP, Secretary and Chief Legal Officer since 2006 | Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006- Present); Secretary (2008-Present), Lighthouse Holdings, Inc.; Assistant General Counsel, First Command Financial Planning, Inc. (2004-2006); Attorney, U.S. Securities and Exchange Commission (1995-2004). | ||
Brian E. Brett (51) | VP since 2004 | Vice President, Director of Sales, American Beacon Advisors, Inc. (2004-Present). |
28
Table of Contents
Trustees and Officers of the American Beacon Funds
(Unaudited)
Name, Age and Address | Position, Term of with the Trust | Principal Occupation(s) During Past 5 Years and Current Directorships | ||
Wyatt L. Crumpler (45) | VP since 2007 | Vice President, Asset Management (2009-Present) and Vice President, Trust Investments (2007-2009), American Beacon Advisors, Inc. | ||
Erica Duncan (41) | VP Since 2011 | Vice President, Marketing & Client Services (2011-Present), American Beacon Advisors, Inc.; Supervisor, Brand Marketing (2010-2011), Invesco; Supervisor, Marketing Communications (2009-2010) and Senior Financial Writer (2004-2009), Invesco AIM. | ||
Michael W. Fields (57) | VP since 1989 | Chief Fixed Income Officer (2011-Present) and Vice President, Fixed Income Investments, American Beacon Advisors, Inc. (1988-2011); Director, American Beacon Global Funds SPC (2002-2011); Director, American Beacon Global Funds plc (2007-2009). | ||
Melinda G. Heika (50) | Treasurer since 2010 | Vice President, Finance & Accounting (2010-Present); Treasurer (2010-Present), and Controller (2005-2009), American Beacon Advisors, Inc.; Treasurer (2010- Present), Lighthouse Holdings, Inc.; Treasurer (2010-Present), Lighthouse Holdings Parent, Inc. | ||
Terri L. McKinney (48) | VP since 2010 | Vice President, Enterprise Services (2009-Present) and Managing Director (2003- 2009), American Beacon Advisors, Inc. | ||
Jeffrey K. Ringdahl (36) | VP since 2010 | Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present); Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010); Senior Director, Business Integration, Fidelity Investments (2005-2007). | ||
Samuel J. Silver (48) | VP Since 2011 | Vice President, Fixed Income Investments (2011-Present) and Senior Portfolio Manager, Fixed Income Investments (1999-2011), American Beacon Advisors, Inc. | ||
Christina E. Sears (40) | Chief Compliance Officer since 2004 and Asst. Secretary since 1999 | Chief Compliance Officer (2004-Present), American Beacon Advisors, Inc. | ||
John J. Okray (37) | Asst. Secretary since 2010 | Assistant General Counsel, American Beacon Advisors, Inc. (2010-Present); Asst. Secretary (2010-Present), Lighthouse Holdings, Inc.; Asst. Secretary (2010- Present), Lighthouse Holdings Parent, Inc.; Vice President, OppenheimerFunds, Inc. (2004-2010). | ||
Sonia L. Bates (55) | Asst. Treasurer since 2011 | Director, Tax and Financial Reporting (2011 - Present) and Manager, Tax and Financial Reporting (2005 - 2010), American Beacon Advisors, Inc.; Asst. Treasurer (2011-Present), Lighthouse Holdings, Inc.; Asst. Treasurer (2011- Present), Lighthouse Holdings Parent, Inc. |
* | The Board has adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in which they reach the age of 72, provided, however, that the Board may determine to grant one or more annual exemptions to this requirement. |
** | Mr. Feld is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s and Master Trust’s sub-advisors. |
29
Table of Contents
State Street Equity 500 Index Portfolio
Portfolio of Investments
December 31, 2011
Shares | Market Value (000) | |||||||
COMMON STOCKS – 97.3% |
| |||||||
Consumer Discretionary – 10.9% |
| |||||||
Abercrombie & Fitch Co. Class A | 13,046 | $ | 637 | |||||
Amazon.com, Inc.(a) | 56,492 | 9,779 | ||||||
Apollo Group, Inc. Class A(a) | 18,029 | 971 | ||||||
AutoNation, Inc.(a) | 6,363 | 235 | ||||||
AutoZone, Inc.(a) | 4,464 | 1,451 | ||||||
Bed Bath & Beyond, Inc.(a) | 38,345 | 2,223 | ||||||
Best Buy Co., Inc. | 47,119 | 1,101 | ||||||
Big Lots, Inc.(a) | 9,227 | 348 | ||||||
BorgWarner, Inc.(a) | 17,100 | 1,090 | ||||||
Cablevision Systems Corp. | 35,600 | 506 | ||||||
CarMax, Inc.(a) | 34,000 | 1,036 | ||||||
Carnival Corp. | 70,650 | 2,306 | ||||||
CBS Corp. Class B | 105,103 | 2,853 | ||||||
Chipotle Mexican Grill, Inc.(a) | 5,000 | 1,689 | ||||||
Coach, Inc. | 44,228 | 2,700 | ||||||
Comcast Corp. Class A | 427,348 | 10,132 | ||||||
D.R. Horton, Inc. | 40,376 | 509 | ||||||
Darden Restaurants, Inc. | 20,488 | 934 | ||||||
DeVry, Inc. | 10,400 | 400 | ||||||
Direct TV. Class A(a) | 110,077 | 4,707 | ||||||
Discovery Communications, Inc. Class A(a) | 43,000 | 1,762 | ||||||
Dollar Tree, Inc.(a) | 18,600 | 1,546 | ||||||
eBay, Inc.(a) | 178,903 | 5,426 | ||||||
Expedia, Inc. | 14,357 | 417 | ||||||
Family Dollar Stores, Inc. | 18,858 | 1,087 | ||||||
Ford Motor Co.(a) | 593,498 | 6,386 | ||||||
GameStop Corp. Class A(a) | 19,500 | 471 | ||||||
Gannett Co., Inc. | 33,574 | 449 | ||||||
Gap, Inc. | 53,498 | 992 | ||||||
Genuine Parts Co. | 23,809 | 1,457 | ||||||
Goodyear Tire & Rubber Co.(a) | 34,957 | 495 | ||||||
H&R Block, Inc. | 47,115 | 769 | ||||||
Harley-Davidson, Inc. | 35,801 | 1,392 | ||||||
Harman International Industries, Inc. | 9,721 | 370 | ||||||
Hasbro, Inc. | 17,825 | 568 | ||||||
Home Depot, Inc. | 243,112 | 10,220 | ||||||
Host Hotels & Resorts, Inc. | 110,521 | 1,632 | ||||||
International Game Technology | 47,919 | 824 | ||||||
Interpublic Group of Cos., Inc. | 71,894 | 700 | ||||||
JC Penney Co., Inc. | 21,810 | 767 | ||||||
Johnson Controls, Inc. | 105,986 | 3,313 | ||||||
Kohl’s Corp. | 39,533 | 1,951 | ||||||
Lennar Corp. Class A | 25,931 | 510 | ||||||
Limited Brands, Inc. | 38,767 | 1,564 | ||||||
Lowe’s Cos., Inc. | 195,762 | 4,968 | ||||||
Macy’s, Inc. | 67,423 | 2,170 | ||||||
Marriott International, Inc. Class A | 40,450 | 1,180 | ||||||
Mattel, Inc. | 54,676 | 1,518 | ||||||
McDonald’s Corp. | 159,725 | 16,025 | ||||||
McGraw-Hill Cos., Inc. | 46,966 | 2,112 | ||||||
NetFlix, Inc.(a) | 8,000 | 554 | ||||||
Newell Rubbermaid, Inc. | 42,693 | 689 | ||||||
News Corp. Class A | 342,209 | 6,105 | ||||||
NIKE, Inc. Class B | 57,852 | 5,575 | ||||||
Nordstrom, Inc. | 26,233 | 1,304 | ||||||
O’Reilly Automotive, Inc.(a) | 19,400 | 1,551 |
Shares | Market Value (000) | |||||||
Omnicom Group, Inc. | 43,941 | $ | 1,959 | |||||
Orchard Supply Hardware Stores Corp. Class A(a)(b) | 242 | 2 | ||||||
Priceline.com, Inc.(a) | 7,690 | 3,597 | ||||||
PulteGroup, Inc.(a) | 54,705 | 345 | ||||||
Ralph Lauren Corp. | 9,815 | 1,355 | ||||||
Ross Stores, Inc. | 36,800 | 1,749 | ||||||
Scripps Networks Interactive, Inc. Class A | 16,235 | 689 | ||||||
Sears Holdings Corp.(a) | 5,374 | 171 | ||||||
Snap-on, Inc. | 9,212 | 466 | ||||||
Stanley Black & Decker, Inc. | 26,207 | 1,772 | ||||||
Staples, Inc. | 111,233 | 1,545 | ||||||
Starbucks Corp. | 115,961 | 5,335 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 30,047 | 1,441 | ||||||
Target Corp. | 105,316 | 5,394 | ||||||
Tiffany & Co. | 19,880 | 1,317 | ||||||
Time Warner Cable, Inc. | 51,171 | 3,253 | ||||||
Time Warner, Inc. | 156,191 | 5,645 | ||||||
TJX Cos., Inc. | 58,506 | 3,777 | ||||||
TripAdvisor, Inc.(a) | 14,357 | 362 | ||||||
Urban Outfitters, Inc.(a) | 18,300 | 504 | ||||||
V.F. Corp. | 13,693 | 1,739 | ||||||
Viacom, Inc. Class B | 88,322 | 4,011 | ||||||
Walt Disney Co. | 280,345 | 10,513 | ||||||
Washington Post Co. Class B | 660 | 249 | ||||||
Whirlpool Corp. | 11,361 | 539 | ||||||
Wyndham Worldwide Corp. | 22,699 | 859 | ||||||
Wynn Resorts, Ltd. | 12,700 | 1,403 | ||||||
Yum! Brands, Inc. | 71,592 | 4,225 | ||||||
|
| |||||||
198,642 | ||||||||
|
| |||||||
Consumer Staples – 11.1% | ||||||||
Altria Group, Inc. | 321,799 | 9,541 | ||||||
Archer-Daniels-Midland Co. | 103,624 | 2,964 | ||||||
Avon Products, Inc. | 68,660 | 1,199 | ||||||
Beam, Inc. | 23,345 | 1,196 | ||||||
Brown-Forman Corp. Class B | 15,655 | 1,260 | ||||||
Campbell Soup Co. | 26,665 | 886 | ||||||
Clorox Co. | 20,543 | 1,367 | ||||||
Coca-Cola Co. | 355,711 | 24,889 | ||||||
Coca-Cola Enterprises, Inc. | 51,001 | 1,315 | ||||||
Colgate-Palmolive Co. | 76,001 | 7,022 | ||||||
ConAgra Foods, Inc. | 64,975 | 1,715 | ||||||
Constellation Brands, Inc. Class A(a) | 29,326 | 606 | ||||||
Costco Wholesale Corp. | 68,389 | 5,698 | ||||||
CVS Caremark Corp. | 203,132 | 8,284 | ||||||
Dean Foods Co.(a) | 23,558 | 264 | ||||||
Dr Pepper Snapple Group, Inc. | 34,700 | 1,370 | ||||||
Estee Lauder Cos., Inc. Class A | 17,852 | 2,005 | ||||||
General Mills, Inc. | 99,464 | 4,019 | ||||||
H.J. Heinz Co. | 50,369 | 2,722 | ||||||
Hormel Foods Corp. | 21,200 | 621 | ||||||
Kellogg Co. | 39,335 | 1,989 | ||||||
Kimberly-Clark Corp. | 60,800 | 4,472 | ||||||
Kraft Foods, Inc. Class A | 274,509 | 10,256 | ||||||
Kroger Co. | 95,576 | 2,315 | ||||||
Lorillard, Inc. | 21,661 | 2,469 | ||||||
McCormick & Co., Inc. | 20,753 | 1,046 |
See Notes to Financial Statements.
30
Table of Contents
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2011
Shares | Market Value (000) | |||||||
COMMON STOCKS – (continued) | ||||||||
Consumer Staples – (continued) | ||||||||
Molson Coors Brewing Co. Class B | 25,162 | $ | 1,096 | |||||
PepsiCo, Inc. | 244,954 | 16,253 | ||||||
Philip Morris International, Inc. | 271,999 | 21,346 | ||||||
Procter & Gamble Co. | 429,319 | 28,640 | ||||||
Reynolds American, Inc. | 53,374 | 2,211 | ||||||
Safeway, Inc. | 54,164 | 1,140 | ||||||
Sara Lee Corp. | 92,534 | 1,751 | ||||||
SuperValu, Inc. | 34,848 | 283 | ||||||
Sysco Corp. | 93,009 | 2,728 | ||||||
The Hershey Co. | 24,182 | 1,494 | ||||||
The J.M. Smucker Co. | 18,160 | 1,420 | ||||||
Tyson Foods, Inc. Class A | 44,235 | 913 | ||||||
Wal-Mart Stores, Inc. | 272,102 | 16,261 | ||||||
Walgreen Co. | 140,618 | 4,649 | ||||||
Whole Foods Market, Inc. | 25,033 | 1,742 | ||||||
|
| |||||||
203,417 | ||||||||
|
| |||||||
Energy – 11.9% | ||||||||
Alpha Natural Resources, Inc.(a) | 35,600 | 727 | ||||||
Anadarko Petroleum Corp. | 77,726 | 5,933 | ||||||
Apache Corp. | 59,925 | 5,428 | ||||||
Baker Hughes, Inc. | 67,173 | 3,267 | ||||||
Cabot Oil & Gas Corp. | 16,300 | 1,237 | ||||||
Cameron International Corp.(a) | 38,600 | 1,899 | ||||||
Chesapeake Energy Corp. | 102,582 | 2,287 | ||||||
Chevron Corp.(c) | 310,446 | 33,031 | ||||||
ConocoPhillips | 207,130 | 15,094 | ||||||
Consol Energy, Inc. | 34,973 | 1,283 | ||||||
Denbury Resources, Inc.(a) | 61,500 | 929 | ||||||
Devon Energy Corp. | 64,651 | 4,008 | ||||||
Diamond Offshore Drilling, Inc. | 10,200 | 564 | ||||||
El Paso Corp. | 121,192 | 3,220 | ||||||
EOG Resources, Inc. | 41,417 | 4,080 | ||||||
EQT Corp. | 23,300 | 1,277 | ||||||
ExxonMobil Corp.(c) | 747,847 | 63,387 | ||||||
FMC Technologies, Inc.(a) | 36,600 | 1,912 | ||||||
Halliburton Co. | 142,934 | 4,933 | ||||||
Helmerich & Payne, Inc. | 16,300 | 951 | ||||||
Hess Corp. | 47,501 | 2,698 | ||||||
Marathon Oil Corp. | 112,277 | 3,286 | ||||||
Marathon Petroleum Corp. | 55,588 | 1,850 | ||||||
Murphy Oil Corp. | 29,741 | 1,658 | ||||||
Nabors Industries, Ltd.(a) | 42,504 | 737 | ||||||
National Oilwell Varco, Inc. | 65,757 | 4,471 | ||||||
Newfield Exploration Co.(a) | 20,600 | 777 | ||||||
Noble Corp.(a) | 39,400 | 1,191 | ||||||
Noble Energy, Inc. | 27,710 | 2,616 | ||||||
Occidental Petroleum Corp. | 125,744 | 11,782 | ||||||
Peabody Energy Corp. | 43,024 | 1,424 | ||||||
Pioneer Natural Resources Co. | 18,100 | 1,620 | ||||||
QEP Resources, Inc. | 27,068 | 793 | ||||||
Range Resources Corp. | 25,300 | 1,567 | ||||||
Rowan Cos., Inc.(a) | 19,620 | 595 | ||||||
Schlumberger, Ltd. | 208,858 | 14,267 | ||||||
Southwestern Energy Co.(a) | 54,900 | 1,753 | ||||||
Spectra Energy Corp. | 99,698 | 3,066 | ||||||
Sunoco, Inc. | 17,184 | 705 | ||||||
Tesoro Corp.(a) | 20,765 | 485 |
Shares | Market Value (000) | |||||||
Valero Energy Corp. | 90,109 | $ | 1,897 | |||||
Williams Cos., Inc. | 92,568 | 3,057 | ||||||
|
| |||||||
217,742 | ||||||||
|
| |||||||
Financials – 13.9% | ||||||||
ACE Ltd. | 52,800 | 3,702 | ||||||
AFLAC, Inc. | 73,490 | 3,179 | ||||||
Allstate Corp. | 81,506 | 2,234 | ||||||
American Express Co. | 157,664 | 7,437 | ||||||
American International Group, Inc.(a) | 69,433 | 1,611 | ||||||
Ameriprise Financial, Inc. | 36,607 | 1,817 | ||||||
AON Corp. | 51,147 | 2,394 | ||||||
Apartment Investment & Management Co. Class A | 17,052 | 391 | ||||||
Assurant, Inc. | 14,131 | 580 | ||||||
AvalonBay Communities, Inc. | 14,798 | 1,933 | ||||||
Bank of America Corp. | 1,574,471 | 8,754 | ||||||
Bank of New York Mellon Corp. | 189,885 | 3,781 | ||||||
BB&T Corp. | 109,170 | 2,748 | ||||||
Berkshire Hathaway, Inc. Class B(a) | 272,403 | 20,784 | ||||||
BlackRock, Inc. | 15,700 | 2,798 | ||||||
Boston Properties, Inc. | 22,967 | 2,288 | ||||||
Capital One Financial Corp. | 72,263 | 3,056 | ||||||
CBRE Group, Inc.(a) | 49,575 | 755 | ||||||
Charles Schwab Corp. | 169,893 | 1,913 | ||||||
Chubb Corp. | 43,875 | 3,037 | ||||||
Cincinnati Financial Corp. | 25,114 | 765 | ||||||
Citigroup, Inc. | 451,520 | 11,880 | ||||||
CME Group, Inc. | 10,491 | 2,556 | ||||||
Comerica, Inc. | 32,744 | 845 | ||||||
DDR Corp. REIT | 1,532 | 19 | ||||||
Discover Financial Services | 86,105 | 2,067 | ||||||
E*Trade Financial Corp.(a) | 35,531 | 283 | ||||||
Equity Residential | 46,457 | 2,649 | ||||||
Federated Investors, Inc. Class B | 14,870 | 225 | ||||||
Fifth Third Bancorp | 142,916 | 1,818 | ||||||
First Horizon National Corp. | 46,055 | 368 | ||||||
Franklin Resources, Inc. | 22,580 | 2,169 | ||||||
Genworth Financial, Inc. Class A(a) | 72,151 | 473 | ||||||
Goldman Sachs Group, Inc. | 78,134 | 7,066 | ||||||
Hartford Financial Services Group, Inc. | 69,797 | 1,134 | ||||||
HCP, Inc. | 63,800 | 2,643 | ||||||
Health Care REIT, Inc. | 28,500 | 1,554 | ||||||
Hudson City Bancorp, Inc. | 76,692 | 479 | ||||||
Huntington Bancshares, Inc. | 127,456 | 700 | ||||||
IntercontinentalExchange, Inc.(a) | 11,180 | 1,348 | ||||||
Invesco, Ltd. | 68,200 | 1,370 | ||||||
J.P. Morgan Chase & Co. | 592,915 | 19,714 | ||||||
KeyCorp | 150,475 | 1,157 | ||||||
Kimco Realty Corp. | 62,669 | 1,018 | ||||||
Legg Mason, Inc. | 18,042 | 434 | ||||||
Leucadia National Corp. | 29,736 | 676 | ||||||
Lincoln National Corp. | 48,192 | 936 | ||||||
Loews Corp. | 48,931 | 1,842 | ||||||
M & T Bank Corp. | 19,637 | 1,499 | ||||||
Marsh & McLennan Cos., Inc. | 84,953 | 2,686 | ||||||
Mastercard, Inc. Class A | 16,500 | 6,152 | ||||||
MetLife, Inc. | 164,396 | 5,126 | ||||||
Moody’s Corp. | 30,266 | 1,019 | ||||||
Morgan Stanley | 228,130 | 3,452 |
See Notes to Financial Statements.
31
Table of Contents
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2011
Shares | Market Value (000) | |||||||
COMMON STOCKS – (continued) | ||||||||
Financials – (continued) | ||||||||
NASDAQ OMX Group, Inc.(a) | 18,400 | $ | 451 | |||||
Northern Trust Corp. | 38,506 | 1,527 | ||||||
NYSE Euronext | 40,200 | 1,049 | ||||||
Paychex, Inc. | 50,338 | 1,516 | ||||||
People’s United Financial, Inc. | 57,000 | 733 | ||||||
PNC Financial Services Group, Inc. | 81,717 | 4,713 | ||||||
Principal Financial Group, Inc. | 50,291 | 1,237 | ||||||
Progressive Corp. | 99,501 | 1,941 | ||||||
ProLogis, Inc. | 72,299 | 2,067 | ||||||
Prudential Financial, Inc. | 74,939 | 3,756 | ||||||
Public Storage, Inc. | 22,287 | 2,997 | ||||||
Regions Financial Corp. | 191,689 | 824 | ||||||
Simon Property Group, Inc. | 45,815 | 5,907 | ||||||
SLM Corp. | 79,354 | 1,063 | ||||||
State Street Corp.(d) | 79,225 | 3,194 | ||||||
SunTrust Banks, Inc. | 83,918 | 1,485 | ||||||
T. Rowe Price Group, Inc. | 40,075 | 2,282 | ||||||
Torchmark Corp. | 17,131 | 743 | ||||||
Total System Services, Inc. | 27,675 | 541 | ||||||
Travelers Cos., Inc. | 64,304 | 3,805 | ||||||
U.S. Bancorp | 296,652 | 8,024 | ||||||
Unum Group | 47,529 | 1,001 | ||||||
Ventas, Inc. | 45,100 | 2,486 | ||||||
Visa, Inc. Class A | 79,000 | 8,021 | ||||||
Vornado Realty Trust | 29,114 | 2,238 | ||||||
Wells Fargo & Co. | 817,749 | 22,537 | ||||||
Western Union Co. | 98,585 | 1,800 | ||||||
XL Group PLC | 50,668 | 1,002 | ||||||
Zions Bancorp. | 30,453 | 496 | ||||||
|
|
|
| |||||
252,750 | ||||||||
|
|
|
| |||||
Health Care – 11.3% | ||||||||
Abbott Laboratories | 240,806 | 13,541 | ||||||
Aetna, Inc. | 58,950 | 2,487 | ||||||
Allergan, Inc. | 47,392 | 4,158 | ||||||
AmerisourceBergen Corp. | 41,786 | 1,554 | ||||||
Amgen, Inc. | 123,745 | 7,946 | ||||||
Baxter International, Inc. | 88,261 | 4,367 | ||||||
Becton Dickinson and Co. | 34,097 | 2,548 | ||||||
Biogen Idec, Inc.(a) | 37,631 | 4,141 | ||||||
Boston Scientific Corp.(a) | 238,634 | 1,274 | ||||||
Bristol-Myers Squibb Co. | 263,516 | 9,286 | ||||||
C.R. Bard, Inc. | 13,497 | 1,154 | ||||||
Cardinal Health, Inc. | 53,957 | 2,191 | ||||||
CareFusion Corp.(a) | 33,878 | 861 | ||||||
Celgene Corp.(a) | 69,218 | 4,679 | ||||||
Cerner Corp.(a) | 23,100 | 1,415 | ||||||
CIGNA Corp. | 43,496 | 1,827 | ||||||
Coventry Health Care, Inc.(a) | 21,903 | 665 | ||||||
Covidien PLC | 75,800 | 3,412 | ||||||
DaVita, Inc.(a) | 14,600 | 1,107 | ||||||
Dentsply International, Inc. | 20,800 | 728 | ||||||
Edwards Lifesciences Corp.(a) | 17,800 | 1,258 | ||||||
Eli Lilly & Co. | 159,075 | 6,611 | ||||||
Express Scripts, Inc.(a) | 74,998 | 3,352 | ||||||
Forest Laboratories, Inc.(a) | 43,802 | 1,325 | ||||||
Gilead Sciences, Inc.(a) | 119,799 | 4,903 | ||||||
Hospira, Inc.(a) | 25,303 | 768 |
Shares | Market Value (000) | |||||||
Humana, Inc. | 26,407 | $ | 2,314 | |||||
Intuitive Surgical, Inc.(a) | 6,100 | 2,824 | ||||||
Johnson & Johnson | 424,549 | 27,842 | ||||||
Laboratory Corp. of America Holdings(a) | 15,822 | 1,360 | ||||||
Life Technologies Corp.(a) | 27,887 | 1,085 | ||||||
McKesson Corp. | 37,755 | 2,942 | ||||||
Mead Johnson Nutrition Co. | 31,118 | 2,139 | ||||||
Medco Health Solutions, Inc.(a) | 59,168 | 3,308 | ||||||
Medtronic, Inc. | 164,878 | 6,307 | ||||||
Merck & Co., Inc. | 476,970 | 17,982 | ||||||
Mylan, Inc.(a) | 68,209 | 1,464 | ||||||
Patterson Cos., Inc. | 12,894 | 381 | ||||||
Perrigo Co. | 14,500 | 1,411 | ||||||
Pfizer, Inc. | 1,199,411 | 25,955 | ||||||
Quest Diagnostics, Inc. | 24,000 | 1,393 | ||||||
St. Jude Medical, Inc. | 51,926 | 1,781 | ||||||
Stryker Corp. | 51,689 | 2,570 | ||||||
Tenet Healthcare Corp.(a) | 73,370 | 376 | ||||||
UnitedHealth Group, Inc. | 166,196 | 8,423 | ||||||
Varian Medical Systems, Inc.(a) | 18,160 | 1,219 | ||||||
Watson Pharmaceuticals, Inc.(a) | 19,646 | 1,185 | ||||||
WellPoint, Inc. | 55,438 | 3,673 | ||||||
Zimmer Holdings, Inc.(a) | 28,552 | 1,525 | ||||||
|
|
|
| |||||
207,017 | ||||||||
|
|
|
| |||||
Industrials – 10.6% | ||||||||
3M Co. | 110,172 | 9,004 | ||||||
Amphenol Corp. Class A | 27,300 | 1,239 | ||||||
Avery Dennison Corp. | 15,388 | 441 | ||||||
Boeing Co. | 114,488 | 8,398 | ||||||
Caterpillar, Inc. | 100,379 | 9,094 | ||||||
CH Robinson Worldwide, Inc. | 25,961 | 1,812 | ||||||
Cintas Corp. | 17,588 | 612 | ||||||
Cooper Industries PLC | 25,100 | 1,359 | ||||||
CSX Corp. | 168,314 | 3,545 | ||||||
Cummins, Inc. | 30,258 | 2,663 | ||||||
Danaher Corp. | 88,272 | 4,152 | ||||||
Deere & Co. | 64,337 | 4,977 | ||||||
Dover Corp. | 28,195 | 1,637 | ||||||
Eaton Corp. | 52,190 | 2,272 | ||||||
Emerson Electric Co. | 116,248 | 5,416 | ||||||
Equifax, Inc. | 17,983 | 697 | ||||||
Expeditors International Washington, Inc. | 33,820 | 1,385 | ||||||
Fastenal Co. | 46,500 | 2,028 | ||||||
FedEx Corp. | 48,900 | 4,084 | ||||||
First Solar, Inc.(a) | 8,070 | 272 | ||||||
Flir Systems, Inc. | 23,500 | 589 | ||||||
Flowserve Corp. | 8,400 | 834 | ||||||
Fluor Corp. | 27,160 | 1,365 | ||||||
Fortune Brands Home & Security, Inc.(a) | 1,145 | 20 | ||||||
General Dynamics Corp. | 55,561 | 3,690 | ||||||
General Electric Co.(c) | 1,642,433 | 29,416 | ||||||
Goodrich Corp. | 19,745 | 2,442 | ||||||
Honeywell International, Inc. | 120,781 | 6,564 | ||||||
Illinois Tool Works, Inc. | 76,671 | 3,581 | ||||||
Ingersoll-Rand PLC | 47,400 | 1,444 | ||||||
Iron Mountain, Inc. | 28,100 | 866 |
See Notes to Financial Statements.
32
Table of Contents
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2011
Shares | Market Value (000) | |||||||
COMMON STOCKS – (continued) | ||||||||
Industrials – (continued) | ||||||||
Jacobs Engineering Group, Inc.(a) | 20,400 | $ | 828 | |||||
Joy Global, Inc. | 16,600 | 1,245 | ||||||
L-3 Communications Holdings, Inc. | 15,703 | 1,047 | ||||||
Leggett & Platt, Inc. | 20,398 | 470 | ||||||
Lockheed Martin Corp. | 42,252 | 3,418 | ||||||
Masco Corp. | 57,123 | 599 | ||||||
Norfolk Southern Corp. | 53,455 | 3,895 | ||||||
Northrop Grumman Corp. | 40,211 | 2,352 | ||||||
PACCAR, Inc. | 57,774 | 2,165 | ||||||
Pall Corp. | 17,409 | 995 | ||||||
Parker-Hannifin Corp. | 24,203 | 1,846 | ||||||
Pitney Bowes, Inc. | 29,727 | 551 | ||||||
Precision Castparts Corp. | 22,107 | 3,643 | ||||||
Quanta Services, Inc.(a) | 31,200 | 672 | ||||||
R.R. Donnelley & Sons Co. | 29,609 | 427 | ||||||
Raytheon Co. | 54,082 | 2,617 | ||||||
Republic Services, Inc. | 49,903 | 1,375 | ||||||
Robert Half International, Inc. | 23,440 | 667 | ||||||
Rockwell Automation, Inc. | 22,205 | 1,629 | ||||||
Rockwell Collins, Inc. | 24,531 | 1,358 | ||||||
Roper Industries, Inc. | 15,000 | 1,303 | ||||||
Ryder System, Inc. | 7,921 | 421 | ||||||
Southwest Airlines Co. | 126,986 | 1,087 | ||||||
Stericycle, Inc.(a) | 12,900 | 1,005 | ||||||
Textron, Inc. | 40,939 | 757 | ||||||
Thermo Fisher Scientific, Inc.(a) | 60,024 | 2,699 | ||||||
Tyco International, Ltd. | 71,300 | 3,330 | ||||||
Union Pacific Corp. | 75,368 | 7,985 | ||||||
United Parcel Service, Inc. Class B | 150,546 | 11,018 | ||||||
United Technologies Corp. | 141,278 | 10,326 | ||||||
W.W. Grainger, Inc. | 9,669 | 1,810 | ||||||
Waste Management, Inc. | 73,839 | 2,415 | ||||||
Xylem, Inc. | 28,692 | 737 | ||||||
|
|
|
| |||||
192,590 | ||||||||
|
|
|
| |||||
Information Technology – 17.3% |
| |||||||
Accenture PLC Class A | 100,600 | 5,355 | ||||||
Adobe Systems, Inc.(a) | 77,957 | 2,204 | ||||||
Advanced Micro Devices, Inc.(a) | 84,086 | 454 | ||||||
Agilent Technologies, Inc.(a) | 54,768 | 1,913 | ||||||
Akamai Technologies, Inc.(a) | 27,324 | 882 | ||||||
Altera Corp. | 50,454 | 1,872 | ||||||
Analog Devices, Inc. | 47,569 | 1,702 | ||||||
AOL, Inc.(a)(c) | 1 | – | ||||||
Apple, Inc.(a) | 144,984 | 58,719 | ||||||
Applied Materials, Inc. | 203,807 | 2,183 | ||||||
Autodesk, Inc.(a) | 36,276 | 1,100 | ||||||
Automatic Data Processing, Inc. | 75,517 | 4,079 | ||||||
BMC Software, Inc.(a) | 26,221 | 860 | ||||||
Broadcom Corp. Class A(a) | 75,359 | 2,213 | ||||||
CA, Inc. | 58,299 | 1,178 | ||||||
Cisco Systems, Inc. | 838,819 | 15,166 | ||||||
Citrix Systems, Inc.(a) | 29,667 | 1,801 | ||||||
Cognizant Technology Solutions Corp. Class A(a) | 47,784 | 3,073 | ||||||
Computer Sciences Corp. | 23,144 | 548 | ||||||
Corning, Inc. | 241,176 | 3,130 | ||||||
Dell, Inc.(a) | 238,350 | 3,487 | ||||||
Dun & Bradstreet Corp. | 7,100 | 531 | ||||||
Electronic Arts, Inc.(a) | 50,400 | 1,038 |
Shares | Market Value (000) | |||||||
EMC Corp.(a) | 318,884 | $ | 6,869 | |||||
F5 Networks, Inc.(a) | 12,200 | 1,295 | ||||||
Fidelity National Information Services, Inc. | 38,077 | 1,012 | ||||||
Fiserv, Inc.(a) | 22,752 | 1,336 | ||||||
Google, Inc. Class A(a) | 39,390 | 25,442 | ||||||
Harris Corp. | 19,000 | 685 | ||||||
Hewlett-Packard Co. | 310,016 | 7,986 | ||||||
Intel Corp. | 794,456 | 19,266 | ||||||
International Business Machines Corp. | 183,942 | 33,823 | ||||||
Intuit, Inc. | 46,463 | 2,443 | ||||||
Jabil Circuit, Inc. | 27,551 | 542 | ||||||
Juniper Networks, Inc.(a) | 83,793 | 1,710 | ||||||
KLA-Tencor Corp. | 25,205 | 1,216 | ||||||
Lexmark International, Inc. Class A | 10,042 | 332 | ||||||
Linear Technology Corp. | 35,263 | 1,059 | ||||||
LSI Corp.(a) | 89,162 | 530 | ||||||
Microchip Technology, Inc. | 29,389 | 1,077 | ||||||
Micron Technology, Inc.(a) | 161,462 | 1,016 | ||||||
Microsoft Corp.(c) | 1,168,135 | 30,325 | ||||||
Molex, Inc. | 19,805 | 473 | ||||||
Motorola Mobility Holdings, Inc.(a) | 40,983 | 1,590 | ||||||
Motorola Solutions, Inc. | 43,652 | 2,021 | ||||||
NetApp, Inc.(a) | 58,157 | 2,109 | ||||||
Novellus Systems, Inc.(a) | 9,830 | 406 | ||||||
NVIDIA Corp.(a) | 93,456 | 1,295 | ||||||
Oracle Corp. | 611,862 | 15,694 | ||||||
PerkinElmer, Inc. | 15,618 | 312 | ||||||
QUALCOMM, Inc. | 259,911 | 14,217 | ||||||
Red Hat, Inc.(a) | 29,900 | 1,235 | ||||||
SAIC, Inc.(a) | 42,900 | 527 | ||||||
Salesforce.com, Inc.(a) | 21,200 | 2,151 | ||||||
SanDisk Corp.(a) | 37,667 | 1,854 | ||||||
Symantec Corp.(a) | 118,163 | 1,849 | ||||||
TE Connectivity, Ltd. | 68,400 | 2,107 | ||||||
Teradata Corp.(a) | 26,220 | 1,272 | ||||||
Teradyne, Inc.(a) | 28,149 | 384 | ||||||
Texas Instruments, Inc. | 180,199 | 5,246 | ||||||
VeriSign, Inc. | 25,721 | 919 | ||||||
Waters Corp.(a) | 13,765 | 1,019 | ||||||
Western Digital Corp.(a) | 35,600 | 1,102 | ||||||
Xerox Corp. | 223,001 | 1,775 | ||||||
Xilinx, Inc. | 42,402 | 1,359 | ||||||
Yahoo!, Inc.(a) | 193,619 | 3,123 | ||||||
|
|
|
| |||||
315,491 | ||||||||
|
|
|
| |||||
Materials – 3.5% |
| |||||||
Air Products & Chemicals, Inc. | 33,409 | 2,846 | ||||||
Airgas, Inc. | 10,400 | 812 | ||||||
Alcoa, Inc. | 168,749 | 1,460 | ||||||
Allegheny Technologies, Inc. | 17,228 | 824 | ||||||
Ball Corp. | 25,124 | 897 | ||||||
Bemis Co., Inc. | 14,462 | 435 | ||||||
CF Industries Holdings, Inc. | 10,450 | 1,515 | ||||||
Cliffs Natural Resources, Inc. | 22,200 | 1,384 | ||||||
Dow Chemical Co. | 183,628 | 5,281 | ||||||
E.I. Du Pont de Nemours & Co. | 143,912 | 6,588 | ||||||
Eastman Chemical Co. | 20,708 | 809 | ||||||
Ecolab, Inc. | 45,866 | 2,652 | ||||||
FMC Corp. | 10,700 | 921 | ||||||
Freeport-McMoRan Copper & Gold, Inc. Class B | 147,904 | 5,441 |
See Notes to Financial Statements.
33
Table of Contents
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2011
Shares | Market Value (000) | |||||||
COMMON STOCKS – (continued) | ||||||||
Materials – (continued) | ||||||||
International Flavors & Fragrances, Inc. | 13,031 | $ | 683 | |||||
International Paper Co. | 68,811 | 2,037 | ||||||
MeadWestvaco Corp. | 26,720 | 800 | ||||||
Monsanto Co. | 83,455 | 5,848 | ||||||
Mosaic Co. | 43,800 | 2,209 | ||||||
Newmont Mining Corp. | 77,106 | 4,627 | ||||||
Nucor Corp. | 49,854 | 1,973 | ||||||
Owens-Illinois, Inc.(a) | 24,000 | 465 | ||||||
Plum Creek Timber Co., Inc. | 25,311 | 925 | ||||||
PPG Industries, Inc. | 24,871 | 2,076 | ||||||
Praxair, Inc. | 46,911 | 5,015 | ||||||
Sealed Air Corp. | 22,792 | 392 | ||||||
Sherwin-Williams Co. | 13,996 | 1,249 | ||||||
Sigma-Aldrich Corp. | 18,934 | 1,183 | ||||||
Titanium Metals Corp. | 10,800 | 162 | ||||||
United States Steel Corp. | 21,478 | 568 | ||||||
Vulcan Materials Co. | 18,961 | 746 | ||||||
Weyerhaeuser Co. | 84,074 | 1,570 | ||||||
|
| |||||||
64,393 | ||||||||
|
| |||||||
Telecommunication Services – 3.1% |
| |||||||
American Tower Corp. Class A | 60,800 | 3,649 | ||||||
AT&T, Inc. | 918,150 | 27,765 | ||||||
CenturyLink, Inc. | 94,665 | 3,522 | ||||||
Frontier Communications Corp. | 147,244 | 758 | ||||||
JDS Uniphase Corp.(a) | 32,523 | 340 | ||||||
MetroPCS Communications, Inc.(a) | 41,500 | 360 | ||||||
Sprint Nextel Corp.(a) | 476,265 | 1,114 | ||||||
Verizon Communications, Inc. | 438,166 | 17,579 | ||||||
Windstream Corp. | 78,313 | 919 | ||||||
|
| |||||||
56,006 | ||||||||
|
| |||||||
Utilities – 3.7% |
| |||||||
AES Corp.(a) | 102,795 | 1,217 | ||||||
AGL Resources, Inc. | 18,100 | 765 | ||||||
Ameren Corp. | 37,560 | 1,244 | ||||||
American Electric Power Co., Inc. | 73,952 | 3,055 | ||||||
CenterPoint Energy, Inc. | 66,311 | 1,332 | ||||||
CMS Energy Corp. | 37,956 | 838 | ||||||
Consolidated Edison, Inc. | 45,952 | 2,850 | ||||||
Constellation Energy Group, Inc. | 31,314 | 1,242 | ||||||
Dominion Resources, Inc. | 88,362 | 4,690 | ||||||
DTE Energy Co. | 26,384 | 1,437 | ||||||
Duke Energy Corp. | 206,620 | 4,546 | ||||||
Edison International | 51,319 | 2,125 | ||||||
Entergy Corp. | 27,798 | 2,031 | ||||||
Exelon Corp. | 102,821 | 4,459 | ||||||
FirstEnergy Corp. | 65,722 | 2,911 | ||||||
Integrys Energy Group, Inc. | 11,616 | 629 | ||||||
NextEra Energy, Inc. | 64,921 | 3,952 | ||||||
NiSource, Inc. | 41,982 | 1,000 | ||||||
Northeast Utilities | 26,400 | 952 | ||||||
NRG Energy, Inc.(a) | 36,700 | 665 | ||||||
Oneok, Inc. | 16,100 | 1,396 | ||||||
Pepco Holdings, Inc. | 34,700 | 704 | ||||||
PG&E Corp. | 63,026 | 2,598 | ||||||
Pinnacle West Capital Corp. | 16,160 | 779 | ||||||
PPL Corp. | 88,475 | 2,603 | ||||||
Progress Energy, Inc. | 46,181 | 2,587 |
Shares | Market Value (000) | |||||||
Public Service Enterprise Group, Inc. | 79,324 | $ | 2,619 | |||||
SCANA Corp. | 17,700 | 798 | ||||||
Sempra Energy | 37,386 | 2,056 | ||||||
Southern Co. | 133,843 | 6,196 | ||||||
TECO Energy, Inc. | 34,951 | 669 | ||||||
Wisconsin Energy Corp. | 35,200 | 1,231 | ||||||
Xcel Energy, Inc. | 76,351 | 2,110 | ||||||
|
|
|
| |||||
68,286 | ||||||||
|
|
|
| |||||
TOTAL COMMON STOCKS | 1,776,334 | |||||||
|
|
|
| |||||
PREFERRED STOCK – 0.0% |
| |||||||
Consumer Discretionary – 0.0% |
| |||||||
Orchard Supply Hardware Stores Corp. Series A(a)(b)(e) | 242 | – | ||||||
|
|
|
| |||||
TOTAL PREFERRED STOCK |
| – | ||||||
|
|
|
|
Par Amount | ||||||||
U.S. GOVERNMENT SECURITIES – 0.1% |
| |||||||
U.S. Treasury Bill(c)(f) | $ | 350,000 | 350 | |||||
U.S. Treasury Bill(c)(f) | 110,000 | 110 | ||||||
U.S. Treasury Bill(c)(f) | 2,265,000 | 2,265 | ||||||
U.S. Treasury Bill(c)(f) | 400,000 | 400 | ||||||
|
|
|
| |||||
TOTAL U.S. GOVERNMENT SECURITIES |
| 3,125 | ||||||
|
|
|
|
See Notes to Financial Statements.
34
Table of Contents
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2011
Shares | Market Value (000) | |||||||
MONEY MARKET FUNDS – 2.4% | ||||||||
AIM Short Term Investment | 42,650,897 | 42,651 | ||||||
Federated Money Market Obligations Trust | 577,343 | 577 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS (Cost $43,228) | 43,228 | |||||||
|
| |||||||
TOTAL INVESTMENTS† – 99.8% (Cost $1,160,142) | 1,822,687 | |||||||
Other Assets in Excess of | 2,841 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 1,825,528 | ||||||
|
|
|
|
(a) | Non-income producing security. |
(b) | Securities are valued at fair value as determined in good faith by the Trust’s Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. Securities’ values are determined based on Level 2 inputs. (Note 2) |
(c) | All or part of this security has been designated as collateral for futures contracts. |
(d) | Affiliated issuer. See table that follows for more information. |
(e) | Amount is less than $1,000. |
(f) | Rate represents annualized yield at date of purchase. |
† | See Note 2 of the Notes to Financial Statements. |
PLC | = Public Limited Company |
REIT | = Real Estate Investment Trust |
Number of Contracts | Notional Value (000) | Unrealized Appreciation (000) | ||||||||||
Schedule of Futures S&P 500 Financial Futures Contracts (long) Expiration Date 3/2012 | 786 | $ | 49,088 | $ | 139 | |||||||
|
| |||||||||||
Total unrealized appreciation on open futures contracts purchased | $ | 139 | ||||||||||
|
|
Affiliate Table
Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500® Index. The market value of this investment at December 31, 2011 is listed in the Portfolio of Investments.
Security | Number of shares held at 12/31/2010 | Shares purchased for the twelve months ended 12/31/2011 | Shares sold for the twelve months ended 12/31/2011 | Number of shares held at 12/31/2011 | Value at 12/31/2011 (000) | Income earned for the twelve months ended 12/31/2011 (000) | Realized loss on shares sold (000) | |||||||||||||||||||||
State Street Corp. | 85,825 | 6,100 | 12,700 | 79,225 | $ | 3,194 | $ | 57 | $ | (20 | ) |
See Notes to Financial Statements.
