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, 2012
Date of reporting period: December 31, 2012
ITEM 1. REPORT TO STOCKHOLDERS.
About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
Contents
| 1 | ||||
| 2-10 | ||||
| 14-22 | ||||
| 43-50 | ||||
| Back Cover | ||||
The Bridgeway Large Cap Value Fund may invest in futures contracts, which are a type of derivative investment. Investing in derivatives could result in losing more than the amount invested. Investing in foreign securities entails additional risk not associated with domestic securities, such as currency fluctuations, economic and political instability and differences in accounting standards. The intrinsic value of stocks selected for the Fund may never be realized by the market, and the prices of value stocks may go down. While investing in value stocks may limit downside risk over time, the Fund may produce more modest gains than riskier stock funds as a trade-off for this potentially lower risk. The Holland Large Cap Growth Fund may invest in futures contracts, which are a type of derivative investment. Investing in derivatives could result in losing more than the amount invested. Investing in foreign securities entails additional risk not associated with domestic securities, such as currency fluctuations, economic and political instability and differences in accounting standards. Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales. Because the Fund may invest in fewer companies than a more diversified portfolio, the fluctuating value of a single holding may have a greater impact on the value of the Fund. The Stephens Mid-Cap Growth and Stephens Small Cap Growth Funds may invest in futures contracts, which are a type of derivative investment. Investing in derivatives could result in losing more than the amount invested. Investing in foreign securities entails additional risk not associated with domestic securities, such as currency fluctuations, economic and political instability and differences in accounting standards. Investing in the securities of small and mid-capitalization companies involves greater risk and the possibility of greater price volatility than investing in larger capitalization and more established companies. Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales. Please see the prospectus for a complete discussion of each Fund’s risks. There can be no assurances that the investment objectives of these Funds will be met.
Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. The advisor’s strategies and the Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | December 31, 2012 |
|
The year just passed was a strong one for the stock market. Even though we saw a good deal of volatility from quarter to quarter, what was ultimately most remarkable was how broad-based the performance was. Nine of the ten industry sectors in the S&P 500 Index gained in value for the year. The S&P 500 Index itself, consisting of large-cap stocks, gained 16.00% for the year; the Russell Midcap Growth Index, representing mid-cap growth stocks, gained 15.81%; and the Russell 2000 Growth Index, which consists of small-cap growth stocks, gained 14.59%.
In that sort of landscape, it’s beneficial for investors to have a wide range of equity vehicles to choose from. American Beacon Advisors is proud to offer several such funds, sub-advised by some of the most highly respected investment teams in the nation. | |
For the 12-month period ended December 31, 2012:
| • | American Beacon Bridgeway Large Cap Value Fund (Institutional Class) returned 18.06%. |
| • | American Beacon Holland Large Cap Growth Fund (Institutional Class) returned 12.57%. |
| • | American Beacon Stephens Small Cap Growth Fund (Institutional Class) returned 16.23%. |
| • | American Beacon Stephens Mid-Cap Growth Fund (Institutional Class) returned 15.19%. |
We expect these funds to provide value to investors in most types of markets. And that’s exactly what they’ve done over the past year.
Thank you for your continued investment in the American Beacon Funds. For additional information about the Funds 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
Domestic Equity Market Overview
December 31, 2012 (Unaudited)
Despite quarter-to-quarter volatility, U.S. domestic equity markets achieved double-digit gains in 2012, with the S&P 500 Index up 16.0%. This is the fourth year in a row that the S&P 500 has posted positive returns and the third year out of four that those gains were in double digits. In 2012, the markets demonstrated that macroeconomic events such as the European debt crisis, U.S. presidential election and fiscal cliff can affect performance in the short-term, but solid company fundamentals continue to be rewarded in the long-term.
The U.S. stock market opened 2012 with its strongest first quarter since 1998. Most of the major U.S. stock market indexes logged double-digit returns, with the S&P 500 returning 12.6%. U.S. and global economic conditions appeared to be stabilizing, and along with an easing of Europe’s debt problems and good corporate earnings reports, this led to a more optimistic mood among investors. In addition, continued lower correlation among stocks helped distinguish companies based on fundamentals (versus highly correlated stocks moving in tandem). Improving economic indicators such as declining unemployment, rising consumer confidence (only slightly dampened by rising gas prices) and declining initial jobless claims all buoyed U.S. equity markets.
The second quarter of 2012 was characterized by a “risk off” environment, with investors retreating from more volatile, risky stocks. Renewed fears of a Greek collapse - including the potential for a messy exit from the eurozone - sent U.S. and global equity markets lower. In addition, concerns about a slowdown in China increased, and the November election and potential fiscal cliff also added to the uncertainty. Although this resulted in the S&P 500 dropping by 2.8% in the second quarter, given its strong showing in the first quarter, the index remained solidly positive for the first half of the year, up 9.5%.
The third quarter of 2012 reversed the negative momentum and posted positive returns for the broad U.S. equity markets. This was helped in part by modest improvement in key economic indicators (retail sales and housing) and the implementation of the third round of quantitative easing by the Federal Reserve, which also indicated that it would keep its target interest rate low through mid-2015 rather than late 2014. The Fed’s actions, and those of other central banks around the world, along with evidence of progress in Europe, gave investors confidence. Ten-year U.S. Treasury yields remained below 2%, but continued to creep above the year’s low of 1.43% established on July 25. Rising yields began to point to the possibility that U.S. Treasuries have reached a high point and that bond prices may begin moving downward. This could create upward momentum for stocks and the S&P 500 Index, which ended up 6.4% for the quarter and 16.4% year-to-date.
The final three months of 2012 brought volatility to the domestic equity markets with the uncertainty of the U.S. presidential election outcome, the effect of Superstorm Sandy and the drama of the approaching fiscal cliff. Notwithstanding the weakness during the final days leading up to the cliff, overall stock market action in November and December seemed to indicate that investors generally believed a compromise would be reached. Relatively positive economic news and the Federal Open Market Committee announcement of more quantitative easing also gave investors increased confidence that lawmakers would not allow the fiscal cliff to derail an economy poised for continued improvement. Indeed, despite all the drama, on January 1, 2013, a deal to avert the fiscal cliff was achieved. The loss of 0.4% for the quarter brought the S&P 500 Index year-to-date return to 16.0%.
2
American Beacon Bridgeway Large Cap Value FundSM
Performance Overview
December 31, 2012 (Unaudited)
The Investor Class of the American Beacon Bridgeway Large Cap Value Fund (the “Fund”) returned 17.68% for the twelve months ended December 31, 2012. The Fund outperformed the Russell 1000® Value Index (the “Index”) return of 17.51% and the Lipper Large-Cap Value Funds Index return of 15.87%.
Comparison of Change in Value of a $10,000 Investment
for the Period from 10/31/03 through 12/31/12
Annualized Total Returns | ||||||||||||||||
| 1 Year | 5 Years | Since Incep. 10/31/03 | Value of $10,000 10/31/03- 12/31/12 | |||||||||||||
Institutional Class (formerly known as Class N) (1,7) | 18.06 | % | 1.77 | % | 7.04 | % | $ | 18,661 | ||||||||
Y Class (1,2,7) | 17.98 | % | 1.75 | % | 7.04 | % | 18,650 | |||||||||
Investor Class(1,3,7) | 17.68 | % | 1.70 | % | 7.01 | % | 18,602 | |||||||||
A Class with sales charge (1,4,7) | 10.80 | % | 0.48 | % | 6.30 | % | 17,510 | |||||||||
A Class without sales charge (1,4,7) | 17.53 | % | 1.68 | % | 6.99 | % | 18,578 | |||||||||
C Class with sales charge (1,5,7) | 15.96 | % | 1.58 | % | 6.93 | % | 18,488 | |||||||||
C Class without sales charge (1,5,7) | 16.96 | % | 1.58 | % | 6.93 | % | 18,488 | |||||||||
Lipper Large-Cap Value Funds Index (6) | 15.87 | % | 0.17 | % | 4.99 | % | 15,628 | |||||||||
Russell 1000 Value Index (6) | 17.51 | % | 0.59 | % | 5.87 | % | 16,864 | |||||||||
| 1. | Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not 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 call 1-800-967-9009 or visit www.americanbeaconfunds.com. Fund performance in the table above does not reflect the deduction of taxes |
| a shareholder would pay on distributions or the redemption of shares. A portion of the fees charged to the Institutional Class was waived since 2008 and since 2012 for the Y, Investor, A, and C Classes. |
| 2. | Fund performance for the one-year, five-year, and since inception periods represent the returns achieved by the Institutional Class from 10/31/03 up to 2/3/12, 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 10/31/03. |
| 3. | Fund performance for the one-year, five-year, and since inception periods represent the returns achieved by the Institutional Class from 10/31/03 up to 2/3/12, 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. Therefore, total returns shown may be higher than they would have been had the Investor Class been in existence since 10/31/03. |
| 4. | Fund performance for the one-year, five-year, and since inception periods represent the returns achieved by the Institutional Class from 10/31/03 through 2/3/12, 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 Class. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 10/31/03. A Class shares have a maximum sales charge of 5.75%. |
| 5. | Fund performance for the one-year, five-year, and since inception periods represent the returns achieved by the Institutional Class from 10/31/03 through 2/3/12, 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 Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 10/31/03. C Class has a maximum contingent deferred sales charge of 1.00% for shares redeemed within one year of the date of purchase. |
| 6. | The Russell 1000 Value Index is an unmanaged index of those stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values. Russell 1000® Value Index and Russell 1000 Index are registered trademarks of the Frank Russell Company. The Lipper Large-Cap Value Funds Index tracks the results of the 30 largest mutual funds in the Lipper Large-Cap Value Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. |
| 7. | The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 1.16%, 1.26%, 1.54% 1.66%, and 2.41%, 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. |
3
American Beacon Bridgeway Large Cap Value FundSM
Performance Overview
December 31, 2012 (Unaudited)
The Fund’s excess performance was primarily generated through stock selection as sector allocation added minimal value relative to the Index.
From a stock selection standpoint, the Fund’s Energy companies added over 220 (2.20%) basis points to relative performance. In the Energy sector, Marathon Petroleum (up 52.6%), Valero Energy (up 66.2%) and HollyFrontier (up 39.0%) were the largest contributors. Holdings in the Consumer Discretionary sector also contributed to the Fund’s returns. Dillard’s (up 98.5%), Gap (up 70.2%) and General Motors (up 40.4%) added the most value in the Consumer Discretionary sector. The aforementioned good performance was somewhat offset by poor selection in the Financials and Health Care sectors. Companies in the Financials sector which negatively impacted performance included JP Morgan Chase (up 17.4%) and MetLife (down 10.5%). Not owning Bank of America, which was up 109.8% in the Index, also detracted from the Fund’s returns. In the Health Care sector, Humana (down 22.9%), Bristol-Myers Squibb (down 3.8%) and WellPoint (down 6.3%) were the largest detractors.
The Fund’s overweight position in Consumer Discretionary, the best performing sector in the Index, added relative value through sector allocation. This was mostly offset by an underweight in the Telecommunication Services sector which detracted from performance.
The sub-advisor continues to invest in a broadly diversified portfolio of companies that they believe have attractive valuations and above-average earnings growth potential. This approach should allow the Fund to benefit over the longer term.
Top Ten Holdings
| % of Net Assets | ||||
Chevron Corp. | 2.9 | % | ||
Chubb Corp. | 1.9 | % | ||
Dillard’s, Inc. | 1.9 | % | ||
Lockheed Martin Corp. | 1.9 | % | ||
Discover Financial Services | 1.8 | % | ||
Travelers Cos., Inc. | 1.8 | % | ||
Marathon Petroleum Corp. | 1.6 | % | ||
Northrop Grumman Corp. | 1.5 | % | ||
Bristol-Myers Squibb Co. | 1.4 | % | ||
Aflac, Inc. | 1.4 | % | ||
Sector Allocation
| % of Equities | ||||
Financials | 26.8 | % | ||
Energy | 15.5 | % | ||
Consumer Staples | 11.3 | % | ||
Consumer Discretionary | 10.4 | % | ||
Industrials | 9.8 | % | ||
Health Care | 8.9 | % | ||
Information Technology | 6.1 | % | ||
Utilities | 5.5 | % | ||
Materials | 3.3 | % | ||
Telecommunication Services | 2.4 | % | ||
4
American Beacon Holland Large Cap Growth FundSM
Performance Overview
December 31, 2012 (Unaudited)
The Investor Class of the American Beacon Holland Large Cap Growth Fund (the “Fund”) returned 12.18% for the twelve months ended December 31, 2012. The Fund trailed the Russell 1000® Growth Index (the “Index”) return of 15.26% and the Lipper Large-Cap Growth Funds Index return of 15.92%.
Comparison of Change in Value of a $10,000 Investment for the Period from 12/31/02 through 12/31/12
| Annualized Total Returns Periods Ended 12/31/12 | ||||||||||||||||
| 1 Year | 5 Years | 10 Years | Value of $10,000 12/31/02- 12/31/12 | |||||||||||||
Institutional Class (1,2,7) | 12.57 | % | 3.81 | % | 6.93 | % | $ | 19,546 | ||||||||
Y Class (1,3,7) | 12.41 | % | 3.78 | % | 6.92 | % | 19,518 | |||||||||
Investor Class(1,7) | 12.18 | % | 3.68 | % | 6.86 | % | 19,422 | |||||||||
A Class with sales charge (1,4,7) | 5.62 | % | 2.42 | % | 6.22 | % | 18,277 | |||||||||
A Class without sales charge (1,4,7) | 12.05 | % | 3.64 | % | 6.86 | % | 19,390 | |||||||||
C Class with sales charge (1,5,7) | 10.39 | % | 3.52 | % | 6.78 | % | 19,276 | |||||||||
C Class without sales charge (1,5,7) | 11.39 | % | 3.52 | % | 6.78 | % | 19,276 | |||||||||
Lipper Large-Cap Growth Funds Index (6) | 15.92 | % | 1.01 | % | 6.39 | % | 18,586 | |||||||||
Russell 1000 Growth Index (6) | 15.26 | % | 3.12 | % | 7.52 | % | 20,651 | |||||||||
| 1. | Performance shown is historical and is not 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 call 1-800-967-9009 or visit www.americanbeaconfunds.com. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. A portion of the fees charged to each class was waived since 2002. Performance prior to waiving fees was lower than the actual returns shown since 2002. |
| 2. | Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 12/31/02 up to 3/1/10, the inception date of the Institutional Class, and the returns of the Institutional Class since its inception. Expenses of the Institutional Class are lower than those of the Investor Class. As a result, total returns shown may be lower than they would have been had the Institutional Class been in existence since 12/31/02. |
| 3. | Fund performance for the one-year, five-year, and ten-year periods represent the returns achieved by the Investor Class from 12/31/02 up to 3/23/12, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are lower than those of the Investor Class. As a result, total returns shown may be lower than they would have been had the Y Class been in existence since 12/31/02. |
| 4. | Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 12/31/02 through 2/1/10, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 12/31/02. A Class shares have a maximum sales charge of 5.75%. |
| 5. | Fund performance for the one-year, five-year, and ten-year periods represent the returns achieved by the Investor Class from 12/31/02 through 3/23/12, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 12/31/02. C Class has a maximum contingent deferred sales charge of 1.00% for shares redeemed within one year of the date of purchase. |
| 6. | The Russell 1000 Growth Index is an unmanaged index of those stocks in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth values. Russell 1000® Growth Index and Russell 1000 Index are registered trademarks of the Frank Russell Company. The Lipper Large-Cap Growth Funds Index tracks the results of the 30 largest mutual funds in the Lipper Large-Cap Growth Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. |
| 7. | The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 0.97%, 1.07%, 1.34% 1.47%, and 2.22% 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. |
5
American Beacon Holland Large Cap Growth FundSM
Performance Overview
December 31, 2012 (Unaudited)
The Fund underperformed the Index entirely due to stock selection as sector allocation added minimal value relative to the Index.
From a stock selection standpoint, the Fund’s Energy companies detracted over 105 (1.05%) basis points from relative performance. In the Energy sector, Occidental Petroleum (down 16.7%) and QEP Resources (down 33.3%) were the largest detractors from performance. Holdings in the Health Care sector also detracted from the Fund’s returns. DaVita and Cerner, up 45.8% and 26.8%, respectively, in the Index, produced returns of only 13.4% and 11.6%, respectively, during the period that the securities were owned by the Fund. Poor stock selection in the aforementioned sectors was somewhat offset by good selection in the Financials sector where VISA (up 50.7%) and Greenhill & Co. (up 49.6%) were the largest contributors.
The Fund’s overweight position in Financials, the best performing sector in the Index, and the Information Technology sector contributed to performance through sector allocation. Being underweight Consumer Staples, also added to the Fund’s returns.
Looking forward, the Fund’s sub-advisor will continue to maintain a disciplined, long-term approach to equity investing in larger stocks with above-average growth potential.
Top Ten Holdings
| % of Net Assets | ||||
Range Resources Corp. | 4.3 | % | ||
Visa, Inc. | 3.9 | % | ||
Amazon.com, Inc. | 3.9 | % | ||
Apple, Inc. | 3.7 | % | ||
Yum! Brands, Inc. | 3.7 | % | ||
Citrix Systems, Inc. | 3.7 | % | ||
Cisco Systems, Inc. | 3.2 | % | ||
Google, Inc. | 2.9 | % | ||
Qualcomm, Inc. | 4.6 | % | ||
Covidien PLC | 3.6 | % | ||
Sector Allocation
| % of Equities | ||||
Information Technology | 36.3 | % | ||
Consumer Discretionary | 14.5 | % | ||
Health Care | 13.7 | % | ||
Consumer Staples | 9.8 | % | ||
Energy | 9.3 | % | ||
Industrials | 6.5 | % | ||
Financials | 5.0 | % | ||
Materials | 4.9 | % | ||
6
American Beacon Stephens Small Cap Growth FundSM
Performance Overview
December 31, 2012 (Unaudited)
The Investor Class of the American Beacon Stephens Small Cap Growth Fund (the “Fund”) returned 15.92% for the twelve months ended December 31, 2012, outperforming the Russell 2000® Growth Index (the “Index”) return of 14.59% and the Lipper Small-Cap Growth Funds Index return of 14.95% for the same period.
Comparison of Change in Value of a $10,000 Investment for the Period from 12/1/05 through 12/31/12
| Annualized Total Returns Periods Ended 12/31/12 | ||||||||||||||||
| 1 Year | 5 Years | Since Incep. 12/1/05 | Value of $10,000 12/1/05- 12/31/12 | |||||||||||||
Institutional Class (1,2,7) | 16.23 | % | 4.17 | % | 6.79 | % | $ | 15,161 | ||||||||
Y Class (1,3,7) | 16.19 | % | 3.96 | % | 5.51 | % | 14,620 | |||||||||
Investor Class(1,7) | 15.92 | % | 3.91 | % | 5.47 | % | 14,586 | |||||||||
A Class with sales charge (1,4,7) | 9.07 | % | 2.66 | % | 4.57 | % | 13,727 | |||||||||
A Class without sales charge (1,4,7) | 15.74 | % | 3.88 | % | 5.45 | % | 14,564 | |||||||||
C Class with sales charge (1,5,7) | 14.04 | % | 3.75 | % | 5.36 | % | 14,476 | |||||||||
C Class without sales charge (1,5,7) | 15.04 | % | 3.75 | % | 5.36 | % | 14,476 | |||||||||
S&P 500 Index (6) | 16.00 | % | 1.66 | % | 4.07 | % | 13,269 | |||||||||
Lipper Small-Cap Growth Funds Index (6) | 14.95 | % | 2.09 | % | 4.27 | % | 13,446 | |||||||||
Russell 2000 Growth Index (6) | 14.59 | % | 3.49 | % | 5.26 | % | 14,382 | |||||||||
| 1. | Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not 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 call 1-800-967-9009 or visit www.americanbeaconfunds.com. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. A portion of the fees charged to |
| each Class was waived since 2012. Performance prior to waiving fees was lower than the actual returns shown since 2012. The Institutional Class and Investor Class of the Fund have adopted the performance history of the Class I and Class A shares, respectively, of the Fund’s predecessor. |
| 2. | Fund performance for the since inception period represents the returns achieved by the Institutional Class since its inception of 8/31/06. |
| 3. | Fund performance for the one-year, five-year, and since inception periods represent the returns achieved by the Investor Class from 12/1/05 up to 2/24/12, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are lower than those of the Investor Class. Therefore, total returns shown may be lower than they would have been had the Y Class been in existence since 12/1/05. |
| 4. | Fund performance for the one-year, five-year, and since inception periods represent the returns achieved by the Investor Class from 12/1/05 up to 2/24/12, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Investor Class. As a result total returns shown may be higher than they would have been had the A Class been in existence since 12/1/05. A Class has a maximum sales charge of 5.75%. |
| 5. | Fund performance for the one-year, five-year, and since inception periods represent the returns achieved by the Investor Class from 12/1/05 up to 2/24/12, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 12/1/05. 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 S&P 500 Index is a market capitalization weighted index of common stocks publicly traded in the United States. The Russell 2000 Growth Index is a registered trademark of Frank Russell Company. The Russell 2000 Growth Index is an unmanaged index of those stocks in the Russell 2000 Index with higher price-to-book ratios and higher forecasted growth values. The Russell 2000 Index is an unmanaged index of approximately 2000 smaller-capitalization stocks from various industrial sectors. The Lipper Small-Cap Growth Funds Index tracks the results of the 30 largest mutual funds in the Lipper Small-Cap Growth Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. |
| 7. | The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 1.15% 1.25%, 1.53%, 1.65%, and 2.40% respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
7
American Beacon Stephens Small Cap Growth FundSM
Performance Overview
December 31, 2012 (Unaudited)
The Fund outperformed the Index primarily due to stock selection as sector allocation detracted modest value relative to the Index.
From a stock selection standpoint, the Fund’s Information Technology companies added over 275 basis points (2.75%) to relative performance. Companies in the Information Technology sector that had the greatest impact on the Fund’s performance were Mellanox Technologies (up 82.8%), Stratasys (up 163.6%) and Ellie Mae (up 391.2%). Holdings in the Financials and Health Care sectors also added value relative to the Index. Portfolio Recovery Associates (up 58.3%), Encore Capital Group (up 44.0%) and First Cash Financial Systems (up 41.4%) were the largest contributors in the Financials sector. In the Health Care sector, AthenaHealth (up 49.2%), Catamaran (up 66.8%) and Zoll Medical (up 47.0%) added the most value to the Fund’s returns. The aforementioned good performance was somewhat offset by poor stock selection in the Industrials sector where Acacia Research (down 29.7%), FTI Consulting (down 22.2%) and RPX (down 28.5%) detracted value.
The Fund’s overweight in Energy, the worst performing sector in the Index, detracted over 25 basis points (0.25%) from performance through sector allocation.
Looking forward, the Fund’s sub-advisor will continue to maintain a disciplined, long-term approach to equity investing in smaller capitalization stocks with above-average growth potential.
Top Ten Holdings
| % of Net Assets | ||||
Lions Gate Entertainment Corp. | 1.8 | % | ||
CoStar Group, Inc. | 1.8 | % | ||
Encore Capital Group, Inc. | 1.7 | % | ||
Aspen Technology, Inc. | 1.6 | % | ||
Advisory Board Co. | 1.6 | % | ||
OSI Systems, Inc. | 1.6 | % | ||
First Cash Financial Services, Inc. | 1.6 | % | ||
United Natural Foods, Inc. | 1.5 | % | ||
Neogen Corp. | 1.4 | % | ||
Sourcefire, Inc. | 1.4 | % | ||
Sector Allocation
| % of Equities | ||||
Information Technology | 23.7 | % | ||
Health Care | 20.5 | % | ||
Industrials | 14.7 | % | ||
Consumer Discretionary | 14.5 | % | ||
Financials | 10.8 | % | ||
Energy | 8.3 | % | ||
Consumer Staples | 6.1 | % | ||
Telecommunication Services | 0.9 | % | ||
Materials | 0.5 | % | ||
8
American Beacon Stephens Mid-Cap Growth FundSM
Performance Overview
December 31, 2012 (Unaudited)
The Investor Class of the American Beacon Stephens Mid-Cap Growth Fund (the “Fund”) returned 14.75% for the twelve months ended December 31, 2012. The Fund trailed the Russell Midcap® Growth Index (“Index”) return of 15.81%, but outperformed the Lipper Mid-Cap Growth Funds Index return of 13.37%.
Comparison of Change in Value of a $10,000 Investment for the Period from 2/1/06 through 12/31/12
Annualized Total Returns Periods Ended 12/31/12 | ||||||||||||||||
| 1 Year | 5 Years | Since Incep. 2/1/06 | Value of $10,000 2/1/06- 12/31/12 | |||||||||||||
Institutional Class(1,2,7) | 15.19 | % | 2.99 | % | 7.12 | % | $ | 15,458 | ||||||||
Y Class (1,3,7) | 15.26 | % | 2.80 | % | 4.96 | % | 13,970 | |||||||||
Investor Class (1,7) | 14.75 | % | 2.71 | % | 4.89 | % | 13,908 | |||||||||
A Class with sales charge (1,4,7) | 8.15 | % | 1.50 | % | 3.99 | % | 13,108 | |||||||||
A Class without sales charge (1,4,7) | 14.75 | % | 2.71 | % | 4.89 | % | 13,908 | |||||||||
C Class with sales charge (1,5,7) | 13.26 | % | 2.62 | % | 4.82 | % | 13,848 | |||||||||
C Class without sales charge (1,5,7) | 14.26 | % | 2.62 | % | 4.82 | % | 13,848 | |||||||||
S&P 500 Index (6) | 16.00 | % | 1.66 | % | 3.78 | % | 12,921 | |||||||||
Russell Midcap Growth Index(6) | 15.81 | % | 3.23 | % | 4.59 | % | 13,640 | |||||||||
Lipper Mid-Cap Growth Funds Index(6) | 13.37 | % | 1.49 | % | 4.53 | % | 14,344 | |||||||||
| 1. | Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not 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 call 1-800-967-9009 or visit www.americanbeaconfunds.com. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. A portion of the fees charged to |
| each Class was waived since 2012. Performance prior to waiving fees was lower than the actual returns shown since 2012. The Institutional Class and Investor Class of the Fund have adopted the performance history of the Class I and Class A shares, respectively, of the Fund’s predecessor. |
| 2. | Fund performance for the since inception period represents the returns achieved by the Institutional Class since its inception of 8/31/06. |
| 3. | Fund performance for the one-year, five-year, and since inception periods represent the returns achieved by the Investor Class from 2/1/06 up to 2/24/12, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are lower than those of the Investor Class. Therefore, total returns shown may be lower than they would have been had the Y Class been in existence since 2/1/06. |
| 4. | Fund performance for the one-year, five-year, and since inception periods represent the returns achieved by the Investor Class from 2/1/06 up to 2/24/12, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Investor Class. Therefore, total returns shown may be higher than they would have been had the A Class been in existence since 2/1/06. A Class has a maximum sales charge of 5.75%. |
| 5. | Fund performance for the one-year, five-year, and since inception periods represent the returns achieved by the Investor Class from 2/1/06 up to 2/24/12, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Investor Class. Therefore, total returns shown may be higher than they would have been had the C Class been in existence since 2/1/06. 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 S&P 500 Index is a market capitalization weighted index of common stocks publicly traded in the United States. The Russell Midcap Growth Index is an unmanaged index of those stocks in the Russell Midcap Index with higher price-to-book ratios and higher forecasted growth values. Russell Midcap Index measures the performance of the 800 smallest companies in the Russell 1000 Index. Russell Midcap Index, Russell Midcap Growth Index and Russell 1000 are registered trademarks of Frank Russell Company. The Lipper Mid-Cap Growth Funds Index tracks the results of the 30 largest mutual funds in the Lipper Mid-Cap Growth Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. |
| 7. | The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 1.12%, 1.22%, 1.50%, 1.62%, and 2.37%, 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. |
9
American Beacon Stephens Mid-Cap Growth FundSM
Performance Overview
December 31, 2012 (Unaudited)
Prior to the deduction of expenses, the Fund outperformed the Index. The Fund’s excess performance was attributed to stock selection, as sector allocation detracted relative value.
From a stock selection standpoint, holdings in the Consumer Discretionary and Consumer Staples sectors contributed most to the Fund’s performance. Discovery Communications (up 55.2%), Ulta Salon Cosmetics & Fragrance (up 53.1%) and Lululemon Athletica (up 63.4%) generated positive Fund returns in the Consumer Discretionary sector. In the Consumer Staples sector, Whole Foods Market (up 34.8%) was the largest contributor. Not owning Mead Johnson Nutrition and Herbalife, which were down 2.6% and 34.7%, respectively, in the Index, also contributed to performance.
An underweight position in Materials, one of the better performing sectors in the Index, detracted value through sector allocation.
Looking forward, the Fund’s sub-advisor will continue to maintain a disciplined, long-term approach to equity investing in medium capitalization stocks with above-average growth potential.
Top Ten Holdings
| % of Net Assets | ||||
Cerner Corp. | 1.8 | % | ||
Discovery Communications, Inc. | 1.8 | % | ||
Stericycle, Inc. | 1.7 | % | ||
Affiliated Managers Group, Inc. | 1.7 | % | ||
Alliance Data Systems Corp. | 1.6 | % | ||
LKQ Corp. | 1.5 | % | ||
Whole Foods Market, Inc. | 1.5 | % | ||
Airgas, Inc. | 1.5 | % | ||
Catamaran Corp. | 1.5 | % | ||
Ulta Salon Cosmetics & Fragrance, Inc. | 1.5 | % | ||
Sector Allocation
| % of Equities | ||||
Information Technology | 24.4 | % | ||
Consumer Discretionary | 20.5 | % | ||
Health Care | 18.3 | % | ||
Industrials | 14.7 | % | ||
Energy | 9.3 | % | ||
Financials | 5.9 | % | ||
Consumer Staples | 5.4 | % | ||
Materials | 1.5 | % | ||
10
American Beacon FundsSM
Fund Expenses
December 31, 2012 (Unaudited)
Fund Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including management fees, administrative service fees, distribution (12b-1) fees, and other Fund expenses. The examples below are intended to help you understand the ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of the period in each Class and held for the entire period from July 1, 2012 through December 31, 2012.
Actual Expenses
The “Actual” lines of the table provide 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 of the Institutional and Investor Classes 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” lines of the table provide 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 of the Institutional and Investor Classes 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, such as sales charges (loads). 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” lines of the table are 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.
11
American Beacon FundsSM
Fund Expenses
December 31, 2012 (Unaudited)
Bridgeway Large Cap Value Fund:
| Beginning Account Value 7/1/12 | Ending Account Value 12/31/12 | Expenses Paid During Period* 7/1/12-12/31/12 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,090.42 | $ | 4.41 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,020.91 | $ | 4.27 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,089.76 | $ | 4.89 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,020.46 | $ | 4.72 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,088.44 | $ | 6.35 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,019.05 | $ | 6.14 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,087.78 | $ | 6.98 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.45 | $ | 6.75 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,085.44 | $ | 9.28 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,016.24 | $ | 8.97 | ||||||
| * | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.84%, 0.93%, 1.21%, 1.33%, and 1.77% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (184) by days in the year (365) to reflect the half-year period. |
| ** | 5% return before expenses. |
Holland Large Cap Growth Fund:
| Beginning Account Value 7/1/12 | Ending Account Value 12/31/12 | Expenses Paid During Period* 7/1/12-12/31/12 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,035.91 | $ | 4.55 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,020.66 | $ | 4.52 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,034.87 | $ | 5.01 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,020.21 | $ | 4.98 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,033.95 | $ | 6.49 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.75 | $ | 6.44 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,033.60 | $ | 7.05 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.20 | $ | 7.00 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,029.41 | $ | 10.76 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,014.53 | $ | 10.68 | ||||||
| * | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.89%, 0.98%, 1.27%, 1.38%, and 2.11% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (184) by days in the year (365) to reflect the half-year period. |
| ** | 5% return before expenses. |
Stephens Small Cap Growth Fund:
| Beginning Account Value 7/1/12 | Ending Account Value 12/31/12 | Expenses Paid During Period* 7/1/12-12/31/12 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,008.11 | $ | 5.50 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,019.66 | $ | 5.53 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,007.34 | $ | 6.00 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,019.15 | $ | 6.04 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.13 | $ | 6.81 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.35 | $ | 6.85 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,005.37 | $ | 8.01 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,017.14 | $ | 8.06 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.58 | $ | 11.77 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,013.37 | $ | 11.84 | ||||||
| * | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 1.09%, 1.19%, 1.35%, 1.59%, and 2.34% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (184) by days in the year (365) to reflect the half-year period. |
| ** | 5% return before expenses. |
Stephens Mid-Cap Growth Fund:
| Beginning Account Value 7/1/12 | Ending Account Value 12/31/12 | Expenses Paid During Period* 7/1/12-12/31/12 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,050.85 | $ | 5.10 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,020.16 | $ | 5.03 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,052.93 | $ | 5.62 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,019.66 | $ | 5.53 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,048.87 | $ | 7.06 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.25 | $ | 6.95 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,048.08 | $ | 7.67 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,017.65 | $ | 7.56 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,047.50 | $ | 11.53 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,013.88 | $ | 11.34 | ||||||
| * | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.99%, 1.09%, 1.37%, 1.49%, and 2.24% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (184) by days in the year (365) to reflect the half-year period. |
| ** | 5% return before expenses. |
12
American Beacon FundsSM
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of
American Beacon Bridgeway Large Cap Value Fund, American Beacon Holland Large Cap Growth Fund, American Beacon Stephens Mid-Cap Growth Fund, and American Beacon Stephens Small Cap Growth Fund:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the American Beacon Bridgeway Large Cap Value Fund, the American Beacon Holland Large Cap Growth Fund, the American Beacon Stephens Mid-Cap Growth Fund, and the American Beacon Stephens Small Cap Growth Fund, (four of the funds constituting the American Beacon Funds) (collectively, the “Funds”), as of December 31, 2012. We have audited the accompanying statements of operations and changes in net assets of the American Beacon Bridgeway Large Cap Value Fund for the six months ended December 31, 2012, and the year ended June 30, 2012, and the related financial highlights for the six months ended December 31, 2012 and the periods ended June 30, 2012, as indicated therein. We have audited the accompanying statements of operations and changes in net assets of the American Beacon Holland Large Cap Growth Fund for the year ended December 31, 2012, and the related financial highlights for the periods ended December 31, 2012, as indicated therein. We have audited the accompanying statements of operations and changes in net assets of the American Beacon Stephens Mid-Cap Growth Fund and the American Beacon Stephens Small Cap Growth Fund for the one month ended December 31, 2012, and for the year ended November 30, 2012, and the related financial highlights for the one month ended December 31, 2012 and the periods ended November 30, 2012, as indicated therein. 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. The American Beacon Bridgeway Large Cap Value Fund statement of changes in net assets for the year ended June 30, 2011, and the financial highlights for each of the four years in the period then ended, were audited by other auditors whose report dated August 25, 2011, expressed an unqualified opinion on that statement and financial highlights. The American Beacon Holland Large Cap Growth Fund statement of changes in net assets for the year ended December 31, 2011, and the financial highlights for each of the periods ended December 31, 2011 and prior, as indicated therein, were audited by other auditors whose report dated February 22, 2012, expressed an unqualified opinion on that statement and financial highlights. The American Beacon Stephens Mid-Cap Growth Fund and the American Beacon Stephens Small Cap Growth Fund statements of changes in net assets for the year ended November 30, 2011, and the financial highlights for each of the four years in the period then ended were audited by other auditors whose report dated January 26, 2012, expressed an unqualified opinion on that statement and financial highlights.
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, 2012, 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 Bridgeway Large Cap Value Fund, the American Bacon Holland Large Cap Growth Fund, the American Beacon Stephens Mid-Cap Growth Fund, and the American Beacon Stephens Small Cap Growth Fund at December 31, 2012, and the results of their operations, the changes in their net assets, and the financial highlights for the periods indicated in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
Dallas, Texas
February 28, 2013
13
American Beacon Bridgeway Large Cap Value FundSM
December 31, 2012
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
COMMON STOCK - 98.76% |
| |||||||
CONSUMER DISCRETIONARY - 10.31% |
| |||||||
Automobiles - 2.25% |
| |||||||
Ford Motor Co. | 22,700 | $ | 294 | |||||
General Motors Co.A | 11,300 | 326 | ||||||
|
| |||||||
| 620 | ||||||||
|
| |||||||
Home Builders - 0.96% | ||||||||
D.R. Horton, Inc. | 13,300 | 263 | ||||||
|
| |||||||
Media - 1.15% | ||||||||
Time Warner, Inc. | 6,600 | 316 | ||||||
|
| |||||||
Multiline Retail - 3.19% | ||||||||
Dillard’s, Inc., Class A | 6,300 | 528 | ||||||
Macy’s, Inc. | 9,000 | 351 | ||||||
|
| |||||||
| 879 | ||||||||
|
| |||||||
Specialty Retail - 2.76% | ||||||||
American Eagle Outfitters, Inc. | 12,300 | 252 | ||||||
Gap, Inc. | 7,800 | 242 | ||||||
Home Depot, Inc. | 4,300 | 266 | ||||||
|
| |||||||
| 760 | ||||||||
|
| |||||||
Total Consumer Discretionary |
| 2,838 | ||||||
|
| |||||||
CONSUMER STAPLES - 11.19% |
| |||||||
Beverages - 2.64% | ||||||||
Brown-Forman Corp., Class B | 2,550 | 161 | ||||||
Coca-Cola Enterprises, Inc. | 7,000 | 222 | ||||||
Constellation Brands, Inc., Class AA | 9,700 | 344 | ||||||
|
| |||||||
| 727 | ||||||||
|
| |||||||
Food & Drug Retailing - 1.89% |
| |||||||
Safeway, Inc. | 13,200 | 239 | ||||||
Wal-Mart Stores, Inc. | 4,100 | 280 | ||||||
|
| |||||||
| 519 | ||||||||
|
| |||||||
Food Products - 3.19% |
| |||||||
Campbell Soup Co. | 7,400 | 258 | ||||||
ConAgra Foods, Inc. | 10,700 | 315 | ||||||
Kraft Foods Group, Inc. | 2,500 | 114 | ||||||
Mondelez International, Inc., Class A | 7,500 | 191 | ||||||
|
| |||||||
| 878 | ||||||||
|
| |||||||
Household Products - 3.47% | ||||||||
Colgate-Palmolive Co. | 2,300 | 240 | ||||||
Kimberly-Clark Corp. | 4,300 | 363 | ||||||
Procter & Gamble Co. | 5,200 | 353 | ||||||
|
| |||||||
| 956 | ||||||||
|
| |||||||
Total Consumer Staples |
| 3,080 | ||||||
|
| |||||||
ENERGY - 15.33% | ||||||||
Energy Equipment & Services - 1.12% |
| |||||||
Cobalt International Energy, Inc.A | 12,600 | 309 | ||||||
|
| |||||||
Oil & Gas - 14.21% | ||||||||
Chesapeake Energy Corp. | 16,300 | 271 | ||||||
Chevron Corp. | 7,514 | 813 | ||||||
ConocoPhillips | 6,600 | 383 | ||||||
Hess Corp. | 5,300 | 281 | ||||||
HollyFrontier Corp. | 7,800 | 363 | ||||||
Marathon Petroleum Corp. | 7,200 | 454 | ||||||
Phillips 66 | 3,300 | 175 | ||||||
Pioneer Natural Resources Co. | 2,600 | 277 | ||||||
SandRidge Energy, Inc.A | 44,300 | 281 | ||||||
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
Tesoro Corp. | 6,400 | $ | 282 | |||||
Valero Energy Corp. | 9,700 | 331 | ||||||
|
| |||||||
| 3,911 | ||||||||
|
| |||||||
Total Energy |
| 4,220 | ||||||
|
| |||||||
FINANCIALS - 26.41% | ||||||||
Banks - 4.29% | ||||||||
BB&T Corp. | 6,500 | 189 | ||||||
Fifth Third Bancorp | 14,800 | 225 | ||||||
KeyCorp | 17,500 | 147 | ||||||
Regions Financial Corp. | 34,500 | 246 | ||||||
U.S. Bancorp | 11,700 | 374 | ||||||
|
| |||||||
| 1,181 | ||||||||
|
| |||||||
Diversified Financials - 5.86% |
| |||||||
Citigroup, Inc. | 7,400 | 293 | ||||||
Discover Financial Services | 13,100 | 505 | ||||||
Goldman Sachs Group, Inc. | 2,300 | 293 | ||||||
JPMorgan Chase & Co. | 7,500 | 330 | ||||||
Morgan Stanley | 10,100 | 193 | ||||||
|
| |||||||
| 1,614 | ||||||||
|
| |||||||
Insurance - 12.27% | ||||||||
ACE Ltd. | 3,500 | 279 | ||||||
Aflac, Inc. | 7,300 | 388 | ||||||
Berkshire Hathaway, Inc., Class BA | 2,500 | 224 | ||||||
Chubb Corp. | 7,100 | 535 | ||||||
Everest Re Group Ltd. | 1,600 | 176 | ||||||
Loews Corp. | 6,600 | 269 | ||||||
MetLife, Inc. | 7,900 | 260 | ||||||
PartnerRe Ltd. | 1,700 | 137 | ||||||
Prudential Financial, Inc. | 5,000 | 267 | ||||||
Reinsurance Group of America, Inc. | 3,500 | 187 | ||||||
Torchmark Corp. | 3,200 | 165 | ||||||
Travelers Cos., Inc. | 6,800 | 488 | ||||||
|
| |||||||
| 3,375 | ||||||||
|
| |||||||
Real Estate - 3.99% | ||||||||
AvalonBay Communities, Inc.B | 1,900 | 258 | ||||||
HCP, Inc.B | 6,365 | 288 | ||||||
Ventas, Inc.B | 4,300 | 278 | ||||||
Weyerhaeuser Co.B | 9,900 | 275 | ||||||
|
| |||||||
| 1,099 | ||||||||
|
| |||||||
Total Financials |
| 7,269 | ||||||
|
| |||||||
HEALTH CARE - 8.81% | ||||||||
Health Care Providers & Services - 3.05% |
| |||||||
Aetna, Inc. | 8,000 | 370 | ||||||
Humana, Inc. | 3,200 | 220 | ||||||
WellPoint, Inc. | 4,100 | 250 | ||||||
|
| |||||||
| 840 | ||||||||
|
| |||||||
Pharmaceuticals - 5.76% | ||||||||
Abbott Laboratories | 5,300 | 347 | ||||||
Bristol-Myers Squibb Co. | 12,172 | 397 | ||||||
Eli Lilly & Co. | 5,300 | 261 | ||||||
Johnson & Johnson | 4,000 | 280 | ||||||
Pfizer, Inc. | 12,000 | 301 | ||||||
|
| |||||||
| 1,586 | ||||||||
|
| |||||||
Total Health Care |
| 2,426 | ||||||
|
| |||||||
INDUSTRIALS - 9.67% | ||||||||
Aerospace & Defense - 4.57% |
| |||||||
L-3 Communications Holdings, Inc. | 4,300 | 329 | ||||||
See accompanying notes
14
American Beacon Bridgeway Large Cap Value FundSM
Schedule of Investments
December 31, 2012
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
Lockheed Martin Corp. | 5,600 | $ | 517 | |||||
Northrop Grumman Corp. | 6,100 | 412 | ||||||
|
| |||||||
| 1,258 | ||||||||
|
| |||||||
Airlines - 2.08% | ||||||||
Copa Holdings S.A., Class A | 2,800 | 278 | ||||||
Delta Air Lines, Inc.A | 24,800 | 295 | ||||||
|
| |||||||
| 573 | ||||||||
|
| |||||||
Industrial Conglomerates - 2.19% |
| |||||||
General Electric Co. | 16,400 | 344 | ||||||
Textron, Inc. | 10,400 | 258 | ||||||
|
| |||||||
| 602 | ||||||||
|
| |||||||
Road & Rail - 0.83% | ||||||||
Norfolk Southern Corp. | 3,700 | 229 | ||||||
|
| |||||||
Total Industrials |
| 2,662 | ||||||
|
| |||||||
INFORMATION TECHNOLOGY - 6.03% |
| |||||||
Computers & Peripherals - 2.20% |
| |||||||
Dell, Inc. | 18,100 | 183 | ||||||
Hewlett-Packard Co. | 10,800 | 154 | ||||||
Western Digital Corp. | 6,300 | 267 | ||||||
|
| |||||||
| 604 | ||||||||
|
| |||||||
IT Consulting & Services - 1.82% |
| |||||||
Fidelity National Information Services, Inc. | 3,900 | 136 | ||||||
Visa, Inc., Class A | 2,400 | 364 | ||||||
|
| |||||||
| 500 | ||||||||
|
| |||||||
Semiconductor Equipment & Products - 1.01% |
| |||||||
Intel Corp. | 13,500 | 279 | ||||||
|
| |||||||
Software - 1.00% | ||||||||
Activision Blizzard, Inc. | 26,000 | 276 | ||||||
|
| |||||||
Total Information Technology |
| 1,659 | ||||||
|
| |||||||
MATERIALS - 3.26% | ||||||||
Chemicals - 2.53% | ||||||||
CF Industries Holdings, Inc. | 1,900 | 386 | ||||||
Westlake Chemical Corp. | 3,900 | 309 | ||||||
|
| |||||||
| 695 | ||||||||
|
| |||||||
Metals & Mining - 0.73% | ||||||||
Cliffs Natural Resources, Inc. | 5,200 | 201 | ||||||
|
| |||||||
Total Materials |
| 896 | ||||||
|
| |||||||
TELECOMMUNICATION SERVICES - 2.33% |
| |||||||
AT&T, Inc. | 9,149 | 308 | ||||||
Verizon Communications, Inc. | 7,700 | 334 | ||||||
|
| |||||||
Total Telecommunication Services |
| 642 | ||||||
|
| |||||||
UTILITIES - 5.42% | ||||||||
Electric Utilities - 3.66% | ||||||||
AES Corp. | 26,600 | 285 | ||||||
American Electric Power Co., Inc. | 3,600 | 154 | ||||||
American Water Works Co, Inc. | 8,500 | 315 | ||||||
Duke Energy Corp. | 4,000 | 255 | ||||||
|
| |||||||
| 1,009 | ||||||||
|
| |||||||
Gas Utilities - 1.01% | ||||||||
Sempra Energy | 3,900 | 277 | ||||||
|
| |||||||
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
Multi-Utilities - 0.75% |
| |||||||
Westar Energy, Inc. | 7,200 | $ | 206 | |||||
|
| |||||||
Total Utilities |
| 1,492 | ||||||
|
| |||||||
Total Common Stock (Cost $22,446) |
| 27,184 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 1.21% (Cost $332) |
| |||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 332,028 | 332 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 99.97% (Cost $22,778) |
| 27,516 | ||||||
OTHER ASSETS, NET OF LIABILITIES - 0.03% |
| 9 | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% |
| $ | 27,525 | |||||
|
| |||||||
Percentages are stated as a percent of net assets.
| A | Non-income producing security. |
| B | REIT - Real Estate Investment Trust. |
See accompanying notes
15
American Beacon Bridgeway Large Cap Value FundSM
Schedule of Investments
December 31, 2012
Futures Contracts Open on December 31, 2012 ($000’s): |
| |||||||||||||||||||
| Description | Type | Number of Contracts | Expiration Date | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
S&P 500 Mini E Index Future | Long | 6 | March, 2013 | $ | 426 | $ | (2 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
| $ | 426 | $ | (2 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
See accompanying notes
16
American Beacon Holland Large Cap Growth FundSM
Schedule of Investments
December 31, 2012
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
COMMON STOCK - 96.37% |
| |||||||
CONSUMER DISCRETIONARY - 14.01% |
| |||||||
Hotels, Restaurants & Leisure - 3.73% |
| |||||||
Yum! Brands, Inc. | 38,750 | $ | 2,573 | |||||
|
| |||||||
Internet & Catalog Retail - 5.43% |
| |||||||
Amazon.com, Inc.A | 10,650 | 2,675 | ||||||
priceline.com, Inc.A | 1,720 | 1,068 | ||||||
|
| |||||||
| 3,743 | ||||||||
|
| |||||||
Specialty Retail - 2.09% | ||||||||
Advance Auto Parts, Inc. | 19,900 | 1,440 | ||||||
|
| |||||||
Textiles & Apparel - 2.76% | ||||||||
NIKE, Inc., Class B | 36,900 | 1,904 | ||||||
|
| |||||||
Total Consumer Discretionary | 9,660 | |||||||
|
| |||||||
CONSUMER STAPLES - 9.46% | ||||||||
Beverages - 3.28% | ||||||||
Monster Beverage Corp.A | 18,000 | 952 | ||||||
PepsiCo, Inc. | 19,150 | 1,310 | ||||||
|
| |||||||
| 2,262 | ||||||||
|
| |||||||
Food & Drug Retailing - 4.16% |
| |||||||
Costco Wholesale Corp. | 14,950 | 1,476 | ||||||
Mead Johnson Nutrition Co., Class A | 21,150 | 1,394 | ||||||
|
| |||||||
| 2,870 | ||||||||
|
| |||||||
Food Products - 1.21% | ||||||||
HJ Heinz Co. | 14,400 | 831 | ||||||
|
| |||||||
Household Products - 0.81% | ||||||||
Procter & Gamble Co. | 8,250 | 560 | ||||||
|
| |||||||
Total Consumer Staples |
| 6,523 | ||||||
|
| |||||||
ENERGY - 8.94% | ||||||||
Energy Equipment & Services - 1.87% | ||||||||
Halliburton Co. | 37,150 | 1,289 | ||||||
|
| |||||||
Oil & Gas - 7.07% | ||||||||
Occidental Petroleum Corp. | 15,000 | 1,149 | ||||||
Range Resources Corp. | 46,950 | 2,950 | ||||||
Southwestern Energy Co.A | 23,350 | 780 | ||||||
|
| |||||||
| 4,879 | ||||||||
|
| |||||||
Total Energy |
| 6,168 | ||||||
|
| |||||||
FINANCIALS - 4.78% | ||||||||
Diversified Financials - 3.45% |
| |||||||
BlackRock, Inc., Class A | 3,550 | 734 | ||||||
Greenhill & Co. Inc. | 17,100 | 889 | ||||||
TD Ameritrade Holding Corp. | 44,950 | 756 | ||||||
|
| |||||||
| 2,379 | ||||||||
|
| |||||||
Insurance - 1.33% | ||||||||
Berkshire Hathaway, Inc., Class BA | 10,190 | 914 | ||||||
|
| |||||||
Total Financials |
| 3,293 | ||||||
|
| |||||||
HEALTH CARE - 13.22% | ||||||||
Health Care Equipment & Supplies - 7.68% |
| |||||||
Covidien plc | 43,450 | 2,509 | ||||||
Hospira, Inc.A | 44,600 | 1,393 | ||||||
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
Waters Corp.A | 16,000 | $ | 1,394 | |||||
|
| |||||||
| 5,296 | ||||||||
|
| |||||||
Health Care Providers & Services - 5.54% |
| |||||||
Cerner Corp.A | 13,000 | 1,009 | ||||||
DaVita HealthCare Partners, Inc.A | 11,750 | 1,299 | ||||||
Laboratory Corp. of America HoldingsA | 17,450 | 1,512 | ||||||
|
| |||||||
| 3,820 | ||||||||
|
| |||||||
Total Health Care |
| 9,116 | ||||||
|
| |||||||
INDUSTRIALS - 6.25% | ||||||||
Aerospace & Defense - 1.19% |
| |||||||
United Technologies Corp. | 10,000 | 820 | ||||||
|
| |||||||
Air Freight & Couriers - 1.13% |
| |||||||
Expeditors International of Washington, Inc. | 19,700 | 779 | ||||||
|
| |||||||
Electrical Equipment - 1.75% |
| |||||||
Roper Industries, Inc. | 10,800 | 1,204 | ||||||
|
| |||||||
Industrial Conglomerates - 2.18% |
| |||||||
Honeywell International, Inc. | 23,750 | 1,508 | ||||||
|
| |||||||
Total Industrials |
| 4,311 | ||||||
|
| |||||||
INFORMATION TECHNOLOGY - 34.98% |
| |||||||
Communications Equipment - 4.61% |
| |||||||
Cisco Systems, Inc. | 111,650 | 2,194 | ||||||
NeuStar, Inc., Class AA | 23,500 | 985 | ||||||
|
| |||||||
| 3,179 | ||||||||
|
| |||||||
Computers & Peripherals - 6.57% |
| |||||||
Apple, Inc. | 4,850 | 2,585 | ||||||
International Business Machines Corp. | 10,150 | 1,944 | ||||||
|
| |||||||
| 4,529 | ||||||||
|
| |||||||
Internet Software & Services - 2.93% |
| |||||||
Google, Inc., Class AA | 2,850 | 2,022 | ||||||
|
| |||||||
IT Consulting & Services - 6.82% |
| |||||||
Automatic Data Processing, Inc. | 9,900 | 564 | ||||||
IHS, Inc., Class AA | 15,050 | 1,445 | ||||||
Visa, Inc., Class A | 17,750 | 2,691 | ||||||
|
| |||||||
| 4,700 | ||||||||
|
| |||||||
Semiconductor Equipment & Products - 5.43% |
| |||||||
Intel Corp. | 28,250 | 583 | ||||||
QUALCOMM, Inc. | 51,000 | 3,163 | ||||||
|
| |||||||
| 3,746 | ||||||||
|
| |||||||
Software - 8.62% | ||||||||
Adobe Systems, Inc.A | 45,750 | 1,724 | ||||||
Citrix Systems, Inc.A | 38,300 | 2,517 | ||||||
MICROS Systems, Inc.A | 20,550 | 872 | ||||||
Microsoft Corp. | 31,050 | 830 | ||||||
|
| |||||||
| 5,943 | ||||||||
|
| |||||||
Total Information Technology |
| 24,119 | ||||||
|
| |||||||
MATERIALS - 4.73% | ||||||||
Ecolab, Inc. | 12,100 | 870 | ||||||
Potash Corp of Saskatchewan, Inc. | 24,900 | 1,013 | ||||||
Praxair, Inc. | 12,600 | 1,379 | ||||||
|
| |||||||
Total Materials | 3,262 | |||||||
|
| |||||||
Total Common Stock (Cost $49,029) | 66,452 | |||||||
|
| |||||||
See accompanying notes
17
American Beacon Holland Large Cap Growth FundSM
Schedule of Investments
December 31, 2012
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
SHORT-TERM INVESTMENTS - 3.52% (Cost $2,430) |
| |||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 2,430,190 | $ | 2,430 | |||||
|
| |||||||
TOTAL INVESTMENTS - 99.89% (Cost $51,459) | 68,882 | |||||||
OTHER ASSETS, NET OF LIABILITIES - 0.11% | 76 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 68,958 | ||||||
|
| |||||||
Percentages are stated as a percent of net assets.