35
Table of Contents
State Street Equity 500 Index Portfolio
Statement of Assets and Liabilities
December 31, 2011
(Amounts in thousands)
Assets |
| |||
Investments in unaffiliated issuers at market value (identified cost $1,157,478) | $ | 1,819,493 | ||
Investments in non-controlled affiliates at market value | 3,194 | |||
|
| |||
Total investments at market value (identified cost $1,160,142) | 1,822,687 | |||
Cash | 4 | |||
Receivable for investment securities sold | 312 | |||
Dividends and interest receivable | 2,766 | |||
|
| |||
Total assets | 1,825,769 | |||
Liabilities |
| |||
Daily variation margin on futures contracts | 180 | |||
Management fees (Note 4) | 61 | |||
|
| |||
Total liabilities | 241 | |||
|
| |||
Net Assets | $ | 1,825,528 | ||
|
|
See Notes to Financial Statements.
36
Table of Contents
State Street Equity 500 Index Portfolio
Statement of Operations
Year Ended December 31, 2011
(Amounts in thousands)
Investment Income |
| |||
Interest | $ | 25 | ||
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $33) | 38,773 | |||
Dividend income – non-controlled affiliated issuer | 57 | |||
|
| |||
Total investment income | 38,855 | |||
|
| |||
Expenses |
| |||
Management fees (Note 4) | 840 | |||
|
| |||
Total expenses | 840 | |||
|
| |||
Net Investment Income | $ | 38,015 | ||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments – unaffiliated issuers | $ | 65,528 | ||
Investments – non-controlled affiliated issuer | (20 | ) | ||
Futures contracts | 2,728 | |||
|
| |||
68,236 | ||||
|
| |||
Net change in net unrealized appreciation (depreciation) on: | ||||
Investments | (60,247 | ) | ||
Futures contracts | (403 | ) | ||
|
| |||
(60,650 | ) | |||
|
| |||
Net realized and unrealized gain | 7,586 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 45,601 | ||
|
|
See Notes to Financial Statements.
37
Table of Contents
State Street Equity 500 Index Portfolio
Statements of Changes in Net Assets
(Amounts in thousands)
For The Year Ended December 31, 2011 | For The Year Ended December 31, 2010 | |||||||
Increase (Decrease) in Net Assets From Operations: |
| |||||||
Net investment income | $ | 38,015 | $ | 37,668 | ||||
Net realized gain on investments and futures contracts | 68,236 | 26,111 | ||||||
Net change in net unrealized appreciation (depreciation) on investments and futures contracts | (60,650 | ) | 214,085 | |||||
|
|
|
| |||||
Net increase in net assets from operations | 45,601 | 277,864 | ||||||
|
|
|
| |||||
Capital Transactions | ||||||||
Contributions | 279,791 | 241,838 | ||||||
Withdrawals | (598,001 | ) | (314,951 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from capital transactions | (318,210 | ) | (73,113 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (272,609 | ) | 204,751 | |||||
Net Assets | ||||||||
Beginning of year | 2,098,137 | 1,893,386 | ||||||
|
|
|
| |||||
End of year | $ | 1,825,528 | $ | 2,098,137 | ||||
|
|
|
|
See Notes to Financial Statements.
38
Table of Contents
State Street Equity 500 Index Portfolio
Financial Highlights
The following table includes selected supplemental data and ratios to average net assets:
Year Ended 12/31/11 | Year Ended 12/31/10 | Year Ended 12/31/09 | Year Ended 12/31/08 | Year Ended 12/31/07 | ||||||||||||||||
Supplemental Data and Ratios: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | 1,825,528 | 2,098,137 | 1,893,386 | 1,522,208 | 2,422,377 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Operating expenses | 0.045 | % | 0.045 | % | 0.045 | % | 0.045 | % | 0.045 | % | ||||||||||
Net investment income | 2.04 | % | 1.99 | % | 2.28 | % | 2.30 | % | 1.96 | % | ||||||||||
Portfolio turnover rate(a) | 15 | % | 12 | % | 19 | % | 14 | % | 12 | % | ||||||||||
Total return(b) | 2.03 | % | 15.08 | % | 26.50 | % | (37.02 | )% | 5.49 | % |
(a) | The portfolio turnover rate excludes in-kind security transactions. |
(b) | Results represent past performance and are not indicative of future results. |
See Notes to Financial Statements.
39
Table of Contents
State Street Equity 500 Index Portfolio
Notes to Financial Statements
December 31, 2011
1. Organization
State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises eleven investment portfolios: the State Street Equity 500 Index Portfolio, the State Street Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio, the State Street Aggregate Bond Index Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Exempt Bond Portfolio, the State Street Limited Duration Bond Portfolio, the State Street Treasury Money Market Portfolio, the State Street Treasury Plus Money Market Portfolio and the State Street U.S. Government Money Market Portfolio. Information presented in these financial statements pertains only to the State Street Equity 500 Index Portfolio (the “Portfolio”).
At December 31, 2011, the following Portfolios were in operation: the Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Free Bond Portfolio, the State Street U.S. Government Money Market Portfolio, the State Street Treasury Money Market Portfolio and the State Street Treasury Plus Money Market Portfolio. The Portfolio is authorized to issue an unlimited number of non-transferable beneficial interests.
The Portfolio’s investment objective is to replicate, as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “S&P 500® Index”). The Portfolio uses a passive management strategy designed to track the performance of the S&P 500® Index. The S&P 500® Index is a well-known, unmanaged, stock index that includes common stocks of 500 companies from several industrial sectors representing a significant portion of the market value of all stocks publicly traded in the United States. There is no assurance that the Portfolio will achieve its objective.
2. Significant Accounting Policies
The following is a summary of the significant accounting policies consistently followed by the Portfolio in the preparation of its financial statements.
Security valuation – The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.
The Portfolio adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand 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
40
Table of Contents
State Street Equity 500 Index Portfolio
Notes to Financial Statements — (continued)
December 31, 2011
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 upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.
The three tier hierarchy of inputs is summarized below:
• | Level 1 – quoted prices in active markets for identical securities |
• | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of December 31, 2011, in valuing the Portfolio’s assets carried at fair value (amounts in thousands):
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | $ | 1,776,332 | $ | 2 | $ | – | $ | 1,776,334 | ||||||||
Preferred Stock | – | – | * | – | – | * | ||||||||||
U.S. Government Securities | – | 3,125 | – | 3,125 | ||||||||||||
Money Market Funds | 43,228 | – | – | 43,228 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,819,560 | 3,127 | – | 1,822,687 | ||||||||||||
Other Assets: | ||||||||||||||||
Futures contracts | 139 | – | – | 139 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 1,819,699 | $ | 3,127 | $ | – | $ | 1,822,826 | ||||||||
|
|
|
|
|
|
|
|
* | Fund held Level 2 securities that were valued at $0 at December 31, 2011. |
The type of inputs used to value each security under the provisions surrounding fair value measurements and disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.
As of the year ended December 31, 2011, there were no transfers between levels.
Securities transactions, investment income and expenses – Securities transactions are recorded on a trade date basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis and includes amortization of premium and 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. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments and foreign currency transactions on the Statement of Operations.
41
Table of Contents
State Street Equity 500 Index Portfolio
Notes to Financial Statements — (continued)
December 31, 2011
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, 2011, 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, 2011, tax years 2008 through 2011 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
At December 31, 2011, the tax cost of investments was $1,315,634,901. The aggregate gross unrealized appreciation and gross unrealized depreciation was $579,830,424 and $72,778,052 respectively, resulting in net appreciation of $507,052,372 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 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
42
Table of Contents
State Street Equity 500 Index Portfolio
Notes to Financial Statements — (continued)
December 31, 2011
Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.
The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at December 31, 2011:
Asset Derivatives(1) (amounts in thousands)
Equity Contracts Risk | Total | |||||
Futures Contracts | $139 | $ | 139 |
(1) | Portfolio of Investments: Unrealized appreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities. |
Transactions in derivative instruments during the year ended December 31, 2011, were as follows:
Realized Gain (Loss)(2) (amounts in thousands)
Equity Contracts Risk | Total | |||||
Futures Contracts | $2,728 | $ | 2,728 |
Change in Appreciation (Depreciation)(3) (amounts in thousands)
Equity Contracts Risk | Total | |||||
Futures Contracts | $(403) | $ | (403 | ) |
(2) | Statement of Operations location: Net realized gain (loss) on: Futures contracts |
(3) | Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts |
The average notional value of futures contracts outstanding during the period ended December 31, 2011, was $36,089,554.
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. It is reasonably possible that these differences could be material.
Subsequent Events: Management has determined that there are no subsequent events or transactions that would have materially impacted the Portfolio’s financial statements as presented.
3. Securities Transactions
For the year ended December 31, 2011, purchases and sales of investment securities, excluding short-term investments, futures contracts, and contributions in-kind and fair value of withdrawals, aggregated to $277,424,267 and $455,596,021 respectively.
43
Table of Contents
State Street Equity 500 Index Portfolio
Notes to Financial Statements — (continued)
December 31, 2011
4. Related Party Fees and Transactions
The Portfolio has entered into an investment advisory agreement with SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), under which SSgA FM directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. The Trust has contracted with State Street to provide custody, administration and transfer agent services to the Portfolio. In compensation for SSgA FM’s services as investment adviser and for State Street’s services as administrator, custodian and transfer agent (and for assuming ordinary operating expenses of the Portfolio, including ordinary legal, audit and trustees expense), State Street receives a unitary fee, calculated daily, at the annual rate of 0.045% of the Portfolio’s average daily net assets.
Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corporation, the holding company of State Street, were made according to its representative portion of the S&P 500® Index. The market value of this investment at December 31, 2011 is listed in the Portfolio of Investments.
5. Trustees’ Fees
The Trust paid each Trustee who is not an officer or employee of SSgA FM or State Street $2,500 for each meeting of the Board of Trustees and an additional $500 for each telephonic meeting attended. The Trust also paid each Trustee an annual retainer of $30,000. Each Trustee is reimbursed for out-of-pocket and travel expenses. Effective January 1, 2012, the Trust pays each Trustee an annual retainer of $100,000, meeting fees of $5,000 and telephonic meeting fees of $1,250.
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. New Accounting Pronouncement
In May 2011, the FASB issued ASU 2011-04, “Fair Value Measurement (Topic 820): Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS (International Financial Reporting Standards)”. The ASU changes certain fair value measurement principles and disclosure requirements. The ASU is effective for annual periods beginning after December 15, 2011. Management is currently evaluating the impact the adoption of ASU 2011-04 will have on the Funds’ financial statements and related disclosures.
44
Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of State Street Master Funds and
Owners of Beneficial Interest of State Street Equity 500 Index Portfolio:
We have audited the accompanying statement of assets and liabilities of State Street Equity 500 Index Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds), including the portfolio of investments, as of December 31, 2011, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Equity 500 Index Portfolio, of State Street Master Funds, at December 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 23, 2012
45
Table of Contents
State Street Equity 500 Index Portfolio
General Information
December 31, 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 (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the website of the Securities and Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by August 31 (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.
Advisory Agreement Renewal
The Board of Trustees of the Trust met on November 17, 2011 (the “November Meeting” or “Meeting”) to consider the renewal of the investment advisory agreement for the Portfolio (the “Advisory Agreement”). In preparation for considering renewal of the Advisory Agreement at the November Meeting, the Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”) convened a special telephonic meeting on October 19, 2011 (the “Preliminary Meeting”), at which they reviewed renewal materials provided by the SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), which they had requested through independent counsel, and discussed the materials with counsel and representatives of the Adviser. In the course of the Preliminary Meeting they requested additional materials from the Adviser and State Street Bank and Trust Company (“State Street”), which were subsequently provided in advance of the November Meeting along with updates of certain of the original materials. At the November Meeting, in deciding whether to renew the Advisory Agreement, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the Adviser under the Advisory Agreement, (ii) the investment performance of the Portfolio, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreement reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.
In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided in advance of the November Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory Agreement and noted the experience and expertise that would be appropriate to expect of an adviser to the Portfolio, which is an index fund. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Portfolio, and the responsibilities of the latter with respect to the Portfolio. They also considered the resources, operational structures and practices of
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Table of Contents
State Street Equity 500 Index Portfolio
General Information — (continued)
December 31, 2011 (Unaudited)
Advisory Agreement Renewal — (continued)
the Adviser in managing the Portfolio’s investments, in monitoring and securing the Portfolio’s compliance with its investment objective and investment policies and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $2.0 trillion in assets under management at September 30, 2011, including over $214.5 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials provided and their general knowledge of the business of the Adviser, the Trustees determined that the experience, resources and strength of the Adviser in the management of a variety of index products are exceptional. As discussed more fully below, they also determined that the advisory fee paid by the Portfolio was fair and reasonable and that the Portfolio’s performance and expense ratio were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Portfolio were appropriate and had been of good quality.
The Trustees determined, in view of the investment objective of the Portfolio and after review and discussion of the available data and of a memorandum discussing the recent performance of the Portfolio supplied by the Adviser at the Independent Trustees’ request, that the investment performance was acceptable. The Trustees noted that the performance of the Portfolio in absolute terms was not of the importance that normally attaches to that of actively-managed funds. Of more importance to the Trustees was the extent to which the Portfolio achieved its objective of replicating, before expenses, the total return of the S&P 500 Index. Drawing upon information provided at the Meeting and upon reports provided to the Trustees by the Adviser throughout the preceding year, they determined that the Portfolio had in fact tracked the index within an acceptable range of tracking error. They concluded that performance of the Portfolio was satisfactory.
The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships with the Trust. (They noted at the outset that the issue of profitability would not arise with respect to State Street Global Markets LLC (“SSGM”), also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the feeder fund and, by implication, the Portfolio.) The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Portfolio individually, and on an aggregate basis with the other feeder funds and master portfolios overseen by the Trustees (together, the “Funds and Portfolios”), for the year ended June 30, 2011, and for the four prior years. Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, including information as to changes in the methodologies from prior years, they concluded that these methodologies appeared reasonable and turned to the data provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both of those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fee excessive, especially in light of the competitive levels of the fees paid to the Adviser and State Street by the Trust. They noted that the levels of profitability had increased in recent periods as a number of the Funds and Portfolios had experienced significant growth, and they determined to reconsider the profitability of these relationships to the Adviser and State Street at next year’s renewal meeting.
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Table of Contents
State Street Equity 500 Index Portfolio
General Information — (continued)
December 31, 2011 (Unaudited)
Advisory Agreement Renewal — (continued)
In order better to evaluate the Portfolio’s advisory fee, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that the Portfolio’s advisory fee and total expense ratio were all lower than the average for its Lipper peer group; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fee.
In addition, the Trustees considered other advisory fees paid to the Adviser. They noted that as a general matter fees paid to the Adviser by similar mutual funds sponsored by State Street tended to be higher than the fees paid by the Portfolio. As to fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by the Adviser, the Trustees noted that these tended to be lower than those paid by the Portfolio; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the Portfolio by the Adviser and those provided to the other two types of clients. The Trustees determined that, in light of these significant differences, in both cases the fees were of doubtful utility for purposes of comparison with those of the Portfolio, but that to the extent that meaningful comparison was practicable the differences in services satisfactorily accounted for differences in the fees. The Trustees determined that the Adviser’s fee was fair and reasonable.
In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator, custodian and transfer agent and with SSGM, a wholly-owned subsidiary of State Street, as principal underwriter for the Trust. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements to obtain third-party (non-proprietary research) services in connection with the Portfolio’s brokerage transactions. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fee excessive.
The Trustees also considered the extent to which economies of scale may be realized by the Portfolio as assets grow and whether the Portfolio’s fee levels reflect such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent that economies of scale were in fact being realized, such economies of scale were shared with the Portfolio by virtue of an advisory fee of a comparatively low level that subsumed economies of scale in the fee itself. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.
On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees approved the continuance of the Advisory Agreement.
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Trustees and Executive Officers (Unaudited)
The table below includes information about the Trustees and Executive Officers of the State Street Master Funds.
Name, Address, and Year of Birth | Position(s) Held | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | Number of Funds in Fund Complex Overseen by Trustee* | Other Directorships | |||||
Independent Trustees | ||||||||||
Michael F. Holland Holland & Company, LLC 375 Park Avenue New York, NY 10152 1944 | Trustee and Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 22 | Trustee, State Street Institutional Investment Trust; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; and Director, Reaves Utility Income Fund, Inc. | |||||
William L. Boyan State Street Master Funds P.O. Box 5049 Boston, MA 02206 1937 | Trustee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1958 – 1997) Mr. Boyan retired in 1997. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1992 – 2007); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010). | 22 | Trustee, State Street Institutional Investment Trust; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA; and Trustee, Florida Stage. | |||||
Rina K. Spence State Street Master Funds P.O. Box 5049 Boston, MA 02206 1948 | Trustee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984-1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000). | 22 | Trustee, State Street Institutional Investment Trust; Director, Berkshire Life Insurance Company of America (1993 – 2009); Director, IEmily.com, Inc. (2000 – 2010); and Trustee, National Osteoporosis Foundation (2005 – 2008). | |||||
Douglas T. Williams P.O. Box 5049 1940 | Trustee | Term: Indefinite Elected: 7/99 | Executive Vice President of Chase Manhattan Bank (1987 – 1999). Mr. Williams retired in 1999. | 22 | Trustee, State Street Institutional Investment Trust; Treasurer, Nantucket Educational Trust (2002 – 2007). | |||||
Interested Trustees** | ||||||||||
James E. Ross SSgA Funds State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1965 | Trustee President | Term: Indefinite Elected Trustee: 2/07 Elected President: 4/05 | President, SSgA Funds Management Inc. (2005 – present); Senior Managing Director, State Street Global Advisors (2006 – present). | 22 | Trustee, State Street Institutional Investment Trust; Trustee, SPDR Series Trust; Trustee, SPDR Index Shares Funds; and Trustee, Select Sector SPDR Trust |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust. |
** | Mr. Ross is an Interested Trustee because of his employment by SSgA Funds Management, Inc., an affiliate of the Trust. |
49
Table of Contents
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office | Principal Occupation During Past Five Years | |||
Officers: | ||||||
Ellen M. Needham SSgA Funds State Street Financial Center One Lincoln Street Boston, 1967 | Vice President | Term: Indefinite Elected: 09/09 | Senior Managing Director (1992 – present) and Chief Operating Officer (May 2010 – present), SSgA Funds Management, Inc.; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Laura F. Dell State Street Bank and 4 Copley Place 5th floor Boston, MA 02116 1964 | Treasurer Assistant | Term: Indefinite Elected: 11/10 11/08 – 11/10 | Vice President, State Street Bank and Trust Company (2002 – present).* | |||
Chad C. Hallett State Street Bank and 4 Copley Place 5th floor Boston, MA 02116 1969 | Assistant Treasurer | Term: Indefinite Elected: 09/11 | Vice President, State Street Bank and Trust Company (2001 – present).* | |||
Caroline Connolly State Street Bank and 4 Copley Place 5th floor Boston, MA 02116 1975 | Assistant Treasurer | Term: Indefinite Elected: 09/11 | Assistant Vice President, State Street Bank and Trust Company (2007 – present); Assistant Vice President, Eaton Vance Management (2005 – 2007). | |||
Jacqueline Angell State Street Global Advisors and SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1974 | Chief Compliance Officer | Term: Indefinite Elected: 04/11 | Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2008 – present); Director of Investment Adviser Oversight, Fidelity Investments (2006 – 2008). | |||
Ryan M. Louvar State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, MA 02116 1972 | Secretary | Term: Indefinite Elected: 2/12 | Vice President and Senior Counsel, State Street Bank and Trust Company (2005 – present).* | |||
Mark E. Tuttle State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, MA 02116 1970 | Assistant Secretary | Term: Indefinite Elected: 2/12 | Vice President and Counsel, State Street Bank and Trust Company (2007 – present); Assistant Counsel, BISYS Group, Inc. (2005 – 2007) (a financial services company).* | |||
Scott E. Habeeb State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, MA 02116 1968 | Assistant Secretary | Term: Indefinite Elected: 2/12 | Vice President and Counsel, State Street Bank and Trust Company (2007 – present); Legal Analyst, Verizon Communications (2004 – 2007).* |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.
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Table of Contents
Schedule of Investments December 31, 2011 | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Advertising Agencies – 0.6% |
| |||||||
Arbitron, Inc. | 12,861 | $ | 442,547 | |||||
Constant Contact, Inc. (a) | 13,957 | 323,942 | ||||||
Digital Generation, Inc. (a) | 13,033 | 155,353 | ||||||
Harte-Hanks, Inc. | 21,080 | 191,617 | ||||||
Marchex, Inc., Class B | 10,143 | 63,394 | ||||||
MDC Partners, Inc. | 11,888 | 160,726 | ||||||
National CineMedia, Inc. | 26,169 | 324,496 | ||||||
QuinStreet, Inc. (a)(b) | 13,057 | 122,213 | ||||||
ReachLocal, Inc. (a) | 4,991 | 30,844 | ||||||
Travelzoo, Inc. (a)(b) | 2,584 | 63,515 | ||||||
Valassis Communications, Inc. (a) | 21,211 | 407,888 | ||||||
ValueClick, Inc. (a) | 37,224 | 606,379 | ||||||
Viad Corp. | 9,664 | 168,927 | ||||||
|
| |||||||
3,061,841 | ||||||||
|
| |||||||
Aerospace – 1.6% |
| |||||||
AAR Corp. | 18,838 | 361,124 | ||||||
AeroVironment, Inc. (a) | 7,999 | 251,729 | ||||||
Astronics Corp. (a) | 4,865 | 174,216 | ||||||
Ceradyne, Inc. (a) | 11,811 | 316,299 | ||||||
Cubic Corp. | 7,488 | 326,402 | ||||||
Curtiss-Wright Corp. | 21,984 | 776,695 | ||||||
Ducommun, Inc. | 4,790 | 61,072 | ||||||
Esterline Technologies Corp. (a) | 14,432 | 807,759 | ||||||
GenCorp, Inc. (a) | 27,859 | 148,210 | ||||||
Heico Corp. | 19,762 | 1,155,682 | ||||||
Kaman Corp., Class A | 12,460 | 340,407 | ||||||
Kratos Defense & Security Solutions, Inc. (a) | 15,692 | 93,681 | ||||||
LMI Aerospace, Inc. (a) | 4,348 | 76,307 | ||||||
Moog, Inc., Class A (a) | 21,508 | 944,846 | ||||||
Orbital Sciences Corp. (a) | 27,701 | 402,495 | ||||||
Teledyne Technologies, Inc. (a) | 17,395 | 954,116 | ||||||
Triumph Group, Inc. | 17,806 | 1,040,761 | ||||||
|
| |||||||
8,231,801 | ||||||||
|
| |||||||
Agriculture, Fishing & Ranching – 0.4% |
| |||||||
Alico, Inc. | 1,685 | 32,638 | ||||||
The Andersons, Inc. | 8,811 | 384,688 | ||||||
Cadiz, Inc. (a) | 5,584 | 53,774 | ||||||
Cal-Maine Foods, Inc. | 6,723 | 245,860 | ||||||
Calavo Growers, Inc. | 5,636 | 144,733 | ||||||
Fresh Del Monte Produce, Inc. | 17,282 | 432,223 | ||||||
Limoneira Co. | 3,633 | 61,434 | ||||||
Pilgrims Pride Corp. (a) | 24,058 | 138,574 | ||||||
Sanderson Farms, Inc. | 10,477 | 525,212 | ||||||
Seaboard Corp. | 148 | 301,328 | ||||||
|
| |||||||
2,320,464 | ||||||||
|
| |||||||
Air Transport – 0.9% |
| |||||||
Air Transport Services Group, Inc. (a) | 25,588 | 120,775 | ||||||
Alaska Air Group, Inc. (a) | 16,989 | 1,275,704 | ||||||
Allegiant Travel Co. (a) | 7,037 | 375,354 | ||||||
Atlas Air Worldwide Holdings, Inc. (a) | 12,450 | 478,454 | ||||||
Bristow Group, Inc. | 17,180 | 814,160 | ||||||
Hawaiian Holdings, Inc. (a) | 24,139 | 140,006 | ||||||
JetBlue Airways Corp. (a) | 116,995 | 608,374 | ||||||
PHI, Inc. (a)(b) | 6,178 | 153,523 | ||||||
Republic Airways Holdings, Inc. (a) | 22,894 | 78,526 | ||||||
SkyWest, Inc. | 25,174 | 316,941 | ||||||
Spirit Airlines, Inc. (a) | 7,451 | 116,236 | ||||||
US Airways Group, Inc. (a) | 76,869 | 389,726 | ||||||
|
| |||||||
4,867,779 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
Alternative Energy – 0.1% |
| |||||||
Ameresco, Inc. (a) | 8,379 | $ | 114,960 | |||||
Amyris, Inc. (a) | 8,356 | 96,428 | ||||||
EnerNOC, Inc. (a) | 11,010 | 119,679 | ||||||
Gevo, Inc. (a) | 3,174 | 19,965 | ||||||
Green Plains Renewable Energy, Inc. (a) | 8,820 | 86,083 | ||||||
Rex American Resources Corp. (a) | 2,909 | 64,318 | ||||||
Solazyme, Inc. (a) | 5,350 | 63,665 | ||||||
Syntroleum Corp. (a) | 40,907 | 39,271 | ||||||
USEC, Inc. (a) | 55,202 | 62,930 | ||||||
|
| |||||||
667,299 | ||||||||
|
| |||||||
Aluminum – 0.1% |
| |||||||
Century Aluminum Co. (a)(b) | 24,481 | 208,333 | ||||||
Kaiser Aluminum Corp. | 7,704 | 353,460 | ||||||
Noranda Aluminum Holding Corp. | 10,818 | 89,248 | ||||||
|
| |||||||
651,041 | ||||||||
|
| |||||||
Asset Management & Custodian – 0.9% |
| |||||||
Apollo Investment Corp. | 93,077 | 599,416 | ||||||
Arlington Asset Investment Corp. | 3,065 | 65,376 | ||||||
Artio Global Investors, Inc. | 14,900 | 72,712 | ||||||
Calamos Asset Management, Inc., Class A | 9,041 | 113,103 | ||||||
Capital Southwest Corp. | 1,379 | 112,457 | ||||||
CIFC Corp. (a) | 5,795 | 31,293 | ||||||
Cohen & Steers, Inc. (b) | 8,435 | 243,771 | ||||||
Cowen Group, Inc., Class A (a) | 31,390 | 81,300 | ||||||
Diamond Hill Investments Group, Inc. | 1,201 | 88,850 | ||||||
Epoch Holding Corp. | 7,035 | 156,388 | ||||||
Fifth Street Finance Corp. | 34,386 | 329,074 | ||||||
Financial Engines, Inc. (a) | 18,161 | 405,535 | ||||||
GAMCO Investors, Inc., Class A | 3,210 | 139,603 | ||||||
Golub Capital BDC, Inc. | 4,768 | 73,904 | ||||||
Harris & Harris Group, Inc. (a) | 14,393 | 49,800 | ||||||
JMP Group, Inc. | 7,041 | 50,343 | ||||||
Kohlberg Capital Corp. | 8,986 | 56,702 | ||||||
Manning & Napier, Inc. (a) | 6,217 | 77,650 | ||||||
MCG Capital Corp. | 36,848 | 147,024 | ||||||
Medley Capital Corp. | 5,182 | 53,893 | ||||||
MVC Capital, Inc. | 11,427 | 132,439 | ||||||
National Financial Partners Corp. (a) | 19,642 | 265,560 | ||||||
New Mountain Finance Corp. | 3,300 | 44,253 | ||||||
NGP Capital Resources Co. | 10,343 | 74,366 | ||||||
Oppenheimer Holdings, Inc. | 4,915 | 79,132 | ||||||
Pzena Investment Management, Inc., Class A | 4,481 | 19,403 | ||||||
Solar Capital Ltd. | 17,315 | 382,488 | ||||||
Solar Senior Capital Ltd. | 3,605 | 56,779 | ||||||
THL Credit, Inc. | 4,417 | 53,932 | ||||||
TICC Capital Corp. | 15,439 | 133,547 | ||||||
Virtus Investment Partners, Inc. (a) | 2,596 | 197,322 | ||||||
Westwood Holdings Group, Inc. | 2,973 | 108,663 | ||||||
|
| |||||||
4,496,078 | ||||||||
|
| |||||||
Auto Parts – 0.6% |
| |||||||
American Axle & Manufacturing Holdings, Inc. (a) | 31,624 | 312,761 | ||||||
Amerigon, Inc. (a) | 10,517 | 149,972 | ||||||
Dana Holding Corp. (a) | 69,306 | 842,068 | ||||||
Dorman Products, Inc. (a) | 5,112 | 188,786 | ||||||
Exide Technologies (a) | 36,702 | 96,526 | ||||||
Fuel Systems Solutions, Inc. (a) | 7,893 | 130,156 | ||||||
Meritor, Inc. (a) | 44,831 | 238,501 | ||||||
Motorcar Parts of America, Inc. (a) | 5,939 | 44,543 | ||||||
Standard Motor Products, Inc. | 9,318 | 186,826 | ||||||
Stoneridge, Inc. (a) | 12,293 | 103,630 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 51 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Auto Parts (concluded) | ||||||||
Superior Industries International, Inc. | 11,085 | $ | 183,346 | |||||
Tenneco, Inc. (a) | 28,636 | 852,780 | ||||||
Tower International, Inc. (a) | 2,846 | 30,566 | ||||||
U.S. Auto Parts Network, Inc. (a) | 7,363 | 32,176 | ||||||
|
| |||||||
3,392,637 | ||||||||
|
| |||||||
Auto Services – 0.1% | ||||||||
Cooper Tire & Rubber Co. | 29,448 | 412,567 | ||||||
|
| |||||||
Back Office Support, HR & Consulting – 1.8% |
| |||||||
The Advisory Board Co. (a) | 7,499 | 556,501 | ||||||
Angie’s List, Inc. (a) | 5,057 | 81,418 | ||||||
Barrett Business Services, Inc. | 3,641 | 72,674 | ||||||
CBIZ, Inc. (a) | 18,554 | 113,365 | ||||||
CDI Corp. | 6,205 | 85,691 | ||||||
Compass Diversified Holdings | 19,217 | 238,099 | ||||||
Convergys Corp. (a) | 49,854 | 636,636 | ||||||
Corporate Executive Board Co. | 16,369 | 623,659 | ||||||
CoStar Group, Inc. (a)(b) | 11,974 | 799,025 | ||||||
CRA International, Inc. (a) | 5,046 | 100,113 | ||||||
Dice Holdings, Inc. (a) | 23,039 | 190,993 | ||||||
ExlService Holdings, Inc. (a) | 7,650 | 171,130 | ||||||
Forrester Research, Inc. (a) | 6,958 | 236,155 | ||||||
FTI Consulting, Inc. (a)(b) | 19,882 | 843,394 | ||||||
GP Strategies Corp. (a) | 7,057 | 95,128 | ||||||
The Hackett Group, Inc. (a) | 15,070 | 56,362 | ||||||
Heidrick & Struggles International, Inc. | 8,447 | 181,948 | ||||||
Hudson Highland Group, Inc. (a) | 15,667 | 75,045 | ||||||
Huron Consulting Group, | 10,499 | 406,731 | ||||||
ICF International, Inc. (a)(b) | 9,308 | 230,652 | ||||||
Insperity, Inc. | 10,875 | 275,681 | ||||||
Kelly Services, Inc., Class A | 12,634 | 172,833 | ||||||
Kforce, Inc. (a) | 14,105 | 173,915 | ||||||
Korn/Ferry International (a) | 22,290 | 380,267 | ||||||
Liquidity Services, Inc. (a) | 8,965 | 330,808 | ||||||
LoopNet, Inc. (a) | 7,773 | 142,090 | ||||||
MAXIMUS, Inc. | 16,423 | 679,091 | ||||||
Navigant Consulting, Inc. (a) | 24,447 | 278,940 | ||||||
On Assignment, Inc. (a) | 17,556 | 196,276 | ||||||
PRGX Global, Inc. (a) | 9,030 | 53,729 | ||||||
Resources Connection, Inc. | 22,045 | 233,457 | ||||||
RPX Corp. (a) | 4,907 | 62,074 | ||||||
ServiceSource International, Inc. (a) | 4,982 | 78,168 | ||||||
Stream Global Services, Inc. (a) | 4,386 | 14,518 | ||||||
SYKES Enterprises, Inc. (a) | 18,812 | 294,596 | ||||||
TeleTech Holdings, Inc. (a) | 12,042 | 195,080 | ||||||
TrueBlue, Inc. (a) | 19,035 | 264,206 | ||||||
|
| |||||||
9,620,448 | ||||||||
|
| |||||||
Banks: Diversified – 6.3% | ||||||||
1st Source Corp. | 7,354 | 186,277 | ||||||
1st United Bancorp, Inc. (a) | 13,212 | 73,327 | ||||||
Alliance Financial Corp. | 2,330 | 71,950 | ||||||
Ameris Bancorp (a) | 11,398 | 117,171 | ||||||
Ames National Corp. | 4,133 | 80,594 | ||||||
Arrow Financial Corp. | 4,961 | 116,286 | ||||||
Bancfirst Corp. | 3,306 | 124,107 | ||||||
Banco Latinoamericana De Comercio Exterior SA | 13,331 | 213,963 | ||||||
Bancorp Rhode Island, Inc. | 1,873 | 82,531 | ||||||
The Bancorp, Inc. (a) | 14,102 | 101,957 | ||||||
BancorpSouth, Inc. | 39,816 | 438,772 | ||||||
Bank of Kentucky Financial Corp. | 2,848 | 57,102 |
Common Stocks | Shares | Value | ||||||
Banks: Diversified (continued) | ||||||||
Bank of Marin Bancorp | 2,601 | $ | 97,772 | |||||
Bank of the Ozarks, Inc. | 13,389 | 396,716 | ||||||
Banner Corp. | 7,916 | 135,759 | ||||||
BBCN Bancorp, Inc. (a) | 35,325 | 333,821 | ||||||
Boston Private Financial Holdings, Inc. | 36,710 | 291,477 | ||||||
Bridge Bancorp, Inc. | 3,392 | 67,501 | ||||||
Bridge Capital Holdings (a) | 4,508 | 46,883 | ||||||
Bryn Mawr Bank Corp. | 5,291 | 103,122 | ||||||
Camden National Corp. | 3,737 | 121,826 | ||||||
Cape Bancorp, Inc. (a) | 5,423 | 42,571 | ||||||
Capital Bank Corp. (a) | 6,327 | 12,717 | ||||||
Capital City Bank Group, Inc. | 5,673 | 54,177 | ||||||
Cardinal Financial Corp. | 13,926 | 149,565 | ||||||
Cascade Bancorp (a) | 3,435 | 15,045 | ||||||
Cathay General Bancorp | 37,395 | 558,307 | ||||||
Center Bancorp, Inc. | 5,927 | 57,907 | ||||||
Centerstate Banks, Inc. | 14,491 | 95,930 | ||||||
Central Pacific Financial Corp. (a) | 7,237 | 93,502 | ||||||
Century Bancorp, Inc., Class A | 1,675 | 47,302 | ||||||
Chemical Financial Corp. | 13,206 | 281,552 | ||||||
Citizens & Northern Corp. | 5,901 | 108,991 | ||||||
City Holding Co. | 7,337 | 248,651 | ||||||
CNB Financial Corp. | 6,085 | 96,021 | ||||||
CoBiz Financial, Inc. | 15,809 | 91,218 | ||||||
Columbia Banking System, Inc. | 18,827 | 362,796 | ||||||
Community Bank System, Inc. | 17,552 | 487,946 | ||||||
Community Trust Bancorp, Inc. | 6,708 | 197,349 | ||||||
CVB Financial Corp. | 42,651 | 427,790 | ||||||
Eagle Bancorp, Inc. (a) | 8,081 | 117,498 | ||||||
Encore Bancshares, Inc. (a) | 4,094 | 55,351 | ||||||
Enterprise Bancorp, Inc. | 2,804 | 40,097 | ||||||
Enterprise Financial Services Corp. | 7,656 | 113,309 | ||||||
F.N.B. Corp. | 60,515 | 684,425 | ||||||
Financial Institutions, Inc. | 6,687 | 107,928 | ||||||
First Bancorp, Inc. | 4,404 | 67,690 | ||||||
First Bancorp, North Carolina | 7,340 | 81,841 | ||||||
First Busey Corp. | 37,217 | 186,085 | ||||||
First Commonwealth Financial Corp. | 50,187 | 263,984 | ||||||
First Community Bancshares, Inc. | 7,710 | 96,221 | ||||||
First Connecticut Bancorp, Inc. | 8,692 | 113,083 | ||||||
First Financial Bancorp | 27,804 | 462,659 | ||||||
First Financial Bankshares, Inc. (b) | 15,022 | 502,185 | ||||||
First Financial Corp. | 5,388 | 179,313 | ||||||
First Interstate Bancsystem, Inc. | 7,621 | 99,302 | ||||||
First Merchants Corp. | 12,313 | 104,291 | ||||||
First Midwest Bancorp, Inc. | 35,511 | 359,726 | ||||||
The First of Long Island Corp. | 3,762 | 99,016 | ||||||
FirstMerit Corp. | 52,016 | 787,002 | ||||||
German American Bancorp, Inc. | 6,154 | 111,941 | ||||||
Glacier Bancorp, Inc. | 34,338 | 413,086 | ||||||
Hampton Roads Bankshares, Inc. (a) | 5,285 | 14,481 | ||||||
Hancock Holding Co. | 36,287 | 1,160,095 | ||||||
Hanmi Financial Corp. (a) | 15,050 | 111,370 | ||||||
Heartland Financial USA, Inc. | 6,487 | 99,511 | ||||||
Heritage Commerce Corp. (a) | 10,305 | 48,846 | ||||||
Home Bancshares, Inc. | 10,725 | 277,885 | ||||||
Hudson Valley Holding Corp. | 7,536 | 159,914 | ||||||
IBERIABANK Corp. | 14,049 | 692,616 | ||||||
Independent Bank Corp./MA | 10,267 | 280,186 | ||||||
International Bancshares Corp. | 25,322 | 464,279 | ||||||
Investors Bancorp, Inc. (a) | 21,983 | 296,331 | ||||||
Lakeland Bancorp, Inc. | 10,583 | 91,225 | ||||||
Lakeland Financial Corp. | 7,812 | 202,096 |
See Notes to Financial Statements.