| A | Non-income producing security. |
Futures Contracts Open on December 31, 2012 ($000’s):
| Description | Type | Number of Contracts | Expiration Date | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
S&P 500 Mini E Index Future | Long | 33 | March, 2013 | $ | 2,343 | $ | 12 | |||||||||||||
|
|
|
| |||||||||||||||||
| $ | 2,343 | $ | 12 | |||||||||||||||||
|
|
|
| |||||||||||||||||
See accompanying notes
18
American Beacon Stephens Small Cap Growth FundSM
Schedule of Investments
December 31, 2012
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
COMMON STOCK - 97.11% |
| |||||||
CONSUMER DISCRETIONARY - 14.05% |
| |||||||
Auto Components - 0.41% | ||||||||
LKQ Corp.A | 40,000 | $ | 844 | |||||
|
| |||||||
Distributors - 0.82% | ||||||||
Beacon Roofing Supply, Inc.A | 51,500 | 1,714 | ||||||
|
| |||||||
Food Products - 0.51% | ||||||||
Boulder Brands, Inc.A | 81,600 | 1,053 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure - 5.24% |
| |||||||
BJ’s Restaurants, Inc.A | 46,424 | 1,527 | ||||||
Buffalo Wild Wings, Inc.A | 25,700 | 1,871 | ||||||
Chuy’s Holdings, Inc.A B | 73,069 | 1,632 | ||||||
Ignite Restaurant Group, Inc.A | 92,399 | 1,201 | ||||||
Krispy Kreme Doughnuts, Inc.A | 222,300 | 2,085 | ||||||
National CineMedia, Inc. | 185,400 | 2,621 | ||||||
|
| |||||||
| 10,937 | ||||||||
|
| |||||||
Leisure Equipment & Products - 0.35% |
| |||||||
Smith & Wesson Holding Corp.A B | 85,600 | 722 | ||||||
|
| |||||||
Media - 4.09% | ||||||||
Acacia Research Corp.A | 89,700 | 2,301 | ||||||
IMAX Corp.A B | 112,756 | 2,535 | ||||||
Lions Gate Entertainment Corp.A B | 223,700 | 3,668 | ||||||
|
| |||||||
| 8,504 | ||||||||
|
| |||||||
Specialty Retail - 2.63% | ||||||||
Aaron’s, Inc. | 91,318 | 2,583 | ||||||
Cabela’s, Inc.A | 15,600 | 651 | ||||||
Titan Machinery, Inc.A | 63,200 | 1,561 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. | 7,000 | 688 | ||||||
|
| |||||||
| 5,483 | ||||||||
|
| |||||||
Total Consumer Discretionary | 29,257 | |||||||
|
| |||||||
CONSUMER STAPLES - 5.89% |
| |||||||
Food & Drug Retailing - 3.61% |
| |||||||
Andersons, Inc. | 24,400 | 1,047 | ||||||
Annie’s, Inc.A B | 45,262 | 1,513 | ||||||
Fresh Market, Inc.A | 37,900 | 1,823 | ||||||
United Natural Foods, Inc.A | 58,340 | 3,125 | ||||||
|
| |||||||
| 7,508 | ||||||||
|
| |||||||
Food Products - 1.28% | ||||||||
Darling International, Inc.A | 73,500 | 1,179 | ||||||
TreeHouse Foods, Inc.A | 28,500 | 1,486 | ||||||
|
| |||||||
| 2,665 | ||||||||
|
| |||||||
Personal Products - 1.00% | ||||||||
Steiner Leisure Ltd.A | 43,300 | 2,087 | ||||||
|
| |||||||
Total Consumer Staples |
| 12,260 | ||||||
|
| |||||||
ENERGY - 8.02% | ||||||||
Energy Equipment & Services - 4.53% |
| |||||||
Dril-Quip, Inc.A | 24,900 | 1,819 | ||||||
Forum Energy Technologies, Inc.A | 63,200 | 1,564 | ||||||
Hercules Offshore, Inc.A | 310,300 | 1,918 | ||||||
Hornbeck Offshore Services, Inc.A | 32,400 | 1,113 | ||||||
Oil States International, Inc.A | 24,900 | 1,781 | ||||||
Pacific Drilling S.A.A | 130,300 | 1,230 | ||||||
|
| |||||||
| 9,425 | ||||||||
|
| |||||||
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
Oil & Gas - 3.49% | ||||||||
Carrizo Oil & Gas, Inc.A | 71,300 | $ | 1,492 | |||||
Halcon Resources Corp.A | 222,589 | 1,540 | ||||||
Kodiak Oil & Gas Corp.A | 147,500 | 1,305 | ||||||
Pioneer Energy Services Corp.A | 217,300 | 1,578 | ||||||
Rosetta Resources, Inc.A | 29,700 | 1,347 | ||||||
|
| |||||||
| 7,262 | ||||||||
|
| |||||||
Total Energy | 16,687 | |||||||
|
| |||||||
FINANCIALS - 10.52% | ||||||||
Banks - 1.41% | ||||||||
East West Bancorp, Inc. | 61,600 | 1,324 | ||||||
SVB Financial GroupA | 28,700 | 1,606 | ||||||
|
| |||||||
| 2,930 | ||||||||
|
| |||||||
Diversified Financials - 7.29% | ||||||||
Cardtronics, Inc.A | 87,500 | 2,077 | ||||||
Encore Capital Group, Inc.A | 113,191 | 3,466 | ||||||
Euronet Worldwide, Inc.A | 93,500 | 2,207 | ||||||
First Cash Financial Services, Inc.A | 65,300 | 3,240 | ||||||
Portfolio Recovery Associates, Inc. | 25,600 | 2,736 | ||||||
Stifel Financial Corp.A | 45,650 | 1,459 | ||||||
|
| |||||||
| 15,185 | ||||||||
|
| |||||||
Insurance - 1.82% | ||||||||
Hilltop Holdings, Inc.A | 115,200 | 1,560 | ||||||
ProAssurance Corp. | 47,600 | 2,008 | ||||||
Radian Group, Inc. | 35,600 | 218 | ||||||
|
| |||||||
| 3,786 | ||||||||
|
| |||||||
Total Financials | 21,901 | |||||||
|
| |||||||
HEALTH CARE - 19.37% | ||||||||
Biotechnology - 5.90% | ||||||||
Cepheid, Inc.A | 63,300 | 2,140 | ||||||
Cubist Pharmaceuticals, Inc.A | 28,700 | 1,207 | ||||||
MAP Pharmaceuticals, Inc.A | 65,300 | 1,026 | ||||||
Myriad Genetics, Inc.A | 83,229 | 2,268 | ||||||
Neogen Corp.A | 63,900 | 2,896 | ||||||
Polypore International, Inc.A B | 36,700 | 1,707 | ||||||
Techne Corp. | 15,100 | 1,032 | ||||||
|
| |||||||
| 12,276 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 3.85% |
| |||||||
Medidata Solutions, Inc.A | 64,221 | 2,517 | ||||||
Merge Healthcare, Inc.B | 120,400 | 297 | ||||||
NuVasive, Inc.A | 97,780 | 1,512 | ||||||
Thoratec Corp.A | 51,300 | 1,925 | ||||||
Volcano Corp.A | 75,100 | 1,773 | ||||||
|
| |||||||
| 8,024 | ||||||||
|
| |||||||
Health Care Providers & Services - 6.16% |
| |||||||
Acadia Healthcare Co. IncA | 45,700 | 1,066 | ||||||
Advisory Board Co.A | 71,098 | 3,326 | ||||||
ICON plc, ADRA C | 87,500 | 2,307 | ||||||
IPC The Hospitalist Co., Inc.A | 51,660 | 2,051 | ||||||
PAREXEL International Corp.A | 85,900 | 2,542 | ||||||
VCA Antech, Inc.A | 72,455 | 1,525 | ||||||
|
| |||||||
| 12,817 | ||||||||
|
| |||||||
Pharmaceuticals - 3.46% | ||||||||
Akorn, Inc.A | 163,300 | 2,182 | ||||||
Pacira Pharmaceuticals, Inc.A B | 71,900 | 1,256 | ||||||
Proto Labs, Inc.A | 68,240 | 2,690 | ||||||
See accompanying notes
19
American Beacon Stephens Small Cap Growth FundSM
Schedule of Investments
December 31, 2012
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
Salix Pharmaceuticals Ltd.A | 26,500 | $ | 1,073 | |||||
|
| |||||||
| 7,201 | ||||||||
|
| |||||||
Total Health Care | 40,318 | |||||||
|
| |||||||
INDUSTRIALS - 14.27% | ||||||||
Air Freight & Couriers - 0.81% | ||||||||
Echo Global Logistics, Inc.A | 93,500 | 1,680 | ||||||
|
| |||||||
Commercial Services & Supplies - 8.30% |
| |||||||
Clean Harbors, Inc.A | 23,800 | 1,309 | ||||||
Corporate Executive Board Co. | 44,900 | 2,132 | ||||||
CoStar Group, Inc.A | 40,901 | 3,656 | ||||||
HMS Holdings Corp.A | 81,600 | 2,116 | ||||||
Insperity, Inc. | 54,000 | 1,758 | ||||||
Liquidity Services, Inc.A | 47,270 | 1,931 | ||||||
Marlin Business Services Corp. | 58,579 | 1,175 | ||||||
Tetra Tech, Inc.A | 55,100 | 1,457 | ||||||
WageWorks, Inc.A | 98,202 | 1,748 | ||||||
|
| |||||||
| 17,282 | ||||||||
|
| |||||||
Construction & Engineering - 0.85% |
| |||||||
Mistras Group, Inc.A | 71,458 | 1,764 | ||||||
|
| |||||||
Industrial Conglomerates - 0.30% |
| |||||||
RPX Corp.A | 69,700 | 630 | ||||||
|
| |||||||
Machinery - 2.67% | ||||||||
Chart Industries, Inc.A | 16,946 | 1,130 | ||||||
Flow International Corp.A | 298,400 | 1,044 | ||||||
Lindsay Corp. | 24,900 | 1,995 | ||||||
Valmont Industries, Inc. | 10,200 | 1,393 | ||||||
|
| |||||||
| 5,562 | ||||||||
|
| |||||||
Road & Rail - 0.58% | ||||||||
Knight Transportation, Inc. | 82,100 | 1,201 | ||||||
|
| |||||||
Trading Companies & Distributors - 0.76% |
| |||||||
MSC Industrial Direct Co., Inc., Class A | 21,045 | 1,586 | ||||||
|
| |||||||
Total Industrials | 29,705 | |||||||
|
| |||||||
INFORMATION TECHNOLOGY - 23.59% |
| |||||||
Communications Equipment - 1.68% |
| |||||||
Aruba Networks, Inc.A | 114,100 | 2,368 | ||||||
Procera Networks, Inc.A | 60,819 | 1,128 | ||||||
|
| |||||||
| 3,496 | ||||||||
|
| |||||||
Computers & Peripherals - 1.14% |
| |||||||
Stratasys Ltd.A | 29,700 | 2,380 | ||||||
|
| |||||||
Electronic Equipment & Instruments - 2.45% |
| |||||||
Hittite Microwave Corp.A | 29,700 | 1,844 | ||||||
OSI Systems, Inc.A | 50,800 | 3,254 | ||||||
|
| |||||||
| 5,098 | ||||||||
|
| |||||||
Internet Software & Services - 6.62% |
| |||||||
Athenahealth, Inc.A | 27,702 | 2,035 | ||||||
Fortinet, Inc.A | 52,400 | 1,104 | ||||||
MercadoLibre, Inc.B | 24,900 | 1,956 | ||||||
RADWARE Ltd.A | 30,300 | 1,000 | ||||||
Shutterfly, Inc.A | 42,072 | 1,257 | ||||||
Sourcefire, Inc.A | 59,900 | 2,828 | ||||||
Vocera Communications, Inc.A | 32,832 | 824 | ||||||
Vocus, Inc.A | 108,570 | 1,887 | ||||||
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
Zix Corp. | 320,000 | $ | 896 | |||||
|
| |||||||
| 13,787 | ||||||||
|
| |||||||
IT Consulting & Services - 0.36% |
| |||||||
Tyler Technologies, Inc. | 15,300 | 741 | ||||||
|
| |||||||
Semiconductor Equipment & Products - 4.56% |
| |||||||
Cavium, Inc.A | 46,500 | 1,451 | ||||||
Intermolecular, Inc.A | 128,100 | 1,140 | ||||||
Mellanox Technologies Ltd.A B | 4,409 | 262 | ||||||
Microsemi Corp. | 84,830 | 1,785 | ||||||
Power Integrations, Inc. | 59,400 | 1,996 | ||||||
Semtech Corp.A | 73,000 | 2,114 | ||||||
Volterra Semiconductor Corp.A | 43,700 | 750 | ||||||
|
| |||||||
| 9,498 | ||||||||
|
| |||||||
Software - 6.78% | ||||||||
Aspen Technology, Inc.A | 120,748 | 3,337 | ||||||
Bottomline Technologies, Inc.A | 34,000 | 897 | ||||||
Cognex Corp. | 41,000 | 1,510 | ||||||
Concur Technologies, Inc.A | 20,600 | 1,391 | ||||||
Greenway Medical TechnologiesA B | 76,200 | 1,170 | ||||||
MICROS Systems, Inc.A | 32,400 | 1,375 | ||||||
National Instruments Corp. | 40,667 | 1,050 | ||||||
PROS Holdings, Inc.A | 90,300 | 1,652 | ||||||
Ultimate Software Group, Inc.A | 18,300 | 1,728 | ||||||
|
| |||||||
| 14,110 | ||||||||
|
| |||||||
Total Information Technology | 49,110 | |||||||
|
| |||||||
MATERIALS - 0.52% | ||||||||
Balchem Corp. | 29,700 | 1,081 | ||||||
|
| |||||||
TELECOMMUNICATION SERVICES - 0.88% |
| |||||||
Allot Communications Ltd.A | 58,300 | 1,039 | ||||||
Ruckus Wireless, Inc.A | 35,100 | 791 | ||||||
|
| |||||||
Total Telecommunication Services | 1,830 | |||||||
|
| |||||||
Total Common Stock (Cost $182,277) | 202,149 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 3.44% (Cost $7,175) |
| |||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 7,175,070 | 7,175 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 5.76% |
| |||||||
DWS Government and Agency Securities Portfolio, Institutional Class | 2,690,369 | 2,690 | ||||||
American Beacon U.S. Government Money Market Select Fund, Select ClassD | 9,302,721 | 9,303 | ||||||
|
| |||||||
Total Securities Lending Collateral (Cost $11,993) | 11,993 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 106.31% (Cost $201,445) | 221,317 | |||||||
LIABILITIES, NET OF OTHER ASSETS - (6.31%) | (13,146 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 208,171 | ||||||
|
| |||||||
Percentages are stated as a percent of net assets.
| A | Non-income producing security. |
| B | All or a portion of this security is on loan at December 31, 2012. |
| C | ADR - American Depositary Receipt. |
| D | The Fund is affiliated by having the same investment advisor. |
See accompanying notes
20
American Beacon Stephens Mid-Cap Growth FundSM
Schedule of Investments
December 31, 2012
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
COMMON STOCK - 99.08% |
| |||||||
CONSUMER DISCRETIONARY - 20.34% |
| |||||||
Auto Components - 1.55% |
| |||||||
LKQ Corp.A | 42,350 | $ | 894 | |||||
|
| |||||||
Automobiles - 0.35% | ||||||||
Tesla Motors, Inc.A | 5,950 | 202 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure - 1.82% |
| |||||||
Chipotle Mexican Grill, Inc.A | 1,350 | 402 | ||||||
Panera Bread Co., Class AA | 4,050 | 643 | ||||||
|
| |||||||
| 1,045 | ||||||||
|
| |||||||
Leisure Equipment & Products - 0.62% |
| |||||||
Polaris Industries, Inc. | 4,250 | 358 | ||||||
|
| |||||||
Media - 3.88% | ||||||||
Cinemark Holdings, Inc. | 26,600 | 691 | ||||||
Discovery Communications, Inc., Class CA | 17,900 | 1,047 | ||||||
IMAX Corp.A | 22,027 | 495 | ||||||
|
| |||||||
| 2,233 | ||||||||
|
| |||||||
Multiline Retail - 2.03% | ||||||||
Family Dollar Stores, Inc. | 9,800 | 621 | ||||||
Nordstrom, Inc. | 10,200 | 546 | ||||||
|
| |||||||
| 1,167 | ||||||||
|
| |||||||
Specialty Retail - 7.88% | ||||||||
Cabela’s, Inc.A | 13,850 | 578 | ||||||
CarMax, Inc.A | 23,100 | 867 | ||||||
Ross Stores, Inc. | 14,050 | 761 | ||||||
Tractor Supply Co. | 7,300 | 645 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. | 8,850 | 869 | ||||||
Urban Outfitters, Inc.A | 20,800 | 819 | ||||||
|
| |||||||
| 4,539 | ||||||||
|
| |||||||
Textiles & Apparel - 2.21% | ||||||||
Lululemon Athletica, Inc.A | 9,450 | 720 | ||||||
Under Armour, Inc., Class AA | 11,350 | 551 | ||||||
|
| |||||||
| 1,271 | ||||||||
|
| |||||||
Total Consumer Discretionary |
| 11,709 | ||||||
|
| |||||||
CONSUMER STAPLES - 5.39% |
| |||||||
Beverages - 2.07% | ||||||||
Brown-Forman Corp., Class B | 10,780 | 682 | ||||||
Monster Beverage Corp.A | 9,650 | 510 | ||||||
|
| |||||||
| 1,192 | ||||||||
|
| |||||||
Food & Drug Retailing - 2.84% |
| |||||||
Fresh Market, Inc.A | 5,800 | 279 | ||||||
United Natural Foods, Inc.A | 8,850 | 474 | ||||||
Whole Foods Market, Inc. | 9,650 | 882 | ||||||
|
| |||||||
| 1,635 | ||||||||
|
| |||||||
Food Products - 0.48% | ||||||||
Darling International, Inc.A | 17,150 | 275 | ||||||
|
| |||||||
Total Consumer Staples |
| 3,102 | ||||||
|
| |||||||
ENERGY - 9.21% | ||||||||
Energy Equipment & Services - 6.42% |
| |||||||
Core Laboratories N.V. | 6,550 | 715 | ||||||
Dril-Quip, Inc.A | 9,250 | 676 | ||||||
Ensco plc, Class A | 11,550 | 685 | ||||||
FMC Technologies, Inc.A | 9,030 | 387 | ||||||
Oceaneering International, Inc. | 14,250 | 766 | ||||||
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
Oil States International, Inc.A | 6,550 | $ | 469 | |||||
|
| |||||||
| 3,698 | ||||||||
|
| |||||||
Oil & Gas - 2.79% | ||||||||
Pioneer Natural Resources Co. | 2,900 | 309 | ||||||
Range Resources Corp. | 7,500 | 471 | ||||||
Southwestern Energy Co.A | 9,460 | 316 | ||||||
Whiting Petroleum Corp.A | 11,750 | 510 | ||||||
|
| |||||||
| 1,606 | ||||||||
|
| |||||||
Total Energy |
| 5,304 | ||||||
|
| |||||||
FINANCIALS - 5.87% | ||||||||
Banks - 0.91% | ||||||||
East West Bancorp, Inc. | 24,450 | 525 | ||||||
|
| |||||||
Diversified Financials - 3.94% |
| |||||||
Affiliated Managers Group, Inc.A | 7,530 | 981 | ||||||
IntercontinentalExchange, Inc.A | 4,250 | 526 | ||||||
Portfolio Recovery Associates, Inc. | 7,150 | 764 | ||||||
|
| |||||||
| 2,271 | ||||||||
|
| |||||||
Insurance - 1.02% | ||||||||
ProAssurance Corp. | 13,900 | 586 | ||||||
|
| |||||||
Total Financials |
| 3,382 | ||||||
|
| |||||||
HEALTH CARE - 18.12% | ||||||||
Biotechnology - 3.64% | ||||||||
Alexion Pharmaceuticals, Inc.A | 3,650 | 342 | ||||||
Cepheid, Inc.A | 13,100 | 443 | ||||||
Life Technologies Corp.A | 9,250 | 454 | ||||||
Polypore International, Inc.A | 7,500 | 349 | ||||||
QIAGEN N.V.A | 27,950 | 507 | ||||||
|
| |||||||
| 2,095 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 7.28% |
| |||||||
Idexx Laboratories, Inc.A | 7,150 | 664 | ||||||
Illumina, Inc.A | 13,100 | 728 | ||||||
Intuitive Surgical, Inc.A | 1,555 | 763 | ||||||
ResMed, Inc. | 19,850 | 826 | ||||||
Sirona Dental Systems, Inc. | 6,350 | 409 | ||||||
Varian Medical Systems, Inc.A | 6,150 | 432 | ||||||
Waters Corp.A | 4,250 | 370 | ||||||
|
| |||||||
| 4,192 | ||||||||
|
| |||||||
Health Care Providers & Services - 6.01% |
| |||||||
Catamaran Corp.A | 18,500 | 872 | ||||||
Cerner Corp.A | 13,490 | 1,046 | ||||||
Covance, Inc.A | 10,230 | 591 | ||||||
Henry Schein, Inc.A | 6,745 | 543 | ||||||
VCA Antech, Inc.A | 19,280 | 406 | ||||||
|
| |||||||
| 3,458 | ||||||||
|
| |||||||
Pharmaceuticals - 1.19% | ||||||||
Salix Pharmaceuticals Ltd.A | 7,300 | 296 | ||||||
Shire plc, ADRB | 4,255 | 391 | ||||||
|
| |||||||
| 687 | ||||||||
|
| |||||||
Total Health Care |
| 10,432 | ||||||
|
| |||||||
INDUSTRIALS - 14.52% | ||||||||
Aerospace & Defense - 2.74% |
| |||||||
B/E Aerospace, Inc.A | 13,300 | 657 | ||||||
Precision Castparts Corp. | 3,195 | 605 | ||||||
World Fuel Services Corp. | 7,700 | 317 | ||||||
|
| |||||||
| 1,579 | ||||||||
|
| |||||||
See accompanying notes
21
American Beacon Stephens Mid-Cap Growth FundSM
Schedule of Investments
December 31, 2012
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
Commercial Services & Supplies - 6.46% |
| |||||||
Clean Harbors, Inc.A | 5,000 | $ | 275 | |||||
Factset Research Systems, Inc. | 3,850 | 339 | ||||||
HMS Holdings Corp.A | 22,150 | 574 | ||||||
Iron Mountain, Inc. | 21,748 | 675 | ||||||
Stericycle, Inc.A | 10,600 | 990 | ||||||
Verisk Analytics, Inc., | 16,950 | 864 | ||||||
|
| |||||||
| 3,717 | ||||||||
|
| |||||||
Electrical Equipment - 0.92% |
| |||||||
IPG Photonics Corp. | 3,100 | 207 | ||||||
Roper Industries, Inc. | 2,900 | 323 | ||||||
|
| |||||||
| 530 | ||||||||
|
| |||||||
Machinery - 2.12% |
| |||||||
Pall Corp. | 6,750 | 407 | ||||||
Valmont Industries, Inc. | 5,950 | 812 | ||||||
|
| |||||||
| 1,219 | ||||||||
|
| |||||||
Road & Rail - 0.54% |
| |||||||
JB Hunt Transport Services, Inc. | 5,200 | 310 | ||||||
|
| |||||||
Trading Companies & Distributors - 1.74% |
| |||||||
Fastenal Co. | 8,110 | 379 | ||||||
MSC Industrial Direct Co., Inc., Class A | 8,280 | 624 | ||||||
|
| |||||||
| 1,003 | ||||||||
|
| |||||||
Total Industrials |
| 8,358 | ||||||
|
| |||||||
INFORMATION TECHNOLOGY - 24.10% |
| |||||||
Communications Equipment - 2.03% |
| |||||||
Aruba Networks, Inc.A | 24,100 | 500 | ||||||
F5 Networks, Inc.A | 5,600 | 544 | ||||||
Palo Alto Networks, Inc.A | 2,300 | 123 | ||||||
|
| |||||||
| 1,167 | ||||||||
|
| |||||||
Computers & Peripherals - 1.50% |
| |||||||
NetApp, Inc.A | 4,200 | 141 | ||||||
SanDisk Corp.A | 8,850 | 386 | ||||||
Teradata Corp.A | 5,400 | 334 | ||||||
|
| |||||||
| 861 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 1.03% |
| |||||||
Riverbed Technology, Inc.A | 7,900 | 156 | ||||||
Trimble Navigation Ltd.A | 7,310 | 437 | ||||||
|
| |||||||
| 593 | ||||||||
|
| |||||||
Internet Software & Services - 4.68% |
| |||||||
Akamai Technologies, Inc.A | 14,250 | 583 | ||||||
Athenahealth, Inc.A | 4,600 | 338 | ||||||
Fortinet, Inc.A | 28,900 | 610 | ||||||
MercadoLibre, Inc. | 7,500 | 589 | ||||||
VeriSign, Inc. | 14,850 | 576 | ||||||
|
| |||||||
| 2,696 | ||||||||
|
| |||||||
IT Consulting & Services - 2.81% |
| |||||||
Alliance Data Systems Corp.A | 6,350 | 919 | ||||||
IHS, Inc., Class AA | 7,300 | 701 | ||||||
|
| |||||||
| 1,620 | ||||||||
|
| |||||||
Semiconductor Equipment & Products - 4.20% |
| |||||||
ARM Holdings plc, ADRB | 16,365 | 619 | ||||||
ASML Holding N.V. | 4,490 | 289 | ||||||
Cree, Inc.A | 10,200 | 347 | ||||||
Lam Research Corp.A | 12,518 | 452 | ||||||
Mellanox Technologies Ltd.A | 1,400 | 83 | ||||||
Microchip Technology, Inc. | 19,280 | 629 | ||||||
|
| |||||||
| 2,419 | ||||||||
|
| |||||||
| Shares | Fair Value | |||||||
| (000’s) | ||||||||
Software - 7.85% |
| |||||||
Ansys, Inc.A | 5,400 | $ | 364 | |||||
Aspen Technology, Inc.A | 8,650 | 239 | ||||||
Check Point Software Technologies Ltd.A | 10,200 | 486 | ||||||
MICROS Systems, Inc.A | 9,050 | 384 | ||||||
National Instruments Corp. | 17,505 | 452 | ||||||
Nuance Communications, Inc.A | 22,550 | 503 | ||||||
Red Hat, Inc.A | 13,690 | 725 | ||||||
Salesforce.com, Inc.A | 3,255 | 547 | ||||||
SolarWinds, Inc.A | 7,900 | 414 | ||||||
Ultimate Software Group, Inc.A | 4,250 | 401 | ||||||
|
| |||||||
| 4,515 | ||||||||
|
| |||||||
Total Information Technology |
| 13,871 | ||||||
|
| |||||||
MATERIALS - 1.53% |
| |||||||
Airgas, Inc. | 9,650 | 881 | ||||||
|
| |||||||
Total Common Stock (Cost $48,123) |
| 57,039 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 1.86% (Cost $1,071) |
| |||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 1,071,486 | 1,071 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 100.94% (Cost $49,194) |
| 58,110 | ||||||
LIABILITIES, NET OF OTHER ASSETS - (0.94%) |
| (542 | ) | |||||
|
| |||||||
TOTAL NET ASSETS - 100.00% |
| $ | 57,568 | |||||
|
| |||||||
Percentages are stated as a percent of net assets.
| A | Non-income producing security. |
| B | ADR - American Depositary Receipt. |
See accompanying notes 22 |
American Beacon FundsSM
Statements of Assets and Liabilities
December 31, 2012 (in thousands, except share and per share amounts)
| Bridgeway Large Cap Value Fund | Holland Large Cap Growth Fund | Stephens Small Cap Growth Fund | Stephens Mid- Cap Growth Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in unaffiliated securities, at fair value A C | $ | 27,516 | $ | 68,882 | $ | 212,014 | $ | 58,110 | ||||||||
Investments in affiliated securities, at fair value B | — | — | 9,303 | — | ||||||||||||
Deposit with brokers for futures contracts | 21 | 115 | — | — | ||||||||||||
Receivable for investments sold | 119 | — | 412 | — | ||||||||||||
Dividends and interest receivable | 30 | 22 | 9 | 8 | ||||||||||||
Receivable for fund shares sold | 15 | 3 | 1,126 | 107 | ||||||||||||
Receivable for tax reclaims | — | — | 1 | — | ||||||||||||
Receivable for expense reimbursement (Note 2) | 42 | 16 | 42 | 21 | ||||||||||||
Receivable for variation margin on open futures contracts | 11 | 60 | — | — | ||||||||||||
Prepaid expenses | 12 | 17 | 17 | 9 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 27,766 | 69,115 | 222,924 | 58,255 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Bank overdraft | — | — | 912 | — | ||||||||||||
Payable for investments purchased | — | — | 1,253 | — | ||||||||||||
Payable upon return of securities loaned | — | — | 11,993 | — | ||||||||||||
Payable for fund shares redeemed | 187 | 25 | 186 | 555 | ||||||||||||
Management and investment advisory fees payable | 30 | 73 | 279 | 74 | ||||||||||||
Administrative service and service fees payable | 8 | 39 | 82 | 25 | ||||||||||||
Professional fees payable | 14 | 6 | 15 | 16 | ||||||||||||
Trustee fees payable | — | — | — | 3 | ||||||||||||
Payable for prospectus and shareholder reports | 1 | 8 | 15 | 9 | ||||||||||||
Other liabilities | 1 | 6 | 18 | 5 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 241 | 157 | 14,753 | 687 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 27,525 | $ | 68,958 | $ | 208,171 | $ | 57,568 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Analysis of Net Assets: | ||||||||||||||||
Paid-in-capital | 22,404 | 51,146 | 187,853 | 48,260 | ||||||||||||
Undistributed net investment income | 13 | 6 | 95 | 72 | ||||||||||||
Accumulated net realized gain | 372 | 371 | 351 | 320 | ||||||||||||
Unrealized appreciation of investments and futures contracts | 4,736 | 17,435 | 19,872 | 8,916 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 27,525 | $ | 68,958 | $ | 208,171 | $ | 57,568 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding at no par value (unlimited shares authorized): | ||||||||||||||||
Institutional Class | 1,682,176 | 74,965 | 10,035,906 | 2,016,544 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Y Class | 2,294 | 1,070 | 351,511 | 24,305 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class | 30,910 | 3,093,383 | 5,616,997 | 1,344,014 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
A Class | 19,698 | 21,783 | 252,425 | 528,104 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
C Class | 1,271 | 13,215 | 28,322 | 21,961 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share: | ||||||||||||||||
Institutional Class | $ | 15 .85 | $ | 21 .60 | $ | 12.99 | $ | 15.38 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Y Class | $ | 15 .84 | $ | 21 .59 | $ | 12.98 | $ | 15.38 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class | $ | 15 .81 | $ | 21 .52 | $ | 12.42 | $ | 13.83 | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Class | $ | 15 .78 | $ | 21 .43 | $ | 12.40 | $ | 13.83 | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Class (offering price) | $ | 16 .74 | $ | 22 .74 | $ | 13.16 | $ | 14.67 | ||||||||
|
|
|
|
|
|
|
| |||||||||
C Class | $ | 15 .70 | $ | 21 .29 | $ | 12.32 | $ | 13.75 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value (not in thousands): | ||||||||||||||||
Institutional Class | $ | 26,669,248 | $ | 1,619,305 | $ | 130,341,476 | $ | 31,005,183 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Y Class | $ | 36,331 | $ | 23,113 | $ | 4,563,158 | $ | 373,747 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class | $ | 488,810 | $ | 66,567,656 | $ | 69,786,350 | $ | 18,584,733 | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Class | $ | 310,850 | $ | 466,796 | $ | 3,130,886 | $ | 7,302,012 | ||||||||
|
|
|
|
|
|
|
| |||||||||
C Class | $ | 19,948 | $ | 281,415 | $ | 348,977 | $ | 301,916 | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Cost of investments in unaffiliated securities | $ | 22,778 | $ | 51,459 | $ | 192,142 | $ | 49,194 | ||||||||
B Cost of investments in affiliated securities | $ | — | $ | — | $ | 9,303 | $ | — | ||||||||
C Fair value of securities on loan | $ | — | $ | — | $ | 11,724 | $ | — | ||||||||
See accompanying notes
23
American Beacon FundsSM
Statement of Operations
(in thousands)
| Holland Large | ||||||||||||
| Bridgeway | Cap Growth | |||||||||||
| Large Cap Value Fund | Fund | |||||||||||
| Six Months ended December 31, 2012 | Year Ended June 30, 2012 | Year Ended December 31, 2012 | ||||||||||
Investment Income: | ||||||||||||
Dividend income from unaffiliated securities (net of foreign taxes)A | $ | 436 | $ | 680 | $ | 917 | ||||||
Income derived from securities lending, net | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 436 | 680 | 917 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management and investment advisory fees (Note 2) | 63 | 137 | 364 | |||||||||
Administrative service fees (Note 2): | ||||||||||||
Institutional Class | 44 | 40 | 4 | |||||||||
Y Class | — | — | — | |||||||||
Investor Class | 1 | — | 184 | |||||||||
A Class | 1 | — | 1 | |||||||||
Transfer agent fees: | ||||||||||||
Institutional Class | 28 | 28 | 3 | |||||||||
Y Class | — | 3 | 2 | |||||||||
Investor Class | 1 | 5 | 15 | |||||||||
A Class | — | 3 | 2 | |||||||||
C Class | — | 3 | 2 | |||||||||
Custody and fund accounting fees | 3 | 25 | 27 | |||||||||
Professional fees | 24 | 44 | 34 | |||||||||
Registration fees and expenses | 58 | 49 | 69 | |||||||||
Service fees (Note 2): | ||||||||||||
Institutional Class | — | 11 | — | |||||||||
Investor Class | 1 | — | 191 | |||||||||
A Class | — | — | — | |||||||||
Distribution fees (Note 2): | ||||||||||||
Investor Class | — | — | 37 | |||||||||
A Class | — | — | 1 | |||||||||
C Class | — | — | 1 | |||||||||
Prospectus and shareholder report expenses | 17 | 10 | 24 | |||||||||
Insurance fees | — | 3 | 2 | |||||||||
Trustee fees | 1 | 5 | 5 | |||||||||
Other expenses | 3 | 5 | 6 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 245 | 371 | 974 | |||||||||
|
|
|
|
|
| |||||||
Net fees waived and expenses reimbursed (Note 2) | (126 | ) | (146 | ) | (112 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 119 | 225 | 862 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 317 | 455 | 55 | |||||||||
|
|
|
|
|
| |||||||
Realized and unrealized gain (loss) from investments: | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments | 1,699 | 2,186 | 4,291 | |||||||||
Commission recapture (Note 3) | — | — | 2 | |||||||||
Futures contracts and swap agreements | 23 | (54 | ) | (102 | ) | |||||||
Change in net unrealized appreciation or (depreciation) of: | ||||||||||||
Investments | 355 | (1,997 | ) | 2,947 | ||||||||
Futures contracts and swap agreements | (10 | ) | 8 | 11 | ||||||||
|
|
|
|
|
| |||||||
Net gain from investments | 2,067 | 143 | 7,149 | |||||||||
|
|
|
|
|
| |||||||
Net increase in net assets resulting from operations | $ | 2,384 | $ | 598 | $ | 7,204 | ||||||
|
|
|
|
|
| |||||||
A Foreign taxes | $ | — | $ | 7 | $ | — | ||||||
See accompanying notes
24
American Beacon FundsSM
Statements of Operations
(in thousands)
| Stephens Small Cap Growth Fund | Stephens Mid-Cap Growth Fund | |||||||||||||||
| One Month Ended December 31, 2012 | Year Ended November 30, 2012 | One Month Ended December 31, 2012 | Year Ended November 30, 2012 | |||||||||||||
Investment Income: | ||||||||||||||||
Dividend income from unaffiliated securities (net of foreign taxes)A | $ | 265 | $ | 326 | $ | 129 | $ | 331 | ||||||||
Income derived from securities lending, net | 18 | 124 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 283 | 450 | 129 | 331 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management and investment advisory fees (Note 2) | 111 | 902 | 27 | 294 | ||||||||||||
Administrative service fees (Note 2): | ||||||||||||||||
Institutional Class | 29 | 195 | B | 8 | 75 | B | ||||||||||
Y Class | 1 | 1 | — | — | ||||||||||||
Investor Class | 17 | 142 | C | 5 | 52 | C | ||||||||||
A Class | 1 | 5 | 3 | 14 | ||||||||||||
Transfer agent fees: | ||||||||||||||||
Institutional Class | 1 | 15 | B | — | 12 | B | ||||||||||
Y Class | — | 3 | — | 4 | ||||||||||||
Investor Class | 3 | 22 | C | — | 15 | C | ||||||||||
A Class | — | 5 | — | 5 | ||||||||||||
C Class | — | 3 | — | 3 | ||||||||||||
Custody and fund accounting fees | 5 | 31 | 4 | 19 | ||||||||||||
Professional fees | 5 | 50 | 5 | 47 | ||||||||||||
Registration fees and expenses | 8 | 103 | 7 | 98 | ||||||||||||
Service fees (Note 2): | ||||||||||||||||
Y Class | — | 1 | — | — | ||||||||||||
Investor Class | 22 | 158 | C | 6 | 55 | C | ||||||||||
A Class | — | 2 | 1 | 5 | ||||||||||||
Distribution fees (Note 2): | ||||||||||||||||
Investor Class (Note 2) | — | 27 | C | — | 12 | C | ||||||||||
A Class | 1 | 3 | 2 | 9 | ||||||||||||
C Class | — | 1 | — | — | ||||||||||||
Prospectus and shareholder report expenses | 12 | 22 | 4 | 13 | ||||||||||||
Trustee fees | 1 | 8 | 1 | 5 | ||||||||||||
Other expenses | 1 | 12 | — | 9 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 218 | 1,711 | 73 | 746 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net fees waived and expenses reimbursed (Note 2) | (30 | ) | (184 | ) | (16 | ) | (141 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 188 | 1,527 | 57 | 605 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 95 | (1,077 | ) | 72 | (274 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) from investments: | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments | 254 | 13,236 | 64 | 1364 | ||||||||||||
Futures contracts | — | 419 | — | (39 | ) | |||||||||||
Change in net unrealized appreciation or (depreciation) of: | ||||||||||||||||
Investments | 3,482 | (1,894 | ) | 665 | 3,884 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net gain from investments | 3,736 | 11,761 | 729 | 5,209 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | $ | 3,831 | $ | 10,684 | $ | 801 | $ | 4,935 | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Foreign taxes | $ | — | $ | 1 | $ | — | $ | 2 | ||||||||
B Formerly known as Class I. | ||||||||||||||||
C Formerly known as Class A. | ||||||||||||||||
See accompanying notes
25
American Beacon FundsSM
Statements of Changes in Net Assets (in thousands)
| Bridgeway Large Cap Value Fund | Holland Large Cap Growth Fund | |||||||||||||||||||
| Six Months Ended December 31, 2012 | Year Ended June 30, 2012 | Year Ended June 30, 2011 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 317 | $ | 455 | $ | 412 | $ | 55 | $ | (134 | ) | |||||||||
Net realized gain from investments and futures contracts | 1,722 | 2,132 | 3,093 | 4,191 | 1,226 | |||||||||||||||
Change in net unrealized appreciation or (depreciation) of investments and futures contracts | 345 | (1,989 | ) | 3,512 | 2,958 | 776 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase in net assets resulting from operations | 2,384 | 598 | 7,017 | 7,204 | 1,868 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions to Shareholders: | ||||||||||||||||||||
Net investment income: | ||||||||||||||||||||
Institutional Class | (486 | ) | (357 | )A | (462 | )A | (6 | ) | — | |||||||||||
Y Class | (1 | ) | — | — | — | — | ||||||||||||||
Investor Class | (8 | ) | — | — | (41 | ) | — | |||||||||||||
A Class | (6 | ) | — | — | (1 | ) | — | |||||||||||||
C Class | — | — | — | (1 | ) | — | ||||||||||||||
Net realized gain from investments: | ||||||||||||||||||||
Institutional Class | — | — | — | (84 | ) | (22 | ) | |||||||||||||
Y Class | — | — | — | (1 | ) | — | ||||||||||||||
Investor Class | — | — | — | (3,479 | ) | (1,097 | ) | |||||||||||||
A Class | — | — | — | (27 | ) | — | ||||||||||||||
C Class | — | — | — | (15 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net distributions to shareholders | (501 | ) | (357 | ) | (462 | ) | (3,655 | ) | (1,119 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Capital Share Transactions: | ||||||||||||||||||||
Proceeds from sales of shares | 1,686 | 3,152 | 4,744 | 9,979 | 8,364 | |||||||||||||||
Reinvestment of dividends and distributions | 487 | 333 | 446 | 3,642 | 1,119 | |||||||||||||||
Cost of shares redeemed | (3,991 | ) | (5,913 | ) | (7,632 | ) | (8,099 | ) | (5,610 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) in net assets from capital share transactions | (1,818 | ) | (2,428 | ) | (2,442 | ) | 5,522 | 3,873 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) in net assets | 65 | (2,187 | ) | 4,113 | 9,071 | 4,622 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets: | ||||||||||||||||||||
Beginning of period | 27,460 | 29,647 | 25,534 | 59,887 | 55,266 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
End of Period * | $ | 27,525 | $ | 27,460 | $ | 29,647 | $ | 68,958 | $ | 59,887 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
| * Includes undistributed net investment income (loss) of | $ | 13 | $ | 200 | $ | 176 | $ | 6 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
| A | Formerly known as Class N. |
See accompanying notes
26
American Beacon FundsSM
Statement of Changes in Net Assets (in thousands)
| Stephens Small Cap Growth Fund | Stephens Mid-Cap Growth Fund | |||||||||||||||||||||||
| One Month Ended December 31, 2012 | Year Ended November 30, 2012 | Year Ended November 30, 2011 | One Month Ended December 31, 2012 | Year Ended November 30, 2012 | Year Ended November 30, 2011 | |||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 95 | $ | (1,077 | ) | $ | (954 | ) | $ | 72 | $ | (274 | ) | $ | (264 | ) | ||||||||
Net realized gain from investments | 254 | 13,655 | 8,768 | 64 | 1,325 | 2,201 | ||||||||||||||||||
Change in net unrealized appreciation or (depreciation) of investments | 3,482 | (1,894 | ) | 1,838 | 665 | 3,884 | 195 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 3,831 | 10,684 | 9,652 | 801 | 4,935 | 2,132 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||
Institutional Class | — | — | A | (502 | )A | — | — | A | — | A | ||||||||||||||
Investor Class | — | — | B | (567 | )B | — | — | B | — | B | ||||||||||||||
Net realized gain from investments: | ||||||||||||||||||||||||
Institutional Class | (6,551 | ) | (4,196 | )A | — | A | (157 | ) | — | A | — | A | ||||||||||||
Y Class | (281 | ) | — | — | (1 | ) | — | B | — | B | ||||||||||||||
Investor Class | (4,449 | ) | (3,533 | )B | — | B | (109 | ) | — | — | ||||||||||||||
A Class | (196 | ) | — | — | (42 | ) | — | — | ||||||||||||||||
C Class | (22 | ) | — | — | (2 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net distributions to shareholders | (11,499 | ) | (7,729 | ) | (1,069 | ) | (311 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Capital Share Transactions: | ||||||||||||||||||||||||
Proceeds from sales of shares | 48,968 | 95,627 | 41,877 | 2,099 | 29,475 | 13,720 | ||||||||||||||||||
Reinvestment of dividends and distributions | 11,106 | 7,143 | 910 | 283 | — | — | ||||||||||||||||||
Cost of shares redeemed | (6,539 | ) | (42,858 | ) | (37,013 | ) | (1,331 | ) | (11,624 | ) | (4,811 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets from capital share transactions | 53,535 | 59,912 | 5,774 | 1,051 | 17,851 | 8,909 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 45,867 | 62,867 | 14,358 | 1,541 | 22,786 | 11,041 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 162,304 | 99,437 | 85,079 | 56,027 | 33,241 | 22,200 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of Period * | $ | 208,171 | $ | 162,304 | $ | 99,437 | $ | 57,568 | $ | 56,027 | $ | 33,241 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
*Includes undistributed net investment income (loss) of | $ | 95 | $ | — | $ | — | $ | 72 | $ | — | $ | 4 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| A | Formerly known as Class I. |
| B | Formerly known as Class A. |
See accompanying notes
27
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”), which is comprised of twenty-four 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 Bridgeway Large Cap Value Fund, the American Beacon Holland Large Cap Growth Fund, the American Beacon Stephens Small Cap Growth Fund, and the American Beacon Stephens Mid-Cap Growth 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.
Reorganization
The American Beacon Holland Large Cap Growth Fund is the legal successor (the “Successor Fund”) to the Holland Large Cap Growth Fund (the “Predecessor Fund”). The accounting and performance history of the Institutional, Investor, and A Class shares of the Predecessor Fund were redesignated as that of the Institutional, Investor, and A Class Shares of the Fund, respectively. On March 23, 2012, the Fund (which had no prior activities or net assets) acquired all the net assets of the Predecessor Fund pursuant to a plan of reorganization. The exchange consisted of the Predecessor’s Fund’s Institutional, Investor, and A Class shares for the Fund’s Institutional, Investor and A Class shares at the same aggregate value. The acquisition was accounted for as a tax-free exchange after the close of business on March 23, 2012, as follows:
Institutional Shares | 59,104 | |||
Investor Shares | 2,950,499 | |||
A Shares | 725 | |||
Net Assets | $ | 69,012,463 | ||
Unrealized Appreciation | $ | 21,683,463 |
The reorganization shifted the management oversight responsibility from Holland Capital Management, LLC (“Holland”) to the Manager. The Manager engaged Holland as the sub-advisor to the Fund, thus maintaining the continuity of the portfolio management.
For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Predecessor Fund was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
Change in Fiscal Year End
On November 8, 2011, the Board of Trustees approved a change in the fiscal year end of the American Beacon Stephens Small Cap Growth and the American Beacon Stephens Mid-Cap Growth Funds from November 30 to December 31 of each year and a change in fiscal year end of the American Beacon Bridgeway Large Cap Value Fund from June 30 to December 31 of each year. The first full cycle of calendar year reporting began January 1, 2013. As a result of the change, the American Beacon Stephens Small Cap Growth and the American Beacon Stephens Mid-Cap Growth Funds will have a December 2012 fiscal month transition period and the American Beacon Bridgeway Large Cap Value Fund will have a December 2012 fiscal six month transition period, the results of which are reported in this Annual Report for the calendar year ended December 31, 2012.
28
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
Class Disclosure
March 23, 2012 was the inception date of the American Beacon Holland Large Cap Growth Fund Y and C Classes.
The Funds have 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 directly or 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 respective 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, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) and the International Financial Reporting Standards (“IFRS”)”. ASU No. 2011-04 amends FASB ASC Topic 820, Fair Value Measurements and Disclosures, to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with U.S. GAAP and IFRS. ASU No. 2011-04 is effective for fiscal years beginning after December 15, 2011 and for the interim period July 1, 2012 to December 31, 2012.
Management has evaluated the implications of these changes and determined that the impact of the new guidance will only affect the disclosure requirements related to the financial statements. However, as the Funds did not hold any Level 3 investments as of December 31, 2012, the financial statement disclosures were not affected.
2. Transactions with Affiliates
Management Agreement
Prior to March 23, 2012, the manager of the Predecessor Fund received an annual rate of 0.85% of the average daily net assets up to $500 million, 0.75% of the average daily net assets up to the next $500 million, and 0.65% of the average daily net assets in excess of $1 billion. Effective March 23 for the Successor Fund, the Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all investment advisory and portfolio management services. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Funds an annualized fee equal to 0.05% of the average daily net assets plus amounts paid by the Manager to the unaffiliated investment advisors hired by the Manager to direct investment activities of the Funds. Management fees paid by the Funds during the period ended December 31, 2012 were as follows (dollars in thousands):
Fund | Management Fee Rate | Management Fee | Amounts paid to Investment Advisors | Net Amounts Retained by Manager | ||||||||||||
Bridgeway Large Cap Value | 0.45 | %* | $ | 63 | $ | 56 | $ | 7 | ||||||||
Holland Large Cap Growth | 0.54 | % | 364 | 338 | ** | 26 | ||||||||||
Stephens Small Cap Growth | 0.69 | %* | 111 | 103 | 8 | |||||||||||
Stephens Mid-Cap Growth | 0.55 | %* | 27 | 24 | 3 | |||||||||||
| * | Annualized. |
| ** | Includes amounts paid by the Predecessor Fund. |
29
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
As compensation for services provided by the Manager in connection with securities lending activities conducted by the Stephens Small Cap Growth Fund, the lending Fund pays to the Manager, with respect to cash collateral posted by borrowers, a fee up to 25% of the net monthly interest income (the gross income earned by the investment of cash collateral, less the amount paid to borrowers and related expenses) from such activities and, with respect to loan fees paid by borrowers, a fee up to 25% of such loan fees. This fee is included in Income derived from securities lending and Management and investment advisory fees on the Statements of Operations. During the period ended December 31, 2012, securities lending fees paid to the Manager were $1,953.
Administrative Services Agreement
Prior to March 23, the Predecessor Fund contracted with Atlantic Fund Administration, LLC to serve as the Funds’ Administrator and incurred $31,574 in administrative service fees. Effective March 23 for the Successor Fund, 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 0.30% of the average daily net assets of the Institutional, Y, and Investor Classes of the Funds and 0.40% of the average daily net assets of the A and C Classes of the Funds. For the period ended December 31, 2012, expenses for the C Class of each Fund were less than $500.
Distribution Plans
The Funds, except for the A and C Classes, have adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule 12b-1 under the Act, pursuant to which no separate fees will be charged to the Funds 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 Funds do not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund shares.
Prior to March 23, Foreside Fund Services, LLC served as the Predecessor Fund’s distributor and collected a fee up to 0.25% of the average daily net assets of Investor and A Shares of the Predecessor Fund. The Predecessor Fund incurred $36,906 in Distribution Fees. Since March 23 for the Successor Fund, 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 Funds. 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. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance.
Prior to February 27, 2012 the Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds had a distribution plan pursuant to Rule 12b-1 for the Investor Shares (formerly known as Class A Shares). Under this plan, the Funds collected 0.25% of the average daily net assets for distribution or service activities conducted on behalf of the Funds. This plan was terminated on February 27, 2012.
30
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
Service Plans
Since March 23 for the Successor Fund, the Manager and the Trust entered into Service Plans that obligate the Manager to oversee additional shareholder servicing of the Y, Investor, A, and C Classes. As compensation for performing the duties required under the Service Plans, the Manager receives 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. For the period ended December 31, 2012, expenses for the Y and C Classes were less than $500.
Investment in Affiliated Funds
The Funds may invest in the American Beacon Money Market Select Fund (the “MM Select Fund”) or the U.S. Government Money Market Select Fund (the “USG Select Fund”) (collectively, the “Select Funds”). The Select Funds and the Funds have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as the investment advisor to the Select Funds and receives Management and Administrative Service fees totaling 0.10% of the average daily net assets of the Select Funds. During the period ended December 31, 2012, the Manager earned $871 from the Stephens Small Cap Growth Fund’s securities lending collateral invested in the Select Funds.
Interfund Lending Program
Since March 23 for the Successor Fund, and pursuant to an exemptive order issued by the Securities and Exchange Commission (“SEC”), the Funds, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Funds to borrow from other participating Funds. During the period ended December 31, 2012, the Bridgeway Large Cap Value Fund borrowed from the American Beacon Short-Term Bond Fund $22,307 for one day at 0.80% with interest charges of $0.49.
Expense Reimbursement Plan
Prior to March 23, the Predecessor Fund contractually agreed to reimburse operating expenses to the extent that total annual fund expenses exceeded 1.20%, 1.35%, and 1.40% of the Institutional, Investor, and A Classes, respectively. At the time of reorganization the Predecessor Fund had reimbursed expenses of $49,804 for Institutional, Investor, and A Classes.
Since March 23 for the Successor Fund, the Manager agreed to reimburse the following to the extent that total annual fund operating expenses exceeded a Fund’s expense cap. Of these amounts, $42,125, $15,522, $42,002, and $20,834 for the Bridgeway Large Cap Value, Holland Large Cap Growth, Stephens Small Cap Growth, and Stephens Mid-Cap Growth Funds, respectively, was receivable from the Manager at December 31, 2012. For the period ended December 31, 2012, the Manager waived or reimbursed expenses as follows:
| Expense Cap | ||||||||||||||||||
Fund | Class | 7/1/12 to 10/29/12 | 10/30/12 to 4/30/2014 | Waived or Reimbursed Expenses | Expiration | |||||||||||||
Bridgeway Large Cap Value | Institutional | 0.84 | % | 0.84 | % | $ | 121,459 | 2015 | ||||||||||
Bridgeway Large Cap Value | Y | 0.94 | % | 0.94 | % | 405 | 2015 | |||||||||||
Bridgeway Large Cap Value | Investor | 1.22 | % | 1.22 | % | 2,041 | 2015 | |||||||||||
Bridgeway Large Cap Value | A | 1.34 | % | 1.34 | % | 1,332 | 2015 | |||||||||||
Bridgeway Large Cap Value | C | 2.09 | % | 2.09 | % | 363 | 2015 | |||||||||||
31
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
| Expense Cap | Reimbursed | |||||||||||||||||||||
Fund | Class | 1/1/12 to 3/23/12 | 3/24/12 to 4/30/2014 | Waived or Reimbursed Expenses | Expenses Ineligible for Recoupment | Expiration | ||||||||||||||||
Holland Large Cap Growth | Institutional | 1.20 | % | 0.89 | % | $ | 5,329 | $ | 1,903 | 2015 | ||||||||||||
Holland Large Cap Growth | Y | N/A | 0.99 | % | 1,989 | — | 2015 | |||||||||||||||
Holland Large Cap Growth | Investor | 1.35 | % | 1.27 | % | 100,061 | 47,339 | 2015 | ||||||||||||||
Holland Large Cap Growth | A | 1.40 | % | 1.39 | % | 2,838 | 562 | 2015 | ||||||||||||||
Holland Large Cap Growth | C | N/A | 2.14 | % | 2,045 | — | 2015 | |||||||||||||||
| Expense Cap | ||||||||||||||
Fund | Class | 12/1/12 to 4/30/14 | Waived or Reimbursed Expenses | Expiration | ||||||||||
Stephens Small Cap Growth | Institutional | 1.09 | % | $ | 13,018 | 2015 | ||||||||
Stephens Small Cap Growth | Y | 1.19 | % | 609 | 2015 | |||||||||
Stephens Small Cap Growth | Investor | 1.35 | % | 16,007 | 2015 | |||||||||
Stephens Small Cap Growth | A | 1.59 | % | 545 | 2015 | |||||||||
Stephens Small Cap Growth | C | 2.34 | % | 255 | 2015 | |||||||||
Stephens Mid-Cap Growth | Institutional | 0.99 | % | 8,388 | 2015 | |||||||||
Stephens Mid-Cap Growth | Y | 1.09 | % | 106 | 2015 | |||||||||
Stephens Mid-Cap Growth | Investor | 1.37 | % | 4,973 | 2015 | |||||||||
Stephens Mid-Cap Growth | A | 1.49 | % | 1,962 | 2015 | |||||||||
Stephens Mid-Cap Growth | C | 2.24 | % | 103 | 2015 | |||||||||
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’ 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. Reimbursements made by the Predecessor Fund are not eligible for this Plan. For the period ended December 31, 2012, the Fund did not record a liability for potential reimbursement, due to the current assessment that a reimbursement is unlikely.
Sales Commissions
The Fund’s distributor, Foreside Fund Services, LLC (“Foreside”), may receive a portion of A Class sales charges from broker dealers and it may be used to offset distribution related expenses. For the period ended December 31, 2012, Foreside has collected $1,687, $103, and $3,187 from the sale of Class A Shares of the Holland Large Cap Growth, Stephens Small Cap Growth, and Stephens Mid-Cap Growth Funds, respectively.
A contingent deferred sales charge (“CDSC”) of 1.00% will be deducted with respect to Class C Shares redeemed within 12 months of purchase, unless waived as discussed in the Prospectus. Any applicable CDSC will be 1.00% of the lesser of the original purchase price or the value of the redemption of the Class C Shares redeemed. For the period ended December 31, 2012, CDSC fees of $14 and $40 were collected for the Bridgeway Large Cap Value and Holland Large Cap Growth Funds, respectively.
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. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade.
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.
32
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
Securities for which the 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”).
Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, a Fund is required to deposit with its futures broker, an amount of cash or U.S. Government and Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized, but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statement of Assets and Liabilities.
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. | |
Level 2 - | Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. | |
Level 3 - | Prices determined using 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
Common stocks and financial derivative instruments, such as futures contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also 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.
The Funds’ investments are summarized by level based on the inputs used to determine their values. U.S. GAAP also requires all transfers between any levels to be disclosed. The end of period timing recognition has been adopted for the transfers between levels of each Fund’s assets and liabilities. During the year ended December 31, 2012, there were no transfers between levels. As of December 31, 2012, the investments were classified as described below (in thousands):
Bridgeway Large Cap Value Fund* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 27,184 | $ | — | $ | — | $ | 27,184 | ||||||||
Short-Term Investments - Money Markets | 332 | — | — | 332 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 27,516 | $ | — | $ | — | $ | 27,516 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | $ | (2 | ) | $ | — | $ | — | $ | (2 | ) | ||||||
33
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
Holland Large Cap Growth Fund* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 66,452 | $ | — | $ | — | $ | 66,452 | ||||||||
Short-Term Investments - Money Markets | 2,430 | — | — | 2,430 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 68,882 | $ | — | $ | — | $ | 68,882 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | $ | 12 | $ | — | $ | — | $ | 12 | ||||||||
Stephens Small Cap Growth Fund* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 199,842 | $ | 2,307 | $ | — | $ | 202,149 | ||||||||
Short-Term Investments - Money Markets | 7,175 | — | — | 7,175 | ||||||||||||
Securities Lending Collateral invested in Money Market Funds | 11,993 | — | — | 11,993 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 219,010 | $ | 2,307 | $ | — | $ | 221,317 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Stephens Mid-Cap Growth Fund* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 56,647 | $ | 392 | $ | — | $ | 57,039 | ||||||||
Short-Term Investments - Money Markets | 1,071 | — | — | 1,071 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 57,718 | $ | 392 | $ | — | $ | 58,110 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| * | Refer to the Schedule of Investments for industry information. |
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security purchase or sale. The Funds may purchase securities with delivery or payment to occur at a later date. At the time the Funds enter 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, net of foreign taxes, is recorded on the ex-dividend date, except certain dividends from foreign securities which are recorded as soon as the information is available to the Funds. 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.
Dividends to Shareholders
Dividends from net investment income of the Funds normally will be declared and paid at least annually. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date.
Commission Recapture
The Funds have established brokerage commission recapture arrangements with certain brokers or dealers. If the Funds’ investment advisor chooses to execute a transaction through a participating broker, the broker rebates a portion of the commission back to the Funds. Any collateral benefit received through participation in the commission recapture program is directed exclusively to the Funds. This amount is reported with the net realized gain in the Funds’ Statements of Operations.
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.
34
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
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. Securities and Other Investments
Real Estate Investment Trusts
The Funds may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. The Funds re-characterizes distributions received from REIT investments based on information provided by the REITs into the following categories: ordinary income, long-term capital gains, and return of capital. If information is not available on a timely basis from the REITs, the re-characterization will be estimated based on available information which may include the previous year allocation. If new or additional information becomes available from the REITs at a later date, a re-characterization will be made the following year. These re-characterizations are not recorded for financial statement purposes, but as an adjustment to the calculation of taxable income.
5. Financial Derivative Instruments
Total Return Swaps
Prior to February 3, 2012 the Bridgeway Large Cap Value Fund entered into total return swaps. Total return swaps are agreements that provide a Fund with a return based on the performance of an underlying asset, in exchange for fee payments to a counterparty based on a specified rate. The difference in the value of these income streams is recorded daily by the Funds and is settled in cash monthly. The fee paid by a Fund will typically be determined by multiplying the face value of the swap agreement by an agreed upon interest rate. In addition, if the underlying asset declines in value over the term of the swap, a Fund would also be required to pay the dollar value of that decline to the counterparty. Total return swaps could result in losses if the underlying asset does not perform as anticipated by the Adviser. A Fund may use its own NAV as the underlying asset in a total return swap. This strategy serves to reduce cash drag (the impact of cash on a Fund’s overall return) by replacing it with the impact of market exposure based upon a Fund’s own investment holdings. All total return swaps were terminated prior to February 3, 2012 and the Fund no longer invests in these types of investments.
Futures Contracts
Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Fund may enter into financial futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or bond market, as applicable. The primary risks associated with the use of futures contracts are the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations.
35
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
Upon entering into a futures contract, the Fund is required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents a portion of the face value of the futures contract. The Fund usually reflects this amount on the Schedule of Investments as a U.S. Treasury Bill held as collateral for futures contracts or as Cash deposited with broker on the Statement of Assets and Liabilities. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded.
Bridgeway Large Cap Value Fund
Values of Derivative Instruments not accounted for as hedging instruments as of December 31, 2012 (in thousands)(2):
Statement of Assets and Liabilities | Derivatives | Fair Value | ||||||
Unrealized appreciation or (depreciation) of investments and futures contracts (1) | Equity Contracts | $ | (2 | ) | ||||
Effect of derivative instruments not accounted for as hedging instruments for the year ended December 31, 2012 (in thousands):
Statement of Operations | Derivatives | Total | ||||||
Net realized gain (loss) from futures contracts | Equity Contracts | $ | 23 | |||||
Change in net unrealized appreciation or (depreciation) from futures contracts | Equity Contracts | (10 | ) | |||||
Holland Large Cap Growth Fund
Values of Derivative Instruments not accounted for as hedging instruments as of December 31, 2012 (in thousands)(2):
Statement of Assets and Liabilities | Derivatives | Fair Value | ||||||
Unrealized appreciation or (depreciation) of investments and futures contracts (1) | Equity Contracts | $ | 12 | |||||
Effect of derivative instruments not accounted for as hedging instruments for the year ended December 31, 2012 (in thousands):
Statement of Operations | Derivatives | Total | ||||||
Net realized gain (loss) from futures contracts | Equity Contracts | $ | (102 | ) | ||||
Change in net unrealized appreciation or (depreciation) from futures contracts | Equity Contracts | 11 | ||||||
| (1) | Includes cumulative appreciation or (depreciation) of futures contracts is reported in the Schedules of Investments footnotes. Only current day’s variation margin as reported within the Statements of Assets and Liabilities. |
| (2) | The volume of derivative activity described above is reflective of the derivative activity through the current period of operations. |
6. Federal Income and Excise Taxes
It is the policy of the Funds to qualify as a regulated investment company (“RIC”), 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 Funds are 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 related to any tax years that remain 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.
36
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
The tax character of distributions paid were as follows (in thousands):
| Bridgeway Large Cap Value Fund | Holland Large Cap Growth Fund | |||||||||||||||
| Six Months Ended December 31, 2012 | Year Ended June 30, 2012 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income* | ||||||||||||||||
Institutional Class | $ | 486 | $ | 357 | $ | 6 | $ | — | ||||||||
Y Class | 1 | — | — | — | ||||||||||||
Investor Class | 8 | — | 41 | — | ||||||||||||
A Class | 6 | — | 1 | — | ||||||||||||
C Class | — | — | 1 | — | ||||||||||||
Capital Gains | ||||||||||||||||
Institutional Class | — | — | 84 | 22 | ||||||||||||
Y Class | — | — | 1 | — | ||||||||||||
Investor Class | — | — | 3,479 | 1,097 | ||||||||||||
A Class | — | — | 27 | — | ||||||||||||
C Class | — | — | 15 | — | ||||||||||||
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|
|
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| |||||||||
Total distributions paid | $ | 501 | $ | 357 | $ | 3,655 | $ | 1,119 | ||||||||
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| |||||||||
| Stephens Small Cap Growth Fund | Stephens Mid-Cap Growth Fund | |||||||||||||||
| One Month Ended December 31, 2012 | Year Ended November 30, 2012 | One Month Ended December 31, 2012 | Year Ended November 30, 2012 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income* | ||||||||||||||||
Institutional Class | $ | 27 | $ | — | $ | — | $ | — | ||||||||
Y Class | 1 | — | — | — | ||||||||||||
Investor Class | 18 | — | — | — | ||||||||||||
A Class | 1 | — | — | — | ||||||||||||
C Class | — | — | — | — | ||||||||||||
Capital Gains | ||||||||||||||||
Institutional Class | 6,524 | 4,196 | 157 | — | ||||||||||||
Y Class | 280 | — | 1 | — | ||||||||||||
Investor Class | 4,431 | 3,533 | 109 | — | ||||||||||||
A Class | 195 | — | 42 | — | ||||||||||||
C Class | 22 | — | 2 | — | ||||||||||||
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|
|
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| |||||||||
Total distributions paid | $ | 11,499 | $ | 7,729 | $ | 311 | $ | — | ||||||||
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| |||||||||
| * | For tax purposes, short-term capital gains are considered ordinary income distributions. |
As of December 31, 2012, the components of distributable earnings or (deficits) on a tax basis were as follows (in thousands):
| Bridgeway Large Cap Value Fund | Holland Large Cap Growth Fund | Stephens Small Cap Growth Fund | Stephens Mid-Cap Growth Fund | |||||||||||||
Cost basis of investments for federal income tax purposes | $ | 22,800 | $ | 51,636 | $ | 202,230 | $ | 49,225 | ||||||||
Unrealized appreciation | 5,473 | 18,560 | 24,047 | 9,856 | ||||||||||||
Unrealized depreciation | (757 | ) | (1,314 | ) | (4,960 | ) | (971 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net unrealized appreciation or (depreciation) | 4,716 | 17,246 | 19,087 | 8,885 | ||||||||||||
Undistributed ordinary income | 1 | 6 | 95 | 72 | ||||||||||||
Accumulated long-term gain or (loss) | 409 | 549 | 1,136 | 351 | ||||||||||||
Other temporary differences | (5 | ) | 11 | — | — | |||||||||||
|
|
|
|
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|
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| |||||||||
Distributable earnings or (deficits) | $ | 5,121 | $ | 17,812 | $ | 20,318 | $ | 9,308 | ||||||||
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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
37
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
reporting and tax-basis reporting of unrealized appreciation or (depreciation) are attributable primarily to the tax deferral of losses from wash sales, the realization for tax purposes of unrealized gains or (losses) on certain derivative instruments, and reclassification of income from real estate investment securities.
Due to inherent differences in the recognition of income, expenses and realized gains or (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 the reclassifications of income from real estate investment securities and dividend reclasses that have been reclassed as of December 31, 2012 (in thousands):
| Bridgeway Large Cap Value Fund | Holland Large Cap Growth Fund | Stephens Small Cap Growth Fund | Stephens Mid-Cap Growth Fund | |||||||||||||
Paid-in-capital | $ | — | $ | — | $ | — | $ | — | ||||||||
Undistributed net investment income | (3 | ) | — | — | — | |||||||||||
Accumulated net realized gain (loss) | 3 | — | — | — | ||||||||||||
Unrealized appreciation or (depreciation) of investments and futures contracts | — | — | — | — | ||||||||||||
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”) was enacted, which changed various technical rules governing the tax treatment of RICs. 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 RIC MOD, 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 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 RIC MOD contains several provisions aimed at preserving the character of distributions made by a fiscal year 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 RIC MOD 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.
For the fiscal year ended December 31, 2012, the Funds did not have capital loss carryforwards. The Bridgeway Large Cap Value Fund utilized $1,227 of net capital loss carryforwards for the year ended December 31, 2012 (in thousands).
Net capital losses incurred after October 31, 2012 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended December 31, 2012, the Bridgeway Large Cap Value Fund deferred $3 of capital loss to January 1, 2013 (in thousands).
38
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
7. Investment Transactions
The aggregate cost of purchases and proceeds from sales of investments, other than short-term obligations, for the year ended December 31, 2012 were as follows (in thousands):
| Bridgeway Large Cap Value Fund | Holland Large Cap Growth Fund | Stephens Small Cap Growth Fund | Stephens Mid-Cap Growth Fund | |||||||||||||
Purchases (excluding U.S. government securities) | $ | 5,770 | $ | 12,698 | $ | 49,521 | $ | 2,333 | ||||||||
Sales and maturities (excluding U.S. government securities) | 7,541 | 11,681 | 10,523 | 379 | ||||||||||||
8. Securities Lending
The Stephens Small Cap Growth Fund may lend its securities to qualified financial institutions, such as certain broker-dealers, to earn additional income. The borrowers are required to secure their loans continuously with collateral in an amount at least equal to the fair value of the securities loaned, initially in an amount at least equal to 102% of the fair value of domestic securities loaned and 105% of the fair value of international securities loaned. Collateral is monitored and marked to market daily. Daily mark to market amounts are required to be paid to the borrower or received from the borrower by the end of the following business day. This one day settlement for mark to market amounts may result in the collateral being temporarily less than the value of the securities on loan or temporarily more than the required minimum collateral.
To the extent that a loan is collateralized by cash, such cash collateral shall be invested by the securities lending agent (the “Agent”) in money market mutual funds, and other short-term investments, as designated by the Manager.
Securities lending income is generated from the demand premium (if any) paid by the borrower to borrow a specific security and from the return on investment of cash collateral, reduced by negotiated rebate fees paid to the borrower and transaction costs. To the extent that a loan is secured by non-cash collateral, securities lending income is generated as a demand premium reduced by transaction costs. The Fund, the Agent, and the Manager retain 80%, 10%, and 10%, respectively, of the income generated from securities lending.
While securities are on loan, the Fund continues to receive any income associated with that security and any gain or loss in the market price that may occur during the term of the loan.
Securities lending transactions pose certain risks to the Fund, including that the borrower may not provide additional collateral when required or return the securities when due, that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower, that non-cash collateral may be subject to legal constraints in the event of a borrower bankruptcy, and that the cash collateral investments could become illiquid and unable to be used to return collateral to the borrower. The Fund could also experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower and any action which impairs its ability to liquidate non-cash collateral to satisfy a borrower default.
As of December 31, 2012, the value of outstanding securities on loan and the value of collateral was as follows (in thousands):
Fair Value of Securities on Loan | Non-Cash Collateral | Cash Collateral Posted by Borrower | ||
$ 11,724 | $ — | $ 11,993 |
Cash collateral is listed on the Stephens Small Cap Growth Fund’s Schedule of Investments and is shown on the Statements of Assets and Liabilities. Income earned on these investments, grossed up by the securities lending fees paid to the Manager, is included in Income derived from securities lending on the Statements of Operations.
39
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
Non-cash collateral received by the Fund may not be sold or re-pledged except to satisfy a borrower default. Therefore, non-cash collateral is not included on the Fund’s Schedule of Investments or Statements of Assets and Liabilities.
9. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Funds (dollars and shares (in thousands):
For the Six Months Ended December 31, 2012
| Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Bridgeway Large Cap Value Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 65 | $ | 1,021 | 2 | $ | 29 | 34 | $ | 540 | |||||||||||||||
Reinvestment of dividends | 30 | 473 | — | 1 | 1 | 8 | ||||||||||||||||||
Shares redeemed | (233 | ) | (3,617 | ) | — | — | (19 | ) | (298 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in shares outstanding | (138 | ) | $ | (2,123 | ) | 2 | $ | 30 | 16 | $ | 250 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| A Class | C Class | |||||||||||||||
Bridgeway Large Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6 | $ | 90 | — | $ | 6 | ||||||||||
Reinvestment of dividends | — | 5 | — | — | ||||||||||||
Shares redeemed | (5 | ) | (75 | ) | — | (1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 1 | $ | 20 | — | $ | 5 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
For the Year Ended December 31, 2012
| Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Holland Large Cap Growth Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 15 | $ | 345 | 2 | $ | 49 | 385 | $ | 8,615 | |||||||||||||||
Reinvestment of dividends | 4 | 89 | — | 1 | 162 | 3,519 | ||||||||||||||||||
Shares redeemed | (3 | ) | (72 | ) | (1 | ) | (26 | ) | (353 | ) | (7,755 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in shares outstanding | 16 | $ | 362 | 1 | $ | 24 | 194 | $ | 4,379 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| A Class | C Class | |||||||||||||||
Holland Large Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 31 | $ | 687 | 12 | $ | 283 | ||||||||||
Reinvestment of dividends | 1 | 18 | 1 | 15 | ||||||||||||
Shares redeemed | (11 | ) | (242 | ) | — | (4 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 21 | $ | 463 | 13 | $ | 294 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
For the One Month Ended December 31, 2012
| Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Stephens Small Cap Growth Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 3,195 | $ | 42,178 | 155 | $ | 2,086 | 353 | $ | 4,515 | |||||||||||||||
Reinvestment of dividends | 487 | 6,324 | 18 | 229 | 350 | 4,354 | ||||||||||||||||||
Shares redeemed | (203 | ) | (2,676 | ) | (21 | ) | (271 | ) | (281 | ) | (3,549 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in shares outstanding | 3,479 | $ | 45,826 | 152 | $ | 2,044 | 422 | $ | 5,320 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| A Class | C Class | |||||||||||||||
Stephens Small Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 15 | $ | 189 | — | $ | — | ||||||||||
Reinvestment of dividends | 14 | 178 | 2 | 21 | ||||||||||||
Shares redeemed | (3 | ) | (42 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 26 | $ | 325 | 2 | $ | 21 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
40
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
| Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Stephens Mid-Cap Growth Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 12 | $ | 184 | 10 | $ | 148 | 80 | $ | 1,092 | |||||||||||||||
Reinvestment of dividends | 10 | 155 | — | 1 | 7 | 101 | ||||||||||||||||||
Shares redeemed | (7 | ) | (110 | ) | — | — | (62 | ) | (855 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in shares outstanding | 15 | $ | 229 | 10 | $ | 149 | 25 | $ | 338 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| A Class | C Class | |||||||||||||||
Stephens Mid-Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 38 | $ | 525 | 11 | $ | 150 | ||||||||||
Reinvestment of dividends | 2 | 24 | — | 2 | ||||||||||||
Shares redeemed | (27 | ) | (366 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 13 | $ | 183 | 11 | $ | 152 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
For the Year Ended June 30, 2012
| Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Bridgeway Large Cap Value Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 189 | $ | 2,646 | — | $ | 5 | 15 | $ | 212 | |||||||||||||||
Reinvestment of dividends | 25 | 333 | — | — | — | — | ||||||||||||||||||
Shares redeemed | (422 | ) | (5,912 | ) | — | — | — | (1 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in shares outstanding | (208 | ) | $ | (2,933 | ) | — | $ | 5 | 15 | $ | 211 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| A Class | C Class | |||||||||||||||
Bridgeway Large Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 19 | $ | 274 | 1 | $ | 15 | ||||||||||
Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 19 | $ | 274 | 1 | $ | 15 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
For the Year Ended December 31, 2011
| Institutional Class | Investor Class | A Class | ||||||||||||||||||||||
Holland Large Cap Growth Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 6 | $ | 130 | 399 | $ | 8,234 | — | $ | — | |||||||||||||||
Reinvestment of dividends | 1 | 23 | 55 | 1,096 | — | — | ||||||||||||||||||
Shares redeemed | (5 | ) | (103 | ) | (266 | ) | (5,507 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in shares outstanding | 2 | $ | 50 | 188 | $ | 3,823 | — | $ | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
For the Year Ended November 30, 2012
| Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Stephens Small Cap Growth Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 4,370 | $ | 58,661 | 251 | $ | 3,438 | 2,288 | $ | 29,875 | |||||||||||||||
Reinvestment of dividends | 308 | 3,670 | — | — | 303 | 3,473 | ||||||||||||||||||
Shares redeemed | (2,105 | ) | (27,491 | ) | (52 | ) | (719 | ) | (1,113 | ) | (14,258 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in shares outstanding | 2,573 | $ | 34,840 | 199 | $ | 2,719 | 1,478 | $ | 19,090 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| A Class | C Class | |||||||||||||||
Stephens Small Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 257 | $ | 3,304 | 27 | $ | 349 | ||||||||||
Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares redeemed | (30 | ) | (389 | ) | — | (1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 227 | $ | 2,915 | 27 | $ | 348 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
41
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
| Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Stephens Mid-Cap Growth Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 1,240 | $ | 17,576 | 16 | $ | 238 | 292 | $ | 3,837 | |||||||||||||||
Reinvestment of dividends | — | — | — | — | — | — | ||||||||||||||||||
Shares redeemed | (203 | ) | (3,032 | ) | (1 | ) | (17 | ) | (594 | ) | (7,887 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in shares outstanding | 1,037 | $ | 14,544 | 15 | $ | 221 | (302 | ) | $ | (4,050 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| A Class | C Class | |||||||||||||||
Stephens Mid-Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 567 | $ | 7,677 | 11 | $ | 147 | ||||||||||
Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares redeemed | (52 | ) | (685 | ) | — | (3 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 515 | $ | 6,992 | 11 | $ | 144 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
10. Change in Independent Registered Public Accounting Firm (Unaudited)
The American Beacon Holland Large Cap Growth Fund engaged Ernst & Young, LLP (“E&Y”) as the independent registered public accounting firm for the fiscal year ending December 31, 2012. E&Y replaces BBD, LLP (“BBD”), the Predecessor Fund’s previous independent registered public accounting firm, who was dismissed upon completion of the tax-free reorganization. The engagement of E&Y as accountants of the Fund was approved by the Audit Committee of the Board of Trustees on November 7, 2011. During the periods that BBD served as the Predecessor Fund’s independent registered public accounting firm and through March 23, 2012, BBD’s audit reports contained no adverse opinion or disclaimer of opinion; nor were its reports qualified or modified as to uncertainty, audit scope, or accounting principle. There were no disagreements between the Predecessor Fund and BBD on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure.
42
American Beacon Bridgeway Large Cap Value FundSM
Financial Highlights
(For a share outstanding throughout the period)
| Institutional ClassE | ||||||||||||||||||||||||
| Six Months Ended December 31, | Year Ended June 30, | |||||||||||||||||||||||
| 2012 | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Net asset value, beginning of period | $ | 14.80 | $ | 14.62 | $ | 11.44 | $ | 9.74 | $ | 13.63 | $ | 17.07 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.20 | 0.24 | 0.20 | D | 0.19 | D | 0.23 | D | 0.22 | D | ||||||||||||||
Net gains (losses) from investments (both realized and unrealized) | 1.14 | 0.12 | 3.21 | 1.73 | (3.89 | ) | (2.94 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income (loss) from investment operations | 1.34 | 0.36 | 3.41 | 1.92 | (3.66 | ) | (2.72 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.29 | ) | (0.18 | ) | (0.23 | ) | (0.22 | ) | (0.23 | ) | (0.21 | ) | ||||||||||||
Distributions from net realized gains on securities | — | — | — | — | — | (0.51 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (0.29 | ) | (0.18 | ) | (0.23 | ) | (0.22 | ) | (0.23 | ) | (0.72 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 15.85 | $ | 14.80 | $ | 14.62 | $ | 11.44 | $ | 9.74 | $ | 13.63 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return F | 9.04 | %A | 2.60 | % | 30.02 | % | 19.65 | % | (26.88 | )% | (16.46 | )% | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 26,669 | $ | 26,950 | $ | 29,647 | $ | 25,534 | $ | 27,996 | $ | 54,144 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Expenses, before reimbursements | 1.73 | %B | 1.30 | % | 1.17 | % | 1.11 | % | 0.98 | % | 0.80 | % | ||||||||||||
Expenses, net of reimbursements | 0.84 | %B | 0.82 | % | 0.84 | % | 0.84 | % | 0.84 | % | 0.79 | % | ||||||||||||
Net investment income (loss), before reimbursements | 1.38 | %B | 1.17 | % | 1.17 | % | 1.32 | % | 2.06 | % | 1.37 | % | ||||||||||||
Net investment income, net of reimbursements | 2.27 | %B | 1.66 | % | 1.50 | % | 1.58 | % | 2.20 | % | 1.38 | % | ||||||||||||
Portfolio turnover rate | 21 | %A | 36 | % | 43 | % | 49 | % | 65 | % | 28 | % | ||||||||||||
| A | Not annualized. |
| B | Annualized. |
| C | Portfolio turnover rate is for the period from July 1, 2011 to June 30, 2012. |
| D | Per share amounts calculated based on the average daily shares outstanding during the period. |
| E | Prior to the reorganization on February 3, 2012, the Institutional Class was known as Class N. |
| F | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. |
| G | Commencement of operations. |
43
American Beacon Bridgeway Large Cap Value FundSM
(For a share outstanding throughout the period)
| Y Class | Investor Class | A Class | C Class | |||||||||||||||||||||||||||
Six Months | February 3 G to June 30, 2012 | Six Months Ended December 31, 2012 | February 3 G to June 30, 2012 | Six Months Ended December 31, 2012 | February 3 G to June 30, 2012 | Six Months Ended December 31, 2012 | February 3 G to June 30, 2012 | |||||||||||||||||||||||
| $ | 14.80 | $ | 14.46 | $ | 14.78 | $ | 14.46 | $ | 14.77 | $ | 14.46 | $ | 14.73 | $ | 14.46 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 0.07 | 0.09 | 0.12 | 0.03 | 0.15 | 0.01 | 0.09 | 0.02 | |||||||||||||||||||||||
| 1.26 | 0.25 | 1.19 | 0.29 | 1.15 | 0.30 | 1.17 | 0.25 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 1.33 | 0.34 | 1.31 | 0.32 | 1.30 | 0.31 | 1.26 | 0.27 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| (0.29 | ) | — | (0.28 | ) | — | (0.29 | ) | — | (0.29 | ) | — | |||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| (0.29 | ) | — | (0.28 | ) | — | (0.29 | ) | — | (0.29 | ) | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| $ | 15.84 | $ | 14.80 | $ | 15.81 | $ | 14.78 | $ | 15.78 | $ | 14.77 | $ | 15.70 | $ | 14.73 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 8.98 | %A | 2.35 | %A | 8.84 | %A | 2.21 | %A | 8.78 | %A | 2.14 | %A | 8.54 | %A | 1.87 | %A | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| $ | 36 | $ | 5 | $ | 489 | $ | 215 | $ | 311 | $ | 276 | $ | 20 | $ | 14 | |||||||||||||||
| 3.75 | %B | 144.39 | %B | 2.26 | %B | 18.30 | %B | 2.21 | %B | 15.39 | %B | 6.81 | %B | 64.88 | %B | |||||||||||||||
| 0.93 | %B | 0.94 | %B | 1.21 | %B | 1.22 | %B | 1.33 | %B | 1.34 | %B | 1.77 | %B | 2.09 | %B | |||||||||||||||
| (0.51 | )B | (141.90 | )%B | 1.00 | %B | (15.48 | )%B | 0.90 | %B | (13.13 | )%B | (3.55 | )B | (62.47 | )%B | |||||||||||||||
| 2.31 | %B | 1.54 | %B | 2.05 | %B | 1.59 | %B | 1.78 | %B | 0.92 | %B | 1.49 | %B | 0.32 | %B | |||||||||||||||
| 21 | %A | 36 | %C | 21 | %A | 36 | %C | 21 | %A | 36 | %C | 21 | %A | 36 | %C | |||||||||||||||
44
American Beacon Holland Large Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
| Institutional Class | Y Class | |||||||||||||||
| Year Ended December 31, | March 1 F to | March 23 F to | ||||||||||||||
| 2012 | 2011 | 2010 | 2012 | |||||||||||||
Net asset value, beginning of period | $ | 20.30 | $ | 20.00 | $ | 17.88 | $ | 23.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income from investment operations: | ||||||||||||||||
Net investment income (loss) | 0.09 | G | (0.02 | )D | (0.01 | )D | 0.09 | G | ||||||||
Net gains (losses) from investments (both realized and unrealized) | 2.47 | 0.71 | 2.61 | (0.26 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total income (loss) from investment operations | 2.56 | 0.69 | 2.60 | (0.17 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less distributions: | ||||||||||||||||
Dividends from net investment income | (0.08 | ) | — | — | (0.06 | ) | ||||||||||
Distributions from net realized gains on securities | (1.18 | ) | (0.39 | ) | (0.48 | ) | (1.18 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (1.26 | ) | (0.39 | ) | (0.48 | ) | (1.24 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of period | $ | 21.60 | $ | 20.30 | $ | 20.00 | $ | 21.59 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return E H | 12.57 | % | 3.47 | % | 14.58 | %A | (0.79 | )%A | ||||||||
|
|
|
|
|
|
|
| |||||||||
Ratios and supplemental data: | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,619 | $ | 1,193 | $ | 1,126 | $ | 23 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Expenses, before reimbursements | 1.32 | % | 1.49 | % | 1.91 | %B | 10.18 | %B | ||||||||
Expenses, net of reimbursements | 0.96 | % | 1.20 | % | 1.20 | %B | 0.98 | %B | ||||||||
Net investment income (loss), before expense reimbursements | 0.07 | % | (0.38 | )% | (0.77 | )%B | (8.77 | )%B | ||||||||
Net investment income (loss), net of reimbursements | 0.43 | % | (0.09 | )% | 0.06 | %B | 0.43 | %B | ||||||||
Portfolio turnover rate | 18 | % | 12 | % | 18 | %A | 18 | %C | ||||||||
| A | Not annualized. |
| B | Annualized. |
| C | Portfolio turnover rate is for the period January 1, 2012 to December 31, 2012. |
| D | The Predecessor Fund calculated the change in undistributed net investment income per share by dividing the change in undistributed net investment income by average shares outstanding for the period. |
| E | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. |
| F | Commencement of operations. |
| G | For purposes of this calculation, the change in undistributed net investment income per share was derived by dividing the change in undistributed net investment income by shares outstanding at December 31, 2012. |
| H | May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
45
American Beacon Holland Large Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
| Investor Class | A Class | C Class | ||||||||||||||||||||||||||||||||
| Year Ended December 31, | Year Ended 31, December 31, | February 1 F December 31, | March 23 F to | |||||||||||||||||||||||||||||||
| 2012 | 2011 | 2010 | 2009 | 2008 | 2012 | 2011 | 2010 | 2012 | ||||||||||||||||||||||||||
| $ | 20.24 | $ | 19.97 | $ | 17.94 | $ | 12.90 | $ | 19.81 | $ | 20.23 | $ | 19.96 | $ | 17.40 | $ | 22.90 | |||||||||||||||||
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| 0.02 | G | (0.05 | )D | (0.04 | )D | (0.02 | )D | (0.04 | )D | 0.03 | G | (0.05 | )D | (0.04 | )D | 0.01 | G | |||||||||||||||||
| 2.45 | 0.71 | 2.55 | 5.06 | (6.86 | ) | 2.41 | 0.71 | 3.08 | (0.38 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||
| 2.47 | 0.66 | 2.51 | 5.04 | (6.90 | ) | 2.44 | 0.66 | 3.04 | (0.37 | ) | ||||||||||||||||||||||||
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| (0.01 | ) | — | — | — | — | (0.06 | ) | — | — | (0.06 | ) | |||||||||||||||||||||||
| (1.18 | ) | (0.39 | ) | (0.48 | ) | — | (0.01 | ) | (1.18 | ) | (0.39 | ) | (0.48 | ) | (1.18 | ) | ||||||||||||||||||
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| (1.19 | ) | (0.39 | ) | (0.48 | ) | — | (0.01 | ) | (1.24 | ) | (0.39 | ) | (0.48 | ) | (1.24 | ) | ||||||||||||||||||
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| $ | 21.52 | $ | 20.24 | $ | 19.97 | $ | 17.94 | $ | 12.90 | $ | 21.43 | $ | 20.23 | $ | 19.96 | $ | 21.29 | |||||||||||||||||
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| 12.18 | % | 3.33 | % | 14.03 | % | 39.07 | % | (34.83 | )% | 11.99 | % | 3.33 | % | 17.51 | %A | (1.65 | )%A | |||||||||||||||||
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| $ | 66,568 | $ | 58,682 | $ | 54,128 | $ | 50,341 | $ | 33,766 | $ | 467 | $ | 13 | $ | 12 | $ | 281 | |||||||||||||||||
| 1.44 | % | 1.64 | % | 1.77 | % | 1.69 | % | 1.71 | % | 2.73 | % | 10.06 | % | 42.81 | %B | 6.17 | %B | |||||||||||||||||
| 1.29 | % | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | % | 1.38 | % | 1.40 | % | 1.40 | %B | 2.12 | %B | |||||||||||||||||
| (0.08 | )% | (0.53 | )% | (0.64 | )% | (0.45 | )% | (0.61 | )% | (0.97 | )% | (8.94 | )% | (41.83 | )%B | (3.85 | )%B | |||||||||||||||||
| 0.07 | % | (0.24 | )% | (0.22 | )% | (0.11 | )% | (0.25 | )% | 0.37 | % | (0.28 | )% | (0.22 | )%B | 0.20 | %B | |||||||||||||||||
| 18 | % | 12 | % | 18 | % | 11 | % | 35 | % | 18 | % | 12 | % | 18 | %A | 18 | %C | |||||||||||||||||
46
American Beacon Stephens Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
| Institutional Class | Y Class | |||||||||||||||||||||||||||||||
| One Month Ended December 31, | Year Ended November 30, | One Month Ended December 31, | February 24 J to November 30, | |||||||||||||||||||||||||||||
| 2012 | 2012A | 2011A | 2010A | 2009A | 2008A | 2012 | 2012 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.54 | $ | 13.14 | $ | 12.03 | $ | 9.37 | $ | 7.09 | $ | 12.34 | $ | 13.54 | $ | 13.59 | ||||||||||||||||
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| |||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.06 | (0.04 | )H | (0.11 | )I | (0.09 | )i | (0.06 | ) | (0.04 | ) | 0.01 | (0.02 | ) | ||||||||||||||||||
Net gains (losses) from investments (both realized and unrealized) | 0.23 | 1.43 | 1.37 | 2.75 | 2.34 | (5.21 | ) | 0.27 | (0.03 | ) | ||||||||||||||||||||||
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Total income (loss) from investment operations | 0.29 | 1.39 | 1.26 | 2.66 | 2.28 | (5.25 | ) | 0.28 | (0.05 | ) | ||||||||||||||||||||||
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Less distributions: | ||||||||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Distributions from net realized gains on securities | (0.84 | ) | (0.99 | ) | (0.15 | ) | — | — | — | (0.84 | ) | — | ||||||||||||||||||||
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Total distributions | (0.84 | ) | (0.99 | ) | (0.15 | ) | — | — | — | (0.84 | ) | — | ||||||||||||||||||||
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Redemption fees added to beneficial interests | — | — | — | — | — | 0.00 | G | — | — | |||||||||||||||||||||||
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Net asset value, end of period | $ | 12.99 | $ | 13.54 | $ | 13.14 | $ | 12.03 | $ | 9.37 | $ | 7.09 | $ | 12.98 | $ | 13.54 | ||||||||||||||||
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Total return B,C | 2.15 | %D | 11.65 | % | 10.49 | % | 28.39 | % | 32.16 | % | (42.54 | )% | 2.07 | %D | (0.37 | )%D | ||||||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 130,342 | $ | 88,815 | $ | 52,336 | $ | 39,169 | $ | 34,356 | $ | 13,792 | $ | 4,563 | $ | 2,699 | ||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.20 | %E | 1.20 | % | 1.15 | % | 1.35 | % | 1.65 | % | 1.46 | % | 1.36 | %E | 2.05 | %E | ||||||||||||||||
Expenses, net of reimbursements | 1.06 | %E | 1.10 | % | 1.10 | % | 1.10 | % | 1.25 | % | 1.25 | % | 1.16 | %E | 1.21 | %E | ||||||||||||||||
Net investment income (loss), before reimbursements | 0.54 | %E | (0.84 | )% | (0.91 | )% | (1.09 | )% | (1.33 | )% | (1.00 | )% | 0.19 | %E | (1.57 | )%E | ||||||||||||||||
Net investment income (loss), net of reimbursements | 0.68 | %E | (0.74 | )% | (0.86 | )% | (0.84 | )% | (0.93 | )% | (0.79 | )% | 0.38 | %E | (0.73 | )%E | ||||||||||||||||
Portfolio turnover rate | 6 | %D | 45 | % | 36 | % | 66 | % | 35 | % | 43 | %D | 6 | %D | 45 | %F | ||||||||||||||||
| A | Prior to the reorganization on February 24, 2012, the Institutional Class and Investor Classes were known as Class I and Class A, respectively. |
| B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. |
| C | May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| D | Not annualized. |
| E | Annualized. |
| F | Portfolio turnover rate is for the period from December 1, 2011 through November 30, 2012. |
| G | Amount represents less than $0.01 per share. |
| H | For purposes of this calculation, the change in undistributed net investment income per share was derived by dividing the change in undistributed net investment income by shares outstanding at November 30, 2012. |
| I | The Predecessor Fund calculated the change in undistributed net investment income per share by dividing the change in undistributed net investment income by average shares outstanding for the period. |
| J | Commencement of operations. |
47
American Beacon Stephens Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
| Investor Class | A Class | C Class | ||||||||||||||||||||||||||||||||||||
| One Month Ended December 31, | Year Ended November 30, | One Month Ended December 31, | February 24 J to November 30, | One Month Ended December 31, | February 24 J to November 30, | |||||||||||||||||||||||||||||||||
| 2012 | 2012A | 2011A | 2010A | 2009A | 2008A | 2012 | 2012 | 2012 | 2012 | |||||||||||||||||||||||||||||
| $ | 12.99 | $ | 12 .67 | $ | 11 .64 | $ | 9 .09 | $ | 6 .90 | $ | 12 .03 | $ | 12.98 | $ | 13.07 | $ | 12.91 | $ | 13.07 | |||||||||||||||||||
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| 0 .02 | (0 .06 | )H | (0 .14 | )I | (0 .11 | )I | (0 .09 | ) | (0 .13 | ) | 0 .01 | (0 .07 | ) | 0 .00 | (0 .06 | ) | ||||||||||||||||||||||
| 0 .25 | 1 .37 | 1 .32 | 2 .66 | 2 .28 | (5 .00 | ) | 0 .25 | (0 .02 | ) | 0 .25 | (0 .10 | ) | ||||||||||||||||||||||||||
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| 0 .27 | 1 .31 | 1 .18 | 2 .55 | 2 .19 | (5 .13 | ) | 0 .26 | (0 .09 | ) | 0 .25 | (0 .16 | ) | ||||||||||||||||||||||||||
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| — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
| (0.84 | ) | (0 .99 | ) | (0 .15 | ) | — | — | — | (0 .84 | ) | — | (0 .84 | ) | — | ||||||||||||||||||||||||
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| (0.84 | ) | (0 .99 | ) | (0 .15 | ) | — | — | — | (0 .84 | ) | — | (0 .84 | ) | — | ||||||||||||||||||||||||
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| — | — | 0 .00 | G | 0 .00 | G | 0 .00 | G | 0 .00 | G | — | — | — | — | |||||||||||||||||||||||||
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| $ | 12.42 | $ | 12 .99 | $ | 12 .67 | $ | 11 .64 | $ | 9 .09 | $ | 6 .90 | $ | 12.40 | $ | 12.98 | $ | 12.32 | $ | 12.91 | |||||||||||||||||||
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| |||||||||||||||||||
| 2.08 | %D | 11.44 | % | 10.15 | % | 28.05 | % | 31.74 | % | (42.64 | )% | 2.01 | %D | (0.69 | )%D | 1.94 | %D | (1.22 | )%D | |||||||||||||||||||
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| |||||||||||||||||||
| $ | 69,786 | $ | 67,506 | $ | 47,101 | $ | 45,911 | $ | 22,058 | $ | 19,854 | $ | 3,131 | $ | 2,941 | $ | 349 | $ | 343 | |||||||||||||||||||
| 1.62 | %E | 1 .56 | % | 1 .40 | % | 1 .60 | % | 1 .91 | % | 1 .69 | % | 1.79 | %E | 2.08 | %E | 3.21 | %E | 6.15 | %E | |||||||||||||||||||
| 1.34 | %E | 1 .36 | % | 1 .35 | % | 1 .35 | % | 1 .50 | % | 1 .50 | % | 1.58 | %E | 1.61 | %E | 2.33 | %E | 2.35 | %E | |||||||||||||||||||
| 0.23 | %E | (1.20 | )% | (1.16 | )% | (1.33 | )% | (1.59 | )% | (1.36 | )% | 0.04 | %E | (1.68 | )%E | (1.36 | )%E | (5.71 | )%E | |||||||||||||||||||
| 0.50 | %E | (1.00 | )% | (1.11 | )% | (1.08 | )% | (1.18 | )% | (1.17 | )% | 0.25 | %E | (1.21 | )%E | (0.48 | )%E | (1.91 | )%E | |||||||||||||||||||
| 6 | %D | 45 | % | 36 | % | 66 | % | 35 | % | 43 | %D | 6 | %D | 45 | %F | 6 | %D | 45 | %F | |||||||||||||||||||
48
American Beacon Stephens Mid-Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
| Institutional Class | Y Class | |||||||||||||||||||||||||||||||
| One Month Ended December 31, | Year Ended November 30, | One Month Ended December 31, | February 24 J to November 30, | |||||||||||||||||||||||||||||
| 2012 | 2012A | 2011A | 2010A | 2009A | 2008A | 2012 | 2012 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15 .24 | $ | 13 .69 | $ | 12 .44 | $ | 9 .63 | $ | 7 .18 | $ | 13.39 | $ | 15.23 | $ | 15.09 | ||||||||||||||||
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| |||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | 0 .02 | 0 .00 | H | (0 .10 | )I | (0.09 | )I | (0 .07 | ) | (0 .06 | ) | 0 .02 | (0 .03 | ) | ||||||||||||||||||
Net gains (losses) from investments (both realized and unrealized) | 0 .20 | 1 .55 | 1 .35 | 2 .90 | 2 .52 | (6 .15 | ) | 0 .21 | 0 .17 | |||||||||||||||||||||||
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Total income (loss) from investment operations | 0 .22 | 1 .55 | 1 .25 | 2 .81 | 2 .45 | (6 .21 | ) | 0 .23 | 0 .14 | |||||||||||||||||||||||
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Less distributions: | ||||||||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Distributions from net realized gains on securities | (0 .08 | ) | — | — | — | — | — | (0 .08 | ) | — | ||||||||||||||||||||||
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Total distributions | (0 .08 | ) | — | — | — | — | — | (0 .08 | ) | — | ||||||||||||||||||||||
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Redemption fees added to beneficial interests | — | — | — | — | — | 0 .00 | G | — | — | |||||||||||||||||||||||
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Net asset value, end of period | $ | 15 .38 | $ | 15 .24 | $ | 13 .69 | $ | 12.44 | $ | 9 .63 | $ | 7 .18 | $ | 15.38 | $ | 15.23 | ||||||||||||||||
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Total return B,C | 1.43 | %D | 11.32 | % | 10.05 | % | 29.18 | % | 34.12 | % | (46.38 | )% | 1.50 | %D | 0.93 | %D | ||||||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 31,005 | $ | 30,503 | $ | 13,208 | $ | 7,124 | $ | 4,552 | $ | 3,967 | $ | 374 | $ | 222 | ||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1 .31 | %E | 1 .28 | % | 1 .65 | % | 2.27 | % | 3.03 | % | 2 .19 | % | 1.53 | %E | 3.85 | %E | ||||||||||||||||
Expenses, net of reimbursements | 0 .99 | %E | 1 .03 | % | 1 .25 | % | 1.25 | % | 1.25 | % | 1 .25 | % | 1.09 | %E | 1.09 | %E | ||||||||||||||||
Net investment income (loss), before reimbursements | �� | 1 .37 | %E | (0.62 | )% | (1.12 | )% | (1.81 | )% | (2.46 | )% | (1.57 | )% | 0.69 | %E | (3.09 | )%E | |||||||||||||||
Net investment income (loss), net of reimbursements | 1 .69 | %E | (0.37 | )% | (0.72 | )% | (0.79 | )% | (0.69 | )% | (0.63 | )% | 1.13 | %E | (0.33 | )%E | ||||||||||||||||
Portfolio turnover rate | 1 | %D | 27 | % | 30 | % | 20 | % | 29 | % | 32 | % | 1 | %D | 27 | %F | ||||||||||||||||
| A | Prior to the reorganization on February 24, 2012, the Institutional Class and Investor Classes were known as Class I and Class A, respectively. |
| B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. |
| C | May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| D | Not annualized. |
| E | Annualized. |
| F | Portfolio turnover rate is for the period from December 1, 2011 through November 30, 2012. |
| G | Amount represents less than $0.01 per share. |
| H | For purposes of this calculation, the change in undistributed net investment income per share was derived by dividing the change in undistributed net investment income by shares outstanding at November 30, 2012. |
| I | The Predecessor Fund calculated the change in undistributed net investment income per share by dividing the change in undistributed net investment income by average shares outstanding for the period. |
| J | Commencement of operations. |
49
American Beacon Stephens Mid-Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
| Investor Class | A Class | C Class | ||||||||||||||||||||||||||||||||||||
| One Month Ended December 31, | Year Ended November 30, | One Month Ended December 31, | February 24 J to November 30, | One Month Ended December 31, | February 24 J to November 30, | |||||||||||||||||||||||||||||||||
| 2012 | 2012A | 2011A | 2010A | 2009A | 2008A | 2012 | 2012 | 2012 | 2012 | |||||||||||||||||||||||||||||
| $ | 13.72 | $ | 12 .36 | $ | 11 .26 | $ | 8 .74 | $ | 6 .53 | $ | 12.22 | $ | 13.72 | $ | 13.62 | $ | 13.63 | $ | 13.62 | |||||||||||||||||||
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| 0 .02 | (0 .14 | )H | (0 .11 | )I | (0 .10 | )I | (0 .07 | ) | (0 .11 | ) | 0 .02 | (0 .05 | ) | 0 .02 | (0 .04 | ) | ||||||||||||||||||||||
| 0 .17 | 1 .50 | 1 .21 | 2 .62 | 2 .28 | (5 .58 | ) | 0 .17 | 0 .15 | 0 .18 | 0 .05 | ||||||||||||||||||||||||||||
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| 0 .19 | 1 .36 | 1 .10 | 2 .52 | 2 .21 | (5 .69 | ) | 0 .19 | 0 .10 | 0 .20 | 0 .01 | ||||||||||||||||||||||||||||
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| — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
| (0.08 | ) | — | — | — | — | — | (0 .08 | ) | — | (0 .08 | ) | — | ||||||||||||||||||||||||||
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| — | — | — | 0 .00 | G | 0 .00 | G | 0 .00 | G | — | — | — | — | ||||||||||||||||||||||||||
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| $ | 13.83 | $ | 13 .72 | $ | 12 .36 | $ | 11 .26 | $ | 8 .74 | $ | 6 .53 | $ | 13.83 | $ | 13.72 | $ | 13.75 | $ | 13.63 | |||||||||||||||||||
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| 1.37 | %D | 11.00 | % | 9 .77 | % | 28.83 | % | 33.84 | % | (46.56 | )% | 1.37 | %D | 0.73 | %D | 1.45 | %D | 0.07 | %D | |||||||||||||||||||
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| $ | 18,585 | $ | 18,092 | $ | 20,034 | $ | 15,076 | $ | 9,637 | $ | 7,748 | $ | 7,302 | $ | 7,063 | $ | 302 | $ | 147 | |||||||||||||||||||
| 1.68 | %E | 1 .67 | % | 1 .91 | % | 2 .52 | % | 3.32 | % | 2 .42 | % | 1.81 | %E | 1.83 | %E | 2.68 | %E | 14.54 | %E | |||||||||||||||||||
| 1.37 | %E | 1 .40 | % | 1 .50 | % | 1 .50 | % | 1.50 | % | 1 .50 | % | 1.49 | %E | 1.49 | %E | 2.24 | %E | 2.24 | %E | |||||||||||||||||||
| 0.94 | %E | (1.04 | )% | (1.35 | )% | (2.06 | )% | (2.75 | )% | (1.97 | )% | 0.86 | %E | (1.04 | )%E | 0.15 | %E | (13.65 | )%E | |||||||||||||||||||
| 1.26 | %E | (0.76 | )% | (0.94 | )% | (1.04 | )% | (0.93 | )% | (1.05 | )% | 1.18 | %E | (0.70 | )%E | 0.59 | %E | (1.36 | )%E | |||||||||||||||||||
| 1 | %D | 27 | % | 30 | % | 20 | % | 29 | % | 32 | % | 1 | %D | 27 | %F | 1 | %D | 27 | %F | |||||||||||||||||||
50
American Beacon FundsSM
Privacy Policy & Federal Tax Information
December 31, 2012 (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
Certain tax information regarding the Funds are required to be provided to shareholders based upon the Funds’ income and distribution for the taxable year ended December 31, 2012. The information and distributions reported herein may differ from information and distribution taxable to the shareholders for the calendar year ended December 31, 2012.
The Funds designated the following items with regard to distributions paid during the fiscal year ended December 31, 2012. All designations are based on financial information available as of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations there under.
| Bridgeway Large Cap Value | Holland Large Cap Growth | Stephens Small Cap Growth | Stephens Mid-Cap Growth | |||||||||||||
Corporate Dividends Received Deduction | 100.00 | % | 83.49 | % | 79.02 | % | 88.66 | % | ||||||||
Qualified Dividend Income | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||
The Funds designated the following as short-term capital gain distributions for the year ended December 31, 2012:
Stephens Small Cap Growth Fund | $ | 46,641 |
The Funds designated the following as long-term capital gain distributions for the year ended December 31, 2012:
Holland Large Cap Growth Fund | $ | 3,606,198 | ||
Stephens Small Cap Growth Fund | 11,452,613 | |||
Stephens Mid-Cap Growth Fund | 311,203 |
Shareholders will receive notification in January 2013 of the appropriate tax information necessary to prepare their 2012 income tax returns.
51
Trustees and Officers of the American Beacon FundsSM
(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-six funds in the fund complex that includes the 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 Office and Length of Time Served with the Trust | Principal Occupation(s) During Past 5 Years and Current Directorships | ||
INTERESTED TRUSTEES | ||||
| Term | ||||
Lifetime of Trust until removal, resignation or retirement* | ||||
| Gerard J. Arpey** (54) | Trustee since 2012 | Partner, Emerald Creek Group (private equity firm) (2011-Present); Chairman and Chief Executive Officer, (2003-2011), AMR Corp. and American Airlines; Inc.; Director, S. C. Johnson & Son, Inc. (privately held company) (2008-present); Trustee, American Beacon Select Funds (2012-Present). | ||
| Alan D. Feld*** (76) | 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 (1996-2012); Trustee, American Beacon Select Funds (1999-Present); Trustee, American Beacon Master Trust (1996-2012). | ||
| NON-INTERESTED TRUSTEES | Term | |||
Lifetime of Trust until removal, resignation or retirement* | ||||
| W. Humphrey Bogart (68) | Trustee since 2004 | Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012). | ||
| Brenda A. Cline (52) | Trustee since 2004 | Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012). | ||
| Eugene J. Duffy (58) | 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 (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012). | ||
| Thomas M. Dunning (70) | Trustee since 2008 | Chairman Emeritus (2008-Present); Chairman (1998-2008) and Chief Executive Officer (1998-2007), Lockton Dunning Benefits (consulting firm in employee benefits); Board Director, Oncor Electric Delivery Company LLC (2007-Present); Board Member, BancTec (2010-Present); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012). | ||
| Richard A. Massman (69) | 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 (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012). | ||
52
Trustees and Officers of the American Beacon FundsSM
(Unaudited)
Name, Age and Address | Position, Term of Office and Length of Time Served with the Trust | Principal Occupation(s) During Past 5 Years and Current Directorships | ||
| Barbara J. McKenna, CFA (49) | Trustee since 2012 | Managing Principal, Longfellow Investment Management Company (2005-Present); Trustee, American Beacon Select Funds (2012-Present). | ||
| R. Gerald Turner (67) | 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 (2001-2012); Trustee, American Beacon Select Funds (2001-Present); Trustee, American Beacon Master Trust (2001-2012). | ||
| Paul J. Zucconi, CPA (72) | 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) (2010-2011); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012). | ||
| 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. | ||
| Rosemary K. Behan (53) | VP, Secretary and Chief Legal Officer since 2006 | Vice President, Legal and Compliance (2006-Present), American Beacon Advisors, Inc.; Secretary (2008-Present), American Beacon Advisors, Inc.; Secretary (2008-Present), Lighthouse Holdings, Inc.; Secretary (2008–Present), Lighthouse Holdings Parent, Inc. | ||
| Brian E. Brett (52) | VP since 2004 | Vice President, Director of Sales (2004-Present), American Beacon Advisors, Inc. | ||
| Wyatt L. Crumpler (46) | VP since 2007 | Chief Investment Officer (2012-Present), Vice President, Asset Management (2009-2011), and Vice President, Trust Investments, (2007-2009), American Beacon Advisors, Inc. | ||
| Erica Duncan (42) | VP Since 2011 | Vice President, Marketing and 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 (58) | VP since 1989 | Chief Fixed Income Officer (2011-Present) and Vice President, Fixed Income Investments, (1988-2011) American Beacon Advisors, Inc.; Director, American Beacon Global Funds SPC (2002-2011); Director, American Beacon Global Funds plc (2007-2009). | ||
| Melinda G. Heika (51) | Treasurer since 2010 | 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 (49) | VP since 2010 | Vice President, Enterprise Services (2009-Present) and Managing Director (2003-2009), American Beacon Advisors, Inc. | ||
| Jeffrey K. Ringdahl (37) | VP since 2010 | Chief Operating Officer (2010-Present), American Beacon Advisors, Inc.; Vice President, Product Management (2007-2010), Touchstone Advisors, Inc.; Senior Director, Business Integration (2005-2007), Fidelity Investments. | ||
53
Trustees and Officers of the American Beacon FundsSM
(Unaudited)
Name, Age and Address | Position, Term of Office and Length of Time Served with the Trust | Principal Occupation(s) During Past 5 Years and Current Directorships | ||
| Samuel J. Silver (49) | 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 (41) | Chief Compliance Officer since 2004 and Asst. Secretary since 1999 | Chief Compliance Officer (2004-Present), American Beacon Advisors, Inc. | ||
| John J. Okray (38) | Asst. Secretary since 2010 | Deputy General Counsel (2012-Present) and Assistant General Counsel (2010-Present), American Beacon Advisors, Inc.; Asst. Secretary (2010-Present), Lighthouse Holdings, Inc.; Asst. Secretary (2010-Present), Lighthouse Holdings Parent, Inc.; Vice President (2004-2010), OppenheimerFunds, Inc. | ||
| Sonia L. Bates (56) | 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 Arpey is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Arpey previously served as CEO of AMR Corp., which has a material relationship with the manager. |
| *** | Mr. Feld is deemed to be an “interested person” of the Trusts, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s sub-advisors. |
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56
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 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: american_beacon.funds@ambeacon.com | On the Internet: Visit our website at www.americanbeaconfunds.com | |
 |  | |
By Telephone: Institutional, Y, and Investor Classes Call (800) 658-5811 | By Mail: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121-9643 | |
Availability of Quarterly Portfolio Schedules
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 Section, 100 F Street, NE, Washington, D.C. 20549-1520. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (202) 551-8090. A complete schedule of the Fund’s portfolio holdings is also available on www.americanbeaconfunds.com, approximately twenty days after the end of each month. | Availability of Proxy Voting Policy and Records
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 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, American Beacon Bridgeway Large Cap Value Fund, American Beacon Holland Large Cap Growth Fund, American Beacon Stephens Small Cap Growth Fund, and American Beacon Stephens Mid-Cap Growth Fund are service marks of American Beacon Advisors, Inc.
AR 12/12
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.
| 1 | ||||
| 2 | ||||
| 7 | ||||
| 20 | ||||
| Back Cover | ||||
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. Credit risk is the risk that the issuer of a bond will fail to make timely payment of interest or principal; and the decline in an issuer’s credit rating can cause the price of its bonds to go down. In a period of sustained deflation, the inflation-indexed securities may not pay any income and may suffer a loss. A security backed by the U.S. Treasury is guaranteed only as to the timely payment of interest and principal when held to maturity. The market prices for such securities are not guaranteed and will fluctuate. They are also subject to credit risk and interest rate risk. Please see the prospectus for a complete discussion of the Fund’s risks. There can be no assurances that the investment objectives of this Fund will be met.
Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and the Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
| American Beacon Funds | December 31, 2012 |
 |
With the Federal Reserve embarking on a fourth round of quantitative easing, there continues to be an unprecedented amount of money being pumped into our economy, as has been the case for the past few years now. Investors are understandably concerned that this may bring the onset of a new bout of inflation.
Many of them have turned to Treasury Inflation-Protected Securities (TIPS) to help protect their portfolios against inflation. The American Beacon Treasury Inflation Protected Securities Fund blends different maturities of these popular instruments to further enhance this inflation-protection strategy. |
| • | For the 12-month period ended December 31, 2012, the American Beacon Treasury Inflation Protected Securities Fund (Institutional Class) returned 4.80%. |
American Beacon’s roots as a pension fund manager make us acutely aware of the importance of protecting our shareholders against inflation. Although we are known primarily for our actively managed equity funds, we bring that same level of expertise to a fund designed more for inflation protection.
Thank you for your continued investment in the American Beacon Funds. For additional information about the Funds 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
December 31, 2012 (Unaudited)
Economic growth in 2012 continued at its slow but steady pace, although central banks around the world continued their policies of monetary easing. The European Central Bank launched the Outright Monetary Transactions (OMT) program, the Chinese launched fiscal and monetary stimulus measures aimed at providing a soft landing, and the U.S. Federal Reserve announced its third round of quantitative easing, or QE3, with open-ended purchases of agency mortgage-backed securities. The global policy decisions stabilized financial markets by largely removing the most damaging of the tail risk scenarios embedded in the prices of financial assets.
Equity and corporate bond markets were generally strong in 2012, as central bank policy and positive news out of Europe prompted an increase in investors’ risk appetites. However, political issues in the U.S. lent an uncertainty to economic recovery, as the presidential election was followed by a contentious congressional debate regarding the country’s impending “fiscal cliff,” the automatic institution of reduced spending and higher taxes that threatened to dampen U.S. economic growth.
For the year, inflation was fairly low, and down from its pace in 2011. In December 2012, the Consumer Price Index (CPI) increased at a 1.7% year-over-year pace, slightly more than half the 3.0% rate of one year earlier. Core CPI (CPI excluding food and energy) increased at a year-over-year pace of 1.9% in December, less than the 2.2% rate of one year earlier. Inflation expectations increased sporadically during 2012: In the first part of the year as the U.S. economy showed signs of growth, in August in conjunction with rising fuel costs, and in September when the Fed announced additional accommodative monetary policy measures. Inflation expectations as reflected in breakeven inflation rates (the spread between similar maturity nominal and inflation-protected securities) rose over the one-year period.
U.S. Treasury yields remained low throughout the year, hitting an all-time low in July. The Barclays U. S. Treasury Inflation-Protected Securities (TIPS) Index returned 6.98% in 2012, while the shorter maturity (1-10 Year) TIPS Index returned 5.04%. Intermediate TIPS with maturities of five to ten years experienced the best relative performance during the year, as shorter maturity TIPS suffered from lower inflation accruals, particularly with a decline in energy prices in the first half of the year. By year-end, all TIPS with maturities through 2029 were trading with negative real yields, and the longest-dated TIPS, maturing in February 2042, was yielding 0.4%.
The Treasury Department remains committed to the TIPS program, with auctions scheduled for 5-, 10- or 30-year maturity TIPS each month throughout the year. At the end of 2012, the total outstanding market value of the Barclays U. S. TIPS Index was approximately $860 billion.
2
American Beacon Treasury Inflation Protected Securities FundSM
Performance Overview
December 31, 2012 (Unaudited)
The Investor Class of the Treasury Inflation Protected Securities Fund (the “Fund”) returned 4.80% for the twelve months ended December 31, 2012, underperforming the Barclays Capital 1-10 Year U.S. TIPS Index (the “Index”) return of 5.04% and the Lipper TIPS Index return of 6.47%.
Comparison of Change in Value
of a $10,000 Investment
For the Period From 6/30/04 through 12/31/12
| Annualized Total Returns | ||||||||||||||||
| Periods Ended 12/31/2012 | ||||||||||||||||
| 1 Year | 5 Years | Since Inception 6/30/04 | Value of $10,000 6/30/04- 12/31/12 | |||||||||||||
Institutional Class(1,7,8) | 4.80 | % | 5.48 | % | 5.32 | % | $ | 15,536 | ||||||||
Y Class (1,2,7,8) | 4.42 | % | 5.26 | % | 5.19 | % | 15,378 | |||||||||
Investor Class (1,3,7,8) | 4.32 | % | 5.14 | % | 5.12 | % | 15,290 | |||||||||
A Class without sales charge (1,4,7,8) | 4.07 | % | 4.96 | % | 5.01 | % | 15,157 | |||||||||
A Class with sales charge (1,4,7,8) | -0.91 | % | 3.94 | % | 4.41 | % | 14,435 | |||||||||
C Class without sales charge (1,5,7,8) | 3.26 | % | 4.60 | % | 4.80 | % | 14,900 | |||||||||
C Class with sales charge (1,5,7,8) | 2.26 | % | 4.60 | % | 4.80 | % | 14,900 | |||||||||
Barclays Capital 1-10 Yr. U.S. TIPS Index(6) | 5.04 | % | 5.64 | % | 5.62 | % | 15,927 | |||||||||
Barclays Capital U.S. TIPS Index(6) | 6.968 | % | 7.04 | % | 6.62 | % | 17,241 | |||||||||
Lipper TIPS Funds Index(6) | 6.47 | % | 6.35 | % | 6.07 | % | 16,499 | |||||||||
| 1. | Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. |
| 2. | Fund performance for the five-year and since inception periods represent 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 for the five-year and since inception periods represent 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 for the five-year and since inception periods represent the total returns achieved by the Institutional Class from 6/30/04 through 3/1/09, and the Investor Class from 3/2/09 up to 5/17/10, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Institutional and Investor Classes. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 6/30/04. The maximum sales charge for A Class is 4.75%. |
| 5. | Fund performance for the five-year and since inception periods represent the total returns achieved by the Institutional Class from 6/30/04 through 3/1/09, and the Investor Class from 3/2/09 up to 9/1/10, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Institutional and Investor Classes. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 6/30/04. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase. |
| 6. | The Barclays Capital 1-10 Yr. U.S. TIPS Index is an unmanaged market index comprising U.S. Treasury inflation-indexed securities with maturities between one and ten years while the Barclays Capital U.S. TIPS Index includes all maturities. The Lipper TIPS Funds Index tracks the results of the 30 largest mutual funds in the Lipper TIPS Fund category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. |
| 7. | A portion of the fees charged to the Investor Class of the Fund was waived from its inception. A portion of the fees charged to the Institutional Class of the Fund has been waived since 2005. Performance prior to waiving fees was lower than the actual returns shown. |
| 8. | The total annual Fund operating expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 0.36%, 1.04%, 0.77%, 1.32%, and 2.62%, 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. |
3
American Beacon Treasury Inflation Protected Securities FundSM
Performance Overview
December 31, 2012 (Unaudited)
The Fund produced positive absolute returns for the twelve-month time period amid lowered global growth expectations, escalated political and financial uncertainty in Europe and the U.S., and continued central bank intervention.