52 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Banks: Diversified (continued) |
| |||||||
MainSource Financial Group, Inc. | 9,641 | $ | 85,130 | |||||
MB Financial, Inc. | 25,891 | 442,736 | ||||||
Merchants Bancshares, Inc. | 2,398 | 70,022 | ||||||
Meridian Interstate Bancorp, Inc. (a) | 4,122 | 51,319 | ||||||
Metro Bancorp, Inc. (a) | 6,710 | 56,230 | ||||||
Midsouth Bancorp, Inc. | 3,863 | 50,258 | ||||||
National Bankshares, Inc. | 3,448 | 96,268 | ||||||
National Penn Bancshares, Inc. | 58,859 | 496,770 | ||||||
NBT Bancorp, Inc. | 16,528 | 365,765 | ||||||
Old National Bancorp | 45,135 | 525,823 | ||||||
Oriental Financial Group, Inc. | 21,599 | 261,564 | ||||||
Orrstown Financial Service, Inc. | 3,709 | 30,599 | ||||||
Pacific Capital Bancorp NA (a) | 2,041 | 57,638 | ||||||
Pacific Continental Corp. | 8,979 | 79,464 | ||||||
PacWest Bancorp | 14,437 | 273,581 | ||||||
Park National Corp. | 6,182 | 402,201 | ||||||
Park Sterling Corp. (a) | 15,426 | 62,938 | ||||||
Penns Woods Bancorp, Inc. | 1,904 | 73,837 | ||||||
Peoples Bancorp, Inc. | 5,152 | 76,301 | ||||||
Pinnacle Financial Partners, Inc. (a) | 16,249 | 262,421 | ||||||
PrivateBancorp, Inc. | 28,584 | 313,852 | ||||||
Prosperity Bancshares, Inc. | 22,302 | 899,886 | ||||||
Provident Financial Services, Inc. | 28,798 | 385,605 | ||||||
Renasant Corp. | 12,098 | 181,470 | ||||||
Republic Bancorp, Inc., Class A | 4,797 | 109,851 | ||||||
Rockville Financial, Inc. | 14,124 | 146,325 | ||||||
Roma Financial Corp. | 3,866 | 38,041 | ||||||
S&T Bancorp, Inc. | 13,479 | 263,514 | ||||||
Sandy Spring Bancorp, Inc. | 11,533 | 202,404 | ||||||
SCBT Financial Corp. | 6,728 | 195,179 | ||||||
Seacoast Banking Corp. of Florida (a) | 33,522 | 50,953 | ||||||
Sierra Bancorp | 5,988 | 52,694 | ||||||
Signature Bank (a)(b) | 21,865 | 1,311,681 | ||||||
Simmons First National Corp., Class A | 8,348 | 226,982 | ||||||
Southside Bancshares, Inc. | 7,890 | 170,897 | ||||||
Southwest Bancorp, Inc. (a) | 9,409 | 56,078 | ||||||
State Bancorp, Inc. | 7,391 | 90,170 | ||||||
State Bank Financial Corp. (a) | 15,081 | 227,874 | ||||||
StellarOne Corp. | 11,084 | 126,136 | ||||||
Sterling Bancorp | 15,049 | 130,023 | ||||||
Sterling Financial Corp. (a) | 12,809 | 213,910 | ||||||
Suffolk Bancorp (a) | 4,831 | 52,127 | ||||||
Sun Bancorp, Inc. (a) | 20,014 | 48,434 | ||||||
Susquehanna Bancshares, Inc. | 74,447 | 623,866 | ||||||
SVB Financial Group (a) | 20,359 | 970,921 | ||||||
SY Bancorp, Inc. | 5,896 | 121,045 | ||||||
Taylor Capital Group, Inc. (a) | 6,124 | 59,525 | ||||||
Texas Capital Bancshares, Inc. (a) | 17,711 | 542,134 | ||||||
Tompkins Trustco, Inc. | 3,920 | 150,959 | ||||||
Tower Bancorp, Inc. | 5,043 | 143,927 | ||||||
Towne Bank (b) | 11,744 | 143,747 | ||||||
Trico Bancshares | 6,893 | 98,018 | ||||||
TrustCo Bank Corp. NY | 44,783 | 251,233 | ||||||
Trustmark Corp. | 30,495 | 740,724 | ||||||
UMB Financial Corp. | 15,282 | 569,255 | ||||||
Umpqua Holdings Corp. | 54,520 | 675,503 | ||||||
Union First Market Bankshares Corp. | 9,809 | 130,362 | ||||||
United Bankshares, Inc. | 10,792 | 305,090 | ||||||
United Community Banks, Inc. (a) | 19,865 | 138,856 | ||||||
Univest Corp. of Pennsylvania | 8,218 | 120,312 | ||||||
Virginia Commerce Bancorp (a) | 11,263 | 87,063 |
Common Stocks | Shares | Value | ||||||
Banks: Diversified (concluded) |
| |||||||
Washington Banking Co. | 7,434 | $ | 88,539 | |||||
Washington Trust Bancorp, Inc. | 6,889 | 164,372 | ||||||
Webster Financial Corp. | 34,235 | 698,052 | ||||||
WesBanco, Inc. | 11,135 | 216,798 | ||||||
West Bancorp., Inc. | 7,601 | 72,818 | ||||||
West Coast Bancorp (a) | 5,344 | 83,366 | ||||||
Westamerica Bancorp | 13,793 | 605,513 | ||||||
Western Alliance | 33,174 | 206,674 | ||||||
Wilshire Bancorp, Inc. (a) | 29,027 | 105,368 | ||||||
Wintrust Financial Corp. | 16,620 | 466,191 | ||||||
|
| |||||||
33,528,301 | ||||||||
|
| |||||||
Banks: Savings, Thrift & Mortgage Lending – 1.0% |
| |||||||
Apollo Residential Mortgage, Inc. | 4,861 | 74,179 | ||||||
Astoria Financial Corp. | 41,394 | 351,435 | ||||||
Bank Mutual Corp. | 22,470 | 71,455 | ||||||
BankFinancial Corp. | 10,632 | 58,689 | ||||||
Beneficial Mutual Bancorp, Inc. (a)(b) | 15,917 | 133,066 | ||||||
Berkshire Hills Bancorp, Inc. | 9,944 | 220,657 | ||||||
BofI Holding, Inc. (a) | 4,297 | 69,826 | ||||||
Brookline Bancorp, Inc. | 28,293 | 238,793 | ||||||
Charter Financial Corp. | 3,276 | 30,336 | ||||||
Clifton Savings Bancorp, Inc. | 4,248 | 39,421 | ||||||
Dime Community Bancshares, Inc. | 14,897 | 187,702 | ||||||
Doral Financial Corp. (a) | 64,583 | 61,741 | ||||||
ESB Financial Corp. | 6,028 | 84,814 | ||||||
ESSA Bancorp, Inc. | 5,166 | 54,088 | ||||||
First Defiance Financial Corp. | 4,613 | 67,304 | ||||||
First Financial Holdings, Inc. | 7,961 | 71,092 | ||||||
First Pactrust Bancorp, Inc. | 5,032 | 51,578 | ||||||
Flagstar BanCorp., Inc. (a) | 56,611 | 28,589 | ||||||
Flushing Financial Corp. | 15,062 | 190,233 | ||||||
Fox Chase BanCorp., Inc. | 6,530 | 82,474 | ||||||
Franklin Financial Corp. (a) | 6,569 | 77,777 | ||||||
Great Southern Bancorp, Inc. | 4,928 | 116,252 | ||||||
Heritage Financial Corp. | 7,429 | 93,308 | ||||||
Home Federal Bancorp, Inc. | 8,025 | 83,460 | ||||||
Kearny Financial Corp. | 6,555 | 62,273 | ||||||
Northfield Bancorp, Inc. | 8,225 | 116,466 | ||||||
Northwest Bancshares, Inc. | 46,340 | 576,470 | ||||||
OceanFirst Financial Corp. | 7,093 | 92,706 | ||||||
Ocwen Financial Corp. (a) | 45,602 | 660,317 | ||||||
OmniAmerican Bancorp, Inc. (a) | 5,659 | 88,846 | ||||||
Oritani Financial Corp. | 21,772 | 278,028 | ||||||
Provident New York Bancorp | 18,444 | 122,468 | ||||||
Territorial BanCorp., Inc. | 5,258 | 103,845 | ||||||
United Financial Bancorp, Inc. | 7,725 | 124,295 | ||||||
ViewPoint Financial Group | 16,550 | 215,315 | ||||||
Westfield Financial, Inc. | 13,531 | 99,588 | ||||||
WSFS Financial Corp. | 3,029 | 108,923 | ||||||
|
| |||||||
5,187,809 | ||||||||
|
| |||||||
Beverage: Brewers & Distillers – 0.1% |
| |||||||
Boston Beer Co., Inc., Class A (a)(b) | 3,882 | 421,430 | ||||||
Central European Distribution Corp. (a) | 34,442 | 150,684 | ||||||
Craft Brewers Alliance, Inc. (a) | 4,934 | 29,702 | ||||||
|
| |||||||
601,816 | ||||||||
|
| |||||||
Beverage: Soft Drinks – 0.2% |
| |||||||
Coca-Cola Bottling Co. Consolidated | 2,141 | 125,355 | ||||||
Farmer Bros. Co. | 3,056 | 23,348 | ||||||
Heckmann Corp. (a) | 47,562 | 316,287 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 53 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Beverage: Soft Drinks (concluded) |
| |||||||
National Beverage Corp. | 5,489 | $ | 88,208 | |||||
Peet’s Coffee & Tea, Inc. (a) | 6,073 | 380,656 | ||||||
Primo Water Corp. (a) | 7,266 | 22,089 | ||||||
|
| |||||||
955,943 | ||||||||
|
| |||||||
Biotechnology – 3.7% |
| |||||||
Accelrys, Inc. (a) | 26,249 | 176,393 | ||||||
Acorda Therapeutics, Inc. (a) | 18,687 | 445,498 | ||||||
Aegerion Pharmaceuticals, Inc. (a) | 4,226 | 70,743 | ||||||
Affymax, Inc. (a) | 16,675 | 110,222 | ||||||
Albany Molecular Research, Inc. (a) | 9,593 | 28,107 | ||||||
Alimera Sciences, Inc. (a) | 5,767 | 7,209 | ||||||
Alkermes Plc (a)(b) | 45,193 | 784,550 | ||||||
Allos Therapeutics, Inc. (a) | 38,324 | 54,420 | ||||||
Alnylam Pharmaceuticals, Inc. (a) | 17,488 | 142,527 | ||||||
AMAG Pharmaceuticals, Inc. (a) | 9,994 | 188,987 | ||||||
Amicus Therapeutics, Inc. (a) | 8,128 | 27,960 | ||||||
Anthera Pharmaceuticals, Inc. (a) | 10,448 | 64,151 | ||||||
Arena Pharmaceuticals, Inc. (a) | 68,959 | 128,953 | ||||||
Ariad Pharmaceuticals, Inc. (a)(b) | 62,549 | 766,225 | ||||||
Arqule, Inc. (a) | 25,347 | 142,957 | ||||||
Array Biopharma, Inc. (a) | 27,130 | 58,601 | ||||||
Astex Pharmaceuticals (a) | 25,639 | 48,458 | ||||||
AVEO Pharmaceuticals, Inc. (a) | 14,826 | 255,007 | ||||||
AVI BioPharma, Inc. (a) | 69,690 | 51,919 | ||||||
BG Medicine, Inc. (a) | 3,856 | 18,200 | ||||||
BioMimetic Therapeutics, Inc. (a) | 9,391 | 26,764 | ||||||
BioSante Pharmaceuticals, | 54,499 | 27,364 | ||||||
BioTime, Inc. (a) | 11,732 | 68,163 | ||||||
Cell Therapeutics, Inc. (a)(b) | 91,830 | 106,523 | ||||||
Celldex Therapeutics, Inc. (a) | 21,027 | 54,670 | ||||||
Cepheid, Inc. (a)(b) | 29,269 | 1,007,146 | ||||||
Chelsea Therapeutics International, | 25,436 | 130,487 | ||||||
Clovis Oncology, Inc. (a) | 5,322 | 74,987 | ||||||
Codexis, Inc. (a) | 11,740 | 62,222 | ||||||
Complete Genomics, Inc. (a) | 5,216 | 15,283 | ||||||
Cornerstone Therapeutics, Inc. (a) | 3,620 | 20,272 | ||||||
Cubist Pharmaceuticals, Inc. (a) | 28,380 | 1,124,416 | ||||||
Curis, Inc. (a)(b) | 36,259 | 169,692 | ||||||
Cytori Therapeutics, Inc. (a) | 24,751 | 54,452 | ||||||
Dyax Corp. (a)(b) | 46,950 | 63,852 | ||||||
Dynavax Technologies | 72,760 | 241,563 | ||||||
Emergent Biosolutions, Inc. (a) | 11,533 | 194,216 | ||||||
Enzo Biochem, Inc. (a) | 17,475 | 39,144 | ||||||
Enzon Pharmaceuticals, Inc. (a) | 17,766 | 119,032 | ||||||
Exact Sciences Corp. (a) | 26,799 | 217,608 | ||||||
Exelixis, Inc. (a) | 60,653 | 287,192 | ||||||
Furiex Pharmaceuticals, Inc. (a) | 4,683 | 78,253 | ||||||
Genomic Health, Inc. (a) | 8,029 | 203,856 | ||||||
Geron Corp. (a) | 61,464 | 90,967 | ||||||
GTx, Inc. (a) | 10,826 | 36,375 | ||||||
Halozyme Therapeutics, Inc. (a) | 38,938 | 370,300 | ||||||
Harvard Bioscience, Inc. (a) | 11,322 | 43,816 | ||||||
Horizon Pharma, Inc. (a) | 1,874 | 7,496 | ||||||
Idenix Pharmaceuticals, Inc. (a) | 28,561 | 212,637 | ||||||
ImmunoGen, Inc. (a) | 35,631 | 412,607 | ||||||
Immunomedics, Inc. (a) | 31,017 | 103,287 | ||||||
Incyte Corp. (a)(b) | 41,877 | 628,574 | ||||||
Inhibitex, Inc. (a) | 30,148 | 329,819 | ||||||
Insmed, Inc. (a) | 11,122 | 33,922 | ||||||
InterMune, Inc. (a) | 25,649 | 323,177 |
Common Stocks | Shares | Value | ||||||
Biotechnology (concluded) |
| |||||||
Kensey Nash Corp. (b) | 3,937 | $ | 75,551 | |||||
Keryx Biopharmaceuticals, Inc. (a) | 32,268 | 81,638 | ||||||
Lexicon Genetics, Inc. (a) | 80,559 | 103,921 | ||||||
Ligand Pharmaceuticals, Inc. (a) | 9,305 | 110,450 | ||||||
MannKind Corp. (a)(b) | 36,643 | 91,607 | ||||||
Maxygen, Inc. (a) | 13,547 | 76,270 | ||||||
Medivation, Inc. (a) | 14,841 | 684,319 | ||||||
Metabolix, Inc. (a) | 15,941 | 72,532 | ||||||
Micromet, Inc. (a) | 43,432 | 312,276 | ||||||
Momenta Pharmaceuticals, Inc. (a) | 21,877 | 380,441 | ||||||
Nabi Biopharmaceuticals (a) | 19,002 | 35,724 | ||||||
Nektar Therapeutics (a) | 54,138 | 302,902 | ||||||
Neurocrine Biosciences, Inc. (a) | 23,366 | 198,611 | ||||||
Novavax, Inc. (a) | 45,860 | 57,784 | ||||||
NPS Pharmaceuticals, Inc. (a) | 40,749 | 268,536 | ||||||
Nymox Pharmaceutical Corp. (a) | 9,022 | 74,161 | ||||||
OncoGenex Pharmaceutical, Inc. (a) | 4,607 | 54,086 | ||||||
Oncothyreon, Inc. (a) | 19,722 | 149,493 | ||||||
Onyx Pharmaceuticals, Inc. (a) | 30,009 | 1,318,896 | ||||||
Opko Health, Inc. (a) | 51,573 | 252,708 | ||||||
Orexigen Therapeutics, Inc. (a) | 15,819 | 25,469 | ||||||
Osiris Therapeutics, Inc. (a) | 8,201 | 43,875 | ||||||
Pacific Biosciences of California, | 15,866 | 44,425 | ||||||
PDL BioPharma, Inc. | 66,353 | 411,389 | ||||||
Peregrine Pharmaceuticals, | 38,877 | 40,043 | ||||||
PharmAthene, Inc. (a)(b) | 18,525 | 23,527 | ||||||
Progenics Pharmaceuticals, | 13,911 | 118,800 | ||||||
Raptor Pharmaceutical Corp. (a) | 22,335 | 139,817 | ||||||
Rigel Pharmaceuticals, Inc. (a) | 32,599 | 257,206 | ||||||
RTI Biologics, Inc. (a) | 26,166 | 116,177 | ||||||
Sangamo Biosciences, Inc. (a) | 24,948 | 70,852 | ||||||
Savient Pharmaceuticals, Inc. (a) | 33,443 | 74,578 | ||||||
Seattle Genetics, Inc. (a) | 45,691 | 763,725 | ||||||
Sequenom, Inc. (a) | 46,918 | 208,785 | ||||||
Sucampo Pharmaceuticals, Inc., | 5,721 | 25,344 | ||||||
Sunesis Pharmaceuticals, Inc. (a) | 15,250 | 17,842 | ||||||
Synta Pharmaceuticals Corp. (a) | 10,853 | 50,684 | ||||||
Targacept, Inc. (a) | 12,893 | 71,814 | ||||||
Theravance, Inc. (a) | 32,665 | 721,896 | ||||||
Transcept Pharmaceuticals, | 2,688 | 21,047 | ||||||
Trius Therapeutics, Inc. (a) | 3,551 | 25,390 | ||||||
Vanda Pharmaceuticals, Inc. (a) | 13,196 | 62,813 | ||||||
ViroPharma, Inc. (a) | 33,516 | 918,003 | ||||||
Zalicus, Inc. (a)(b) | 35,119 | 42,494 | ||||||
ZIOPHARM Oncology, Inc. (a) | 27,753 | 122,391 | ||||||
|
| |||||||
19,671,513 | ||||||||
|
| |||||||
Building Materials – 0.9% | ||||||||
Acuity Brands, Inc. | 20,537 | 1,088,461 | ||||||
Builders FirstSource, Inc. (a) | 21,372 | 43,599 | ||||||
Gibraltar Industries, Inc. (a) | 14,402 | 201,052 | ||||||
Griffon Corp. | 22,622 | 206,539 | ||||||
Headwaters, Inc. (a) | 28,990 | 64,358 | ||||||
Louisiana-Pacific Corp. (a) | 62,589 | 505,093 | ||||||
LSI Industries, Inc. | 9,040 | 54,240 | ||||||
NCI Building Systems, Inc. (a) | 9,238 | 100,417 | ||||||
Quanex Building Products Corp. | 18,027 | 270,766 | ||||||
Simpson Manufacturing Co., Inc. | 19,715 | 663,607 | ||||||
Texas Industries, Inc. | 10,790 | 332,116 | ||||||
Trex Co., Inc. (a) | 7,373 | 168,915 | ||||||
Watsco, Inc. | 13,315 | 874,263 | ||||||
|
| |||||||
4,573,426 | ||||||||
|
|
See Notes to Financial Statements.
54 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
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. | 8,936 | $ | 183,099 | |||||
Comfort Systems USA, Inc. | 18,097 | 194,000 | ||||||
Interline Brands, Inc. (a) | 15,794 | 245,912 | ||||||
|
| |||||||
623,011 | ||||||||
|
| |||||||
Building: Roofing, Wallboard & Plumbing – 0.1% |
| |||||||
Beacon Roofing Supply, Inc. (a) | 21,793 | 440,872 | ||||||
USG Corp. (a) | 33,848 | 343,896 | ||||||
|
| |||||||
784,768 | ||||||||
|
| |||||||
Cable Television Services – 0.0% |
| |||||||
Knology, Inc. (a) | 14,221 | 201,938 | ||||||
|
| |||||||
Casinos & Gambling – 0.3% | ||||||||
Ameristar Casinos, Inc. | 15,206 | 262,912 | ||||||
Boyd Gaming Corp. (a) | 25,912 | 193,303 | ||||||
Isle of Capri Casinos, Inc. (a) | 9,331 | 43,576 | ||||||
Monarch Casino & Resort, Inc. (a) | 4,275 | 43,562 | ||||||
Multimedia Games Holding Co., Inc. (a) | 12,816 | 101,759 | ||||||
Pinnacle Entertainment, Inc. (a)(b) | 29,308 | 297,769 | ||||||
Scientific Games Corp., Class A (a) | 27,561 | 267,342 | ||||||
Shuffle Master, Inc. (a) | 25,648 | 300,595 | ||||||
|
| |||||||
1,510,818 | ||||||||
|
| |||||||
Cement – 0.1% |
| |||||||
Eagle Materials, Inc. | 21,110 | 541,683 | ||||||
|
| |||||||
Chemicals: Diversified – 0.9% | ||||||||
Aceto Corp. | 12,685 | 87,527 | ||||||
American Vanguard Corp. | 10,585 | 141,204 | ||||||
Chemtura Corp. (a) | 45,627 | 517,410 | ||||||
Georgia Gulf Corp. (a) | 16,099 | 313,770 | ||||||
Hawkins, Inc. | 4,122 | 151,937 | ||||||
Innophos Holdings, Inc. | 10,284 | 499,391 | ||||||
KMG Chemicals, Inc. | 3,276 | 56,577 | ||||||
Landec Corp. (a) | 12,333 | 68,078 | ||||||
LSB Industries, Inc. (a) | 8,711 | 244,169 | ||||||
Olin Corp. | 37,781 | 742,397 | ||||||
OM Group, Inc. (a) | 14,683 | 328,752 | ||||||
Omnova Solutions, Inc. (a) | 21,063 | 97,100 | ||||||
PolyOne Corp. | 44,255 | 511,145 | ||||||
Sensient Technologies Corp. | 23,737 | 899,632 | ||||||
TPC Group, Inc. (a)(b) | 6,280 | 146,512 | ||||||
|
| |||||||
4,805,601 | ||||||||
|
| |||||||
Chemicals: Specialty – 0.6% |
| |||||||
Balchem Corp. | 13,657 | 553,655 | ||||||
Calgon Carbon Corp. (a)(b) | 26,748 | 420,211 | ||||||
FutureFuel Corp. | 8,898 | 110,513 | ||||||
Innospec, Inc. (a) | 11,252 | 315,844 | ||||||
Kraton Performance Polymers, | 15,128 | 307,098 | ||||||
NewMarket Corp. | 4,269 | 845,731 | ||||||
Quaker Chemical Corp. | 6,093 | 236,957 | ||||||
Senomyx, Inc. (a) | 18,904 | 65,786 | ||||||
Stepan Co. | 3,833 | 307,253 | ||||||
Zep, Inc. | 10,420 | 145,672 | ||||||
|
| |||||||
3,308,720 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
Coal – 0.2% | ||||||||
Cloud Peak Energy, Inc. (a) | 28,842 | $ | 557,227 | |||||
Hallador Energy Co. | 1,890 | 18,768 | ||||||
James River Coal Co. (a) | 16,850 | 116,602 | ||||||
KiOR, Inc. (a)(b) | 5,344 | 54,402 | ||||||
L&L Energy, Inc. (a) | 10,867 | 28,145 | ||||||
Patriot Coal Corp. (a) | 43,300 | 366,751 | ||||||
Westmoreland Coal Co. (a) | 4,597 | 58,612 | ||||||
|
| |||||||
1,200,507 | ||||||||
|
| |||||||
Commercial Finance & Mortgage Companies – 0.1% |
| |||||||
Federal Agricultural Mortgage Corp., Class B | 4,712 | 84,910 | ||||||
Medallion Financial Corp. | 7,296 | 83,028 | ||||||
NewStar Financial, Inc. (a) | 13,163 | 133,868 | ||||||
Walker & Dunlop, Inc. (a) | 5,217 | 65,526 | ||||||
|
| |||||||
367,332 | ||||||||
|
| |||||||
Commercial Services: Rental & Leasing – 0.7% |
| |||||||
Aircastle Ltd. | 26,032 | 331,127 | ||||||
CAI International, Inc. (a) | 5,751 | 88,910 | ||||||
Electro Rent Corp. | 8,960 | 153,664 | ||||||
Essex Rental Corp. (a) | 8,437 | 24,889 | ||||||
H&E Equipment Services, Inc. (a) | 13,595 | 182,445 | ||||||
Marlin Business Services, Inc. | 4,181 | 53,099 | ||||||
McGrath RentCorp | 11,539 | 334,516 | ||||||
Mobile Mini, Inc. (a) | 17,414 | 303,874 | ||||||
PHH Corp. (a) | 26,657 | 285,230 | ||||||
RSC Holdings, Inc. (a) | 32,099 | 593,831 | ||||||
SeaCube Container Leasing Ltd. | 5,201 | 77,027 | ||||||
TAL International Group, Inc. | 10,420 | 299,992 | ||||||
United Rentals, Inc. (a) | 29,605 | 874,828 | ||||||
|
| |||||||
3,603,432 | ||||||||
|
| |||||||
Commercial Vehicles & Parts – 0.2% |
| |||||||
Accuride Corp. (a) | 19,181 | 136,569 | ||||||
Commercial Vehicle Group, Inc. (a) | 13,680 | 123,667 | ||||||
Miller Industries, Inc. | 5,264 | 82,803 | ||||||
Modine Manufacturing Co. (a) | 22,091 | 208,981 | ||||||
Rush Enterprises, Inc., Class A (a)(b) | 15,350 | 321,122 | ||||||
Spartan Motors, Inc. | 15,902 | 76,488 | ||||||
Wabash National Corp. (a) | 32,495 | 254,761 | ||||||
|
| |||||||
1,204,391 | ||||||||
|
| |||||||
Communications Technology – 2.3% |
| |||||||
AboveNet, Inc. (a) | 10,997 | 714,915 | ||||||
Adtran, Inc. | 30,645 | 924,253 | ||||||
Anaren, Inc. (a) | 7,125 | 118,418 | ||||||
Anixter International, Inc. (a) | 13,734 | 819,096 | ||||||
Aruba Networks, Inc. (a) | 40,444 | 749,023 | ||||||
Aviat Networks, Inc. (a) | 28,869 | 52,830 | ||||||
Bel Fuse, Inc. | 4,981 | 93,394 | ||||||
Black Box Corp. | 8,535 | 239,321 | ||||||
Calix, Inc. (a) | 17,910 | 115,878 | ||||||
Comtech Telecommunications Corp. | 9,616 | 275,210 | ||||||
Dialogic, Inc. (a) | 7,985 | 9,582 | ||||||
Digi International, Inc. (a)(b) | 12,034 | 134,299 | ||||||
DigitalGlobe, Inc. (a)(b) | 16,707 | 285,857 | ||||||
Echelon Corp. (a) | 16,496 | 80,336 | ||||||
Emulex Corp. (a) | 41,653 | 285,740 | ||||||
Extreme Networks, Inc. (a) | 43,809 | 127,922 | ||||||
Finisar Corp. (a) | 42,470 | 711,160 | ||||||
GeoEye, Inc. (a) | 10,462 | 232,466 | ||||||
Globecomm Systems, Inc. (a) | 10,616 | 145,227 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 55 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Communications Technology (concluded) |
| |||||||
GSI Technology, Inc. (a) | 10,035 | $ | 46,964 | |||||
Harmonic, Inc. (a) | 54,502 | 274,690 | ||||||
Infinera Corp. (a) | 49,540 | 311,111 | ||||||
InterDigital, Inc. | 21,483 | 936,014 | ||||||
Ixia (a)(b) | 18,338 | 192,732 | ||||||
KVH Industries, Inc. (a) | 6,918 | 53,822 | ||||||
Loral Space & Communications Ltd. (a) | 5,155 | 334,456 | ||||||
Meru Networks, Inc. (a) | 5,640 | 23,293 | ||||||
NeoPhotonics Corp. (a) | 4,439 | 20,331 | ||||||
NETGEAR, Inc. (a) | 17,357 | 582,675 | ||||||
Novatel Wireless, Inc. (a) | 14,979 | 46,884 | ||||||
Numerex Corp. (a) | 4,487 | 36,928 | ||||||
Oclaro, Inc. (a) | 23,691 | 66,809 | ||||||
Oplink Communications, Inc. (a) | 9,252 | 152,380 | ||||||
Plantronics, Inc. | 20,611 | 734,576 | ||||||
Procera Networks, Inc. (a) | 6,820 | 106,256 | ||||||
SeaChange International, Inc. (a) | 12,532 | 88,100 | ||||||
Shoretel, Inc. (a) | 22,395 | 142,880 | ||||||
Sonus Networks, Inc. (a) | 100,190 | 240,456 | ||||||
Sycamore Networks, Inc. (a) | 9,507 | 170,175 | ||||||
Tekelec (a)(b) | 29,249 | 319,692 | ||||||
TeleNav, Inc. (a) | 7,552 | 58,981 | ||||||
Viasat, Inc. (a) | 17,177 | 792,203 | ||||||
Westell Technologies, Inc., Class A (a) | 26,028 | 57,782 | ||||||
|
| |||||||
11,905,117 | ||||||||
|
| |||||||
Computer Services Software & Systems – 6.1% |
| |||||||
ACI Worldwide, Inc. (a)(c) | 15,817 | 452,999 | ||||||
The Active Network, Inc. (a) | 5,703 | 77,561 | ||||||
Actuate Corp. (a) | 18,315 | 107,326 | ||||||
Acxiom Corp. (a) | 38,502 | 470,109 | ||||||
American Reprographics Co. (a) | 17,682 | 81,160 | ||||||
American Software, Inc., Class A | 10,828 | 102,325 | ||||||
Aspen Technology, Inc. (a)(b) | 40,063 | 695,093 | ||||||
Avid Technology, Inc. (a)(b) | 14,055 | 119,889 | ||||||
Bankrate, Inc. (a) | 10,872 | 233,748 | ||||||
Blackbaud, Inc. | 21,106 | 584,636 | ||||||
Blue Coat Systems, Inc. (a) | 20,622 | 524,830 | ||||||
Bottomline Technologies, Inc. (a) | 17,015 | 394,238 | ||||||
BroadSoft, Inc. (a) | 10,685 | 322,687 | ||||||
CACI International, Inc., | 12,476 | 697,658 | ||||||
Callidus Software, Inc. (a) | 14,234 | 91,382 | ||||||
Ciber, Inc. (a)(b) | 30,256 | 116,788 | ||||||
CommVault Systems, Inc. (a) | 20,857 | 891,011 | ||||||
Computer Task Group, Inc. (a) | 7,187 | 101,193 | ||||||
ComScore, Inc. (a) | 15,107 | 320,268 | ||||||
Concur Technologies, Inc. (a) | 21,148 | 1,074,107 | ||||||
Convio, Inc. (a) | 5,542 | 61,295 | ||||||
Cornerstone OnDemand, Inc. (a) | 5,360 | 97,766 | ||||||
CSG Systems International, | 16,392 | 241,126 | ||||||
DealerTrack Holdings, | 19,483 | 531,107 | ||||||
Deltek, Inc. (a)(b) | 10,549 | 103,591 | ||||||
Demand Media, Inc. (a) | 4,024 | 26,760 | ||||||
DemandTec, Inc. (a) | 15,307 | 201,593 | ||||||
Digimarc Corp. (a) | 2,939 | 70,213 | ||||||
Digital River, Inc. (a) | 17,682 | 265,584 | ||||||
DynaVox, Inc., Class A (a) | 4,834 | 17,596 | ||||||
EarthLink, Inc. | 52,039 | 335,131 | ||||||
Ebix, Inc. | 13,662 | 301,930 | ||||||
Envestnet, Inc. (a) | 9,172 | 109,697 | ||||||
EPIQ Systems, Inc. | 14,859 | 178,605 |
Common Stocks | Shares | Value | ||||||
Computer Services Software & Systems (continued) |
| |||||||
ePlus, Inc. (a) | 1,831 | $ | 51,781 | |||||
FalconStor Software, Inc. (a) | 14,017 | 36,164 | ||||||
FriendFinder Networks, Inc. (a) | 3,035 | 2,276 | ||||||
Guidance Software, Inc. (a) | 6,830 | 44,258 | ||||||
ICG Group, Inc. (a) | 17,563 | 135,586 | ||||||
iGate Corp. (a) | 14,715 | 231,467 | ||||||
Imperva, Inc. (a) | 2,735 | 95,205 | ||||||
Infospace, Inc. (a) | 18,547 | 203,832 | ||||||
Interactive Intelligence Group, | 6,757 | 154,870 | ||||||
Internap Network Services | 24,809 | 147,365 | ||||||
IntraLinks Holdings, Inc. (a) | 15,188 | 94,773 | ||||||
JDA Software Group, Inc. (a) | 20,039 | 649,063 | ||||||
Kenexa Corp. (a) | 12,527 | 334,471 | ||||||
Keynote Systems, Inc. | 6,942 | 142,589 | ||||||
The KEYW Holding Corp. (a) | 8,656 | 64,054 | ||||||
KIT Digital, Inc. (a)(b) | 18,191 | 153,714 | ||||||
Limelight Networks, Inc. (a) | 32,208 | 95,336 | ||||||
Lionbridge Technologies, Inc. (a) | 29,524 | 67,610 | ||||||
LivePerson, Inc. (a) | 24,920 | 312,746 | ||||||
LogMeIn, Inc. (a) | 9,635 | 371,429 | ||||||
Magma Design Automation, | 31,676 | 227,434 | ||||||
Manhattan Associates, Inc. (a) | 9,674 | 391,604 | ||||||
Mantech International Corp., Class A | 11,024 | 344,390 | ||||||
Mentor Graphics Corp. (a) | 45,617 | 618,567 | ||||||
Mercury Computer Systems, Inc. (a) | 14,333 | 190,486 | ||||||
MicroStrategy, Inc., Class A (a) | 3,783 | 409,775 | ||||||
Moduslink Global Solutions, Inc. | 20,698 | 111,769 | ||||||
Monotype Imaging Holdings, | 16,949 | 264,235 | ||||||
Motricity, Inc. (a) | 19,184 | 17,266 | ||||||
NCI, Inc., Class A (a) | 3,213 | 37,431 | ||||||
NetScout Systems, Inc. (a) | 17,728 | 312,013 | ||||||
NetSuite, Inc. (a) | 12,895 | 522,892 | ||||||
NIC, Inc. | 30,289 | 403,147 | ||||||
OpenTable, Inc. (a)(b) | 11,141 | 435,947 | ||||||
Openwave Systems, Inc. (a) | 40,665 | 64,251 | ||||||
Opnet Technologies, Inc. | 6,825 | 250,273 | ||||||
Parametric Technology Corp. (a) | 56,455 | 1,030,868 | ||||||
PDF Solutions, Inc. (a) | 11,144 | 77,674 | ||||||
Pegasystems, Inc. | 7,875 | 231,525 | ||||||
Perficient, Inc. (a)(b) | 11,480 | 114,915 | ||||||
Progress Software Corp. (a) | 31,765 | 614,653 | ||||||
PROS Holdings, Inc. (a) | 10,219 | 152,059 | ||||||
QAD, Inc. (a) | 3,165 | 33,232 | ||||||
QLIK Technologies, Inc. (a) | 33,352 | 807,118 | ||||||
Quepasa Corp. (a)(b) | 3,821 | 12,686 | ||||||
Quest Software, Inc. (a) | 26,894 | 500,228 | ||||||
RealNetworks, Inc. | 9,829 | 73,717 | ||||||
RealPage, Inc. (a) | 14,370 | 363,130 | ||||||
Responsys, Inc. (a) | 4,229 | 37,596 | ||||||
RightNow Technologies, Inc. (a) | 11,662 | 498,317 | ||||||
Saba Software, Inc. (a) | 13,390 | 105,647 | ||||||
Sapient Corp. | 51,795 | 652,617 | ||||||
SciQuest, Inc. (a) | 5,946 | 84,849 | ||||||
Smith Micro Software, Inc. (a) | 18,591 | 21,008 | ||||||
SolarWinds, Inc. (a) | 26,986 | 754,259 | ||||||
Sourcefire, Inc. (a) | 13,459 | 435,802 | ||||||
SPS Commerce, Inc. (a) | 3,980 | 103,281 | ||||||
SS&C Technologies Holdings, | 11,931 | 215,474 | ||||||
SuccessFactors, Inc. (a) | 39,517 | 1,575,543 | ||||||
Support.com, Inc. (a) | 22,615 | 50,884 | ||||||
Synchronoss Technologies, Inc. (a) | 12,524 | 378,350 |
See Notes to Financial Statements.
56 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Computer Services Software & Systems (concluded) |
| |||||||
SYNNEX Corp. (a) | 11,869 | $ | 361,530 | |||||
Syntel, Inc. | 7,305 | 341,655 | ||||||
Taleo Corp., Class A (a) | 19,450 | 752,520 | ||||||
Tangoe, Inc. (a) | 4,772 | 73,489 | ||||||
TechTarget, Inc. (a) | 7,257 | 42,381 | ||||||
TeleCommunication Systems, Inc., | 21,452 | 50,412 | ||||||
TNS, Inc. (a)(b) | 12,035 | 213,260 | ||||||
Tyler Technologies, Inc. (a) | 14,063 | 423,437 | ||||||
Ultimate Software Group, Inc. (a) | 12,234 | 796,678 | ||||||
Unisys Corp. (a) | 20,420 | 402,478 | ||||||
United Online, Inc. | 42,036 | 228,676 | ||||||
VASCO Data Security International, Inc. (a) | 12,601 | 82,159 | ||||||
Verint Systems, Inc. (a) | 10,021 | 275,978 | ||||||
VirnetX Holding Corp. (a)(b) | 19,300 | 481,921 | ||||||
Virtusa Corp. (a) | 7,196 | 104,198 | ||||||
Wave Systems Corp., | 38,544 | 83,640 | ||||||
Web.Com Group, Inc. (a) | 13,766 | 157,621 | ||||||
Websense, Inc. (a) | 18,929 | 354,540 | ||||||
Zillow, Inc. (a)(b) | 1,856 | 41,723 | ||||||
Zix Corp. (a) | 31,609 | 89,137 | ||||||
|
| |||||||
32,273,936 | ||||||||
|
| |||||||
Computer Technology – 0.6% |
| |||||||
Cray, Inc. (a) | 17,225 | 111,446 | ||||||
Dot Hill Systems Corp. (a) | 28,725 | 38,204 | ||||||
Dynamics Research Corp. (a) | 4,341 | 49,227 | ||||||
Identive Group, Inc. (a) | 17,865 | 39,839 | ||||||
Imation Corp. (a) | 14,003 | 80,237 | ||||||
Immersion Corp. (a) | 13,595 | 70,422 | ||||||
Insight Enterprises, Inc. (a) | 20,783 | 317,772 | ||||||
Intermec, Inc. (a) | 28,245 | 193,761 | ||||||
OCZ Technology Group, | 24,417 | 161,396 | ||||||
PC Connection, Inc. | 4,240 | 47,022 | ||||||
Quantum Corp. (a)(b) | 107,063 | 256,951 | ||||||
Radisys Corp. (a) | 9,084 | 45,965 | ||||||
Rimage Corp. | 4,334 | 48,758 | ||||||
Safeguard Scientifics, Inc. (a) | 9,786 | 154,521 | ||||||
Silicon Graphics International | 14,717 | 168,657 | ||||||
STEC, Inc. (a) | 17,477 | 150,127 | ||||||
Stratasys, Inc. (a) | 10,039 | 305,286 | ||||||
Super Micro Computer, | 12,754 | 199,983 | ||||||
Synaptics, Inc. (a) | 15,242 | 459,546 | ||||||
Xyratex Ltd. | 13,453 | 179,194 | ||||||
|
| |||||||
3,078,314 | ||||||||
|
| |||||||
Construction – 0.4% |
| |||||||
Aegion Corp. (a) | 18,778 | 288,055 | ||||||
EMCOR Group, Inc. | 31,693 | 849,689 | ||||||
Granite Construction, Inc. | 18,340 | 435,025 | ||||||
Great Lakes Dredge & Dock Corp. | 28,057 | 155,997 | ||||||
Orion Marine Group, Inc. (a) | 12,922 | 85,931 | ||||||
Primoris Services Corp. | 12,693 | 189,506 | ||||||
Sterling Construction Co., | 7,801 | 84,017 | ||||||
Tutor Perini Corp. (a) | 14,835 | 183,064 | ||||||
|
| |||||||
2,271,284 | ||||||||
|
| |||||||
Consumer Electronics – 0.2% |
| |||||||
RealD, Inc. (a) | 19,562 | 155,322 | ||||||
Skullcandy, Inc. (a)(b) | 4,396 | 55,038 | ||||||
TiVo, Inc. (a)(b) | 56,430 | 506,177 | ||||||
Universal Electronics, | 7,133 | 120,334 |
Common Stocks | Shares | Value | ||||||
Consumer Electronics (concluded) |
| |||||||
VOXX International Corp. (a) | 8,683 | $ | 73,371 | |||||
XO Group, Inc. (a) | 13,531 | 112,849 | ||||||
Zagg, Inc. (a)(b) | 10,337 | 73,083 | ||||||
|
| |||||||
1,096,174 | ||||||||
|
| |||||||
Consumer Lending – 0.8% |
| |||||||
Advance America, Cash Advance Centers, Inc. | 26,449 | 236,719 | ||||||
Cash America International, Inc. | 13,996 | 652,633 | ||||||
Credit Acceptance Corp. (a) | 3,203 | 263,543 | ||||||
Encore Capital Group, Inc. (a) | 7,752 | 164,807 | ||||||
Ezcorp, Inc. (a) | 22,360 | 589,633 | ||||||
First Cash Financial Services, | 14,932 | 523,964 | ||||||
The First Marblehead Corp. (a) | 26,647 | 31,177 | ||||||
Imperial Holdings, Inc. (a) | 9,011 | 16,941 | ||||||
MGIC Investment Corp. (a) | 89,132 | 332,462 | ||||||
MoneyGram International, | 5,083 | 90,223 | ||||||
Nelnet, Inc., Class A | 12,337 | 301,886 | ||||||
Netspend Holdings, Inc. (a) | 12,805 | 103,849 | ||||||
Nicholas Financial, Inc. | 4,794 | 61,459 | ||||||
Portfolio Recovery Associates, Inc. (a)(b) | 8,159 | 550,896 | ||||||
World Acceptance Corp. (a) | 7,172 | 527,142 | ||||||
|
| |||||||
4,447,334 | ||||||||
|
| |||||||
Consumer Services: Miscellaneous – 0.5% |
| |||||||
Ancestry.com, Inc. (a) | 14,983 | 344,010 | ||||||
Coinstar, Inc. (a)(b) | 14,849 | 677,708 | ||||||
Core-Mark Holdings Co., Inc. | 5,369 | 212,613 | ||||||
Move, Inc. (a) | 18,840 | 119,069 | ||||||
NutriSystem, Inc. | 12,826 | 165,840 | ||||||
Sotheby’s, Class A | 32,021 | 913,559 | ||||||
Steiner Leisure Ltd. (a) | 7,123 | 323,313 | ||||||
|
| |||||||
2,756,112 | ||||||||
|
| |||||||
Containers & Packaging – 0.1% |
| |||||||
AEP Industries, Inc. (a) | 2,035 | 57,285 | ||||||
Graphic Packaging Holding | 75,722 | 322,576 | ||||||
Myers Industries, Inc. | 14,210 | 175,351 | ||||||
|
| |||||||
555,212 | ||||||||
|
| |||||||
Copper – 0.0% |
| |||||||
Revett Minerals, Inc. (a) | 11,474 | 54,157 | ||||||
|
| |||||||
Cosmetics – 0.1% | ||||||||
Elizabeth Arden, Inc. (a)(b) | 11,589 | 429,257 | ||||||
Inter Parfums, Inc. | 7,716 | 120,061 | ||||||
Revlon, Inc., Class A (a) | 5,183 | 77,071 | ||||||
|
| |||||||
626,389 | ||||||||
|
| |||||||
Diversified Financial Services – 0.5% |
| |||||||
California First National Bancorp | 748 | 12,028 | ||||||
DFC Global Corp. (a) | 20,690 | 373,661 | ||||||
Duff & Phelps Corp. | 14,556 | 211,062 | ||||||
Edelman Financial Group, Inc. | 9,526 | 62,586 | ||||||
Evercore Partners, Inc., Class A | 9,972 | 265,455 | ||||||
FBR & Co. (a) | 22,110 | 45,325 | ||||||
Fidus Investment Corp. | 2,247 | 29,144 | ||||||
Gleacher & Co., Inc. (a) | 33,671 | 56,567 | ||||||
Intersections, Inc. | 4,528 | 50,215 | ||||||
Main Street Capital Corp. | 10,768 | 228,712 | ||||||
Piper Jaffray Cos. (a) | 7,480 | 151,096 | ||||||
Stifel Financial Corp. (a)(b) | 25,457 | 815,897 | ||||||
Triangle Capital Corp. | 10,488 | 200,531 | ||||||
|
| |||||||
2,502,279 | ||||||||
|
|
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 57 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Diversified Manufacturing Operations – 0.4% |
| |||||||
A.M. Castle & Co. (a) | 7,685 | $ | 72,700 | |||||
Barnes Group, Inc. | 25,822 | 622,568 | ||||||
Federal Signal Corp. (a) | 29,432 | 122,143 | ||||||
Lydall, Inc. (a) | 8,147 | 77,315 | ||||||
OSI Systems, Inc. (a) | 9,027 | 440,337 | ||||||
Raven Industries, Inc. | 8,572 | 530,607 | ||||||
Standex International Corp. | 5,924 | 202,423 | ||||||
Trimas Corp. (a)(b) | 12,109 | 217,357 | ||||||
|
| |||||||
2,285,450 | ||||||||
|
| |||||||
Diversified Materials & Processing – 0.9% |
| |||||||
Belden, Inc. | 22,456 | 747,336 | ||||||
Cabot Microelectronics Corp. (a) | 11,139 | 526,318 | ||||||
Clarcor, Inc. | 23,877 | 1,193,611 | ||||||
Encore Wire Corp. | 8,804 | 228,024 | ||||||
Harbinger Group, Inc. (a) | 3,798 | 15,230 | ||||||
Hexcel Corp. (a)(b) | 46,405 | 1,123,465 | ||||||
Insteel Industries, Inc. | 8,191 | 90,019 | ||||||
Koppers Holdings, Inc. | 9,762 | 335,422 | ||||||
NL Industries, Inc. | 3,389 | 43,955 | ||||||
Tredegar Corp. | 11,341 | 251,997 | ||||||
Uranium Energy Corp. (a)(b) | 36,447 | 111,528 | ||||||
|
| |||||||
4,666,905 | ||||||||
|
| |||||||
Diversified Media – 0.1% |
| |||||||
Belo Corp., Class A | 43,892 | 276,520 | ||||||
EW Scripps Co. (a) | 14,938 | 119,653 | ||||||
|
| |||||||
396,173 | ||||||||
|
| |||||||
Diversified Retail – 0.5% |
| |||||||
99 Cents Only Stores (a) | 22,157 | 486,346 | ||||||
The Bon-Ton Stores, Inc. | 6,149 | 20,722 | ||||||
Fred’s, Inc. | 17,534 | 255,646 | ||||||
Geeknet, Inc. (a) | 2,182 | 37,203 | ||||||
Gordmans Stores, Inc. (a) | 2,697 | 33,901 | ||||||
HSN, Inc. | 18,931 | 686,438 | ||||||
Overstock.com, Inc. (a) | 5,374 | 42,132 | ||||||
PriceSmart, Inc. | 8,418 | 585,809 | ||||||
Saks, Inc. (a) | 54,655 | 532,886 | ||||||
Tuesday Morning Corp. (a) | 20,424 | 70,463 | ||||||
ValueVision Media, Inc., Class A (a) | 18,625 | 35,015 | ||||||
Winmark Corp. | 1,041 | 59,722 | ||||||
|
| |||||||
2,846,283 | ||||||||
|
| |||||||
Drug & Grocery Store Chains – 0.9% |
| |||||||
Arden Group, Inc., Class A | 552 | 49,686 | ||||||
Casey’s General Stores, Inc. | 18,001 | 927,231 | ||||||
The Fresh Market, Inc. (a) | 13,348 | 532,585 | ||||||
GNC Holdings, Inc. (a) | 10,812 | 313,007 | ||||||
Ingles Markets, Inc., Class A | 5,792 | 87,228 | ||||||
Nash Finch Co. | 5,726 | 167,657 | ||||||
The Pantry, Inc. (a) | 10,871 | 130,126 | ||||||
PetMed Express, Inc. | 9,710 | 100,790 | ||||||
Rite Aid Corp. (a) | 279,057 | 351,612 | ||||||
Ruddick Corp. | 23,311 | 993,981 | ||||||
Spartan Stores, Inc. | 10,711 | 198,153 | ||||||
Susser Holdings Corp. (a) | 4,438 | 100,388 | ||||||
Village Super Market, Inc., Class A | 3,020 | 85,919 | ||||||
Weis Markets, Inc. | 5,278 | 210,803 | ||||||
Winn-Dixie Stores, Inc. (a) | 26,513 | 248,692 | ||||||
|
| |||||||
4,497,858 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
Education Services – 0.5% |
| |||||||
Ambassadors Group, Inc. | 8,473 | $ | 38,213 | |||||
American Public Education, Inc. (a) | 8,462 | 366,235 | ||||||
Archipelago Learning, Inc. (a)(b) | 6,056 | 58,562 | ||||||
Bridgepoint Education, Inc. (a)(b) | 8,469 | 194,787 | ||||||
Cambium Learning Group, | 7,733 | 23,354 | ||||||
Capella Education Co. (a) | 6,860 | 247,303 | ||||||
Corinthian Colleges, Inc. (a) | 37,719 | 81,850 | ||||||
Franklin Covey Co. (a) | 6,113 | 51,777 | ||||||
Grand Canyon Education, Inc. (a) | 13,564 | 216,481 | ||||||
HealthStream, Inc. (a) | 8,588 | 158,449 | ||||||
K12, Inc. (a) | 12,316 | 220,949 | ||||||
Lincoln Educational Services Corp. | 10,581 | 83,590 | ||||||
National American University Holdings, Inc. | 4,580 | 34,716 | ||||||
Rosetta Stone, Inc. (a)(b) | 5,080 | 38,760 | ||||||
School Specialty, Inc. (a) | 8,243 | 20,608 | ||||||
Strayer Education, Inc. | 5,808 | 564,480 | ||||||
Universal Technical Institute, | 10,127 | 129,423 | ||||||
|
| |||||||
2,529,537 | ||||||||
|
| |||||||
Electronic Components – 0.7% |
| |||||||
3D Systems Corp. (a) | 19,872 | 286,157 | ||||||
Acacia Research – Acacia Technologies (a) | 20,254 | 739,473 | ||||||
Checkpoint Systems, Inc. (a) | 19,037 | 208,265 | ||||||
DDi Corp. | 7,096 | 66,206 | ||||||
InvenSense, Inc. (a) | 4,973 | 49,531 | ||||||
Kemet Corp. (a) | 20,986 | 147,951 | ||||||
LeCroy Corp. (a) | 7,724 | 64,959 | ||||||
Methode Electronics, Inc. | 17,593 | 145,846 | ||||||
Microvision, Inc. (a) | 56,035 | 20,178 | ||||||
Multi-Fineline Electronix, Inc. (a) | 4,198 | 86,269 | ||||||
NVE Corp. (a) | 2,245 | 124,665 | ||||||
Park Electrochemical Corp. | 9,856 | 252,511 | ||||||
Pulse Electronics Corp. | 19,580 | 54,824 | ||||||
Rogers Corp. (a) | 7,560 | 278,661 | ||||||
ScanSource, Inc. (a) | 12,795 | 460,620 | ||||||
TTM Technologies, Inc. (a)(b) | 24,623 | 269,868 | ||||||
Universal Display Corp. (a)(b) | 18,220 | 668,492 | ||||||
Viasystems Group, Inc. (a) | 1,439 | 24,348 | ||||||
|
| |||||||
3,948,824 | ||||||||
|
| |||||||
Electronic Entertainment – 0.2% |
| |||||||
DTS, Inc. (a) | 8,252 | 224,784 | ||||||
Glu Mobile, Inc. (a)(b) | 22,231 | 69,805 | ||||||
Take-Two Interactive Software, Inc. (a) | 34,807 | 471,635 | ||||||
THQ, Inc. (a) | 33,039 | 25,110 | ||||||
|
| |||||||
791,334 | ||||||||
|
| |||||||
Electronics – 0.5% |
| |||||||
Agilysys, Inc. (a) | 8,745 | 69,523 | ||||||
American Science & Engineering, Inc. | 4,292 | 292,328 | ||||||
Coherent, Inc. (a) | 11,171 | 583,908 | ||||||
Daktronics, Inc. | 16,567 | 158,546 | ||||||
II-VI, Inc. (a)(b) | 24,531 | 450,389 | ||||||
iRobot Corp. (a) | 11,264 | 336,230 | ||||||
Newport Corp. (a) | 17,763 | 241,755 | ||||||
Richardson Electronics Ltd. | 6,507 | 79,971 | ||||||
Rofin-Sinar Technologies, Inc. (a) | 13,494 | 308,338 | ||||||
SRS Labs, Inc. (a) | 5,970 | 34,328 | ||||||
|
| |||||||
2,555,316 | ||||||||
|
|
See Notes to Financial Statements.