From a yield curve positioning standpoint, the Fund’s relative underperformance stemmed from individual security selections within the 8-10 year and 2-3 year maturity ranges, and from underweighting the 9-10 year maturity range. Overweighting the 8-9 year maturity range and underweighting the 1-2 year maturity range benefited the Fund’s relative performance during the year.
From a duration perspective, a tactical short duration position implemented by one of the Fund’s investment managers during the second quarter contributed to the Fund’s relative underperformance during the 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, 0.125%, Due 4/15/16 | 11.4 | % | ||
U.S. Treasury Note, 0.125%, Due 7/15/22 | 10.6 | % | ||
U.S. Treasury Note, 1.125%, Due 1/15/21 | 9.2 | % | ||
U.S. Treasury Note, 0.625%, Due 7/15/21 | 8.3 | % | ||
U.S. Treasury Note, 1.625%, Due 1/15/15 | 8.3 | % | ||
U.S. Treasury Note, 0.125%, Due 1/15/22 | 7.6 | % | ||
U.S. Treasury Note, 2.125%, Due 1/15/19 | 7.1 | % | ||
U.S. Treasury Note, 0.50%, Due 4/15/15 | 7.0 | % | ||
U.S. Treasury Note, 2.50%, Due 7/15/16 | 5.2 | % | ||
U.S. Treasury Note, 2.00%, Due 1/15/16 | 4.6 | % | ||
Portfolio Diversification
| % of Total Investments | ||||
A | 0.0 | % | ||
AA | 0.0 | % | ||
AAA | 0.0 | % | ||
Treasury | 99.4 | % | ||
4
American Beacon Treasury Inflation Protected Securities FundSM
Fund Expenses
December 31, 2012 (Unaudited)
Fund Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments 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, 2012 through December 31, 2012.
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 7/1/12 | Ending Account Value 12/31/12 | Expenses Paid During Period* 7/1/12-12/31/12 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.48 | $ | 1.47 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,023.68 | $ | 1.48 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.70 | $ | 3.05 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,022.12 | $ | 3.05 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.41 | $ | 3.50 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,021.67 | $ | 3.51 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.74 | $ | 5.13 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,020.06 | $ | 5.13 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,014.21 | $ | 8.91 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,016.29 | $ | 8.92 | ||||||
| * | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.29%, 0.60%, 0.69%, 1.01% and 1.76% 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 (366) to reflect the half year period. |
| ** | 5% return before expenses. |
5
American Beacon Treasury Inflation Protected Securities FundSM
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 statements of assets and liabilities, including the schedules 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, 2012, 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 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, 2012, 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, 2012, the results of its operations for the year then ended, the changes in its net assets for 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, 2013
6
American Beacon Treasury Inflation Protected Securities FundSM
December 31, 2012
| Par Amount | Fair Value | |||||||
| (000’s) | (000’s) | |||||||
U.S. TREASURY OBLIGATIONS - 100.44% | ||||||||
U.S. Treasury Note, | ||||||||
2.00%, Due 1/15/2014 A | $ | 7,971 | $ | 8,226 | ||||
1.25%, Due 4/15/2014 A | 5,241 | 5,403 | ||||||
2.00%, Due 7/15/2014 A | 8,952 | 9,447 | ||||||
1.625%, Due 1/15/2015 A | 17,447 | 18,536 | ||||||
0.50%, Due 4/15/2015 A | 14,960 | 15,610 | ||||||
1.875%, Due 7/15/2015 A | 5,911 | 6,444 | ||||||
2.00%, Due 1/15/2016 A | 9,341 | 10,357 | ||||||
0.125%, Due 4/15/2016 A | 24,223 | 25,506 | ||||||
2.50%, Due 7/15/2016 A | 10,191 | 11,711 | ||||||
2.375%, Due 1/15/2017 A | 1,709 | 1,986 | ||||||
0.125%, Due 4/15/2017 A | 8,421 | 9,018 | ||||||
1.375%, Due 7/15/2018 A | 2,328 | 2,710 | ||||||
2.125%, Due 1/15/2019 A | 13,021 | 15,809 | ||||||
1.875%, Due 7/15/2019 A | 1,750 | 2,130 | ||||||
1.25%, Due 7/15/2020 A | 1,034 | 1,227 | ||||||
1.125%, Due 1/15/2021 A | 17,474 | 20,524 | ||||||
0.625%, Due 7/15/2021 A | 16,319 | 18,550 | ||||||
0.125%, Due 1/15/2022 A | 15,714 | 17,064 | ||||||
0.125%, Due 7/15/2022 A | 21,758 | 23,619 | ||||||
2.00%, Due 1/15/2026 A | 699 | 917 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $222,176) | 224,794 | |||||||
|
| |||||||
| Shares | ||||||||
SHORT-TERM INVESTMENTS - 0.64% (Cost $1,422) | ||||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 1,422,349 | 1,422 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 101.08% (Cost $223,598) | 226,216 | |||||||
LIABILITIES, NET OF OTHER ASSETS - (1.08%) | (2,405 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 223,811 | ||||||
|
| |||||||
Percentages are stated as a percent of net assets.
| A | Inflation-Indexed Note. |
See accompanying notes
7
American Beacon Treasury Inflation Protected Securities FundSM
Statement of Assets and Liabilities
December 31, 2012 (in thousands, except share and per share amounts)
Assets: | ||||
Investments in unaffiliated securities, at fair value A | $ | 226,216 | ||
Receivable for investments sold | 9,798 | |||
Dividends and interest receivable | 929 | |||
Receivable for fund shares sold | 308 | |||
Receivable for expense reimbursement (Note 2) | 20 | |||
Prepaid expenses | 55 | |||
|
| |||
Total assets | 237,326 | |||
|
| |||
Liabilities: | ||||
Payable for investments purchased | 10,426 | |||
Payable for fund shares redeemed | 2,960 | |||
Management and investment advisory fees payable | 57 | |||
Administrative service and service fees payable | 40 | |||
Professional fees payable | 17 | |||
Other liabilities | 15 | |||
|
| |||
Total liabilities | 13,515 | |||
|
| |||
Net assets | $ | 223,811 | ||
|
| |||
Analysis of Net Assets: | ||||
Paid-in-capital | 221,460 | |||
Undistributed net investment income | — | |||
Accumulated net realized loss | (267 | ) | ||
Unrealized appreciation of investments | 2,618 | |||
|
| |||
Net assets | $ | 223,811 | ||
|
| |||
Shares outstanding at no par value (unlimited shares authorized): | ||||
Institutional Class | 18,435,075 | |||
|
| |||
Y Class | 95,210 | |||
|
| |||
Investor Class | 1,782,865 | |||
|
| |||
A Class | 67,782 | |||
|
| |||
C Class | 28,467 | |||
|
| |||
Net asset value, offering and redemption price per share: | ||||
Institutional Class | $ | 10 .97 | ||
|
| |||
Y Class | $ | 11 .03 | ||
|
| |||
Investor Class | $ | 10 .90 | ||
|
| |||
A Class (offering price $11.48) | $ | 10 .93 | ||
|
| |||
C Class | $ | 10 .77 | ||
|
| |||
Net assets (not in thousands): | ||||
Institutional Class | $ | 202,274,435 | ||
|
| |||
Y Class | $ | 1,050,601 | ||
|
| |||
Investor Class | $ | 19,438,495 | ||
|
| |||
A Class | $ | 741,134 | ||
|
| |||
C Class | $ | 306,590 | ||
|
| |||
A Cost of investments in unaffiliated securities | $ | 223,598 |
See accompanying notes
8
American Beacon Treasury Inflation Protected Securities FundSM
Statement of Operations
For the Year Ended December 31, 2012 (in thousands)
Investment Income: | ||||
Dividend income from unaffiliated securities | $ | 1 | ||
Interest income | 2,577 | |||
|
| |||
Total investment income | 2,578 | |||
|
| |||
Expenses: | ||||
Management and investment advisory fees (Note 2) | 283 | |||
Administrative service fees (Note 2): | ||||
Institutional Class | 358 | |||
Y Class | 3 | |||
Investor Class | 63 | |||
A Class | 3 | |||
C Class | 1 | |||
Transfer agent fees: | ||||
Institutional Class | 22 | |||
Investor Class | 4 | |||
Custody and fund accounting fees | 38 | |||
Professional fees | 50 | |||
Registration fees and expenses | 57 | |||
Service fees (Note 2): | ||||
Y Class | 1 | |||
Investor Class | 52 | |||
A Class | 1 | |||
Distribution fees (Note 2): | ||||
A Class | 2 | |||
C Class | 3 | |||
Prospectus and shareholder report expenses | 48 | |||
Insurance fees | 6 | |||
Trustee fees | 17 | |||
Other expenses | 8 | |||
|
| |||
Total expenses | 1,020 | |||
|
| |||
Net fees waived and expenses reimbursed (Note 2) | (246 | ) | ||
|
| |||
Net expenses | 774 | |||
|
| |||
Net investment income | 1,804 | |||
|
| |||
Realized and unrealized gain (loss) on investments: | ||||
Net realized gain (loss) from: | ||||
Investments | 11,031 | |||
Change in net unrealized appreciation or (depreciation) from: | ||||
Investments | (1,096 | ) | ||
|
| |||
Net gain on investments | 9,935 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 11,739 | ||
|
|
See accompanying notes
9
American Beacon Treasury Inflation Protected Securities FundSM
Statement of Changes in Net Assets
(in thousands)
| Year Ended December 31, 2012 | Year Ended December 31, 2011 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 1,804 | $ | 5,518 | ||||
Net realized gain from investments | 11,031 | 11,233 | ||||||
Change in net unrealized appreciation or (depreciation) of investments | (1,096 | ) | 1,958 | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 11,739 | 18,709 | ||||||
|
|
|
| |||||
Distributions to Shareholders: | ||||||||
Net investment income: | ||||||||
Institutional Class | (1,723 | ) | (5,260 | ) | ||||
Y Class | (4 | ) | (9 | ) | ||||
Investor Class | (76 | ) | (412 | ) | ||||
A Class | (1 | ) | (17 | ) | ||||
C Class | – | (3 | ) | |||||
Net realized gain on investments: | ||||||||
Institutional Class | (9,136 | ) | – | |||||
Y Class | (45 | ) | – | |||||
Investor Class | (853 | ) | – | |||||
A Class | (35 | ) | – | |||||
C Class | (13 | ) | – | |||||
Tax Return of Capital: | ||||||||
Institutional Class | (2,844 | ) | (256 | ) | ||||
Y Class | (15 | ) | (1 | ) | ||||
Investor Class | (274 | ) | (24 | ) | ||||
A Class | (12 | ) | (1 | ) | ||||
C Class | (4 | ) | – | |||||
|
|
|
| |||||
Net distributions to shareholders | (15,035 | ) | (5,983 | ) | ||||
|
|
|
| |||||
Capital Share Transactions: | ||||||||
Proceeds from sales of shares | 256,535 | 273,161 | ||||||
Reinvestment of dividends and distributions | 13,770 | 5,353 | ||||||
Cost of shares redeemed | (271,604 | ) | (235,964 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital share transactions | (1,299 | ) | 42,550 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | (4,595 | ) | 55,276 | |||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of period | 228,406 | 173,130 | ||||||
|
|
|
| |||||
End of Period * | $ | 223,811 | $ | 228,406 | ||||
|
|
|
| |||||
*Includes undistributed net investment (loss) of | $ | — | $ | — | ||||
|
|
|
| |||||
See accompanying notes
10
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
December 31, 2012
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”) which is comprised of twenty-four 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, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) and the International Financial Reporting Standards (“IFRS”)”. ASU No. 2011-04 amends FASB ASC Topic 820, Fair Value Measurements and Disclosures, to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with U.S. GAAP and IFRS. ASU No. 2011-04 is effective for fiscal years beginning after December 15, 2011 and for the interim period July 1, 2012 to December 31, 2012.
Management has evaluated the implications of these changes and determined that the impact of the new guidance will only affect the disclosure requirements related to the financial statements. However, as the Fund did not hold any Level 3 investments as of December 31, 2012, the financial statement disclosures were not affected.
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
11
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
December 31, 2012
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, 2012 were as follows:
Management | Management Fee | Amount paid to Investment Sub-Advisor | Net Amount Retained by Manager | |||||||||||
| 0.11 | % | $ | 283,102 | $ | 157,516 | $ | 125,586 | |||||||
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 C Class for the period ended December 31, 2012 was 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, 2012, the Fund did not utilize the credit facility.
12
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
December 31, 2012
Expense Reimbursement Plan
The Manager 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 $20,000 was receivable from the Manager at December 31, 2012. For the year ended December 31, 2012, the Manager reimbursed expenses as follows:
Expense Cap and Limits | ||||||||
Class | 1/1/12 to 4/26/12 | 4/27/12 to 5/1/13 | Reimbursed Expenses | Expiration of Reimbursements | ||||
Institutional | 0.10%* | 0.10%* | $ 228,313 | 2015 | ||||
Y | N/A | 0.61% | 122 | 2015 | ||||
Investor | 0.69% | 0.69% | 17,574 | 2015 | ||||
A | N/A | 1.00% | 435 | 2015 | ||||
C | N/A | 1.78% | 59 | 2015 | ||||
| * | Expense reduction. |
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 $195,951 and $238,084 will expire in 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 distribution related expenses. For the year ended December 31, 2012, Foreside collected $1,922 from the sale of A Class Shares.
A contingent deferred sales charge (“CDSC”) of 1.00% will be deducted with respect to Class C Shares redeemed within 12 months of purchase, unless waived as discussed in the Prospectus. Any applicable CDSC will be 1.00% of the lesser of the original purchase price or the value of the redemption of the Class C Shares redeemed. During the year ended December 31, 2012 there were no CDSC fees collected for the Fund.
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”).
13
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
December 31, 2012
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. | |
| 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.
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, 2012, there were no transfers between levels. As of December 31, 2012, the investments were classified as described below (in thousands):
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
U.S. Treasury Obligations | $ | — | $ | 224,794 | $ | — | $ | 224,794 | ||||||||
Short-term Investments-Money Market Funds | 1,422 | — | — | 1,422 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,422 | $ | 224,794 | $ | — | $ | 226,216 | ||||||||
|
|
|
|
|
|
|
| |||||||||
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.
14
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
December 31, 2012
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.
Dividends to Shareholders
Dividends from net investment income of the Fund normally will be declared and paid at least semi-annually. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date.
Allocation of Income, Expenses, Gains, and Losses
Income, expenses (other than those attributable to a specific class), gains, and losses are allocated daily to each class of shares based up on the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Use of Estimates
The preparation of financial statements in conformity with U.S. 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. Securities and Other Investments
Treasury Inflation Protected Securities
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.
5. Federal Income and Excise Taxes
It is the policy of the Fund to qualify as a regulated investment company (“RIC”), 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, 2012 remains subject to examination by the Internal Revenue Service. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expense” on the Statement of Operations.
15
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
December 31, 2012
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 tax character of distributions paid was as follows (in thousands):
| Year Ended December 31, 2012 | Year Ended December 31, 2011 | |||||||
Distributions paid from: | ||||||||
Ordinary income* | ||||||||
Institutional Class | $ | 6,344 | $ | 5,260 | ||||
Y Class | 28 | 9 | ||||||
Investor Class | 522 | 412 | ||||||
A Class | 20 | 17 | ||||||
C Class | 7 | 3 | ||||||
Long-Term Capital Gains | ||||||||
Institutional Class | 4,515 | — | ||||||
Y Class | 21 | — | ||||||
Investor Class | 407 | — | ||||||
A Class | 16 | — | ||||||
C Class | 6 | — | ||||||
Tax return of Capital* | ||||||||
Institutional Class | 2,844 | 256 | ||||||
Y Class | 15 | 1 | ||||||
Investor Class | 274 | 24 | ||||||
A Class | 12 | 1 | ||||||
C Class | 4 | — | ||||||
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Total distributions paid | $ | 15,035 | $ | 5,983 | ||||
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| * | For tax purposes, short-term capital gains distributions are considered ordinary income distributions. |
As of December 31, 2012, the components of distributable earnings or (deficits) on a tax basis were as follows (in thousands):
Cost basis of investments for federal income tax purposes | $ | 223,865 | ||
Unrealized appreciation | 2,511 | |||
Unrealized depreciation | (160 | ) | ||
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Net unrealized appreciation or (depreciation) | 2,351 | |||
Undistributed ordinary income | — | |||
Accumulated long-term gain or (loss) | — | |||
Other temporary differences | — | |||
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Distributable earnings or (deficits) | $ | 2,351 | ||
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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.
16
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
December 31, 2012
Accordingly, the following amounts represent current year permanent differences derived from dividend reclasses and return of capital distributions that have been reclassified as of December 31, 2012 (in thousands):
Paid-in-capital | $ | (3,149 | ) | |
Undistributed net investment income | 581 | |||
Accumulated net realized gain (loss) | 2,567 | |||
Unrealized appreciation or (depreciation) of investments | 1 |
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”) 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 RIC MOD, 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 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 RIC MOD contains several provisions aimed at preserving the character of distributions made by a fiscal year 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 RIC MOD 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.
The Fund utilized $677 of pre-enactment capital loss carryforwards for the year ended December 31, 2012.
6. Investment Transactions
The aggregate cost of purchases and proceeds from sales of investments for the year ended December 31, 2012, excluding short-term investments, were $693,894,262 and $705,517,104, respectively. These amounts also represent purchases and sales of U.S. Government securities.
7. Capital Share Transactions
The tables below summarize the activity in capital shares (dollars and shares in thousands):
For the Year Ended December 31, 2012
| Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
| Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Shares sold | 21,592 | $ | 247,304 | 53 | $ | 609 | 729 | $ | 8,264 | |||||||||||||||
Reinvestment of dividends | 1,136 | 12,544 | 6 | 64 | 102 | 1,113 | ||||||||||||||||||
Shares redeemed | (22,834 | ) | (261,530 | ) | (8 | ) | (97 | ) | (840 | ) | (9,525 | ) | ||||||||||||
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Net increase in shares outstanding | (106 | ) | $ | (1,682 | ) | 51 | $ | 576 | (9 | ) | $ | (148 | ) | |||||||||||
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| A Class | C Class | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
Shares sold | 28 | $ | 326 | 3 | $ | 32 | ||||||||||
Reinvestment of dividends | 3 | 32 | 1 | 17 | ||||||||||||
Shares redeemed | (40 | ) | (452 | ) | — | — | ||||||||||
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Net increase in shares outstanding | (9 | ) | $ | (94 | ) | 4 | $ | 49 | ||||||||
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17
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
December 31, 2012
For the 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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19
American Beacon Treasury Inflation Protected Securities FundSM
(For a share outstanding throughout the period)
| Institutional Class | Y Class | |||||||||||||||||||||||||||||||
| Year Ended December 31, | Year Ended December 31, | March 1 to | ||||||||||||||||||||||||||||||
| 2012 | 2011 | 2010 | 2009A | 2008 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11 .16 | $ | 10 .51 | $ | 10 .16 | $ | 9 .20 | $ | 10 .18 | $ | 11.24 | $ | 10.60 | $ | 10.25 | ||||||||||||||||
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Income from investment operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | 0 .04 | 0 .28 | 0 .16 | 0 .06 | 0 .80 | 0 .09 | 0 .26 | 0 .05 | ||||||||||||||||||||||||
Net gains (losses) from securities (both realized and unrealized) | 0 .49 | 0 .67 | 0 .35 | 0 .95 | (0 .98 | ) | 0 .41 | 0 .65 | 0 .35 | |||||||||||||||||||||||
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Total income (loss) from investment operations | 0 .53 | 0 .95 | 0 .51 | 1 .01 | (0 .18 | ) | 0 .50 | 0 .91 | 0 .40 | |||||||||||||||||||||||
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Less distributions: | ||||||||||||||||||||||||||||||||
Dividends from net investment income | (0 .07 | ) | (0 .29 | ) | (0 .16 | ) | (0 .05 | ) | (0 .80 | ) | (0 .06 | ) | (0 .26 | ) | (0 .05 | ) | ||||||||||||||||
Distributions from net realized gains on securities | (0 .49 | ) | — | — | — | — | (0 .49 | ) | — | — | ||||||||||||||||||||||
Tax return of capital | (0 .16 | )G | (0 .01 | )G | — | — | — | (0.16 | )G | (0.01 | )G | — | ||||||||||||||||||||
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Total distributions | (0 .72 | ) | (0 .30 | ) | (0 .16 | ) | (0 .05 | ) | (0 .80 | ) | (0 .71 | ) | (0 .27 | ) | (0 .05 | ) | ||||||||||||||||
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Net asset value, end of period | $ | 10 .97 | $ | 11 .16 | $ | 10 .51 | $ | 10 .16 | $ | 9 .20 | $ | 11.03 | $ | 11.24 | $ | 10.60 | ||||||||||||||||
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Total return B | 4 .80 | % | 9 .14 | % | 5 .03 | % | 11 .00 | % | (2 .09 | )% | 4.42 | % | 8.66 | % | 3.89 | %C | ||||||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 202,274 | $ | 206,864 | $ | 157,195 | $ | 155,833 | $ | 140,189 | $ | 1,051 | $ | 501 | $ | 365 | ||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 0 .37 | % | 0 .36 | % | 0 .35 | % | 0 .36 | % | 0 .29 | % | 0.62 | % | 1.04 | % | 0.60 | %D | ||||||||||||||||
Expenses, net of reimbursements | 0 .27 | % | 0 .26 | % | 0 .25 | % | 0 .26 | % | 0 .25 | % | 0.61 | % | 0.63 | % | 0.60 | %D | ||||||||||||||||
Net investment income (loss), before reimbursements | 0 .64 | % | 2 .24 | % | 1 .40 | % | 0 .59 | % | 5 .15 | % | 0.81 | % | 1.80 | % | 0.85 | %D | ||||||||||||||||
Net investment income (loss), net of reimbursements | 0 .74 | % | 2 .34 | % | 1 .50 | % | 0 .69 | % | 5 .19 | % | 0.82 | % | 2.21 | % | 0.85 | %D | ||||||||||||||||
Portfolio turnover rate | 286 | % | 381 | % | 214 | % | 180 | % | 128 | % | 286 | % | 381 | % | 214 | %E | ||||||||||||||||
| A | Standish Mellon Asset Management Company, LLC was added as an investment advisor on December 11, 2009. |
| B | 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. |
| C | Not annualized. |
| D | Annualized. |
| E | Portfolio turnover rate is for the period from January 1 through December 31, 2010. |
| F | Portfolio turnover rate is for the period from January 1 through December 31, 2009. |
| G | The tax return of capital is calculated based on outstanding shares at the time of distribution. |
20
American Beacon Treasury Inflation Protected Securities FundSM
Financial Highlights
(For a share outstanding throughout the period)
| Investor Class | A Class | C Class | ||||||||||||||||||||||||||||||||||||
Year Ended December 31, | March 2 to | Year Ended December 31, | May 17 to | Year Ended December 31, | September 1 to December 31, | |||||||||||||||||||||||||||||||||
| 2012 | 2011 | 2010 | 2009A | 2012 | 2011 | 2010 | 2012 | 2011 | 2010 | |||||||||||||||||||||||||||||
| $ | 11.12 | $ | 10 .48 | $ | 10 .13 | $ | 9 .25 | $ | 11.15 | $ | 10.54 | $ | 10.35 | $ | 11.06 | $ | 10.46 | $ | 10.38 | |||||||||||||||||||
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| 0 .06 | 0 .24 | 0 .06 | 0 .14 | 0 .00 | 0 .10 | 0 .04 | (0 .05 | ) | 0 .13 | 0 .00 | ||||||||||||||||||||||||||||
| 0 .42 | 0 .66 | 0 .41 | 0 .79 | 0 .45 | 0 .76 | 0 .19 | 0 .41 | 0 .65 | 0 .08 | |||||||||||||||||||||||||||||
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| 0 .48 | 0 .90 | 0 .47 | 0 .93 | 0 .45 | 0 .86 | 0 .23 | 0 .36 | 0 .78 | 0 .08 | |||||||||||||||||||||||||||||
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| (0.05 | ) | (0 .25 | ) | (0 .12 | ) | (0 .05 | ) | (0 .02 | ) | (0 .24 | ) | (0 .04 | ) | — | (0 .17 | ) | — | |||||||||||||||||||||
| (0.49 | ) | — | — | — | (0 .49 | ) | — | — | (0 .49 | ) | — | — | ||||||||||||||||||||||||||
| (0.16 | )G | (0 .01 | )G | — | — | (0 .16 | )G | (0.01 | )G | — | (0 .16 | )G | (0.01 | )G | — | |||||||||||||||||||||||
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| (0.70 | ) | (0 .26 | ) | (0 .12 | ) | (0 .05 | ) | (0 .67 | ) | (0 .25 | ) | (0 .04 | ) | (0 .65 | ) | (0 .18 | ) | — | ||||||||||||||||||||
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| $ | 10.90 | $ | 11 .12 | $ | 10 .48 | $ | 10.13 | $ | 10.93 | $ | 11.15 | $ | 10.54 | $ | 10.77 | $ | 11.06 | $ | 10.46 | |||||||||||||||||||
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| 4.32 | % | 8 .67 | % | 4 .62 | % | 10.05 | %C | 4.07 | % | 8.17 | % | 2.23 | %C | 3.26 | % | 7.47 | % | 0.77 | %C | |||||||||||||||||||
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| $ | 19,438 | $ | 19,920 | $ | 15,262 | $ | 5,868 | $ | 741 | $ | 855 | $ | 155 | $ | 307 | $ | 266 | $ | 153 | |||||||||||||||||||
| 0.77 | % | 0 .77 | % | 0 .75 | % | 0.81 | %D | 1.07 | % | 1.32 | % | 0.99 | %D | 1.79 | % | 2.62 | % | 1.77 | %D | |||||||||||||||||||
| 0.69 | % | 0 .68 | % | 0 .64 | % | 0.65 | %D | 1.01 | % | 1.03 | % | 0.99 | %D | 1.77 | % | 1.79 | % | 1.77 | %D | |||||||||||||||||||
| 0.44 | % | 2 .24 | % | 1 .06 | % | 3.04 | %D | 0.07 | % | 0.88 | % | 0.55 | %D | (0.61 | )% | 0.25 | % | (0.05 | )%D | |||||||||||||||||||
| 0.53 | % | 2 .32 | % | 1 .17 | % | 3.20 | %D | 0.13 | % | 1.17 | % | 0.55 | %D | (0.59 | )% | 1.08 | % | (0.05 | )%D | |||||||||||||||||||
| 286 | % | 381 | % | 214 | % | 180 | %F | 286 | % | 381 | % | 214 | %E | 286 | % | 381 | % | 214 | %E | |||||||||||||||||||
21
American Beacon Treasury Inflation Protected Securities FundSM
Privacy Policy and Federal Tax Information
December 31, 2012 (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
Certain tax information regarding the Fund is required to be provided to shareholders relating to the Fund’s income and distributions for the taxable year ended December 31, 2012. The information and distributions reported herein may differ from information and distributions taxable to the shareholder for the calendar year ended December 31, 2012.
The Fund’s distributions to shareholders for the year ended December 31, 2012 included short-term capital gains of $5,116,420 and long-term capital gains of $4,965,738.
Of the ordinary dividends paid to shareholders during the tax year ended December 31, 2012, 99.98% were derived from U.S. Treasury Obligations.
Shareholders will receive notification in January 2013 of the applicable tax information necessary to prepare their 2012 income tax returns.
22
Trustees and Officers of the American Beacon FundsSM
(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-six funds in the fund complex that includes the 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 Office and Length of Time Served with the Trust | Principal Occupation(s) During Past 5 Years and Current Directorships | ||
| INTERESTED TRUSTEES | ||||
| Term | ||||
Lifetime of Trust until removal, resignation or retirement* | ||||
| Gerard J. Arpey** (54) | Trustee since 2012 | Partner, Emerald Creek Group (private equity firm) (2011-Present); Chairman and Chief Executive Officer, (2003-2011), AMR Corp. and American Airlines; Inc.; Director, S. C. Johnson & Son, Inc. (privately held company) (2008-present); Trustee, American Beacon Select Funds (2012-Present). | ||
| Alan D. Feld*** (76) | 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 (1996-2012); Trustee, American Beacon Select Funds (1999-Present); Trustee, American Beacon Master Trust (1996-2012). | ||
| NON-INTERESTED TRUSTEES | Term | |||
Lifetime of Trust until removal, resignation or retirement* | ||||
| W. Humphrey Bogart (68) | Trustee since 2004 | Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012). | ||
| Brenda A. Cline (52) | Trustee since 2004 | Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012). | ||
| Eugene J. Duffy (58) | 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 (70) | Trustee since 2008 | Chairman Emeritus (2008-Present); Chairman (1998-2008) and Chief Executive Officer (1998-2007), Lockton Dunning Benefits (consulting firm in employee benefits); Board Director, Oncor Electric Delivery Company LLC (2007-Present); Board Member, BancTec (2010-Present); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012). | ||
| Richard A. Massman (69) | 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 (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012). | ||
23
Trustees and Officers of the American Beacon FundsSM
(Unaudited)
Name, Age and Address | Position, Term of Office and Length of Time Served with the Trust | Principal Occupation(s) During Past 5 Years and Current Directorships | ||
| Barbara J. McKenna, CFA (49) | Trustee since 2012 | Managing Principal, Longfellow Investment Management Company (2005-Present); Trustee, American Beacon Select Funds (2012-Present). | ||
| R. Gerald Turner (67) | 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 (2001-2012); Trustee, American Beacon Select Funds (2001-Present); Trustee, American Beacon Master Trust (2001-2012). | ||
| Paul J. Zucconi, CPA (72) | 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) (2010-2011); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012). | ||
| 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. | ||
| Rosemary K. Behan (53) | VP, Secretary and Chief Legal Officer since 2006 | Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006-Present); Secretary, American Beacon Advisors, Inc. (2008 – present); Secretary, Lighthouse Holdings, Inc. (2008-Present); Secretary, Lighthouse Holdings Parent, Inc. (2008-Present). | ||
| Brian E. Brett (52) | VP since 2004 | Vice President, Director of Sales, American Beacon Advisors, Inc. (2004-Present). | ||
| Wyatt L. Crumpler (46) | VP since 2007 | Chief Investment Officer (2012-Present), Vice President, Asset Management (2009-2011), and Vice President, Trust Investments (2007-2009), American Beacon Advisors, Inc. | ||
| Erica Duncan (42) | VP Since 2011 | Vice President, Marketing and 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 (58) | 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 (51) | Treasurer since 2010 | Treasurer (2010-Present), and Controller (2005-2009), American Beacon Advisors, Inc.; Treasurer, Lighthouse Holdings, Inc. (2010 – Present); Treasurer, Lighthouse Holdings Parent, Inc. (2010-Present). | ||
24
Trustees and Officers of the American Beacon FundsSM
(Unaudited)
Name, Age and Address | Position, Term of Office and Length of Time Served with the Trust | Principal Occupation(s) During Past 5 Years and Current Directorships | ||
| Terri L. McKinney (49) | VP since 2010 | Vice President, Enterprise Services (2009-Present) and Managing Director (2003-2009), American Beacon Advisors, Inc. | ||
| Jeffrey K. Ringdahl (37) | 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 (49) | 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 (41) | Chief Compliance Officer since 2004 and Asst. Secretary since 1999 | Chief Compliance Officer (2004-Present), American Beacon Advisors, Inc. | ||
| John J. Okray (38) | Asst. Secretary since 2010 | Deputy General Counsel (2012-Present) and Assistant General Counsel (2010-2012), American Beacon Advisors, Inc.; Asst. Secretary (2010-Present), Lighthouse Holdings, Inc.; Asst. Secretary (2010-Present), Lighthouse Holdings Parent, Inc.; Vice President, OppenheimerFunds, Inc. (2004-2010). | ||
| Sonia L. Bates (56) | 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. Arpey is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Arpey previously served as CEO of AMR Corp., which has a material relationship with the Manager. |
| *** | Mr. Feld is deemed to be an “interested person” of the Trusts, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s sub-advisors. |
25
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: american_beacon.funds@ambeacon.com | On the Internet: Visit our website at www.americanbeaconfunds.com | |
 |  | |
By Telephone: Call (800) 658-5811 | By Mail: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121-9643 | |
Availability of Quarterly Portfolio Schedules
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 Section, 100 F Street, NE, Washington, DC 20549-1520. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (202) 551-8090. A complete schedule of the Fund’s portfolio holdings is also available on www.americanbeaconfunds.com approximately twenty days after the end of each month. | Availability of Proxy Voting Policy and Records
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 12/12
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 | ||||
| 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. Investing in derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management and the risk that a position could not be closed when more advantageous. Investing in derivatives could result in losing more than the amount invested. Please see the prospectus for a complete discussion of these Funds’ risks. There can be no assurances that the investment objectives of these Funds will be met. |
| Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and each Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein. |
American Beacon Funds | December 31, 2012 |
|
The year just passed was a strong one for the stock market. Even though we saw a good deal of volatility from quarter to quarter, what was ultimately most remarkable was how broad-based the performance was. Nine of the ten industry sectors in the S&P 500 Index gained in value for the year.
Domestically, the S&P 500 Index, consisting of large-cap stocks, gained 16.00% for the year, while the Russell 2000 Index, which consists of small-cap stocks, gained 16.35%. Representing developed international markets, the MSCI EAFE Index returned 17.32%. |
American Beacon Advisors is proud to offer its shareholders several index funds that can take advantage of such broad-based market gains. For the 12-month period ended December 31, 2012:
| • | American Beacon S&P 500 Index Fund (Institutional Class) returned 15.87%. |
| • | American Beacon Small Cap Index Fund (Institutional Class) returned 16.36%. |
| • | American Beacon International Equity Index Fund (Institutional Class) returned 18.71%. |
Thank you for your continued investment in the American Beacon Funds. For additional information about the Funds 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
American Beacon S&P 500 Index Fund†
December 31, 2012 (Unaudited)
For the twelve months ended December 31, 2012, the total return of the Institutional Class of the American Beacon S&P 500 Index Fund (the “Fund”) was 15.87%, slightly behind the S&P 500® Index (the “Index”) return of 16.00% but ahead of the Lipper S&P 500 Objective Funds Index return of 15.68%.
Comparison of Change in Value
of a $10,000 Investment
For the Period from 12/31/02 through 12/31/12
| Annualized Total Returns Periods Ended 12/31/12 | Value of $10,000 | |||||||||||||||
| 1 Year | 5 Years | 10 Years | 12/31/02- 12/31/12 | |||||||||||||
Institutional Class(1,3). | 15.87 | % | 1.60 | % | 6.98 | % | $ | 19,634 | ||||||||
Investor Class(1,3) | 15.25 | % | 1.14 | % | 6.49 | % | 18,746 | |||||||||
Lipper S&P 500 Objective Funds Index (2) | 15.68 | % | 1.45 | % | 6.85 | % | 19,396 | |||||||||
S&P 500 Index (2) | 16.00 | % | 1.66 | % | 7.10 | % | 19,852 | |||||||||
| 1. | Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not 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 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. |
| 3. | The total annual Fund operating expense ratios set forth in the most recent Fund prospectus for the Institutional and Investor Class shares were 0.16% and 0.64%, 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.
The past year was a series of ups and downs for U.S. equity markets; a steady climb in the first quarter, a dip in the second quarter, a rise again in the third quarter, and an unsteady fourth quarter including a rally through October, another dip in November and a subsequent snapback into year end. In the end, the Index posted a 16.00% advance.
Stocks in the U.S. began 2012 with an impressive uptrend, as ample liquidity and defensive positioning fostered persistent share buying. First quarter earnings reports were solid, and a steady drumbeat of auspicious economic news, including declining jobless claims and rallying consumer confidence, provided an encouraging fundamental backdrop. The welcome signs of stronger activity even extended to the auto and housing industries. Stocks stumbled in early April when March payroll figures came in much lower than expected, but another season of solid earnings reports allowed them to recover their equilibrium within the month. Alas, the stability quickly vanished when May brought a new set of soggy employment figures and elections in Europe fostered growing concerns that Greece might wind up leaving the eurozone. Although the turmoil overseas spurred a rally in the dollar that made U.S. equities global outperformers on an unhedged basis, and a steep retreat in oil prices promised welcome summer relief for many U.S. consumers, the May payroll gains that were reported on June 1 reminded investors that the U.S. economy was hardly a panacea.
Even against a backdrop of subdued earnings reports, global growth worries, and financial turmoil in Europe, stocks in the U.S. delivered consistently impressive performance during the course of the third quarter. Amid the choppy backing and filling of July, the market
2
American Beacon S&P 500 Index Fund†
Performance Overview
December 31, 2012 (Unaudited)
traced out progressively higher highs and higher lows. In August, riding the impetus of potent policy promise in Europe and a pleasing payroll print at home, the S&P skipped liltingly to four-year highs as its implied volatility sank to fresh five-year lows. September brought a less vigorous jobs report, but that disappointing result just cemented the case for the formal expansion of quantitative easing that Fed Chairman Ben Bernanke did indeed announce the following week.
Mixed earnings reports and a choppy October gave way to dashed hopes in November, when optimism that the presidential elections might break up partisan logjams in Washington quickly fell flat with the realization that both Democrats and Republicans retained enough power to hold civilized compromises hostage. Equities threatened to revisit their third-quarter lows during the week before Thanksgiving, but signs of a thaw in fiscal cliff negotiations put sellers on the defensive and inspired an impressive rally. Even at their best December levels, U.S. equities remained well off the September highs reached in conjunction with the Federal Reserve’s open-ended commitment to mortgage purchases. While the S&P 500 managed a decent 0.9% gain for December alone, the popular benchmark retained a 0.4% loss for the fourth quarter as a whole. The slippage would seem thoroughly forgivable in a year during which the Index still posted a solid annual gain.
For the twelve month reporting period, all of the ten GICS Sectors posted gains. Financials led the way with a 28.8% return, followed by solid gains for Consumer Discretionary, Telecommunications Services, and Health Care which were up 23.9%, 18.3% and 17.7%, respectively. More disappointing was Information Technology, which shed 5.7% in the latest quarter to finish the year with a 14.7% advance, more than a percent behind the total Index return.
The top individual security contributors for the year were Apple, Bank of America Corp and JP Morgan Chase & Co. The dominant Apple juggernaut peaked in late summer, slumped by 20% during the fourth quarter as investors fretted over the competitive market for sleek personal devices. Despite all this, Apple finished with a 32.6% gain for the year and was the largest single stock contributor, due to its weight in the portfolio. Bank of America Corp and JP Morgan Chase & Co. were
also notable contributors to the fund return, showing why the financial sector was the clear 2012 winner. Bank of America Corp finished with a return of 109.83% for the year. Traders bought the stock on expectations of a “fiscal cliff” resolution and with the assumption that Bank of America will breeze through the next round of government stress tests.
Among the annual laggards, two S&P sectors had to settle for single-digit 2012 returns, and the fourth-quarter retreat in defensive issues left Consumer Staples barely in double digits for the year. The poorest 2012 performer was the Utilities sector, which followed up its stellar 2011 with a paltry 1.4% gain in the year just ended. Energy turned in a 4.7% gain for 2012, as indifferent oil prices produced only limited buying of the major integrated names. Shares of refiners nevertheless had a terrific year, as processing margins stayed high.
The bottom individual security contributors were Hewlett-Packard Co., Intel Corp, and Occidental Petroleum Corp. Hewlett-Packard Co. was the largest negative contributor with a 0.33% weight and a -43.11% return. The company announced that it discovered serious accounting improprieties and outright misrepresentations at Autonomy, a British software maker that H.P. bought in 2011. The news was a major setback for H.P., which was struggling to turn around its operations and remake its business. Intel Corp and Occidental Petroleum Corp finished the year down 12.0% and 16.1%, respectively.
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.
3
American Beacon S&P 500 Index Fund†
Performance Overview
December 31, 2012 (Unaudited)
Top Ten Holdings
| % of Net Assets* | ||||
Apple, Inc. | 3.9 | % | ||
Exxon Mobil Corp. | 3.1 | % | ||
General Electric Co. | 1.7 | % | ||
Chevron Corp. | 1.7 | % | ||
Microsoft Corp. | 1.6 | % | ||
International Business Machines Corp. | 1.6 | % | ||
Johnson & Johnson | 1.5 | % | ||
AT&T, Inc. | 1.5 | % | ||
Google Inc. | 1.5 | % | ||
Procter & Gamble Co. | 1.5 | % | ||
| * | Percent of net assets of State Street Equity 500 Index Portfolio |
Sector Allocation
| % of Equities* | ||||
Information Technology | 19.0 | % | ||
Financials | 15.6 | % | ||
Health Care | 12.0 | % | ||
Consumer Discretionary | 11.6 | % | ||
Energy | 11.0 | % | ||
Consumer Staples | 10.6 | % | ||
Industrials | 10.1 | % | ||
Materials | 3.6 | % | ||
Utilities | 3.4 | % | ||
Telecommunication Services | 3.1 | % | ||
| * | Percent of the equities of State Street Equity 500 Index Portfolio |
| † | S&P is a trademark of the McGraw-Hill Companies, Inc. and has been licensed for use. “Standard and Poor’s®”, “S&P”, “Standard & Poor’s 500”, “S&P 500” are all trademarks of the McGraw-Hill Companies, Inc. and have been licensed for use by State Street Bank and Trust Company. |
4
American Beacon Small Cap Index FundSM
Performance Overview
December 31, 2012 (Unaudited)
For the twelve months ended December 31, 2012, the total return of the Institutional Class of the American Beacon Small Cap Index Fund (the “Fund”) was 16.36%. The Fund’s performance was above the Russell 2000® Index (the “Index”) return of 16.35% and also above the Lipper Small-Cap Core Funds Index return of 15.94% which consists primarily of actively managed funds.
Comparison of Change in Value
of a $250,000 Investment
For the Period from 12/31/02 through 12/31/12
| Annualized Total Returns | ||||||||||||||||
| Periods Ended 12/31/12 | ||||||||||||||||
| 1 Year | 5 Years | 10 Years | Value of $250,000 12/31/02- 12/31/12 | |||||||||||||
Institutional Class(1,3) | 16.36 | % | 3.58 | % | 9.61 | % | $ | 625,606 | ||||||||
Lipper Small-Cap Core Funds Index(2) | 15.94 | % | 3.96 | % | 9.70 | % | 631,109 | |||||||||
Russell 2000 Index(2) | 16.35 | % | 3.55 | % | 9.72 | % | 631,851 | |||||||||
| 1. | Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not 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 0.26%. 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
Following a tumultuous 2011, equity markets began the new year with a strong rally amid lower volatility. The debt situation in Europe had stabilized and global liquidity conditions improved as the European Central Bank (“ECB”) implemented its long-term refinancing operations. Positive economic indicators out of the United States brightened the outlook for the world economy and equities moved boldly higher through the first two months of 2012.
A flare-up in the European debt crisis halted the rally in the spring. Political instability in Greece caused anxiety about whether the country would continue its membership in the eurozone. Spain faced severe deficit and policymaking issues and a liquidity crisis in the nation’s banks. Alongside the drama in Europe, investors became discouraged by gloomy economic reports from various parts of the world. A slowdown in China, a key powerhouse for global growth, was of particular concern. Many European countries fell into recession. In the United States, disappointing jobs reports signaled that the recovery was losing steam. U.S. equities gave back half of their year-to-date gains by the end of May.
As the global economic picture dimmed, investors grew increasingly optimistic that the world’s central banks would intervene to stimulate growth. Meanwhile, European leaders took meaningful steps toward fiscal integration in the euro currency bloc. These positive themes drove a powerful equity rebound in June. In July, ECB president Mario Draghi boosted investor confidence by stating that the ECB was committed to do “whatever it takes” to hold the eurozone together. This assurance along with growing hopes for additional central bank stimulus overshadowed concerns about the dreary economic landscape and U.S. stocks continued their advance through the
5
American Beacon Small Cap Index FundSM
Performance Overview
December 31, 2012 (Unaudited)
third quarter. In September, the ECB announced its decision to backstop eurozone governments with unlimited purchases of short-term sovereign debt. Days later, the U.S. Federal Reserve announced an aggressive stimulus program involving purchases of agency mortgage-backed securities.
Concerns about the world economy resurfaced in the fall amid political uncertainty in key nations. Global trade slowed as Europe’s recession deepened, U.S. growth remained lackluster and growth continued to decelerate in China, where a once-in-a-decade leadership change compounded uncertainty. In the United States, automatic tax increases and spending cuts set to take effect at the beginning of 2013, known as the “fiscal cliff,” threatened to push the nation into recession unless politicians could agree upon alternate measures to reduce the deficit before the end of 2012. Worries that political gridlock would preclude a budget deal prior to the deadline drove high levels of volatility in equity markets around the world in the months leading up to the last day of the year. Ultimately, the United States averted the fiscal cliff with a last-minute tax deal, spurring relief rallies in stock markets globally. However, relief from U.S. fiscal worries was only partial as decisions relating to spending cuts and the national debt ceiling remained pending as financial markets closed for the year. Despite a downtrodden economic environment and a suspenseful lead-up to the U.S. fiscal cliff deadline, U.S. stock prices moved higher through the final months of 2012 as investors took on more risk to achieve meaningful returns in the low interest rate environment.
From a sector perspective Materials (+23.99%), Consumer Discretionary (+23.41%) and Financials (+22.12%) drove stocks higher in 2012. Telecommunications Services (+15.38%) performed well and Health Care (+17.26%) stocks rebounded after valuations had been pushed down amid regulatory uncertainty. While most of the Index sectors moved higher for the year, Energy stocks (-3.69%) were hindered by declining oil prices in the latter part of the year and Utilities (+5.08%) became less favorable as investors sought riskier investments.
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* | ||||
Ocwen Financial Corp. | 0.3 | % | ||
Genesee & Wyoming, Inc. | 0.3 | % | ||
Two Harbors Investment Corp. | 0.3 | % | ||
COMMVAULT SYSTEMS INC. | 0.3 | % | ||
ALASKA AIR GROUP INC. | 0.3 | % | ||
Pharmacyclics, Inc. | 0.3 | % | ||
STARWOOD PROPERTY TRUST INC. | 0.3 | % | ||
Dril-Quip, Inc. | 0.2 | % | ||
Warnaco Group, Inc. | 0.2 | % | ||
WEX INC. | 0.2 | % | ||
| * | Percent of net assets of Master Small Cap Index Series |
Sector Allocation
| % of Equities* | ||||
Financials | 22.9 | % | ||
Information Technology | 16.6 | % | ||
Industrials | 15.5 | % | ||
Consumer Discretionary | 14.0 | % | ||
Health Care | 12.1 | % | ||
Energy | 6.1 | % | ||
Materials | 5.3 | % | ||
Consumer Staples | 3.5 | % | ||
Utilities | 3.4 | % | ||
Telecommunications | 0.7 | % | ||
| * | Percent of equity portion of Master Small Cap Index Series |
6
American Beacon International Equity Index FundSM
Performance Overview
December 31, 2012 (Unaudited)
For the twelve months ended December 31, 2012, the Institutional Class of the American Beacon International Equity Index Fund (the “Fund”) posted a total return of 18.71%, outperforming the MSCI EAFE Index (the “Index”) return of 17.32% but slightly underperforming the Lipper International Large-Cap Core Funds Index return of 18.75% which consists primarily of actively managed funds. The investment manager’s application of its fair valuation policy during the period was a significant driver of the Fund’s outperformance.
Comparison of Change in Value
of a $250,000 Investment
For the Period from 12/31/02 through 12/31/12
| Annualized Total Returns | ||||||||||||||||
| Periods Ended 12/31/12 | Value of | |||||||||||||||
| 1 Year | 5 Years | 10 Years | $250,000 12/31/02- 12/31/12 | |||||||||||||
Institutional Class(1,3) | 18.71 | % | -3.51 | % | 8.29 | % | $ | 554,721 | ||||||||
Lipper International Large-Cap Core Funds Index(2) | 18.75 | % | -3.93 | % | 6.72 | % | 479,089 | |||||||||
MSCI EAFE Index(2) | 17.32 | % | -3.69 | % | 8.21 | % | 550,598 | |||||||||
| 1. | Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not 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. One cannot invest directly in an index. |
| 3. | The total annual Fund operating expense ratio in the most recent prospectus for the Fund was 0.24%. 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
Following a tumultuous 2011, equity markets began the new year with a strong rally amid lower volatility. The debt situation in Europe had stabilized and global liquidity conditions improved as the European Central Bank (“ECB”) implemented its long-term refinancing operations. Positive economic indicators out of the United States brightened the outlook for the world economy and equities moved boldly higher through the first two months of 2012.
A flare-up in the European debt crisis halted the rally in the spring. Political instability in Greece caused anxiety about whether the country would continue its membership in the eurozone. Spain faced severe deficit and policymaking issues and a liquidity crisis in the nation’s banks. Alongside the drama in Europe, investors became discouraged by gloomy economic reports from various parts of the world. A slowdown in China, a key powerhouse for global growth, was of particular concern. Many European countries fell into recession. In the United States, disappointing jobs reports signaled that the recovery was losing steam. International equities gave back all of their year-to-date gains by the end of May.
As the global economic picture dimmed, investors grew increasingly optimistic that the world’s central banks would intervene to stimulate growth. Meanwhile, European leaders took meaningful steps toward fiscal integration in the euro currency bloc. These positive themes drove a powerful equity rebound in June. In July, ECB president Mario Draghi boosted investor confidence by stating that the ECB was committed to do “whatever it takes” to hold the eurozone together. This assurance along with growing hopes for additional central bank stimulus overshadowed concerns about the dreary economic landscape and international stock markets continued their advance through the third quarter. In September,
7
American Beacon International Equity Index FundSM
Performance Overview
December 31, 2012 (Unaudited)
the ECB announced its decision to backstop eurozone governments with unlimited purchases of short-term sovereign debt. Days later, the U.S. Federal Reserve announced an aggressive stimulus program involving purchases of agency mortgage-backed securities.
Concerns about the world economy resurfaced in the fall amid political uncertainty in key nations. Global trade slowed as Europe’s recession deepened, U.S. growth remained lackluster and growth continued to decelerate in China, where a once-in-a-decade leadership change compounded uncertainty. In the United States, automatic tax increases and spending cuts set to take effect at the beginning of 2013, known as the “fiscal cliff,” threatened to push the nation into recession unless politicians could agree upon alternate measures to reduce the deficit before the end of 2012. Worries that political gridlock would preclude a budget deal prior to the deadline drove high levels of volatility in equity markets around the world in the months leading up to the last day of the year. Ultimately, the United States averted the fiscal cliff with a last-minute tax deal, spurring relief rallies in stock markets globally. However, relief from U.S. fiscal worries was only partial as decisions relating to spending cuts and the national debt ceiling remained pending as financial markets closed for the year. Despite a downtrodden economic environment and a suspenseful lead-up to the U.S. fiscal cliff deadline, international stock prices moved higher through the final months of 2012 as investors took on more risk to achieve meaningful returns in the low interest rate environment.
For the 12 months ended December 31, 2012, stocks in all of the 22 developed nations represented in the MSCI EAFE Index posted gains (in USD) with the exception of Israel (-4.68%). Belgium led the index with a return of 39.55%. Stocks in Europe’s core economies, Germany (+31.10%) and France (+21.30%), staged a strong rebound and outperformed markets in the debt-laden peripheral countries, Italy (+12.48%), Ireland (+5.74%), Greece (+4.52%), Portugal (+3.53%) and Spain (+3.00%). Asian markets were pressured by slowing global trade and domestic economic weakness; however, Japanese equities (+8.20%) were buoyed by monetary easing as a weaker yen benefited the nation’s exporters.
From a sector perspective, global central bank stimulus drove Financials (+33.13%) and Consumer Discretionary stocks (+24.90%) higher in 2012. Health Care stocks (+17.37%) rebounded after valuations had been pushed down amid regulatory uncertainty. While most of the MSCI EAFE Index sectors moved higher for the year, Energy stocks (-0.17%) slid on declining oil prices in the latter part of the year. Telecommunications Services (-0.99%) were the worst performers for the year.
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.
8
American Beacon International Equity Index FundSM
Performance Overview
December 31, 2012 (Unaudited)
Sector Allocation
| % of Equities* | ||||
Financials | 20.1 | % | ||
Industrials | 14.6 | % | ||
Consumer Discretionary | 12.0 | % | ||
Health Care | 11.2 | % | ||
Materials | 10.9 | % | ||
Energy | 10.2 | % | ||
Consumer Staples | 7.1 | % | ||
Information Technology | 6.1 | % | ||
Telecommunication Services | 5.6 | % | ||
Utilities | 2.2 | % | ||
| * | Percent of equity portion of Master International Index Series |
Top Ten Holdings
| % of Net Assets* | ||||
Nestle S.A. | 1.9 | % | ||
HSBC Holding plc | 1.7 | % | ||
Novartis AG | 1.3 | % | ||
Roche Holding AG | 1.3 | % | ||
BP plc | 1.2 | % | ||
Royal Dutch Shell plc (Class A) | 1.2 | % | ||
Toyota Motor Corp. | 1.2 | % | ||
BHP Billiton Ltd. | 1.1 | % | ||
Vodafone Group plc | 1.1 | % | ||
Sanofi S.A. | 1.0 | % | ||
| * | Percent of net assets of Master International Index Series |
Country Allocation
| % of Equities* | ||||
United Kingdom | 23.4 | % | ||
Japan | 19.8 | % | ||
France | 9.5 | % | ||
Australia | 8.9 | % | ||
Germany | 8.7 | % | ||
Switzerland | 8.5 | % | ||
Hong Kong | 3.1 | % | ||
Sweden | 3.1 | % | ||
Spain | 3.0 | % | ||
Netherlands | 2.5 | % | ||
Italy | 2.2 | % | ||
Singapore | 1.8 | % | ||
Belgium | 1.2 | % | ||
Denmark | 1.1 | % | ||
Norway | 0.9 | % | ||
Finland | 0.8 | % | ||
Israel | 0.5 | % | ||
Austria | 0.3 | % | ||
Ireland | 0.3 | % | ||
Portugal | 0.2 | % | ||
New Zealand | 0.1 | % | ||
Greece | 0.1 | % | ||
| * | Percent of equity portion of Master International Index Series |
9
American Beacon FundsSM
Fund Expenses
December 31, 2012 (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, 2012 through December 31, 2012.