58 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Energy Equipment – 0.1% |
| |||||||
C&J Energy Services, Inc. (a) | 5,637 | $ | 117,982 | |||||
Capstone Turbine Corp. (a)(b) | 116,980 | 135,697 | ||||||
FuelCell Energy, Inc. (a) | 60,604 | 52,847 | ||||||
PowerSecure International, Inc. (a) | 8,655 | 42,842 | ||||||
STR Holdings, Inc. (a)(b) | 14,354 | 118,134 | ||||||
|
| |||||||
467,502 | ||||||||
|
| |||||||
Engineering & Contracting Services – 0.5% |
| |||||||
Argan, Inc. | 3,614 | 54,969 | ||||||
Dycom Industries, Inc. (a) | 16,707 | 349,510 | ||||||
Exponent, Inc. (a) | 6,266 | 288,048 | ||||||
Furmamite Corp. (a)(b) | 17,702 | 111,700 | ||||||
Hill International, Inc. (a) | 11,825 | 60,781 | ||||||
Layne Christensen Co. (a) | 9,302 | 225,108 | ||||||
Mastec, Inc. (a)(b) | 26,858 | 466,523 | ||||||
Michael Baker Corp. (a) | 3,914 | 76,754 | ||||||
Mistras Group, Inc. (a) | 6,974 | 177,767 | ||||||
MYR Group, Inc. (a) | 9,556 | 182,902 | ||||||
Tetra Tech, Inc. (a) | 29,561 | 638,222 | ||||||
UniTek Global Services, Inc. (a) | 5,345 | 24,213 | ||||||
VSE Corp. | 1,973 | 47,904 | ||||||
|
| |||||||
2,704,401 | ||||||||
|
| |||||||
Entertainment – 0.4% |
| |||||||
Ascent Capital Group, Inc., Class A (a)(b) | 6,776 | 343,679 | ||||||
Cinemark Holdings, Inc. | 44,025 | 814,022 | ||||||
Lions Gate Entertainment | 21,300 | 177,216 | ||||||
Live Nation Entertainment, | 66,892 | 555,873 | ||||||
Rentrak Corp. (a) | 4,526 | 64,631 | ||||||
World Wrestling Entertainment, Inc. | 13,062 | 121,738 | ||||||
|
| |||||||
2,077,159 | ||||||||
|
| |||||||
Environmental, Maintenance, & Security Service – 0.7% |
| |||||||
ABM Industries, Inc. | 25,134 | 518,263 | ||||||
The Brink’s Co. | 22,125 | 594,720 | ||||||
G&K Services, Inc., Class A | 8,860 | 257,915 | ||||||
The Geo Group, Inc. (a) | 30,686 | 513,991 | ||||||
Healthcare Services Group, Inc. | 31,492 | 557,093 | ||||||
Mac-Gray Corp. | 5,780 | 79,706 | ||||||
Rollins, Inc. | 30,136 | 669,622 | ||||||
Standard Parking Corp. (a)(b) | 7,452 | 133,167 | ||||||
Swisher Hygiene, Inc. (a) | 40,256 | 150,557 | ||||||
Unifirst Corp. | 6,701 | 380,215 | ||||||
|
| |||||||
3,855,249 | ||||||||
|
| |||||||
Fertilizers – 0.0% |
| |||||||
Rentech, Inc. (a) | 60,976 | 79,879 | ||||||
|
| |||||||
Financial Data & Systems – 1.0% |
| |||||||
Advent Software, Inc. (a) | 15,559 | 379,017 | ||||||
Cardtronics, Inc. (a) | 20,390 | 551,754 | ||||||
Cass Information Systems, Inc. | 4,395 | 159,934 | ||||||
Euronet Worldwide, Inc. (a) | 24,259 | 448,306 | ||||||
Fair Isaac Corp. | 16,911 | 606,090 | ||||||
Global Cash Access, Inc. (a) | 14,592 | 64,935 | ||||||
Heartland Payment Systems, Inc. | 18,248 | 444,521 | ||||||
Higher One Holdings, Inc. (a)(b) | 14,494 | 267,269 | ||||||
Jack Henry & Associates, Inc. | 40,893 | 1,374,414 | ||||||
S1 Corp. (a) | 26,518 | 253,777 | ||||||
Wright Express Corp. (a)(b) | 18,299 | 993,270 | ||||||
|
| |||||||
5,543,287 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
Foods – 1.2% |
| |||||||
B&G Foods, Inc., Class A | 22,720 | $ | 546,870 | |||||
The Chefs’ Warehouse, Inc. (a) | 4,851 | 86,639 | ||||||
Chiquita Brands International, Inc. (a) | 21,500 | 179,310 | ||||||
Diamond Foods, Inc. (b) | 10,405 | 335,769 | ||||||
Dole Food Co., Inc. (a)(b) | 16,959 | 146,695 | ||||||
Hain Celestial Group, Inc. (a) | 16,964 | 621,900 | ||||||
J&J Snack Foods Corp. | 6,785 | 361,505 | ||||||
Lancaster Colony Corp. | 8,875 | 615,393 | ||||||
Lifeway Foods, Inc. (a) | 2,168 | 20,900 | ||||||
Medifast, Inc. (a)(b) | 6,526 | 89,537 | ||||||
Natures Sunshine Prods, | 5,336 | 82,815 | ||||||
Nutraceutical International | 4,321 | 48,914 | ||||||
Omega Protein Corp. (a) | 9,091 | 64,819 | ||||||
Schiff Nutrition International, | 5,693 | 60,915 | ||||||
Seneca Foods Corp. (a) | 4,368 | 112,782 | ||||||
Smart Balance, Inc. (a)(b) | 28,204 | 151,173 | ||||||
Snyders-Lance, Inc. | 22,408 | 504,180 | ||||||
Synutra International, Inc. (a)(b) | 8,141 | 41,193 | ||||||
Tootsie Roll Industries, Inc. | 11,318 | 267,897 | ||||||
TreeHouse Foods, Inc. (a) | 16,803 | 1,098,580 | ||||||
United Natural Foods, Inc. (a)(b) | 22,903 | 916,349 | ||||||
|
| |||||||
6,354,135 | ||||||||
|
| |||||||
Forest Products – 0.1% |
| |||||||
Deltic Timber Corp. | 5,102 | 308,110 | ||||||
Universal Forest Products, Inc. | 9,235 | 285,084 | ||||||
|
| |||||||
593,194 | ||||||||
|
| |||||||
Forms & Bulk Printing Services – 0.3% |
| |||||||
Consolidated Graphics, Inc. (a) | 3,997 | 192,975 | ||||||
Deluxe Corp. | 24,380 | 554,889 | ||||||
Ennis, Inc. | 12,397 | 165,252 | ||||||
Innerworkings, Inc. (a) | 12,211 | 113,685 | ||||||
Multi-Color Corp. | 5,395 | 138,813 | ||||||
Quad/Graphics, Inc. | 11,953 | 171,406 | ||||||
Schawk, Inc. | 5,492 | 61,565 | ||||||
|
| |||||||
1,398,585 | ||||||||
|
| |||||||
Fruit & Grain Processing – 0.0% |
| |||||||
MGP Ingredients, Inc. | 5,933 | 29,902 | ||||||
|
| |||||||
Funeral Parlors & Cemeteries – 0.2% |
| |||||||
Hillenbrand, Inc. | 29,712 | 663,172 | ||||||
Matthews International Corp., Class A | 13,983 | 439,485 | ||||||
Stewart Enterprises, Inc., Class A | 37,517 | 216,098 | ||||||
|
| |||||||
1,318,755 | ||||||||
|
| |||||||
Gas Pipeline – 0.1% |
| |||||||
Crosstex Energy, Inc. | 19,431 | 245,608 | ||||||
SemGroup Corp. (a)(b) | 19,777 | 515,388 | ||||||
|
| |||||||
760,996 | ||||||||
|
| |||||||
Glass – 0.0% |
| |||||||
Apogee Enterprises, Inc. | 13,399 | 164,272 | ||||||
|
| |||||||
Gold – 0.4% |
| |||||||
Coeur d’Alene Mines Corp. (a) | 42,408 | 1,023,729 | ||||||
Gold Resource Corp. | 13,460 | 286,025 | ||||||
Golden Star Resources Ltd. (a)(b) | 122,752 | 202,541 | ||||||
Jaguar Mining, Inc. (a)(b) | 39,992 | 255,149 | ||||||
Midway Gold Corp. (a) | 40,597 | 85,660 | ||||||
U.S. Gold Corp. (a) | 49,992 | 167,973 | ||||||
Vista Gold Corp. (a) | 33,160 | 101,801 | ||||||
|
| |||||||
2,122,878 | ||||||||
|
|
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 59 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Health Care Facilities – 0.6% |
| |||||||
Amsurg Corp. (a) | 14,801 | $ | 385,418 | |||||
Assisted Living Concepts, Inc. | 9,281 | 138,194 | ||||||
Capital Senior Living Corp. (a) | 12,922 | 102,601 | ||||||
Emeritus Corp. (a) | 14,469 | 253,352 | ||||||
The Ensign Group, Inc. | 7,718 | 189,091 | ||||||
Five Star Quality Care, Inc. (a) | 19,302 | 57,906 | ||||||
Hanger Orthopedic Group, Inc. (a) | 15,856 | 296,349 | ||||||
HealthSouth Corp. (a) | 45,064 | 796,281 | ||||||
Kindred Healthcare, Inc. (a)(b) | 24,649 | 290,119 | ||||||
National Healthcare Corp. | 4,865 | 203,843 | ||||||
Select Medical Holdings | 21,240 | 180,115 | ||||||
Skilled Healthcare Group, Inc., Class A (a) | 8,991 | 49,091 | ||||||
Sunrise Senior Living, Inc. (a) | 27,289 | 176,833 | ||||||
US Physical Therapy, Inc. | 5,563 | 109,480 | ||||||
Vanguard Health Systems, Inc. (a) | 14,470 | 147,883 | ||||||
|
| |||||||
3,376,556 | ||||||||
|
| |||||||
Health Care Management Services – 1.1% |
| |||||||
American Dental Partners, Inc. (a) | 7,275 | 136,988 | ||||||
Bioscript, Inc. (a) | 19,292 | 105,334 | ||||||
Centene Corp. (a) | 23,701 | 938,323 | ||||||
Computer Programs & Systems, Inc. | 5,248 | 268,225 | ||||||
HealthSpring, Inc. (a) | 32,105 | 1,751,007 | ||||||
Magellan Health Services, Inc. (a) | 13,463 | 666,015 | ||||||
Metropolitan Health Networks, Inc. (a) | 20,140 | 150,446 | ||||||
Molina Healthcare, Inc. (a)(b) | 13,303 | 297,056 | ||||||
National Research Corp. | 821 | 31,863 | ||||||
Triple-S Management Corp. (a) | 9,321 | 186,606 | ||||||
Universal American Corp. | 15,309 | 194,577 | ||||||
WellCare Health Plans, Inc. (a) | 20,166 | 1,058,715 | ||||||
|
| |||||||
5,785,155 | ||||||||
|
| |||||||
Health Care Services – 1.4% |
| |||||||
Accretive Health, Inc. (a)(b) | 18,956 | 435,609 | ||||||
Air Methods Corp. (a) | 5,365 | 453,074 | ||||||
Alliance Healthcare Services, Inc. (a) | 12,487 | 15,734 | ||||||
Almost Family, Inc. (a) | 4,000 | 66,320 | ||||||
Amedisys, Inc. (a) | 13,985 | 152,576 | ||||||
AMN Healthcare Services, Inc. (a) | 18,439 | 81,685 | ||||||
athenahealth, Inc. (a) | 16,510 | 810,971 | ||||||
CardioNet, Inc. (a) | 12,314 | 29,184 | ||||||
Chemed Corp. | 9,400 | 481,374 | ||||||
Chindex International, Inc. (a) | 5,206 | 44,355 | ||||||
Corvel Corp. (a)(b) | 3,006 | 155,440 | ||||||
Cross Country Healthcare, Inc. (a) | 13,175 | 73,121 | ||||||
ePocrates, Inc. (a) | 3,229 | 25,186 | ||||||
ExamWorks Group, Inc. (a) | 12,860 | 121,913 | ||||||
Gentiva Health Services, Inc. (a) | 14,662 | 98,969 | ||||||
Healthways, Inc. (a) | 16,153 | 110,810 | ||||||
HMS Holdings Corp. (a) | 40,142 | 1,283,741 | ||||||
IPC The Hospitalist Co., | 7,750 | 354,330 | ||||||
LHC Group, Inc. (a) | 7,498 | 96,199 | ||||||
Medidata Solutions, Inc. (a) | 9,937 | 216,130 | ||||||
MedQuist Holdings, Inc. (a) | 15,801 | 152,006 | ||||||
MWI Veterinary Supply, Inc. (a) | 5,954 | 395,584 | ||||||
Omnicell, Inc. (a)(b) | 15,704 | 259,430 | ||||||
PharMerica Corp. (a) | 13,882 | 210,729 | ||||||
Quality Systems, Inc. | 18,354 | 678,914 | ||||||
Sun Healthcare Group, Inc. (a) | 11,809 | 45,819 | ||||||
Team Health Holdings, Inc. (a) | 12,613 | 278,369 | ||||||
Transcend Services, Inc. (a) | 4,103 | 97,364 | ||||||
|
| |||||||
7,224,936 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
Health Care: Miscellaneous – 0.1% |
| |||||||
MedAssets, Inc. (a) | 22,561 | $ | 208,689 | |||||
The Providence Service Corp. (a) | 6,087 | 83,757 | ||||||
|
| |||||||
292,446 | ||||||||
|
| |||||||
Home Building – 0.3% |
| |||||||
Beazer Homes USA, Inc. (a)(b) | 35,484 | 88,000 | ||||||
Hovnanian Enterprises, Inc., | 29,261 | 42,429 | ||||||
KB Home | 36,488 | 245,199 | ||||||
M/I Homes, Inc. (a) | 8,906 | 85,498 | ||||||
MDC Holdings, Inc. | 17,806 | 313,920 | ||||||
Meritage Homes Corp. (a)(b) | 13,242 | 307,082 | ||||||
Ryland Group, Inc. | 21,024 | 331,338 | ||||||
Standard-Pacific Corp. (a) | 50,460 | 160,463 | ||||||
|
| |||||||
1,573,929 | ||||||||
|
| |||||||
Hotel/Motel – 0.2% |
| |||||||
Gaylord Entertainment Co. (a) | 16,877 | 407,411 | ||||||
Marcus Corp. | 9,730 | 122,695 | ||||||
Morgans Hotel Group Co. (a) | 10,390 | 61,301 | ||||||
Orient Express Hotels Ltd., Class A (a) | 45,225 | 337,831 | ||||||
Red Lion Hotels Corp. (a) | 6,853 | 47,491 | ||||||
|
| |||||||
976,729 | ||||||||
|
| |||||||
Household Appliances – 0.0% |
| |||||||
National Presto Industries, Inc. | 2,272 | 212,659 | ||||||
|
| |||||||
Household Equipment & Products – 0.2% |
| |||||||
American Greetings Corp., Class A | 19,151 | 239,579 | ||||||
Blyth, Inc. | 2,468 | 140,182 | ||||||
Central Garden & Pet Co., Class A (a) | 19,962 | 166,084 | ||||||
CSS Industries, Inc. | 3,805 | 75,796 | ||||||
Helen of Troy Ltd. (a)(b) | 14,639 | 449,417 | ||||||
Libbey, Inc. (a) | 9,434 | 120,189 | ||||||
Summer Infant, Inc. (a) | 6,386 | 44,958 | ||||||
|
| |||||||
1,236,205 | ||||||||
|
| |||||||
Household Furnishings – 0.3% |
| |||||||
American Woodmark Corp. | 4,442 | 60,678 | ||||||
Ethan Allen Interiors, Inc. | 11,455 | 271,598 | ||||||
Furniture Brands International, | 17,997 | 22,136 | ||||||
Kirkland’s, Inc. (a) | 7,813 | 103,913 | ||||||
La-Z-Boy, Inc. (a) | 24,613 | 292,895 | ||||||
Lifetime Brands, Inc. | 4,588 | 55,698 | ||||||
Sealy Corp. (a) | 22,615 | 38,898 | ||||||
Select Comfort Corp. (a) | 26,369 | 571,943 | ||||||
|
| |||||||
1,417,759 | ||||||||
|
| |||||||
Insurance: Life – 0.7% |
| |||||||
American Equity Investment Life Holding Co. | 28,222 | 293,509 | ||||||
Citizens, Inc. (a) | 18,001 | 174,430 | ||||||
CNO Financial Group, | 105,106 | 663,219 | ||||||
Delphi Financial Group, Inc., Class A | 22,895 | 1,014,248 | ||||||
FBL Financial Group, Inc., Class A | 6,097 | 207,420 | ||||||
Independence Holding Co. | 3,234 | 26,292 | ||||||
Kansas City Life Insurance Co. | 1,939 | 63,638 | ||||||
National Western Life Insurance Co., Class A | 1,025 | 139,564 | ||||||
The Phoenix Cos., Inc. (a) | 55,522 | 93,277 | ||||||
Presidential Life Corp. | 10,338 | 103,276 | ||||||
Primerica, Inc. | 16,070 | 373,467 | ||||||
Symetra Financial Corp. | 32,141 | 291,519 | ||||||
|
| |||||||
3,443,859 | ||||||||
|
|
See Notes to Financial Statements.
60 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Insurance: Multi-Line – 0.5% |
| |||||||
Alterra Capital Holdings Ltd. | 43,121 | $ | 1,018,949 | |||||
Crawford & Co., Class B | 12,825 | 79,002 | ||||||
eHealth, Inc. (a) | 9,732 | 143,061 | ||||||
Flagstone Reinsurance Holdings SA | 25,091 | 208,004 | ||||||
Fortegra Financial Corp. (a) | 2,884 | 19,265 | ||||||
Horace Mann Educators Corp. | 19,062 | 261,340 | ||||||
Maiden Holdings Ltd. | 24,243 | 212,369 | ||||||
Pico Holdings, Inc. (a) | 10,804 | 222,346 | ||||||
Platinum Underwriters Holdings Ltd. | 17,744 | 605,248 | ||||||
|
| |||||||
2,769,584 | ||||||||
|
| |||||||
Insurance: Property-Casualty – 1.6% |
| |||||||
American Safety Insurance Holdings Ltd. (a) | 4,999 | 108,728 | ||||||
Amerisafe, Inc. (a) | 8,816 | 204,972 | ||||||
AmTrust Financial Services, Inc. | 11,563 | 274,621 | ||||||
Argo Group International Holdings Ltd. | 13,125 | 380,100 | ||||||
Baldwin & Lyons, Inc., Class B | 4,154 | 90,557 | ||||||
Donegal Group, Inc., Class A | 3,731 | 52,831 | ||||||
EMC Insurance Group, Inc. | 2,404 | 49,450 | ||||||
Employers Holdings, Inc. | 10,430 | 188,679 | ||||||
Enstar Group Ltd. (a)(b) | 3,270 | 321,114 | ||||||
First American Financial Corp. | 50,011 | 633,639 | ||||||
Global Indemnity Plc (a) | 6,538 | 129,649 | ||||||
Greenlight Capital Re Ltd. (a) | 13,364 | 316,326 | ||||||
Hallmark Financial Services, Inc. (a) | 5,643 | 39,445 | ||||||
Harleysville Group, Inc. | 5,832 | 329,916 | ||||||
Hilltop Holdings, Inc. (a) | 19,048 | 160,956 | ||||||
Infinity Property & Casualty Corp. | 5,929 | 336,411 | ||||||
Meadowbrook Insurance Group, Inc. | 25,541 | 272,778 | ||||||
Montpelier Re Holdings Ltd. (b) | 29,708 | 527,317 | ||||||
National Interstate Corp. | 3,410 | 84,125 | ||||||
Navigators Group, Inc. (a) | 5,566 | 265,387 | ||||||
OneBeacon Insurance Group Ltd. | 10,682 | 164,396 | ||||||
ProAssurance Corp. | 14,523 | 1,159,226 | ||||||
Radian Group, Inc. | 63,300 | 148,122 | ||||||
RLI Corp. | 8,749 | 637,452 | ||||||
Safety Insurance Group, Inc. | 6,101 | 246,969 | ||||||
SeaBright Holdings, Inc. | 9,719 | 74,350 | ||||||
Selective Insurance Group, Inc. | 25,804 | 457,505 | ||||||
State Auto Financial Corp. | 7,153 | 97,209 | ||||||
Stewart Information Services Corp. | 8,673 | 100,173 | ||||||
Tower Group, Inc. | 17,623 | 355,456 | ||||||
United Fire & Casualty Co. | 10,340 | 208,661 | ||||||
Universal Insurance Holdings, Inc. | 9,601 | 34,372 | ||||||
|
| |||||||
8,450,892 | ||||||||
|
| |||||||
International Trade & Diversified Logistic – 0.0% |
| |||||||
Global Sources Ltd. (a) | 5,710 | 27,694 | ||||||
|
| |||||||
Leisure Time – 1.0% | ||||||||
Black Diamond, Inc. (a) | 6,315 | 47,173 | ||||||
Callaway Golf Co. | 30,501 | 168,671 | ||||||
Churchill Downs, Inc. | 5,942 | 309,756 | ||||||
International Speedway Corp., Class A | 13,960 | 353,886 | ||||||
Interval Leisure Group, Inc. (a) | 19,070 | 259,543 | ||||||
Johnson Outdoors, Inc. (a) | 2,238 | 34,353 | ||||||
Life Time Fitness, Inc. (a) | 20,029 | 936,356 | ||||||
Orbitz Worldwide, Inc. (a) | 9,706 | 36,495 | ||||||
Pool Corp. | 22,827 | 687,093 | ||||||
Six Flags Entertainment Corp. | 19,748 | 814,408 | ||||||
Smith & Wesson Holding Corp. (a) | 28,537 | 124,421 | ||||||
Speedway Motorsports, Inc. | 5,600 | 85,848 |
Common Stocks | Shares | Value | ||||||
Leisure Time (concluded) | ||||||||
Steinway Musical Instruments, | 3,113 | $ | 77,950 | |||||
Sturm Ruger & Co., Inc. | 8,939 | 299,099 | ||||||
Town Sports International Holdings, Inc. (a) | 9,527 | 70,023 | ||||||
Vail Resorts, Inc. | 17,051 | 722,280 | ||||||
West Marine, Inc. (a) | 6,834 | 79,479 | ||||||
|
| |||||||
5,106,834 | ||||||||
|
| |||||||
Luxury Items – 0.0% | ||||||||
Movado Group, Inc. | 8,215 | 149,267 | ||||||
|
| |||||||
Machinery: Agricultural – 0.2% |
| |||||||
Alamo Group, Inc. | 3,161 | 85,126 | ||||||
Lindsay Manufacturing Co. | 5,949 | 326,541 | ||||||
Titan International, Inc. | 19,942 | 388,071 | ||||||
Titan Machinery, Inc. (a) | 7,295 | 158,520 | ||||||
|
| |||||||
958,258 | ||||||||
|
| |||||||
Machinery: Construction & Handling – 0.1% |
| |||||||
Astec Industries, Inc. (a)(b) | 9,444 | 304,191 | ||||||
Douglas Dynamics, Inc. | 8,847 | 129,343 | ||||||
NACCO Industries, Inc., Class A | 2,762 | 246,426 | ||||||
|
| |||||||
679,960 | ||||||||
|
| |||||||
Machinery: Engines – 0.1% |
| |||||||
Briggs & Stratton Corp. | 23,907 | 370,319 | ||||||
|
| |||||||
Machinery: Industrial – 1.3% |
| |||||||
Actuant Corp., Class A | 32,487 | 737,130 | ||||||
Altra Holdings, Inc. (a) | 12,752 | 240,120 | ||||||
Applied Industrial Technologies, Inc. | 20,078 | 706,143 | ||||||
Chart Industries, Inc. (a) | 13,922 | 752,763 | ||||||
Colfax Corp. (a)(b) | 11,643 | 331,593 | ||||||
Columbus McKinnon Corp. (a) | 9,137 | 115,949 | ||||||
DXP Enterprises, Inc. (a) | 4,107 | 132,245 | ||||||
EnPro Industries, Inc. (a) | 9,771 | 322,248 | ||||||
Flow International Corp. (a) | 22,530 | 78,855 | ||||||
Graham Corp. | 4,683 | 105,086 | ||||||
John Bean Technologies Corp. | 13,578 | 208,694 | ||||||
Kadant, Inc. (a) | 5,840 | 132,042 | ||||||
Middleby Corp. (a) | 8,873 | 834,417 | ||||||
MTS Systems Corp. | 7,391 | 301,183 | ||||||
Omega Flex, Inc. (a) | 1,035 | 14,625 | ||||||
Sauer-Danfoss, Inc. (a) | 5,491 | 198,829 | ||||||
Tecumseh Products Co., Class A (a) | 9,230 | 43,381 | ||||||
Tennant Co. | 9,074 | 352,706 | ||||||
Twin Disc, Inc. | 4,023 | 146,115 | ||||||
Woodward, Inc. | 29,162 | 1,193,601 | ||||||
|
| |||||||
6,947,725 | ||||||||
|
| |||||||
Machinery: Specialty – 0.1% |
| |||||||
Albany International Corp., Class A | 13,090 | 302,641 | ||||||
Cascade Corp. | 4,350 | 205,189 | ||||||
Hurco Cos., Inc. (a) | 3,007 | 63,147 | ||||||
Xerium Technologies, Inc. (a) | 4,914 | 32,138 | ||||||
|
| |||||||
603,115 | ||||||||
|
| |||||||
Manufactured Housing – 0.0% |
| |||||||
Cavco Industries, Inc. (a) | 3,234 | 129,554 | ||||||
Skyline Corp. | 3,592 | 15,625 | ||||||
|
| |||||||
145,179 | ||||||||
|
|
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 61 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Medical & Dental Instruments & Supplies – 2.3% |
| |||||||
Abiomed, Inc. (a) | 15,032 | $ | 277,641 | |||||
Align Technology, Inc. (a) | 29,091 | 690,184 | ||||||
Alphatec Holdings, Inc. (a) | 26,027 | 44,766 | ||||||
AngioDynamics, Inc. (a) | 11,832 | 175,232 | ||||||
Antares Pharma, Inc. (a) | 41,066 | 90,345 | ||||||
AtriCure, Inc. (a) | 6,689 | 74,248 | ||||||
Atrion Corp. | 745 | 178,971 | ||||||
Biolase Technology, Inc. (a)(b) | 15,131 | 38,887 | ||||||
Cantel Medical Corp. | 6,260 | 174,842 | ||||||
Cardiovascular Systems, Inc. (a) | 7,037 | 69,314 | ||||||
Cerus Corp. (a) | 22,757 | 63,720 | ||||||
Conceptus, Inc. (a)(b) | 14,783 | 186,857 | ||||||
CONMED Corp. (a) | 13,407 | 344,158 | ||||||
CryoLife, Inc. (a) | 13,061 | 62,693 | ||||||
Delcath Systems, Inc. (a) | 22,814 | 69,583 | ||||||
Endologix, Inc. (a)(b) | 23,197 | 266,302 | ||||||
Exactech, Inc. (a) | 3,914 | 64,464 | ||||||
Hansen Medical, Inc. (a) | 22,917 | 59,126 | ||||||
Heartware International, Inc. (a)(b) | 5,667 | 391,023 | ||||||
ICU Medical, Inc. (a)(b) | 5,745 | 258,525 | ||||||
Insulet Corp. (a) | 21,774 | 410,004 | ||||||
Integra LifeSciences Holdings Corp. (a) | 9,273 | 285,887 | ||||||
Invacare Corp. | 13,565 | 207,409 | ||||||
Landauer, Inc. | 4,458 | 229,587 | ||||||
MAKO Surgical Corp. (a)(b) | 15,142 | 381,730 | ||||||
Medical Action Industries, | 7,424 | 38,827 | ||||||
Medtox Scientific, Inc. (a) | 3,636 | 51,086 | ||||||
Meridian Bioscience, Inc. | 19,492 | 367,229 | ||||||
Merit Medical Systems, Inc. (a) | 19,871 | 265,874 | ||||||
Navidea Biopharmaceuticals, | 44,826 | 117,444 | ||||||
Neogen Corp. (a)(b) | 11,018 | 337,591 | ||||||
NuVasive, Inc. (a) | 20,025 | 252,115 | ||||||
OraSure Technologies, Inc. (a) | 22,164 | 201,914 | ||||||
Orthofix International NV (a)(b) | 8,540 | 300,864 | ||||||
Owens & Minor, Inc. | 30,182 | 838,758 | ||||||
PSS World Medical, Inc. (a) | 26,276 | 635,616 | ||||||
Quidel Corp. (a) | 13,503 | 204,300 | ||||||
Rockwell Medical Technologies, Inc. (a) | 7,600 | 64,372 | ||||||
Staar Surgical Co. (a) | 16,890 | 177,176 | ||||||
Steris Corp. | 28,068 | 836,988 | ||||||
SurModics, Inc. (a) | 7,255 | 106,358 | ||||||
Symmetry Medical, Inc. (a)(b) | 17,287 | 138,123 | ||||||
Synovis Life Technologies, | 5,430 | 151,117 | ||||||
Tornier NV (a) | 5,003 | 90,054 | ||||||
Unilife Corp. (a)(b) | 31,256 | 97,519 | ||||||
Uroplasty, Inc. (a) | 9,381 | 39,869 | ||||||
Vascular Solutions, Inc. (a) | 8,035 | 89,430 | ||||||
Volcano Corp. (a)(b) | 24,687 | 587,304 | ||||||
West Pharmaceutical Services, Inc. | 15,857 | 601,773 | ||||||
Wright Medical Group, Inc. (a) | 18,472 | 304,788 | ||||||
Young Innovations, Inc. | 2,668 | 79,053 | ||||||
|
| |||||||
12,071,040 | ||||||||
|
| |||||||
Medical Equipment – 1.2% |
| |||||||
Abaxis, Inc. (a) | 10,684 | 295,626 | ||||||
Accuray, Inc. (a)(b) | 32,499 | 137,471 | ||||||
Affymetrix, Inc. (a) | 33,479 | 136,929 | ||||||
Analogic Corp. | 5,942 | 340,595 | ||||||
ArthroCare Corp. (a) | 12,943 | 410,034 | ||||||
Bacterin International Holdings, Inc. (a) | 11,255 | 32,189 | ||||||
Cyberonics, Inc. (a)(b) | 13,413 | 449,336 |
Common Stocks | Shares | Value | ||||||
Medical Equipment (concluded) |
| |||||||
Cynosure, Inc., Class A (a) | 4,437 | $ | 52,179 | |||||
DexCom, Inc. (a)(b) | 31,840 | 296,430 | ||||||
Fluidigm Corp. (a) | 3,010 | 39,612 | ||||||
Greatbatch, Inc. (a)(b) | 11,021 | 243,564 | ||||||
Haemonetics Corp. (a) | 12,151 | 743,884 | ||||||
IRIS International, Inc. (a) | 8,469 | 79,185 | ||||||
Luminex Corp. (a)(b) | 17,913 | 380,293 | ||||||
Masimo Corp. (a) | 24,916 | 465,556 | ||||||
Merge Healthcare, Inc. (a)(b) | 26,322 | 127,662 | ||||||
Natus Medical, Inc. (a)(b) | 13,783 | 129,974 | ||||||
NxStage Medical, Inc. (a)(b) | 21,142 | 375,905 | ||||||
Palomar Medical Technologies, Inc. (a) | 8,833 | 82,147 | ||||||
Solta Medical, Inc. (a) | 28,997 | 91,051 | ||||||
SonoSite, Inc. (a) | 6,525 | 351,437 | ||||||
Spectranetic Corp. (a) | 15,846 | 114,408 | ||||||
Stereotaxis, Inc. (a)(b) | 22,866 | 18,832 | ||||||
Synergetics USA, Inc. (a) | 10,435 | 77,010 | ||||||
Zeltiq Aesthetics, Inc. (a)(b) | 3,371 | 38,295 | ||||||
Zoll Medical Corp. (a) | 10,385 | 656,124 | ||||||
|
| |||||||
6,165,728 | ||||||||
|
| |||||||
Medical Services – 0.2% |
| |||||||
Bio-Reference Labs, Inc. (a) | 11,626 | 189,155 | ||||||
eResearch Technology, | 23,294 | 109,249 | ||||||
Neostem, Inc. (a) | 10,587 | 5,367 | ||||||
Parexel International Corp. (a) | 27,893 | 578,501 | ||||||
RadNet, Inc. (a) | 15,292 | 32,572 | ||||||
|
| |||||||
914,844 | ||||||||
|
| |||||||
Metal Fabricating – 0.6% |
| |||||||
Ampco-Pittsburgh Corp. | 4,056 | 78,443 | ||||||
Compx International, Inc. | 465 | 6,849 | ||||||
Dynamic Materials Corp. | 6,343 | 125,465 | ||||||
Haynes International, Inc. | 5,787 | 315,970 | ||||||
Kaydon Corp. | 15,457 | 471,438 | ||||||
L.B. Foster Co., Class A | 4,278 | 121,025 | ||||||
Lawson Products, Inc. | 1,669 | 25,753 | ||||||
Metals USA Holdings Corp. (a) | 5,466 | 61,492 | ||||||
Mueller Industries, Inc. | 17,918 | 688,410 | ||||||
Mueller Water Products, Inc., Series A | 73,779 | 180,021 | ||||||
NN, Inc. (a) | 7,696 | 46,176 | ||||||
Northwest Pipe Co. (a) | 4,314 | 98,618 | ||||||
RBC Bearings, Inc. (a)(b) | 10,388 | 433,180 | ||||||
RTI International Metals, Inc. (a) | 14,290 | 331,671 | ||||||
Worthington Industries, Inc. | 27,245 | 446,273 | ||||||
|
| |||||||
3,430,784 | ||||||||
|
| |||||||
Metals & Minerals: Diversified – 0.6% |
| |||||||
AMCOL International Corp. | 11,555 | 310,252 | ||||||
General Moly, Inc. (a)(b) | 31,951 | 98,729 | ||||||
Globe Specialty Metals, Inc. | 29,875 | 400,026 | ||||||
Hecla Mining Co. | 132,357 | 692,227 | ||||||
Materion Corp. (a)(b) | 9,674 | 234,885 | ||||||
Minerals Technologies, Inc. | 8,637 | 488,250 | ||||||
Oil-Dri Corp. of America | 2,369 | 47,948 | ||||||
Paramount Gold and Silver | 55,682 | 119,159 | ||||||
SunCoke Energy, Inc. (a) | 6,236 | 69,843 | ||||||
Thompson Creek Metals Co., Inc. (a) | 72,435 | 504,148 | ||||||
United States Lime & Minerals, Inc. (a) | 1,227 | 73,755 | ||||||
Ur-Energy, Inc. (a) | 52,825 | 45,377 | ||||||
Uranerz Energy Corp. (a)(b) | 30,397 | 55,322 |
See Notes to Financial Statements.