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 7/1/12 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | Beginning Account Value 7/1/12 | $ | 1,000.00 | |||||||||
Ending Account Value 12/31/12 | $ | 1,058.52 | $ | 1,070.66 | $ | 1,143.19 | Ending Account Value 12/31/12 | $ | 1,055.66 | |||||||||
Expenses Paid During Period* 7/1/12 - 12/31/12 | $ | 0.83 | $ | 1.15 | $ | 0.75 | Expenses Paid During Period* 7/1/12 - 12/31/12 | $ | 3.31 | |||||||||
Annualized Expense Ratio | 0.16 | % | 0.22 | % | 0.14 | % | Annualized Expense Ratio | 0.64 | % | |||||||||
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 7/1/12 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | Beginning Account Value 7/1/12 | $ | 1,000.00 | |||||||||
Ending Account Value 12/31/12 | $ | 1,024.33 | $ | 1,024.03 | $ | 1,024.43 | Ending Account Value 12/31/12 | $ | 1,021.92 | |||||||||
Expenses Paid During Period* 7/1/12 - 12/31/12 | $ | 0.81 | $ | 1.12 | $ | 0.71 | Expenses Paid During Period* 7/1/12 - 12/31/12 | $ | 3.25 | |||||||||
Annualized Expense Ratio | 0.16 | % | 0.22 | % | 0.14 | % | Annualized Expense Ratio | 0.64 | % | |||||||||
| * | 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 (366) to reflect the half-year period. |
10
American Beacon FundsSM
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, including the schedules of investments, 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, 2012, 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, 2012, 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 International Equity Index Fund, the American Beacon S&P 500 Index Fund, and the American Beacon Small Cap Index Fund at December 31, 2012, 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, 2013
11
Statements of Assets and Liabilities
December 31, 2012 (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 | $ | 664,993 | $ | 184,690 | $ | 466,957 | ||||||
Receivable for fund shares sold | 3,046 | 1,982 | 14,586 | |||||||||
Prepaid expenses | 13 | 22 | 12 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 668,052 | 186,694 | 481,555 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Payable for fund shares redeemed | 341 | 1 | 578 | |||||||||
Administrative service and service fees payable | 34 | 7 | 10 | |||||||||
Printing fees payable | 23 | 10 | — | |||||||||
Professional fees payable | 12 | 13 | 8 | |||||||||
Sub-administration fees payable | — | — | 54 | |||||||||
Transfer agent fees payable | 7 | 1 | 3 | |||||||||
Trustee fees payable | 1 | — | 1 | |||||||||
Other liabilities | 3 | 2 | 1 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 421 | 34 | 655 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 667,631 | $ | 186,660 | $ | 480,900 | ||||||
|
|
|
|
|
| |||||||
Analysis of Net Assets: | ||||||||||||
Paid-in-capital (distribution in excess) | 602,266 | 199,054 | 530,570 | |||||||||
Undistributed net investment income | 272 | (10 | ) | (236 | ) | |||||||
Accumulated net realized gain (loss) | (57,447 | ) | (13,570 | ) | (79,584 | ) | ||||||
Unrealized net appreciation of investments, foreign currency contracts, and futures contracts | 122,540 | 1,186 | 30,150 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 667,631 | $ | 186,660 | $ | 480,900 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding at no par value (unlimited shares outstanding): | ||||||||||||
Institutional Class | 33,568,573 | 13,802,376 | 49,820,273 | |||||||||
|
|
|
|
|
| |||||||
Investor Class | 946,885 | N/A | N/A | |||||||||
|
|
|
|
|
| |||||||
Net assets (not in thousands): | ||||||||||||
Institutional Class | $ | 649,456,946 | $ | 186,659,625 | $ | 480,899,993 | ||||||
|
|
|
|
|
| |||||||
Investor Class | $ | 18,174,157 | $ | N/A | $ | N/A | ||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share: | ||||||||||||
Institutional Class | $ | 19 .35 | $ | 13 .52 | $ | 9 .65 | ||||||
|
|
|
|
|
| |||||||
Investor Class | $ | 19 .19 | $ | N/A | $ | N/A | ||||||
|
|
|
|
|
| |||||||
See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios attached
12
American Beacon FundsSM
For the Year ended December 31, 2012 (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 | $ | 12,813 | $ | 2,519 | $ | 12,504 | ||||||
Interest income | 18 | 6 | 8 | |||||||||
Securities lending income | — | 167 | — | |||||||||
Portfolio expenses (net of fees waived)B | (247 | ) | (83 | ) | (179 | ) | ||||||
Other income | — | — | 22 | |||||||||
|
|
|
|
|
| |||||||
Net investment income allocated from Portfolio | 12,584 | 2,609 | 12,355 | |||||||||
|
|
|
|
|
| |||||||
Fund Expenses: | ||||||||||||
Administrative service fees (Note 2): | ||||||||||||
Institutional Class | 265 | 55 | 181 | |||||||||
Investor Class | 45 | — | — | |||||||||
Sub-administrative service fees (Note 2): | ||||||||||||
Institutional Class | — | 8 | 125 | |||||||||
Transfer agent fees: | ||||||||||||
Institutional Class | 22 | 6 | 20 | |||||||||
Investor Class | 6 | — | — | |||||||||
Custody and accounting fees | 13 | 12 | 12 | |||||||||
Professional fees | 45 | 22 | 29 | |||||||||
Registration fees | 29 | 3 | 9 | |||||||||
Service fees - Investor Class (Note 2) | 45 | — | — | |||||||||
Printing expense | 119 | 30 | 67 | |||||||||
Trustee fees | 43 | 9 | 25 | |||||||||
Insurance expense | 9 | 1 | 7 | |||||||||
Other expenses | 13 | 3 | 21 | |||||||||
|
|
|
|
|
| |||||||
Total fund expenses | 654 | 149 | 496 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 11,930 | 2,460 | 11,859 | |||||||||
|
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|
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| |||||||
Realized and unrealized gain (loss) allocated from Master Portfolio | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments | 14,314 | 703 | (30,850 | ) | ||||||||
Foreign currency transactions | — | — | (208 | ) | ||||||||
Futures contracts | 1,500 | (215 | ) | 774 | ||||||||
Change in net unrealized appreciation or (depreciation) of: | ||||||||||||
Investments | 44,434 | 5,764 | 83,176 | |||||||||
Futures contracts | (208 | ) | 2 | (138 | ) | |||||||
|
|
|
|
|
| |||||||
Net gain on investments | 60,040 | 6,254 | 52,754 | |||||||||
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|
|
|
|
| |||||||
Net increase in net assets resulting from operations | $ | 71,970 | $ | 8,714 | $ | 64,613 | ||||||
|
|
|
|
|
| |||||||
A Foreign taxes | $ | 31 | $ | 3 | $ | 957 | ||||||
B Fees waived by Master Portfolio | $ | — | $ | 28 | $ | 41 | ||||||
See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios attached
13
American Beacon FundsSM
Statements of Changes in Net Assets (in thousands)
| International Equity | ||||||||||||||||||||||||
| S&P 500 Index Fund | Small Cap Index Fund | Index Fund | ||||||||||||||||||||||
| Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | ||||||||||||||||||||||
| 2012 | 2011 | 2012 | 2011 | 2012 | 2011 | |||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 11,930 | $ | 7,865 | $ | 2,460 | $ | 726 | $ | 11,859 | $ | 10,828 | ||||||||||||
Net realized gain (loss) from investments, foreign currency contracts, and futures contracts | 15,814 | 15,729 | 488 | 2,850 | (30,284 | ) | (9,458 | ) | ||||||||||||||||
Change in net unrealized appreciation or (depreciation) of investments and futures contracts | 44,226 | (14,878 | ) | 5,766 | (4,317 | ) | 83,038 | (43,917 | ) | |||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | 71,970 | 8,716 | 8,714 | (741 | ) | 64,613 | (42,547 | ) | ||||||||||||||||
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|
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|
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| |||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||
Institutional Class | (11,794 | ) | (7,679 | ) | (3,779 | ) | (729 | ) | (11,845 | ) | (10,886 | ) | ||||||||||||
Investor Class | (187 | ) | (289 | ) | — | — | — | — | ||||||||||||||||
Net realized gain from investments: | ||||||||||||||||||||||||
Institutional Class | — | — | — | — | — | — | ||||||||||||||||||
Investor Class | — | — | — | — | — | — | ||||||||||||||||||
Tax return of capital: | ||||||||||||||||||||||||
Institutional Class | — | (54 | ) | — | (15 | ) | — | — | ||||||||||||||||
Investor Class | — | (2 | ) | — | — | — | — | |||||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions to shareholders | (11,981 | ) | (8,024 | ) | (3,779 | ) | (744 | ) | (11,845 | ) | (10,886 | ) | ||||||||||||
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|
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| |||||||||||||
Capital Share Transactions: | ||||||||||||||||||||||||
Proceeds from sales of shares | 255,212 | 214,771 | 302,080 | 16,709 | 180,675 | 111,683 | ||||||||||||||||||
Reinvestment of dividends and distributions | 11,887 | 8,012 | 3,779 | 744 | 11,691 | 10,886 | ||||||||||||||||||
Cost of shares redeemed | (97,948 | ) | (184,283 | ) | (167,291 | ) | (65,949 | ) | (85,826 | ) | (73,599 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets from capital share transactions | 169,151 | 38,500 | 138,568 | (48,496 | ) | 106,540 | 48,970 | |||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 229,140 | 39,192 | 143,503 | (49,981 | ) | 159,308 | (4,463 | ) | ||||||||||||||||
|
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|
|
|
|
|
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|
|
| |||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 438,491 | 399,299 | 43,157 | 93,138 | 321,592 | 326,055 | ||||||||||||||||||
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| |||||||||||||
End of Period * | $ | 667,631 | $ | 438,491 | $ | 186,660 | $ | 43,157 | $ | 480,900 | $ | 321,592 | ||||||||||||
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|
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|
|
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|
| |||||||||||||
*Includes undistributed net investment income (loss) of | $ | 272 | $ | 151 | $ | (10 | ) | $ | (3 | ) | $ | (236 | ) | $ | 11 | |||||||||
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| |||||||||||||
See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios attached
14
American Beacon FundsSM
December 31, 2012
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”) which is comprised of twenty-four 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, 2012 | ||||
| S&P 500 Index Fund | State Street Equity 500 Index Portfolio | 32.50 | % | |||
| Small Cap Index Fund | Master Small Cap Index Series | 32.09 | % | |||
| International Equity Index Fund | Master International Index Series | 63.44 | % | |||
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, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) and the International Financial Reporting Standards (“IFRS”)”. ASU No. 2011-04 amends FASB ASC Topic 820, Fair Value Measurements and Disclosures, to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with U.S. GAAP and IFRS. ASU No. 2011-04 is effective for fiscal years beginning after December 15, 2011 and for the interim period July 1, 2012 to December 31, 2012.
15
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
Management has evaluated the implications of these changes and determined that the impact of the new guidance will only affect the disclosure requirements related to the financial statements. However, as the Funds did not hold any Level 3 investments as of December 31, 2012, the financial statements were not affected.
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 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 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.
16
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
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.
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 (“RIC”), 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, 2012 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
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
The tax character of distributions paid were as follows (in thousands):
| S&P 500 Index Fund | Small Cap Index Fund | International Equity Index Fund | ||||||||||||||||||||||
| Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | |||||||||||||||||||
Distributions paid from: | ||||||||||||||||||||||||
Ordinary income | ||||||||||||||||||||||||
Institutional Class | $ | 11,794 | $ | 7,679 | $ | 3,779 | $ | 729 | $ | 11,845 | $ | 10,886 | ||||||||||||
Investor Class | 187 | 289 | — | — | — | — | ||||||||||||||||||
Return of Capital | ||||||||||||||||||||||||
Institutional Class | — | 54 | — | 15 | — | — | ||||||||||||||||||
Investor Class | — | 2 | — | — | — | — | ||||||||||||||||||
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Total paid distributions | $ | 11,981 | $ | 8,024 | $ | 3,779 | $ | 744 | $ | 11,845 | $ | 10,886 | ||||||||||||
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As of December 31, 2012, the components of distributable earnings or (deficits) 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 | $ | 561,168 | $ | 185,741 | $ | 445,012 | ||||||
Unrealized appreciation | 129,383 | 2,085 | 34,821 | |||||||||
Unrealized depreciation | (25,558 | ) | (3,136 | ) | (12,876 | ) | ||||||
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| |||||||
Net unrealized appreciation or (depreciation) | 103,825 | (1,051 | ) | 21,945 | ||||||||
Undistributed ordinary income | — | — | 908 | |||||||||
Capital and other accumulated losses | (36,317 | ) | (11,251 | ) | (71,871 | ) | ||||||
Other temporary differences | (2,143 | ) | (92 | ) | (652 | ) | ||||||
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Distributable earnings or (deficits) | $ | 65,365 | $ | (12,394 | ) | $ | (49,670 | ) | ||||
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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, partnership transactions, and return of capital distributions that have been reclassified as of December 31, 2012 (in thousands):
| S&P 500 Index Fund | Small Cap Index Fund | Int’l Equity Index Fund | ||||||||||
Paid-in-capital | $ | 6,084 | $ | (2,225 | ) | $ | 1,650 | |||||
Undistributed net investment income | 172 | 1,312 | (262 | ) | ||||||||
Accumulated net realized gain(loss) | (6,257 | ) | 912 | (1,388 | ) | |||||||
Unrealized appreciation or (depreciation) of investments, futures contracts, and foreign currency | 1 | 1 | — | |||||||||
18
American Beacon FundsSM
Notes to Financial Statements
December 31, 2012
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”) was enacted, which changed various technical rules governing the tax treatment of RIC MOD. 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 RIC MOD, 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 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 RIC MOD contains several provisions aimed at preserving the character of distributions made by a fiscal year 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 RIC MOD 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 RIC MOD 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 | 1,358 | 40,074 | 41,432 | |||||||||
Capital losses prior to the provisions of RIC MOD 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 | 2016 | 2017 | 2018 | Total | ||||||||||||
S&P 500 Index Fund | $ | 3,294 | 28,055 | $ | 4,955 | $ | 36,304 | |||||||||
Small Cap Index Fund | — | — | 2,620 | 2,620 | ||||||||||||
International Equity Index Fund | 9,746 | 13,890 | 5,259 | 28,895 | ||||||||||||
The S&P 500 Index and Small Cap Index Funds utilized $9,090 and $11,230, respectively, of net capital loss carryforwards for the year ended December 31, 2012 (in thousands).
Net capital and late year losses incurred after October 31, 2012 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, 2012, the S&P 500 Index Fund deferred $2,142 of short-term capital loss, the Small Cap Index Fund deferred $8,631 of long-term capital loss, and the International Equity Index Fund deferred $85 of late year losses and $2,214 of long-term capital losses to January 1, 2013 (in thousands).
19
American Beacon FundsSM
Notes to Financial Statements
December 31, 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):
For the Year ended December 31, 2012
| Institutional Class | Investor Class | |||||||||||||||
S&P 500 Index Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 13,072 | $ | 247,772 | 404 | $ | 7,440 | ||||||||||
Reinvestment of dividends | 606 | 11,707 | 10 | 180 | ||||||||||||
Shares redeemed | (4,882 | ) | (90,024 | ) | (428 | ) | (7,924 | ) | ||||||||
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Net increase (decrease) in shares outstanding | 8,796 | $ | 169,455 | (14 | ) | $ | (304 | ) | ||||||||
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| Institutional Class | ||||||||
Small Cap Index Fund | Shares | Amount | ||||||
Shares sold | 22,782 | $ | 302,080 | |||||
Reinvestment of dividends | 278 | 3,779 | ||||||
Shares redeemed | (12,896 | ) | (167,291 | ) | ||||
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Net increase in shares outstanding | 10,164 | $ | 138,568 | |||||
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| Institutional Class | ||||||||
International Equity Index Fund | Shares | Amount | ||||||
Shares sold | 19,602 | $ | 180,675 | |||||
Reinvestment of dividends | 1,206 | 11,691 | ||||||
Shares redeemed | (9,455 | ) | (85,826 | ) | ||||
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| |||||
Net increase in shares outstanding | 11,353 | $ | 106,540 | |||||
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For the 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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| 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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20
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21
American Beacon S&P 500 Index FundSM
(For a share outstanding throughout the period)
| Institutional Class | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||
Net asset value, beginning of period | $ | 17 .05 | $ | 17 .07 | $ | 15 .15 | $ | 12 .21 | $ | 19 .85 | ||||||||||
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Income from investment operations: | ||||||||||||||||||||
Net investment income:A | 0 .39 | 0 .34 | 0 .29 | 0 .30 | 0 .35 | |||||||||||||||
Net gain (loss) from investments (both realized and unrealized) | 2 .31 | 0 .02 | 1 .95 | 2 .91 | (7 .64 | ) | ||||||||||||||
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Total income (loss) from investment operations | 2 .70 | 0 .32 | 2 .24 | 3 .21 | (7 .29 | ) | ||||||||||||||
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Less distributions: | ||||||||||||||||||||
Dividends from net investment income | (0 .40 | ) | (0 .34 | ) | (0 .32 | ) | (0 .27 | ) | (0 .35 | ) | ||||||||||
Tax return of capital | — | (0 .00 | )CD | — | — | — | ||||||||||||||
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Total distributions | (0 .40 | ) | (0 .34 | ) | (0 .32 | ) | (0 .27 | ) | (0 .35 | ) | ||||||||||
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Net asset value, end of period | $ | 19 .35 | $ | 17 .05 | $ | 17 .07 | $ | 15 .15 | $ | 12 .21 | ||||||||||
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Total return B | 15.87 | % | 1.92 | % | 14.96 | % | 26.70 | % | (37.08 | )% | ||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 649,457 | $ | 422,337 | $ | 381,592 | $ | 316,975 | $ | 224,583 | ||||||||||
Ratios to average net assets:A | ||||||||||||||||||||
Net investment income | 2.19 | % | 1.95 | % | 1.90 | % | 2.39 | % | 2.23 | % | ||||||||||
Expenses, including expenses allocated from the master portfolio | 0.15 | % | 0.16 | % | 0.13 | % | 0.15 | % | 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 those 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
American Beacon S&P 500 Index FundSM
Financial Highlights
(For a share outstanding throughout the period)
| Investor Class | ||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||
| 2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||
| $ | 16.82 | $ | 16.88 | $ | 15.00 | $ | 12.06 | $ | 19.60 | |||||||||
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| 0.31 | 0.22 | 0.15 | 0.33 | 0.33 | ||||||||||||||
| 2.25 | 0.02 | 1.99 | 2.80 | (7.60 | ) | |||||||||||||
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| 2.56 | 0.24 | 2.14 | 3.13 | (7.27 | ) | |||||||||||||
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| (0.19 | ) | (0.30 | ) | (0.26 | ) | (0.19 | ) | (0.27 | ) | |||||||||
| — | (0.00 | )CD | — | — | — | |||||||||||||
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| (0.19 | ) | (0.30 | ) | (0.26 | ) | (0.19 | ) | (0.27 | ) | |||||||||
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| $ | 19.19 | $ | 16.82 | $ | 16.88 | $ | 15.00 | $ | 12.06 | |||||||||
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| 15.25 | % | 1.44 | % | 14.43 | % | 26.26 | % | (37.35 | )% | |||||||||
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| $ | 18,174 | $ | 16,154 | $ | 17,707 | $ | 22,261 | $ | 12,915 | |||||||||
| 1.67 | % | 1.44 | % | 1.42 | % | 2.01 | % | 1.73 | % | |||||||||
| 0.63 | % | 0.64 | % | 0.60 | % | 0.60 | % | 0.62 | % | |||||||||
23
American Beacon Small Cap Index FundSM
Financial Highlights
(For a share outstanding throughout the period)
| Institutional Class | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||
Net asset value, beginning of period | $ | 11 .86 | $ | 12 .64 | $ | 10 .06 | $ | 8 .00 | $ | 13 .51 | ||||||||||
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Income from investment operations: | ||||||||||||||||||||
Net investment incomeA | 0 .21 | 0 .19 | 0 .13 | 0 .10 | 0 .18 | |||||||||||||||
Net gain (loss) from investments and futures transactions (both realized and unrealized) | 1 .73 | (0 .76 | ) | 2 .59 | 2 .08 | (4 .78 | ) | |||||||||||||
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Total income (loss) from investment operations | 1 .94 | (0 .57 | ) | 2 .72 | 2 .18 | (4 .60 | ) | |||||||||||||
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Less distributions: | ||||||||||||||||||||
Dividends from net investment income | (0 .18 | ) | (0 .21 | ) | (0 .13 | ) | (0 .11 | ) | (0 .17 | ) | ||||||||||
Distributions from net realized gains on investments | — | — | — | — | (0 .61 | ) | ||||||||||||||
Tax return of capital | (0.10 | )B | (0.00 | )BD | (0 .01 | )B | (0 .01 | )B | (0 .13 | )B | ||||||||||
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Total distributions | (0 .28 | ) | (0 .21 | ) | (0 .14 | ) | (0 .12 | ) | (0 .91 | ) | ||||||||||
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Net asset value, end of period | $ | 13 .52 | $ | 11 .86 | $ | 12 .64 | $ | 10 .06 | $ | 8 .00 | ||||||||||
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Total return C | 16.36 | % | (4.54 | )% | 27.05 | % | 27.21 | % | (33.58 | )% | ||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 186,660 | $ | 43,157 | $ | 93,138 | $ | 39,958 | $ | 31,552 | ||||||||||
Ratios to average net assets:A | ||||||||||||||||||||
Net investment income | 2.23 | % | 1.04 | % | 1.21 | % | 1.18 | % | 1.54 | % | ||||||||||
Expenses, including expenses allocated from the master portfolio | 0.21 | % | 0.26 | % | 0.18 | % | 0.23 | % | 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 those 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
American Beacon International Equity Index FundSM
Financial Highlights
(For a share outstanding throughout the period)
| Institutional Class | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||
Net asset value, beginning of period | $ | 8 .36 | $ | 9 .87 | $ | 9 .38 | $ | 7 .46 | $ | 13 .37 | ||||||||||
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Income from investment operations: | ||||||||||||||||||||
Net investment incomeA | 0 .25 | 0 .29 | 0 .22 | 0 .21 | 0 .39 | |||||||||||||||
Net gain (loss) from investments, foreign currency and futures transactions (both realized and unrealized) | 1 .29 | (1 .51 | ) | 0 .49 | 1 .93 | (6 .00 | ) | |||||||||||||
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Total income (loss) from investment operations | 1 .54 | (1 .22 | ) | 0 .71 | 2 .14 | (5 .61 | ) | |||||||||||||
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Less distributions: | ||||||||||||||||||||
Dividends from net investment income | (0 .25 | ) | (0 .29 | ) | (0 .22 | ) | (0 .22 | ) | (0 .30 | ) | ||||||||||
Tax return of capital | — | — | — | — | — | |||||||||||||||
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Total distributions | (0 .25 | ) | (0 .29 | ) | (0 .22 | ) | (0 .22 | ) | (0 .30 | ) | ||||||||||
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Net asset value, end of period | $ | 9 .65 | $ | 8 .36 | $ | 9 .87 | $ | 9 .38 | $ | 7 .46 | ||||||||||
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Total return B | 18.42 | % | (12.29 | )% | 7.57 | % | 28.72 | % | (41.85 | )% | ||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 480,900 | $ | 321,592 | $ | 326,055 | $ | 280,110 | $ | 185,860 | ||||||||||
Ratios to average net assets:A | ||||||||||||||||||||
Net investment income | 3.28 | % | 3.26 | % | 2.66 | % | 2.66 | % | 3.58 | % | ||||||||||
Expenses, including expenses allocated from the master portfolio | 0.19 | % | 0.24 | % | 0.21 | % | 0.23 | % | 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 | May include adjustments with accounting principles generally accepted in the United States of America and as such, the net assets for financial reporting purposes and the returns based upon those net asset value may differ from the net asset value and returns for shareholder transactions. |
25
American Beacon FundsSM
Privacy Policy and Federal Tax Information
December 31, 2012 (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
Certain tax information regarding the Funds are required to be provided to shareholders upon the distribution of the Funds’ income for the taxable year ended December 31, 2012. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2012.
The Funds designated the following items with regard to distributions paid during the year ended December 31, 2012. All designations are based on financial information available as of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations there under.
| S&P 500 Index Fund | Small Cap Index Fund | International Equity Index Fund | ||||||||||
Corporate Dividends Received Deduction | 97.84 | % | 80.72 | % | 0.00 | % | ||||||
Qualified Dividend Income | 100.00 | % | 75.02 | % | 100.00 | % | ||||||
Shareholders will receive notification in January 2013 of the applicable tax information necessary to prepare their 2012 income tax returns.
26
Trustees and Officers of the American Beacon FundsSM
(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-six funds in the fund complex that includes the 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 Office and Length of Time Served with the Trust | Principal Occupation(s) During Past 5 Years and Current Directorships | ||
INTERESTED TRUSTEES | ||||
Term Lifetime of Trust until removal, resignation or retirement* | ||||
Gerard J. Arpey** (54) | Trustee since 2012 | Partner, Emerald Creek Group (private equity firm) (2011-Present); Chairman and Chief Executive Officer, (2003-2011), AMR Corp. and American Airlines; Inc.; Director, S. C. Johnson & Son, Inc. (privately held company) (2008-present); Trustee, American Beacon Select Funds (2012-Present). | ||
Alan D. Feld*** (76) | 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 (68) | Trustee since 2004 | Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012). | ||
Brenda A. Cline (52) | Trustee since 2004 | Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-2012); Trustee, American Beacon Master Trust (2004-Present). | ||
Eugene J. Duffy (58) | 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 (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012). | ||
Thomas M. Dunning (70) | Trustee since 2008 | Chairman Emeribus (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 (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012). | ||
Richard A. Massman (69) | 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 (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012). | ||
27
Trustees and Officers of the American Beacon FundsSM
(Unaudited)
Name, Age and Address | Position, Term of Office and Length of Time Served with the Trust | Principal Occupation(s) During Past 5 Years and Current Directorships | ||
Barbara J. McKenna, CFA (49) | Trustee since 2012 | Managing Principal, Longfellow Investment Management Company (2005-Present); Trustee, American Beacon Select Funds (2012-Present). | ||
R. Gerald Turner (67) | 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 (2001-2012); Trustee, American Beacon Select Funds (2001-Present); Trustee, American Beacon Master Trust (2001-2012). | ||
Paul J. Zucconi,CPA (72) | 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) (2010-2011); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012). | ||
| 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. | ||
Rosemary K. Behan (52) | VP, Secretary and Chief Legal Officer since 2006 | Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006-Present); Secretary, American Beacon Advisors, Inc. (2008-Present), Secretary, Lighthouse Holdings, Inc. (2008-Present); Secretary, Lighthouse Holdings Parent, Inc. (2008-Present) | ||
Brian E. Brett (51) | VP since 2004 | Vice President, Director of Sales, American Beacon Advisors, Inc. (2004-Present). | ||
Wyatt L. Crumpler (46) | VP since 2007 | Chief Investment Officer (2012-Present), Vice President, Asset Management(2009-2011) and Vice President, Trust Investments (2007-2009), American Beacon Advisors, Inc. | ||
Erica Duncan (42) | 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 (58) | 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 (51) | Treasurer since 2010 | Treasurer (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 (49) | VP since 2010 | Vice President, Enterprise Services (2009-Present) and Managing Director (2003-2009), American Beacon Advisors, Inc. | ||
28
Trustees and Officers of the American Beacon FundsSM
(Unaudited)
Name, Age and Address | Position, Term of Office and Length of Time Served with the Trust | Principal Occupation(s) During Past 5 Years and Current Directorships | ||
Jeffrey K. Ringdahl (37) | 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 (49) | 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 (41) | Chief Compliance Officer since 2004 and Asst. Secretary since 1999 | Chief Compliance Officer (2004-Present), American Beacon Advisors, Inc. | ||
John J. Okray (38) | Asst. Secretary since 2010 | Deputy General Counsel (2012-Present) and Assistant General Counsel (2010-Present), American Beacon Advisors, Inc.; Asst. Secretary (2010-Present), Lighthouse Holdings, Inc.; Asst. Secretary (2010-Present), Lighthouse Holdings Parent, Inc.; Vice President (2004-2010), OppenheimerFunds, Inc. | ||
Sonia L. Bates (56) | 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. Arpey is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Arpey previously served as CEO of AMR Corp., which has a material relationship with the Manager. |
| *** | 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 sub-advisors. |
29
State Street Equity 500 Index Portfolio
December 31, 2012
| Shares | Market Value (000) | |||||||
COMMON STOCKS – 98.5% |
| |||||||
Consumer Discretionary – 12.0% |
| |||||||
Abercrombie & Fitch Co. Class A | 13,046 | $ | 626 | |||||
Amazon.com, Inc.(a) | 57,092 | 14,338 | ||||||
Apollo Group, Inc. Class A(a) | 18,029 | 377 | ||||||
AutoNation, Inc.(a) | 6,363 | 253 | ||||||
AutoZone, Inc.(a) | 5,964 | 2,114 | ||||||
Bed Bath & Beyond, Inc.(a) | 36,545 | 2,043 | ||||||
Best Buy Co., Inc. | 42,119 | 499 | ||||||
Big Lots, Inc.(a) | 9,227 | 263 | ||||||
BorgWarner, Inc.(a) | 18,500 | 1,325 | ||||||
Cablevision Systems Corp. | 35,600 | 532 | ||||||
CarMax, Inc.(a) | 37,200 | 1,396 | ||||||
Carnival Corp. | 70,650 | 2,598 | ||||||
CBS Corp. Class B | 95,403 | 3,630 | ||||||
Chipotle Mexican Grill, Inc.(a) | 5,100 | 1,517 | ||||||
Coach, Inc. | 44,828 | 2,488 | ||||||
Comcast Corp. Class A | 420,748 | 15,728 | ||||||
D.R. Horton, Inc. | 46,076 | 911 | ||||||
Darden Restaurants, Inc. | 20,588 | 928 | ||||||
Delphi Automotive PLC(a) | 45,500 | 1,740 | ||||||
DIRECTV(a) | 94,977 | 4,764 | ||||||
Discovery Communications, Inc. Class A(a) | 39,900 | 2,533 | ||||||
Dollar General Corp.(a) | 42,500 | 1,874 | ||||||
Dollar Tree, Inc.(a) | 36,600 | 1,485 | ||||||
eBay, Inc.(a) | 182,503 | 9,311 | ||||||
Expedia, Inc. | 14,357 | 882 | ||||||
Family Dollar Stores, Inc. | 15,558 | 987 | ||||||
Ford Motor Co. | 604,598 | 7,830 | ||||||
Fossil, Inc.(a) | 8,800 | 819 | ||||||
GameStop Corp. Class A | 19,500 | 489 | ||||||
Gannett Co., Inc. | 39,574 | 713 | ||||||
Gap, Inc. | 44,198 | 1,372 | ||||||
Garmin Ltd. | 17,300 | 706 | ||||||
Genuine Parts Co. | 25,209 | 1,603 | ||||||
Goodyear Tire & Rubber Co.(a) | 34,957 | 483 | ||||||
H&R Block, Inc. | 47,115 | 875 | ||||||
Harley-Davidson, Inc. | 35,801 | 1,749 | ||||||
Harman International Industries, Inc. | 12,021 | 537 | ||||||
Hasbro, Inc. | 17,825 | 640 | ||||||
Home Depot, Inc. | 236,712 | 14,641 | ||||||
Host Hotels & Resorts, Inc. | 118,721 | 1,860 | ||||||
International Game Technology | 39,819 | 564 | ||||||
Interpublic Group of Cos., Inc. | 71,894 | 792 | ||||||
JC Penney Co., Inc. | 21,810 | 430 | ||||||
Johnson Controls, Inc. | 109,586 | 3,364 | ||||||
Kohl’s Corp. | 34,533 | 1,484 | ||||||
Lennar Corp. Class A | 25,931 | 1,003 | ||||||
Limited Brands, Inc. | 38,167 | 1,796 | ||||||
Lowe’s Cos., Inc. | 180,762 | 6,421 | ||||||
Macy’s, Inc. | 61,423 | 2,397 | ||||||
Marriott International, Inc. Class A | 39,050 | 1,455 | ||||||
Mattel, Inc. | 53,776 | 1,969 | ||||||
McDonald’s Corp. | 160,325 | 14,142 | ||||||
McGraw-Hill Cos., Inc. | 45,766 | 2,502 | ||||||
NetFlix, Inc.(a) | 7,700 | 714 | ||||||
Newell Rubbermaid, Inc. | 47,893 | 1,067 | ||||||
News Corp. Class A | 320,809 | 8,193 | ||||||
NIKE, Inc. Class B | 116,504 | 6,012 | ||||||
| Shares | Market Value (000) | |||||||
Nordstrom, Inc. | 23,633 | $ | 1,264 | |||||
O’Reilly Automotive, Inc.(a) | 19,400 | 1,735 | ||||||
Omnicom Group, Inc. | 43,541 | 2,175 | ||||||
PetSmart, Inc. | 17,300 | 1,182 | ||||||
Priceline.com, Inc.(a) | 7,990 | 4,963 | ||||||
PulteGroup, Inc.(a) | 54,705 | 993 | ||||||
Ralph Lauren Corp. | 9,515 | 1,426 | ||||||
Ross Stores, Inc. | 35,900 | 1,944 | ||||||
Scripps Networks Interactive, Inc. Class A | 12,035 | 697 | ||||||
Snap-on, Inc. | 9,212 | 728 | ||||||
Stanley Black & Decker, Inc. | 27,007 | 1,998 | ||||||
Staples, Inc. | 110,033 | 1,254 | ||||||
Starbucks Corp. | 120,461 | 6,459 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 31,247 | 1,792 | ||||||
Target Corp. | 104,216 | 6,166 | ||||||
Tiffany & Co. | 19,880 | 1,140 | ||||||
Time Warner Cable, Inc. | 48,471 | 4,711 | ||||||
Time Warner, Inc. | 151,091 | 7,227 | ||||||
TJX Cos., Inc. | 117,212 | 4,976 | ||||||
TripAdvisor, Inc.(a) | 16,857 | 707 | ||||||
Urban Outfitters, Inc.(a) | 18,300 | 720 | ||||||
V.F. Corp. | 14,393 | 2,173 | ||||||
Viacom, Inc. Class B | 72,422 | 3,820 | ||||||
Walt Disney Co. | 283,245 | 14,103 | ||||||
Washington Post Co. Class B | 660 | 241 | ||||||
Whirlpool Corp. | 12,661 | 1,288 | ||||||
Wyndham Worldwide Corp. | 22,699 | 1,208 | ||||||
Wynn Resorts, Ltd. | 12,700 | 1,429 | ||||||
Yum! Brands, Inc. | 73,292 | 4,867 | ||||||
|
| |||||||
| 247,150 | ||||||||
|
| |||||||
Consumer Staples – 10.4% | ||||||||
Altria Group, Inc. | 320,199 | 10,061 | ||||||
Archer-Daniels-Midland Co. | 107,324 | 2,940 | ||||||
Avon Products, Inc. | 67,660 | 972 | ||||||
Beam, Inc. | 25,045 | 1,530 | ||||||
Brown-Forman Corp. Class B | 23,482 | 1,485 | ||||||
Campbell Soup Co. | 28,865 | 1,007 | ||||||
Clorox Co. | 20,543 | 1,504 | ||||||
Coca-Cola Co. | 610,822 | 22,142 | ||||||
Coca-Cola Enterprises, Inc. | 40,801 | 1,295 | ||||||
Colgate-Palmolive Co. | 71,401 | 7,464 | ||||||
ConAgra Foods, Inc. | 65,375 | 1,929 | ||||||
Constellation Brands, Inc. Class A(a) | 23,026 | 815 | ||||||
Costco Wholesale Corp. | 68,589 | 6,775 | ||||||
CVS Caremark Corp. | 199,532 | 9,647 | ||||||
Dean Foods Co.(a) | 31,858 | 526 | ||||||
Dr Pepper Snapple Group, Inc. | 34,100 | 1,507 | ||||||
Estee Lauder Cos., Inc. Class A | 38,504 | 2,305 | ||||||
General Mills, Inc. | 103,664 | 4,189 | ||||||
H.J. Heinz Co. | 52,069 | 3,003 | ||||||
Hormel Foods Corp. | 21,200 | 662 | ||||||
Kellogg Co. | 39,035 | 2,180 | ||||||
Kimberly-Clark Corp. | 63,300 | 5,344 | ||||||
Kraft Foods Group, Inc. | 94,769 | 4,309 | ||||||
Kroger Co. | 77,576 | 2,019 | ||||||
Lorillard, Inc. | 20,461 | 2,387 | ||||||
McCormick & Co., Inc. | 20,753 | 1,318 | ||||||
See Notes to Financial Statements.
30
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2012
| Shares | Market Value (000) | |||||||
COMMON STOCKS – (continued) | ||||||||
Consumer Staples – (continued) | ||||||||
Molson Coors Brewing Co. Class B | 25,162 | $ | 1,077 | |||||
Mondelez International, Inc. Class A | 284,309 | 7,241 | ||||||
Monster Beverage Corp.(a) | 24,300 | 1,285 | ||||||
PepsiCo, Inc. | 247,554 | 16,940 | ||||||
Philip Morris International, Inc. | 265,999 | 22,248 | ||||||
Procter & Gamble Co. | 433,619 | 29,438 | ||||||
Reynolds American, Inc. | 52,074 | 2,157 | ||||||
Safeway, Inc. | 37,164 | 672 | ||||||
Sysco Corp. | 93,209 | 2,951 | ||||||
The Hershey Co. | 23,482 | 1,696 | ||||||
The J.M. Smucker Co. | 18,060 | 1,558 | ||||||
Tyson Foods, Inc. Class A | 44,235 | 858 | ||||||
Wal-Mart Stores, Inc. | 267,402 | 18,245 | ||||||
Walgreen Co. | 137,218 | 5,078 | ||||||
Whole Foods Market, Inc. | 27,533 | 2,515 | ||||||
|
| |||||||
| 213,274 | ||||||||
|
| |||||||
Energy – 10.8% | ||||||||
Anadarko Petroleum Corp. | 79,126 | 5,880 | ||||||
Apache Corp. | 62,125 | 4,877 | ||||||
Baker Hughes, Inc. | 69,973 | 2,858 | ||||||
Cabot Oil & Gas Corp. | 32,600 | 1,622 | ||||||
Cameron International Corp.(a) | 38,500 | 2,174 | ||||||
Chesapeake Energy Corp. | 83,182 | 1,382 | ||||||
Chevron Corp.(b) | 311,046 | 33,636 | ||||||
ConocoPhillips | 191,330 | 11,095 | ||||||
Consol Energy, Inc. | 34,973 | 1,123 | ||||||
Denbury Resources, Inc.(a) | 61,500 | 996 | ||||||
Devon Energy Corp. | 60,151 | 3,130 | ||||||
Diamond Offshore Drilling, Inc. | 11,500 | 782 | ||||||
Ensco PLC Class A | 36,500 | 2,164 | ||||||
EOG Resources, Inc. | 42,717 | 5,160 | ||||||
EQT Corp. | 23,300 | 1,374 | ||||||
ExxonMobil Corp.(b) | 723,747 | 62,640 | ||||||
FMC Technologies, Inc.(a) | 38,600 | 1,653 | ||||||
Halliburton Co. | 148,634 | 5,156 | ||||||
Helmerich & Payne, Inc. | 16,300 | 913 | ||||||
Hess Corp. | 47,801 | 2,532 | ||||||
Kinder Morgan, Inc. | 101,326 | 3,580 | ||||||
Marathon Oil Corp. | 111,777 | 3,427 | ||||||
Marathon Petroleum Corp. | 54,288 | 3,420 | ||||||
Murphy Oil Corp. | 27,441 | 1,634 | ||||||
Nabors Industries, Ltd.(a) | 48,204 | 697 | ||||||
National Oilwell Varco, Inc. | 67,757 | 4,631 | ||||||
Newfield Exploration Co.(a) | 20,600 | 552 | ||||||
Noble Corp. | 39,400 | 1,372 | ||||||
Noble Energy, Inc. | 27,910 | 2,840 | ||||||
Occidental Petroleum Corp. | 127,044 | 9,733 | ||||||
Peabody Energy Corp. | 44,124 | 1,174 | ||||||
Phillips 66 | 99,165 | 5,266 | ||||||
Pioneer Natural Resources Co. | 19,400 | 2,068 | ||||||
QEP Resources, Inc. | 27,068 | 819 | ||||||
Range Resources Corp. | 25,500 | 1,602 | ||||||
Rowan Cos. PLC Class A(a) | 19,620 | 614 | ||||||
Schlumberger, Ltd. | 209,558 | 14,520 | ||||||
Southwestern Energy Co.(a) | 54,600 | 1,824 | ||||||
Spectra Energy Corp. | 104,398 | 2,858 | ||||||
Tesoro Corp. | 23,165 | 1,020 | ||||||
| Shares | Market Value (000) | |||||||
Valero Energy Corp. | 87,909 | $ | 2,999 | |||||
Williams Cos., Inc. | 105,468 | 3,453 | ||||||
WPX Energy, Inc.(a) | 30,856 | 459 | ||||||
|
| |||||||
| 221,709 | ||||||||
|
| |||||||
Financials – 16.3% | ||||||||
ACE, Ltd. | 52,700 | 4,205 | ||||||
AFLAC, Inc. | 73,990 | 3,930 | ||||||
Allstate Corp. | 76,406 | 3,069 | ||||||
American Express Co. | 156,564 | 8,999 | ||||||
American International Group, Inc.(a) | 234,433 | 8,276 | ||||||
American Tower Corp. REIT | 62,800 | 4,853 | ||||||
Ameriprise Financial, Inc. | 34,007 | 2,130 | ||||||
Aon PLC | 51,247 | 2,849 | ||||||
Apartment Investment & Management Co. Class A | 22,952 | 621 | ||||||
Assurant, Inc. | 14,131 | 490 | ||||||
AvalonBay Communities, Inc. | 17,798 | 2,413 | ||||||
Bank of America Corp. | 1,714,371 | 19,887 | ||||||
BB&T Corp. | 111,970 | 3,259 | ||||||
Berkshire Hathaway, Inc. Class B(a) | 289,503 | 25,968 | ||||||
BlackRock, Inc. | 20,434 | 4,224 | ||||||
Boston Properties, Inc. | 23,867 | 2,525 | ||||||
Capital One Financial Corp. | 92,963 | 5,385 | ||||||
CBRE Group, Inc.(a) | 49,575 | 987 | ||||||
Charles Schwab Corp. | 175,293 | 2,517 | ||||||
Chubb Corp. | 43,175 | 3,252 | ||||||
Cincinnati Financial Corp. | 20,814 | 815 | ||||||
Citigroup, Inc. | 463,320 | 18,329 | ||||||
CME Group, Inc. | 48,955 | 2,483 | ||||||
Comerica, Inc. | 32,144 | 975 | ||||||
DDR Corp. REIT | 1,532 | 24 | ||||||
Discover Financial Services | 83,105 | 3,204 | ||||||
E*Trade Financial Corp.(a) | 35,531 | 318 | ||||||
Equity Residential | 51,157 | 2,899 | ||||||
Fifth Third Bancorp | 147,916 | 2,247 | ||||||
First Horizon National Corp. | 43,755 | 434 | ||||||
Franklin Resources, Inc. | 22,380 | 2,813 | ||||||
Genworth Financial, Inc. Class A(a) | 72,151 | 542 | ||||||
Goldman Sachs Group, Inc. | 70,534 | 8,997 | ||||||
Hartford Financial Services Group, Inc. | 70,197 | 1,575 | ||||||
HCP, Inc. | 73,400 | 3,316 | ||||||
Health Care REIT, Inc. | 40,700 | 2,495 | ||||||
Hudson City Bancorp, Inc. | 76,692 | 624 | ||||||
Huntington Bancshares, Inc. | 141,956 | 907 | ||||||
IntercontinentalExchange, Inc.(a) | 11,980 | 1,483 | ||||||
Invesco, Ltd. | 72,200 | 1,884 | ||||||
J.P. Morgan Chase & Co. | 604,015 | 26,559 | ||||||
KeyCorp | 148,675 | 1,252 | ||||||
Kimco Realty Corp. | 62,669 | 1,211 | ||||||
Legg Mason, Inc. | 18,042 | 464 | ||||||
Leucadia National Corp. | 29,736 | 707 | ||||||
Lincoln National Corp. | 46,592 | 1,207 | ||||||
Loews Corp. | 51,131 | 2,084 | ||||||
M&T Bank Corp. | 18,737 | 1,845 | ||||||
Marsh & McLennan Cos., Inc. | 88,553 | 3,052 | ||||||
Mastercard, Inc. Class A | 16,800 | 8,254 | ||||||
MetLife, Inc. | 168,196 | 5,540 | ||||||
Moody’s Corp. | 30,266 | 1,523 | ||||||
See Notes to Financial Statements.
31
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2012
| Shares | Market Value (000) | |||||||
COMMON STOCKS – (continued) | ||||||||
Financials – (continued) | ||||||||
Morgan Stanley | 221,530 | $ | 4,236 | |||||
NASDAQ OMX Group, Inc. | 18,400 | 460 | ||||||
Northern Trust Corp. | 32,506 | 1,631 | ||||||
NYSE Euronext | 40,200 | 1,268 | ||||||
Paychex, Inc. | 50,738 | 1,580 | ||||||
People’s United Financial, Inc. | 57,000 | 689 | ||||||
PNC Financial Services Group, Inc. | 84,717 | 4,940 | ||||||
Principal Financial Group, Inc. | 39,991 | 1,141 | ||||||
Progressive Corp. | 84,501 | 1,783 | ||||||
ProLogis, Inc. | 72,299 | 2,638 | ||||||
Prudential Financial, Inc. | 74,339 | 3,965 | ||||||
Public Storage, Inc. | 23,087 | 3,347 | ||||||
Regions Financial Corp. | 218,789 | 1,558 | ||||||
Simon Property Group, Inc. | 48,815 | 7,717 | ||||||
SLM Corp. | 77,454 | 1,327 | ||||||
State Street Corp.(c) | 72,725 | 3,419 | ||||||
SunTrust Banks, Inc. | 86,518 | 2,453 | ||||||
T. Rowe Price Group, Inc. | 40,075 | 2,610 | ||||||
The Bank of New York Mellon Corp. | 188,685 | 4,849 | ||||||
Torchmark Corp. | 14,931 | 771 | ||||||
Total System Services, Inc. | 26,575 | 569 | ||||||
Travelers Cos., Inc. | 61,604 | 4,424 | ||||||
U.S. Bancorp | 300,952 | 9,612 | ||||||
Unum Group | 46,829 | 975 | ||||||
Ventas, Inc. | 47,300 | 3,061 | ||||||
Visa, Inc. Class A | 82,400 | 12,490 | ||||||
Vornado Realty Trust | 25,514 | 2,043 | ||||||
Wells Fargo & Co. | 775,449 | 26,505 | ||||||
Western Union Co. | 98,485 | 1,340 | ||||||
XL Group PLC | 50,268 | 1,260 | ||||||
Zions Bancorp. | 30,453 | 652 | ||||||
|
| |||||||
| 335,214 | ||||||||
|
| |||||||
Health Care – 11.6% | ||||||||
Abbott Laboratories | 251,206 | 16,454 | ||||||
Aetna, Inc. | 54,750 | 2,535 | ||||||
Alexion Pharmaceuticals, Inc.(a) | 30,400 | 2,852 | ||||||
Allergan, Inc. | 49,192 | 4,512 | ||||||
AmerisourceBergen Corp. | 34,986 | 1,511 | ||||||
Amgen, Inc. | 121,445 | 10,483 | ||||||
Baxter International, Inc. | 87,561 | 5,837 | ||||||
Becton Dickinson and Co. | 31,997 | 2,502 | ||||||
Biogen Idec, Inc.(a) | 37,731 | 5,534 | ||||||
Boston Scientific Corp.(a) | 219,034 | 1,255 | ||||||
Bristol-Myers Squibb Co. | 263,016 | 8,572 | ||||||
C.R. Bard, Inc. | 11,997 | 1,173 | ||||||
Cardinal Health, Inc. | 53,957 | 2,222 | ||||||
CareFusion Corp.(a) | 33,878 | 968 | ||||||
Celgene Corp.(a) | 67,118 | 5,284 | ||||||
Cerner Corp.(a) | 23,000 | 1,786 | ||||||
CIGNA Corp. | 45,996 | 2,459 | ||||||
Coventry Health Care, Inc. | 21,903 | 982 | ||||||
Covidien PLC | 76,800 | 4,434 | ||||||
DaVita, Inc.(a) | 12,300 | 1,359 | ||||||
Dentsply International, Inc. | 23,300 | 923 | ||||||
Edwards Lifesciences Corp.(a) | 19,000 | 1,713 | ||||||
Eli Lilly & Co. | 159,675 | 7,875 | ||||||
Express Scripts Holding Co.(a) | 129,914 | 7,015 | ||||||
| Shares | Market Value (000) | |||||||
Forest Laboratories, Inc.(a) | 37,402 | $ | 1,321 | |||||
Gilead Sciences, Inc.(a) | 120,999 | 8,887 | ||||||
Hospira, Inc.(a) | 25,303 | 790 | ||||||
Humana, Inc. | 26,207 | 1,799 | ||||||
Intuitive Surgical, Inc.(a) | 6,300 | 3,089 | ||||||
Johnson & Johnson | 439,549 | 30,812 | ||||||
Laboratory Corp. of America | 15,422 | 1,336 | ||||||
Life Technologies Corp.(a) | 27,887 | 1,369 | ||||||
McKesson Corp. | 37,255 | 3,612 | ||||||
Mead Johnson Nutrition Co. | 32,618 | 2,149 | ||||||
Medtronic, Inc. | 159,778 | 6,554 | ||||||
Merck & Co., Inc. | 480,370 | 19,666 | ||||||
Mylan, Inc.(a) | 63,209 | 1,737 | ||||||
Patterson Cos., Inc. | 12,894 | 441 | ||||||
Perrigo Co. | 14,400 | 1,498 | ||||||
Pfizer, Inc. | 1,167,611 | 29,284 | ||||||
Quest Diagnostics, Inc. | 25,600 | 1,492 | ||||||
St. Jude Medical, Inc. | 50,326 | 1,819 | ||||||
Stryker Corp. | 46,289 | 2,538 | ||||||
Tenet Healthcare Corp.(a) | 18,342 | 596 | ||||||
UnitedHealth Group, Inc. | 161,796 | 8,776 | ||||||
Varian Medical Systems, Inc.(a) | 18,060 | 1,269 | ||||||
Watson Pharmaceuticals, Inc.(a) | 20,946 | 1,801 | ||||||
WellPoint, Inc. | 47,738 | 2,908 | ||||||
Zimmer Holdings, Inc. | 28,252 | 1,883 | ||||||
|
| |||||||
| 237,666 | ||||||||
|
| |||||||
Industrials – 10.1% | ||||||||
3M Co. | 99,672 | 9,255 | ||||||
ADT Corp. | 36,250 | 1,685 | ||||||
Amphenol Corp. Class A | 26,100 | 1,689 | ||||||
Avery Dennison Corp. | 15,388 | 537 | ||||||
Boeing Co. | 105,888 | 7,980 | ||||||
Caterpillar, Inc. | 103,679 | 9,288 | ||||||
CH Robinson Worldwide, Inc. | 25,861 | 1,635 | ||||||
Cintas Corp. | 17,588 | 719 | ||||||
CSX Corp. | 168,914 | 3,333 | ||||||
Cummins, Inc. | 28,358 | 3,073 | ||||||
Danaher Corp. | 93,572 | 5,231 | ||||||
Deere & Co. | 62,737 | 5,422 | ||||||
Dover Corp. | 29,995 | 1,971 | ||||||
Eaton Corp. PLC | 71,424 | 3,871 | ||||||
Emerson Electric Co. | 115,548 | 6,119 | ||||||
Equifax, Inc. | 19,983 | 1,081 | ||||||
Expeditors International Washington, Inc. | 34,020 | 1,345 | ||||||
Fastenal Co. | 40,300 | 1,882 | ||||||
FedEx Corp. | 46,800 | 4,293 | ||||||
First Solar, Inc.(a) | 8,070 | 249 | ||||||
Flir Systems, Inc. | 23,500 | 524 | ||||||
Flowserve Corp. | 8,400 | 1,233 | ||||||
Fluor Corp. | 26,960 | 1,584 | ||||||
Fortune Brands Home & Security, | 1,145 | 33 | ||||||
General Dynamics Corp. | 53,161 | 3,682 | ||||||
General Electric Co. | 1,663,433 | 34,915 | ||||||
Honeywell International, Inc. | 122,081 | 7,748 | ||||||
Illinois Tool Works, Inc. | 69,071 | 4,200 | ||||||
Ingersoll-Rand PLC | 43,300 | 2,077 | ||||||
See Notes to Financial Statements.
32
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2012
| Shares | Market Value (000) | |||||||
COMMON STOCKS – (continued) | ||||||||
Industrials – (continued) | ||||||||
Iron Mountain, Inc. | 24,010 | $ | 746 | |||||
Jacobs Engineering Group, Inc.(a) | 20,400 | 868 | ||||||
Joy Global, Inc. | 17,200 | 1,097 | ||||||
L-3 Communications Holdings, Inc. | 15,703 | 1,203 | ||||||
Leggett & Platt, Inc. | 20,398 | 555 | ||||||
Lockheed Martin Corp. | 43,152 | 3,983 | ||||||
Masco Corp. | 57,123 | 952 | ||||||
Norfolk Southern Corp. | 50,855 | 3,145 | ||||||
Northrop Grumman Corp. | 39,511 | 2,670 | ||||||
PACCAR, Inc. | 56,774 | 2,567 | ||||||
Pall Corp. | 18,609 | 1,121 | ||||||
Parker Hannifin Corp. | 23,903 | 2,033 | ||||||
Pentair, Ltd. | 33,495 | 1,646 | ||||||
Pitney Bowes, Inc. | 29,727 | 316 | ||||||
Precision Castparts Corp. | 23,007 | 4,358 | ||||||
Quanta Services, Inc.(a) | 35,000 | 955 | ||||||
Raytheon Co. | 52,982 | 3,050 | ||||||
Republic Services, Inc. | 50,103 | 1,470 | ||||||
Robert Half International, Inc. | 23,540 | 749 | ||||||
Rockwell Automation, Inc. | 22,505 | 1,890 | ||||||
Rockwell Collins, Inc. | 22,531 | 1,311 | ||||||
Roper Industries, Inc. | 16,100 | 1,795 | ||||||
Ryder System, Inc. | 7,921 | 395 | ||||||
Southwest Airlines Co. | 114,186 | 1,169 | ||||||
Stericycle, Inc.(a) | 14,100 | 1,315 | ||||||
Textron, Inc. | 44,839 | 1,112 | ||||||
Thermo Fisher Scientific, Inc. | 58,124 | 3,707 | ||||||
Tyco International, Ltd. | 72,500 | 2,121 | ||||||
Union Pacific Corp. | 74,268 | 9,337 | ||||||
United Parcel Service, Inc. Class B | 112,546 | 8,298 | ||||||
United Technologies Corp. | 132,078 | 10,832 | ||||||
W.W. Grainger, Inc. | 9,669 | 1,957 | ||||||
Waste Management, Inc. | 68,239 | 2,302 | ||||||
Xylem, Inc. | 28,692 | 778 | ||||||
|
| |||||||
| 208,457 | ||||||||
|
| |||||||
Information Technology – 17.2% | ||||||||
Accenture PLC Class A | 101,500 | 6,750 | ||||||
Adobe Systems, Inc.(a) | 77,957 | 2,937 | ||||||
Advanced Micro Devices, Inc.(a) | 84,086 | 202 | ||||||
Agilent Technologies, Inc. | 54,968 | 2,250 | ||||||
Akamai Technologies, Inc.(a) | 27,324 | 1,118 | ||||||
Altera Corp. | 50,554 | 1,741 | ||||||
Analog Devices, Inc. | 47,269 | 1,988 | ||||||
AOL, Inc.(a)(d) | 1 | — | ||||||
Apple, Inc. | 149,384 | 79,626 | ||||||
Applied Materials, Inc. | 185,707 | 2,125 | ||||||
Autodesk, Inc.(a) | 36,476 | 1,289 | ||||||
Automatic Data Processing, Inc. | 75,317 | 4,294 | ||||||
BMC Software, Inc.(a) | 22,421 | 889 | ||||||
Broadcom Corp. Class A(a) | 82,359 | 2,735 | ||||||
CA, Inc. | 56,999 | 1,253 | ||||||
Cisco Systems, Inc. | 835,919 | 16,426 | ||||||
Citrix Systems, Inc.(a) | 29,667 | 1,951 | ||||||
Cognizant Technology Solutions Corp. Class A(a) | 47,784 | 3,538 | ||||||
Computer Sciences Corp. | 23,144 | 927 | ||||||
Corning, Inc. | 238,976 | 3,016 | ||||||
| Shares | Market Value (000) | |||||||
Dell, Inc. | 236,250 | $ | 2,393 | |||||
Dun & Bradstreet Corp. | 7,100 | 558 | ||||||
Electronic Arts, Inc.(a) | 50,400 | 732 | ||||||
EMC Corp.(a) | 334,284 | 8,457 | ||||||
F5 Networks, Inc.(a) | 12,200 | 1,185 | ||||||
Fidelity National Information Services, Inc. | 41,377 | 1,440 | ||||||
Fiserv, Inc.(a) | 21,052 | 1,664 | ||||||
Google, Inc. Class A(a) | 42,190 | 29,928 | ||||||
Harris Corp. | 18,600 | 911 | ||||||
Hewlett-Packard Co. | 312,916 | 4,459 | ||||||
Intel Corp. | 795,756 | 16,417 | ||||||
International Business Machines Corp. | 168,442 | 32,265 | ||||||
Intuit, Inc. | 42,163 | 2,509 | ||||||
Jabil Circuit, Inc. | 27,551 | 532 | ||||||
Juniper Networks, Inc.(a) | 84,393 | 1,660 | ||||||
KLA-Tencor Corp. | 27,005 | 1,290 | ||||||
Lam Research Corp.(a) | 25,858 | 934 | ||||||
Linear Technology Corp. | 35,263 | 1,210 | ||||||
LSI Corp.(a) | 89,162 | 631 | ||||||
Microchip Technology, Inc. | 29,389 | 958 | ||||||
Micron Technology, Inc.(a) | 160,962 | 1,022 | ||||||
Microsoft Corp.(b) | 1,201,435 | 32,114 | ||||||
Molex, Inc. | 23,205 | 634 | ||||||
Motorola Solutions, Inc. | 45,952 | 2,559 | ||||||
NetApp, Inc.(a) | 57,357 | 1,924 | ||||||
NVIDIA Corp. | 99,956 | 1,229 | ||||||
Oracle Corp. | 595,662 | 19,848 | ||||||
PerkinElmer, Inc. | 19,218 | 610 | ||||||
QUALCOMM, Inc. | 271,011 | 16,808 | ||||||
Red Hat, Inc.(a) | 29,800 | 1,578 | ||||||
SAIC, Inc. | 42,900 | 486 | ||||||
Salesforce.com, Inc.(a) | 20,500 | 3,446 | ||||||
SanDisk Corp.(a) | 38,367 | 1,671 | ||||||
Seagate Technology PLC | 54,800 | 1,670 | ||||||
Symantec Corp.(a) | 109,963 | 2,068 | ||||||
TE Connectivity, Ltd. | 67,300 | 2,498 | ||||||
Teradata Corp.(a) | 27,720 | 1,716 | ||||||
Teradyne, Inc.(a) | 28,149 | 475 | ||||||
Texas Instruments, Inc. | 181,899 | 5,628 | ||||||
VeriSign, Inc.(a) | 24,721 | 960 | ||||||
Waters Corp.(a) | 13,765 | 1,199 | ||||||
Western Digital Corp. | 32,400 | 1,377 | ||||||
Xerox Corp. | 209,101 | 1,426 | ||||||
Xilinx, Inc. | 42,502 | 1,526 | ||||||
Yahoo!, Inc.(a) | 167,019 | 3,324 | ||||||
|
| |||||||
| 352,984 | ||||||||
|
| |||||||
Materials – 3.7% | ||||||||
Air Products & Chemicals, Inc. | 33,209 | 2,790 | ||||||
Airgas, Inc. | 11,600 | 1,059 | ||||||
Alcoa, Inc. | 169,749 | 1,473 | ||||||
Allegheny Technologies, Inc. | 17,228 | 523 | ||||||
Ball Corp. | 25,024 | 1,120 | ||||||
Bemis Co., Inc. | 17,462 | 584 | ||||||
CF Industries Holdings, Inc. | 9,450 | 1,920 | ||||||
Cliffs Natural Resources, Inc. | 22,200 | 856 | ||||||
Dow Chemical Co. | 189,628 | 6,129 | ||||||
E.I. du Pont de Nemours & Co. | 148,112 | 6,661 | ||||||
See Notes to Financial Statements.
33
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2012
| Shares | Market Value (000) | |||||||
COMMON STOCKS – (continued) | ||||||||
Materials – (continued) | ||||||||
Eastman Chemical Co. | 23,708 | $ | 1,613 | |||||
Ecolab, Inc. | 42,166 | 3,032 | ||||||
FMC Corp. | 21,400 | 1,252 | ||||||
Freeport-McMoRan Copper & Gold, Inc. Class B | 152,104 | 5,202 | ||||||
International Flavors & Fragrances, Inc. | 13,031 | 867 | ||||||
International Paper Co. | 71,411 | 2,845 | ||||||
LyondellBasell Industries NV | 59,400 | 3,391 | ||||||
MeadWestvaco Corp. | 26,720 | 852 | ||||||
Monsanto Co. | 85,355 | 8,079 | ||||||
Mosaic Co. | 41,900 | 2,373 | ||||||
Newmont Mining Corp. | 78,406 | 3,641 | ||||||
Nucor Corp. | 49,654 | 2,144 | ||||||
Owens-Illinois, Inc.(a) | 24,000 | 510 | ||||||
Plum Creek Timber Co., Inc. | 25,311 | 1,123 | ||||||
PPG Industries, Inc. | 24,271 | 3,285 | ||||||
Praxair, Inc. | 46,511 | 5,091 | ||||||
Sealed Air Corp. | 28,792 | 504 | ||||||
Sherwin-Williams Co. | 13,696 | 2,107 | ||||||
Sigma-Aldrich Corp. | 19,134 | 1,408 | ||||||
United States Steel Corp. | 21,478 | 513 | ||||||
Vulcan Materials Co. | 21,361 | 1,112 | ||||||
Weyerhaeuser Co. | 87,474 | 2,433 | ||||||
|
| |||||||
| 76,492 | ||||||||
|
| |||||||
Telecommunication Services – 3.0% |
| |||||||
AT&T, Inc. | 900,850 | 30,368 | ||||||
CenturyLink, Inc. | 99,565 | 3,895 | ||||||
Crown Castle International Corp.(a) | 46,900 | 3,384 | ||||||
Frontier Communications Corp. | 165,844 | 710 | ||||||
JDS Uniphase Corp.(a) | 32,523 | 440 | ||||||
MetroPCS Communications, Inc.(a) | 52,500 | 522 | ||||||
Sprint Nextel Corp.(a) | 479,365 | 2,718 | ||||||
Verizon Communications, Inc. | 449,166 | 19,435 | ||||||
Windstream Corp. | 99,213 | 822 | ||||||
|
| |||||||
| 62,294 | ||||||||
|
| |||||||
Utilities – 3.4% | ||||||||
AES Corp. | 103,195 | 1,104 | ||||||
AGL Resources, Inc. | 18,100 | 723 | ||||||
Ameren Corp. | 37,560 | 1,154 | ||||||
American Electric Power Co., Inc. | 76,652 | 3,272 | ||||||
CenterPoint Energy, Inc. | 66,311 | 1,276 | ||||||
CMS Energy Corp. | 42,056 | 1,025 | ||||||
Consolidated Edison, Inc. | 47,252 | 2,624 | ||||||
Dominion Resources, Inc. | 90,862 | 4,707 | ||||||
DTE Energy Co. | 27,484 | 1,650 | ||||||
Duke Energy Corp. | 112,783 | 7,196 | ||||||
Edison International | 53,219 | 2,405 | ||||||
Entergy Corp. | 27,698 | 1,766 | ||||||
Exelon Corp. | 136,543 | 4,061 | ||||||
FirstEnergy Corp. | 68,122 | 2,845 | ||||||
Integrys Energy Group, Inc. | 11,616 | 607 | ||||||
NextEra Energy, Inc. | 67,721 | 4,686 | ||||||
NiSource, Inc. | 45,982 | 1,144 | ||||||
Northeast Utilities | 50,060 | 1,956 | ||||||
NRG Energy, Inc. | 49,000 | 1,127 | ||||||
| Shares | Market Value (000) | |||||||
Oneok, Inc. | 32,200 | $ | 1,377 | |||||
Pepco Holdings, Inc. | 34,700 | 680 | ||||||
PG&E Corp. | 66,926 | 2,689 | ||||||
Pinnacle West Capital Corp. | 17,860 | 910 | ||||||
PPL Corp. | 92,275 | 2,642 | ||||||
Public Service Enterprise Group, Inc. | 80,924 | 2,476 | ||||||
SCANA Corp. | 21,000 | 958 | ||||||
Sempra Energy | 35,286 | 2,503 | ||||||
Southern Co. | 139,943 | 5,991 | ||||||
TECO Energy, Inc. | 34,951 | 586 | ||||||
Wisconsin Energy Corp. | 38,100 | 1,404 | ||||||
Xcel Energy, Inc. | 75,951 | 2,029 | ||||||
|
| |||||||
| 69,573 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 2,024,813 | |||||||
|
| |||||||
| Par Amount | ||||||||
U.S. GOVERNMENT SECURITIES – 0.1% |
| |||||||
U.S. Treasury Bill(b)(e)(f) | $ | 400,000 | 400 | |||||
U.S. Treasury Bill(b)(e)(f) | 610,000 | 610 | ||||||
U.S. Treasury Bill(b)(e)(f) | 1,150,000 | 1,150 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT SECURITIES |
| 2,160 | ||||||
|
| |||||||
| Shares | ||||||||
MONEY MARKET FUND – 1.2% |
| |||||||
State Street Institutional Liquid Reserves Fund 0.17%(c)(g) | 25,053,183 | 25,053 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUND |
| 25,053 | ||||||
|
| |||||||
TOTAL INVESTMENTS(h) – 99.8% |
| 2,052,026 | ||||||
Other Assets in Excess of | 3,215 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 2,055,241 | ||||||
|
| |||||||
| (a) | Non-income producing security. |
| (b) | All or part of this security has been designated as collateral for futures contracts. |
| (c) | Affiliated issuer. See table that follows for more information. |
| (d) | Amount is less than $1,000. |
| (e) | Rate represents annualized yield at date of purchase. |
| (f) | Value determined based on Level 2 inputs. (Note 2) |
| (g) | The rate shown is the annualized seven-day yield at period end. |
| (h) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs. (Note 2) |
| PLC | = Public Limited Company |
| REIT | = Real Estate Investment Trust |
See Notes to Financial Statements.
34
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2012
Schedule of Futures | Number of Contracts | Notional Value (000) | Unrealized Appreciation (000) | |||||||||
S&P 500 Financial Futures Contracts (long) Expiration Date 03/2013 | 399 | $ | 28,262 | $ | 69 | |||||||
|
| |||||||||||
Total unrealized appreciation on open futures contracts purchased | $ | 69 | ||||||||||
|
| |||||||||||
Affiliates 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 Portfolio also invested in the State Street Institutional Liquid Reserves Fund. Transactions in all affiliates for the year ending December 31, 2012 were as follows:
Security Description | Number of shares held at 12/31/11 | Shares purchased for the year ended 12/31/12 | Shares sold for the year ended 12/31/12 | Number of shares held at 12/31/12 | Value at 12/31/12 (000) | Income earned for the year ended 12/31/12 (000) | Realized gain on shares sold (000) | |||||||||||||||||||||
State Street Corp. | 79,225 | 5,700 | 12,200 | 72,725 | $ | 3,419 | $ | 71 | $ | 19 | ||||||||||||||||||
State Street Institutional Liquid Reserves Fund | – | 262,860,342 | 237,807,159 | 25,053,183 | 25,053 | 46 | – | |||||||||||||||||||||
See Notes to Financial Statements.
35
State Street Equity 500 Index Portfolio
Statement of Assets and Liabilities
December 31, 2012
(Amounts in thousands)
Assets |
| |||
Investments in unaffiliated issuers at market value | $ | 2,023,554 | ||
Investments in non-controlled affiliates at market value | 28,472 | |||
|
| |||
Total investments at market value (identified cost $1,211,700) | 2,052,026 | |||
Receivable for investment securities sold | 301 | |||
Daily variation margin on futures contracts | 720 | |||
Dividends and interest receivable | 2,245 | |||
|
| |||
Total assets | 2,055,292 | |||
Liabilities | ||||
Management fees payable (Note 4) | 51 | |||
|
| |||
Total liabilities | 51 | |||
|
| |||
Net Assets | $ | 2,055,241 | ||
|
| |||
See Notes to Financial Statements.
36
State Street Equity 500 Index Portfolio
Year Ended December 31, 2012
(Amounts in thousands)
Investment Income | ||||
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $103) | $ | 44,960 | ||
Dividend income – non-controlled affiliated issuer | 117 | |||
Interest | 62 | |||
|
| |||
Total investment income | 45,139 | |||
|
| |||
Expenses | ||||
Management fees (Note 4) | 881 | |||
|
| |||
Total expenses | 881 | |||
|
| |||
Net Investment Income | 44,258 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on: | ||||
Investments – unaffiliated issuers | 54,491 | |||
Investments – non-controlled affiliated issuer | 19 | |||
Futures contracts | 5,272 | |||
|
| |||
| 59,782 | ||||
|
| |||
Net change in net unrealized appreciation (depreciation) on: | ||||
Investments | 177,781 | |||
Futures contracts | (70 | ) | ||
|
| |||
| 177,711 | ||||
|
| |||
Net realized and unrealized gain | 237,493 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 281,751 | ||
|
|
See Notes to Financial Statements.
37
State Street Equity 500 Index Portfolio
Statements of Changes in Net Assets
(Amounts in thousands)
| For the Year Ended December 31, 2012 | For the Year Ended December 31, 2011 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income | $ | 44,258 | $ | 38,015 | ||||
Net realized gain on investments and futures contracts | 59,782 | 68,236 | ||||||
Net change in net unrealized appreciation (depreciation) on investments and futures contracts | 177,711 | (60,650 | ) | |||||
|
|
|
| |||||
Net increase in net assets from operations | 281,751 | 45,601 | ||||||
|
|
|
| |||||
Capital Transactions | ||||||||
Contributions | 262,982 | 279,791 | ||||||
Withdrawals | (315,020 | ) | (598,001 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from capital transactions | (52,038 | ) | (318,210 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | 229,713 | (272,609 | ) | |||||
Net Assets | ||||||||
Beginning of year | 1,825,528 | 2,098,137 | ||||||
|
|
|
| |||||
End of year | $ | 2,055,241 | $ | 1,825,528 | ||||
|
|
|
| |||||
See Notes to Financial Statements.
38
State Street Equity 500 Index Portfolio
The following table includes selected supplemental data and ratios to average net assets:
| Year Ended 12/31/12 | Year Ended 12/31/11 | Year Ended 12/31/10 | Year Ended 12/31/09 | Year Ended 12/31/08 | ||||||||||||||||
Supplemental Data and Ratios: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,055,241 | $ | 1,825,528 | $ | 2,098,137 | $ | 1,893,386 | $ | 1,522,208 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Operating expenses | 0.045 | % | 0.045 | % | 0.045 | % | 0.045 | % | 0.045 | % | ||||||||||
Net investment income | 2.26 | % | 2.04 | % | 1.99 | % | 2.28 | % | 2.30 | % | ||||||||||
Portfolio turnover rate(a) | 9 | % | 15 | % | 12 | % | 19 | % | 14 | % | ||||||||||
Total return(b) | 15.97 | % | 2.03 | % | 15.08 | % | 26.50 | % | (37.02 | )% | ||||||||||
| (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
State Street Equity 500 Index Portfolio
December 31, 2012
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 ten 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 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, 2012, the following Portfolios were operational: the Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market 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 Composite Stock Price 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. These provisions apply to fair value measurements that are already required or permitted by other accounting standards and are intended to increase the
40
State Street Equity 500 Index Portfolio
Notes to Financial Statements — (continued)
December 31, 2012
consistency of those measurements and apply 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, 2012, 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 | $ | 2,024,813 | $ | — | $ | — | $ | 2,024,813 | ||||||||
U.S. Government Securities | — | 2,160 | — | 2,160 | ||||||||||||
Money Market Fund | 25,053 | — | — | 25,053 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | 2,049,866 | 2,160 | — | 2,052,026 | ||||||||||||
OTHER ASSETS: | ||||||||||||||||
Futures contracts | 69 | — | — | 69 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL ASSETS | $ | 2,049,935 | $ | 2,160 | $ | — | $ | 2,052,095 | ||||||||
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| |||||||||
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.
For the year ended December 31, 2012, 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
State Street Equity 500 Index Portfolio
Notes to Financial Statements — (continued)
December 31, 2012
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 on a daily basis 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, 2012, 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, 2012, tax years 2009 through 2012 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, 2012, the tax cost of investments was $1,211,700,264 on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $877,545,005 and $37,219,452 respectively, resulting in net appreciation of $840,325,553 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 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.
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. 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 Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio
42
State Street Equity 500 Index Portfolio
Notes to Financial Statements — (continued)
December 31, 2012
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, 2012:
Asset Derivatives(1) (amounts in thousands)
Equity Contracts | Total | |||||||
Futures Contracts | $ | 69 | $ | 69 | ||||
| (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, 2012, were as follows:
Realized Gain (Loss)(2) (amounts in thousands)
Equity Contracts | Total | |||||||
Futures Contracts | $ | 5,272 | $ | 5,272 | ||||
Change in Appreciation (Depreciation)(3) (amounts in thousands)
Equity Contracts | Total | |||||||
Futures Contracts | $ | (70 | ) | $ | (70 | ) | ||
| (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 year ended December 31, 2012, was $39,836,418.
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, 2012, purchases and sales of investment securities, excluding short-term investments and futures contracts, aggregated to $198,682,282 and $173,603,446, respectively.
43
State Street Equity 500 Index Portfolio
Notes to Financial Statements — (continued)
December 31, 2012
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, 2012 is listed in the Portfolio of Investments.
5. Trustees’ Fees
Each Independent Trustee receives for his or her services a $100,000 retainer in addition to $5,000 for each in-person meeting and $1,250 for each telephonic meeting from the Trust. The Chairman receives an additional $30,000 annual retainer and the Audit Committee Chair receives an additional $10,000 annual retainer.
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 December 2011, FASB issued ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities.” These common disclosure requirements are intended to help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a portfolio’s financial position. They also improve transparency in the reporting of how companies mitigate credit risk, including disclosure of related collateral pledged or received. In addition, ASU 2011-11 facilitates comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU 2011-11 requires entities to disclose both gross and net information about both instruments and transactions eligible for offset in the financial position; and disclose instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2011-11 is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods. Management is currently evaluating the implications of ASU 2011-11 and its impact on financial statement disclosures.
44
State Street Equity 500 Index Portfolio
Notes to Financial Statements — (continued)
December 31, 2012
In this reporting period the Trust adopted FASB Accounting Standards Update 2011-04, Fair Value Measurement (ASC 820) – Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs (“ASU 2011-04”). ASU 2011-04 seeks to improve the comparability of fair value measurements as presented and disclosed in the financial statements prepared in accordance with U.S. GAAP and International Financial Reporting Standards (IFRS) by providing common requirements for fair value measurement and disclosure. The guidance clarified that a reporting entity should disclose quantitative information from the observable inputs used in fair value measurement that is categorized within Level 3 of the fair value hierarchy and also required additional disclosure regarding the valuation processes used by the reporting entity. The guidance was effective for annual reporting periods beginning after December 15, 2011. The Trust adopted this guidance for the fiscal year ended December 31, 2012 and determined that the adoption did not have a material impact on its financial statements. Please see note 2 for additional information.
45
State Street Equity 500 Index Portfolio
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, 2012, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2012 by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Equity 500 Index Portfolio, a portfolio of State Street Master Funds, at December 31, 2012, 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 22, 2013
46
State Street Equity 500 Index Portfolio
General Information
December 31, 2012 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Trust has adopted proxy voting procedures relating to portfolio securities held by the Portfolio. A description of the policies and procedures are available without charge, upon request, (i) by calling (877) 521-4083 or (ii) on the website of the Securities and Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by August 31 without charge, upon request, (i) by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.
Advisory Agreement Renewal
The Board of Trustees of the Trust met on November 15, 2012 (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 Independent Trustees convened a special telephonic meeting on October 18, 2012 (the “Preliminary Meeting”), at which they reviewed renewal materials provided by 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, 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 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
47
State Street Equity 500 Index Portfolio
General Information — (continued)
December 31, 2012 (Unaudited)
Advisory Agreement Renewal — (continued)
regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $1.95 trillion in assets under management at August 31, 2012, including over $259 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 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, 2012, 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, 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 tended to increase in recent periods as a number of the Funds and Portfolios had experienced significant growth, and they determined to reconsider again the profitability of these relationships to the Adviser and State Street at the next year’s renewal meeting.
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
48
State Street Equity 500 Index Portfolio
General Information — (continued)
December 31, 2012 (Unaudited)
Advisory Agreement Renewal — (continued)
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 and its affiliate, State Street Global Advisors (“SSgA”). They noted that as a general matter fees paid to the Adviser by other, closely similar mutual funds sponsored by State Street tended to be higher than the fees paid by the Portfolio, with some exceptions, whereas fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by SSgA tended to be lower than those paid by the Portfolio, again with some exceptions; 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 sub-advised funds and other types of institutional clients. The Trustees determined that, in light of these significant differences, the fees paid by sub-advised funds and other types of clients 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 in connection with the Portfolio’s brokerage transactions to obtain third-party (non-proprietary research) services. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fee excessive.
The Trustees also considered the extent to which economies of scale may be realized by the Portfolio as assets grow and whether the Portfolio’s fee 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 decided to approve the continuance of the Advisory Agreement.
49
Trustees and Executive Officers (Unaudited)
The table below includes information about the Trustees and Executive Officers of the State Street Master Funds, including their:
| • | business addresses and ages; |
| • | principal occupations during the past five years; and |
| • | other directorships of publicly traded companies or funds. |
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | 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
YOB: 1944 | Trustee and Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 20 | Trustee, State Street Institutional Investment Trust; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loan Funds. | |||||
William L. Boyan P.O. Box 5049 Boston, MA 02206
YOB: 1937 | Trustee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999) Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 –2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010). | 20 | 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
YOB: 1948 | Trustee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health 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). | 20 | 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 Boston, MA 02206
YOB: 1940 | Trustee | Term: Indefinite Elected: 7/99 | Executive Vice President of Chase Manhattan Bank (1987 –1999). Mr. Williams retired in 1999. | 20 | Trustee, State Street Institutional Investment Trust; Treasurer, Nantucket Educational Trust (2002 – 2007). | |||||
| * | The “Fund Complex” consists of ten series of the Trust and ten series of State Street Institutional Investment Trust. |
50
Name, Address, | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | Number of Funds in Fund Complex Overseen by Trustee* | Other Directorships | |||||
Interested Trustee** | ||||||||||
James E. Ross SSgA Funds State Street Financial Center One Lincoln Street Boston, MA 02111-2900
YOB: 1965 | Interested Trustee | Term: Indefinite Elected Trustee: 2/07 | Chairman and Director, SSgA Funds Management, Inc. (2005 – present); President, SSgA Funds Management, Inc. (2005 – 2012); Senior Managing Director, State Street Global Advisors (2006 – present); Principal, State Street Global Advisors (2006 – present). | 170 | Trustee, State Street Institutional Investment Trust; Trustee, SPDR Series Trust; Trustee, SPDR Index Shares Funds; Trustee, The Select Sector SPDR Trust; Trustee, SSgA Active ETF Trust; and Trustee, SSgA Master Trust. | |||||
| * | The “Fund Complex” consists of ten series of the Trust and ten 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. |
Name, Address, | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | |||
Officers: | ||||||
Ellen M. Needham SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900
YOB: 1967 | President | Term: Indefinite Elected: 10/12 | President and Director, SSgA Funds Management Inc. (June 2012 – present); Chief Operating Officer, SSgA Funds Management, Inc. (May 2010 – June 2012); Senior Managing Director, SSgA Funds Management, Inc. (1992 – 2012); Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Ann M. Carpenter SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900
YOB: 1966 | Vice President | Term: Indefinite Elected: 10/12 | Vice President, SSgA Funds Management, Inc. (2008 –present); Principal, State Street Global Advisors (2005 – 2008 – present).* | |||
Laura F. Dell State Street Bank and Trust Company 4 Copley Place 5th floor Boston, MA 02116
YOB: 1964 | Treasurer
Assistant Treasurer | 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 Trust Company 4 Copley Place 5th floor Boston, MA 02116
YOB: 1969 | Assistant Treasurer | Term: Indefinite Elected: 09/11 | Vice President, State Street Bank and Trust Company (2001 – present).* | |||
Caroline Connolly State Street Bank and Trust Company 4 Copley Place 5th floor Boston, MA 02116
YOB: 1975 | Assistant Treasurer | Term: Indefinite Elected: 09/11 | Assistant Vice President, State Street Bank and Trust Company (2007 – present) | |||
51
Name, Address, | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | |||
Officers: (continued) | ||||||
Jacqueline Angell State Street Bank and Trust Company 20 Churchill Place London E14 5HJ
YOB: 1974 | Chief Compliance Officer | Term: Indefinite Elected: 04/11 | Head of UK Compliance, State Street Bank and Trust Company (July 2012 – present); Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2008 – June 2012); 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
YOB: 1972 | Secretary | Term: Indefinite Elected: 2/12 | Vice President and Senior Managing 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
YOB: 1970 | Assistant Secretary | Term: Indefinite Elected: 2/12 | Vice President and Counsel, State Street Bank and Trust Company (2007 – present).* | |||
Scott E. Habeeb State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, MA 02116
YOB: 1968 | Assistant Secretary | Term: Indefinite Elected: 2/12 | Vice President and Counsel, State Street Bank and Trust Company (2007 – present).* | |||
| * | 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.
52
Series Portfolio Information |
Master Small Cap Index Series |
As of December 31, 2012
| Percent of | ||||
Ten Largest Holdings | Long-Term Investments | |||
Ocwen Financial Corp. | 0.3 | % | ||
Genesee & Wyoming, Inc., Class A | 0.3 | |||
Two Harbors Investment Corp. | 0.3 | |||
Pharmacyclics, Inc. | 0.3 | |||
Starwood Property Trust, Inc. | 0.3 | |||
CommVault Systems, Inc. | 0.3 | |||
Alaska Air Group, Inc. | 0.3 | |||
Warnaco Group, Inc. | 0.2 | |||
Dril-Quip, Inc. | 0.2 | |||
WEX, Inc. | 0.2 | |||
| Percent of | ||||
Sector Allocation | Long-Term Investments | |||
Financials | 23 | % | ||
Information Technology | 16 | |||
Industrials | 16 | |||
Consumer Discretionary | 14 | |||
Health Care | 12 | |||
Energy | 6 | |||
Materials | 5 | |||
Consumer Staples | 4 | |||
Utilities | 3 | |||
Telecommunication Services | 1 | |||
For Series compliance purposes, the Series’ sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes, and/or as defined by Series management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.
Derivative Financial Instruments
Master Small Cap Index Series (the “Series”) may invest in various derivative financial instruments, including financial futures contracts and foreign currency exchange contracts, as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to an index and/or market without owning or taking physical custody of securities or to hedge market, foreign currency exchange rate and/or equity risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the
derivative financial instrument. The Series’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require the Series to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation the Series can realize on an investment or may cause the Series to hold an investment that it might otherwise sell. The Series’ investments in these instruments are discussed in detail in the Notes to Financial Statements.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 53 |
|
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Advertising Agencies — 0.6% |
| |||||||
Arbitron, Inc. | 12,300 | $ | 574,164 | |||||
Constant Contact, Inc. (a) | 14,183 | 201,541 | ||||||
Digital Generation, Inc. (a) | 12,824 | 139,269 | ||||||
Harte-Hanks, Inc. | 20,823 | 122,856 | ||||||
Marchex, Inc., Class B | 10,467 | 43,019 | ||||||
MDC Partners, Inc., Class A | 11,903 | 134,504 | ||||||
National CineMedia, Inc. | 26,061 | 368,242 | ||||||
QuinStreet, Inc. (a)(b) | 15,217 | 102,258 | ||||||
ReachLocal, Inc. (a) | 4,634 | 59,825 | ||||||
Travelzoo, Inc. (a) | 3,310 | 62,857 | ||||||
Valassis Communications, Inc. | 18,526 | 477,600 | ||||||
ValueClick, Inc. (a) | 34,918 | 677,758 | ||||||
Viad Corp. | 9,405 | 255,440 | ||||||
|
| |||||||
| 3,219,333 | ||||||||
|
| |||||||
Aerospace — 1.2% | ||||||||
AAR Corp. | 18,723 | 349,746 | ||||||
AeroVironment, Inc. (a) | 8,039 | 174,768 | ||||||
API Technologies Corp. (a) | 14,894 | 43,788 | ||||||
Astronics Corp. (a) | 5,599 | 128,105 | ||||||
CPI Aerostructures, Inc. (a) | 3,010 | 30,130 | ||||||
Cubic Corp. | 7,370 | 353,539 | ||||||
Curtiss-Wright Corp. | 21,788 | 715,300 | ||||||
Esterline Technologies Corp. (a) | 14,253 | 906,633 | ||||||
GenCorp, Inc. (a)(b) | 27,753 | 253,940 | ||||||
Heico Corp. | 24,502 | 1,096,709 | ||||||
Kaman Corp., Class A | 12,276 | 451,757 | ||||||
Kratos Defense & Security Solutions, Inc. (a) | 18,609 | 93,603 | ||||||
LMI Aerospace, Inc. (a) | 4,108 | 79,449 | ||||||
Moog, Inc., Class A (a) | 21,022 | 862,533 | ||||||
Orbital Sciences Corp. (a) | 27,376 | 376,968 | ||||||
SIFCO Industries, Inc. | 1,115 | 17,561 | ||||||
Teledyne Technologies, Inc. (a) | 17,083 | 1,111,591 | ||||||
|
| |||||||
| 7,046,120 | ||||||||
|
| |||||||
Agriculture, Fishing & Ranching — 0.4% |
| |||||||
Alico, Inc. | 1,588 | 58,168 | ||||||
The Andersons, Inc. | 8,636 | 370,484 | ||||||
Cadiz, Inc. (a) | 5,989 | 47,433 | ||||||
Cal-Maine Foods, Inc. | 6,712 | 269,957 | ||||||
Calavo Growers, Inc. | 5,514 | 139,008 | ||||||
Fresh Del Monte Produce, Inc. | 17,694 | 466,237 | ||||||
Limoneira Co. | 3,786 | 73,411 | ||||||
Pilgrims Pride Corp. (a) | 28,118 | 203,855 | ||||||
Sanderson Farms, Inc. | 10,678 | 507,739 | ||||||
Seaboard Corp. | 142 | 359,243 | ||||||
|
| |||||||
| 2,495,535 | ||||||||
|
| |||||||
Air Transport — 1.1% | ||||||||
Air Transport Services Group, Inc. (a) | 24,875 | 99,749 | ||||||
Alaska Air Group, Inc. (a) | 33,126 | 1,427,399 | ||||||
Allegiant Travel Co. | 6,976 | 512,108 | ||||||
Atlas Air Worldwide Holdings, Inc. (a) | 12,302 | 545,102 | ||||||
Bristow Group, Inc. | 16,648 | 893,332 | ||||||
Hawaiian Holdings, Inc. (a)(b) | 23,753 | 156,057 | ||||||
JetBlue Airways Corp. (a)(b) | 108,840 | 621,476 | ||||||
PHI, Inc. (a) | 6,046 | 202,481 | ||||||
Republic Airways Holdings, | 22,488 | 127,732 | ||||||
SkyWest, Inc. | 23,752 | 295,950 | ||||||
Spirit Airlines, Inc. (a) | 19,446 | 344,583 | ||||||
US Airways Group, Inc. (a) | 75,629 | 1,020,991 | ||||||
|
| |||||||
| 6,246,960 | ||||||||
|
| |||||||
Common Stocks | Shares | Value | ||||||
Alternative Energy — 0.1% |
| |||||||
Ameresco, Inc., Class A (a) | 9,317 | $ | 91,400 | |||||
Amyris, Inc. (a) | 14,050 | 43,836 | ||||||
EnerNOC, Inc. (a) | 11,483 | 134,925 | ||||||
Gevo, Inc. (a) | 15,328 | 23,605 | ||||||
Green Plains Renewable Energy, Inc. (a) | 11,665 | 92,270 | ||||||
Rex American Resources | 2,536 | 48,920 | ||||||
Solazyme, Inc. (a) | 15,692 | 123,339 | ||||||
|
| |||||||
| 558,295 | ||||||||
|
| |||||||
Aluminum — 0.2% | ||||||||
Century Aluminum Co. (a) | 24,040 | 210,590 | ||||||
Kaiser Aluminum Corp. | 8,981 | 554,038 | ||||||
Noranda Aluminum Holding Corp. | 15,628 | 95,487 | ||||||
|
| |||||||
| 860,115 | ||||||||
|
| |||||||
Asset Management & Custodian — 1.1% |
| |||||||
Apollo Investment Corp. | 94,882 | 793,214 | ||||||
Arlington Asset Investment Corp. | 5,125 | 106,446 | ||||||
Artio Global Investors, Inc. | 15,458 | 29,370 | ||||||
Calamos Asset Management, Inc., Class A | 9,113 | 96,324 | ||||||
Capital Southwest Corp. | 1,381 | 137,589 | ||||||
CIFC Corp. (a) | 3,076 | 24,608 | ||||||
Cohen & Steers, Inc. | 8,682 | 264,541 | ||||||
Cowen Group, Inc., Class A (a) | 41,037 | 100,541 | ||||||
Diamond Hill Investments Group, Inc. | 1,254 | 85,096 | ||||||
Epoch Holding Corp. | 7,477 | 208,608 | ||||||
Fifth Street Finance Corp. | 49,186 | 512,518 | ||||||
Financial Engines, Inc. (a) | 21,600 | 599,400 | ||||||
GAMCO Investors, Inc., Class A | 3,005 | 159,475 | ||||||
Golub Capital BDC, Inc. | 7,434 | 118,795 | ||||||
GSV Capital Corp. (a) | 9,151 | 77,143 | ||||||
Harris & Harris Group, Inc. (a) | 14,233 | 46,969 | ||||||
Horizon Technology Finance Corp. | 3,632 | 54,081 | ||||||
JMP Group, Inc. | �� | 7,709 | 46,794 | |||||
KCAP Financial, Inc. | 10,375 | 95,346 | ||||||
Manning & Napier, Inc. | 6,370 | 80,262 | ||||||
MCG Capital Corp. | 35,674 | 164,100 | ||||||
Medley Capital Corp. | 13,422 | 195,424 | ||||||
MVC Capital, Inc. | 11,160 | 135,594 | ||||||
National Financial Partners | 18,957 | 324,923 | ||||||
New Mountain Finance Corp. | 8,969 | 133,638 | ||||||
NGP Capital Resources Co. | 10,374 | 74,900 | ||||||
Oppenheimer Holdings, Inc. | 4,865 | 84,019 | ||||||
Pzena Investment Management, Inc., Class A | 4,938 | 26,665 | ||||||
Resource America, Inc., Class A | 5,783 | 38,573 | ||||||
Solar Capital Ltd. | 18,159 | 434,182 | ||||||
Solar Senior Capital Ltd. | 4,498 | 83,933 | ||||||
TCP Capital Corp. | 2,691 | 39,665 | ||||||
THL Credit, Inc. | 7,202 | 106,518 | ||||||
TICC Capital Corp. | 19,481 | 197,148 | ||||||
Virtus Investment Partners, | 2,824 | 341,535 | ||||||
Westwood Holdings Group, Inc. | 3,106 | 127,035 | ||||||
WisdomTree Investments, Inc. (a) | 27,240 | 166,709 | ||||||
|
| |||||||
| 6,311,681 | ||||||||
|
| |||||||
Auto Parts — 0.7% | ||||||||
American Axle & Manufacturing Holdings, Inc. (a) | 31,058 | 347,850 | ||||||
Dana Holding Corp. | 68,804 | 1,074,030 | ||||||
Dorman Products, Inc. | 11,418 | 403,512 | ||||||
Exide Technologies (a) | 36,413 | 124,533 | ||||||
Federal-Mogul Corp., Class A (a) | 8,519 | 68,322 | ||||||
See Notes to Financial Statements.
| 54 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Auto Parts (concluded) |
| |||||||
Fuel Systems Solutions, Inc. (a) | 6,855 | $ | 100,769 | |||||
Gentherm, Inc. (a) | 13,726 | 182,556 | ||||||
Meritor, Inc. (a) | 44,933 | 212,533 | ||||||
Standard Motor Products, Inc. | 9,272 | 206,024 | ||||||
Stoneridge, Inc. (a) | 13,024 | 66,683 | ||||||
Superior Industries International, Inc. | 10,686 | 217,994 | ||||||
Tenneco, Inc. (a) | 28,265 | 992,384 | ||||||
Tower International, Inc. (a) | 2,558 | 20,592 | ||||||
U.S. Auto Parts Network, | 7,304 | 13,366 | ||||||
|
| |||||||
| 4,031,148 | ||||||||
|
| |||||||
Auto Services — 0.1% | ||||||||
Cooper Tire & Rubber Co. | 29,053 | 736,784 | ||||||
|
| |||||||
Back Office Support, HR & Consulting — 2.0% |
| |||||||
The Advisory Board Co. (a) | 15,951 | 746,347 | ||||||
Angie’s List, Inc. (a) | 16,583 | 198,830 | ||||||
Barrett Business Services, Inc. | 3,249 | 123,754 | ||||||
CBIZ, Inc. (a) | 17,168 | 101,463 | ||||||
CDI Corp. | 6,366 | 109,050 | ||||||
Convergys Corp. | 53,463 | 877,328 | ||||||
The Corporate Executive Board Co. | 15,605 | 740,613 | ||||||
CoStar Group, Inc. (a) | 13,122 | 1,172,713 | ||||||
CRA International, Inc. (a) | 4,789 | 94,679 | ||||||
Dice Holdings, Inc. (a) | 20,940 | 192,229 | ||||||
ExlService Holdings, Inc. (a) | 10,849 | 287,499 | ||||||
Forrester Research, Inc. | 6,512 | 174,522 | ||||||
FTI Consulting, Inc. (a) | 19,527 | 644,391 | ||||||
GP Strategies Corp. (a) | 6,848 | 141,411 | ||||||
The Hackett Group, Inc. | 11,244 | 48,124 | ||||||
Heidrick & Struggles International, Inc. | 8,391 | 128,047 | ||||||
Hudson Global, Inc. (a) | 15,527 | 69,561 | ||||||
Huron Consulting Group, | 10,638 | 358,394 | ||||||
ICF International, Inc. (a) | 9,221 | 216,140 | ||||||
Innodata Corp. (a) | 10,328 | 39,040 | ||||||
Insperity, Inc. | 10,557 | 343,736 | ||||||
Kelly Services, Inc., Class A | 12,406 | 195,270 | ||||||
Kforce, Inc. | 13,346 | 191,248 | ||||||
Korn/Ferry International (a) | 22,225 | 352,489 | ||||||
Liquidity Services, Inc. (a) | 10,957 | 447,703 | ||||||
MAXIMUS, Inc. | 15,796 | 998,623 | ||||||
Monster Worldwide, Inc. (a) | 56,507 | 317,569 | ||||||
Navigant Consulting, Inc. (a) | 24,018 | 268,041 | ||||||
On Assignment, Inc. (a) | 20,005 | 405,701 | ||||||
PDI, Inc. (a) | 4,553 | 34,603 | ||||||
PRGX Global, Inc. (a) | 10,776 | 69,505 | ||||||
Resources Connection, Inc. | 19,740 | 235,696 | ||||||
RPX Corp. (a) | 9,854 | 89,080 | ||||||
ServiceSource International, | 23,217 | 135,820 | ||||||
SYKES Enterprises, Inc. (a) | 18,052 | 274,752 | ||||||
TeleTech Holdings, Inc. (a) | 10,619 | 189,018 | ||||||
TrueBlue, Inc. (a) | 18,795 | 296,021 | ||||||
WageWorks, Inc. (a) | 3,199 | 56,942 | ||||||
|
| |||||||
| 11,365,952 | ||||||||
|
| |||||||
Banks: Diversified — 6.3% | ||||||||
1st Source Corp. | 7,013 | 154,917 | ||||||
1st United Bancorp, Inc. | 13,995 | 87,469 | ||||||
Access National Corp. | 3,557 | 46,241 | ||||||
Alliance Financial Corp. | 2,279 | 99,159 | ||||||
American National BankShares, Inc. | 3,740 | 75,511 | ||||||
Common Stocks | Shares | Value | ||||||
Banks: Diversified (continued) |
| |||||||
Ameris Bancorp (a) | 11,128 | $ | 138,989 | |||||
Ames National Corp. | 3,914 | 85,717 | ||||||
Arrow Financial Corp. | 4,915 | 122,629 | ||||||
Bancfirst Corp. | 3,068 | 129,960 | ||||||
Banco Latinoamericana De Comercio Exterior SA | 13,251 | 285,692 | ||||||
The Bancorp, Inc. (a) | 13,603 | 149,225 | ||||||
BancorpSouth, Inc. | 44,167 | 642,188 | ||||||
Bank of Kentucky Financial Corp. | 2,788 | 68,947 | ||||||
Bank of Marin Bancorp | 2,530 | 94,774 | ||||||
Bank of the Ozarks, Inc. | 13,698 | 458,472 | ||||||
Banner Corp. | 9,010 | 276,877 | ||||||
Bar Harbor Bankshares | 1,796 | 60,435 | ||||||
BBCN Bancorp, Inc. | 36,431 | 421,507 | ||||||
Berkshire Bancorp, Inc. (a) | 1,934 | 15,859 | ||||||
Boston Private Financial Holdings, Inc. | 36,549 | 329,306 | ||||||
Bridge Bancorp, Inc. | 4,066 | 82,702 | ||||||
Bridge Capital Holdings (a) | 4,392 | 68,340 | ||||||
Bryn Mawr Bank Corp. | 5,399 | 120,236 | ||||||
C&F Financial Corp. | 1,525 | 59,383 | ||||||
Camden National Corp. | 3,639 | 123,617 | ||||||
Cape Bancorp, Inc. (a) | 5,211 | 45,284 | ||||||
Capital City Bank Group, Inc. (a) | 5,548 | 63,081 | ||||||
Cardinal Financial Corp. | 13,683 | 222,622 | ||||||
Cascade Bancorp (a) | 3,055 | 19,124 | ||||||
Cathay General Bancorp | 36,767 | 716,956 | ||||||
Center Bancorp, Inc. | 5,572 | 64,524 | ||||||
Centerstate Banks, Inc. | 14,074 | 120,051 | ||||||
Central Pacific Financial Corp. (a) | 10,136 | 158,020 | ||||||
Century Bancorp, Inc., Class A | 1,580 | 52,061 | ||||||
Chemical Financial Corp. | 12,933 | 307,288 | ||||||
Citizens & Northern Corp. | 5,761 | 108,883 | ||||||
Citizens Republic Bancorp, Inc. (a) | 18,713 | 354,986 | ||||||
City Holding Co. | 6,950 | 242,207 | ||||||
CNB Financial Corp. | 5,901 | 96,658 | ||||||
CoBiz Financial, Inc. | 16,414 | 122,613 | ||||||
Columbia Banking System, Inc. | 18,701 | 335,496 | ||||||
Community Bank System, Inc. | 18,512 | 506,488 | ||||||
Community Trust Bancorp, Inc. | 6,613 | 216,774 | ||||||
Crescent Financial Bancshares, | 1,441 | 6,614 | ||||||
CVB Financial Corp. | 41,386 | 430,414 | ||||||
Eagle Bancorp, Inc. (a) | 8,556 | 170,863 | ||||||
Enterprise Bancorp, Inc. | 2,866 | 47,346 | ||||||
Enterprise Financial Services Corp. | 8,319 | 108,729 | ||||||
EverBank Financial Corp. | 10,518 | 156,823 | ||||||
Farmers National Banc Corp. | 8,859 | 54,926 | ||||||
Fidelity Southern Corp. (a) | 4,416 | 42,173 | ||||||
Financial Institutions, Inc. | 6,539 | 121,822 | ||||||
First Bancorp, Inc. | 4,211 | 69,355 | ||||||
First Bancorp, North Carolina | 7,155 | 91,727 | ||||||
First Bancorp, Puerto Rico (a) | 33,140 | 151,781 | ||||||
First Busey Corp. | 35,161 | 163,499 | ||||||
First Commonwealth Financial Corp. | 49,338 | 336,485 | ||||||
First Community Bancshares, Inc. | 8,316 | 132,807 | ||||||
First Connecticut Bancorp, Inc. | 8,273 | 113,754 | ||||||
First Financial Bancorp | 27,586 | 403,307 | ||||||
First Financial Bankshares, Inc. | 14,780 | 576,568 | ||||||
First Financial Corp. | 5,287 | 159,879 | ||||||
First Interstate Bancsystem, Inc. | 7,643 | 117,931 | ||||||
First Merchants Corp. | 13,378 | 198,530 | ||||||
First Midwest Bancorp, Inc. | 35,002 | 438,225 | ||||||
See Notes to Financial Statements.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 55 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Banks: Diversified (continued) |
| |||||||
The First of Long Island Corp. | 3,643 | $ | 103,170 | |||||
FirstMerit Corp. | 51,387 | 729,182 | ||||||
FNB Corp. | 65,443 | 695,005 | ||||||
FNB United Corp. (a) | 4,751 | 55,112 | ||||||
German American Bancorp, Inc. | 5,954 | 129,321 | ||||||
Glacier Bancorp, Inc. | 33,704 | 495,786 | ||||||
Guaranty Bancorp (a) | 36,400 | 70,980 | ||||||
Hancock Holding Co. | 35,666 | 1,132,039 | ||||||
Hanmi Financial Corp. (a) | 14,786 | 200,942 | ||||||
Heartland Financial USA, Inc. | 6,825 | 178,474 | ||||||
Heritage Commerce Corp. (a) | 9,861 | 68,830 | ||||||
Heritage Oaks Bancorp (a) | 9,537 | 55,315 | ||||||
Home Bancshares, Inc. | 10,337 | 341,328 | ||||||
Horizon Bancorp | 3,096 | 60,836 | ||||||
Hudson Valley Holding Corp. | 7,397 | 115,171 | ||||||
IBERIABANK Corp. | 13,813 | 678,495 | ||||||
Independent Bank Corp. | 10,429 | 301,920 | ||||||
International Bancshares Corp. | 25,012 | 451,467 | ||||||
Investors Bancorp, Inc. | 20,612 | 366,481 | ||||||
Lakeland Bancorp, Inc. | 13,923 | 141,736 | ||||||
Lakeland Financial Corp. | 7,695 | 198,839 | ||||||
MainSource Financial Group, Inc. | 9,453 | 119,769 | ||||||
MB Financial, Inc. | 25,544 | 504,494 | ||||||
Mercantile Bank Corp. | 4,089 | 67,468 | ||||||
Merchants Bancshares, Inc. | 2,445 | 65,453 | ||||||
Meridian Interstate Bancorp, | 3,884 | 65,174 | ||||||
Metro Bancorp, Inc. (a) | 6,631 | 87,662 | ||||||
MetroCorp Bancshares, Inc. (a) | 7,525 | 82,700 | ||||||
Middleburg Financial Corp. | 2,550 | 45,033 | ||||||
Midsouth Bancorp, Inc. | 3,979 | 65,057 | ||||||
NASB Financial, Inc. (a) | 1,947 | 41,607 | ||||||
National Bank Holdings Corp. Class A | 3,386 | 64,300 | ||||||
National Bankshares, Inc. | 3,304 | 107,017 | ||||||
National Penn Bancshares, Inc. | 57,844 | 539,106 | ||||||
NBT Bancorp, Inc. | 15,630 | 316,820 | ||||||
Northrim BanCorp, Inc. | 3,092 | 70,034 | ||||||
OFS Capital Corp. | 3,085 | 42,234 | ||||||
Old National Bancorp | 47,475 | 563,528 | ||||||
Oriental Financial Group, Inc. | 21,362 | 285,183 | ||||||
Pacific Continental Corp. | 8,540 | 83,094 | ||||||
Pacific Mercantile Bancorp (a) | 5,006 | 31,488 | ||||||
PacWest Bancorp | 14,262 | 353,412 | ||||||
Park National Corp. | 5,348 | 345,641 | ||||||
Park Sterling Corp. (a) | 20,844 | 109,014 | ||||||
Peapack-Gladstone Financial Corp. | 4,204 | 59,192 | ||||||
Penns Woods Bancorp, Inc. | 1,823 | 68,198 | ||||||
Peoples Bancorp, Inc. | 5,054 | 103,253 | ||||||
Pinnacle Financial Partners, | 16,148 | 304,228 | ||||||
Preferred Bank (a) | 5,538 | 78,640 | ||||||
PrivateBancorp, Inc. | 28,263 | 432,989 | ||||||
Prosperity Bancshares, Inc. | 22,211 | 932,862 | ||||||
Provident Financial Services, Inc. | 28,124 | 419,610 | ||||||
Renasant Corp. | 11,821 | 226,254 | ||||||
Republic Bancorp, Inc., Class A | 4,692 | 99,142 | ||||||
Rockville Financial, Inc. | 13,426 | 173,195 | ||||||
Roma Financial Corp. | 3,490 | 52,769 | ||||||
S&T Bancorp, Inc. | 13,609 | 245,915 | ||||||
Sandy Spring Bancorp, Inc. | 11,340 | 220,223 | ||||||
SCBT Financial Corp. | 7,762 | 311,877 | ||||||
Seacoast Banking Corp. of | 35,215 | 56,696 | ||||||
Common Stocks | Shares | Value | ||||||
Banks: Diversified (concluded) |
| |||||||
Sierra Bancorp | 5,783 | $ | 66,100 | |||||
Simmons First National Corp., Class A | 8,058 | 204,351 | ||||||
Southside Bancshares, Inc. | 8,114 | 170,881 | ||||||
Southwest Bancorp, Inc. (a) | 9,184 | 102,861 | ||||||
State Bank Financial Corp. | 14,771 | 234,563 | ||||||
StellarOne Corp. | 10,813 | 152,896 | ||||||
Stellus Capital Investment Corp. | 884 | 14,480 | ||||||
Sterling Bancorp | 14,636 | 133,334 | ||||||
Sterling Financial Corp. | 12,602 | 263,130 | ||||||
Suffolk Bancorp (a) | 4,627 | 60,614 | ||||||
Sun Bancorp, Inc. (a) | 19,018 | 67,324 | ||||||
Susquehanna Bancshares, Inc. | 87,747 | 919,589 | ||||||
SY Bancorp, Inc. | 5,765 | 129,251 | ||||||
Taylor Capital Group, Inc. (a) | 7,636 | 137,830 | ||||||
Texas Capital Bancshares, | 18,736 | 839,747 | ||||||
Tompkins Trustco, Inc. | 5,237 | 207,595 | ||||||
Towne Bank | 12,362 | 191,487 | ||||||
Trico Bancshares | 7,539 | 126,278 | ||||||
TrustCo Bank Corp. NY | 44,388 | 234,369 | ||||||
Trustmark Corp. | 30,411 | 683,031 | ||||||
UMB Financial Corp. | 15,136 | 663,562 | ||||||
Umpqua Holdings Corp. | 52,312 | 616,758 | ||||||
Union First Market Bankshares Corp. | 9,540 | 150,446 | ||||||
United Bankshares, Inc. | 10,792 | 262,461 | ||||||
United Community Banks, | 15,149 | 142,704 | ||||||
Univest Corp. of Pennsylvania | 7,976 | 136,390 | ||||||
Virginia Commerce Bancorp (a) | 12,535 | 112,188 | ||||||
Washington Banking Co. | 7,254 | 98,799 | ||||||
Washington Trust Bancorp, Inc. | 6,761 | 177,882 | ||||||
Webster Financial Corp. | 33,702 | 692,576 | ||||||
WesBanco, Inc. | 11,954 | 265,618 | ||||||
West Bancorp., Inc. | 7,422 | 80,009 | ||||||
West Coast Bancorp | 9,048 | 200,413 | ||||||
Westamerica Bancorp | 13,100 | 557,929 | ||||||
Western Alliance Bancorp (a) | 34,084 | 358,904 | ||||||
Wilshire Bancorp, Inc. (a)(b) | 28,891 | 169,590 | ||||||
Wintrust Financial Corp. | 16,973 | 622,909 | ||||||
|
| |||||||
| 36,704,435 | ||||||||
|
| |||||||
Banks: Savings, Thrift & Mortgage Lending — 1.4% |
| |||||||
Apollo Residential Mortgage, Inc. | 11,490 | 231,983 | ||||||
Astoria Financial Corp. | 40,733 | 381,261 | ||||||
Bank Mutual Corp. | 21,904 | 94,187 | ||||||
BankFinancial Corp. | 9,961 | 73,911 | ||||||
Beneficial Mutual Bancorp, | 15,302 | 145,369 | ||||||
Berkshire Hills Bancorp, Inc. | 11,565 | 275,941 | ||||||
BofI Holding, Inc. (a) | 5,176 | 144,255 | ||||||
Brookline Bancorp, Inc. | 32,846 | 279,191 | ||||||
BSB Bancorp, Inc. (a) | 3,717 | 45,459 | ||||||
Charter Financial Corp. | 3,120 | 33,072 | ||||||
Clifton Savings Bancorp, Inc. | 4,070 | 45,869 | ||||||
Dime Community Bancshares, Inc. | 14,688 | 204,016 | ||||||
Doral Financial Corp. (a) | 51,829 | 37,529 | ||||||
ESB Financial Corp. | 4,890 | 67,824 | ||||||
ESSA Bancorp, Inc. | 4,410 | 48,025 | ||||||
First Defiance Financial Corp. | 4,567 | 87,641 | ||||||
First Federal Bancshares of Arkansas, Inc. (a) | 1,745 | 17,014 | ||||||
First Financial Holdings, Inc. | 7,769 | 101,619 | ||||||
First Financial Northwest, | 7,541 | 56,935 | ||||||
First Pactrust Bancorp, Inc. | 5,091 | 62,467 | ||||||
See Notes to Financial Statements.