62 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Metals & Minerals: Diversified (concluded) |
| |||||||
Uranium Resources, Inc. (a)(b) | 47,358 | $ | 34,382 | |||||
US Energy Corp. – | 12,129 | 35,295 | ||||||
|
| |||||||
3,209,598 | ||||||||
|
| |||||||
Miscellaneous Consumer Staples – 0.0% |
| |||||||
Spectrum Brands Holdings, | 7,890 | 216,186 | ||||||
|
| |||||||
Office Supplies & Equipment – 0.6% |
| |||||||
ACCO Brands Corp. (a) | 26,177 | 252,608 | ||||||
AT Cross Co. (a) | 4,711 | 53,140 | ||||||
Electronics for Imaging, Inc. (a) | 22,108 | 315,039 | ||||||
Herman Miller, Inc. | 27,163 | 501,157 | ||||||
HNI Corp. | 21,239 | 554,338 | ||||||
Kimball International, Inc., Class B | 14,562 | 73,829 | ||||||
Knoll, Inc. | 22,706 | 337,184 | ||||||
Steelcase, Inc., Class A | 37,773 | 281,787 | ||||||
United Stationers, Inc. | 20,191 | 657,419 | ||||||
|
| |||||||
3,026,501 | ||||||||
|
| |||||||
Offshore Drilling & Other Services – 0.1% |
| |||||||
Hercules Offshore, Inc. (a) | 54,560 | 242,246 | ||||||
Vantage Drilling Co. (a) | 81,823 | 94,915 | ||||||
|
| |||||||
337,161 | ||||||||
|
| |||||||
Oil Well Equipment & Services – 1.9% |
| |||||||
Basic Energy Services, Inc. (a)(b) | 11,412 | 224,816 | ||||||
Cal Dive International, Inc. (a) | 45,279 | 101,878 | ||||||
Complete Production Services, Inc. (a) | 37,404 | 1,255,278 | ||||||
Dawson Geophysical Co. (a)(b) | 3,753 | 148,356 | ||||||
Dril-Quip, Inc. (a) | 16,281 | 1,071,615 | ||||||
Exterran Holdings, Inc. (a) | 30,232 | 275,111 | ||||||
Flotek Industries, Inc. (a) | 23,662 | 235,674 | ||||||
Geokinetics, Inc. (a) | 4,972 | 10,690 | ||||||
Global Geophysical Services, Inc. (a) | 8,570 | 57,590 | ||||||
Golar LNG Ltd. | 18,899 | 840,061 | ||||||
Gulf Island Fabrication, Inc. | 6,818 | 199,154 | ||||||
Helix Energy Solutions Group, Inc. (a) | 50,225 | 793,555 | ||||||
Hornbeck Offshore Services, Inc. (a) | 14,614 | 453,326 | ||||||
ION Geophysical Corp. (a) | 62,335 | 382,114 | ||||||
Key Energy Services, Inc. (a)(b) | 59,128 | 914,710 | ||||||
Lufkin Industries, Inc. | 14,433 | 971,485 | ||||||
Matrix Service Co. (a) | 12,587 | 118,821 | ||||||
Mitcham Industries, Inc. (a) | 5,707 | 124,641 | ||||||
Natural Gas Services Group, Inc. (a) | 5,790 | 83,723 | ||||||
Newpark Resources, Inc. (a)(b) | 42,869 | 407,256 | ||||||
OYO Geospace Corp. (a)(b) | 2,059 | 159,222 | ||||||
Parker Drilling Co. (a) | 55,343 | 396,809 | ||||||
Pioneer Drilling Co. (a) | 29,247 | 283,111 | ||||||
RigNet, Inc. (a) | 2,632 | 44,060 | ||||||
Tesco Corp. (a) | 14,361 | 181,523 | ||||||
Tetra Technologies, Inc. (a) | 36,470 | 340,630 | ||||||
Union Drilling, Inc. (a) | 6,948 | 43,356 | ||||||
Willbros Group, Inc. (a) | 19,055 | 69,932 | ||||||
|
| |||||||
10,188,497 | ||||||||
|
| |||||||
Oil: Crude Producers – 3.1% | ||||||||
Abraxas Petroleum Corp. (a) | 39,095 | 129,014 | ||||||
Apco Oil and Gas International, Inc. | 4,327 | 353,602 | ||||||
Approach Resources, Inc. (a) | 12,348 | 363,155 | ||||||
ATP Oil & Gas Corp. (a)(b) | 21,096 | 155,267 | ||||||
Berry Petroleum Co., Class A | 24,425 | 1,026,339 | ||||||
Bill Barrett Corp. (a) | 22,347 | 761,362 |
Common Stocks | Shares | Value | ||||||
Oil: Crude Producers (concluded) |
| |||||||
BPZ Resources, Inc. (a)(b) | 48,421 | $ | 137,516 | |||||
Callon Petroleum Co. (a) | 18,282 | 90,862 | ||||||
CAMAC Energy, Inc. (a) | 30,744 | 31,051 | ||||||
Carrizo Oil & Gas, Inc. (a) | 18,443 | 485,973 | ||||||
Cheniere Energy, Inc. (a) | 39,224 | 340,857 | ||||||
Clayton Williams Energy, | 2,801 | 212,540 | ||||||
Comstock Resources, Inc. (a) | 22,561 | 345,183 | ||||||
Contango Oil & Gas Co. (a) | 5,769 | 335,640 | ||||||
Crimson Exploration, Inc. (a) | 10,671 | 30,519 | ||||||
Endeavour International | 17,609 | 153,022 | ||||||
Energy Partners Ltd. (a) | 13,752 | 200,779 | ||||||
Energy XXI Bermuda Ltd. (a) | 35,686 | 1,137,670 | ||||||
Evolution Petroleum Corp. (a) | 7,349 | 59,159 | ||||||
FX Energy, Inc. (a) | 24,891 | 119,477 | ||||||
Gastar Exploration Ltd. (a) | 27,138 | 86,299 | ||||||
GeoResources, Inc. (a) | 9,515 | 278,885 | ||||||
GMX Resources, Inc. (a)(b) | 29,313 | 36,641 | ||||||
Goodrich Petroleum Corp. (a) | 12,264 | 168,385 | ||||||
Gulfport Energy Corp. (a)(b) | 21,612 | 636,473 | ||||||
Harvest Natural Resources, | 16,095 | 118,781 | ||||||
Houston American Energy Corp. (a) | 7,876 | 96,008 | ||||||
Hyperdynamics Corp. (a)(b) | 73,797 | 180,803 | ||||||
Isramco, Inc. (a)(b) | 519 | 46,482 | ||||||
Kodiak Oil & Gas Corp. (a) | 122,099 | 1,159,940 | ||||||
Magnum Hunter Resources Corp. (a)(b) | 52,832 | 284,764 | ||||||
McMoRan Exploration Co. (a) | 46,551 | 677,317 | ||||||
Northern Oil And Gas, Inc. (a) | 29,918 | 717,434 | ||||||
Oasis Petroleum, Inc. (a) | 28,205 | 820,483 | ||||||
Panhandle Oil & Gas, Inc. | 3,334 | 109,389 | ||||||
Penn Virginia Corp. | 21,677 | 114,671 | ||||||
Petroleum Development | 11,148 | 391,406 | ||||||
Petroquest Energy, Inc. (a) | 26,582 | 175,441 | ||||||
Resolute Energy Corp. (a) | 21,799 | 235,429 | ||||||
Rex Energy Corp. (a) | 16,543 | 244,175 | ||||||
Rosetta Resources, Inc. (a) | 25,101 | 1,091,893 | ||||||
Stone Energy Corp. (a) | 23,223 | 612,623 | ||||||
Swift Energy Co. (a) | 20,100 | 597,372 | ||||||
Triangle Petroleum Corp. (a) | 20,435 | 121,997 | ||||||
Vaalco Energy, Inc. (a) | 24,357 | 147,116 | ||||||
Venoco, Inc. (a) | 14,035 | 95,017 | ||||||
Voyager Oil & Gas, Inc. (a) | 22,061 | 56,697 | ||||||
W&T Offshore, Inc. | 16,551 | 351,047 | ||||||
Warren Resources, Inc. (a) | 34,143 | 111,306 | ||||||
Zion Oil & Gas, Inc. (a) | 14,905 | 32,940 | ||||||
|
| |||||||
16,266,201 | ||||||||
|
| |||||||
Oil: Integrated – 0.1% |
| |||||||
Targa Resources, Inc. | 7,763 | 315,876 | ||||||
|
| |||||||
Oil: Refining & Marketing – 0.6% |
| |||||||
Alon USA Energy, Inc. | 5,327 | 46,398 | ||||||
Clean Energy Fuels | 23,709 | 295,414 | ||||||
CVR Energy, Inc. (a) | 41,695 | 780,947 | ||||||
Delek US Holdings, Inc. | 6,993 | 79,790 | ||||||
Miller Energy Resources, | 14,093 | 39,320 | ||||||
Western Refining, Inc. | 25,158 | 334,350 | ||||||
World Fuel Services Corp. | 33,656 | 1,412,879 | ||||||
|
| |||||||
2,989,098 | ||||||||
|
|
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 63 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Paints & Coatings – 0.1% |
| |||||||
Chase Corp. | 2,961 | $ | 41,158 | |||||
Ferro Corp. (a) | 41,124 | 201,096 | ||||||
H.B. Fuller Co. | 23,426 | 541,375 | ||||||
|
| |||||||
783,629 | ||||||||
|
| |||||||
Paper – 0.5% |
| |||||||
Boise, Inc. | 43,378 | 308,851 | ||||||
Buckeye Technologies, Inc. | 18,895 | 631,849 | ||||||
Clearwater Paper Corp. (a) | 10,888 | 387,722 | ||||||
Kapstone Paper and Packaging Corp. (a) | 18,475 | 290,797 | ||||||
Neenah Paper, Inc. (a) | 7,042 | 157,177 | ||||||
P.H. Glatfelter Co. | 20,610 | 291,013 | ||||||
Schweitzer-Mauduit International, Inc. | 7,619 | 506,359 | ||||||
Verso Paper Corp. (a) | 7,798 | 7,486 | ||||||
Wausau Paper Corp. | 23,292 | 192,392 | ||||||
|
| |||||||
2,773,646 | ||||||||
|
| |||||||
Personal Care – 0.1% |
| |||||||
Female Health Co. | 9,039 | 40,766 | ||||||
USANA Health Sciences, Inc. (a) | 3,094 | 93,965 | ||||||
WD-40 Co. | 7,584 | 306,469 | ||||||
|
| |||||||
441,200 | ||||||||
|
| |||||||
Pharmaceuticals – 2.1% |
| |||||||
Achillion Pharmaceuticals, | 22,518 | 171,587 | ||||||
Acura Pharmaceuticals, | 5,146 | 17,960 | ||||||
Akorn, Inc. (a) | 26,658 | 296,437 | ||||||
Ampio Pharmaceuticals, Inc. (a) | 9,874 | 42,162 | ||||||
Anacor Pharmaceuticals, Inc. (a) | 4,928 | 30,554 | ||||||
Ardea Biosciences, Inc. (a)(b) | 7,990 | 134,312 | ||||||
Auxilium Pharmaceuticals, | 22,704 | 452,491 | ||||||
Avanir Pharmaceuticals, Inc. (a) | 58,920 | 120,786 | ||||||
BioCryst Pharmaceuticals, | 13,221 | 32,656 | ||||||
Biospecifics Technologies (a) | 2,290 | 38,060 | ||||||
Cadence Pharmaceuticals, Inc. (a) | 23,966 | 94,666 | ||||||
Cambrex Corp. (a) | 13,881 | 99,666 | ||||||
Cleveland BioLabs, Inc. (a) | 14,174 | 40,538 | ||||||
Columbia Laboratories, Inc. (a)(b) | 18,549 | 46,373 | ||||||
Corcept Therapeutics, | 19,494 | 66,669 | ||||||
Depomed, Inc. (a) | 25,551 | 132,354 | ||||||
Durect Corp. (a) | 38,471 | 45,396 | ||||||
Dusa Pharmaceuticals, Inc. (a) | 11,325 | 49,603 | ||||||
Endocyte, Inc. (a) | 8,597 | 32,325 | ||||||
Hi-Tech Pharmacal Co., Inc. (a) | 4,926 | 191,572 | ||||||
Impax Laboratories, Inc. (a)(b) | 30,988 | 625,028 | ||||||
Infinity Pharmaceuticals, Inc. (a) | 9,072 | 80,196 | ||||||
Ironwood Pharmaceuticals, | 23,990 | 287,160 | ||||||
Isis Pharmaceuticals, Inc. (a) | 47,196 | 340,283 | ||||||
ISTA Pharmaceuticals, Inc. (a) | 15,264 | 107,611 | ||||||
Jazz Pharmaceuticals, Inc. (a) | 10,474 | 404,611 | ||||||
K-V Pharmaceutical Co., | 23,470 | 32,858 | ||||||
Lannett Co., Inc. (a) | 8,104 | 35,820 | ||||||
MAP Pharmaceuticals, Inc. (a) | 10,405 | 137,034 | ||||||
The Medicines Co. (a) | 25,557 | 476,382 | ||||||
Medicis Pharmaceutical Corp., Class A | 29,273 | 973,327 | ||||||
Obagi Medical Products, Inc. (a) | 8,902 | 90,444 | ||||||
Optimer Pharmaceuticals, | 21,947 | 268,631 | ||||||
Pacira Pharmaceuticals, Inc. (a) | 3,318 | 28,701 | ||||||
Pain Therapeutics, Inc. (a) | 18,264 | 69,403 | ||||||
Par Pharmaceutical Cos., Inc. (a) | 17,182 | 562,367 | ||||||
Pernix Therapeutics Holdings, Inc. (a) | 1,687 | 15,622 |
Common Stocks | Shares | Value | ||||||
Pharmaceuticals (concluded) |
| |||||||
Pharmacyclics, Inc. (a) | 21,753 | $ | 322,379 | |||||
Pozen, Inc. (a) | 12,270 | 48,467 | ||||||
Prestige Brands Holdings, | 23,899 | 269,342 | ||||||
Questcor Pharmaceuticals, | 25,174 | 1,046,735 | ||||||
Sagent Pharmaceuticals, | 3,074 | 64,554 | ||||||
Salix Pharmaceuticals Ltd. (a) | 27,677 | 1,324,344 | ||||||
Santarus, Inc. (a) | 25,288 | 83,703 | ||||||
Sciclone Pharmaceuticals, | 16,383 | 70,283 | ||||||
SIGA Technologies, Inc. (a)(b) | 15,618 | 39,357 | ||||||
Spectrum Pharmaceuticals, | 27,212 | 398,112 | ||||||
Vical, Inc. (a) | 34,062 | 150,213 | ||||||
Vivus, Inc. (a) | 42,154 | 411,001 | ||||||
Xenoport, Inc. (a) | 16,389 | 62,442 | ||||||
Zogenix, Inc. (a) | 9,795 | 21,941 | ||||||
|
| |||||||
10,984,518 | ||||||||
|
| |||||||
Photography – 0.0% |
| |||||||
Eastman Kodak Co. (a)(b) | 137,534 | 89,328 | ||||||
|
| |||||||
Plastics – 0.1% | ||||||||
A. Schulman, Inc. | 14,633 | 309,927 | ||||||
Spartech Corp. (a) | 14,719 | 69,621 | ||||||
|
| |||||||
379,548 | ||||||||
|
| |||||||
Power Transmission Equipment – 0.2% |
| |||||||
Active Power, Inc. (a) | 40,379 | 26,650 | ||||||
Advanced Energy Industries, Inc. (a) | 20,680 | 221,896 | ||||||
Generac Holdings, Inc. (a) | 11,802 | 330,810 | ||||||
Global Power Equipment Group, Inc. (a) | 7,461 | 177,199 | ||||||
Maxwell Technologies, Inc. (a) | 13,224 | 214,758 | ||||||
Powell Industries, Inc. (a) | 4,174 | 130,563 | ||||||
Power-One, Inc. (a) | 32,347 | 126,477 | ||||||
Vicor Corp. | 9,374 | 74,617 | ||||||
|
| |||||||
1,302,970 | ||||||||
|
| |||||||
Precious Metals & Minerals – 0.2% |
| |||||||
Golden Minerals Co. (a) | 13,345 | 77,535 | ||||||
Horsehead Holding Corp. (a) | 20,743 | 186,894 | ||||||
Stillwater Mining Co. (a) | 54,646 | 571,597 | ||||||
|
| |||||||
836,026 | ||||||||
|
| |||||||
Printing & Copying Services – 0.0% |
| |||||||
Casella Waste Systems, Inc. (a) | 11,898 | 76,147 | ||||||
Cenveo, Inc. (a) | 25,778 | 87,645 | ||||||
|
| |||||||
163,792 | ||||||||
|
| |||||||
Producer Durables: Miscellaneous – 0.1% |
| |||||||
Blount International, Inc. (a) | 23,010 | 334,105 | ||||||
Park-Ohio Holdings | 3,889 | 69,380 | ||||||
|
| |||||||
403,485 | ||||||||
|
| |||||||
Production Technology Equipment – 1.3% |
| |||||||
ATMI, Inc. (a)(b)(c) | 15,023 | 300,911 | ||||||
Axcelis Technologies, Inc. (a) | 50,821 | 67,592 | ||||||
Brooks Automation, Inc. | 31,418 | 322,663 | ||||||
Cognex Corp. | 19,650 | 703,274 | ||||||
Cohu, Inc. | 11,475 | 130,241 | ||||||
Cymer, Inc. (a) | 14,461 | 719,579 | ||||||
Electro Scientific Industries, Inc. | 10,686 | 154,733 | ||||||
Entegris, Inc. (a) | 63,753 | 556,245 | ||||||
FEI Co. (a) | 18,330 | 747,497 | ||||||
FSI International, Inc. (a) | 18,509 | 67,743 | ||||||
GSI Group, Inc. (a) | 12,244 | 125,256 | ||||||
Intevac, Inc. (a)(b) | 10,909 | 80,727 | ||||||
Kulicke & Soffa Industries, Inc. (a) | 34,180 | 316,165 |
See Notes to Financial Statements.
64 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Production Technology Equipment (concluded) |
| |||||||
LTX-Credence Corp. (a) | 23,507 | $ | 125,763 | |||||
MKS Instruments, Inc. | 24,760 | 688,823 | ||||||
Nanometrics, Inc. (a) | 9,536 | 175,653 | ||||||
Photronics, Inc. (a) | 27,962 | 170,009 | ||||||
Rudolph Technologies, Inc. (a)(b) | 14,997 | 138,872 | ||||||
Tessera Technologies, Inc. (a) | 24,262 | 406,389 | ||||||
Ultra Clean Holdings, Inc. (a) | 10,712 | 65,450 | ||||||
Ultratech, Inc. (a) | 11,911 | 292,653 | ||||||
Veeco Instruments, Inc. (a) | 19,309 | 401,627 | ||||||
|
| |||||||
6,757,865 | ||||||||
|
| |||||||
Publishing – 0.4% | ||||||||
AH Belo Corp. | 8,552 | 40,622 | ||||||
Courier Corp. | 4,851 | 56,902 | ||||||
The Dolan Co. (a) | 14,336 | 122,143 | ||||||
Journal Communications, Inc., Class A (a) | 20,633 | 90,785 | ||||||
Martha Stewart Living Omnimedia, Inc., Class A | 12,937 | 56,923 | ||||||
McClatchy Co., Class A (a)(b) | 27,142 | 64,869 | ||||||
Meredith Corp. | 17,216 | 562,102 | ||||||
The New York Times Co., | 64,963 | 502,164 | ||||||
Scholastic Corp. | 12,577 | 376,933 | ||||||
Value Line, Inc. | 699 | 7,186 | ||||||
|
| |||||||
1,880,629 | ||||||||
|
| |||||||
Radio & TV Broadcasters – 0.2% |
| |||||||
Central European Media Enterprises, Ltd. (a) | 17,350 | 113,122 | ||||||
Crown Media Holdings, Inc., | 18,488 | 22,370 | ||||||
Cumulus Media, Inc., Class A (a) | 17,291 | 57,752 | ||||||
Dial Global, Inc. (a)(b) | 2,711 | 8,648 | ||||||
Entercom Communications | 11,465 | 70,510 | ||||||
Entravision Communications Corp., Class A | 25,376 | 39,587 | ||||||
Fisher Communications, Inc. (a) | 4,138 | 119,299 | ||||||
Gray Television, Inc. (a) | 24,582 | 39,823 | ||||||
Lin TV Corp., Class A (a) | 13,877 | 58,700 | ||||||
Nexstar Broadcasting Group, Inc., Class A (a) | 4,924 | 38,604 | ||||||
Outdoor Channel Holdings, Inc. | 6,875 | 51,287 | ||||||
Saga Communications, Inc. (a) | 1,766 | 66,013 | ||||||
Sinclair Broadcast Group, Inc., Class A | 23,901 | 270,798 | ||||||
|
| |||||||
956,513 | ||||||||
|
| |||||||
Railroad Equipment – 0.1% | ||||||||
American Railcar Industries, | 4,644 | 111,131 | ||||||
Freightcar America, Inc. (a) | 5,687 | 119,142 | ||||||
Greenbrier Cos., Inc. (a)(b) | 9,371 | 227,528 | ||||||
|
| |||||||
457,801 | ||||||||
|
| |||||||
Railroads – 0.2% | ||||||||
Genesee & Wyoming, Inc., Class A (a) | 18,773 | 1,137,268 | ||||||
Railamerica, Inc. (a) | 10,096 | 150,330 | ||||||
|
| |||||||
1,287,598 | ||||||||
|
| |||||||
Real Estate – 0.2% | ||||||||
Avatar Holdings, Inc. (a) | 4,497 | 32,288 | ||||||
Consolidated-Tomoka Land Co. | 1,911 | 51,731 | ||||||
Forestar Group, Inc. (a) | 16,822 | 254,517 | ||||||
Griffin Land & Nurseries, Inc. | 1,164 | 30,799 | ||||||
HFF, Inc., Class A (a) | 13,975 | 144,362 | ||||||
Kennedy-Wilson Holdings, Inc. | 12,531 | 132,578 | ||||||
Tejon Ranch Co. (a) | 6,748 | 165,191 | ||||||
|
| |||||||
811,466 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
Real Estate Investment Trusts (REITs) – 8.8% |
| |||||||
Acadia Realty Trust | 20,137 | $ | 405,559 | |||||
AG Mortgage Investment Trust, Inc. | 3,062 | 61,638 | ||||||
Agree Realty Corp. | 4,742 | 115,610 | ||||||
Alexander’s, Inc. | 971 | 359,299 | ||||||
American Assets Trust, Inc. | 15,204 | 311,834 | ||||||
American Campus Communities, Inc. (b) | 32,143 | 1,348,720 | ||||||
American Capital Mortgage Investment Corp. | 3,909 | 73,567 | ||||||
Anworth Mortgage Asset Corp. | 64,052 | 402,247 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 9,499 | 124,722 | ||||||
ARMOUR Residential REIT, Inc. | 43,834 | 309,030 | ||||||
Ashford Hospitality Trust, Inc. | 24,768 | 198,144 | ||||||
Associated Estates Realty | 19,664 | 313,641 | ||||||
BioMed Realty Trust, Inc. | 72,964 | 1,319,189 | ||||||
Campus Crest Communities, Inc. | 14,513 | 146,001 | ||||||
CapLease, Inc. | 32,521 | 131,385 | ||||||
Capstead Mortgage Corp. | 40,185 | 499,901 | ||||||
CBL & Associates Properties, Inc. | 70,399 | 1,105,264 | ||||||
Cedar Realty Trust, Inc. (b) | 26,860 | 115,767 | ||||||
Chatham Lodging Trust | 6,479 | 69,844 | ||||||
Chesapeake Lodging Trust | 15,357 | 237,419 | ||||||
Cogdell Spencer, Inc. | 21,267 | 90,385 | ||||||
Colonial Properties Trust | 39,605 | 826,160 | ||||||
Colony Financial, Inc. | 15,599 | 245,060 | ||||||
Coresite Realty Corp. | 9,402 | 167,544 | ||||||
Cousins Properties, Inc. | 43,528 | 279,014 | ||||||
CreXus Investment Corp. | 27,378 | 284,184 | ||||||
CubeSmart | 58,198 | 619,227 | ||||||
CYS Investments, Inc. | 39,038 | 512,959 | ||||||
DCT Industrial Trust, Inc. (b) | 116,750 | 597,760 | ||||||
DiamondRock Hospitality | 79,639 | 767,720 | ||||||
Dupont Fabros Technology, | 27,889 | 675,472 | ||||||
Dynex Capital Corp. (b) | 19,046 | 173,890 | ||||||
Eastgroup Properties, Inc. (b) | 12,823 | 557,544 | ||||||
Education Realty Trust, Inc. | 43,647 | 446,509 | ||||||
Entertainment Properties Trust | 22,142 | 967,827 | ||||||
Equity Lifestyle Properties, Inc. | 14,552 | 970,473 | ||||||
Equity One, Inc. | 25,574 | 434,247 | ||||||
Excel Trust, Inc. | 14,478 | 173,736 | ||||||
Extra Space Storage, Inc. | 44,523 | 1,078,792 | ||||||
FelCor Lodging Trust, Inc. (a)(b) | 59,255 | 180,728 | ||||||
First Industrial Realty Trust, | 41,078 | 420,228 | ||||||
First Potomac Realty Trust | 23,835 | 311,047 | ||||||
Franklin Street Properties Corp. | 33,899 | 337,295 | ||||||
Getty Realty Corp. | 12,483 | 174,138 | ||||||
Gladstone Commercial Corp. | 5,278 | 92,629 | ||||||
Glimcher Realty Trust (b) | 50,927 | 468,528 | ||||||
Government Properties Income Trust | 16,874 | 380,509 | ||||||
Hatteras Financial Corp. | 35,450 | 934,817 | ||||||
Healthcare Realty Trust, Inc. (b) | 36,970 | 687,272 | ||||||
Hersha Hospitality Trust (b) | 67,135 | 327,619 | ||||||
Highwoods Properties, Inc. | 34,223 | 1,015,396 | ||||||
Home Properties, Inc. | 22,735 | 1,308,854 | ||||||
Hudson Pacific Properties, Inc. | 10,451 | 147,986 | ||||||
Inland Real Estate Corp. | 36,938 | 281,098 | ||||||
InvesCo. Mortgage Capital, Inc. | 54,883 | 771,106 | ||||||
Investors Real Estate Trust | 38,380 | 279,982 | ||||||
iStar Financial, Inc. (a) | 38,768 | 205,083 | ||||||
Kilroy Realty Corp. | 27,727 | 1,055,567 | ||||||
Kite Realty Group Trust | 26,774 | 120,751 | ||||||
LaSalle Hotel Properties | 40,388 | 977,793 | ||||||
Lexington Corporate Properties Trust | 57,057 | 427,357 | ||||||
LTC Properties, Inc. (b) | 14,459 | 446,205 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 65 |
Table of Contents
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) |
| |||||||
Medical Properties Trust, Inc. | 53,322 | $ | 526,288 | |||||
MFA Financial, Inc. | 169,299 | 1,137,689 | ||||||
Mid-America Apartment Communities, Inc. | 17,371 | 1,086,556 | ||||||
Mission West Properties, Inc. | 8,317 | 75,019 | ||||||
Monmouth Real Estate Investment Corp., Class A | 18,412 | 168,470 | ||||||
MPG Office Trust, Inc. (a) | 23,522 | 46,809 | ||||||
National Health Investors, Inc. | 11,611 | 510,652 | ||||||
National Retail Properties, Inc. | 49,500 | 1,305,810 | ||||||
Newcastle Investment Corp. | 50,057 | 232,765 | ||||||
NorthStar Realty Finance Corp. | 45,477 | 216,925 | ||||||
Omega Healthcare Investors, Inc. (b) | 48,346 | 935,495 | ||||||
One Liberty Properties, Inc. | 5,342 | 88,143 | ||||||
Parkway Properties, Inc. | 10,326 | 101,814 | ||||||
Pebblebrook Hotel Trust | 24,167 | 463,523 | ||||||
Pennsylvania Real Estate Investment Trust (b) | 26,471 | 276,357 | ||||||
PennyMac Mortgage Investment Trust (d) | 13,158 | 218,686 | ||||||
Post Properties, Inc. | 23,611 | 1,032,273 | ||||||
Potlatch Corp. (b) | 19,111 | 594,543 | ||||||
PS Business Parks, Inc. | 8,838 | 489,890 | ||||||
RAIT Financial Trust | 18,666 | 88,664 | ||||||
Ramco-Gershenson Properties Trust | 18,454 | 181,403 | ||||||
Redwood Trust, Inc. | 37,226 | 378,961 | ||||||
Resource Capital Corp. | 36,793 | 206,409 | ||||||
Retail Opportunity Investments Corp. | 23,410 | 277,174 | ||||||
RLJ Lodging Trust | 13,104 | 220,540 | ||||||
Sabra Healthcare REIT, Inc. | 17,561 | 212,312 | ||||||
Saul Centers, Inc. | 3,471 | 122,943 | ||||||
Sovran Self Storage, Inc. | 13,157 | 561,409 | ||||||
STAG Industrial, Inc. | 7,275 | 83,444 | ||||||
Starwood Property Trust, Inc. | 44,307 | 820,123 | ||||||
Strategic Hotel Capital, Inc. (a) | 82,968 | 445,538 | ||||||
Summit Hotel Properties, Inc. | 13,024 | 122,947 | ||||||
Sun Communities, Inc. | 10,064 | 367,638 | ||||||
Sunstone Hotel Investors, | 56,088 | 457,117 | ||||||
Tanger Factory Outlet Centers, Inc. | 40,689 | 1,193,001 | ||||||
Terreno Realty Corp. | 4,348 | 65,829 | ||||||
Two Harbors Investment Corp. | 66,738 | 616,659 | ||||||
UMH Properties, Inc. | 5,972 | 55,599 | ||||||
Universal Health Realty Income Trust | 3,196 | 124,644 | ||||||
Urstadt Biddle Properties, Inc., Class A | 11,063 | 200,019 | ||||||
Walter Investment Management Corp. | 12,226 | 250,755 | ||||||
Washington Real Estate Investment Trust | 31,302 | 856,110 | ||||||
Whitestone REIT | 3,393 | 40,377 | ||||||
Winthrop Realty Trust | 13,820 | 140,549 | ||||||
|
| |||||||
46,467,143 | ||||||||
|
| |||||||
Recreational Vehicles & Boats – 0.2% |
| |||||||
Arctic Cat, Inc. (a) | 5,767 | 130,046 | ||||||
Brunswick Corp. | 42,191 | 761,970 | ||||||
Drew Industries, Inc. (a) | 9,061 | 222,266 | ||||||
Marine Products Corp. (a) | 5,167 | 25,628 | ||||||
Winnebago Industries, Inc. (a) | 13,802 | 101,859 | ||||||
|
| |||||||
1,241,769 | ||||||||
|
| |||||||
Rental & Leasing Services: Consumer – 0.6% |
| |||||||
Amerco, Inc. (a) | 4,103 | 362,705 | ||||||
Avis Budget Group, Inc. (a) | 49,773 | 533,567 | ||||||
Dollar Thrifty Automotive Group, Inc. (a)(b) | 13,704 | 962,843 | ||||||
Rent-A-Center, Inc. | 27,827 | 1,029,599 | ||||||
Zipcar, Inc. (a)(b) | 4,728 | 63,450 | ||||||
|
| |||||||
2,952,164 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
Restaurants – 1.5% | ||||||||
AFC Enterprises, Inc. (a) | 11,748 | $ | 172,696 | |||||
Benihana, Inc. | 6,608 | 67,600 | ||||||
Biglari Holdings, Inc. (a) | 574 | 211,370 | ||||||
BJ’s Restaurants, Inc. (a) | 11,392 | 516,285 | ||||||
Bob Evans Farms, Inc. | 14,370 | 481,970 | ||||||
Bravo Brio Restaurant Group, | 9,141 | 156,768 | ||||||
Buffalo Wild Wings, Inc. (a)(b) | 8,672 | 585,447 | ||||||
Caribou Coffee Co., Inc. (a) | 5,988 | 83,533 | ||||||
Carrols Restaurant Group, Inc. (a) | 6,117 | 70,774 | ||||||
CEC Entertainment, Inc. | 9,405 | 324,002 | ||||||
The Cheesecake Factory, Inc. (a) | 27,375 | 803,456 | ||||||
Cracker Barrel Old Country Store, Inc. | 10,866 | 547,755 | ||||||
Denny’s Corp. (a) | 46,958 | 176,562 | ||||||
DineEquity, Inc. (a)(b) | 7,325 | 309,188 | ||||||
Domino’s Pizza, Inc. (a) | 27,560 | 935,662 | ||||||
Einstein Noah Restaurant Group, Inc. | 2,927 | 46,305 | ||||||
Ellie Mae, Inc. (a) | 4,123 | 23,295 | ||||||
Jack in the Box, Inc. (a) | 20,802 | 434,762 | ||||||
Jamba, Inc. (a) | 30,157 | 39,506 | ||||||
Krispy Kreme Doughnuts, Inc. (a) | 27,765 | 181,583 | ||||||
Luby’s, Inc. (a) | 9,063 | 40,874 | ||||||
McCormick & Schmick’s Seafood Restaurants, Inc. (a) | 6,279 | 54,878 | ||||||
O’Charleys, Inc. (a)(b) | 9,011 | 49,470 | ||||||
P.F. Chang’s China Bistro, Inc. | 10,069 | 311,233 | ||||||
Papa John’s International, Inc. (a) | 8,834 | 332,865 | ||||||
Red Robin Gourmet Burgers, | 6,146 | 170,244 | ||||||
Ruby Tuesday, Inc. (a) | 30,978 | 213,748 | ||||||
Ruth’s Hospitality Group, Inc. (a) | 16,781 | 83,402 | ||||||
Sonic Corp. (a) | 29,287 | 197,102 | ||||||
Texas Roadhouse, Inc., Class A | 29,859 | 444,899 | ||||||
|
| |||||||
8,067,234 | ||||||||
|
| |||||||
Scientific Instruments: Control & Filter – 0.7% |
| |||||||
Brady Corp. | 22,505 | 710,483 | ||||||
CIRCOR International, Inc. | 8,163 | 288,236 | ||||||
Energy Recovery, Inc. (a) | 21,246 | 54,815 | ||||||
ESCO Technologies, Inc. | 12,605 | 362,772 | ||||||
The Gorman-Rupp Co. | 7,232 | 196,349 | ||||||
Mine Safety Appliances Co. | 12,901 | 427,281 | ||||||
PMFG, Inc. (a) | 8,340 | 162,713 | ||||||
Robbins & Myers, Inc. | 18,684 | 907,108 | ||||||
Sun Hydraulics, Inc. | 9,550 | 223,756 | ||||||
Thermon Group Holdings, Inc. (a) | 4,742 | 83,554 | ||||||
Watts Water Technologies, Inc., Class A | 14,252 | 487,561 | ||||||
X-Rite, Inc. (a) | 12,373 | 57,411 | ||||||
|
| |||||||
3,962,039 | ||||||||
|
| |||||||
Scientific Instruments: Electrical – 0.6% |
| |||||||
A123 Systems, Inc. (a) | 41,814 | 67,321 | ||||||
American Superconductor | 21,173 | 78,128 | ||||||
A.O. Smith Corp. | 18,001 | 722,200 | ||||||
AZZ, Inc. | 5,942 | 270,005 | ||||||
Broadwind Energy, Inc. (a) | 55,821 | 37,958 | ||||||
Coleman Cable, Inc. (a) | 4,183 | 36,392 | ||||||
EnerSys (a) | 22,602 | 586,974 | ||||||
Franklin Electric Co., Inc. | 11,029 | 480,423 | ||||||
Houston Wire & Cable Co. | 8,477 | 117,152 | ||||||
Littelfuse, Inc. | 10,766 | 462,723 | ||||||
Preformed Line Products Co. | 1,130 | 67,416 | ||||||
SatCon Technology Corp. (a) | 25,649 | 15,392 | ||||||
Taser International, Inc. (a) | 26,372 | 135,025 | ||||||
Valence Technology, Inc. (a) | 36,478 | 35,748 | ||||||
|
| |||||||
3,112,857 | ||||||||
|
|
See Notes to Financial Statements.
66 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Scientific Instruments: Gauges & Meters – 0.2% |
| |||||||
Badger Meter, Inc. | 7,144 | $ | 210,248 | |||||
Faro Technologies, Inc. (a) | 7,742 | 356,132 | ||||||
Measurement Specialties, Inc. (a) | 7,089 | 198,209 | ||||||
Vishay Precision Group, Inc. (a) | 5,788 | 92,492 | ||||||
Zygo Corp. (a) | 7,548 | 133,222 | ||||||
|
| |||||||
990,303 | ||||||||
|
| |||||||
Scientific Instruments: Pollution Control – 0.6% |
| |||||||
Clean Harbors, Inc. (a)(b) | 22,189 | 1,414,105 | ||||||
Darling International, Inc. (a) | 55,459 | 737,050 | ||||||
EnergySolutions, Inc. (a) | 37,817 | 116,855 | ||||||
Fuel Tech, Inc. (a) | 8,724 | 57,404 | ||||||
Heritage-Crystal Clean, Inc. (a) | 2,328 | 38,552 | ||||||
Met-Pro Corp. | 6,875 | 62,150 | ||||||
Metalico, Inc. (a) | 18,767 | 61,743 | ||||||
Team, Inc. (a)(b) | 9,223 | 274,384 | ||||||
TRC Cos., Inc. (a) | 8,414 | 50,568 | ||||||
US Ecology, Inc. | 8,742 | 164,175 | ||||||
WCA Waste Corp. (a) | 7,998 | 52,067 | ||||||
|
| |||||||
3,029,053 | ||||||||
|
| |||||||
Securities Brokerage & Services – 0.4% |
| |||||||
BGC Partners, Inc. | 36,076 | 214,291 | ||||||
FXCM, Inc. | 8,047 | 78,458 | ||||||
Gain Capital Holdings, Inc. | 4,017 | 26,914 | ||||||
GFI Group, Inc. | 33,832 | 139,388 | ||||||
Gladstone Investment Corp. | 10,319 | 75,019 | ||||||
International FCStone, Inc. (a) | 6,258 | 147,501 | ||||||
Investment Technology Group, Inc. (a) | 19,558 | 211,422 | ||||||
KBW, Inc. | 15,670 | 237,871 | ||||||
Knight Capital Group, Inc., Class A (a)(b) | 47,508 | 561,545 | ||||||
Ladenburg Thalmann Financial Services, Inc. (a) | 50,629 | 125,560 | ||||||
MarketAxess Holdings, Inc. | 13,602 | 409,556 | ||||||
SWS Group, Inc. | 13,881 | 95,362 | ||||||
|
| |||||||
2,322,887 | ||||||||
|
| |||||||
Semiconductors & Components – 2.5% |
| |||||||
Advanced Analogic Technologies, Inc. (a) | 20,241 | 116,993 | ||||||
Aeroflex Holding Corp. (a) | 9,312 | 95,355 | ||||||
Alpha & Omega Semiconductor, Ltd. (a) | 6,712 | 49,065 | ||||||
Amkor Technology, Inc. (a) | 45,952 | 200,351 | ||||||
Amtech Systems, Inc. (a) | 4,791 | 40,771 | ||||||
Anadigics, Inc. (a) | 33,114 | 72,520 | ||||||
Applied Micro Circuits Corp. (a) | 30,106 | 202,312 | ||||||
AXT, Inc. (a) | 15,101 | 62,971 | ||||||
Cavium, Inc. (a)(b) | 22,941 | 652,213 | ||||||
Ceva, Inc. (a) | 10,912 | 330,197 | ||||||
Cirrus Logic, Inc. (a)(b) | 31,390 | 497,532 | ||||||
Diodes, Inc. (a) | 16,767 | 357,137 | ||||||
DSP Group, Inc. (a) | 6,828 | 35,574 | ||||||
eMagin Corp. (a) | 8,794 | 32,538 | ||||||
Emcore Corp. (a) | 45,287 | 39,051 | ||||||
Entropic Communications, Inc. (a) | 40,737 | 208,166 | ||||||
Exar Corp. (a) | 17,246 | 112,099 | ||||||
Formfactor, Inc. (a) | 23,966 | 121,268 | ||||||
GT Advanced Technologies, | 59,734 | 432,474 | ||||||
Hittite Microwave Corp. (a) | 14,843 | 732,947 | ||||||
Inphi Corp. (a) | 10,151 | 121,406 | ||||||
Integrated Device Technology, Inc. (a) | 70,337 | 384,040 | ||||||
Integrated Silicon Solutions, | 12,738 | 116,425 | ||||||
IXYS Corp. (a)(b) | 11,502 | 124,567 |
Common Stocks | Shares | Value | ||||||
Semiconductors & Components (concluded) |
| |||||||
Kopin Corp. (a) | 31,808 | $ | 123,415 | |||||
Lattice Semiconductor | 55,925 | 332,195 | ||||||
MaxLinear, Inc., Class A (a) | 7,258 | 34,476 | ||||||
Micrel, Inc. | 23,977 | 242,407 | ||||||
Microsemi Corp. (a) | 40,967 | 686,197 | ||||||
Mindspeed Technologies, | 16,376 | 75,002 | ||||||
MIPS Technologies, Inc. (a) | 25,060 | 111,768 | ||||||
Monolithic Power Systems, Inc. (a)(b) | 14,221 | 214,310 | ||||||
MoSys, Inc. (a) | 14,912 | 62,630 | ||||||
Netlogic Microsystems, Inc. (a) | 32,357 | 1,603,937 | ||||||
Omnivision Technologies, | 27,520 | 336,707 | ||||||
Pericom Semiconductor | 11,937 | 90,841 | ||||||
PLX Technology, Inc. (a) | 20,997 | 60,261 | ||||||
Power Integrations, Inc. | 13,671 | 453,330 | ||||||
Rambus, Inc. (a)(b) | 46,589 | 351,747 | ||||||
RF Micro Devices, Inc. (a) | 130,895 | 706,833 | ||||||
Rubicon Technology, Inc. (a) | 8,141 | 76,444 | ||||||
Semtech Corp. (a)(b) | 30,919 | 767,410 | ||||||
Sigma Designs, Inc. (a) | 14,969 | 89,814 | ||||||
Silicon Image, Inc. (a) | 37,771 | 177,524 | ||||||
Spansion, Inc., Class A (a) | 23,901 | 197,900 | ||||||
Standard Microsystems | 10,907 | 281,073 | ||||||
Supertex, Inc. (a) | 4,884 | 92,210 | ||||||
TriQuint Semiconductor, | 77,968 | 379,704 | ||||||
Volterra Semiconductor | 11,645 | 298,228 | ||||||
|
| |||||||
12,984,335 | ||||||||
|
| |||||||
Shipping – 0.3% | ||||||||
Baltic Trading Ltd. | 7,643 | 36,304 | ||||||
DHT Holdings, Inc. | 32,967 | 24,396 | ||||||
Eagle Bulk Shipping, Inc. (b) | 31,914 | 30,066 | ||||||
Excel Maritime Carriers | 23,021 | 33,381 | ||||||
Frontline, Ltd. (b) | 24,303 | 104,260 | ||||||
Genco Shipping & Trading Ltd. (a) | 13,959 | 94,363 | ||||||
Gulfmark Offshore, Inc., Class A (a) | 11,234 | 471,940 | ||||||
International Shipholding Corp. | 2,580 | 48,220 | ||||||
Knightsbridge Tankers Ltd. | 10,484 | 143,316 | ||||||
Nordic American Tankers Ltd. | 22,468 | 269,391 | ||||||
Overseas Shipholding Group, Inc. (b) | 12,618 | 137,915 | ||||||
Scorpio Tankers, Inc. (a) | 14,308 | 69,966 | ||||||
Ship Finance International | 21,504 | 200,847 | ||||||
Teekay Tankers Ltd., Class A | 19,801 | 69,700 | ||||||
Ultrapetrol Bahamas Ltd. (a)(b) | 10,220 | 30,456 | ||||||
|
| |||||||
1,764,521 | ||||||||
|
| |||||||
Specialty Retail – 3.5% | ||||||||
1-800-FLOWERS.COM, Inc., | 12,405 | 27,291 | ||||||
Aéropostale, Inc. (a)(b) | 38,282 | 583,800 | ||||||
America’s Car Mart, Inc. (a) | 4,050 | 158,679 | ||||||
ANN, Inc. (a) | 24,655 | 610,951 | ||||||
Asbury Automotive Group, Inc. (a)(b) | 13,794 | 297,399 | ||||||
Ascena Retail Group, Inc. (a) | 29,757 | 884,378 | ||||||
Barnes & Noble, Inc. (b) | 13,761 | 199,259 | ||||||
bebe Stores, Inc. | 18,298 | 152,422 | ||||||
Big 5 Sporting Goods Corp. | 10,429 | 108,879 | ||||||
Blue Nile, Inc. (a)(b) | 5,647 | 230,849 | ||||||
Body Central Corp. (a) | 5,569 | 139,002 | ||||||
Brown Shoe Co., Inc. | 19,927 | 177,350 | ||||||
The Buckle, Inc. | 12,770 | 521,910 | ||||||
Build-A-Bear Workshop, | 6,847 | 57,926 | ||||||
Cabela’s, Inc., Class A (a) | 20,510 | 521,364 | ||||||
Casual Male Retail Group, | 19,782 | 67,654 |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 67 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Specialty Retail (concluded) |
| |||||||
The Cato Corp., Class A | 13,131 | $ | 317,770 | |||||
Charming Shoppes, Inc. (a) | 55,178 | 270,372 | ||||||
The Children’s Place Retail Stores, Inc. (a) | 12,352 | 656,138 | ||||||
Christopher & Banks Corp. | 16,329 | 38,210 | ||||||
Citi Trends, Inc. (a) | 6,846 | 60,108 | ||||||
Coldwater Creek, Inc. (a) | 34,136 | 40,280 | ||||||
Collective Brands, Inc. (a) | 29,157 | 418,986 | ||||||
Conn’s, Inc. (a) | 6,889 | 76,468 | ||||||
Cost Plus, Inc. (a) | 9,004 | 87,789 | ||||||
Destination Maternity Corp. | 5,091 | 85,122 | ||||||
Express, Inc. (a) | 26,150 | 521,431 | ||||||
The Finish Line, Inc., Class A | 24,573 | 473,890 | ||||||
Francesca’s Holdings Corp. (a) | 4,707 | 81,431 | ||||||
Genesco, Inc. (a) | 11,219 | 692,661 | ||||||
Group 1 Automotive, Inc. | 10,757 | 557,213 | ||||||
Haverty Furniture Cos., Inc. | 8,913 | 97,865 | ||||||
hhgregg, Inc. (a)(b) | 7,977 | 115,268 | ||||||
Hibbett Sports, Inc. (a)(b) | 12,972 | 586,075 | ||||||
Hot Topic, Inc. | 20,091 | 132,802 | ||||||
Jos. A. Bank Clothiers, Inc. (a) | 13,086 | 638,073 | ||||||
Lithia Motors, Inc., Class A | 10,441 | 228,240 | ||||||
Lumber Liquidators Holdings, Inc. (a) | 10,957 | 193,501 | ||||||
MarineMax, Inc. (a) | 11,075 | 72,209 | ||||||
Mattress Firm Holding | 2,841 | 65,883 | ||||||
The Men’s Wearhouse, Inc. | 24,398 | 790,739 | ||||||
Monro Muffler, Inc. | 14,430 | 559,740 | ||||||
New York & Co. (a) | 13,808 | 36,729 | ||||||
Nu Skin Enterprises, Inc., Class A | 25,970 | 1,261,363 | ||||||
Office Depot, Inc. (a) | 131,668 | 283,086 | ||||||
OfficeMax, Inc. (a)(b) | 40,715 | 184,846 | ||||||
Pacific Sunwear of California, Inc. (a) | 21,866 | 37,391 | ||||||
Penske Auto Group, Inc. | 21,121 | 406,579 | ||||||
The Pep Boys – Manny, Moe & Jack | 24,952 | 274,472 | ||||||
Pier 1 Imports, Inc. (a) | 46,518 | 647,996 | ||||||
Regis Corp. | 27,366 | 452,907 | ||||||
Rue21, Inc. (a) | 7,101 | 153,382 | ||||||
Shoe Carnival, Inc. (a) | 4,340 | 111,538 | ||||||
Shutterfly, Inc. (a)(b) | 14,089 | 320,666 | ||||||
Sonic Automotive, Inc. | 19,073 | 282,471 | ||||||
Stage Stores, Inc. | 14,775 | 205,225 | ||||||
Stamps.com, Inc. (a) | 5,024 | 131,277 | ||||||
Stein Mart, Inc. (a) | 13,130 | 89,415 | ||||||
Systemax, Inc. (a) | 5,123 | 84,068 | ||||||
The Talbots, Inc. (a) | 32,730 | 87,062 | ||||||
Teavana Holdings, Inc. (a)(b) | 3,323 | 62,406 | ||||||
Vitamin Shoppe, Inc. (a)(b) | 11,737 | 468,072 | ||||||
The Wet Seal, Inc., | 42,954 | 140,030 | ||||||
Zale Corp. (a) | 15,179 | 57,832 | ||||||
Zumiez, Inc. (a) | 10,081 | 279,849 | ||||||
|
| |||||||
18,656,039 | ||||||||
|
| |||||||
Steel – 0.1% | ||||||||
Carbonite, Inc. (a)(b) | 3,583 | 39,772 | ||||||
Handy & Harman Ltd. (a) | 2,848 | 28,195 | ||||||
Olympic Steel, Inc. | 4,391 | 102,398 | ||||||
Shiloh Industries, Inc. (a) | 2,458 | 20,598 | ||||||
TMS International Corp. (a) | 6,026 | 59,537 | ||||||
Universal Stainless & Alloy Products, Inc. (a) | 3,373 | 126,015 | ||||||
|
| |||||||
376,515 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
Sugar – 0.0% | ||||||||
Imperial Sugar Co., New Shares | 6,145 | $ | 21,938 | |||||
|
| |||||||
Synthetic Fibers & Chemicals – 0.0% |
| |||||||
Zoltek Cos., Inc. (a) | 13,062 | 99,532 | ||||||
|
| |||||||
Technology: Miscellaneous – 0.4% |
| |||||||
Benchmark Electronics, | 28,743 | 387,168 | ||||||
CTS Corp. | 16,321 | 150,153 | ||||||
Fabrinet (a) | 9,664 | 132,204 | ||||||
Pendrell Corp. (a) | 72,206 | 184,847 | ||||||
Plexus Corp. (a)(b) | 16,842 | 461,134 | ||||||
Sanmina-SCI Corp. (a) | 38,163 | 355,298 | ||||||
Vocus, Inc. (a)(b) | 8,346 | 184,363 | ||||||
|
| |||||||
1,855,167 | ||||||||
|
| |||||||
Telecommunications Equipment – 0.2% |
| |||||||
Arris Group, Inc. (a) | 58,618 | 634,247 | ||||||
Brightpoint, Inc. (a) | 32,309 | 347,645 | ||||||
Communications Systems, Inc. | 3,259 | 45,821 | ||||||
OpNext, Inc. (a) | 22,764 | 18,389 | ||||||
Powerwave Technologies, Inc. (a) | 15,092 | 31,391 | ||||||
Symmetricom, Inc. (a) | 20,561 | 110,824 | ||||||
Ubiquiti Networks, Inc. (a) | 4,122 | 75,144 | ||||||
|
| |||||||
1,263,461 | ||||||||
|
| |||||||
Textile Products – 0.1% | ||||||||
Interface, Inc., Class A | 25,007 | 288,581 | ||||||
Unifi, Inc. (a) | 6,344 | 48,214 | ||||||
|
| |||||||
336,795 | ||||||||
|
| |||||||
Textiles Apparel & Shoes – 1.5% |
| |||||||
Carter’s, Inc. (a) | 23,272 | 926,458 | ||||||
Cherokee, Inc. | 3,904 | 45,560 | ||||||
Columbia Sportswear Co. | 5,744 | 267,383 | ||||||
Crocs, Inc. (a) | 42,782 | 631,890 | ||||||
Delta Apparel, Inc. (a) | 3,425 | 65,383 | ||||||
G-III Apparel Group Ltd. (a) | 7,831 | 195,070 | ||||||
Iconix Brand Group, Inc. (a) | 34,558 | 562,950 | ||||||
The Jones Group, Inc. | 38,353 | 404,624 | ||||||
K-Swiss, Inc., Class A (a)(b) | 11,855 | 34,617 | ||||||
Kenneth Cole Productions, Inc., Class A (a) | 3,535 | 37,436 | ||||||
Liz Claiborne, Inc. (a)(b) | 44,833 | 386,909 | ||||||
Maidenform Brands, Inc. (a) | 11,075 | 202,673 | ||||||
Oxford Industries, Inc. | 6,077 | 274,194 | ||||||
Perry Ellis International, Inc. (a) | 5,688 | 80,883 | ||||||
Quiksilver, Inc. (a) | 61,538 | 222,152 | ||||||
R.G. Barry Corp. | 3,978 | 48,054 | ||||||
Skechers U.S.A., Inc., Class A (a) | 17,728 | 214,863 | ||||||
Steven Madden Ltd. (a)(b) | 17,927 | 618,482 | ||||||
True Religion Apparel, Inc. (a) | 12,218 | 422,498 | ||||||
Vera Bradley, Inc. (a)(b) | 9,370 | 302,183 | ||||||
The Warnaco Group, Inc. (a) | 19,167 | 959,117 | ||||||
Weyco Group, Inc. | 3,267 | 80,205 | ||||||
Wolverine World Wide, Inc. | 23,499 | 837,504 | ||||||
|
| |||||||
7,821,088 | ||||||||
|
|
See Notes to Financial Statements.
68 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Tobacco – 0.2% | ||||||||
Alliance One International, | 41,120 | $ | 111,847 | |||||
Star Scientific, Inc. (a)(b) | 51,044 | 111,276 | ||||||
Universal Corp. | 10,967 | 504,043 | ||||||
Vector Group Ltd. | 22,795 | 404,839 | ||||||
|
| |||||||
1,132,005 | ||||||||
|
| |||||||
Toys – 0.1% | ||||||||
Jakks Pacific, Inc. | 12,853 | 181,356 | ||||||
Leapfrog Enterprises, Inc. (a) | 19,671 | 109,961 | ||||||
|
| |||||||
291,317 | ||||||||
|
| |||||||
Transportation Miscellaneous – 0.2% |
| |||||||
Echo Global Logistics, Inc. (a) | 5,322 | 85,950 | ||||||
HUB Group, Inc., Class A (a)(b) | 17,428 | 565,190 | ||||||
Odyssey Marine Exploration, Inc. (a)(b) | 34,442 | 94,371 | ||||||
Pacer International, Inc. (a) | 16,164 | 86,477 | ||||||
Textainer Group Holdings Ltd. | 5,421 | 157,860 | ||||||
Wesco Aircraft Holdings, | 9,952 | 139,229 | ||||||
|
| |||||||
1,129,077 | ||||||||
|
| |||||||
Truckers – 0.7% | ||||||||
Arkansas Best Corp. | 12,031 | 231,837 | ||||||
Celadon Group, Inc. | 9,536 | 112,620 | ||||||
Covenant Transport Group, Inc., Class A (a) | 3,660 | 10,870 | ||||||
Forward Air Corp. | 13,930 | 446,456 | ||||||
Heartland Express, Inc. | 23,892 | 341,417 | ||||||
Knight Transportation, Inc. | 28,925 | 452,387 | ||||||
Marten Transport Ltd. | 7,346 | 132,155 | ||||||
Old Dominion Freight Line, | 22,472 | 910,790 | ||||||
Patriot Transportation Holding, Inc. (a) | 2,889 | 62,691 | ||||||
Quality Distribution, Inc. (a) | 7,090 | 79,763 | ||||||
Roadrunner Transportation Systems, Inc. (a) | 4,102 | 57,961 | ||||||
Saia, Inc. (a) | 7,443 | 92,889 | ||||||
Swift Transportation Co. (a) | 37,502 | 309,016 | ||||||
Universal Truckload Services, Inc. | 2,617 | 47,499 | ||||||
Werner Enterprises, Inc. | 20,748 | 500,027 | ||||||
|
| |||||||
3,788,378 | ||||||||
|
| |||||||
Utilities: Electrical – 2.2% |
| |||||||
Allete, Inc. | 15,139 | 635,535 | ||||||
Atlantic Power Corp. (a) | 53,785 | 769,125 | ||||||
Avista Corp. | 27,328 | 703,696 | ||||||
Black Hills Corp. | 18,671 | 626,972 | ||||||
Central Vermont Public Service Corp. | 6,326 | 222,043 | ||||||
CH Energy Group, Inc. | 7,378 | 430,728 | ||||||
Cleco Corp. | 28,897 | 1,100,976 | ||||||
Dynegy, Inc. (a) | 48,545 | 134,470 | ||||||
El Paso Electric Co. | 19,925 | 690,202 | ||||||
The Empire District Electric Co. | 19,884 | 419,354 | ||||||
Genie Energy Ltd. | 7,144 | 56,652 | ||||||
IDACORP, Inc. | 23,481 | 995,829 | ||||||
MGE Energy, Inc. | 10,979 | 513,488 | ||||||
NorthWestern Corp. | 17,208 | 615,874 | ||||||
Otter Tail Corp. | 17,142 | 377,467 | ||||||
Pike Electric Corp. (a) | 7,664 | 55,104 | ||||||
PNM Resources, Inc. | 37,769 | 688,529 | ||||||
Portland General Electric Co. | 35,695 | 902,726 | ||||||
UIL Holdings Corp. | 23,954 | 847,253 | ||||||
Unisource Energy Corp. | 17,369 | 641,263 | ||||||
Unitil Corp. | 5,128 | 145,533 | ||||||
|
| |||||||
11,572,819 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
Utilities: Gas Distributors – 1.2% |
| |||||||
Chesapeake Utilities Corp. | 4,537 | $ | 196,679 | |||||
The Laclede Group, Inc. | 10,659 | 431,370 | ||||||
New Jersey Resources Corp. | 19,639 | 966,239 | ||||||
Northwest Natural Gas Co. | 12,661 | 606,841 | ||||||
Piedmont Natural Gas Co. | 34,111 | 1,159,092 | ||||||
South Jersey Industries, Inc. | 14,215 | 807,554 | ||||||
Southwest Gas Corp. | 21,751 | 924,200 | ||||||
WGL Holdings, Inc. | 24,310 | 1,074,988 | ||||||
|
| |||||||
6,166,963 | ||||||||
|
| |||||||
Utilities: Miscellaneous – 0.0% |
| |||||||
Ormat Technologies, Inc. | 8,558 | 154,301 | ||||||
|
| |||||||
Utilities: Telecommunications – 0.8% |
| |||||||
8x8, Inc. (a) | 29,090 | 92,215 | ||||||
Alaska Communications Systems Group, Inc. (b) | 21,152 | 63,668 | ||||||
Atlantic Tele-Network, Inc. | 4,449 | 173,734 | ||||||
Boingo Wireless, Inc. (a) | 2,887 | 24,828 | ||||||
Cbeyond Communications, Inc. (a) | 13,294 | 106,485 | ||||||
Cincinnati Bell, Inc. (a)(b) | 94,239 | 285,544 | ||||||
Cogent Communications Group, | 21,735 | 367,104 | ||||||
Consolidated Communications Holdings, Inc. | 12,421 | 236,620 | ||||||
Fairpoint Communications, | 9,874 | 42,754 | ||||||
General Communication, Inc., Class A (a)(b) | 19,656 | 192,432 | ||||||
Globalstar, Inc. (a)(b) | 53,210 | 28,733 | ||||||
HickoryTech Corp. | 6,392 | 70,823 | ||||||
IDT Corp., Class B | 6,633 | 62,218 | ||||||
inContact, Inc. (a) | 14,490 | 64,191 | ||||||
Iridium Communications, | 20,569 | 158,587 | ||||||
j2 Global, Inc. | 21,748 | 611,989 | ||||||
Leap Wireless International, | 28,860 | 268,109 | ||||||
Lumos Networks Corp. | 7,122 | 109,252 | ||||||
Neutral Tandem, Inc. (a) | 14,905 | 159,335 | ||||||
NTELOS Holdings Corp. | 7,130 | 145,309 | ||||||
ORBCOMM, Inc. (a) | 16,916 | 50,579 | ||||||
Premiere Global Services, | 24,806 | 210,107 | ||||||
Shenandoah Telecom Co. | 11,346 | 118,906 | ||||||
SureWest Communications | 6,570 | 79,037 | ||||||
Towerstream Corp. (a) | 21,052 | 44,209 | ||||||
USA Mobility, Inc. | 10,601 | 147,036 | ||||||
Vonage Holdings Corp. (a) | 65,884 | 161,416 | ||||||
|
| |||||||
4,075,220 | ||||||||
|
| |||||||
Utilities: Water – 0.3% | ||||||||
American States Water Co. | 8,867 | 309,458 | ||||||
Artesian Resources Corp., Class A | 3,370 | 63,457 | ||||||
California Water Service Group | 19,894 | 363,264 | ||||||
Connecticut Water Service, Inc. | 4,126 | 111,938 | ||||||
Consolidated Water Co., Inc. | 6,937 | 59,520 | ||||||
Middlesex Water Co. | 7,501 | 139,969 | ||||||
Pennichuck Corp. | 2,179 | 62,821 | ||||||
SJW Corp. | 6,783 | 160,350 | ||||||
York Water Co. | 6,152 | 108,521 | ||||||
|
| |||||||
1,379,298 | ||||||||
|
| |||||||
Total Common Stocks – 98.7% | 522,151,952 | |||||||
|
|
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 69 |
Table of Contents
Schedule of Investments (continued) | Master Small Cap Index Series | |
(Percentages shown are based on Net Assets) |
Investment Companies | Shares | Value | ||||||
Asset Management & Custodian – 0.2% | ||||||||
BlackRock Kelso Capital Corp. (d) | 34,792 | $ | 283,903 | |||||
Gladstone Capital Corp. | 10,173 | 77,620 | ||||||
Hercules Technology Growth Capital, Inc. | 20,886 | 197,164 | ||||||
Pennantpark Investment Corp. | 21,738 | 219,336 | ||||||
Prospect Capital Corp. | 51,782 | 481,055 | ||||||
|
| |||||||
1,259,078 | ||||||||
|
| |||||||
Total Investment Companies – 0.2% |
| 1,259,078 | ||||||
|
| |||||||
Other Interests | ||||||||
Machinery: Industrial – 0.0% |
| |||||||
Gerber Scientific, Inc. (a)(e) | 12,866 | 129 | ||||||
|
| |||||||
Total Other Interests – 0.0% | 129 | |||||||
|
| |||||||
Warrants (f) | ||||||||
Oil: Crude Producers – 0.0% |
| |||||||
Magnum Hunter Resources Corp. (Expires 10/14/13) | 5,700 | — | ||||||
|
| |||||||
Total Warrants – 0.0% | — | |||||||
|
| |||||||
Total Long-Term Investments |
| 523,411,159 | ||||||
|
|
Short-Term Securities | Shares | Value | ||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (d)(g) | 7,771,176 | $ | 7,771,176 | |||||
|
| |||||||
Beneficial Interest (000) | ||||||||
BlackRock Liquidity Series, LLC Money Market Series, 0.22% (d)(g)(h) | $ | 58,202 | 58,201,803 | |||||
|
| |||||||
Total Short-Term Securities |
| 65,972,979 | ||||||
|
| |||||||
Total Investments |
| 589,384,138 | ||||||
Liabilities in Excess of Other Assets – (11.4)% |
| (60,330,561 | ) | |||||
|
| |||||||
Net Assets – 100.0% | $ | 529,053,577 | ||||||
|
|
* | As of December 31, 2011, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
Tax cost | $ | 552,096,089 | ||
|
| |||
Gross unrealized appreciation | $ | 84,839,369 | ||
Gross unrealized depreciation | (47,551,320 | ) | ||
|
| |||
Net unrealized appreciation | $ | 37,288,049 | ||
|
|
(a) | Non-income producing security. |
(b) | Security, or a portion of security, is on loan. |
(c) | All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
(d) | Investments in companies considered to be an affiliate of the Series during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliate | Shares/ Beneficial Interest Held at December 31, 2010 | Shares/ Beneficial Interest Purchased | Shares Sold | Shares/ Beneficial Interest Held at December 31, 2011 | Value at December 31, 2011 | Realized Gain (Loss) | Income | |||||||||||||||||||||
BlackRock Kelso Capital Corp. | 20,122 | 19,019 | (4,349 | ) | 34,792 | $ | 283,903 | $ | (11,522 | ) | $ | 28,204 | ||||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | 7,181,244 | 589,198 | 1 | — | 7,771,176 | $ | 7,771,176 | $ | 139 | $ | 8,079 | |||||||||||||||||
BlackRock Liquidity Series, LLC Money Market Series | $ | 8,152,630 | $ | 50,049,173 | 1 | — | $ | 58,201,803 | $ | 58,201,803 | — | $ | 639,806 | |||||||||||||||
PennyMac Mortgage Investment Trust | 5,329 | 10,221 | (2,392 | ) | 13,158 | $ | 218,686 | $ | (5,810 | ) | $ | 19,341 |
1 | Represents net shares/beneficial interest purchased. |
(e) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(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) | Represents the current yield as of report date. |
(h) | Security was purchased with the cash collateral from loaned securities. |
See Notes to Financial Statements.
70 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Schedule of Investments (concluded) | Master Small Cap Index Series | |
• | Financial futures contracts purchased as of December 31, 2011 were as follows: |
Contracts | Issue | Exchange | Expiration | Notional Value | Unrealized Depreciation | |||||||||
125 | Russell 2000 EMINI | ICE Futures US Indices | March 2012 | $ | 9,235,000 | $ | (7,075 | ) |
• | 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. These definitions 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 categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 – unadjusted 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) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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.
The following tables summarize the inputs used as of December 31, 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 Stocks1 | $ | 522,069,421 | $ | 82,531 | — | $ | 522,151,952 | |||||||||
Investment Companies | 1,259,078 | — | — | 1,259,078 | ||||||||||||
Other Interests | — | 129 | — | 129 | ||||||||||||
Short-Term Securities | 7,771,176 | 58,201,803 | — | 65,972,979 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 531,099,675 | $ | 58,284,463 | — | $ | 589,384,138 | |||||||||
|
|
|
|
|
|
|
|
1 | See above Schedule of Investments for values in each industry excluding Level 2, Banks: Diversified, within the table. |
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Derivative Financial Instruments2 | ||||||||||||||||
Liabilities: | ||||||||||||||||
Equity Contracts | $ | (7,075 | ) | — | — | $ | (7,075 | ) | ||||||||
|
|
|
|
|
|
|
|
2 | Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 71 |
Table of Contents
Statement of Assets and Liabilities | Master Small Cap Index Series |
December 31, 2011 | ||||
Assets | ||||
Investments at value – unaffiliated (including securities loaned of $56,207,758) (cost – $474,050,799) | $ | 522,908,570 | ||
Investments at value – affiliated (cost – $66,518,760) | 66,475,568 | |||
Cash pledged as collateral for financial futures contracts | 727,000 | |||
Investments sold receivable | 26,702,011 | |||
Dividends receivable | 778,995 | |||
Securities lending income receivable – affiliated | 129,452 | |||
Receivable from advisor | 34,365 | |||
Prepaid expenses | 23,514 | |||
|
| |||
Total assets | 617,779,475 | |||
|
| |||
Liabilities | ||||
Bank overdraft | 79,371 | |||
Collateral on securities loaned at value | 58,201,803 | |||
Margin variation payable | 34,832 | |||
Other affiliates payable | 2,958 | |||
Directors’ fees payable | 383 | |||
Withdrawals payable to investor | 30,303,810 | |||
Other accrued expenses payable | 102,741 | |||
|
| |||
Total liabilities | 88,725,898 | |||
|
| |||
Net Assets | $ | 529,053,577 | ||
|
| |||
Net Assets Consist of | ||||
Investors’ capital | $ | 480,246,059 | ||
Net unrealized appreciation/depreciation | 48,807,518 | |||
|
| |||
Net Assets | $ | 529,053,577 | ||
|
|
See Notes to Financial Statements.
72 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Statement of Operations | Master Small Cap Index Series | |
Year Ended December 31, 2011 |
Investment Income | ||||
Dividends – unaffiliated | $ | 6,035,188 | ||
Foreign taxes withheld | (4,470 | ) | ||
Dividends – affiliated | 55,624 | |||
Securities lending – affiliated | 639,806 | |||
|
| |||
Total income | 6,726,148 | |||
|
| |||
Expenses | ||||
Investment advisory | 43,820 | |||
Custodian | 135,602 | |||
Accounting services | 115,227 | |||
Professional | 87,054 | |||
Directors | 12,588 | |||
Printing | 1,199 | |||
Miscellaneous | 19,098 | |||
|
| |||
Total expenses | 414,588 | |||
Less fees waived and/or reimbursed by advisor | (93,339 | ) | ||
|
| |||
Total expenses after fees waived and/or reimbursed | 321,249 | |||
|
| |||
Net investment income | 6,404,899 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) from: | ||||
Investments – unaffiliated | 8,294,002 | |||
Investments – affiliated | (17,193 | ) | ||
Financial futures contracts | (1,236,622 | ) | ||
Foreign currency transactions | 78 | |||
Short positions | 56,001 | |||
|
| |||
7,096,266 | ||||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (46,193,675 | ) | ||
Financial futures contracts | (6,698 | ) | ||
Foreign currency transactions | 14 | |||
|
| |||
(46,200,359 | ) | |||
|
| |||
Total realized and unrealized loss | (39,104,093 | ) | ||
|
| |||
Net Decrease in Net Assets Resulting from Operations | $ | (32,699,194 | ) | |
|
|
See Notes to Financial Statements.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 73 |
Table of Contents
Statements of Changes in Net Assets | Master Small Cap Index Series | |
Year Ended December 31, | ||||||||
Increase (Decrease) in Net Assets: | 2011 | 2010 | ||||||
Operations | ||||||||
Net investment income | $ | 6,404,899 | $ | 3,501,724 | ||||
Net realized gain (loss) | 7,096,266 | (9,889,317 | ) | |||||
Net change in unrealized appreciation/depreciation | (46,200,359 | ) | 60,704,760 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (32,699,194 | ) | 54,317,167 | |||||
|
|
|
| |||||
Capital Transactions | ||||||||
Proceeds from contributions | 449,939,216 | 226,075,632 | ||||||
Value of withdrawals | (226,358,426 | ) | (171,857,514 | ) | ||||
|
|
|
| |||||
Net increase in net assets derived from capital transactions | 223,580,790 | 54,218,118 | ||||||
|
|
|
| |||||
Net Assets | ||||||||
Total increase in net assets | 190,881,596 | 108,535,285 | ||||||
Beginning of year | 338,171,981 | 229,636,696 | ||||||
|
|
|
| |||||
End of year | $ | 529,053,577 | $ | 338,171,981 | ||||
|
|
|
|
Financial Highlights | Master Small Cap Index Series |
Year Ended December 31, | ||||||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||
Total Investment Return | ||||||||||||||||||||
Total investment return | (4.30 | )% | 27.19 | % | 27.37 | % | (33.57 | )% | (1.46 | )% | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||
Total expenses | 0.09 | % | 0.12 | % | 0.09 | % | 0.08 | % | 0.06 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed and fees paid indirectly | 0.07 | % | 0.08 | % | 0.07 | % | 0.07 | % | 0.06 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income | 1.46 | % | 1.27 | % | 1.27 | % | 1.60 | % | 1.69 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 529,054 | $ | 338,172 | $ | 229,637 | $ | 344,720 | $ | 630,394 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Portfolio turnover | 31 | % | 42 | % | 43 | % | 42 | % | 26 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
74 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Notes to Financial Statements | 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 nontransferable 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 NAV 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 Series may withdraw up to 25% of its investment daily, although the manager of the Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.
In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price 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. 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. 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
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 75 |
Table of Contents
Notes to Financial Statements (continued) | Master Small Cap Index Series |
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 or interest income on the securities loaned but does not receive 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 year ended December 31, 2011, any securities on loan were collateralized by cash.
Income Taxes: The Series is classified as a partnership for federal income tax purposes. As such, each investor in the Series is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required. It is intended that the Series’ assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Series files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Series’ US federal tax returns remains open for each of the four years ended December 31, 2011. 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 (the “FASB”) 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 statement disclosures.
In December 2011, the FASB issued guidance that will enhance current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting agreements or similar agreements and will require an entity to disclose both gross and net information about such investments and transactions eligible for offset in the Statement of Assets and Liabilities. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Series’ financial statement 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. These contracts may be transacted on an exchange.
Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. Counterparty risk related to exchange-traded financial futures contracts is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.
Financial Futures Contracts: The Series purchases or sells financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk). Financial futures contracts are agreements between the Series and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on 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
76 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Notes to Financial Statements (continued) | Master Small Cap Index Series |
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.
Derivative Financial Instruments Categorized by Risk Exposure:
Fair Values of Derivative Financial Instruments as of December 31, 2011 |
Liability Derivatives | ||||||||
Statement of Assets and Liabilities Location | Value | |||||||
Equity contracts | | Net unrealized depreciation | * | $ | (7,075 | ) |
* | 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
Year Ended December 31, 2011
Net Realized Loss From | ||||
Financial Futures Contracts | ||||
Equity contracts | $ | (1,236,622 | ) |
Net Change in Unrealized Appreciation/Depreciation on | ||||
Financial Futures Contracts | ||||
Equity contracts | $ | (6,698 | ) |
For the year ended December 31, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:
Financial futures contracts: | ||||
Average number of contracts purchased | 102 | |||
Average notional value of contracts purchased | $ | 7,600,278 |
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 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 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 prior to May 1, 2012 unless approved by the Board, including a majority of the Independent directors. For the year ended December 31, 2011, the Manager waived and/or reimbursed $88,527, 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 in connection with the Series’ investment in other affiliated investment companies, if any. For the year ended December 31, 2011, the Manager waived $4,812, which is included in fees waived and/or reimbursed by advisor in the Statement of Operations.
The Manager entered into a sub-advisory agreement with BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager. The Manager pays BIM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Series to the Manager.
For the year ended December 31, 2011, the Series reimbursed the Manager $5,446 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 year ended December 31, 2011, BIM received $290,249 in securities lending agent fees related to securities lending activities for the Series.
Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 77 |
Table of Contents
Notes to Financial Statements (concluded) | Master Small Cap Index Series |
4. Investments:
Purchases and sales of investments, excluding short-term securities, for the year ended December 31, 2011, were $371,105,816 and $139,139,069, respectively.
5. Borrowings:
The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders, which expired in November 2011. The Series may borrow under the credit agreement to fund shareholder redemptions. Effective November 2010, the credit agreement had the following terms: a commitment fee of 0.08% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month London Inter-bank Offered Rate (“LIBOR”) plus 1.00% per annum or (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. Effective November 2011, the credit agreement was renewed until November 2012 with the following terms: a commitment fee of 0.065% 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 0.80% per annum or (b) the Fed Funds rate plus 0.80% 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, 2011. The Series did not borrow under the credit agreement during the year ended December 31, 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 December 31, 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.
78 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Report of Independent Registered Public Accounting Firm | Master Small Cap Index Series |
To the Investors of Master Small Cap Index Series and Board of Directors of Quantitative Master Series LLC:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master Small Cap Index Series, one of the portfolios constituting Quantitative Master Series LLC (the “Master LLC”), as of December 31, 2011, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Master LLC’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion
on the effectiveness of the Master LLC’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master Small Cap Index Series, one of the portfolios constituting Quantitative Master Series LLC as of December 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
February 22, 2012
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 79 |
Table of Contents
Officers and Directors | Master Small Cap Index Series | |
Name, Address and Year of Birth | Position(s) Held with Master LLC | Length of Time Served as a Director2 | Principal Occupation(s) During Past Five Years | Number of BlackRock- | Public | |||||
Independent Directors1 | ||||||||||
Ronald W. Forbes 55 East 52nd Street New York, NY 10055 1940 | Co-Chairman of the Board and Director | Since 2007 | Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000. | 33 RICs consisting of 107 Portfolios | None | |||||
Rodney D. Johnson 55 East 52nd Street New York, NY 10055 1941 | Co-Chairman of the Board and Director | Since 2007 | President, Fairmount Capital Advisors, Inc. since 1987; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director, The Committee of Seventy (civic) since 2006; Director, Fox Chase Cancer Center from 2004 to 2010. | 33 RICs consisting of 107 Portfolios | None | |||||
David O. Beim 55 East 52nd Street New York, NY 10055 1940 | Director | Since 2007 | Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006. | 33 RICs consisting of 107 Portfolios | None | |||||
Dr. Matina S. Horner 55 East 52nd Street New York, NY 10055 1939 | Director | Since 2007 | Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003. | 33 RICs consisting of 107 Portfolios | NSTAR (electric and gas utility) | |||||
Herbert I. London 55 East 52nd Street New York, NY 10055 1939 | Director | Since 2007 | Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005; Director, Cybersettle (dispute resolution technology) since 2009. | 33 RICs consisting of 107 Portfolios | AIMS Worldwide, Inc. (marketing) | |||||
Cynthia A. Montgomery 55 East 52nd Street New York, NY 10055 1952 | Director | Since 2007 | Professor, Harvard Business School since 1989; Director, McLean Hospital since 2005; Director, Harvard Business School Publishing from 2005 to 2010. | 33 RICs consisting of 107 Portfolios | Newell Rubbermaid, Inc. (manufacturing) | |||||
Joseph P. Platt 55 East 52nd Street New York, NY 10055 1947 | Director | Since 2007 | Director, The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investment) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008. | 33 RICs consisting of 107 Portfolios | Greenlight Capital Re, Ltd. (reinsurance company) | |||||
Robert C. Robb, Jr. 55 East 52nd Street New York, NY 10055 1945 | Director | Since 2007 | Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981. | 33 RICs consisting of 107 Portfolios | None | |||||
Toby Rosenblatt 55 East 52nd Street New York, NY 10055 1938 | Director | Since 2007 | President, Founders Investments Ltd. (private investments) since 1999; Director, College Access Foundation of California (philanthropic foundation) since 2009; Director, Forward Manage- ment, LLC since 2007; Director, A.P. Pharma, Inc. (specialty pharmaceuticals) from 1983 to 2011; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008. | 33 RICs consisting of 107 Portfolios | None |
80 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Officers and Directors (continued) | Master Small Cap Index Series | |
Name, Address and Year of Birth | Position(s) Held | Length of Time Served as a Director2 | Principal Occupation(s) During Past Five Years | Number of BlackRock- | Public | |||||
Independent Directors1 (concluded) | ||||||||||
Kenneth L. Urish 55 East 52nd Street New York, NY 10055 1951 | Director | Since 2007 | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Chairman Elect of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007. | 33 RICs consisting of 107 Portfolios | None | |||||
Frederick W. Winter 55 East 52nd Street New York, NY 10055 1945 | Director | Since 2007 | Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005; Director, Alkon Corporation (pneumatics) since 1992; Director, Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008. | 33 RICs consisting of 107 Portfolios | None |
1 | Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved extensions in terms of Directors who turn 72 prior to December 31, 2013. |
2 | Date shown is the earliest date a person has served for the Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows Directors as joining the Master LLC’s board in 2007, each Director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A.Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. |
Interested Directors3 | ||||||||||
Paul L. Audet 55 East 52nd Street New York, NY 10055 1953 | Director | Since 2011 | Senior Managing Director, BlackRock and Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds busi- ness since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005. | 159 RICs consisting of 286 Portfolios | None | |||||
Henry Gabbay 55 East 52nd Street New York, NY 10055 1947 | Director | Since 2007 | Consultant, BlackRock from 2007 to 2008; Managing Director, BlackRock from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006. | 159 RICs consisting of 286 Portfolios | None |
3 | Mr. Audet is an “interested person,” as defined in the 1940 Act, of the Master LLC based on his position with BlackRock and its affiliates. Mr. Gabbay is an “interested person” of the Master LLC based on his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of the BlackRock registered closed-end funds and Directors of other BlackRock registered open-end funds. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. |
MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 | 81 |
Table of Contents
Officers and Directors (concluded) | Master Small Cap Index Series | |
Name, Address and Year of Birth | Position(s) Held with Master LLC | Length | Principal Occupation(s) During Past Five Years | |||
Officers1 | ||||||
John M. Perlowski 55 East 52nd Street New York, NY 10055 1964 | President and Chief Executive Officer | Since 2010 | Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009. | |||
Brendan Kyne 55 East 52nd Street New York, NY 10055 1977 | Vice President | Since 2009 | Managing Director of BlackRock since 2010; Director of BlackRock from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock from 2005 to 2008. | |||
Neal Andrews 55 East 52nd Street New York, NY 10055 1966 | Chief Financial Officer | Since 2007 | Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006. | |||
Jay Fife 55 East 52nd Street New York, NY 10055 1970 | Treasurer | Since 2007 | Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006. | |||
Brian Kindelan 55 East 52nd Street New York, NY 10055 1959 | Chief Compliance Officer and Anti-Money Laundering Officer | Since 2007 | Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock since 2005. | |||
Ira P. Shapiro 55 East 52nd Street New York, NY 10055 1963 | Secretary | Since 2010 | Managing Director of BlackRock since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008. |
1 | Officers of the Master LLC serve at the pleasure of the Board. |
Further information about the Officers and Directors is available in the Master LLC’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.
Investment Advisor | Sub-Advisor | Custodian | Accounting Agent | Independent Registered | Legal Counsel | |||||
BlackRock Advisors, LLC | BlackRock Investment | State Street Bank | State Street Bank | Public Accounting Firm | Sidley Austin LLP | |||||
Wilmington, DE 19809 | Management, LLC | and Trust Company | and Trust Company | Deloitte & Touche LLP | New York, NY 10019 | |||||
Princeton, NJ 08540 | Boston, MA 02110 | Boston, MA 02110 | Boston, MA 02116 |
Effective September 22, 2011, Richard S. Davis resigned as Director of the Master LLC, and Paul L. Audet became Director of the Master LLC. |
82 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Schedule of Investments December 31, 2011 | Master International Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Australia – 8.4% | ||||||||
AGL Energy Ltd. | 40,065 | $ | 586,224 | |||||
Alumina Ltd. | 210,098 | 240,533 | ||||||
Amcor Ltd. | 108,736 | 800,474 | ||||||
AMP Ltd. | 249,426 | 1,036,516 | ||||||
Asciano Ltd. | 87,349 | 401,399 | ||||||
ASX Ltd. | 15,855 | 494,908 | ||||||
Australia & New Zealand Banking Group Ltd. | 233,618 | 4,893,106 | ||||||
Bendigo and Adelaide Bank Ltd. | 33,458 | 273,843 | ||||||
BGP Holdings Plc | 783,183 | 10 | ||||||
BHP Billiton Ltd. | 285,460 | 10,076,350 | ||||||
Boral Ltd. | 64,514 | 236,893 | ||||||
Brambles Ltd. | 131,275 | 958,473 | ||||||
Caltex Australia Ltd. | 12,363 | 148,451 | ||||||
Campbell Brothers Ltd. | 6,048 | 302,851 | ||||||
CFS Retail Property Trust | 167,131 | 287,782 | ||||||
Coca-Cola Amatil Ltd. | 50,978 | 598,967 | ||||||
Cochlear Ltd. | 4,821 | 306,187 | ||||||
Commonwealth Bank of Australia Ltd. | 138,535 | 6,958,803 | ||||||
Computershare Ltd. | 39,834 | 325,603 | ||||||
Crown Ltd. | 42,229 | 348,335 | ||||||
CSL Ltd. | 46,592 | 1,519,030 | ||||||
Dexus Property Group | 436,867 | 370,228 | ||||||
Echo Entertainment Group | 59,379 | 217,731 | ||||||
Fairfax Media Ltd. | 210,117 | 154,789 | ||||||
Fortescue Metals Group Ltd. | 109,781 | 480,238 | ||||||
Goodman Group | 628,123 | 365,210 | ||||||
GPT Group | 157,850 | 494,745 | ||||||
Harvey Norman Holdings Ltd. | 51,396 | 95,945 | ||||||
Iluka Resources Ltd. | 37,489 | 593,789 | ||||||
Incitec Pivot Ltd. | 146,234 | 464,233 | ||||||
Insurance Australia Group Ltd. | 187,815 | 572,167 | ||||||
Leighton Holdings Ltd. | 13,328 | 259,089 | ||||||
Lend Lease Group | 49,505 | 362,524 | ||||||
Lynas Corp. Ltd. (a) | 159,398 | 170,316 | ||||||
Macquarie Group Ltd. | 30,375 | 737,598 | ||||||
Metcash Ltd. | 68,916 | 284,154 | ||||||
Mirvac Group | 299,239 | 360,533 | ||||||
National Australia Bank Ltd. | 195,601 | 4,659,516 | ||||||
Newcrest Mining Ltd. | 67,941 | 2,070,508 | ||||||
OneSteel Ltd. | 112,768 | 80,627 | ||||||
Orica Ltd. | 32,729 | 809,848 | ||||||
Origin Energy Ltd. | 94,512 | 1,288,822 | ||||||
OZ Minerals Ltd. | 28,782 | 294,419 | ||||||
Qantas Airways Ltd. (a) | 101,794 | 151,520 | ||||||
QBE Insurance Group Ltd. | 96,970 | 1,283,339 | ||||||
QR National Ltd. | 153,091 | 534,787 | ||||||
Ramsay Health Care Ltd. | 11,800 | 232,249 | ||||||
Rio Tinto Ltd. | 38,705 | 2,386,130 | ||||||
Santos Ltd. | 83,636 | 1,046,668 |
Common Stocks | Shares | Value | ||||||
Australia (concluded) | ||||||||
Sims Metal Management Ltd. | 15,235 | $ | 197,333 | |||||
Sonic Healthcare Ltd. | 33,723 | 388,700 | ||||||
SP AusNet | 130,044 | 124,795 | ||||||
Stockland | 211,155 | 689,799 | ||||||
Suncorp-Metway Ltd. | 114,114 | 975,347 | ||||||
Sydney Airport | 31,261 | 84,970 | ||||||
Tabcorp Holdings Ltd. | 59,733 | 166,387 | ||||||
Tatts Group Ltd. | 120,798 | 301,115 | ||||||
Telstra Corp. Ltd. | 386,497 | 1,314,485 | ||||||
Toll Holdings Ltd. | 60,262 | 259,475 | ||||||
Transurban Group | 117,047 | 672,255 | ||||||
Wesfarmers Ltd., Ordinary Shares | 89,346 | 2,691,437 | ||||||
Westfield Group | 194,736 | 1,553,679 | ||||||
Westfield Retail Trust | 257,040 | 655,066 | ||||||
Westpac Banking Corp. | 269,295 | 5,497,451 | ||||||
Woodside Petroleum Ltd. | 56,346 | 1,763,803 | ||||||
Woolworths Ltd. | 108,073 | 2,774,056 | ||||||
WorleyParsons Ltd. | 17,415 | 456,032 | ||||||
|
| |||||||
72,182,645 | ||||||||
|
| |||||||
Austria – 0.3% | ||||||||
Erste Bank der Oesterreichischen Sparkassen AG | 17,307 | 303,814 | ||||||
Immoeast AG NPV | 30,711 | — | ||||||
IMMOFINANZ Immobilien Anlagen AG (a) | 83,913 | 251,503 | ||||||
OMV AG | 14,801 | 448,352 | ||||||
Raiffeisen Bank International AG | 4,394 | 113,741 | ||||||
Telekom Austria AG | 30,477 | 364,607 | ||||||
Verbund AG | 6,339 | 169,982 | ||||||
Vienna Insurance Group | 3,349 | 132,275 | ||||||
Voestalpine AG | 9,814 | 274,967 | ||||||
|
| |||||||
2,059,241 | ||||||||
|
| |||||||
Belgium – 0.9% | ||||||||
Ageas | 192,525 | 297,438 | ||||||
Anheuser-Busch InBev NV | 71,338 | 4,353,990 | ||||||
Bekaert SA | 3,397 | 108,480 | ||||||
Belgacom SA | 13,656 | 427,290 | ||||||
Colruyt SA | 6,575 | 248,396 | ||||||
Delhaize Group | 9,128 | 511,652 | ||||||
Groupe Bruxelles Lambert SA | 7,252 | 482,436 | ||||||
KBC Bancassurance Holding | 13,906 | 173,877 | ||||||
Mobistar SA | 2,628 | 137,190 | ||||||
Solvay SA | 5,376 | 441,344 | ||||||
UCB SA | 9,154 | 384,039 | ||||||
Umicore SA | 10,323 | 423,986 | ||||||
|
| |||||||
7,990,118 | ||||||||
|
| |||||||
Bermuda – 0.1% | ||||||||
Seadrill Ltd. | 29,134 | 971,591 | ||||||
|
|
|
|
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 | GBP | British Pound | NOK | Norwegian Krone | ||||||
CHF | Swiss Franc | HKD | Hong Kong Dollar | SEK | Swedish Krona | |||||||
DKK | Danish Krone | ILS | Israeli New Shekel | SGD | Singapore Dollar | |||||||
EUR | Euro | JPY | Japanese Yen | USD | US Dollar |
See Notes to Financial Statements.
MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 | 83 |
Table of Contents
Schedule of Investments (continued) | Master International Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
China – 0.0% |
| |||||||
Foxconn International Holdings Ltd. (a) | 205,313 | $ | 132,032 | |||||
Denmark – 1.0% | ||||||||
A.P. Moller – Maersk A/S, Class A | 47 | 291,930 | ||||||
A.P. Moller – Maersk A/S, Class B | 117 | 769,587 | ||||||
Carlsberg A/S, Class B | 9,589 | 675,195 | ||||||
Coloplast A/S, Class B | 2,006 | 287,859 | ||||||
Danske Bank A/S (a) | 58,674 | 741,403 | ||||||
DSV A/S | 18,614 | 332,632 | ||||||
Novo-Nordisk A/S, Class B | 37,789 | 4,341,321 | ||||||
Novozymes A/S, Class B | 20,200 | 622,321 | ||||||
TDC A/S | 34,011 | 272,373 | ||||||
Tryg A/S | 2,275 | 126,021 | ||||||
Vestas Wind Systems A/S (a) | 17,972 | 193,291 | ||||||
William Demant Holding A/S (a) | 2,194 | 181,976 | ||||||
|
| |||||||
8,835,909 | ||||||||
|
| |||||||
Finland – 0.8% |
| |||||||
Elisa Corp. | 13,010 | 270,881 | ||||||
Fortum Oyj | 39,929 | 850,410 | ||||||
Kesko Oyj, Class B | 5,924 | 198,586 | ||||||
Kone Oyj, Class B | 13,791 | 713,965 | ||||||
Metso Oyj | 11,458 | 423,179 | ||||||
Neste Oil Oyj | 12,128 | 121,975 | ||||||
Nokia Oyj | 332,464 | 1,602,749 | ||||||
Nokian Renkaat Oyj | 9,981 | 320,463 | ||||||
Orion Oyj | 8,394 | 163,098 | ||||||
Pohjola Bank Plc | 11,663 | 113,012 | ||||||
Sampo Oyj | 37,251 | 921,444 | ||||||
Sanoma Oyj | 6,877 | 78,706 | ||||||
Stora Enso Oyj, Class R | 53,049 | 315,954 | ||||||
UPM-Kymmene Oyj | 46,882 | 513,764 | ||||||
Wartsila Oyj | 15,026 | 432,189 | ||||||
|
| |||||||
7,040,375 | ||||||||
|
| |||||||
France – 8.5% |
| |||||||
Accor SA | 12,527 | 315,699 | ||||||
Aeroports de Paris | 3,212 | 219,720 | ||||||
Air Liquide | 25,205 | 3,112,254 | ||||||
Alcatel-Lucent SA (a) | 208,406 | 323,867 | ||||||
Alstom SA | 18,612 | 562,266 | ||||||
Arkema SA | 5,002 | 351,484 | ||||||
Atos Origin SA | 4,573 | 199,791 | ||||||
AXA SA | 154,552 | 1,997,772 | ||||||
BNP Paribas SA | 85,842 | 3,342,638 | ||||||
Bouygues SA | 16,962 | 533,467 | ||||||
Bureau Veritas SA | 4,928 | 357,947 | ||||||
Cap Gemini SA | 13,329 | 414,401 | ||||||
Carrefour SA | 51,233 | 1,165,642 | ||||||
Casino Guichard Perrachon SA | 4,970 | 417,926 | ||||||
Christian Dior SA | 4,874 | 575,316 | ||||||
Cie Générale de Géophysique – Veritas (a) | 12,556 | 291,450 | ||||||
Cie Générale des Etablissements Michelin, Class B | 15,964 | 940,619 | ||||||
CNP Assurances | 13,166 | 162,980 | ||||||
Compagnie de Saint-Gobain SA | 35,649 | 1,362,709 | ||||||
Credit Agricole SA | 89,561 | 501,790 | ||||||
Danone SA | 51,882 | 3,255,721 | ||||||
Dassault Systèmes SA | 5,426 | 433,443 | ||||||
Edenred | 14,253 | 349,626 | ||||||
EDP Renoveveis SA | 21,601 | 524,145 | ||||||
Eiffage SA | 3,633 | 87,532 | ||||||
Essilor International SA | 17,844 | 1,257,852 |
Common Stocks | Shares | Value | ||||||
France (concluded) |
| |||||||
Eurazeo | 2,935 | $ | 104,036 | |||||
Eutelsat Communications SA | 8,916 | 347,286 | ||||||
Foncière Des Regions | 2,385 | 152,587 | ||||||
France Telecom SA | 164,701 | 2,577,843 | ||||||
GDF Suez | 109,997 | 2,988,963 | ||||||
Gecina SA | 1,890 | 158,393 | ||||||
Groupe Eurotunnel SA | 48,702 | 330,409 | ||||||
ICADE | 2,075 | 162,599 | ||||||
Iliad SA | 1,651 | 203,209 | ||||||
Imerys SA | 3,156 | 144,753 | ||||||
JC Decaux SA (a) | 5,485 | 125,935 | ||||||
Klepierre | 9,565 | 271,772 | ||||||
L’Oreal SA | 21,351 | 2,223,700 | ||||||
Lafarge SA | 18,050 | 631,880 | ||||||
Lagardere S.C.A. | 10,377 | 273,199 | ||||||
Legrand Promesses | 20,060 | 642,535 | ||||||
LVMH Moët Hennessy Louis Vuitton SA | 22,576 | 3,180,160 | ||||||
Natixis | 82,834 | 206,987 | ||||||
Neopost SA | 2,895 | 194,685 | ||||||
Pernod-Ricard SA | 17,626 | 1,631,444 | ||||||
Peugeot SA | 14,075 | 219,265 | ||||||
Pinault-Printemps-Redoute | 6,750 | 963,490 | ||||||
Publicis Groupe | 12,893 | 591,714 | ||||||
Renault SA | 16,704 | 576,845 | ||||||
Safran SA | 15,031 | 449,518 | ||||||
Sanofi-Aventis | 101,865 | 7,446,097 | ||||||
Schneider Electric SA | 43,477 | 2,273,036 | ||||||
Scor SE | 15,483 | 361,019 | ||||||
Société BIC SA | 2,487 | 220,019 | ||||||
Société Générale SA | 58,542 | 1,292,350 | ||||||
Société Télévision Française 1 | 9,864 | 95,951 | ||||||
Sodexo Alliance SA | 8,521 | 609,864 | ||||||
Suez Environnement Co. | 25,071 | 288,039 | ||||||
Technip SA | 8,685 | 814,218 | ||||||
Thales SA | 9,102 | 286,501 | ||||||
Total SA | 188,677 | 9,627,782 | ||||||
Unibail-Rodamco SE | 8,160 | 1,460,421 | ||||||
Vallourec SA | 10,022 | 647,390 | ||||||
Veolia Environnement SA | 31,681 | 347,106 | ||||||
Vinci SA | 40,073 | 1,744,316 | ||||||
Vivendi SA | 110,760 | 2,417,837 | ||||||
Wendel SA | 2,796 | 185,601 | ||||||
|
| |||||||
72,528,811 | ||||||||
|
| |||||||
Germany – 7.7% |
| |||||||
Adidas-Salomon AG | 18,565 | 1,206,225 | ||||||
Allianz AG, Registered Shares | 40,385 | 3,856,934 | ||||||
Axel Springer AG | 3,609 | 154,873 | ||||||
BASF SE | 81,626 | 5,682,672 | ||||||
Bayer AG, Registered Shares | 73,485 | 4,693,002 | ||||||
Bayerische Motoren Werke AG | 29,403 | 1,965,535 | ||||||
Bayerische Motoren Werke AG, Preference Shares | 4,787 | 226,011 | ||||||
Beiersdorf AG | 9,069 | 513,931 | ||||||
Brenntag AG | 3,030 | 281,766 | ||||||
Celesio AG | 7,348 | 116,230 | ||||||
Commerzbank AG (a) | 315,405 | 530,858 | ||||||
Continental AG (a) | 7,170 | 445,246 | ||||||
Daimler AG | 80,480 | 3,525,710 | ||||||
Deutsche Bank AG, Registered Shares | 82,579 | 3,129,819 | ||||||
Deutsche Boerse AG (a) | 17,292 | 905,025 | ||||||
Deutsche Lufthansa AG, Registered Shares | 19,985 | 237,713 | ||||||
Deutsche Post AG | 75,089 | 1,154,436 | ||||||
Deutsche Telekom AG, Registered Shares | 249,523 | 2,862,248 |
See Notes to Financial Statements.