| 56 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Banks: Savings, Thrift & Mortgage Lending (concluded) |
| |||||||
Flushing Financial Corp. | 14,499 | $ | 222,415 | |||||
Fox Chase Bancorp., Inc. | 5,915 | 98,485 | ||||||
Franklin Financial Corp. | 6,480 | 107,438 | ||||||
Great Southern Bancorp, Inc. | 4,798 | 122,109 | ||||||
Heritage Financial Corp. | 7,296 | 107,178 | ||||||
Heritage Financial Group, Inc. | 4,012 | 55,325 | ||||||
Hingham Institution for Savings | 563 | 35,244 | ||||||
Home Bancorp, Inc. (a) | 3,168 | 57,816 | ||||||
Home Federal Bancorp, Inc. | 7,244 | 90,043 | ||||||
Home Loan Servicing Solutions Ltd. | 13,613 | 257,286 | ||||||
HomeStreet, Inc. (a) | 4,147 | 105,956 | ||||||
Kearny Financial Corp. | 7,124 | 69,459 | ||||||
Northfield Bancorp, Inc. | 6,934 | 105,743 | ||||||
Northwest Bancshares, Inc. | 45,760 | 555,526 | ||||||
OceanFirst Financial Corp. | 6,762 | 92,977 | ||||||
Ocwen Financial Corp. (a) | 50,114 | 1,733,443 | ||||||
OmniAmerican Bancorp, Inc. (a) | 5,198 | 120,230 | ||||||
Oritani Financial Corp. | 21,271 | 325,872 | ||||||
Peoples Federal Bancshares, Inc. | 2,761 | 48,014 | ||||||
Provident Financial Holdings, Inc. | 4,611 | 80,692 | ||||||
Provident New York Bancorp | 18,596 | 173,129 | ||||||
SI Financial Group, Inc. | 4,803 | 55,234 | ||||||
Simplicity Bancorp, Inc. | 4,143 | 61,938 | ||||||
Territorial Bancorp., Inc. | 5,119 | 116,969 | ||||||
United Financial Bancorp, Inc. | 9,738 | 153,081 | ||||||
ViewPoint Financial Group | 15,724 | 329,261 | ||||||
Waterstone Financial, Inc. (a) | 3,542 | 27,628 | ||||||
Westfield Financial, Inc. | 11,452 | 82,798 | ||||||
WSFS Financial Corp. | 3,540 | 149,565 | ||||||
|
| |||||||
| 7,974,422 | ||||||||
|
| |||||||
Beverage: Brewers & Distillers — 0.1% |
| |||||||
Boston Beer Co., Inc., | 3,610 | 485,365 | ||||||
Central European Distribution Corp. (a)(b) | 30,305 | 65,762 | ||||||
Craft Brew Alliance, Inc. (a) | 4,715 | 30,553 | ||||||
|
| |||||||
| 581,680 | ||||||||
|
| |||||||
Beverage: Soft Drinks — 0.1% | ||||||||
Coca-Cola Bottling Co. Consolidated | 2,123 | 141,179 | ||||||
Farmer Bros. Co. (a) | 3,139 | 45,296 | ||||||
Heckmann Corp. (a)(b) | 65,655 | 264,590 | ||||||
National Beverage Corp. | 5,224 | 76,218 | ||||||
|
| |||||||
| 527,283 | ||||||||
|
| |||||||
Biotechnology — 3.3% | ||||||||
Accelrys, Inc. (a) | 25,756 | 233,092 | ||||||
Acorda Therapeutics, Inc. (a) | 18,709 | 465,106 | ||||||
Aegerion Pharmaceuticals, | 11,671 | 296,327 | ||||||
Affymax, Inc. (a) | 16,869 | 320,511 | ||||||
Agenus, Inc. (a) | 11,683 | 47,900 | ||||||
Alkermes Plc (a) | 57,058 | 1,056,714 | ||||||
Alnylam Pharmaceuticals, | 21,666 | 395,404 | ||||||
AMAG Pharmaceuticals, Inc. (a) | 9,923 | 145,967 | ||||||
Amicus Therapeutics, Inc. (a) | 14,216 | 38,099 | ||||||
Arena Pharmaceuticals, | 101,042 | 911,399 | ||||||
Arqule, Inc. (a) | 27,879 | 77,782 | ||||||
Array Biopharma, Inc. (a) | 54,258 | 201,840 | ||||||
Astex Pharmaceuticals (a) | 43,694 | 127,150 | ||||||
AVEO Pharmaceuticals, Inc. (a) | 18,238 | 146,816 | ||||||
BG Medicine, Inc. (a) | 5,052 | 11,670 | ||||||
BioDelivery Sciences International, Inc. (a) | 12,616 | 54,375 | ||||||
Common Stocks | Shares | Value | ||||||
Biotechnology (continued) | ||||||||
BioTime, Inc. (a) | 14,483 | $ | 45,477 | |||||
Celldex Therapeutics, Inc. (a) | 29,045 | 194,892 | ||||||
Cepheid, Inc. (a) | 30,556 | 1,033,098 | ||||||
ChemoCentryx, Inc. | 2,600 | 28,444 | ||||||
Clovis Oncology, Inc. (a)(b) | 6,441 | 103,056 | ||||||
Codexis, Inc. (a) | 12,474 | 27,568 | ||||||
Cornerstone Therapeutics, Inc. (a) | 3,809 | 18,017 | ||||||
Coronado Biosciences, Inc. (a) | 8,149 | 36,752 | ||||||
Cubist Pharmaceuticals, | 29,512 | 1,241,275 | ||||||
Curis, Inc. (a) | 37,015 | 126,961 | ||||||
Cytori Therapeutics, Inc. (a)(b) | 28,769 | 81,129 | ||||||
Dendreon Corp. (a)(b) | 55,929 | 295,305 | ||||||
Discovery Laboratories, Inc. (a) | 20,767 | 43,818 | ||||||
Durata Therapeutics, Inc. | 4,189 | 32,004 | ||||||
Dyax Corp. (a) | 46,202 | 160,783 | ||||||
Dynavax Technologies Corp. (a) | 81,519 | 233,144 | ||||||
Emergent Biosolutions, Inc. (a) | 12,083 | 193,811 | ||||||
Enzon Pharmaceuticals, Inc. | 19,163 | 84,892 | ||||||
Exact Sciences Corp. (a) | 29,745 | 315,000 | ||||||
Exelixis, Inc. (a)(b) | 85,548 | 390,954 | ||||||
Furiex Pharmaceuticals, Inc. (a) | 3,427 | 66,004 | ||||||
Genomic Health, Inc. (a) | 7,513 | 204,804 | ||||||
Geron Corp. (a) | 62,263 | 87,791 | ||||||
GTx, Inc. (a) | 12,612 | 52,970 | ||||||
Halozyme Therapeutics, | 42,018 | 281,941 | ||||||
Harvard Bioscience, Inc. (a) | 11,208 | 49,091 | ||||||
Horizon Pharma, Inc. (a) | 18,302 | 42,644 | ||||||
Hyperion Therapeutics, Inc. | 1,731 | 19,526 | ||||||
Idenix Pharmaceuticals, | 42,207 | 204,704 | ||||||
ImmunoCellular Therapeutics Ltd. (a) | 24,384 | 46,817 | ||||||
ImmunoGen, Inc. (a) | 39,059 | 498,002 | ||||||
Immunomedics, Inc. (a) | 30,922 | 90,292 | ||||||
Intercept Pharmaceuticals, Inc. (a) | 1,545 | 52,901 | ||||||
InterMune, Inc. (a) | 30,555 | 296,078 | ||||||
Keryx Biopharmaceuticals, | 33,611 | 88,061 | ||||||
Lexicon Genetics, Inc. (a) | 99,189 | 220,200 | ||||||
Ligand Pharmaceuticals, Inc. (a) | 8,142 | 168,865 | ||||||
MannKind Corp. (a) | 52,913 | 122,229 | ||||||
Maxygen, Inc. | 12,679 | 31,190 | ||||||
Merrimack Pharmaceuticals, | 7,296 | 44,433 | ||||||
Momenta Pharmaceuticals, | 21,878 | 257,723 | ||||||
Nektar Therapeutics (a) | 53,456 | 396,109 | ||||||
Neurocrine Biosciences, | 30,989 | 231,798 | ||||||
NewLink Genetics Corp. (a) | 5,973 | 74,663 | ||||||
Novavax, Inc. (a) | 60,775 | 114,865 | ||||||
NPS Pharmaceuticals, Inc. (a) | 40,157 | 365,429 | ||||||
Omeros Corp. (a) | 12,111 | 62,856 | ||||||
OncoGenex Pharmaceutical, | 6,792 | 89,111 | ||||||
Oncothyreon, Inc. (a) | 26,784 | 51,425 | ||||||
Opko Health, Inc. (a)(b) | 49,973 | 240,370 | ||||||
Orexigen Therapeutics, Inc. (a) | 33,982 | 179,085 | ||||||
Osiris Therapeutics, Inc. (a)(b) | 7,746 | 69,559 | ||||||
Pacific Biosciences of California, Inc. (a) | 17,924 | 30,471 | ||||||
PDL BioPharma, Inc. | 65,462 | 461,507 | ||||||
Peregrine Semiconductor | 2,891 | 44,261 | ||||||
Progenics Pharmaceuticals, | 19,568 | 58,313 | ||||||
Raptor Pharmaceutical | 24,193 | 141,529 | ||||||
Regulus Therapeutics, Inc. (a) | 2,484 | 15,649 | ||||||
Repligen Corp. (a) | 14,500 | 91,205 | ||||||
Repros Therapeutics, Inc. (a) | 7,987 | 125,795 | ||||||
See Notes to Financial Statements.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 57 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Biotechnology (concluded) | ||||||||
Rigel Pharmaceuticals, Inc. (a) | 39,758 | $ | 258,427 | |||||
RTI Biologics, Inc. (a) | 25,980 | 110,935 | ||||||
Sangamo Biosciences, Inc. (a) | 24,670 | 148,267 | ||||||
Seattle Genetics, Inc. (a) | 44,329 | 1,028,433 | ||||||
Sequenom, Inc. (a)(b) | 53,487 | 252,459 | ||||||
Sucampo Pharmaceuticals, Inc., Class A (a) | 5,093 | 24,956 | ||||||
Sunesis Pharmaceuticals, Inc. (a) | 14,099 | 59,216 | ||||||
Synageva BioPharma | 4,908 | 227,191 | ||||||
Synergy Pharmaceuticals, | 19,336 | 101,707 | ||||||
Synta Pharmaceuticals Corp. (a) | 18,624 | 167,988 | ||||||
Targacept, Inc. (a) | 12,959 | 56,760 | ||||||
TESARO, Inc. (a) | 2,135 | 36,188 | ||||||
Theravance, Inc. (a)(b) | 28,283 | 629,862 | ||||||
Threshold Pharmaceuticals, | 21,221 | 89,340 | ||||||
Transcept Pharmaceuticals, | 6,000 | 26,700 | ||||||
Trius Therapeutics, Inc. (a) | 12,272 | 58,660 | ||||||
Vanda Pharmaceuticals, Inc. (a) | 13,535 | 50,080 | ||||||
Ventrus Biosciences, Inc. (a) | 5,566 | 12,023 | ||||||
Verastem, Inc. (a) | 2,984 | 26,229 | ||||||
ViroPharma, Inc. (a) | 31,975 | 727,751 | ||||||
XOMA Corp. (a) | 38,289 | 91,702 | ||||||
ZIOPHARM Oncology, Inc. (a) | 31,213 | 129,846 | ||||||
|
| |||||||
| 19,301,518 | ||||||||
|
| |||||||
Building Materials — 1.1% |
| |||||||
Acuity Brands, Inc. | 19,721 | 1,335,703 | ||||||
BlueLinx Holdings, Inc. (a) | 11,418 | 32,085 | ||||||
Builders FirstSource, Inc. (a) | 21,076 | 117,604 | ||||||
Gibraltar Industries, Inc. (a) | 14,212 | 226,255 | ||||||
Griffon Corp. | 21,150 | 242,379 | ||||||
Headwaters, Inc. (a) | 28,637 | 245,133 | ||||||
Louisiana-Pacific Corp. (a)(b) | 64,052 | 1,237,485 | ||||||
LSI Industries, Inc. | 9,138 | 64,057 | ||||||
NCI Building Systems, Inc. (a) | 8,446 | 117,399 | ||||||
Patrick Industries, Inc. (a) | 1,896 | 29,502 | ||||||
PGT, Inc. (a) | 9,234 | 41,553 | ||||||
Quanex Building Products Corp. | 17,146 | 349,950 | ||||||
Simpson Manufacturing Co., Inc. | 18,653 | 611,632 | ||||||
Texas Industries, Inc. (a) | 10,516 | 536,421 | ||||||
Trex Co., Inc. (a) | 6,949 | 258,711 | ||||||
Watsco, Inc. | 13,701 | 1,026,205 | ||||||
|
| |||||||
| 6,472,074 | ||||||||
|
| |||||||
Building: Climate Control — 0.1% |
| |||||||
Aaon, Inc. | 8,644 | 180,400 | ||||||
Comfort Systems USA, Inc. | 17,431 | 211,961 | ||||||
Nortek, Inc. (a) | 3,591 | 237,904 | ||||||
|
| |||||||
| 630,265 | ||||||||
|
| |||||||
Building: Roofing, Wallboard & Plumbing — 0.3% |
| |||||||
Beacon Roofing Supply, Inc. (a) | 21,833 | 726,602 | ||||||
USG Corp. (a)(b) | 34,516 | 968,864 | ||||||
|
| |||||||
| 1,695,466 | ||||||||
|
| |||||||
Casinos & Gambling — 0.4% | ||||||||
Ameristar Casinos, Inc. | 15,011 | 393,889 | ||||||
Boyd Gaming Corp. (a) | 25,440 | 168,922 | ||||||
Caesars Entertainment Corp. (a) | 16,856 | 116,643 | ||||||
Isle of Capri Casinos, Inc. (a) | 9,538 | 53,413 | ||||||
Monarch Casino & Resort, | 4,001 | 43,651 | ||||||
MTR Gaming Group, Inc. (a) | 10,516 | 43,852 | ||||||
Common Stocks | Shares | Value | ||||||
Casinos & Gambling (concluded) |
| |||||||
Multimedia Games Holding Co., Inc. (a) | 12,732 | $ | 187,288 | |||||
Pinnacle Entertainment, Inc. (a) | 28,620 | 453,054 | ||||||
Scientific Games Corp., | 25,978 | 225,229 | ||||||
WMS Industries, Inc. (a)(b) | 25,615 | 448,262 | ||||||
|
| |||||||
| 2,134,203 | ||||||||
|
| |||||||
Cement — 0.2% | ||||||||
Eagle Materials, Inc. | 22,776 | 1,332,396 | ||||||
|
| |||||||
Chemicals: Diversified — 1.1% | ||||||||
Aceto Corp. | 12,440 | 124,898 | ||||||
American Vanguard Corp. | 12,964 | 402,791 | ||||||
Chemtura Corp. (a) | 45,948 | 976,854 | ||||||
Georgia Gulf Corp. | 15,957 | 658,705 | ||||||
Hawkins, Inc. | 4,235 | 163,640 | ||||||
Innophos Holdings, Inc. | 10,143 | 471,650 | ||||||
KMG Chemicals, Inc. | 3,623 | 63,656 | ||||||
Landec Corp. (a) | 11,852 | 112,475 | ||||||
LSB Industries, Inc. (a) | 8,740 | 309,571 | ||||||
Olin Corp. | 37,290 | 805,091 | ||||||
OM Group, Inc. (a) | 15,060 | 334,332 | ||||||
Omnova Solutions, Inc. (a) | 21,456 | 150,407 | ||||||
PolyOne Corp. | 41,712 | 851,759 | ||||||
Sensient Technologies Corp. | 23,225 | 825,881 | ||||||
|
| |||||||
| 6,251,710 | ||||||||
|
| |||||||
Chemicals: Specialty — 0.5% | ||||||||
Balchem Corp. | 13,623 | 495,877 | ||||||
Calgon Carbon Corp. (a) | 26,473 | 375,387 | ||||||
FutureFuel Corp. | 8,929 | 105,720 | ||||||
GSE Holding, Inc. (a) | 3,690 | 22,878 | ||||||
Innospec, Inc. | 10,735 | 370,250 | ||||||
Kraton Performance Polymers, Inc. (a) | 15,002 | 360,498 | ||||||
Quaker Chemical Corp. | 6,034 | 324,991 | ||||||
Stepan Co. | 7,674 | 426,214 | ||||||
Zep, Inc. | 10,276 | 148,386 | ||||||
|
| |||||||
| 2,630,201 | ||||||||
|
| |||||||
Coal — 0.2% | ||||||||
Arch Coal, Inc. | 98,931 | 724,175 | ||||||
Cloud Peak Energy, Inc. (a) | 28,407 | 549,107 | ||||||
Hallador Energy Co. | 3,138 | 25,920 | ||||||
KiOR, Inc., Class A (a)(b) | 12,336 | 79,074 | ||||||
Westmoreland Coal Co. (a) | 5,123 | 47,849 | ||||||
|
| |||||||
| 1,426,125 | ||||||||
|
| |||||||
Commercial Banks — 0.0% | ||||||||
HomeTrust Bancshares, Inc. (a) | 9,906 | 133,830 | ||||||
|
| |||||||
Commercial Finance & Mortgage Companies — 0.2% |
| |||||||
Asta Funding, Inc. | 4,739 | 45,068 | ||||||
Capital Bank Financial Corp., Class A | 4,375 | 74,681 | ||||||
Federal Agricultural Mortgage Corp., Class B | 4,676 | 151,970 | ||||||
Medallion Financial Corp. | 8,729 | 102,479 | ||||||
Nationstar Mortgage Holdings, Inc. (a) | 9,003 | 278,913 | ||||||
NewStar Financial, Inc. (a)(b) | 12,322 | 172,631 | ||||||
Walker & Dunlop, Inc. (a) | 5,503 | 91,680 | ||||||
|
| |||||||
| 917,422 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.0% |
| |||||||
American Reprographics Co. (a) | 17,351 | 44,419 | ||||||
LifeLock, Inc. (a) | 8,241 | 66,999 | ||||||
Performant Financial Corp. (a) | 4,142 | 41,834 | ||||||
|
| |||||||
| 153,252 | ||||||||
|
| |||||||
See Notes to Financial Statements.
| 58 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Commercial Services: Rental & Leasing — 0.5% |
| |||||||
Aircastle Ltd. | 27,262 | $ | 341,866 | |||||
CAI International, Inc. (a) | 6,713 | 147,350 | ||||||
Electro Rent Corp. | 8,743 | 134,467 | ||||||
H&E Equipment Services, Inc. | 13,421 | 202,255 | ||||||
Marlin Business Services, Inc. | 3,854 | 77,311 | ||||||
McGrath RentCorp | 11,506 | 333,904 | ||||||
MicroFinancial, Inc. | 4,226 | 30,765 | ||||||
Mobile Mini, Inc. (a) | 17,784 | 370,441 | ||||||
PHH Corp. (a) | 26,388 | 600,327 | ||||||
SeaCube Container Leasing Ltd. | 5,039 | 94,985 | ||||||
TAL International Group, Inc. | 13,587 | 494,295 | ||||||
Willis Lease Finance Corp. (a) | 2,423 | 34,673 | ||||||
|
| |||||||
| 2,862,639 | ||||||||
|
| |||||||
Commercial Vehicles & Parts — 0.2% |
| |||||||
Accuride Corp. (a) | 21,965 | 70,508 | ||||||
Commercial Vehicle Group, | 11,364 | 93,298 | ||||||
Miller Industries, Inc. | 5,084 | 77,531 | ||||||
Modine Manufacturing Co. (a) | 21,794 | 177,185 | ||||||
Rush Enterprises, Inc., Class A (a) | 15,359 | 317,471 | ||||||
Spartan Motors, Inc. | 15,860 | 78,190 | ||||||
Sypris Solutions, Inc. | 5,141 | 20,358 | ||||||
Wabash National Corp. (a) | 31,873 | 285,901 | ||||||
|
| |||||||
| 1,120,442 | ||||||||
|
| |||||||
Communications Equipment — 0.0% |
| |||||||
Envivio, Inc. (a) | 3,561 | 6,054 | ||||||
Ruckus Wireless, Inc. (a) | 3,855 | 86,860 | ||||||
|
| |||||||
| 92,914 | ||||||||
|
| |||||||
Communications Technology — 2.1% |
| |||||||
Adtran, Inc. | 29,702 | 580,377 | ||||||
Ambient Corp. (a) | 1,020 | 3,070 | ||||||
Anaren, Inc. (a) | 6,411 | 124,694 | ||||||
Anixter International, Inc. | 13,133 | 840,249 | ||||||
Aruba Networks, Inc. (a) | 52,065 | 1,080,349 | ||||||
Aviat Networks, Inc. (a) | 28,558 | 93,956 | ||||||
Bel Fuse, Inc. | 4,911 | 96,010 | ||||||
Black Box Corp. | 8,005 | 194,842 | ||||||
Calix, Inc. (a) | 18,327 | 140,935 | ||||||
Ciena Corp. (a)(b) | 46,151 | 724,571 | ||||||
Comtech Telecommunications Corp. | 8,319 | 211,136 | ||||||
Datalink Corp. (a) | 7,132 | 60,979 | ||||||
Digi International, Inc. (a) | 11,860 | 112,314 | ||||||
DigitalGlobe, Inc. (a)(b) | 16,818 | 411,032 | ||||||
Echelon Corp. (a) | 17,957 | 43,995 | ||||||
Emulex Corp. (a) | 40,416 | 295,037 | ||||||
Extreme Networks, Inc. (a)(b) | 43,666 | 158,944 | ||||||
Finisar Corp. (a)(b) | 42,527 | 693,190 | ||||||
GeoEye, Inc. (a) | 6,929 | 212,928 | ||||||
Globecomm Systems, Inc. (a) | 10,674 | 120,616 | ||||||
GSI Technology, Inc. (a) | 9,566 | 59,979 | ||||||
Harmonic, Inc. (a) | 54,636 | 277,004 | ||||||
Infinera Corp. (a) | 51,111 | 296,955 | ||||||
InterDigital, Inc. | 20,326 | 835,399 | ||||||
Ixia (a) | 19,603 | 332,859 | ||||||
KVH Industries, Inc. (a) | 6,874 | 96,098 | ||||||
Loral Space & Communications Ltd. | 5,110 | 279,313 | ||||||
NeoPhotonics Corp. (a) | 8,775 | 50,368 | ||||||
NETGEAR, Inc. (a) | 17,663 | 696,275 | ||||||
Numerex Corp., Class A (a) | 4,650 | 61,101 | ||||||
Common Stocks | Shares | Value | ||||||
Communications Technology (concluded) |
| |||||||
Oclaro, Inc. (a) | 34,870 | $ | 54,746 | |||||
Oplink Communications, | 8,839 | 137,712 | ||||||
ParkerVision, Inc. (a) | 35,756 | 72,585 | ||||||
PC-Tel, Inc. | 8,294 | 59,717 | ||||||
Plantronics, Inc. | 19,790 | 729,657 | ||||||
Procera Networks, Inc. (a) | 8,981 | 166,597 | ||||||
QLogic Corp. (a) | 45,357 | 441,324 | ||||||
SeaChange International, | 13,278 | 128,398 | ||||||
Shoretel, Inc. (a) | 22,452 | 95,196 | ||||||
Sonus Networks, Inc. (a)(b) | 99,130 | 168,521 | ||||||
Sycamore Networks, Inc. | 9,229 | 20,673 | ||||||
TeleNav, Inc. (a) | 7,753 | 61,869 | ||||||
Tellabs, Inc. | 170,769 | 389,353 | ||||||
Viasat, Inc. (a) | 17,443 | 678,533 | ||||||
Westell Technologies, Inc., Class A (a) | 22,140 | 40,959 | ||||||
|
| |||||||
| 12,430,415 | ||||||||
|
| |||||||
Computer Services Software & Systems — 5.1% |
| |||||||
ACI Worldwide, Inc. (a)(c) | 18,514 | 808,877 | ||||||
The Active Network, Inc. (a) | 18,216 | 89,441 | ||||||
Actuate Corp. (a) | 22,941 | 128,470 | ||||||
Acxiom Corp. (a) | 35,759 | 624,352 | ||||||
American Software, Inc., Class A | 10,942 | 84,910 | ||||||
Aspen Technology, Inc. (a) | 43,559 | 1,203,971 | ||||||
AVG Technologies NV (a) | 3,819 | 60,455 | ||||||
Avid Technology, Inc. (a) | 13,944 | 105,696 | ||||||
Aware, Inc. | 5,633 | 30,869 | ||||||
Bankrate, Inc. (a)(b) | 21,539 | 268,161 | ||||||
Bazaarvoice, Inc. (a) | 4,931 | 46,105 | ||||||
Blackbaud, Inc. | 21,022 | 479,932 | ||||||
Blucora, Inc. (a) | 18,628 | 292,646 | ||||||
Bottomline Technologies, | 16,278 | 429,576 | ||||||
Brightcove, Inc. (a) | 2,802 | 25,330 | ||||||
BroadSoft, Inc. (a)(b) | 12,806 | 465,242 | ||||||
CACI International, Inc., Class A (a) | 10,525 | 579,191 | ||||||
Callidus Software, Inc. (a) | 16,148 | 73,312 | ||||||
Ciber, Inc. (a) | 33,806 | 112,912 | ||||||
CommVault Systems, | 20,801 | 1,450,038 | ||||||
Computer Task Group, Inc. (a) | 7,094 | 129,324 | ||||||
ComScore, Inc. (a) | 16,440 | 226,543 | ||||||
Comverse Technology, | 101,915 | 391,354 | ||||||
Cornerstone OnDemand, | 15,657 | 462,351 | ||||||
CSG Systems International, Inc. (a)(b) | 15,757 | 286,462 | ||||||
DealerTrack Holdings, Inc. (a) | 19,760 | 567,507 | ||||||
Demand Media, Inc. | 13,930 | 129,410 | ||||||
Demandware, Inc. | 3,045 | 83,189 | ||||||
Digimarc Corp. | 3,288 | 68,062 | ||||||
Digital River, Inc. (a) | 17,131 | 246,515 | ||||||
EarthLink, Inc. | 49,263 | 318,239 | ||||||
Ebix, Inc. (b) | 13,187 | 211,915 | ||||||
Envestnet, Inc. (a) | 9,842 | 137,296 | ||||||
EPAM Systems, Inc. (a) | 2,305 | 41,720 | ||||||
EPIQ Systems, Inc. | 14,621 | 186,856 | ||||||
ePlus, Inc. | 1,796 | 74,247 | ||||||
ExactTarget, Inc. (a) | 4,551 | 91,020 | ||||||
FalconStor Software, Inc. (a) | 14,670 | 34,181 | ||||||
Guidance Software, Inc. (a) | 6,670 | 79,173 | ||||||
Guidewire Software, Inc. (a) | 9,521 | 282,964 | ||||||
ICG Group, Inc. (a) | 17,285 | 197,568 | ||||||
iGate Corp. (a) | 14,874 | 234,563 | ||||||
See Notes to Financial Statements.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 59 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Computer Services Software & Systems (continued) |
| |||||||
Imperva, Inc. (a) | 4,543 | $ | 143,241 | |||||
Infoblox, Inc. (a) | 3,667 | 65,896 | ||||||
Interactive Intelligence Group, | 6,837 | 229,313 | ||||||
Internap Network Services | 24,587 | 170,634 | ||||||
IntraLinks Holdings, Inc. (a) | 16,989 | 104,822 | ||||||
Jive Software, Inc. (a) | 7,575 | 110,065 | ||||||
Keynote Systems, Inc. | 7,294 | 102,772 | ||||||
The KEYW Holding Corp. (a) | 11,514 | 146,113 | ||||||
Limelight Networks, Inc. (a) | 28,228 | 62,666 | ||||||
Lionbridge Technologies, Inc. (a) | 26,241 | 105,489 | ||||||
LivePerson, Inc. (a) | 25,612 | 336,542 | ||||||
LogMeIn, Inc. (a) | 10,288 | 230,554 | ||||||
Manhattan Associates, Inc. (a) | 9,459 | 570,756 | ||||||
Mantech International Corp., Class A (b) | 10,722 | 278,129 | ||||||
Mattersight Corp. (a) | 4,772 | 23,717 | ||||||
MeetMe, Inc. (b) | 8,922 | 31,138 | ||||||
Mentor Graphics Corp. (a)(b) | 43,365 | 738,072 | ||||||
Mercury Computer Systems, | 14,417 | 132,636 | ||||||
MicroStrategy, Inc., Class A (a) | 3,969 | 370,625 | ||||||
Millennial Media, Inc. (a) | 5,365 | 67,223 | ||||||
Moduslink Global Solutions, | 18,607 | 53,960 | ||||||
Monotype Imaging Holdings, Inc. | 17,033 | 272,187 | ||||||
NetScout Systems, Inc. (a) | 17,110 | 444,689 | ||||||
NIC, Inc. | 29,991 | 490,053 | ||||||
OpenTable, Inc. (a) | 10,501 | 512,449 | ||||||
Parametric Technology Corp. (a) | 55,688 | 1,253,537 | ||||||
PDF Solutions, Inc. (a) | 11,244 | 154,942 | ||||||
Pegasystems, Inc. | 8,037 | 182,279 | ||||||
Perficient, Inc. (a) | 14,846 | 174,886 | ||||||
Pervasive Software, Inc. (a) | 6,172 | 54,993 | ||||||
Progress Software Corp. (a) | 29,274 | 614,461 | ||||||
Proofpoint, Inc. (a) | 2,958 | 36,413 | ||||||
PROS Holdings, Inc. (a) | 10,177 | 186,137 | ||||||
QAD, Inc., Class A (a) | 2,847 | 40,997 | ||||||
QLIK Technologies, Inc. (a) | 39,765 | 863,696 | ||||||
RealNetworks, Inc. (a) | 10,097 | 76,333 | ||||||
RealPage, Inc. (a) | 16,699 | 360,197 | ||||||
Responsys, Inc. (a) | 16,716 | 99,627 | ||||||
Saba Software, Inc. (a) | 13,888 | 121,381 | ||||||
Sapiens International Corp. NV (a) | 6,424 | 25,696 | ||||||
Sapient Corp. (a) | 57,424 | 606,397 | �� | |||||
SciQuest, Inc. (a) | 8,290 | 131,479 | ||||||
Shutterstock, Inc. (a) | 2,381 | 61,906 | ||||||
Sourcefire, Inc. (a) | 13,771 | 650,267 | ||||||
Spark Networks, Inc. (a) | 5,301 | 41,348 | ||||||
SPS Commerce, Inc. (a) | 5,742 | 214,004 | ||||||
SS&C Technologies Holdings, Inc. (a) | 15,783 | 364,903 | ||||||
Support.com, Inc. (a) | 22,787 | 95,250 | ||||||
Synacor, Inc. (a) | 3,018 | 16,508 | ||||||
Synchronoss Technologies, | 12,889 | 271,829 | ||||||
SYNNEX Corp. (a)(b) | 12,183 | 418,852 | ||||||
Syntel, Inc. | 7,169 | 384,187 | ||||||
Tangoe, Inc. (a) | 13,876 | 164,708 | ||||||
TechTarget, Inc. (a) | 7,117 | 39,499 | ||||||
TNS, Inc. (a) | 11,337 | 235,016 | ||||||
Tyler Technologies, Inc. (a) | 14,014 | 678,838 | ||||||
Ultimate Software Group, Inc. (a) | 12,400 | 1,170,684 | ||||||
Unisys Corp. (a) | 20,391 | 352,764 | ||||||
United Online, Inc. | 42,243 | 236,138 | ||||||
Unwired Planet, Inc. (a) | 28,985 | 34,782 | ||||||
Common Stocks | Shares | Value | ||||||
Computer Services Software & Systems (concluded) |
| |||||||
VASCO Data Security International, Inc. (a) | 13,162 | $ | 107,402 | |||||
Verint Systems, Inc. (a)(b) | 10,124 | 297,241 | ||||||
VirnetX Holding Corp. (a)(b) | 19,548 | 572,365 | ||||||
Virtusa Corp. (a) | 8,635 | 141,873 | ||||||
Web.com Group, Inc. (a) | 16,289 | 241,077 | ||||||
Websense, Inc. (a) | 17,313 | 260,387 | ||||||
Yelp, Inc. (a) | 3,953 | 74,514 | ||||||
Zillow, Inc. (a) | 1,676 | 46,509 | ||||||
Zix Corp. (a) | 28,282 | 79,190 | ||||||
|
| |||||||
| 29,869,178 | ||||||||
|
| |||||||
Computer Technology — 0.4% |
| |||||||
Cray, Inc. (a) | 17,224 | 274,723 | ||||||
Imation Corp. (a) | 14,132 | 65,996 | ||||||
Immersion Corp. (a) | 13,137 | 90,251 | ||||||
Insight Enterprises, Inc. (a)(b) | 20,588 | 357,614 | ||||||
Intermec, Inc. (a) | 27,900 | 275,094 | ||||||
OCZ Technology Group, | 31,331 | 59,842 | ||||||
PC Connection, Inc. | 4,000 | 46,000 | ||||||
Quantum Corp. (a) | 109,516 | 135,800 | ||||||
Radisys Corp. (a) | 10,630 | 31,677 | ||||||
Safeguard Scientifics, Inc. (a) | 9,704 | 143,134 | ||||||
Silicon Graphics International Corp. (a) | 14,893 | 152,355 | ||||||
STEC, Inc. (a) | 16,633 | 82,001 | ||||||
Super Micro Computer, Inc. (a) | 13,563 | 138,343 | ||||||
Synaptics, Inc. (a) | 15,677 | 469,840 | ||||||
Telular Corp. | 7,767 | 73,553 | ||||||
|
| |||||||
| 2,396,223 | ||||||||
|
| |||||||
Construction — 0.5% | ||||||||
Aegion Corp. (a) | 18,267 | 405,345 | ||||||
EMCOR Group, Inc. | 31,078 | 1,075,610 | ||||||
Granite Construction, Inc. | 18,008 | 605,429 | ||||||
Great Lakes Dredge & Dock Corp. | 27,584 | 246,325 | ||||||
Orion Marine Group, Inc. (a) | 12,643 | 92,420 | ||||||
Primoris Services Corp. | 13,902 | 209,086 | ||||||
Sterling Construction Co., | 7,599 | 75,534 | ||||||
Tutor Perini Corp. (a) | 16,633 | 227,872 | ||||||
|
| |||||||
| 2,937,621 | ||||||||
|
| |||||||
Consumer Electronics — 0.2% |
| |||||||
RealD, Inc. (a)(b) | 20,165 | 226,050 | ||||||
Skullcandy, Inc. (a)(b) | 7,547 | 58,791 | ||||||
TiVo, Inc. (a) | 58,057 | 715,262 | ||||||
Universal Electronics, Inc. (a) | 6,929 | 134,076 | ||||||
VOXX International Corp. (a) | 8,296 | 55,832 | ||||||
XO Group, Inc. (a) | 12,079 | 112,335 | ||||||
Zagg, Inc. (a) | 11,919 | 87,724 | ||||||
|
| |||||||
| 1,390,070 | ||||||||
|
| |||||||
Consumer Lending — 0.8% | ||||||||
Asset Acceptance Capital Corp. (a) | 7,551 | 33,979 | ||||||
Cash America International, Inc. | 13,757 | 545,740 | ||||||
Credit Acceptance Corp. (a) | 3,689 | 375,097 | ||||||
Encore Capital Group, Inc. (a) | 10,285 | 314,927 | ||||||
Ezcorp, Inc. (a) | 22,498 | 446,810 | ||||||
First Cash Financial Services, Inc. (a) | 13,430 | 666,397 | ||||||
The First Marblehead Corp. (a) | 24,003 | 18,648 | ||||||
MGIC Investment Corp. (a) | 88,270 | 234,798 | ||||||
MoneyGram International, | 10,171 | 135,173 | ||||||
Nelnet, Inc., Class A | 11,240 | 334,840 | ||||||
See Notes to Financial Statements.
| 60 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Consumer Lending (concluded) | ||||||||
Netspend Holdings, Inc. (a) | 14,492 | $ | 171,295 | |||||
Nicholas Financial, Inc. | 4,819 | 59,756 | ||||||
Portfolio Recovery Associates, Inc. (a)(b) | 8,000 | 854,880 | ||||||
Regional Management Corp. (a) | 2,312 | 38,264 | ||||||
Tree.com, Inc. | 2,914 | 52,539 | ||||||
World Acceptance Corp. (a) | 4,897 | 365,120 | ||||||
|
| |||||||
| 4,648,263 | ||||||||
|
| |||||||
Consumer Services: Miscellaneous — 0.7% |
| |||||||
Chuy’s Holdings, Inc. (a) | 3,136 | 70,058 | ||||||
Coinstar, Inc. (a) | 14,559 | 757,214 | ||||||
Collectors Universe, Inc. | 2,524 | 25,316 | ||||||
Core-Mark Holdings Co., Inc. | 5,290 | 250,482 | ||||||
Del Frisco’s Restaurant Group, Inc. (a) | 2,670 | 41,625 | ||||||
Move, Inc. (a) | 18,236 | 138,411 | ||||||
NutriSystem, Inc. | 13,252 | 108,534 | ||||||
Sotheby’s | 31,527 | 1,059,938 | ||||||
Steiner Leisure Ltd. (a) | 7,065 | 340,462 | ||||||
WEX, Inc. (a) | 18,084 | 1,362,991 | ||||||
|
| |||||||
| 4,155,031 | ||||||||
|
| |||||||
Containers & Packaging — 0.2% |
| |||||||
AEP Industries, Inc. (a) | 1,929 | 114,255 | ||||||
Berry Plastics Group, Inc. (a) | 13,607 | 218,800 | ||||||
Graphic Packaging Holding | 77,925 | 503,395 | ||||||
Myers Industries, Inc. | 15,611 | 236,507 | ||||||
UFP Technologies, Inc. (a) | 2,467 | 44,209 | ||||||
|
| |||||||
| 1,117,166 | ||||||||
|
| |||||||
Copper — 0.0% |
| |||||||
Revett Minerals, Inc. (a) | 11,432 | 32,238 | ||||||
|
| |||||||
Cosmetics — 0.1% | ||||||||
Elizabeth Arden, Inc. (a) | 11,736 | 528,237 | ||||||
Inter Parfums, Inc. | 7,661 | 149,083 | ||||||
Revlon, Inc., Class A (a) | 5,199 | 75,386 | ||||||
|
| |||||||
| 752,706 | ||||||||
|
| |||||||
Diversified Financial Services — 0.7% |
| |||||||
California First National Bancorp | 1,115 | 16,669 | ||||||
DFC Global Corp. (a) | 20,570 | 380,751 | ||||||
Duff & Phelps Corp. | 14,753 | 230,442 | ||||||
Evercore Partners, Inc., Class A | 13,365 | 403,489 | ||||||
FBR & Co. (a) | 17,694 | 68,476 | ||||||
Fidus Investment Corp. | 5,571 | 91,643 | ||||||
First California Financial Group, Inc. (a) | 10,627 | 82,041 | ||||||
Greenhill & Co., Inc. | 13,576 | 705,816 | ||||||
Intersections, Inc. | 4,230 | 40,100 | ||||||
Main Street Capital Corp. | 14,278 | 435,622 | ||||||
MidwestOne Financial Group, Inc. | 3,144 | 64,483 | ||||||
Piper Jaffray Cos. (a) | 7,105 | 228,284 | ||||||
Stifel Financial Corp. (a)(b) | 25,039 | 800,497 | ||||||
Triangle Capital Corp. | 12,772 | 325,558 | ||||||
|
| |||||||
| 3,873,871 | ||||||||
|
| |||||||
Diversified Manufacturing Operations — 0.5% |
| |||||||
A.M. Castle & Co. (a) | 7,774 | 114,822 | ||||||
Barnes Group, Inc. | 25,260 | 567,340 | ||||||
Federal Signal Corp. (a) | 28,853 | 219,571 | ||||||
Lydall, Inc. (a) | 7,917 | 113,530 | ||||||
OSI Systems, Inc. (a) | 9,257 | 592,818 | ||||||
Common Stocks | Shares | Value | ||||||
Diversified Manufacturing Operations (concluded) |
| |||||||
Raven Industries, Inc. | 16,861 | $ | 444,456 | |||||
Standex International Corp. | 5,872 | 301,175 | ||||||
Trimas Corp. (a) | 14,987 | 419,036 | ||||||
|
| |||||||
| 2,772,748 | ||||||||
|
| |||||||
Diversified Materials & Processing — 0.8% |
| |||||||
Belden, Inc. | 21,183 | 953,023 | ||||||
Cabot Microelectronics Corp. | 10,954 | 388,977 | ||||||
Clarcor, Inc. | 23,402 | 1,118,148 | ||||||
Encore Wire Corp. | 7,664 | 232,296 | ||||||
Harbinger Group, Inc. (a) | 19,157 | 147,317 | ||||||
Hexcel Corp. (a) | 46,343 | 1,249,407 | ||||||
Insteel Industries, Inc. | 8,208 | 102,436 | ||||||
Koppers Holdings, Inc. | 9,643 | 367,880 | ||||||
NL Industries, Inc. | 3,120 | 35,724 | ||||||
Tredegar Corp. | 11,259 | 229,909 | ||||||
Uranium Energy Corp. (a)(b) | 39,671 | 101,558 | ||||||
|
| |||||||
| 4,926,675 | ||||||||
|
| |||||||
Diversified Media — 0.1% |
| |||||||
Belo Corp., Class A | 43,605 | 334,451 | ||||||
EW Scripps Co. (a) | 13,914 | 150,410 | ||||||
|
| |||||||
| 484,861 | ||||||||
|
| |||||||
Diversified Retail — 0.5% |
| |||||||
The Bon-Ton Stores, Inc. | 5,872 | 71,169 | ||||||
Fred’s, Inc., CLass A | 16,979 | 225,990 | ||||||
Geeknet, Inc. (a) | 2,023 | 32,570 | ||||||
Gordmans Stores, Inc. (a) | 3,999 | 60,065 | ||||||
HSN, Inc. | 17,376 | 957,070 | ||||||
Overstock.com, Inc. (a)(b) | 5,385 | 77,059 | ||||||
PriceSmart, Inc. | 8,476 | 653,076 | ||||||
Saks, Inc. (a)(b) | 51,217 | 538,291 | ||||||
Tuesday Morning Corp. (a) | 19,492 | 121,825 | ||||||
Winmark Corp. | 1,012 | 57,684 | ||||||
|
| |||||||
| 2,794,799 | ||||||||
|
| |||||||
Drug & Grocery Store Chains — 0.6% |
| |||||||
Arden Group, Inc., Class A | 521 | 46,874 | ||||||
Casey’s General Stores, Inc. | 17,735 | 941,728 | ||||||
Harris Teeter Supermarkets | 20,469 | 789,285 | ||||||
Ingles Markets, Inc., Class A | 5,669 | 97,847 | ||||||
Nash Finch Co. | 5,630 | 119,806 | ||||||
The Pantry, Inc. (a) | 10,777 | 130,725 | ||||||
PetMed Express, Inc. | 9,432 | 104,695 | ||||||
Rite Aid Corp. (a) | 307,059 | 417,600 | ||||||
Spartan Stores, Inc. | 10,002 | 153,631 | ||||||
SUPERVALU, Inc. (b) | 99,200 | 245,024 | ||||||
Susser Holdings Corp. (a) | 5,204 | 179,486 | ||||||
Village Super Market, Inc., Class A | 3,925 | 128,976 | ||||||
Weis Markets, Inc. | 5,193 | 203,410 | ||||||
|
| |||||||
| 3,559,087 | ||||||||
|
| |||||||
Education Services — 0.4% | ||||||||
American Public Education, | 8,384 | 302,746 | ||||||
Bridgepoint Education, Inc. (a) | 8,164 | 84,089 | ||||||
Capella Education Co. (a) | 5,904 | 166,670 | ||||||
Career Education Corp. (a) | 24,263 | 85,406 | ||||||
Corinthian Colleges, Inc. (a) | 36,549 | 89,180 | ||||||
Education Management Corp. (a) | 12,320 | 53,962 | ||||||
Franklin Covey Co. (a) | 6,413 | 82,728 | ||||||
See Notes to Financial Statements.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 61 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Education Services (concluded) |
| |||||||
Grand Canyon Education, Inc. (a) | 18,580 | $ | 436,073 | |||||
HealthStream, Inc. (a) | 9,079 | 220,710 | ||||||
K12, Inc. (a) | 12,426 | 253,987 | ||||||
Lincoln Educational Services Corp. | 10,659 | 59,584 | ||||||
National American University Holdings, Inc. | 4,853 | 18,684 | ||||||
Rosetta Stone, Inc. (a) | 5,003 | 61,737 | ||||||
Strayer Education, Inc. | 5,538 | 311,069 | ||||||
Universal Technical Institute, Inc. | 10,021 | 100,611 | ||||||
|
| |||||||
| 2,327,236 | ||||||||
|
| |||||||
Electronic Components — 0.8% |
| |||||||
3D Systems Corp. (a)(b) | 21,798 | 1,162,923 | ||||||
Acacia Research Corp. (a) | 23,141 | 593,567 | ||||||
Checkpoint Systems, Inc. (a) | 18,737 | 201,235 | ||||||
InvenSense, Inc. (a) | 16,987 | 188,726 | ||||||
Kemet Corp. (a) | 20,973 | 105,494 | ||||||
Methode Electronics, Inc. | 17,212 | 172,636 | ||||||
Multi-Fineline Electronix, | 4,087 | 82,598 | ||||||
Neonode, Inc. (a) | 10,334 | 50,223 | ||||||
NVE Corp. (a) | 2,244 | 124,520 | ||||||
Park Electrochemical Corp. | 9,652 | 248,346 | ||||||
Rogers Corp. (a) | 7,555 | 375,181 | ||||||
Sanmina Corp. (a) | 37,922 | 419,797 | ||||||
ScanSource, Inc. (a) | 12,782 | 406,084 | ||||||
TTM Technologies, Inc. (a) | 24,660 | 226,872 | ||||||
Universal Display Corp. (a) | 18,505 | 474,098 | ||||||
Viasystems Group, Inc. (a) | 1,733 | 21,143 | ||||||
|
| |||||||
| 4,853,443 | ||||||||
|
| |||||||
Electronic Entertainment — 0.1% |
| |||||||
DTS, Inc. (a) | 8,543 | 142,668 | ||||||
Glu Mobile, Inc. (a)(b) | 25,667 | 58,778 | ||||||
Take-Two Interactive Software, Inc. (a) | 36,432 | 401,116 | ||||||
|
| |||||||
| 602,562 | ||||||||
|
| |||||||
Electronics — 0.4% |
| |||||||
Agilysys, Inc. (a) | 6,684 | 55,945 | ||||||
American Science & Engineering, Inc. | 3,914 | 255,232 | ||||||
Coherent, Inc. | 11,001 | 556,871 | ||||||
Daktronics, Inc. | 16,889 | 186,961 | ||||||
II-VI, Inc. (a) | 24,450 | 446,701 | ||||||
iRobot Corp. (a) | 12,796 | 239,797 | ||||||
Newport Corp. (a)(b) | 17,717 | 238,294 | ||||||
Richardson Electronics Ltd. | 5,908 | 66,878 | ||||||
Rofin-Sinar Technologies, | 13,276 | 287,824 | ||||||
|
| |||||||
| 2,334,503 | ||||||||
|
| |||||||
Energy Equipment — 0.3% | ||||||||
C&J Energy Services, Inc. (a) | 20,721 | 444,258 | ||||||
Capstone Turbine Corp. (a) | 133,145 | 118,499 | ||||||
Enphase Energy, Inc. (a) | 3,675 | 13,414 | ||||||
First Solar, Inc. (a) | 28,052 | 866,246 | ||||||
FuelCell Energy, Inc. (a) | 70,516 | 64,663 | ||||||
Matador Resources Co. (a) | 6,497 | 53,275 | ||||||
STR Holdings, Inc. (a) | 14,231 | 35,862 | ||||||
SunPower Corp. (a) | 18,588 | 104,465 | ||||||
|
| |||||||
| 1,700,682 | ||||||||
|
| |||||||
Common Stocks | Shares | Value | ||||||
Energy Equipment & Services — 0.1% |
| |||||||
Geospace Technologies | 5,938 | $ | 527,710 | |||||
Pioneer Energy Services Corp. (a) | 28,789 | 209,008 | ||||||
|
| |||||||
| 736,718 | ||||||||
|
| |||||||
Engineering & Contracting Services — 0.5% |
| |||||||
Argan, Inc. | 4,571 | 82,278 | ||||||
Dycom Industries, Inc. (a) | 15,682 | 310,504 | ||||||
Exponent, Inc. (a) | 6,202 | 346,258 | ||||||
Furmamite Corp. (a) | 17,467 | 93,798 | ||||||
Hill International, Inc. (a) | 10,600 | 38,796 | ||||||
Layne Christensen Co. (a) | 9,231 | 224,036 | ||||||
Mastec, Inc. (a) | 25,521 | 636,239 | ||||||
Michael Baker Corp. | 3,997 | 99,645 | ||||||
Mistras Group, Inc. (a) | 7,245 | 178,879 | ||||||
MYR Group, Inc. (a) | 9,533 | 212,109 | ||||||
Tetra Tech, Inc. (a) | 29,510 | 780,539 | ||||||
VSE Corp. | 1,801 | 44,142 | ||||||
|
| |||||||
| 3,047,223 | ||||||||
|
| |||||||
Entertainment — 0.4% |
| |||||||
Ascent Capital Group, Inc., Class A (a) | 6,560 | 406,326 | ||||||
Carmike Cinemas, Inc. (a) | 8,268 | 124,020 | ||||||
Lions Gate Entertainment | 39,493 | 647,685 | ||||||
Live Nation Entertainment, | 65,169 | 606,723 | ||||||
Reading International, Inc., Class A (a) | 7,494 | 45,039 | ||||||
Rentrak Corp. (a) | 4,348 | 84,743 | ||||||
SHFL Entertainment, Inc. (a) | 25,541 | 370,345 | ||||||
World Wrestling Entertainment, Inc. | 12,658 | 99,872 | ||||||
|
| |||||||
| 2,384,753 | ||||||||
|
| |||||||
Environmental, Maintenance, & Security |
| |||||||
ABM Industries, Inc. | 25,005 | 498,850 | ||||||
The Brink’s Co. | 21,995 | 627,517 | ||||||
G&K Services, Inc., Class A | 8,793 | 300,281 | ||||||
The Geo Group, Inc. | 32,834 | 925,919 | ||||||
Healthcare Services Group, Inc. | 31,271 | 726,425 | ||||||
Mac-Gray Corp. | 5,509 | 69,138 | ||||||
Standard Parking Corp. (a) | 7,216 | 158,680 | ||||||
Swisher Hygiene, Inc. (a) | 52,371 | 91,649 | ||||||
Unifirst Corp. | 6,722 | 492,857 | ||||||
|
| |||||||
| 3,891,316 | ||||||||
|
| |||||||
Fertilizers — 0.0% | ||||||||
Rentech, Inc. | 60,976 | 160,367 | ||||||
|
| |||||||
Financial Data & Systems — 0.5% |
| |||||||
Advent Software, Inc. (a) | 14,696 | 314,201 | ||||||
Cardtronics, Inc. (a) | 20,510 | 486,907 | ||||||
Cass Information Systems, Inc. | 4,721 | 199,226 | ||||||
Euronet Worldwide, Inc. (a) | 23,588 | 556,677 | ||||||
Fair Isaac Corp. | 15,947 | 670,253 | ||||||
Global Cash Access, Inc. (a) | 14,592 | 114,401 | ||||||
Green Dot Corp., Class A (a) | 11,303 | 137,897 | ||||||
Heartland Payment Systems, Inc. | 18,046 | 532,357 | ||||||
Higher One Holdings, Inc. (a)(b) | 14,984 | 157,931 | ||||||
|
| |||||||
| 3,169,850 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.0% |
| |||||||
Natural Grocers by Vitamin Cottage, Inc. (a) | 3,273 | 62,482 | ||||||
|
| |||||||
See Notes to Financial Statements.
| 62 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Foods — 1.3% | ||||||||
Annie’s, Inc. (a) | 2,329 | $ | 77,858 | |||||
B&G Foods, Inc., Class A | 24,479 | 693,000 | ||||||
The Chefs’ Warehouse, Inc. (a) | 5,045 | 79,761 | ||||||
Chiquita Brands International, Inc. (a) | 21,342 | 176,072 | ||||||
Diamond Foods, Inc. (b) | 10,303 | 140,842 | ||||||
Dole Food Co., Inc. (a) | 16,644 | 190,907 | ||||||
The Hain Celestial Group, | 17,158 | 930,307 | ||||||
Inventure Foods, Inc. (a) | 6,015 | 39,037 | ||||||
J&J Snack Foods Corp. | 6,881 | 439,971 | ||||||
John B. Sanfilippo & Son, Inc. | 3,657 | 66,484 | ||||||
Lancaster Colony Corp. | 8,596 | 594,757 | ||||||
Lifeway Foods, Inc. | 2,060 | 18,004 | ||||||
Medifast, Inc. (a) | 6,469 | 170,717 | ||||||
Natures Sunshine Prods, Inc. | 5,257 | 76,121 | ||||||
Nutraceutical International Corp. | 4,014 | 66,392 | ||||||
Omega Protein Corp. (a) | 8,946 | 54,750 | ||||||
Post Holdings, Inc. (a) | 12,650 | 433,262 | ||||||
Roundy’s, Inc. (b) | 9,528 | 42,400 | ||||||
Seneca Foods Corp. (a) | 4,137 | 125,765 | ||||||
Smart Balance, Inc. (a) | 27,464 | 354,286 | ||||||
Snyders-Lance, Inc. | 20,553 | 495,533 | ||||||
Synutra International, Inc. (a) | 8,096 | 37,484 | ||||||
Tootsie Roll Industries, Inc. | 11,000 | 285,120 | ||||||
TreeHouse Foods, Inc. (a) | 16,704 | 870,780 | ||||||
United Natural Foods, Inc. (a) | 22,728 | 1,217,994 | ||||||
Westway Group, Inc. (a) | 5,457 | 36,398 | ||||||
|
| |||||||
| 7,714,002 | ||||||||
|
| |||||||
Forest Products — 0.1% | ||||||||
Deltic Timber Corp. | 5,057 | 357,125 | ||||||
Universal Forest Products, Inc. | 9,170 | 348,827 | ||||||
|
| |||||||
| 705,952 | ||||||||
|
| |||||||
Forms & Bulk Printing Services — 0.3% |
| |||||||
Consolidated Graphics, Inc. (a) | 3,650 | 127,458 | ||||||
Deluxe Corp. | 23,728 | 764,991 | ||||||
Ennis, Inc. | 12,109 | 187,326 | ||||||
Innerworkings, Inc. (a) | 14,775 | 203,599 | ||||||
Multi-Color Corp. | 6,209 | 148,954 | ||||||
Quad/Graphics, Inc. | 11,690 | 238,359 | ||||||
Schawk, Inc. | 5,512 | 72,538 | ||||||
|
| |||||||
| 1,743,225 | ||||||||
|
| |||||||
Funeral Parlors & Cemeteries — 0.2% |
| |||||||
Carriage Services, Inc. | 7,447 | 88,396 | ||||||
Hillenbrand, Inc. | 25,703 | 581,145 | ||||||
Matthews International Corp., Class A | 13,077 | 419,772 | ||||||
Stewart Enterprises, Inc., Class A | 34,929 | 266,857 | ||||||
|
| |||||||
| 1,356,170 | ||||||||
|
| |||||||
Gas Pipeline — 0.2% | ||||||||
Crosstex Energy, Inc. | 19,461 | 279,071 | ||||||
SemGroup Corp. (a) | 19,740 | 771,439 | ||||||
|
| |||||||
| 1,050,510 | ||||||||
|
| |||||||
Glass — 0.1% | ||||||||
Apogee Enterprises, Inc. | 13,216 | 316,788 | ||||||
|
| |||||||
Gold — 0.3% | ||||||||
Coeur d’Alene Mines Corp. (a) | 41,843 | 1,029,338 | ||||||
Gold Reserve, Inc. (a) | 24,332 | 80,539 | ||||||
Common Stocks | Shares | Value | ||||||
Gold (concluded) | ||||||||
Gold Resource Corp. | 13,864 | $ | 213,644 | |||||
Golden Star Resources Ltd. (a) | 120,288 | 221,330 | ||||||
Midway Gold Corp. (a) | 59,782 | 83,097 | ||||||
Vista Gold Corp. (a) | 26,968 | 72,813 | ||||||
|
| |||||||
| 1,700,761 | ||||||||
|
| |||||||
Health Care Facilities — 0.7% |
| |||||||
Amsurg Corp. (a) | 14,714 | 441,567 | ||||||
Assisted Living Concepts, Inc. | 9,142 | 89,135 | ||||||
Capital Senior Living Corp. (a) | 13,137 | 245,531 | ||||||
Emeritus Corp. (a) | 14,307 | 353,669 | ||||||
The Ensign Group, Inc. | 8,095 | 220,103 | ||||||
Five Star Quality Care, Inc. (a) | 14,232 | 71,302 | ||||||
Hanger Orthopedic Group, | 15,869 | 434,176 | ||||||
HealthSouth Corp. (a) | 44,455 | 938,445 | ||||||
Kindred Healthcare, Inc. (a) | 24,588 | 266,042 | ||||||
National Healthcare Corp. | 4,901 | 230,445 | ||||||
Select Medical Holdings Corp. | 16,302 | 153,728 | ||||||
Skilled Healthcare Group, Inc., Class A (a) | 8,804 | 56,081 | ||||||
Sunrise Senior Living, Inc. (a) | 27,137 | 390,230 | ||||||
US Physical Therapy, Inc. | 5,500 | 151,470 | ||||||
Vanguard Health Systems, | 14,727 | 180,406 | ||||||
|
| |||||||
| 4,222,330 | ||||||||
|
| |||||||
Health Care Management Services — 0.7% |
| |||||||
Bioscript, Inc. (a) | 20,488 | 220,656 | ||||||
Centene Corp. (a) | 23,994 | 983,754 | ||||||
Computer Programs & Systems, Inc. | 5,154 | 259,452 | ||||||
Magellan Health Services, | 12,717 | 623,133 | ||||||
Molina Healthcare, Inc. (a) | 13,971 | 378,055 | ||||||
National Research Corp. | 1,138 | 61,680 | ||||||
Triple-S Management Corp. (a) | 8,966 | 165,602 | ||||||
Universal American Corp. | 17,503 | 150,351 | ||||||
WellCare Health Plans, Inc. (a) | 20,074 | 977,403 | ||||||
|
| |||||||
| 3,820,086 | ||||||||
|
| |||||||
Health Care Services — 1.6% |
| |||||||
Acadia Healthcare Co., | 12,564 | 293,118 | ||||||
Accretive Health, Inc. (a) | 26,257 | 303,531 | ||||||
Air Methods Corp. | 17,910 | 660,700 | ||||||
Almost Family, Inc. | 3,846 | 77,920 | ||||||
Amedisys, Inc. (a) | 14,015 | 157,949 | ||||||
AMN Healthcare Services, | 20,640 | 238,392 | ||||||
athenahealth, Inc. (a) | 16,685 | 1,225,513 | ||||||
Chemed Corp. | 8,958 | 614,429 | ||||||
Chindex International, Inc. (a) | 5,381 | 56,501 | ||||||
Corvel Corp. (a) | 2,929 | 131,307 | ||||||
Cross Country Healthcare, | 12,638 | 60,662 | ||||||
ePocrates, Inc. (a) | 8,557 | 75,473 | ||||||
ExamWorks Group, Inc. (a) | 13,604 | 190,320 | ||||||
Gentiva Health Services, Inc. (a) | 14,146 | 142,167 | ||||||
Globus Medical, Inc., Class A (a) | 4,605 | 48,306 | ||||||
Greenway Medical | 3,720 | 57,139 | ||||||
Healthways, Inc. (a) | 15,574 | 166,642 | ||||||
HMS Holdings Corp. (a)(b) | 40,004 | 1,036,904 | ||||||
IPC The Hospitalist Co., Inc. (a) | 7,720 | 306,561 | ||||||
LHC Group, Inc. (a) | 7,298 | 155,447 | ||||||
Medidata Solutions, Inc. (a) | 10,337 | 405,107 | ||||||
MWI Veterinary Supply, Inc. (a) | 5,922 | 651,420 | ||||||
Omnicell, Inc. (a) | 15,571 | 231,541 | ||||||
See Notes to Financial Statements.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 63 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Health Care Services (concluded) |
| |||||||
PharMerica Corp. (a)(b) | 13,721 | $ | 195,387 | |||||
Quality Systems, Inc. | 18,496 | 321,091 | ||||||
Ryman Hospitality Properties | 14,774 | 568,208 | ||||||
Team Health Holdings, Inc. (a) | 13,170 | 378,901 | ||||||
WebMD Health Corp. (a) | 23,585 | 338,209 | ||||||
|
| |||||||
| 9,088,845 | ||||||||
|
| |||||||
Health Care: Miscellaneous — 0.1% |
| |||||||
MedAssets, Inc. (a) | 27,094 | 454,367 | ||||||
The Providence Service Corp. (a) | 6,081 | 103,316 | ||||||
|
| |||||||
| 557,683 | ||||||||
|
| |||||||
Home Building — 0.6% |
| |||||||
Beazer Homes USA, Inc. (a) | 11,496 | 194,167 | ||||||
Hovnanian Enterprises, Inc., Class A (a)(b) | 49,147 | 344,029 | ||||||
KB Home | 35,971 | 568,342 | ||||||
M/I Homes, Inc. (a)(b) | 9,992 | 264,788 | ||||||
MDC Holdings, Inc. | 17,848 | 656,093 | ||||||
Meritage Homes Corp. (a) | 14,259 | 532,574 | ||||||
Ryland Group, Inc. | 20,790 | 758,835 | ||||||
Standard-Pacific Corp. (a) | 53,989 | 396,819 | ||||||
|
| |||||||
| 3,715,647 | ||||||||
|
| |||||||
Hotel/Motel — 0.2% |
| |||||||
Bloomin’ Brands, Inc. (a) | 8,543 | 133,613 | ||||||
Marcus Corp. | 8,967 | 111,818 | ||||||
Morgans Hotel Group Co. (a) | 10,081 | 55,849 | ||||||
Orient Express Hotels Ltd., Class A (a) | 44,695 | 522,485 | ||||||
Red Lion Hotels Corp. (a) | 6,278 | 49,533 | ||||||
|
| |||||||
| 873,298 | ||||||||
|
| |||||||
Household Appliances — 0.0% | ||||||||
National Presto Industries, Inc. | 2,250 | 155,475 | ||||||
|
| |||||||
Household Equipment & Products — 0.2% |
| |||||||
American Greetings Corp., Class A | 14,709 | 248,435 | ||||||
Blyth, Inc. | 4,890 | 76,040 | ||||||
Central Garden & Pet Co., | 17,941 | 187,483 | ||||||
CSS Industries, Inc. | 4,445 | 97,301 | ||||||
Helen of Troy Ltd. (a)(b) | 14,739 | 492,135 | ||||||
Libbey, Inc. (a) | 9,545 | 184,696 | ||||||
|
| |||||||
| 1,286,090 | ||||||||
|
| |||||||
Household Furnishings — 0.3% |
| |||||||
American Woodmark Corp. (a) | 4,523 | 125,830 | ||||||
Bassett Furniture Industries, Inc. | 5,277 | 65,804 | ||||||
Ethan Allen Interiors, Inc. | 11,275 | 289,880 | ||||||
Flexsteel Industries, Inc. | 2,024 | 43,415 | ||||||
Hooker Furniture Corp. | 5,005 | 72,723 | ||||||
Kirkland’s, Inc. (a) | 6,195 | 65,605 | ||||||
La-Z-Boy, Inc. | 24,112 | 341,185 | ||||||
Lifetime Brands, Inc. | 4,516 | 47,915 | ||||||
Sealy Corp. (a)(b) | 23,014 | 49,940 | ||||||
Select Comfort Corp. (a) | 26,435 | 691,804 | ||||||
|
| |||||||
| 1,794,101 | ||||||||
|
| |||||||
Insurance: Life — 0.5% |
| |||||||
American Equity Investment Life Holding Co. | 27,578 | 336,727 | ||||||
Citizens, Inc. (a)(b) | 17,803 | 196,723 | ||||||
CNO Financial Group, Inc. | 97,189 | 906,773 | ||||||
FBL Financial Group, Inc., Class A | 4,441 | 151,927 | ||||||
Independence Holding Co. | 3,730 | 35,510 | ||||||
Common Stocks | Shares | Value | ||||||
Insurance: Life (concluded) | ||||||||
Kansas City Life Insurance Co. | 1,881 | $ | 71,779 | |||||
National Western Life Insurance Co., Class A | 979 | 154,428 | ||||||
The Phoenix Cos., Inc. (a) | 2,667 | 65,955 | ||||||
Primerica, Inc. | 21,535 | 646,265 | ||||||
Symetra Financial Corp. | 35,641 | 462,620 | ||||||
|
| |||||||
| 3,028,707 | ||||||||
|
| |||||||
Insurance: Multi-Line — 0.5% | ||||||||
Alterra Capital Holdings Ltd. | 39,908 | 1,125,006 | ||||||
Crawford & Co., Class B | 12,359 | 98,625 | ||||||
Eastern Insurance Holdings, Inc. | 3,032 | 51,787 | ||||||
eHealth, Inc. (a) | 9,216 | 253,256 | ||||||
Fortegra Financial Corp. (a) | 3,345 | 29,737 | ||||||
Horace Mann Educators Corp. | 18,421 | 367,683 | ||||||
Maiden Holdings Ltd. | 23,516 | 216,112 | ||||||
Pico Holdings, Inc. (a) | 10,622 | 215,308 | ||||||
Platinum Underwriters Holdings Ltd. | 15,335 | 705,410 | ||||||
|
| |||||||
| 3,062,924 | ||||||||
|
| |||||||
Insurance: Property-Casualty — 1.4% |
| |||||||
American Safety Insurance Holdings Ltd. (a) | 4,236 | 80,145 | ||||||
Amerisafe, Inc. (a) | 8,487 | 231,271 | ||||||
AmTrust Financial Services, Inc. | 12,618 | 362,010 | ||||||
Argo Group International Holdings Ltd. | 12,060 | 405,095 | ||||||
Baldwin & Lyons, Inc., Class B | 4,338 | 103,505 | ||||||
Donegal Group, Inc., Class A | 3,743 | 52,552 | ||||||
EMC Insurance Group, Inc. | 2,177 | 51,987 | ||||||
Employers Holdings, Inc. | 10,430 | 214,649 | ||||||
Enstar Group Ltd. (a) | 3,918 | 438,738 | ||||||
First American Financial Corp. | 49,554 | 1,193,756 | ||||||
Global Indemnity Plc (a) | 4,781 | 105,804 | ||||||
Greenlight Capital Re Ltd. (a) | 13,111 | 302,602 | ||||||
Hallmark Financial Services, | 6,614 | 62,105 | ||||||
Hilltop Holdings, Inc. (a) | 18,546 | 251,113 | ||||||
Homeowners Choice, Inc. | 3,976 | 82,661 | ||||||
Infinity Property & Casualty Corp. | 5,526 | 321,834 | ||||||
Investors Title Co. | 578 | 34,680 | ||||||
Meadowbrook Insurance Group, Inc. | 23,786 | 137,483 | ||||||
Montpelier Re Holdings Ltd. (b) | 23,449 | 536,044 | ||||||
National Interstate Corp. | 2,977 | 85,797 | ||||||
Navigators Group, Inc. (a) | 4,660 | 237,986 | ||||||
OneBeacon Insurance Group Ltd. | 10,777 | 149,800 | ||||||
Radian Group, Inc. | 62,293 | 380,610 | ||||||
RLI Corp. | 9,942 | 642,850 | ||||||
Safety Insurance Group, Inc. | 5,988 | 276,466 | ||||||
SeaBright Holdings, Inc. | 9,351 | 103,516 | ||||||
Selective Insurance Group, Inc. | 25,728 | 495,779 | ||||||
State Auto Financial Corp. | 7,014 | 104,789 | ||||||
Stewart Information Services Corp. | 8,572 | 222,872 | ||||||
Tower Group, Inc. | 16,288 | 289,438 | ||||||
United Fire Group, Inc. | 9,399 | 205,274 | ||||||
Universal Insurance Holdings, Inc. | 9,518 | 41,689 | ||||||
|
| |||||||
| 8,204,900 | ||||||||
|
| |||||||
International Trade & Diversified Logistic — 0.0% |
| |||||||
Global Sources Ltd. (a) | 8,802 | 57,037 | ||||||
|
| |||||||
Internet & Catalog Retail — 0.0% |
| |||||||
Kayak Software Corp. (a) | 1,638 | 65,061 | ||||||
Vitacost.com, Inc. (a) | 10,259 | 69,556 | ||||||
|
| |||||||
| 134,617 | ||||||||
|
| |||||||
See Notes to Financial Statements.