84 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Schedule of Investments (continued) | Master International Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Germany (concluded) |
| |||||||
E.ON AG | 160,005 | $ | 3,448,131 | |||||
Fraport AG | 3,268 | 160,607 | ||||||
Fresenius Medical Care AG & Co. | 18,534 | 1,258,906 | ||||||
Fresenius SE & Co. KGaA | 10,085 | 932,579 | ||||||
GEA Group AG | 15,650 | 441,814 | ||||||
Hannover Rueckversicherung AG, Registered Shares | 5,466 | 270,844 | ||||||
HeidelbergCement AG | 12,415 | 525,831 | ||||||
Henkel KGaA | 11,649 | 563,587 | ||||||
Henkel KGaA, Preference Shares | 15,800 | 910,841 | ||||||
Hochtief AG | 3,923 | 226,514 | ||||||
Infineon Technologies AG | 96,306 | 723,307 | ||||||
K+S AG | 15,264 | 688,433 | ||||||
Kabel Deutschland Holding | 7,926 | 401,812 | ||||||
Lanxess AG | 7,556 | 390,242 | ||||||
Linde AG | 15,166 | 2,253,855 | ||||||
MAN AG | 5,734 | 509,317 | ||||||
Merck KGaA | 5,792 | 576,791 | ||||||
Metro AG | 11,620 | 423,702 | ||||||
Muenchener Rueckversicherungs AG, | ||||||||
Registered Shares | 15,926 | 1,951,615 | ||||||
Porsche Automobil Holding SE, Preference Shares | 13,551 | 723,421 | ||||||
ProSieben SAT.1 Media AG, Preference Shares | 7,140 | 130,094 | ||||||
RWE AG | 43,444 | 1,525,031 | ||||||
RWE AG, Preference Shares | 3,320 | 109,224 | ||||||
Salzgitter AG | 3,611 | 180,107 | ||||||
SAP AG | 81,762 | 4,324,527 | ||||||
Siemens AG | 73,127 | 6,996,486 | ||||||
Suedzucker AG | 5,874 | 187,121 | ||||||
ThyssenKrupp AG | 34,723 | 796,641 | ||||||
United Internet AG | 9,819 | 175,026 | ||||||
Volkswagen AG | 2,694 | 360,660 | ||||||
Volkswagen AG, Preference Shares | 12,843 | 1,920,174 | ||||||
Wacker Chemie AG | 1,481 | 118,962 | ||||||
|
| |||||||
65,694,436 | ||||||||
|
| |||||||
Greece – 0.1% |
| |||||||
Coca-Cola Hellenic Bottling Co. SA (a) | 16,733 | 282,620 | ||||||
Hellenic Telecommunications Organization SA | 21,160 | 76,145 | ||||||
National Bank of Greece SA (a) | 87,714 | 181,323 | ||||||
OPAP SA | 19,756 | 173,859 | ||||||
|
| |||||||
713,947 | ||||||||
|
| |||||||
Hong Kong – 2.8% |
| |||||||
AIA Group Ltd. | 748,800 | 2,330,955 | ||||||
ASM Pacific Technology Ltd. | 18,004 | 201,649 | ||||||
Bank of East Asia Ltd. | 139,932 | 528,002 | ||||||
BOC Hong Kong Holdings Ltd. | 332,400 | 784,347 | ||||||
Cathay Pacific Airways Ltd. | 109,263 | 186,819 | ||||||
Cheung Kong Holdings Ltd. | 123,835 | 1,468,978 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 41,500 | 242,644 | ||||||
CLP Holdings Ltd. | 171,187 | 1,454,382 | ||||||
First Pacific Co. Ltd. | 190,000 | 197,142 | ||||||
Galaxy Entertainment Group Ltd. (a) | 106,000 | 192,686 | ||||||
Hang Lung Group Ltd. | 78,000 | 426,869 | ||||||
Hang Lung Properties Ltd. | 218,000 | 618,811 | ||||||
Hang Seng Bank Ltd. | 67,853 | 803,746 | ||||||
Henderson Land Development Co. Ltd. | 84,491 | 418,547 | ||||||
HKT Trust HKT Ltd. (a) | 369,000 | 211,900 | ||||||
The Hong Kong & China Gas Ltd. | 420,450 | 973,498 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 91,027 | 1,448,420 | ||||||
Hopewell Holdings Ltd. | 53,349 | 136,272 |
Common Stocks | Shares | Value | ||||||
Hong Kong (concluded) |
| |||||||
Hutchison Whampoa Ltd. | 190,176 | $ | 1,586,988 | |||||
Hysan Development Co. Ltd. | 54,791 | 179,416 | ||||||
Kerry Properties Ltd. | 63,000 | 208,174 | ||||||
Li & Fung Ltd. | 497,980 | 917,588 | ||||||
Lifestyle International Holdings Ltd. | 52,466 | 115,483 | ||||||
The Link Real Estate Investment Trust | 201,414 | 740,739 | ||||||
MTR Corp. | 127,000 | 410,439 | ||||||
New World Development Ltd. | 325,226 | 261,136 | ||||||
NWS Holdings Ltd. | 115,500 | 169,824 | ||||||
Orient Overseas International Ltd. | 18,057 | 104,970 | ||||||
PCCW Ltd. | 369,000 | 126,615 | ||||||
Power Assets Holdings Ltd. | 123,500 | 913,162 | ||||||
Sands China Ltd. (a) | 217,000 | 608,812 | ||||||
Shangri-La Asia Ltd. | 129,905 | 223,773 | ||||||
Sino Land Co. Ltd. | 265,263 | 376,946 | ||||||
SJM Holdings Ltd. | 147,000 | 238,545 | ||||||
Sun Hung Kai Properties Ltd. | 126,324 | 1,578,660 | ||||||
Swire Pacific Ltd. Class A | 63,077 | 759,986 | ||||||
Wharf Holdings Ltd. | 134,357 | 605,638 | ||||||
Wheelock & Co. Ltd. | 81,000 | 200,289 | ||||||
Wing Hang Bank Ltd. | 17,000 | 139,082 | ||||||
Wynn Macau Ltd. | 135,200 | 337,508 | ||||||
Yue Yuen Industrial Holdings Ltd. | 64,285 | 202,860 | ||||||
|
| |||||||
23,632,300 | ||||||||
|
| |||||||
Ireland – 0.3% |
| |||||||
Anglo Irish Bank Corp. Plc | 62,641 | 1 | ||||||
CRH Plc | 63,578 | 1,258,652 | ||||||
Elan Corp. Plc (a) | 44,805 | 621,108 | ||||||
James Hardie Industries SE | 39,740 | 277,052 | ||||||
Kerry Group Plc | 12,658 | 463,371 | ||||||
Ryanair Holdings Plc (a) | 29,444 | 137,725 | ||||||
|
| |||||||
2,757,909 | ||||||||
|
| |||||||
Israel – 0.7% | ||||||||
Bank Hapoalim Ltd. | 96,242 | 314,711 | ||||||
Bank Leumi Le-Israel BM | 105,341 | 302,507 | ||||||
Bezeq Israeli Telecommunication Corp. Ltd. | 157,237 | 288,532 | ||||||
Cellcom Israel Ltd. | 4,972 | 83,411 | ||||||
Delek Group Ltd. | 395 | 74,522 | ||||||
Elbit Systems Ltd. | 2,059 | 84,779 | ||||||
Israel Chemicals Ltd. | 40,108 | 417,701 | ||||||
The Israel Corp. Ltd. | 197 | 123,379 | ||||||
Israel Discount Bank Ltd. (a) | 75,065 | 100,754 | ||||||
Mizrahi Tefahot Bank Ltd. | 10,047 | 79,780 | ||||||
Nice Systems Ltd. (a) | 5,144 | 176,796 | ||||||
Partner Communications Co. Ltd. | 7,239 | 64,287 | ||||||
Teva Pharmaceutical Industries Ltd. | 83,618 | 3,375,413 | ||||||
|
| |||||||
5,486,572 | ||||||||
|
| |||||||
Italy – 2.1% |
| |||||||
A2A SpA | 94,579 | 88,632 | ||||||
Assicurazioni Generali SpA | 103,655 | 1,555,999 | ||||||
Atlantia SpA | 28,601 | 456,512 | ||||||
Autogrill SpA | 9,990 | 97,112 | ||||||
Banca Carige SpA | 58,018 | 110,835 | ||||||
Banca Monte dei Paschi di Siena SpA | 436,913 | 141,895 | ||||||
Banco Popolare SpA | 151,959 | 196,041 | ||||||
Enel Green Power SpA | 154,583 | 322,143 | ||||||
Enel SpA | 584,629 | 2,371,683 | ||||||
Eni SpA | 213,549 | 4,402,875 | ||||||
Exor SpA | 5,439 | 109,043 | ||||||
Fiat Industrial SpA (a) | 68,731 | 585,548 |
See Notes to Financial Statements.
MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 | 85 |
Table of Contents
Schedule of Investments (continued) | Master International Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Italy (concluded) |
| |||||||
Fiat SpA | 69,147 | $ | 315,593 | |||||
Finmeccanica SpA | 37,075 | 136,513 | ||||||
Intesa Sanpaolo SpA | 894,400 | 1,489,637 | ||||||
Intesa Sanpaolo SpA, Non-Convertible | ||||||||
Savings Shares | 90,027 | 111,670 | ||||||
Luxottica Group SpA | 10,640 | 297,518 | ||||||
Mediaset SpA | 61,786 | 170,427 | ||||||
Mediobanca SpA | 47,138 | 270,559 | ||||||
Pirelli & C SpA | 22,125 | 185,469 | ||||||
Prysmian SpA | 17,540 | 216,720 | ||||||
Saipem SpA | 23,292 | 985,339 | ||||||
Snam Rete Gas SpA | 143,783 | 633,297 | ||||||
Telecom Italia SpA | 832,746 | 890,088 | ||||||
Telecom Italia SpA (Non-Convertible | ||||||||
Savings Shares) | 547,064 | 489,517 | ||||||
Terna SpA | 109,934 | 369,967 | ||||||
UniCredit SpA | 123,309 | 1,017,069 | ||||||
Unione di Banche Italiane ScpA | 73,098 | 298,364 | ||||||
|
| |||||||
18,316,065 | ||||||||
|
| |||||||
Japan – 21.2% |
| |||||||
ABC-Mart, Inc. | 2,200 | 83,573 | ||||||
Advantest Corp. | 12,800 | 121,561 | ||||||
Aeon Co. Ltd. | 53,800 | 736,961 | ||||||
Aeon Credit Service Co. Ltd. | 7,100 | 111,875 | ||||||
Aeon Mall Co. Ltd. | 6,800 | 144,260 | ||||||
Air Water, Inc. | 12,000 | 152,304 | ||||||
Aisin Seiki Co. Ltd. | 17,300 | 490,284 | ||||||
Ajinomoto Co., Inc. | 59,000 | 708,268 | ||||||
Alfresa Holdings Corp. | 3,700 | 155,737 | ||||||
All Nippon Airways Co. Ltd. | 75,000 | 209,566 | ||||||
Amada Co. Ltd. | 33,000 | 208,875 | ||||||
Aozora Bank Ltd. | 53,000 | 145,827 | ||||||
Asahi Breweries Ltd. | 34,300 | 752,435 | ||||||
Asahi Glass Co. Ltd. | 90,100 | 753,226 | ||||||
Asahi Kasei Corp. | 113,000 | 680,995 | ||||||
Asics Corp. | 13,000 | 146,122 | ||||||
Astellas Pharma, Inc. | 39,500 | 1,603,988 | ||||||
The Bank of Kyoto Ltd. | 29,000 | 249,333 | ||||||
The Bank of Yokohama Ltd. | 106,000 | 500,107 | ||||||
Benesse Holdings, Inc. | 5,900 | 285,217 | ||||||
Bridgestone Corp. | 57,800 | 1,309,065 | ||||||
Brother Industries Ltd. | 21,300 | 260,701 | ||||||
Canon, Inc. | 100,800 | 4,435,936 | ||||||
Casio Computer Co. Ltd. | 20,100 | 121,629 | ||||||
Central Japan Railway Co. | 134 | 1,130,863 | ||||||
The Chiba Bank Ltd. | 68,000 | 437,195 | ||||||
Chiyoda Corp. | 12,000 | 121,835 | ||||||
Chubu Electric Power Co., Inc. | 60,200 | 1,126,518 | ||||||
Chugai Pharmaceutical Co. Ltd. | 19,700 | 324,724 | ||||||
The Chugoku Bank Ltd. | 16,000 | 222,639 | ||||||
The Chugoku Electric Power Co., Inc. | 26,300 | 460,822 | ||||||
Citizen Holdings Co. Ltd. | 23,400 | 135,619 | ||||||
Coca-Cola West Co. Ltd. | 5,600 | 97,051 | ||||||
Cosmo Oil Co. Ltd. | 47,000 | 131,192 | ||||||
Credit Saison Co. Ltd. | 13,500 | 269,609 | ||||||
Dai Nippon Printing Co. Ltd. | 50,000 | 479,990 | ||||||
The Dai-ichi Life Insurance Co. | 798 | 783,394 | ||||||
Daicel Chemical Industries Ltd. | 26,000 | 157,927 | ||||||
Daido Steel Co. Ltd. | 25,000 | 156,072 |
Common Stocks | Shares | Value | ||||||
Japan (continued) | ||||||||
Daihatsu Motor Co. Ltd. | 17,000 | $ | 302,308 | |||||
Daiichi Sankyo Co. Ltd. | 59,800 | 1,184,347 | ||||||
Daikin Industries Ltd. | 21,000 | 573,239 | ||||||
Dainippon Sumitomo Pharma Co. Ltd. | 12,800 | 145,676 | ||||||
Daito Trust Construction Co. Ltd. | 6,300 | 539,448 | ||||||
Daiwa House Industry Co. Ltd. | 41,000 | 490,141 | ||||||
Daiwa Securities Group Inc. | 150,000 | 466,403 | ||||||
Dena Co. Ltd. | 8,200 | 245,643 | ||||||
Denki Kagaku Kogyo KK | 41,000 | 151,087 | ||||||
Denso Corp. | 43,200 | 1,186,740 | ||||||
Dentsu Inc. | 16,213 | 493,222 | ||||||
East Japan Railway Co. | 30,249 | 1,928,021 | ||||||
Eisai Co. Ltd. | 22,400 | 926,489 | ||||||
Electric Power Development Co. | 10,600 | 281,879 | ||||||
Elpida Memory, Inc. (a) | 22,200 | 102,710 | ||||||
FamilyMart Co. Ltd. | 5,600 | 226,144 | ||||||
Fanuc Ltd. | 17,100 | 2,608,302 | ||||||
Fast Retailing Co. Ltd. | 4,600 | 836,762 | ||||||
Fuji Electric Co. Ltd. | 48,800 | 133,630 | ||||||
Fuji Film Holdings Corp. | 40,600 | 957,783 | ||||||
Fuji Heavy Industries Ltd. | 53,000 | 317,884 | ||||||
Fujitsu Ltd. | 163,000 | 845,146 | ||||||
Fukuoka Financial Group, Inc. | 70,000 | 293,289 | ||||||
Furukawa Electric Co. Ltd. | 54,000 | 123,896 | ||||||
Gree, Inc. | 8,100 | 278,448 | ||||||
GS Yuasa Corp. | 32,000 | 171,396 | ||||||
The Gunma Bank Ltd. | 35,000 | 191,894 | ||||||
The Hachijuni Bank Ltd. | 36,000 | 205,085 | ||||||
Hakuhodo DY Holdings, Inc. | 2,070 | 118,681 | ||||||
Hamamatsu Photonics KK | 6,100 | 212,678 | ||||||
Hino Motors Ltd. | 23,000 | 139,261 | ||||||
Hirose Electric Co. Ltd. | 2,800 | 244,906 | ||||||
The Hiroshima Bank Ltd. | 45,000 | 208,721 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 5,700 | 241,600 | ||||||
Hitachi Chemical Co. Ltd. | 9,400 | 164,545 | ||||||
Hitachi Construction Machinery Co. Ltd. | 9,800 | 164,392 | ||||||
Hitachi High-Technologies Corp. | 5,600 | 121,312 | ||||||
Hitachi Ltd. | 402,000 | 2,091,191 | ||||||
Hitachi Metals Ltd. | 13,000 | 141,077 | ||||||
Hokkaido Electric Power Co., Inc. | 16,100 | 228,859 | ||||||
Hokuhoku Financial Group, Inc. | 113,100 | 219,914 | ||||||
Hokuriku Electric Power Co. | 14,900 | 278,267 | ||||||
Honda Motor Co. Ltd. | 144,900 | 4,413,782 | ||||||
Hoya Corp. | 38,600 | 829,866 | ||||||
Ibiden Co. Ltd. | 11,000 | 216,569 | ||||||
Idemitsu Kosan Co. Ltd. | 2,000 | 206,114 | ||||||
IHI Corp. | 120,000 | 290,936 | ||||||
Inpex Corp. | 195 | 1,227,763 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 33,905 | 354,211 | ||||||
Isuzu Motors Ltd. | 105,000 | 483,371 | ||||||
ITOCHU Corp. | 133,700 | 1,355,645 | ||||||
Itochu Techno-Solutions Corp. | 2,600 | 116,625 | ||||||
The Iyo Bank Ltd. | 22,000 | 216,788 | ||||||
J. Front Retailing Co. Ltd. | 44,600 | 214,998 | ||||||
Japan Petroleum Exploration Co. | 2,400 | 93,654 | ||||||
Japan Prime Realty Investment Corp. | 58 | 136,300 | ||||||
Japan Real Estate Investment Corp. | 42 | 326,997 | ||||||
Japan Retail Fund Investment Corp. | 171 | 252,954 | ||||||
The Japan Steel Works Ltd. | 28,000 | 194,231 | ||||||
Japan Tobacco, Inc. | 400 | 1,881,004 | ||||||
JFE Holdings, Inc. | 40,900 | 739,471 | ||||||
JGC Corp. | 18,000 | 432,156 |
See Notes to Financial Statements.
86 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Schedule of Investments (continued) | Master International Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Japan (continued) |
| |||||||
The Joyo Bank Ltd. | 59,000 | $ | 260,374 | |||||
JS Group Corp. | 23,800 | 456,148 | ||||||
JSR Corp. | 16,000 | 294,883 | ||||||
JTEKT Corp. | 19,900 | 194,487 | ||||||
Jupiter Telecommunications Co. Ltd. | 148 | 149,807 | ||||||
JX Holdings, Inc. | 199,360 | 1,203,057 | ||||||
Kajima Corp. | 76,800 | 235,699 | ||||||
Kamigumi Co. Ltd. | 23,000 | 198,524 | ||||||
Kaneka Corp. | 25,000 | 132,665 | ||||||
The Kansai Electric Power Co., Inc. | 66,700 | 1,024,589 | ||||||
Kansai Paint Co. Ltd. | 20,000 | 178,132 | ||||||
Kao Corp. | 46,700 | 1,274,256 | ||||||
Kawasaki Heavy Industries Ltd. | 125,000 | 310,109 | ||||||
Kawasaki Kisen Kaisha Ltd. | 65,000 | 117,043 | ||||||
KDDI Corp. | 259 | 1,663,375 | ||||||
Keikyu Corp. | 42,000 | 377,196 | ||||||
Keio Electric Railway Co. Ltd. | 50,000 | 352,661 | ||||||
Keisei Electric Railway Co. Ltd. | 24,000 | 176,456 | ||||||
Keyence Corp. | 3,720 | 896,667 | ||||||
Kikkoman Corp. | 12,000 | 137,645 | ||||||
Kinden Corp. | 12,000 | 101,161 | ||||||
Kintetsu Corp. | 146,000 | 570,266 | ||||||
Kirin Holdings Co. Ltd. | 71,000 | 862,702 | ||||||
Kobe Steel Ltd. | 225,000 | 347,742 | ||||||
Koito Manufacturing Co. Ltd. | 8,000 | 111,820 | ||||||
Komatsu Ltd. | 84,300 | 1,965,698 | ||||||
Konami Corp. | 8,200 | 245,211 | ||||||
Konica Minolta Holdings, Inc. | 42,000 | 312,303 | ||||||
Kubota Corp. | 102,000 | 853,591 | ||||||
Kuraray Co. Ltd. | 30,700 | 435,684 | ||||||
Kurita Water Industries Ltd. | 9,700 | 251,791 | ||||||
Kyocera Corp. | 13,600 | 1,090,633 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 22,000 | 268,549 | ||||||
Kyushu Electric Power Co., Inc. | 36,200 | 518,558 | ||||||
Lawson, Inc. | 5,400 | 336,449 | ||||||
Mabuchi Motor Co. Ltd. | 2,100 | 87,220 | ||||||
Makita Corp. | 10,100 | 325,840 | ||||||
Marubeni Corp. | 144,000 | 876,497 | ||||||
Marui Group Co. Ltd. | 17,900 | 139,151 | ||||||
Maruichi Steel Tube Ltd. | 4,500 | 100,073 | ||||||
Mazda Motor Corp. (a) | 138,400 | 243,346 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 6,200 | 166,947 | ||||||
Medipal Holdings Corp. | 13,900 | 145,125 | ||||||
Meiji Holdings Co. Ltd. | 6,193 | 256,486 | ||||||
Miraca Holdings, Inc. | 5,100 | 203,324 | ||||||
Mitsubishi Chemical Holdings Corp. | 122,000 | 668,612 | ||||||
Mitsubishi Corp. | 124,900 | 2,517,329 | ||||||
Mitsubishi Electric Corp. | 172,000 | 1,648,420 | ||||||
Mitsubishi Estate Co. Ltd. | 112,000 | 1,670,078 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 35,000 | 194,076 | ||||||
Mitsubishi Heavy Industries Ltd. | 270,200 | 1,147,594 | ||||||
Mitsubishi Logistics Corp. | 11,000 | 121,819 | ||||||
Mitsubishi Materials Corp. | 101,000 | 273,066 | ||||||
Mitsubishi Motors Corp. (a) | 346,000 | 407,705 | ||||||
Mitsubishi Tanabe Pharma Corp. | 20,400 | 322,281 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 1,132,074 | 4,792,612 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 5,260 | 208,192 | ||||||
Mitsui & Co. Ltd. | 154,400 | 2,393,083 | ||||||
Mitsui Chemicals, Inc. | 67,000 | 203,433 | ||||||
Mitsui Fudosan Co. Ltd. | 74,000 | 1,079,046 | ||||||
Mitsui OSK Lines Ltd. | 99,000 | 381,731 |
Common Stocks | Shares | Value | ||||||
Japan (continued) |
| |||||||
Mizuho Financial Group, Inc. | 2,026,164 | $ | 2,743,647 | |||||
MS&AD Insurance Group Holdings, Inc. | 50,570 | 933,451 | ||||||
Murata Manufacturing Co. Ltd. | 18,000 | 921,811 | ||||||
Nabtesco Corp. | 8,800 | 160,075 | ||||||
Namco Bandai Holdings, Inc. | 17,300 | 245,531 | ||||||
NEC Corp. (a) | 233,000 | 471,567 | ||||||
NGK Insulators Ltd. | 23,000 | 272,309 | ||||||
NGK Spark Plug Co. Ltd. | 12,000 | 148,307 | ||||||
NHK Spring Co. Ltd. | 14,000 | 123,736 | ||||||
Nidec Corp. | 9,700 | 842,211 | ||||||
Nikon Corp. | 30,200 | 669,248 | ||||||
Nintendo Co. Ltd. | 8,800 | 1,208,171 | ||||||
Nippon Building Fund, Inc. | 50 | 409,196 | ||||||
Nippon Electric Glass Co. | 33,500 | 329,782 | ||||||
Nippon Express Co. Ltd. | 77,000 | 299,325 | ||||||
Nippon Meat Packers, Inc. | 15,000 | 185,870 | ||||||
Nippon Paper Group, Inc. | 8,894 | 194,205 | ||||||
Nippon Sheet Glass Co. Ltd. | 77,000 | 143,503 | ||||||
Nippon Steel Corp. | 453,000 | 1,126,873 | ||||||
Nippon Telegraph & Telephone Corp. | 42,476 | 2,162,449 | ||||||
Nippon Yusen KK | 135,000 | 344,099 | ||||||
The Nishi-Nippon City Bank Ltd. | 62,000 | 177,842 | ||||||
Nissan Motor Co. Ltd. | 220,800 | 1,977,285 | ||||||
Nisshin Seifun Group, Inc. | 16,500 | 199,747 | ||||||
Nisshin Steel Co. Ltd. | 62,000 | 94,863 | ||||||
Nissin Foods Holdings Co. Ltd. | 5,200 | 203,880 | ||||||
Nitori Holdings Co. Ltd. | 3,350 | 314,122 | ||||||
Nitto Denko Corp. | 14,810 | 526,798 | ||||||
NKSJ Holdings, Inc. | 33,475 | 654,838 | ||||||
NOK Corp. | 9,700 | 165,473 | ||||||
Nomura Holdings, Inc. | 322,100 | 969,757 | ||||||
Nomura Real Estate Holdings, Inc. | 8,300 | 123,158 | ||||||
Nomura Real Estate Office Fund, Inc. | 25 | 128,300 | ||||||
Nomura Research Institute Ltd. | 9,000 | 203,037 | ||||||
NSK Ltd. | 39,000 | 251,911 | ||||||
NTN Corp. | 41,000 | 164,459 | ||||||
NTT Data Corp. | 115 | 366,183 | ||||||
NTT DoCoMo, Inc. | 1,357 | 2,491,479 | ||||||
NTT Urban Development Corp. | 115 | 78,206 | ||||||
Obayashi Corp. | 58,000 | 257,901 | ||||||
Odakyu Electric Railway Co. Ltd. | 56,000 | 541,384 | ||||||
OJI Paper Co. Ltd. | 72,000 | 369,655 | ||||||
Olympus Corp. | 18,800 | 247,124 | ||||||
Omron Corp. | 17,800 | 357,299 | ||||||
Ono Pharmaceutical Co. Ltd. | 7,500 | 420,625 | ||||||
Oracle Corp. Japan | 3,200 | 105,779 | ||||||
Oriental Land Co. Ltd. | 4,500 | 475,085 | ||||||
ORIX Corp. | 9,140 | 753,513 | ||||||
Osaka Gas Co. Ltd. | 169,000 | 667,701 | ||||||
Otsuka Corp. | 1,300 | 89,462 | ||||||
Otsuka Holdings Co. Ltd. | 22,600 | 634,287 | ||||||
Panasonic Corp. | 196,000 | 1,654,175 | ||||||
Rakuten, Inc. (a) | 650 | 699,303 | ||||||
Resona Holdings, Inc. | 169,056 | 744,186 | ||||||
Ricoh Co. Ltd. | 60,000 | 521,902 | ||||||
Rinnai Corp. | 3,000 | 214,814 | ||||||
Rohm Co. Ltd. | 8,600 | 399,908 | ||||||
Sankyo Co. Ltd. | 4,900 | 247,730 | ||||||
Sanrio Co. Ltd. | 3,900 | 200,035 | ||||||
Santen Pharmaceutical Co. Ltd. | 6,800 | 280,822 | ||||||
SBI Holdings, Inc. | 1,838 | 134,184 | ||||||
Secom Co. Ltd. | 18,700 | 859,905 |
See Notes to Financial Statements.
MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 | 87 |
Table of Contents
Schedule of Investments (continued) | Master International Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Japan (continued) |
| |||||||
Sega Sammy Holdings, Inc. | 18,832 | $ | 406,834 | |||||
Seiko Epson Corp. | 11,900 | 157,288 | ||||||
Sekisui Chemical Co. Ltd. | 36,000 | 296,553 | ||||||
Sekisui House Ltd. | 52,000 | 462,092 | ||||||
Seven & I Holdings Co. Ltd. | 67,000 | 1,867,270 | ||||||
Seven Bank Ltd. | 44,000 | 86,105 | ||||||
Sharp Corp. | 89,000 | 775,818 | ||||||
Shikoku Electric Power Co. Inc. | 16,200 | 464,744 | ||||||
Shimadzu Corp. | 19,000 | 160,228 | ||||||
Shimamura Co. Ltd. | 1,900 | 194,132 | ||||||
Shimano, Inc. | 6,300 | 306,633 | ||||||
Shimizu Corp. | 53,000 | 222,755 | ||||||
Shin-Etsu Chemical Co. Ltd. | 36,500 | 1,792,872 | ||||||
Shinsei Bank Ltd. | 116,000 | 119,940 | ||||||
Shionogi & Co. Ltd. | 26,300 | 337,390 | ||||||
Shiseido Co. Ltd. | 32,200 | 591,280 | ||||||
The Shizuoka Bank Ltd. | 52,000 | 547,054 | ||||||
Showa Denko KK | 125,000 | 252,277 | ||||||
Showa Shell Sekiyu KK | 17,300 | 116,320 | ||||||
SMC Corp. | 4,700 | 756,163 | ||||||
Softbank Corp. | 78,800 | 2,314,203 | ||||||
Sojitz Corp. | 113,700 | 175,606 | ||||||
Sony Corp. | 89,200 | 1,608,363 | ||||||
Sony Financial Holdings, Inc. | 15,500 | 228,596 | ||||||
Square Enix Holdings Co. Ltd. | 5,300 | 103,872 | ||||||
Stanley Electric Co. Ltd. | 13,200 | 193,441 | ||||||
Sumco Corp. (a) | 10,600 | 78,030 | ||||||
Sumitomo Chemical Co. Ltd. | 142,000 | 515,575 | ||||||
Sumitomo Corp. | 99,900 | 1,350,362 | ||||||
Sumitomo Electric Industries Ltd. | 66,900 | 724,305 | ||||||
Sumitomo Heavy Industries Ltd. | 49,000 | 285,978 | ||||||
Sumitomo Metal Industries Ltd. | 302,000 | 547,696 | ||||||
Sumitomo Metal Mining Co. Ltd. | 47,000 | 601,703 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 119,350 | 3,309,907 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 276,820 | 811,785 | ||||||
Sumitomo Realty & Development Co. Ltd. | 32,000 | 559,111 | ||||||
Sumitomo Rubber Industries Ltd. | 15,800 | 189,731 | ||||||
Suruga Bank Ltd. | 17,000 | 151,732 | ||||||
Suzuken Co. Ltd. | 6,400 | 177,216 | ||||||
Suzuki Motor Corp. | 30,100 | 619,761 | ||||||
Sysmex Corp. | 6,700 | 217,830 | ||||||
T&D Holdings, Inc. | 51,900 | 483,237 | ||||||
Taisei Corp. | 93,000 | 235,741 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. (a) | 3,200 | 246,953 | ||||||
Taiyo Nippon Sanso Corp. | 21,000 | 146,038 | ||||||
Takashimaya Co. Ltd. | 21,000 | 151,257 | ||||||
Takeda Pharmaceutical Co. Ltd. | 70,200 | 3,083,568 | ||||||
TDK Corp. | 10,600 | 467,495 | ||||||
Teijin Ltd. | 85,000 | 260,782 | ||||||
Terumo Corp. | 14,700 | 691,040 | ||||||
THK Co. Ltd. | 10,900 | 214,705 | ||||||
Tobu Railway Co. Ltd. | 88,000 | 449,014 | ||||||
Toho Co. Ltd. | 9,900 | 176,299 | ||||||
Toho Gas Co. Ltd. | 38,000 | 241,959 | ||||||
Tohoku Electric Power Co. Inc. | 40,900 | 392,946 | ||||||
Tokio Marine Holdings, Inc. | 64,300 | 1,423,848 | ||||||
The Tokyo Electric Power Co., Inc. (a) | 130,000 | 311,979 | ||||||
Tokyo Electron Ltd. | 15,000 | 760,014 | ||||||
Tokyo Gas Co. Ltd. | 219,000 | 1,009,276 | ||||||
Tokyu Corp. | 98,000 | 482,609 | ||||||
Tokyu Land Corp. | 38,000 | 143,398 |
Common Stocks | Shares | Value | ||||||
Japan (concluded) |
| |||||||
TonenGeneral Sekiyu KK | 26,000 | $ | 283,498 | |||||
Toppan Printing Co. Ltd. | 50,000 | 367,079 | ||||||
Toray Industries, Inc. | 130,700 | 935,110 | ||||||
Toshiba Corp. | 358,000 | 1,461,011 | ||||||
Tosoh Corp. | 45,000 | 119,582 | ||||||
Toto Ltd. | 27,000 | 208,414 | ||||||
Toyo Seikan Kaisha Ltd. | 13,800 | 187,807 | ||||||
Toyo Suisan Kaisha Ltd. | 8,000 | 193,598 | ||||||
Toyoda Gosei Co. Ltd. | 5,700 | 90,271 | ||||||
Toyota Boshoku Corp. | 5,100 | 53,092 | ||||||
Toyota Industries Corp. | 15,400 | 416,658 | ||||||
Toyota Motor Corp. | 245,200 | 8,108,054 | ||||||
Toyota Tsusho Corp. | 19,000 | 334,910 | ||||||
Trend Micro, Inc. (a) | 8,800 | 262,412 | ||||||
Tsumura & Co. | 5,600 | 165,090 | ||||||
Ube Industries Ltd. | 84,000 | 229,597 | ||||||
Uni-charm Corp. | 10,200 | 502,903 | ||||||
Ushio, Inc. | 9,900 | 142,290 | ||||||
USS Co. Ltd. | 1,940 | 175,334 | ||||||
West Japan Railway Co. | 14,900 | 647,425 | ||||||
Yahoo! Japan Corp. | 1,284 | 413,080 | ||||||
Yakult Honsha Co. Ltd. | 8,700 | 273,515 | ||||||
Yamada Denki Co. Ltd. | 7,100 | 483,646 | ||||||
Yamaguchi Financial Group, Inc. | 18,000 | 171,518 | ||||||
Yamaha Corp. | 13,300 | 121,473 | ||||||
Yamaha Motor Co. Ltd. | 25,600 | 323,780 | ||||||
Yamato Holdings Co. Ltd. | 34,600 | 582,341 | ||||||
Yamato Kogyo Co. Ltd. | 3,800 | 108,761 | ||||||
Yamazaki Baking Co. Ltd. | 10,000 | 131,391 | ||||||
Yaskawa Electric Corp. | 19,000 | 160,905 | ||||||
Yokogawa Electric Corp. (a) | 19,500 | 175,098 | ||||||
|
| |||||||
181,431,998 | ||||||||
|
| |||||||
Luxembourg – 0.4% |
| |||||||
ArcelorMittal | 76,199 | 1,384,570 | ||||||
Millicom International Cellular SA | 6,844 | 683,715 | ||||||
SES Global | 26,546 | 635,953 | ||||||
Tenaris SA | 41,856 | 769,780 | ||||||
|
| |||||||
3,474,018 | ||||||||
|
| |||||||
Netherlands – 2.7% |
| |||||||
Aegon NV (a) | 154,577 | 617,797 | ||||||
Akzo Nobel NV | 20,547 | 990,151 | ||||||
ASML Holding NV | 38,288 | 1,599,345 | ||||||
Corio NV | 5,219 | 225,988 | ||||||
Delta Lloyd NV | 9,636 | 161,436 | ||||||
European Aeronautic Defence and Space Co. NV | 36,376 | 1,132,713 | ||||||
Fugro NV | 6,199 | 358,831 | ||||||
Heineken Holding NV | 10,186 | 416,269 | ||||||
Heineken NV | 22,994 | 1,064,515 | ||||||
ING Groep NV (a) | 340,216 | 2,433,088 | ||||||
Koninklijke Ahold NV | 103,122 | 1,386,021 | ||||||
Koninklijke Boskalis Westminster NV | 5,872 | 215,073 | ||||||
Koninklijke DSM NV | 13,844 | 639,890 | ||||||
Koninklijke KPN NV | 131,165 | 1,565,738 | ||||||
Koninklijke Philips Electronics NV | 89,592 | 1,879,792 | ||||||
Koninklijke Vopak NV | 6,300 | 332,217 | ||||||
QIAGEN NV (a) | 20,535 | 282,736 | ||||||
Randstad Holding NV | 10,816 | 318,179 | ||||||
Reed Elsevier NV | 60,952 | 709,201 | ||||||
SBM Offshore NV | 15,337 | 314,389 | ||||||
STMicroelectronics NV | 57,655 | 341,311 |
See Notes to Financial Statements.
88 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Schedule of Investments (continued) | Master International Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Netherlands (concluded) |
| |||||||
TNT Express NV | 32,089 | $ | 238,998 | |||||
Unilever NV | 144,761 | 4,977,398 | ||||||
Wolters Kluwer NV | 27,037 | 466,252 | ||||||
|
| |||||||
22,667,328 | ||||||||
|
| |||||||
New Zealand – 0.1% |
| |||||||
Auckland International Airport Ltd. | 81,425 | 159,481 | ||||||
Contact Energy Ltd. (a) | 29,916 | 122,755 | ||||||
Fletcher Building Ltd. | 59,637 | 284,779 | ||||||
Sky City Ltd. | 51,491 | 137,568 | ||||||
Telecom Corp. of New Zealand Ltd. | 171,010 | 274,003 | ||||||
|
| |||||||
978,586 | ||||||||
|
| |||||||
Norway – 0.8% |
| |||||||
Aker Solutions ASA | 14,045 | 147,218 | ||||||
DnB NOR ASA | 86,644 | 844,499 | ||||||
Gjensidige Forsikring ASA | 17,265 | 199,842 | ||||||
Norsk Hydro ASA | 83,258 | 384,332 | ||||||
Orkla ASA | 68,292 | 508,540 | ||||||
Statoil ASA | 99,131 | 2,538,772 | ||||||
Subsea 7 SA (a) | 24,861 | 458,937 | ||||||
Telenor ASA | 64,195 | 1,050,471 | ||||||
Yara International ASA | 16,632 | 663,944 | ||||||
|
| |||||||
6,796,555 | ||||||||
|
| |||||||
Portugal – 0.2% |
| |||||||
Banco Espirito Santo SA, Registered Shares | 44,077 | 76,759 | ||||||
Cimpor-Cimentos de Portugal, SGPS SA | 19,097 | 131,172 | ||||||
Energias de Portugal SA | 172,968 | 534,189 | ||||||
Galp Energia SGPS SA | 20,400 | 299,728 | ||||||
Jeronimo Martins SGPS SA (a) | 19,300 | 318,786 | ||||||
Portugal Telecom SGPS SA, Registered Shares | 59,975 | 345,421 | ||||||
|
| |||||||
1,706,055 | ||||||||
|
| |||||||
Singapore – 1.6% |
| |||||||
Ascendas Real Estate Investment Trust | 161,962 | 228,694 | ||||||
CapitaLand Ltd. | 232,749 | 396,103 | ||||||
CapitaMall Trust | 193,700 | 253,610 | ||||||
CapitaMalls Asia Ltd. | 127,000 | 110,603 | ||||||
City Developments Ltd. | 45,535 | 312,059 | �� | |||||
ComfortDelGro Corp. Ltd. | 173,816 | 189,655 | ||||||
Cosco Corp. (Singapore) Ltd. | 81,002 | 54,511 | ||||||
DBS Group Holdings Ltd. | 156,407 | 1,388,312 | ||||||
Fraser and Neave Ltd. | 82,096 | 391,906 | ||||||
Genting Singapore Plc (a) | 549,227 | 639,077 | ||||||
Global Logistic Properties Ltd. (a) | 158,000 | 213,595 | ||||||
Golden Agri-Resources Ltd. | 586,251 | 323,020 | ||||||
Hutchison Port Holdings Trust | 460,000 | 284,575 | ||||||
Jardine Cycle & Carriage Ltd. | 9,721 | 360,682 | ||||||
Keppel Corp. Ltd. | 126,577 | 906,017 | ||||||
Keppel Land Ltd. | 66,000 | 112,818 | ||||||
Neptune Orient Lines Ltd. | 73,350 | 63,430 | ||||||
Noble Group Ltd. | 351,840 | 305,699 | ||||||
Olam International Ltd. | 132,900 | 217,846 | ||||||
Oversea-Chinese Banking Corp. | 225,914 | 1,362,453 | ||||||
SembCorp Industries Ltd. | 89,590 | 279,436 | ||||||
Sembcorp Marine Ltd. | 74,197 | 218,056 | ||||||
Singapore Airlines Ltd. | 49,009 | 383,521 | ||||||
Singapore Exchange Ltd. | 76,000 | 359,228 | ||||||
Singapore Press Holdings Ltd. | 133,316 | 378,944 | ||||||
Singapore Technologies Engineering Ltd. | 138,213 | 286,687 | ||||||
Singapore Telecommunications Ltd. | 708,132 | 1,686,592 |
Common Stocks | Shares | Value | ||||||
Singapore (concluded) |
| |||||||
StarHub Ltd. | 52,157 | $ | 117,020 | |||||
United Overseas Bank Ltd. | 111,572 | 1,313,039 | ||||||
UOL Group Ltd. | 43,457 | 133,862 | ||||||
Wilmar International Ltd. | 167,670 | 646,367 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 161,183 | 112,810 | ||||||
|
| |||||||
14,030,227 | ||||||||
|
| |||||||
Spain – 3.2% |
| |||||||
Abertis Infraestructuras SA | 34,250 | 544,292 | ||||||
Acciona SA | 2,350 | 201,970 | ||||||
Acerinox SA | 9,281 | 118,634 | ||||||
ACS Actividades de Construccion y Servicios SA | 12,719 | 375,537 | ||||||
Amadeus IT Holding SA, Class A | 28,081 | 453,458 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 407,238 | 3,508,029 | ||||||
Banco de Sabadell SA | 98,280 | 372,167 | ||||||
Banco Popular Espanol SA | 87,441 | 397,150 | ||||||
Banco Santander SA | 750,093 | 5,666,691 | ||||||
Bankia SA (a) | 78,282 | 364,233 | ||||||
Bankinter SA | 18,086 | 110,665 | ||||||
Criteria Caixacorp SA | 67,845 | 331,557 | ||||||
Distribuidora Internacional de Alimentacion SA (a) | 50,193 | 225,962 | ||||||
EDP Renovaveis SA (a) | 19,120 | 116,759 | ||||||
Enagas SA | 16,213 | 299,339 | ||||||
Ferrovial SA | 33,161 | 398,786 | ||||||
Fomento de Construcciones y Contratas SA | 4,845 | 125,088 | ||||||
Gas Natural SDG SA | 31,110 | 533,190 | ||||||
Grifols SA (a) | 12,868 | 215,613 | ||||||
Iberdrola SA | 339,573 | 2,121,119 | ||||||
Inditex SA | 19,368 | 1,581,105 | ||||||
Indra Sistemas SA | 8,623 | 109,322 | ||||||
International Consolidated Airlines Group SA (a) | 86,524 | 194,014 | ||||||
Mapfre SA | 68,993 | 218,224 | ||||||
Red Electrica de Espana | 9,707 | 414,511 | ||||||
Repsol YPF SA | 70,477 | 2,156,265 | ||||||
Telefonica SA | 365,060 | 6,289,311 | ||||||
Zardoya Otis SA | 12,911 | 176,559 | ||||||
|
| |||||||
27,619,550 | ||||||||
|
| |||||||
Sweden – 3.0% |
| |||||||
Alfa Laval AB | 30,263 | 571,530 | ||||||
Assa Abloy AB, Series B | 27,837 | 696,082 | ||||||
Atlas Copco AB, Class A | 59,591 | 1,276,827 | ||||||
Atlas Copco AB, Class B | 34,978 | 662,140 | ||||||
Boliden AB | 24,882 | 360,976 | ||||||
Electrolux AB | 21,871 | 347,510 | ||||||
Getinge AB, Class B | 18,129 | 458,422 | ||||||
Hennes & Mauritz AB, B Shares | 90,831 | 2,913,853 | ||||||
Hexagon AB | 21,521 | 320,380 | ||||||
Holmen AB, Class B | 4,661 | 133,482 | ||||||
Husqvarna AB | 38,981 | 178,974 | ||||||
Industrivarden AB | 11,056 | 131,411 | ||||||
Investor AB | 39,881 | 741,736 | ||||||
Kinnevik Investment AB | 18,465 | 358,895 | ||||||
Lundin Petroleum AB (a) | 19,946 | 488,530 | ||||||
Modern Times Group AB | 4,461 | 212,481 | ||||||
Nordea Bank AB | 233,586 | 1,800,396 | ||||||
Ratos AB | 17,816 | 208,500 | ||||||
Sandvik AB | 89,454 | 1,093,617 | ||||||
Scania AB | 28,724 | 423,999 | ||||||
Securitas AB | 28,442 | 244,642 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 125,005 | 725,280 | ||||||
Skanska AB, Class B | 35,924 | 592,918 |
See Notes to Financial Statements.
MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 | 89 |
Table of Contents
Schedule of Investments (continued) | Master International Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Sweden (concluded) |
| |||||||
SKF AB, Class B | 34,686 | $ | 731,197 | |||||
SSAB AB, Series A | 13,368 | 117,062 | ||||||
Svenska Cellulosa AB | 51,208 | 755,943 | ||||||
Svenska Handelsbanken, | 43,463 | 1,138,973 | ||||||
Swedbank AB, Class A | 71,029 | 916,601 | ||||||
Swedish Match AB | 18,871 | 668,477 | ||||||
Tele2 AB | 28,416 | 550,690 | ||||||
Telefonaktiebolaget LM Ericsson | 267,517 | 2,712,784 | ||||||
TeliaSonera AB | 192,135 | 1,301,903 | ||||||
Volvo AB, B Shares | 123,258 | 1,342,771 | ||||||
|
| |||||||
25,178,982 | ||||||||
|
| |||||||
Switzerland – 8.5% |
| |||||||
ABB Ltd. (a) | 194,769 | 3,658,980 | ||||||
Actelion Ltd. (a) | 9,964 | 340,838 | ||||||
Adecco SA, Registered Shares (a) | 11,874 | 494,864 | ||||||
Aryzta AG | 7,612 | 367,227 | ||||||
Baloise Holding AG | 4,303 | 294,389 | ||||||
Barry Callebaut AG (a) | 162 | 159,381 | ||||||
Compagnie Financière Richemont SA | 46,364 | 2,332,234 | ||||||
Crédit Suisse Group AG (a) | 101,342 | 2,375,270 | ||||||
GAM Holdings Ltd. (a) | 17,488 | 189,386 | ||||||
Geberit AG (a) | 3,509 | 674,506 | ||||||
Givaudan SA (a) | 744 | 706,970 | ||||||
Holcim Ltd. (a) | 21,766 | 1,160,238 | ||||||
Julius Baer Group Ltd. (a) | 18,311 | 713,258 | ||||||
Kuehne & Nagel International AG | 4,840 | 541,979 | ||||||
Lindt & Spruengli AG | 81 | 240,677 | ||||||
Lindt & Spruengli AG, Registered Shares | 10 | 333,590 | ||||||
Lonza Group AG, Registered Shares (a) | 4,607 | 271,456 | ||||||
Nestlé SA, Registered Shares | 293,354 | 16,845,415 | ||||||
Novartis AG, Registered Shares | 207,450 | 11,843,954 | ||||||
Pargesa Holding SA | 2,442 | 159,516 | ||||||
Partners Group Holding AG | 1,195 | 208,183 | ||||||
Roche Holding AG | 62,450 | 10,561,435 | ||||||
Schindler Holding AG | 4,356 | 506,341 | ||||||
Schindler Holding AG, Registered Shares | 1,929 | 223,515 | ||||||
SGS SA | 486 | 801,580 | ||||||
Sika AG | 182 | 342,209 | ||||||
Sonova Holding AG, Registered Shares (a) | 4,403 | 458,715 | ||||||
Straumann Holding AG, Registered Shares | 656 | 112,984 | ||||||
Sulzer AG | 2,218 | 236,186 | ||||||
The Swatch Group Ltd., | 2,736 | 1,018,385 | ||||||
The Swatch Group Ltd., Registered Shares | 3,943 | 261,476 | ||||||
Swiss Life Holding (a) | 2,722 | 249,304 | ||||||
Swiss Reinsurance Co., Registered Shares (a) | 30,650 | 1,558,237 | ||||||
Swisscom AG | 2,091 | 790,874 | ||||||
Syngenta AG, Registered Shares (a) | 8,403 | 2,469,225 | ||||||
Synthes, Inc. | 5,792 | 969,463 | ||||||
Transocean Ltd. | 30,693 | 1,181,315 | ||||||
UBS AG, Registered Shares (a) | 323,372 | 3,836,058 | ||||||
Zurich Financial Services AG (a) | 12,938 | 2,915,025 | ||||||
|
| |||||||
72,404,638 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
United Kingdom – 22.9% |
| |||||||
3i Group Plc | 84,667 | $ | 237,706 | |||||
Admiral Group Plc | 17,676 | 234,347 | ||||||
Aggreko Plc | 23,574 | 737,651 | ||||||
Amec Plc | 29,771 | 419,276 | ||||||
Anglo American Plc | 117,576 | 4,343,274 | ||||||
Antofagasta Plc | 34,360 | 649,835 | ||||||
ARM Holdings Plc | 119,652 | 1,104,444 | ||||||
Associated British Foods Plc | 30,849 | 529,922 | ||||||
AstraZeneca Plc | 119,432 | 5,516,803 | ||||||
Aviva Plc | 254,041 | 1,181,629 | ||||||
Babcock International Group Plc | 32,179 | 367,118 | ||||||
BAE Systems Plc | 298,413 | 1,318,633 | ||||||
Balfour Beatty Plc | 60,162 | 247,294 | ||||||
Barclays Plc | 1,028,888 | 2,817,800 | ||||||
BG Group Plc | 301,273 | 6,436,288 | ||||||
BHP Billiton Plc | 187,699 | 5,487,504 | ||||||
BP Plc | 1,683,856 | 11,994,589 | ||||||
British American Tobacco Plc | 175,713 | 8,335,892 | ||||||
British Land Co. Plc | 73,115 | 524,772 | ||||||
British Sky Broadcasting Group Plc | 101,087 | 1,150,096 | ||||||
BT Group Plc | 690,341 | 2,046,296 | ||||||
Bunzl Plc | 29,609 | 406,281 | ||||||
Burberry Group Plc | 38,848 | 714,322 | ||||||
Cairn Energy Plc (a) | 126,105 | 518,455 | ||||||
The Capita Group Plc | 54,287 | 529,389 | ||||||
Capital Shopping Centres Group Plc | 48,885 | 236,855 | ||||||
Carnival Plc | 16,492 | 543,609 | ||||||
Centrica Plc | 459,271 | 2,062,815 | ||||||
Cobham Plc | 100,563 | 286,346 | ||||||
Compass Group Plc | 168,414 | 1,598,042 | ||||||
Diageo Plc | 222,517 | 4,862,016 | ||||||
Essar Energy Plc (a) | 29,542 | 78,693 | ||||||
Eurasian Natural Resources Corp. Plc | 23,514 | 231,906 | ||||||
Experian Plc | 89,049 | 1,210,402 | ||||||
Fresnillo Plc | 16,255 | 385,157 | ||||||
G4S Plc | 127,390 | 537,720 | ||||||
GKN Plc | 138,990 | 394,692 | ||||||
GlaxoSmithKline Plc | 451,042 | 10,277,406 | ||||||
Glencore International Plc | 74,829 | 456,900 | ||||||
Hammerson Plc | 63,897 | 356,809 | ||||||
HSBC Holdings Plc | 1,586,383 | 12,110,517 | ||||||
ICAP Plc | 49,487 | 266,560 | ||||||
Imperial Tobacco Group Plc | 90,028 | 3,406,705 | ||||||
Inmarsat Plc | 39,692 | 248,580 | ||||||
Intercontinental Hotels Group Plc | 26,163 | 470,407 | ||||||
International Power Plc | 136,900 | 715,845 | ||||||
Intertek Group Plc | 14,546 | 459,348 | ||||||
Invensys Plc | 73,682 | 240,959 | ||||||
Investec Plc | 44,581 | 234,614 | ||||||
ITV Plc | 324,659 | 342,981 | ||||||
J Sainsbury Plc | 109,355 | 514,135 | ||||||
Johnson Matthey Plc | 19,282 | 549,383 | ||||||
Kazakhmys Plc | 18,566 | 268,071 | ||||||
Kingfisher Plc | 209,579 | 814,423 | ||||||
Land Securities Group Plc | 69,522 | 685,694 | ||||||
Legal & General Group Plc | 520,545 | 831,869 | ||||||
Lloyds Banking Group Plc (a) | 3,660,302 | 1,470,271 |
See Notes to Financial Statements.
90 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Schedule of Investments (continued) | Master International Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
United Kingdom (concluded) |
| |||||||
London Stock Exchange Group Plc | 13,856 | $ | 170,407 | |||||
Lonmin Plc | 14,124 | 215,199 | ||||||
Man Group Plc | 170,006 | 331,773 | ||||||
Marks & Spencer Group Plc | 142,712 | 689,271 | ||||||
Meggitt Plc | 69,658 | 381,295 | ||||||
National Grid Plc | 316,195 | 3,056,272 | ||||||
Next Plc | 15,058 | 638,824 | ||||||
Old Mutual Plc | 490,357 | 1,031,384 | ||||||
Pearson Plc | 72,299 | 1,356,958 | ||||||
Petrofac Ltd. | 23,369 | 522,654 | ||||||
Prudential Plc | 226,278 | 2,238,833 | ||||||
Randgold Resources Ltd. | 8,112 | 829,360 | ||||||
Reckitt Benckiser Group Plc | 55,004 | 2,712,798 | ||||||
Reed Elsevier Plc | 107,861 | 868,293 | ||||||
Resolution Ltd. | 127,197 | 495,844 | ||||||
Rexam Plc | 78,442 | 429,298 | ||||||
Rio Tinto Plc, Registered Shares | 124,326 | 6,072,891 | ||||||
Rolls-Royce Holdings Plc (a) | 166,247 | 1,924,833 | ||||||
Royal Bank of Scotland Group Plc (a) | 1,570,779 | 495,122 | ||||||
Royal Dutch Shell Plc, Class A | 321,693 | 11,802,677 | ||||||
Royal Dutch Shell Plc, Class B | 238,598 | 9,075,759 | ||||||
RSA Insurance Group Plc | 310,978 | 507,689 | ||||||
SABMiller Plc | 84,677 | 2,976,950 | ||||||
The Sage Group Plc | 119,005 | 543,777 | ||||||
Schroders Plc | 10,062 | 205,149 | ||||||
Scottish & Southern Energy Plc | 83,183 | 1,665,098 | ||||||
Segro Plc | 65,911 | 213,419 | ||||||
Serco Group Plc | 44,600 | 328,163 | ||||||
Severn Trent Plc | 21,510 | 499,156 | ||||||
Shire Plc | 49,939 | 1,735,585 | ||||||
Smith & Nephew Plc | 80,158 | 777,923 | ||||||
Smiths Group Plc | 35,177 | 499,224 | ||||||
Standard Chartered Plc | 211,416 | 4,624,199 | ||||||
Standard Life Plc | 210,131 | 673,259 | ||||||
Tate & Lyle Plc | 41,890 | 457,963 | ||||||
Tesco Plc | 712,289 | 4,456,676 | ||||||
Tui Travel Plc | 42,176 | 108,785 | ||||||
Tullow Oil Plc | 80,257 | 1,743,839 | ||||||
Unilever Plc | 114,039 | 3,824,193 | ||||||
United Utilities Group Plc | 60,262 | 566,648 | ||||||
Vedanta Resources Plc | 10,542 | 166,325 | ||||||
Vodafone Group Plc | 4,518,390 | 12,597,741 | ||||||
The Weir Group Plc | 18,965 | 598,606 | ||||||
Whitbread Plc | 15,173 | 368,378 | ||||||
WM Morrison Supermarkets Plc | 194,176 | 982,140 | ||||||
Wolseley Plc | 24,934 | 824,698 | ||||||
WPP Plc | 111,905 | 1,173,576 | ||||||
Xstrata Plc | 184,355 | 2,806,834 | ||||||
|
| |||||||
196,265,084 | ||||||||
|
| |||||||
Total Long-Term Investments |
| 840,894,972 | ||||||
|
|
Short-Term Securities | Shares | Value | ||||||
BlackRock Liquidity Funds, TempCash, | 1,969,251 | $ | 1,969,251 | |||||
|
| |||||||
Total Short-Term Securities | 1,969,251 | |||||||
|
| |||||||
Total Investments |
| 842,864,223 | ||||||
Other Assets Less Liabilities – 1.5% | 12,916,695 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 855,780,918 | ||||||
|
|
* | As of December 31, 2011, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
Tax cost | $ | 929,473,570 | ||
|
| |||
Gross unrealized appreciation | $ | 108,922,210 | ||
Gross unrealized depreciation | (195,531,557 | ) | ||
|
| |||
Net unrealized depreciation | $ | (86,609,347 | ) | |
|
|
(a) | Non-income producing security. |
(b) | Investments in companies considered to be an affiliate of the Series during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliate | Shares Held at December 31, 2010 | Net Activity | Shares Held at December 31, 2011 | Income | ||||||||||||
BlackRock Liquidity Funds, TempCash, Institutional Class | 2,576,868 | (607,617 | ) | 1,969,251 | $ | 2,226 |
(c) | Represents the current yield as of report date. |
• | Financial futures contracts purchased as of December 31, 2011 were as follows: |
Contracts | Index | Exchange | Expiration | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
101 | DJ Euro Stoxx 50 | Eurex | March 2012 | $ | 3,017,001 | $ | 50,452 | |||||||
27 | E-Mini MSCI EAFE Index | Chicago Mercantile | March 2012 | $ | 1,902,690 | 7,367 | ||||||||
33 | FTSE 100 Index | NYSE Liffe | March 2012 | $ | 2,837,145 | 43,925 | ||||||||
39 | Nikkei 225 Index | Singapore | March 2012 | $ | 2,143,303 | (11,293 | ) | |||||||
12 | SPI 200 Index | Australian Securities Exchange | March 2012 | $ | 1,233,190 | (33,841 | ) | |||||||
|
| |||||||||||||
Total | $ | 56,610 | ||||||||||||
|
|
See Notes to Financial Statements.
MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 | 91 |
Table of Contents
Schedule of Investments (concluded) | Master International Index Series |
• Foreign currency exchange contracts as of December 31, 2011 were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||
USD 2,217,741 | AUD 2,163,000 | Credit Suisse | 1/03/12 | $ | 5,424 | |||||||
Securities LLC | ||||||||||||
USD 1,518,530 | CHF 1,420,000 | Credit Suisse | 1/03/12 | 6,766 | ||||||||
Securities LLC | ||||||||||||
USD 156,672 | DKK 897,000 | Credit Suisse | 1/03/12 | 489 | ||||||||
Securities LLC | ||||||||||||
USD 6,685,473 | EUR 5,150,000 | Credit Suisse | 1/03/12 | 20,083 | ||||||||
Securities LLC | ||||||||||||
USD 6,076,566 | GBP 3,910,000 | Credit Suisse | 1/03/12 | 4,336 | ||||||||
Securities LLC | ||||||||||||
USD 527,002 | HKD 4,093,000 | Credit Suisse | 1/03/12 | 2 | ||||||||
Securities LLC | ||||||||||||
USD 62,766 | ILS 240,000 | Credit Suisse | 1/03/12 | (210 | ) | |||||||
Securities LLC | ||||||||||||
USD 224,365 | NOK 1,339,000 | Credit Suisse | 1/03/12 | 484 | ||||||||
Securities LLC | ||||||||||||
USD 576,780 | SEK 3,954,000 | Credit Suisse | 1/03/12 | 2,242 | ||||||||
Securities LLC | ||||||||||||
USD 241,391 | SGD 313,000 | Credit Suisse | 1/03/12 | 74 | ||||||||
Securities LLC | ||||||||||||
AUD 585,252 | USD 600,000 | Credit Suisse | 1/04/12 | (1,405 | ) | |||||||
Securities LLC | ||||||||||||
EUR 1,386,580 | USD 1,800,000 | Credit Suisse | 1/04/12 | (5,418 | ) | |||||||
Securities LLC | ||||||||||||
GBP 1,093,881 | USD 1,700,000 | Credit Suisse | 1/04/12 | (1,203 | ) | |||||||
Securities LLC | ||||||||||||
USD 4,419,011 | JPY 340,000,000 | Credit Suisse | 1/04/12 | 1,705 | ||||||||
Securities LLC | ||||||||||||
Total | $ | 33,369 | ||||||||||
|
|
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted 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) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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.
The following tables summarize the inputs used as of December 31, 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 | — | $ | 72,182,635 | $ | 10 | $ | 72,182,645 | |||||||||
Austria | — | 2,059,241 | — | 2,059,241 | ||||||||||||
Belgium | — | 7,990,118 | — | 7,990,118 | ||||||||||||
Bermuda | — | 971,591 | — | 971,591 | ||||||||||||
China | — | 132,032 | — | 132,032 | ||||||||||||
Denmark | — | 8,835,909 | — | 8,835,909 | ||||||||||||
Finland | — | 7,040,375 | — | 7,040,375 | ||||||||||||
France | — | 72,528,811 | — | 72,528,811 | ||||||||||||
Germany | — | 65,694,436 | — | 65,694,436 | ||||||||||||
Greece | $ | 282,620 | 431,327 | — | 713,947 | |||||||||||
Hong Kong | 211,900 | 23,420,400 | — | 23,632,300 | ||||||||||||
Ireland | — | 2,757,908 | 1 | 2,757,909 | ||||||||||||
Israel | — | 5,486,572 | — | 5,486,572 | ||||||||||||
Italy | — | 18,316,065 | — | 18,316,065 | ||||||||||||
Japan | 246,953 | 181,185,045 | — | 181,431,998 | ||||||||||||
Luxembourg | — | 3,474,018 | — | 3,474,018 | ||||||||||||
Netherlands | 1,064,515 | 21,602,813 | — | 22,667,328 | ||||||||||||
New Zealand | — | 978,586 | — | 978,586 | ||||||||||||
Norway | — | 6,796,555 | — | 6,796,555 | ||||||||||||
Portugal | 345,421 | 1,360,634 | — | 1,706,055 | ||||||||||||
Singapore | 284,575 | 13,745,652 | — | 14,030,227 | ||||||||||||
Spain | 364,233 | 27,255,317 | — | 27,619,550 | ||||||||||||
Sweden | — | 25,178,982 | — | 25,178,982 | ||||||||||||
Switzerland | — | 72,404,638 | — | 72,404,638 | ||||||||||||
United Kingdom | — | 196,265,084 | — | 196,265,084 | ||||||||||||
Short-Term Securities | 1,969,251 | — | — | 1,969,251 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,769,468 | $ | 838,094,744 | $ | 11 | $ | 842,864,223 | ||||||||
|
|
|
|
|
|
|
|
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Derivative Financial Instruments1 | ||||||||||||||||
Assets: | ||||||||||||||||
Equity contracts | $ | 101,744 | — | — | $ | 101,744 | ||||||||||
Foreign currency exchange contracts | — | $ | 41,605 | — | 41,605 | |||||||||||
Liabilities: | ||||||||||||||||
Equity contracts | (45,134 | ) | — | — | (45,134 | ) | ||||||||||
Foreign currency exchange contracts | — | (8,236 | ) | — | (8,236 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 56,610 | $ | 33,369 | — | $ | 89,979 | |||||||||
|
|
|
|
|
|
|
|
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.
92 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Statement of Assets and Liabilities | Master International Index Series | |
December 31, 2011 | ||||
Assets | ||||
Investments at value – unaffiliated (cost – $875,963,977) | $ | 840,894,972 | ||
Investments at value – affiliated (cost – $1,969,251) | 1,969,251 | |||
Cash pledged as collateral for financial futures contracts | 776,000 | |||
Investments sold receivable | 18,956,284 | |||
Foreign currency at value (cost – $8,096,527) | 8,095,076 | |||
Dividends receivable | 4,422,925 | |||
Margin variation receivable | 95,898 | |||
Unrealized appreciation on foreign currency exchange contracts | 41,605 | |||
Prepaid expenses | 16,026 | |||
|
| |||
Total assets | 875,268,037 | |||
|
| |||
Liabilities | ||||
Bank overdraft | 280,213 | |||
Withdrawals payable to investor | 18,748,858 | |||
Investments purchased payable | 211,900 | |||
Unrealized depreciation on foreign currency exchange contracts | 8,236 | |||
Investment advisory fees payable | 7,220 | |||
Other affiliates payable | 2,373 | |||
Directors’ fees payable | 459 | |||
Other accrued expenses payable | 227,860 | |||
|
| |||
Total liabilities | 19,487,119 | |||
|
| |||
Net Assets | $ | 855,780,918 | ||
|
| |||
Net Assets Consist of | ||||
Investors’ capital | $ | 890,655,790 | ||
Net unrealized appreciation/depreciation | (34,874,872 | ) | ||
|
| |||
Net Assets | $ | 855,780,918 | ||
|
|
See Notes to Financial Statements.
MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 | 93 |
Table of Contents
Statement of Operations | Master International Index Series | |
Year Ended December 31, 2011 | ||||
Investment Income | ||||
Dividends – unaffiliated | $ | 35,991,032 | ||
Foreign taxes withheld | (3,619,477 | ) | ||
Dividends – affiliated | 2,226 | |||
|
| |||
Total income | 32,373,781 | |||
|
| |||
Expenses | ||||
Investment advisory | 93,352 | |||
Custodian | 263,526 | |||
Accounting services | 180,326 | |||
Professional | 104,300 | |||
Pricing | 88,115 | |||
Directors | 24,565 | |||
Printing | 1,998 | |||
Miscellaneous | 29,815 | |||
|
| |||
Total expenses | 785,997 | |||
Less fees waived by advisor | (4,114 | ) | ||
|
| |||
Total expenses after fees waived | 781,883 | |||
|
| |||
Net investment income | 31,591,898 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) from: | ||||
Investments | (25,889,226 | ) | ||
Financial futures contracts | (587,208 | ) | ||
Foreign currency transactions | 198,904 | |||
|
| |||
(26,277,530 | ) | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (123,595,786 | ) | ||
Financial futures contracts | 51,678 | |||
Foreign currency transactions | (178,643 | ) | ||
|
| |||
(123,722,751 | ) | |||
|
| |||
Total realized and unrealized loss | (150,000,281 | ) | ||
|
| |||
Net Decrease in Net Assets Resulting from Operations | $ | (118,408,383 | ) | |
|
|
See Notes to Financial Statements.
94 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 |
Table of Contents
Statements of Changes in Net Assets | Master International Index Series | |
Year Ended December 31, | ||||||||
Increase (Decrease) in Net Assets: | 2011 | 2010 | ||||||
Operations | ||||||||
Net investment income | $ | 31,591,898 | $ | 21,715,802 | ||||
Net realized loss | (26,277,530 | ) | (21,606,488 | ) | ||||
Net change in unrealized appreciation/depreciation | (123,722,751 | ) | 84,313,481 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (118,408,383 | ) | 84,422,795 | |||||
|
|
|
| |||||
Capital Transactions | ||||||||
Proceeds from contributions | 277,608,631 | 325,133,239 | ||||||
Value of withdrawals | (226,119,685 | ) | (236,135,595 | ) | ||||
|
|
|
| |||||
Net increase in net assets derived from capital transactions | 51,488,946 | 88,997,644 | ||||||
|
|
|
| |||||
Net Assets | ||||||||
Total increase (decrease) in net assets | (66,919,437 | ) | 173,420,439 | |||||
Beginning of year | 922,700,355 | 749,279,916 | ||||||
|
|
|
| |||||
End of year | $ | 855,780,918 | $ | 922,700,355 | ||||
|
|
|
|
Financial Highlights | Master International Index Series |
Year Ended December 31, | ||||||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||
Total Investment Return | ||||||||||||||||||||
Total investment return | (12.34 | )% | 7.66 | % | 28.99 | % | (41.94 | )% | 10.80 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||
Total expenses | 0.08 | % | 0.11 | % | 0.09 | % | 0.11 | % | 0.10 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and paid indirectly | 0.08 | % | 0.10 | % | 0.09 | % | 0.10 | % | 0.09 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income | 3.38 | % | 2.73 | % | 2.98 | % | 3.54 | % | 2.86 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 855,781 | $ | 922,700 | $ | 749,280 | $ | 706,119 | $ | 1,143,172 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Portfolio turnover | 6 | % | 8 | % | 30 | % | 30 | % | 30 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 | 95 |
Table of Contents
Notes to Financial Statements | Master International Index Series | |
1. Organization and Significant Accounting Policies:
Master International index Series (the “Series”), a non-diversified open-end management investment company, is a series of Quantitative Master Series LLC (the “Master LLC”). The Master LLC is registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”), and is organized as a Delaware limited liability company. The Master LLC’s Limited Liability Company Agreement permits the Board of Directors of the Master LLC (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 their last sale price. Investments in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.
Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.
In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board
as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that the Series might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Series’ net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair 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 respective date of such transactions. 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 does not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated on the Statement of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. 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
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Notes to Financial Statements (continued) | Master International Index Series |
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. 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 net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required. It is intended that the Series’ assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Series files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Series’ US federal tax returns remains open for each of the four years ended December 31, 2011. 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 (the “FASB”) 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 statement disclosures.
In December 2011, the FASB issued guidance that will enhance current disclosure requirements on the offsetting of certain assets and liabilities.
The new disclosures will be required for investments and derivative financial instruments subject to master netting agreements or similar agreements and will require an entity to disclose both gross and net information about such investments and transactions eligible for offset in the Statement of Assets and Liabilities. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Series’ financial statement 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 counterpar-ties. An 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
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Notes to Financial Statements (continued) | Master International Index Series |
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 coun-terparty 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.
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 Instruments Categorized by Risk Exposure:
Fair Values of Derivative Instruments as of December 31, 2011
Asset Derivatives | Liability Derivatives | |||||||||||
Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | |||||||||
Equity contracts | Net unrealized appreciation* | $ | 101,744 | Net unrealized depreciation* | $ | 45,134 | ||||||
Unrealized appreciation on foreign currency | Unrealized depreciation on foreign currency | |||||||||||
Foreign c urrency exchange contracts | exchange contracts | $ | 41,605 | exchange contracts | $ | 8,236 | ||||||
|
|
|
| |||||||||
Total | $ | 143,349 | $ | 53,370 | ||||||||
|
|
|
|
* | 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
Year Ended December 31, 2011
Net Realized Gain (Loss) From | ||||||||
Financial Futures Contracts | Foreign Currency Exchange Contracts | |||||||
Equity contracts | $ | (587,208 | ) | — | ||||
Foreign currency exchange contracts | — | $ | 276,346 |
Net Change in Unrealized Appreciation/Depreciation on | ||||||||
Financial Futures Contracts | Foreign Currency Exchange Contracts | |||||||
Equity contracts | $ | 51,678 | — | |||||
Foreign currency exchange contracts | — | $ | 33,369 |
For the year ended December 31, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:
Financial futures contracts: | ||||
Average number of contracts purchased | 212 | |||
Average notional value of contracts purchased | $ | 13,039,843 | ||
Foreign currency exchange contracts: | ||||
Average number of contracts – US dollars purchased | 4 | |||
Average number of contracts – US dollars sold | 14 | |||
Average US dollar amounts purchased | $ | 5,806,950 | ||
Average US dollar amounts sold | $ | 4,186,119 |
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Notes to Financial Statements (continued) | Master International Index Series |
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 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 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 year ended December 31, 2011, the Manager waived $2,006, 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 in connection with the Series’ investment in other affiliated investment companies, if any. For the year ended December 31, 2011, the Manager waived $2,108, 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 year ended December 31, 2011, the Series reimbursed the Manager $10,033 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 year ended December 31, 2011, were $143,935,118 and $59,509,316, respectively.
5. Borrowings:
The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders, which expired in November 2011. The Series may borrow under the credit agreement to fund shareholder redemptions. Effective November 2010, the credit agreement had the following terms: a commitment fee of 0.08% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.00% per annum or (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. Effective November 2011, the credit agreement was renewed until November 2012 with the following terms: a commitment fee of 0.065% 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 0.80% per annum or (b) the Fed Funds rate plus 0.80% 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, 2011. The Series did not borrow under the credit agreement during the year ended December 31, 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 counterpar-ties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Series’ Statement of Assets and Liabilities, less any collateral held by the Series.
MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 | 99 |
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Notes to Financial Statements (concluded) | Master International Index Series |
The Series invests a substantial amount of its assets in issuers located in a single country or a limited number of countries. When the Series concentrates its investments in this manner, it assumes the risk that economic, political and social conditions in those countries may have a significant impact on their investment performance. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the US. Foreign securities markets may also be less liquid, more volatile, and less subject to governmental supervision not typically associated with investing in US securities. Please see the Schedule of Investments for concentrations in specific countries.
As of December 31, 2011, the Series had the following industry classifications:
Industry | Percent of Long-Term Investments | |||
Commercial Banks | 11 | % | ||
Pharmaceuticals | 9 | % | ||
Oil & Gas Consumable Fuels | 8 | % | ||
Metals & Mining | 6 | % | ||
Other1 | 66 | % |
1 | All other industries held were each less than 5% of long-term investments. |
7. Subsequent Events:
Management has evaluated the impact of all subsequent events on the Series through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
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Report of Independent Registered Public Accounting Firm | Master International Index Series |
To the Investors of Master International Index Series and Board of Directors of Quantitative Master Series LLC:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master International Index Series, one of the portfolios constituting Quantitative Master Series LLC, (the “Master LLC”) as of December 31, 2011, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Master LLC’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master LLC’s internal control over financial
reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master International Index Series of Quantitative Master Series LLC as of December 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
February 22, 2012
MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2011 | 101 |
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Officers and Directors | Master International Index Series | |
Name, Address and Year of Birth | Position(s) Held with Master LLC | Length of Time Served as a Director2 | Principal Occupation(s) During Past Five Years | Number of BlackRock- | Public | |||||
Independent Directors1 | ||||||||||
Ronald W. Forbes 55 East 52nd Street New York, NY 10055 1940 | Co-Chairman of the Board and Director | Since 2007 | Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000. | 33 RICs consisting of 107 Portfolios | None | |||||
Rodney D. Johnson 55 East 52nd Street New York, NY 10055 1941 | Co-Chairman of the Board and Director | Since 2007 | President, Fairmount Capital Advisors, Inc. since 1987; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director, The Committee of Seventy (civic) since 2006; Director, Fox Chase Cancer Center from 2004 to 2010. | 33 RICs consisting of 107 Portfolios | None | |||||
David O. Beim 55 East 52nd Street New York, NY 10055 1940 | Director | Since 2007 | Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006. | 33 RICs consisting of 107 Portfolios | None | |||||
Dr. Matina S. Horner 55 East 52nd Street New York, NY 10055 1939 | Director | Since 2007 | Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003. | 33 RICs consisting of 107 Portfolios | NSTAR (electric and gas utility) | |||||
Herbert I. London 55 East 52nd Street New York, NY 10055 1939 | Director | Since 2007 | Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005; Director, Cybersettle (dispute resolution technology) since 2009. | 33 RICs consisting of 107 Portfolios | AIMS Worldwide, Inc. (marketing) | |||||
Cynthia A. Montgomery 55 East 52nd Street New York, NY 10055 1952 | Director | Since 2007 | Professor, Harvard Business School since 1989; Director, McLean Hospital since 2005; Director, Harvard Business School Publishing from 2005 to 2010. | 33 RICs consisting of 107 Portfolios | Newell Rubbermaid, Inc. (manufacturing) | |||||
Joseph P. Platt 55 East 52nd Street New York, NY 10055 1947 | Director | Since 2007 | Director, The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investment) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008. | 33 RICs consisting of 107 Portfolios | Greenlight Capital Re, Ltd. (reinsurance company) | |||||
Robert C. Robb, Jr. 55 East 52nd Street New York, NY 10055 1945 | Director | Since 2007 | Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981. | 33 RICs consisting of 107 Portfolios | None | |||||
Toby Rosenblatt 55 East 52nd Street New York, NY 10055 1938 | Director | Since 2007 | President, Founders Investments Ltd. (private investments) since 1999; Director, College Access Foundation of California (philanthropic foundation) since 2009; Director, Forward Manage- ment, LLC since 2007; Director, A.P. Pharma, Inc. (specialty pharmaceuticals) from 1983 to 2011; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008. | 33 RICs consisting of 107 Portfolios | None |
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Officers and Directors (continued) | Master International Index Series | |
Name, Address and Year of Birth | Position(s) | Length of | Principal Occupation(s) During Past Five Years | Number of BlackRock- | Public | |||||
Independent Directors1 (concluded) | ||||||||||
Kenneth L. Urish 55 East 52nd Street New York, NY 10055 1951 | Director | Since 2007 | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Chairman Elect of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007. | 33 RICs consisting of 107 Portfolios | None | |||||
Frederick W. Winter 55 East 52nd Street New York, NY 10055 1945 | Director | Since 2007 | Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005; Director, Alkon Corporation (pneumatics) since 1992; Director, Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008. | 33 RICs consisting of 107 Portfolios | None | |||||
1 Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved extensions in terms of Directors who turn 72 prior to December 31, 2013. 2 Date shown is the earliest date a person has served for the Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows Directors as joining the Master LLC’s Board in 2007, each Director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. | ||||||||||
Interested Directors3 | ||||||||||
Paul L. Audet 55 East 52nd Street New York, NY 10055 1953 | Director | Since 2011 | Senior Managing Director, BlackRock and Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds busi- ness since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005. | 159 RICs consisting of 286 Portfolios | None | |||||
Henry Gabbay 55 East 52nd Street New York, NY 10055 1947 | Director | Since 2007 | Consultant, BlackRock from 2007 to 2008; Managing Director, BlackRock from 1989 to 2007; Chief Administrative Officer BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006. | 159 RICs consisting of 286 Portfolios | None |
3 | Mr. Audet is an “interested person,” as defined in the 1940 Act, of the Master LLC based on his position with BlackRock and its affiliates. Mr. Gabbay is an “interested person” of the Master LLC based on his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of the BlackRock registered closed-end funds and Directors of other BlackRock registered open-end funds. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. |
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Officers and Directors (concluded) | Master International Index Series | |
Name, Address and Year of Birth | Position(s) | Length | Principal Occupation(s) During Past Five Years | |||
Officers1 | ||||||
John M. Perlowski 55 East 52nd Street New York, NY 10055 1964 | President and Chief Executive Officer | Since 2010 | Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009. | |||
Brendan Kyne 55 East 52nd Street New York, NY 10055 1977 | Vice President | Since 2009 | Managing Director of BlackRock since 2010; Director of BlackRock from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock from 2005 to 2008. | |||
Neal Andrews 55 East 52nd Street New York, NY 10055 1966 | Chief Financial Officer | Since 2007 | Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006. | |||
Jay Fife 55 East 52nd Street New York, NY 10055 1970 | Treasurer | Since 2007 | Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006. | |||
Brian Kindelan 55 East 52nd Street New York, NY 10055 1959 | Chief Compliance Officer and Anti-Money Laundering Officer | Since 2007 | Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock since 2005. | |||
Ira P. Shapiro 55 East 52nd Street New York, NY 10055 1963 | Secretary | Since 2010 | Managing Director of BlackRock since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008. |
1 | Officers of the Master LLC serve at the pleasure of the Board. |
Further information about the Officers and Directors is available in the Master LLC’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.
Investment Advisor BlackRock Advisors, LLC Wilmington, DE 19809 | Sub-Advisor BlackRock Investment Management, LLC Princeton, NJ 08540 | Custodian JPMorgan Chase Bank, N.A. Brooklyn, NY 11245 | Accounting Agent State Street Bank and Trust Company Boston, MA 02110 | Independent Registered Public Accounting Firm Deloitte & Touche LLP Boston, MA 02116 | Legal Counsel Sidley Austin LLP New York, NY 10019 |
Effective September 22, 2011, Richard S. Davis resigned as Director of the Master LLC, and Paul L. Audet became Director of the Master LLC. |
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Institutional and Investor Classes Call (800) 658-5811 | By Mail:
American Beacon Funds P.O. Box 219643 Kansas City, MO 64121 | |
Availability of Quarterly Portfolio Schedules In addition to the Schedule of Investments provided in each semi-annual and annual report, each Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room, 450 Fifth Street, NW, Washington, DC 20549. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. | Availability of Proxy Voting Policy and Records A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available in each Fund’s Statement of Additional Information, which may be obtained free of charge by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. Each Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009. |
Fund Service Providers:
CUSTODIAN State Street Bank and Trust Boston, Massachusetts | TRANSFER AGENT Boston Financial Data Services Kansas City, Missouri | INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Dallas, Texas | DISTRIBUTOR Foreside Fund Services, LLC Portland, Maine |
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.
American Beacon Funds, American Beacon Small Cap Index Fund and American Beacon International Equity Index Fund are service marks of American Beacon Advisors, Inc.
AR 12/11
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ITEM 2. | CODE OF ETHICS. |
The Trust has adopted a code of ethics that applies to its principal executive and financial officers (the “Code”). The Trust amended its code February 16, 2010 to disclose a change in the Principal Financial Office. The Trust did not grant any waivers to the provisions of the Code during the period covered by the shareholder report presented in Item 1. The Code is filed herewith as Exhibit 99.CODE ETH.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The Trust’s Board of Trustees has determined that Mr. Paul Zucconi, a member of the Trust’s Audit and Compliance Committee, is an “audit committee financial expert” as defined in Form N-CSR. Mr. Paul Zucconi is “independent” as defined in Form N-CSR.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
(a) | ||
Audit Fees | Fiscal Year Ended | |
$ 37,869 | 8/31/2010 | |
$ 318,158 | 10/31/2010 | |
$ 95,455 | 12/31/2010 | |
$ 144,159 | 8/31/2011 | |
$ 328,501 | 10/31/2011 | |
$ 72,527 | 12/31/2011 |
(b) | ||
Audit-Related Fees | Fiscal Year Ended | |
$ 0 | 8/31/2010 | |
$ 12,375* | 10/31/2010 | |
$ 3,875* | 12/31/2010 | |
$ 0 | 8/31/2011 | |
$ 0 | 10/31/2011 | |
$ 0 | 12/31/2011 |
*Review of N-1A filings
(c) | ||
Tax Fees | Fiscal Year Ended | |
$ 3,426 | 8/31/2010 | |
$ 40,277 | 10/31/2010 | |
$ 4,129 | 12/31/2010 | |
$ 3,426 | 8/31/2011 | |
$ 50,971 | 10/31/2011 | |
$ 3,398 | 12/31/2011 |
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(d) | ||
All Other Fees | Fiscal Year Ended | |
$0 | 8/31/2010 | |
$0 | 10/31/2010 | |
$0 | 12/31/2010 | |
$0 | 8/31/2011 | |
$0 | 10/31/2011 | |
$0 | 12/31/2011 |
(e)(1) Pursuant to its charter, the Trust’s Audit and Compliance Committee shall have the following duties and powers pertaining to pre-approval of audit and non-audit services provided by the Trust’s principal accountant:
- to approve, prior to appointment, the engagement of auditors to annually audit and provide their opinion on the Trusts’ financial statements, and, in connection therewith, reviewing and evaluating matters potentially affecting the independence and capabilities of the auditors;
- to approve, prior to appointment, the engagement of the auditors to provide non-audit services to the Trusts, an investment adviser to any series of the Trusts or any entity controlling, controlled by, or under common control with an investment adviser (“adviser affiliate”) that provides ongoing services to the Trusts, if the engagement relates directly to the operations and financial reporting of the Trusts;
- to consider whether the non-audit services provided by a Trust’s auditor to an investment adviser or any adviser affiliate that provides ongoing services to a series of the Trusts, which services were not pre-approved by the Committee, are compatible with maintaining the auditor’s independence;
- to review the arrangements for and scope of the annual audit and any special audits; and
- to review and approving the fees proposed to be charged to the Trusts by the auditors for each audit and non-audit service.
The Audit and Compliance Committee may delegate any portion of its authority, including the authority to grant pre-approvals of audit and permitted non-audit services, to a subcommittee of one or more members. Any decisions of the subcommittee to grant pre-approvals shall be presented to the full audit committee at its next regularly scheduled meeting.
(e)(2) None of the fees disclosed in paragraphs (b) through (d) above were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) | Not applicable. |
(g) | ||||||||
Aggregate Non-Audit Fees for Services Rendered to the: | ||||||||
Registrant | Adviser | Adviser’s Affiliates Providing Ongoing Services to Registrant | Fiscal Year Ended | |||||
$ 3,246 | $ | 0 | N/A | 8/31/2010 | ||||
$ 52,652 | $ | 0 | N/A | 10/31/2010 | ||||
$ 8,004 (Revised) | $ | 0 | N/A | 12/31/2010 | ||||
$ 3,426 | $ | 7,885 | N/A | 8/31/2011 | ||||
$ 50,971 | $ | 0 | N/A | 10/31/2011 | ||||
$ 3,398 | $ | 0 | N/A | 12/31/2011 |
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(h) | 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.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): American Beacon Funds | ||
By | /s/ Gene L. Needles, Jr. | |
Gene L. Needles, Jr. President |
Date: March 8, 2012
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: March 8, 2012
By | /s/ Melinda G. Heika | |
Melinda G. Heika Treasurer |
Date: March 8, 2012