| 64 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Internet Software & Services — 0.0% |
| |||||||
E2open, Inc. | 2,149 | $ | 30,430 | |||||
|
| |||||||
Leisure Time — 1.2% | ||||||||
Black Diamond, Inc. (a) | 9,501 | 77,908 | ||||||
Bluegreen Corp. (a) | 6,759 | 63,399 | ||||||
Callaway Golf Co. | 30,225 | 196,463 | ||||||
Churchill Downs, Inc. | 6,034 | 400,959 | ||||||
International Speedway Corp., Class A | 12,840 | 354,641 | ||||||
Interval Leisure Group, Inc. | 18,006 | 349,136 | ||||||
Johnson Outdoors, Inc. (a) | 2,544 | 50,677 | ||||||
Life Time Fitness, Inc. (a) | 19,934 | 980,952 | ||||||
Marriott Vacations Worldwide Corp. (a) | 12,207 | 508,666 | ||||||
Orbitz Worldwide, Inc. (a) | 10,579 | 28,775 | ||||||
Pool Corp. | 22,082 | 934,510 | ||||||
Premier Exhibitions, Inc. (a) | 11,852 | 32,119 | ||||||
Six Flags Entertainment Corp. | 18,472 | 1,130,486 | ||||||
Smith & Wesson Holding | 30,240 | 255,226 | ||||||
Speedway Motorsports, Inc. | 5,317 | 94,855 | ||||||
Steinway Musical Instruments, Inc. (a) | 3,103 | 65,628 | ||||||
Sturm Ruger & Co., Inc. (b) | 8,919 | 404,923 | ||||||
Town Sports International Holdings, Inc. | 10,756 | 114,551 | ||||||
Vail Resorts, Inc. | 16,707 | 903,682 | ||||||
West Marine, Inc. (a) | 6,885 | 74,014 | ||||||
|
| |||||||
| 7,021,570 | ||||||||
|
| |||||||
Luxury Items — 0.0% | ||||||||
Movado Group, Inc. | 8,199 | 251,545 | ||||||
|
| |||||||
Machinery: Agricultural — 0.2% |
| |||||||
Alamo Group, Inc. | 3,203 | 104,546 | ||||||
Lindsay Manufacturing Co. | 5,918 | 474,150 | ||||||
Titan International, Inc. | 22,230 | 482,836 | ||||||
Titan Machinery, Inc. (a) | 7,859 | 194,117 | ||||||
|
| |||||||
| 1,255,649 | ||||||||
|
| |||||||
Machinery: Construction & Handling — 0.1% |
| |||||||
Astec Industries, Inc. | 9,318 | 310,569 | ||||||
Douglas Dynamics, Inc. | 10,293 | 148,116 | ||||||
NACCO Industries, Inc., Class A | 2,564 | 155,609 | ||||||
|
| |||||||
| 614,294 | ||||||||
|
| |||||||
Machinery: Engines — 0.1% | ||||||||
Briggs & Stratton Corp. | 22,665 | 477,778 | ||||||
|
| |||||||
Machinery: Industrial — 1.4% | ||||||||
Actuant Corp., Class A | 33,917 | 946,623 | ||||||
Altra Holdings, Inc. | 12,511 | 275,868 | ||||||
Applied Industrial Technologies, Inc. | 19,658 | 825,833 | ||||||
Chart Industries, Inc. (a)(b) | 13,929 | 928,646 | ||||||
Columbus McKinnon Corp. (a) | 8,942 | 147,722 | ||||||
DXP Enterprises, Inc. (a) | 4,086 | 200,500 | ||||||
EnPro Industries, Inc. (a) | 9,535 | 389,981 | ||||||
Flow International Corp. (a) | 22,268 | 77,938 | ||||||
Graham Corp. | 4,621 | 90,110 | ||||||
Hardinge, Inc. | 5,437 | 54,044 | ||||||
Hyster-Yale Materials Handling, Inc. | 5,098 | 248,782 | ||||||
John Bean Technologies Corp. | 13,418 | 238,438 | ||||||
Kadant, Inc. (a) | 5,402 | 143,207 | ||||||
Middleby Corp. (a) | 8,711 | 1,116,837 | ||||||
MTS Systems Corp. | 7,471 | 380,498 | ||||||
Omega Flex, Inc. | 1,265 | 15,635 | ||||||
Proto Labs, Inc. (a) | 2,349 | 92,598 | ||||||
Sauer-Danfoss, Inc. | 5,470 | 291,934 | ||||||
Common Stocks | Shares | Value | ||||||
Machinery: Industrial (concluded) |
| |||||||
Tennant Co. | 8,766 | $ | 385,266 | |||||
Twin Disc, Inc. | 3,946 | 68,779 | ||||||
Woodward, Inc. | 32,207 | 1,228,053 | ||||||
|
| |||||||
| 8,147,292 | ||||||||
|
| |||||||
Machinery: Specialty — 0.1% | ||||||||
Albany International Corp., Class A | 12,825 | 290,871 | ||||||
Cascade Corp. | 4,232 | 272,118 | ||||||
Hurco Cos., Inc. (a) | 2,972 | 68,356 | ||||||
|
| |||||||
| 631,345 | ||||||||
|
| |||||||
Manufactured Housing — 0.0% | ||||||||
Cavco Industries, Inc. (a) | 3,193 | 159,586 | ||||||
|
| |||||||
Medical & Dental Instruments & Supplies — 2.4% |
| |||||||
Abiomed, Inc. (a) | 15,605 | 210,043 | ||||||
Align Technology, Inc. (a) | 33,486 | 929,236 | ||||||
Alphatec Holdings, Inc. (a) | 25,854 | 42,659 | ||||||
AngioDynamics, Inc. (a) | 11,367 | 124,923 | ||||||
Anika Therapeutics, Inc. (a) | 5,600 | 55,664 | ||||||
Antares Pharma, Inc. (a) | 49,879 | 190,039 | ||||||
AtriCure, Inc. (a) | 6,904 | 47,638 | ||||||
Atrion Corp. | 729 | 142,884 | ||||||
Cantel Medical Corp. | 9,874 | 293,554 | ||||||
Cardiovascular Systems, Inc. (a) | 7,847 | 98,480 | ||||||
Cerus Corp. (a) | 25,484 | 80,529 | ||||||
Conceptus, Inc. (a)(b) | 14,594 | 306,620 | ||||||
CONMED Corp. | 13,161 | 367,850 | ||||||
CryoLife, Inc. | 12,896 | 80,342 | ||||||
Derma Sciences, Inc. (a) | 5,362 | 59,572 | ||||||
Endologix, Inc. (a) | 25,787 | 367,207 | ||||||
Exactech, Inc. (a) | 3,907 | 66,224 | ||||||
Hansen Medical, Inc. (a) | 26,059 | 54,203 | ||||||
Heartware International, Inc. (a) | 6,572 | 551,719 | ||||||
ICU Medical, Inc. (a) | 5,817 | 354,430 | ||||||
Insulet Corp. (a) | 22,246 | 472,060 | ||||||
Integra LifeSciences Holdings Corp. (a) | 9,064 | 353,224 | ||||||
Invacare Corp. | 14,771 | 240,767 | ||||||
Landauer, Inc. | 4,382 | 268,222 | ||||||
MAKO Surgical Corp. (a) | 18,372 | 236,448 | ||||||
Meridian Bioscience, Inc. | 19,271 | 390,238 | ||||||
Merit Medical Systems, Inc. (a) | 19,549 | 271,731 | ||||||
Navidea Biopharmaceuticals, | 45,055 | 127,506 | ||||||
Neogen Corp. (a)(b) | 10,969 | 497,115 | ||||||
NuVasive, Inc. (a) | 20,108 | 310,870 | ||||||
OraSure Technologies, Inc. (a) | 25,370 | 182,157 | ||||||
Orthofix International NV (a) | 8,701 | 342,210 | ||||||
Owens & Minor, Inc. | 29,592 | 843,668 | ||||||
PSS World Medical, Inc. (a) | 23,493 | 678,478 | ||||||
Quidel Corp. (a) | 13,101 | 244,596 | ||||||
Rochester Medical Corp. (a) | 4,949 | 49,886 | ||||||
Rockwell Medical Technologies, Inc. (a) | 9,753 | 78,512 | ||||||
Staar Surgical Co. (a) | 16,991 | 103,645 | ||||||
Steris Corp. | 26,934 | 935,418 | ||||||
SurModics, Inc. (a) | 5,960 | 133,266 | ||||||
Symmetry Medical, Inc. (a) | 17,023 | 179,082 | ||||||
Tornier NV (a) | 7,418 | 124,548 | ||||||
Unilife Corp. (a) | 37,579 | 85,304 | ||||||
Utah Medical Products, Inc. | 1,467 | 52,885 | ||||||
Vascular Solutions, Inc. (a) | 7,546 | 119,227 | ||||||
Volcano Corp. (a) | 24,789 | 585,268 | ||||||
See Notes to Financial Statements.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 65 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Medical & Dental Instruments & Supplies (concluded) |
| |||||||
West Pharmaceutical Services, Inc. | 15,775 | $ | 863,681 | |||||
Wright Medical Group, Inc. (a) | 18,295 | 384,012 | ||||||
Young Innovations, Inc. | 2,555 | 100,692 | ||||||
|
| |||||||
| 13,678,532 | ||||||||
|
| |||||||
Medical Equipment — 1.0% |
| |||||||
Abaxis, Inc. | 10,103 | 374,821 | ||||||
Accuray, Inc. (a) | 33,255 | 213,830 | ||||||
Affymetrix, Inc. (a) | 33,145 | 105,070 | ||||||
Analogic Corp. | 5,709 | 424,179 | ||||||
ArthroCare Corp. (a) | 12,870 | 445,173 | ||||||
Cyberonics, Inc. (a) | 12,833 | 674,117 | ||||||
Cynosure, Inc., Class A (a) | 5,754 | 138,729 | ||||||
DexCom, Inc. (a) | 31,934 | 434,622 | ||||||
EnteroMedics, Inc. (a) | 12,573 | 35,204 | ||||||
Fluidigm Corp. (a)(b) | 11,288 | 161,531 | ||||||
Greatbatch, Inc. (a) | 10,948 | 254,431 | ||||||
Haemonetics Corp. (a) | 23,576 | 962,844 | ||||||
Luminex Corp. (a) | 19,473 | 326,367 | ||||||
Masimo Corp. | 23,255 | 488,588 | ||||||
Merge Healthcare, Inc. (a) | 27,642 | 68,276 | ||||||
Natus Medical, Inc. (a) | 13,693 | 153,088 | ||||||
NxStage Medical, Inc. (a) | 24,125 | 271,406 | ||||||
Palomar Medical Technologies, Inc. (a) | 9,075 | 83,581 | ||||||
Solta Medical, Inc. (a) | 32,064 | 85,611 | ||||||
Spectranetic Corp. (a) | 15,992 | 236,202 | ||||||
Zeltiq Aesthetics, Inc. (a) | 8,059 | 37,313 | ||||||
|
| |||||||
| 5,974,983 | ||||||||
|
| |||||||
Medical Services — 0.2% |
| |||||||
Bio-Reference Labs, Inc. (a) | 11,466 | 328,960 | ||||||
Parexel International Corp. (a) | 27,880 | 824,969 | ||||||
|
| |||||||
| 1,153,929 | ||||||||
|
| |||||||
Metal Fabricating — 0.7% |
| |||||||
Ampco-Pittsburgh Corp. | 3,999 | 79,900 | ||||||
Compx International, Inc. | 465 | 6,478 | ||||||
Dynamic Materials Corp. | 6,298 | 87,542 | ||||||
The Eastern Co. | 2,903 | 45,926 | ||||||
Haynes International, Inc. | 5,725 | 296,956 | ||||||
Kaydon Corp. | 14,951 | 357,777 | ||||||
L.B. Foster Co., Class A | 4,233 | 183,882 | ||||||
Metals USA Holdings Corp. | 5,401 | 94,464 | ||||||
Mueller Industries, Inc. | 9,235 | 462,027 | ||||||
Mueller Water Products, Inc., Series A | 73,107 | 410,130 | ||||||
NN, Inc. (a) | 7,984 | 73,133 | ||||||
Northwest Pipe Co. (a) | 4,324 | 103,171 | ||||||
RBC Bearings, Inc. (a) | 10,318 | 516,622 | ||||||
Rexnord Corp. (a) | 13,397 | 285,356 | ||||||
RTI International Metals, | 14,102 | 388,651 | ||||||
Worthington Industries, Inc. | 24,361 | 633,142 | ||||||
|
| |||||||
| 4,025,157 | ||||||||
|
| |||||||
Metals & Minerals: Diversified — 0.7% |
| |||||||
AMCOL International Corp. | 11,748 | 360,429 | ||||||
General Moly, Inc. (a) | 31,299 | 125,509 | ||||||
Globe Specialty Metals, Inc. | 28,627 | 393,621 | ||||||
Hecla Mining Co. | 132,791 | 774,172 | ||||||
Materion Corp. | 9,497 | 244,833 | ||||||
McEwen Mining, Inc. (a) | 100,935 | 386,581 | ||||||
Minerals Technologies, Inc. | 16,483 | 658,001 | ||||||
Common Stocks | Shares | Value | ||||||
Metals & Minerals: Diversified (concluded) |
| |||||||
Oil-Dri Corp. of America | 2,271 | $ | 62,680 | |||||
Paramount Gold and Silver | 60,457 | 140,260 | ||||||
SunCoke Energy, Inc. (a) | 32,569 | 507,751 | ||||||
United States Lime & Minerals, | 787 | 37,083 | ||||||
Uranerz Energy Corp. (a) | 30,659 | 42,616 | ||||||
US Antimony Corp. (a) | 25,527 | 44,927 | ||||||
US Silica Holdings, Inc. (b) | 5,497 | 91,965 | ||||||
|
| |||||||
| 3,870,428 | ||||||||
|
| |||||||
Miscellaneous Consumer Staples — 0.1% |
| |||||||
Spectrum Brands Holdings, | 10,708 | 481,110 | ||||||
|
| |||||||
Office Supplies & Equipment — 0.6% |
| |||||||
ACCO Brands Corp. (a) | 52,617 | 386,209 | ||||||
AT Cross Co., Class A (a) | 4,426 | 47,712 | ||||||
Electronics for Imaging, Inc. (a) | 21,562 | 409,462 | ||||||
Herman Miller, Inc. | 27,152 | 581,596 | ||||||
HNI Corp. | 21,246 | 638,655 | ||||||
Kimball International, Inc., | 15,177 | 176,205 | ||||||
Knoll, Inc. | 22,317 | 342,789 | ||||||
Steelcase, Inc., Class A | 35,506 | 452,346 | ||||||
United Stationers, Inc. | 18,909 | 585,990 | ||||||
|
| |||||||
| 3,620,964 | ||||||||
|
| |||||||
Offshore Drilling & Other Services — 0.1% |
| |||||||
Hercules Offshore, Inc. (a) | 73,879 | 456,572 | ||||||
Vantage Drilling Co. (a) | 88,873 | 162,638 | ||||||
|
| |||||||
| 619,210 | ||||||||
|
| |||||||
Oil Well Equipment & Services — 1.4% |
| |||||||
Basic Energy Services, Inc. (a) | 14,366 | 163,916 | ||||||
Bolt Technology Corp. | 3,962 | 56,538 | ||||||
Cal Dive International, Inc. (a) | 45,131 | 78,077 | ||||||
Dawson Geophysical Co. (a) | 3,684 | 97,184 | ||||||
Dril-Quip, Inc. (a) | 18,713 | 1,366,985 | ||||||
Edgen Group, Inc. (a) | 6,712 | 47,387 | ||||||
Exterran Holdings, Inc. (a) | 30,191 | 661,787 | ||||||
Flotek Industries, Inc. (a) | 23,049 | 281,198 | ||||||
Forbes Energy Services Ltd. (a) | 6,579 | 16,645 | ||||||
Forum Energy Technologies, | 10,344 | 256,014 | ||||||
Global Geophysical Services, | 8,936 | 34,404 | ||||||
Gulf Island Fabrication, Inc. | 6,709 | 161,217 | ||||||
Helix Energy Solutions Group, Inc. (a) | 49,196 | 1,015,405 | ||||||
Hornbeck Offshore Services, | 16,445 | 564,721 | ||||||
ION Geophysical Corp. (a)(b) | 61,436 | 399,948 | ||||||
Key Energy Services, Inc. (a) | 70,382 | 489,155 | ||||||
Lufkin Industries, Inc. | 15,652 | 909,851 | ||||||
Matrix Service Co. (a) | 11,981 | 137,781 | ||||||
Mitcham Industries, Inc. (a) | 5,934 | 80,880 | ||||||
Natural Gas Services Group, | 5,695 | 93,512 | ||||||
Newpark Resources, Inc. (a) | 41,872 | 328,695 | ||||||
Parker Drilling Co. (a) | 54,790 | 252,034 | ||||||
RigNet, Inc. (a) | 5,641 | 115,246 | ||||||
Tesco Corp. (a) | 14,158 | 161,260 | ||||||
Tetra Technologies, Inc. (a) | 36,155 | 274,416 | ||||||
TGC Industries, Inc. | 6,876 | 56,314 | ||||||
Willbros Group, Inc. (a) | 18,203 | 97,568 | ||||||
|
| |||||||
| 8,198,138 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.1% |
| |||||||
Emerald Oil, Inc. (a) | 7,470 | 39,143 | ||||||
EPL Oil & Gas, Inc. (a) | 12,942 | 291,842 | ||||||
|
| |||||||
| 330,985 | ||||||||
|
| |||||||
See Notes to Financial Statements.
| 66 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Oil: Crude Producers — 2.6% |
| |||||||
Abraxas Petroleum Corp. (a) | 38,555 | $ | 84,435 | |||||
Apco Oil and Gas International, Inc. | 4,305 | 52,995 | ||||||
Approach Resources, Inc. (a) | 15,502 | 387,705 | ||||||
Berry Petroleum Co., Class A | 24,395 | 818,452 | ||||||
Bill Barrett Corp. (a) | 22,417 | 398,798 | ||||||
Bonanza Creek Energy, | 4,631 | 128,696 | ||||||
BPZ Resources, Inc. (a)(b) | 48,687 | 153,364 | ||||||
Callon Petroleum Co. (a) | 18,453 | 86,729 | ||||||
Carrizo Oil & Gas, Inc. (a) | 18,422 | 385,388 | ||||||
Ceres, Inc. (a) | 3,130 | 14,210 | ||||||
Clayton Williams Energy, | 2,746 | 109,840 | ||||||
Comstock Resources, Inc. (a) | 22,373 | 338,504 | ||||||
Contango Oil & Gas Co. | 5,933 | 251,322 | ||||||
Crimson Exploration, Inc. (a) | 9,888 | 27,093 | ||||||
Diamondback Energy, Inc. (a) | 6,630 | 126,766 | ||||||
Endeavour International | 21,690 | 112,354 | ||||||
Energy XXI Bermuda Ltd. | 36,728 | 1,182,274 | ||||||
Evolution Petroleum | 7,613 | 61,894 | ||||||
Forest Oil Corp. (a)(b) | 54,873 | 367,100 | ||||||
FX Energy, Inc. (a) | 24,686 | 101,459 | ||||||
Gastar Exploration Ltd. (a) | 26,210 | 31,714 | ||||||
Goodrich Petroleum Corp. (a) | 12,112 | 112,884 | ||||||
Gulfport Energy Corp. (a) | 25,934 | 991,197 | ||||||
Halcon Resources Corp. (a) | 51,916 | 359,259 | ||||||
Harvest Natural Resources, Inc. (a) | 18,296 | 165,945 | ||||||
Isramco, Inc. (a) | 470 | 48,875 | ||||||
Kodiak Oil & Gas Corp. (a) | 122,722 | 1,086,090 | ||||||
Magnum Hunter Resources Corp. (a) | 68,702 | 274,121 | ||||||
McMoRan Exploration Co. (a) | 47,292 | 759,037 | ||||||
Midstates Petroleum Co., | 11,322 | 78,009 | ||||||
Northern Oil and Gas, Inc. (a) | 29,578 | 497,502 | ||||||
Oasis Petroleum, Inc. (a) | 37,176 | 1,182,197 | ||||||
Panhandle Oil & Gas, Inc. | 3,226 | 91,070 | ||||||
PDC Energy, Inc. (a) | 13,950 | 463,280 | ||||||
Penn Virginia Corp. | 25,730 | 113,469 | ||||||
Petroquest Energy, Inc. (a) | 26,420 | 130,779 | ||||||
Quicksilver Resources, Inc. (a) | 54,761 | 156,616 | ||||||
Resolute Energy Corp. (a) | 22,386 | 181,998 | ||||||
Rex Energy Corp. (a) | 20,109 | 261,819 | ||||||
Rosetta Resources, Inc. (a) | 24,630 | 1,117,217 | ||||||
Sanchez Energy Corp. (a) | 5,393 | 97,074 | ||||||
Saratoga Resources, Inc. (a) | 9,520 | 33,701 | ||||||
Stone Energy Corp. (a) | 23,038 | 472,740 | ||||||
Swift Energy Co. (a) | 19,946 | 306,969 | ||||||
Synergy Resources Corp. (a) | 18,164 | 97,904 | ||||||
Triangle Petroleum Corp. (a) | 20,695 | 123,963 | ||||||
Vaalco Energy, Inc. (a) | 26,942 | 233,048 | ||||||
W&T Offshore, Inc. | 16,212 | 259,878 | ||||||
Warren Resources, Inc. (a) | 33,488 | 94,101 | ||||||
ZaZa Energy Corp. (a) | 11,631 | 23,844 | ||||||
|
| |||||||
| 15,035,678 | ||||||||
|
| |||||||
Oil: Integrated — 0.1% |
| |||||||
Targa Resources, Inc. | 13,479 | 712,230 | ||||||
|
| |||||||
Oil: Refining & Marketing — 0.4% |
| |||||||
Adams Resources & Energy, Inc. | 1,126 | 39,489 | ||||||
Alon USA Energy, Inc. | 4,818 | 87,158 | ||||||
Arabian American Development Co. (a) | 9,802 | 81,455 | ||||||
Clean Energy Fuels | 31,149 | 387,805 | ||||||
Common Stocks | Shares | Value | ||||||
Oil: Refining & Marketing (concluded) |
| |||||||
CVR Energy, Inc. (a) | 7,842 | $ | 382,611 | |||||
Delek US Holdings, Inc. | 8,138 | 206,054 | ||||||
Miller Energy Resources, Inc. (a) | 14,671 | 58,097 | ||||||
Renewable Energy Group, Inc. (a) | 3,734 | 21,881 | ||||||
Western Refining, Inc. | 26,864 | 757,296 | ||||||
|
| |||||||
| 2,021,846 | ||||||||
|
| |||||||
Paints & Coatings — 0.2% |
| |||||||
Chase Corp. | 2,905 | 54,033 | ||||||
Ferro Corp. (a) | 40,478 | 169,198 | ||||||
H.B. Fuller Co. | 23,236 | 809,078 | ||||||
|
| |||||||
| 1,032,309 | ||||||||
|
| |||||||
Paper — 0.6% |
| |||||||
Boise, Inc. | 46,771 | 371,829 | ||||||
Buckeye Technologies, Inc. | 18,368 | 527,345 | ||||||
Clearwater Paper Corp. (a) | 10,857 | 425,160 | ||||||
Kapstone Paper and Packaging Corp. | 18,780 | 416,728 | ||||||
Neenah Paper, Inc. | 7,348 | 209,198 | ||||||
P.H. Glatfelter Co. | 19,868 | 347,293 | ||||||
Resolute Forest Products (a) | 37,667 | 498,711 | ||||||
Schweitzer-Mauduit International, Inc. | 14,513 | 566,442 | ||||||
Wausau Paper Corp. | 20,472 | 177,288 | ||||||
|
| |||||||
| 3,539,994 | ||||||||
|
| |||||||
Personal Care — 0.1% |
| |||||||
Female Health Co. | 9,057 | 65,029 | ||||||
Orchids Paper Products Co. | 2,653 | 53,644 | ||||||
PhotoMedex, Inc. (a)(b) | 6,064 | 87,988 | ||||||
USANA Health Sciences, | 2,773 | 91,315 | ||||||
WD-40 Co. | 7,408 | 348,991 | ||||||
|
| |||||||
| 646,967 | ||||||||
|
| |||||||
Pharmaceuticals — 1.9% |
| |||||||
Achillion Pharmaceuticals, Inc. (a) | 27,792 | 222,892 | ||||||
Acura Pharmaceuticals, Inc. (a) | 5,863 | 13,016 | ||||||
Akorn, Inc. (a) | 26,467 | 353,599 | ||||||
Ampio Pharmaceuticals, | 12,259 | 44,010 | ||||||
Anacor Pharmaceuticals, Inc. (a) | 7,685 | 39,962 | ||||||
Auxilium Pharmaceuticals, Inc. (a) | 22,517 | 417,240 | ||||||
Avanir Pharmaceuticals, Inc. (a) | 63,547 | 167,129 | ||||||
BioCryst Pharmaceuticals, Inc. (a) | 23,438 | 33,282 | ||||||
Biospecifics Technologies (a) | 2,295 | 34,310 | ||||||
Cadence Pharmaceuticals, Inc. (a) | 28,106 | 134,628 | ||||||
Cambrex Corp. (a) | 13,815 | 157,215 | ||||||
Cempra, Inc. (a) | 2,014 | 12,889 | ||||||
Corcept Therapeutics, Inc. (a) | 23,709 | 33,904 | ||||||
Cumberland Pharmaceuticals, | 5,501 | 23,104 | ||||||
Depomed, Inc. (a) | 25,927 | 160,488 | ||||||
Endocyte, Inc. (a)(b) | 13,806 | 123,978 | ||||||
Hi-Tech Pharmacal Co., Inc. | 4,984 | 174,340 | ||||||
Impax Laboratories, Inc. (a) | 31,196 | 639,206 | ||||||
Infinity Pharmaceuticals, Inc. (a) | 13,214 | 462,490 | ||||||
Ironwood Pharmaceuticals, Inc. (a) | 35,080 | 389,037 | ||||||
Isis Pharmaceuticals, Inc. (a)(b) | 46,763 | 489,141 | ||||||
Jazz Pharmaceuticals Plc (a) | 19,353 | 1,029,579 | ||||||
Lannett Co., Inc. (a) | 7,608 | 37,736 | ||||||
MAP Pharmaceuticals, Inc. (a) | 13,142 | 206,461 | ||||||
The Medicines Co. (a) | 25,662 | 615,118 | ||||||
Obagi Medical Products, Inc. (a) | 8,551 | 116,208 | ||||||
See Notes to Financial Statements.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 67 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Pharmaceuticals (concluded) |
| |||||||
Optimer Pharmaceuticals, | 21,973 | $ | 198,856 | |||||
Pacira Pharmaceuticals, Inc. (a) | 8,619 | 150,574 | ||||||
Pain Therapeutics, Inc. (a) | 17,953 | 48,653 | ||||||
Pernix Therapeutics Holdings, Inc. (a) | 4,120 | 31,930 | ||||||
Pharmacyclics, Inc. (a) | 25,350 | 1,467,765 | ||||||
Pozen, Inc. (a) | 12,495 | 62,600 | ||||||
Prestige Brands Holdings, | 23,394 | 468,582 | ||||||
Questcor Pharmaceuticals, | 25,061 | 669,630 | ||||||
Sagent Pharmaceuticals, Inc. (a) | 4,410 | 70,957 | ||||||
Santarus, Inc. (a) | 25,582 | 280,890 | ||||||
Sciclone Pharmaceuticals, | 26,644 | 114,836 | ||||||
SIGA Technologies, Inc. (a)(b) | 16,565 | 43,400 | ||||||
Spectrum Pharmaceuticals, Inc. | 27,762 | 310,657 | ||||||
Supernus Pharmaceuticals, | 2,025 | 14,519 | ||||||
Vical, Inc. (a) | 35,693 | 103,867 | ||||||
Vivus, Inc. (a)(b) | 46,471 | 623,641 | ||||||
Xenoport, Inc. (a) | 20,043 | 155,734 | ||||||
Zogenix, Inc. (a) | 26,241 | 34,900 | ||||||
|
| |||||||
| 10,982,953 | ||||||||
|
| |||||||
Plastics — 0.1% |
| |||||||
A. Schulman, Inc. | 13,728 | 397,151 | ||||||
Spartech Corp. (a) | 14,409 | 130,690 | ||||||
|
| |||||||
| 527,841 | ||||||||
|
| |||||||
Power Transmission Equipment — 0.2% |
| |||||||
Advanced Energy Industries, Inc. (a) | 18,438 | 254,629 | ||||||
Generac Holdings, Inc. (a) | 11,529 | 395,560 | ||||||
Global Power Equipment Group, Inc. | 7,986 | 136,960 | ||||||
Maxwell Technologies, Inc. (a) | 13,582 | 112,595 | ||||||
Powell Industries, Inc. (a) | 4,131 | 171,561 | ||||||
Power-One, Inc. (a) | 31,248 | 128,429 | ||||||
Vicor Corp. (a) | 9,270 | 50,243 | ||||||
|
| |||||||
| 1,249,977 | ||||||||
|
| |||||||
Precious Metals & Minerals — 0.2% |
| |||||||
Golden Minerals Co. (a)(b) | 15,599 | 71,599 | ||||||
Horsehead Holding Corp. (a) | 20,394 | 208,223 | ||||||
Stillwater Mining Co. (a)(b) | 53,943 | 689,392 | ||||||
|
| |||||||
| 969,214 | ||||||||
|
| |||||||
Printing & Copying Services — 0.1% |
| |||||||
Casella Waste Systems, Inc. (a) | 17,449 | 76,427 | ||||||
Cenveo, Inc. (a)(b) | 25,175 | 67,972 | ||||||
VistaPrint NV (a)(b) | 15,884 | 521,948 | ||||||
|
| |||||||
| 666,347 | ||||||||
|
| |||||||
Producer Durables: Miscellaneous — 0.1% |
| |||||||
Blount International, Inc. (a) | 22,690 | 358,956 | ||||||
Park-Ohio Holdings Corp. (a) | 4,028 | 85,836 | ||||||
|
| |||||||
| 444,792 | ||||||||
|
| |||||||
Production Technology Equipment — 1.3% |
| |||||||
ATMI, Inc. (a) | 14,839 | 309,838 | ||||||
Axcelis Technologies, Inc. (a) | 49,958 | 69,442 | ||||||
Brooks Automation, Inc. | 30,916 | 248,874 | ||||||
Cognex Corp. | 19,940 | 734,191 | ||||||
Cohu, Inc. | 11,319 | 122,698 | ||||||
Cymer, Inc. (a) | 14,415 | 1,303,548 | ||||||
Electro Scientific Industries, Inc. | 10,641 | 105,878 | ||||||
Entegris, Inc. (a) | 63,956 | 587,116 | ||||||
Common Stocks | Shares | Value | ||||||
Production Technology Equipment (concluded) |
| |||||||
FEI Co. | 17,650 | $ | 978,869 | |||||
GSI Group, Inc. (a) | 13,546 | 117,308 | ||||||
Intevac, Inc. (a) | 10,570 | 48,305 | ||||||
LTX-Credence Corp. (a) | 22,793 | 149,522 | ||||||
Mattson Technology, Inc. (a) | 23,752 | 19,952 | ||||||
MKS Instruments, Inc. | 24,450 | 630,321 | ||||||
Nanometrics, Inc. (a) | 10,884 | 156,947 | ||||||
Photronics, Inc. (a) | 28,160 | 167,834 | ||||||
Rudolph Technologies, Inc. (a)(b) | 14,927 | 200,768 | ||||||
Tessera Technologies, Inc. | 24,175 | 396,953 | ||||||
Ultra Clean Holdings, Inc. (a) | 12,781 | 62,755 | ||||||
Ultratech, Inc. (a)(b) | 12,185 | 454,500 | ||||||
Veeco Instruments, Inc. (a) | 18,103 | 534,401 | ||||||
|
| |||||||
| 7,400,020 | ||||||||
|
| |||||||
Publishing — 0.3% |
| |||||||
Courier Corp. | 4,443 | 48,873 | ||||||
Daily Journal Corp. (a) | 427 | 39,519 | ||||||
The Dolan Co. (a) | 14,376 | 55,923 | ||||||
Journal Communications, Inc., Class A (a) | 19,735 | 106,766 | ||||||
Martha Stewart Living Omnimedia, Inc., Class A | 12,884 | 31,566 | ||||||
McClatchy Co., Class A (a) | 27,194 | 88,924 | ||||||
Meredith Corp. (b) | 16,880 | 581,516 | ||||||
The New York Times Co., | 63,391 | 540,725 | ||||||
Scholastic Corp. | 12,077 | 356,996 | ||||||
Value Line, Inc. | 607 | 5,445 | ||||||
|
| |||||||
| 1,856,253 | ||||||||
|
| |||||||
Radio & TV Broadcasters — 0.2% |
| |||||||
Beasley Broadcasting Group, Inc., Class A | 1,845 | 9,022 | ||||||
Central European Media Enterprises Ltd. (a) | 17,132 | 105,019 | ||||||
Crown Media Holdings, Inc., Class A (a) | 16,070 | 29,730 | ||||||
Cumulus Media, Inc., | 28,888 | 77,131 | ||||||
Entercom Communications | 11,203 | 78,197 | ||||||
Entravision Communications Corp., Class A | 23,679 | 39,307 | ||||||
Fisher Communications, Inc. | 4,080 | 110,119 | ||||||
Lin TV Corp., Class A (a) | 14,212 | 107,016 | ||||||
Nexstar Broadcasting Group, Inc., Class A (a) | 5,200 | 55,068 | ||||||
Outdoor Channel Holdings, Inc. | 6,893 | 52,387 | ||||||
Saga Communications, Inc. | 1,632 | 75,888 | ||||||
Salem Communications Corp., Class A | 4,760 | 25,990 | ||||||
Sinclair Broadcast Group, Inc., Class A | 23,453 | 295,977 | ||||||
|
| |||||||
| 1,060,851 | ||||||||
|
| |||||||
Railroad Equipment — 0.1% |
| |||||||
American Railcar Industries, Inc. | 4,395 | 139,453 | ||||||
Freightcar America, Inc. | 5,532 | 124,028 | ||||||
Greenbrier Cos., Inc. (a) | 10,659 | 172,356 | ||||||
|
| |||||||
| 435,837 | ||||||||
|
| |||||||
Railroads — 0.3% |
| |||||||
Genesee & Wyoming, Inc., Class A (a) | 20,629 | 1,569,454 | ||||||
|
| |||||||
Real Estate — 0.2% |
| |||||||
AV Homes, Inc. (a) | 4,624 | 65,753 | ||||||
Consolidated-Tomoka Land Co. | 1,963 | 60,873 | ||||||
Forestar Group, Inc. (a) | 16,149 | 279,862 | ||||||
Griffin Land & Nurseries, Inc. | 1,242 | 33,534 | ||||||
HFF, Inc., Class A | 15,398 | 229,430 | ||||||
Kennedy-Wilson Holdings, Inc. | 20,044 | 280,215 | ||||||
Market Leader, Inc. (a) | 10,137 | 66,397 | ||||||
See Notes to Financial Statements.
| 68 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Real Estate (concluded) |
| |||||||
Tejon Ranch Co. (a) | 6,132 | $ | 172,187 | |||||
Thomas Properties Group, Inc. | 15,048 | 81,410 | ||||||
|
| |||||||
| 1,269,661 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 7.9% |
| |||||||
Acadia Realty Trust | 23,691 | 594,170 | ||||||
AG Mortgage Investment Trust, Inc. | 10,571 | 248,207 | ||||||
Agree Realty Corp. | 5,444 | 145,845 | ||||||
Alexander’s, Inc. | 978 | 323,522 | ||||||
American Assets Trust, Inc. | 15,472 | 432,133 | ||||||
American Capital Mortgage Investment Corp. | 17,233 | 406,182 | ||||||
American Realty Capital Trust, Inc. | 74,142 | 856,340 | ||||||
AmREIT, Inc., Class B | 1,878 | 32,208 | ||||||
Anworth Mortgage Asset | 65,126 | 376,428 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 11,093 | 180,039 | ||||||
Ares Commercial Real Estate Corp. | 3,608 | 59,243 | ||||||
ARMOUR Residential REIT, Inc. | 138,872 | 898,502 | ||||||
Ashford Hospitality Trust, Inc. | 25,021 | 262,971 | ||||||
Associated Estates Realty | 23,199 | 373,968 | ||||||
Campus Crest Communities, Inc. | 17,912 | 219,601 | ||||||
CapLease, Inc. | 31,224 | 173,918 | ||||||
Capstead Mortgage Corp. | 46,509 | 533,458 | ||||||
Cedar Realty Trust, Inc. | 28,315 | 149,503 | ||||||
Chatham Lodging Trust | 6,511 | 100,139 | ||||||
Chesapeake Lodging Trust | 18,526 | 386,823 | ||||||
Colonial Properties Trust | 41,113 | 878,585 | ||||||
Colony Financial, Inc. | 24,561 | 478,939 | ||||||
Coresite Realty Corp. | 9,561 | 264,457 | ||||||
Cousins Properties, Inc. | 43,022 | 359,234 | ||||||
CreXus Investment Corp. | 31,652 | 387,737 | ||||||
CubeSmart | 57,650 | 839,960 | ||||||
CYS Investments, Inc. | 82,087 | 969,447 | ||||||
DCT Industrial Trust, Inc. (b) | 115,832 | 751,750 | ||||||
DiamondRock Hospitality Co. | 87,947 | 791,523 | ||||||
DuPont Fabros Technology, Inc. | 28,643 | 692,015 | ||||||
Dynex Capital Corp. | 25,323 | 239,049 | ||||||
Eastgroup Properties, Inc. (b) | 13,338 | 717,718 | ||||||
Education Realty Trust, Inc. | 52,930 | 563,175 | ||||||
EPR Properties | 21,946 | 1,011,930 | ||||||
Equity One, Inc. | 25,919 | 544,558 | ||||||
Excel Trust, Inc. | 20,735 | 262,712 | ||||||
FelCor Lodging Trust, Inc. (a) | 58,085 | 271,257 | ||||||
First Industrial Realty Trust, | 45,924 | 646,610 | ||||||
First Potomac Realty Trust | 23,900 | 295,404 | ||||||
Franklin Street Properties Corp. | 34,244 | 421,544 | ||||||
Getty Realty Corp. | 12,018 | 217,045 | ||||||
Gladstone Commercial Corp. | 5,207 | 93,466 | ||||||
Glimcher Realty Trust | 65,187 | 722,924 | ||||||
Government Properties Income Trust | 20,311 | 486,855 | ||||||
Gramercy Capital Corp. (a) | 21,895 | 64,371 | ||||||
Gyrodyne Co. of America, Inc. | 515 | 37,111 | ||||||
Healthcare Realty Trust, Inc. | 40,865 | 981,169 | ||||||
Hersha Hospitality Trust | 80,812 | 404,060 | ||||||
Highwoods Properties, Inc. (b) | 26,706 | 893,316 | ||||||
Hudson Pacific Properties, Inc. | 16,735 | 352,439 | ||||||
Inland Real Estate Corp. | 36,118 | 302,669 | ||||||
InvesCo. Mortgage Capital, Inc. | 54,158 | 1,067,454 | ||||||
Investors Real Estate Trust | 42,693 | 372,710 | ||||||
iStar Financial, Inc. (a) | 39,380 | 320,947 | ||||||
JAVELIN Mortgage Investment Corp. | 3,338 | 63,722 | ||||||
Common Stocks | Shares | Value | ||||||
Real Estate Investment Trusts (REITs) (concluded) |
| |||||||
Kite Realty Group Trust | 30,833 | $ | 172,356 | |||||
KYTHERA Biopharmaceuticals, Inc. (a) | 1,642 | 49,818 | ||||||
LaSalle Hotel Properties | 40,017 | 1,016,032 | ||||||
Lexington Realty Trust (b) | 61,947 | 647,346 | ||||||
LTC Properties, Inc. (b) | 14,297 | 503,111 | ||||||
Medical Properties Trust, Inc. | 63,669 | 761,481 | ||||||
Monmouth Real Estate Investment Corp., Class A | 18,917 | 195,980 | ||||||
National Health Investors, Inc. | 11,508 | 650,547 | ||||||
New York Mortgage Trust, | 23,586 | 149,064 | ||||||
NorthStar Realty Finance Corp. | 76,448 | 538,194 | ||||||
Omega Healthcare Investors, Inc. (b) | 52,470 | 1,251,409 | ||||||
One Liberty Properties, Inc. | 5,502 | 111,636 | ||||||
Parkway Properties, Inc. | 10,092 | 141,187 | ||||||
Pebblebrook Hotel Trust | 28,373 | 655,416 | ||||||
Pennsylvania Real Estate Investment Trust | 26,041 | 459,363 | ||||||
PennyMac Mortgage Investment Trust (d) | 27,689 | 700,255 | ||||||
Potlatch Corp. | 18,908 | 741,005 | ||||||
PS Business Parks, Inc. | 8,616 | 559,868 | ||||||
RAIT Financial Trust | 23,561 | 133,120 | ||||||
Ramco-Gershenson Properties Trust | 21,602 | 287,523 | ||||||
Redwood Trust, Inc. (b) | 36,984 | 624,660 | ||||||
Resource Capital Corp. | 46,765 | 261,884 | ||||||
Retail Opportunity Investments Corp. | 24,466 | 314,633 | ||||||
RLJ Lodging Trust | 49,901 | 966,582 | ||||||
Rouse Properties, Inc. | 10,257 | 173,548 | ||||||
Sabra Healthcare REIT, Inc. | 17,244 | 374,540 | ||||||
Saul Centers, Inc. | 3,524 | 150,792 | ||||||
Select Income REIT | 5,432 | 134,551 | ||||||
Sovran Self Storage, Inc. | 13,586 | 843,691 | ||||||
Spirit Realty Capital, Inc. | 15,488 | 275,377 | ||||||
STAG Industrial, Inc. | 14,645 | 263,171 | ||||||
Starwood Property Trust, Inc. | 63,343 | 1,454,355 | ||||||
Strategic Hotel Capital, Inc. (a) | 84,582 | 541,325 | ||||||
Summit Hotel Properties, Inc. | 19,467 | 184,937 | ||||||
Sun Communities, Inc. | 13,934 | 555,827 | ||||||
Sunstone Hotel Investors, | 63,816 | 683,469 | ||||||
Terreno Realty Corp. | 6,112 | 94,369 | ||||||
Two Harbors Investment Corp. | 137,941 | 1,528,386 | ||||||
UMH Properties, Inc. | 6,528 | 67,434 | ||||||
Universal Health Realty Income Trust | 5,531 | 279,924 | ||||||
Urstadt Biddle Properties, Inc., Class A | 11,549 | 227,284 | ||||||
Walter Investment Management Corp. (a) | 16,644 | 716,025 | ||||||
Washington Real Estate Investment Trust | 31,138 | 814,259 | ||||||
Western Asset Mortgage Capital Corp. | 8,783 | 173,640 | ||||||
Whitestone REIT | 6,576 | 92,393 | ||||||
Winthrop Realty Trust | 13,719 | 151,595 | ||||||
|
| |||||||
| 46,194,424 | ||||||||
|
| |||||||
Recreational Vehicles & Boats — 0.3% |
| |||||||
Arctic Cat, Inc. (a) | 5,882 | 196,400 | ||||||
Brunswick Corp. | 41,594 | 1,209,970 | ||||||
Drew Industries, Inc. | 8,961 | 288,992 | ||||||
Marine Products Corp. | 4,795 | 27,427 | ||||||
Winnebago Industries, Inc. (a) | 13,626 | 233,413 | ||||||
|
| |||||||
| 1,956,202 | ||||||||
|
| |||||||
Rental & Leasing Services: Consumer — 0.4% |
| |||||||
Amerco, Inc. | 4,023 | 510,157 | ||||||
Avis Budget Group, Inc. (a)(b) | 49,427 | 979,643 | ||||||
See Notes to Financial Statements.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 69 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Rental & Leasing Services: Consumer (concluded) |
| |||||||
Rent-A-Center, Inc. | 27,568 | $ | 947,236 | |||||
Zipcar, Inc. (a) | 12,562 | 103,511 | ||||||
|
| |||||||
| 2,540,547 | ||||||||
|
| |||||||
Restaurants — 1.6% |
| |||||||
AFC Enterprises, Inc. (a) | 11,291 | 295,034 | ||||||
Biglari Holdings, Inc. (a) | 555 | 216,461 | ||||||
BJ’s Restaurants, Inc. (a)(b) | 11,404 | 375,192 | ||||||
Bob Evans Farms, Inc. | 13,545 | 544,509 | ||||||
Bravo Brio Restaurant Group, Inc. (a) | 9,029 | 121,259 | ||||||
Buffalo Wild Wings, Inc. (a)(b) | 8,634 | 628,728 | ||||||
Caribou Coffee Co., Inc. (a) | 9,806 | 158,759 | ||||||
Carrols Restaurant Group, Inc. (a) | 6,953 | 41,579 | ||||||
CEC Entertainment, Inc. | 8,467 | 281,020 | ||||||
The Cheesecake Factory, Inc. | 25,129 | 822,221 | ||||||
Cracker Barrel Old Country Store, Inc. | 8,934 | 574,099 | ||||||
Denny’s Corp. (a) | 44,314 | 216,252 | ||||||
DineEquity, Inc. (a) | 7,106 | 476,102 | ||||||
Domino’s Pizza, Inc. | 26,920 | 1,172,366 | ||||||
Einstein Noah Restaurant Group, Inc. | 2,843 | 34,713 | ||||||
Ellie Mae, Inc. (a) | 11,730 | 325,508 | ||||||
Fiesta Restaurant Group, Inc. (a) | 7,472 | 114,471 | ||||||
Frisch’s Restaurants, Inc. | 1,392 | 25,752 | ||||||
Ignite Restaurant Group, Inc. (a) | 3,050 | 39,650 | ||||||
Jack in the Box, Inc. (a) | 20,534 | 587,272 | ||||||
Jamba, Inc. (a) | 35,922 | 80,465 | ||||||
Krispy Kreme Doughnuts, Inc. (a) | 27,695 | 259,779 | ||||||
Luby’s, Inc. (a) | 9,261 | 61,956 | ||||||
Nathan’s Famous, Inc. (a) | 1,188 | 40,036 | ||||||
Papa John’s International, Inc. (a) | 8,326 | 457,430 | ||||||
Red Robin Gourmet Burgers, | 6,814 | 240,466 | ||||||
Ruby Tuesday, Inc. (a) | 29,725 | 233,639 | ||||||
Ruth’s Hospitality Group, Inc. (a) | 16,414 | 119,330 | ||||||
Sonic Corp. (a)(b) | 27,725 | 288,617 | ||||||
Texas Roadhouse, Inc., Class A | 29,024 | 487,603 | ||||||
|
| |||||||
| 9,320,268 | ||||||||
|
| |||||||
Scientific Instruments: Control & Filter — 0.8% |
| |||||||
Brady Corp. | 22,835 | 762,689 | ||||||
CIRCOR International, Inc. | 8,079 | 319,848 | ||||||
Energy Recovery, Inc. (a) | 20,459 | 69,561 | ||||||
ESCO Technologies, Inc. | 12,427 | 464,894 | ||||||
The Gorman-Rupp Co. | 7,052 | 210,361 | ||||||
Mine Safety Appliances Co. | 12,869 | 549,635 | ||||||
PMFG, Inc. (a) | 9,697 | 88,146 | ||||||
Robbins & Myers, Inc. | 17,921 | 1,065,403 | ||||||
Sun Hydraulics, Inc. | 9,650 | 251,672 | ||||||
Thermon Group Holdings, Inc. (a) | 6,825 | 153,767 | ||||||
Watts Water Technologies, Inc., Class A | 13,082 | 562,395 | ||||||
|
| |||||||
| 4,498,371 | ||||||||
|
| |||||||
Scientific Instruments: Electrical — 0.7% |
| |||||||
A.O. Smith Corp. | 18,139 | 1,144,027 | ||||||
American Superconductor Corp. (a) | 18,474 | 48,402 | ||||||
AZZ, Inc. | 11,756 | 451,783 | ||||||
Coleman Cable, Inc. | 3,852 | 35,708 | ||||||
EnerSys (a) | 22,326 | 840,127 | ||||||
Franklin Electric Co., Inc. | 10,905 | 677,964 | ||||||
Houston Wire & Cable Co. | 8,251 | 101,240 | ||||||
Littelfuse, Inc. | 10,083 | 622,222 | ||||||
Common Stocks | Shares | Value | ||||||
Scientific Instruments: Electrical (concluded) |
| |||||||
Preformed Line Products Co. | 1,081 | $ | 64,233 | |||||
Taser International, Inc. (a) | 25,538 | 228,309 | ||||||
|
| |||||||
| 4,214,015 | ||||||||
|
| |||||||
Scientific Instruments: Gauges & Meters — 0.2% |
| |||||||
Badger Meter, Inc. | 6,768 | 320,871 | ||||||
Faro Technologies, Inc. (a) | 7,872 | 280,873 | ||||||
Measurement Specialties, Inc. (a) | 7,019 | 241,173 | ||||||
Mesa Laboratories, Inc. | 1,172 | 58,729 | ||||||
Vishay Precision Group, Inc. (a) | 5,602 | 74,058 | ||||||
Zygo Corp. (a) | 7,554 | 118,598 | ||||||
|
| |||||||
| 1,094,302 | ||||||||
|
| |||||||
Scientific Instruments: Pollution Control — 0.3% |
| |||||||
ADA-ES, Inc. (a) | 4,212 | 71,099 | ||||||
Ceco Environmental Corp. | 3,310 | 32,935 | ||||||
Darling International, Inc. (a) | 54,737 | 877,981 | ||||||
EnergySolutions, Inc. (a) | 37,021 | 115,506 | ||||||
Heritage-Crystal Clean, Inc. (a) | 3,593 | 53,931 | ||||||
Met-Pro Corp. | 6,776 | 65,659 | ||||||
Metalico, Inc. (a) | 18,672 | 36,597 | ||||||
Team, Inc. (a) | 9,249 | 351,832 | ||||||
TRC Cos., Inc. (a) | 7,021 | 40,862 | ||||||
US Ecology, Inc. | 8,534 | 200,890 | ||||||
|
| |||||||
| 1,847,292 | ||||||||
|
| |||||||
Securities Brokerage & Services — 0.4% |
| |||||||
BGC Partners, Inc. | 46,440 | 160,682 | ||||||
FXCM, Inc. | 11,027 | 111,042 | ||||||
Gain Capital Holdings, Inc. | 7,364 | 30,119 | ||||||
GFI Group, Inc. | 32,715 | 105,997 | ||||||
Gladstone Investment Corp. | 12,382 | 86,179 | ||||||
International FCStone, Inc. (a)(b) | 6,418 | 111,737 | ||||||
Investment Technology Group, | 18,185 | 163,665 | ||||||
KBW, Inc. | 16,282 | 249,115 | ||||||
Knight Capital Group, Inc., | 84,778 | 297,571 | ||||||
Ladenburg Thalmann Financial Services, Inc. (a) | 47,948 | 67,127 | ||||||
MarketAxess Holdings, Inc. | 17,042 | 601,582 | ||||||
SWS Group, Inc. (a) | 13,793 | 72,965 | ||||||
|
| |||||||
| 2,057,781 | ||||||||
|
| |||||||
Semiconductors & Components — 2.2% |
| |||||||
Aeroflex Holding Corp. (a) | 9,176 | 64,232 | ||||||
Alpha & Omega Semiconductor | 7,838 | 65,839 | ||||||
Amkor Technology, Inc. (a)(b) | 34,220 | 145,435 | ||||||
Anadigics, Inc. (a) | 33,397 | 84,160 | ||||||
Applied Micro Circuits Corp. (a) | 30,465 | 255,906 | ||||||
Audience, Inc. (a) | 2,803 | 29,123 | ||||||
AXT, Inc. (a) | 14,847 | 41,720 | ||||||
Cavium, Inc. (a) | 23,156 | 722,699 | ||||||
Ceva, Inc. (a) | 10,805 | 170,179 | ||||||
Cirrus Logic, Inc. (a) | 30,044 | 870,375 | ||||||
Diodes, Inc. (a) | 16,546 | 287,073 | ||||||
DSP Group, Inc. (a) | 10,152 | 58,476 | ||||||
Entropic Communications, Inc. (a) | 41,039 | 217,096 | ||||||
Exar Corp. (a) | 17,232 | 153,365 | ||||||
Formfactor, Inc. (a)(b) | 23,102 | 105,345 | ||||||
GT Advanced Technologies, Inc. (a) | 55,186 | 166,662 | ||||||
Hittite Microwave Corp. (a) | 14,665 | 910,696 | ||||||
Inphi Corp. (a) | 10,902 | 104,441 | ||||||
See Notes to Financial Statements.
| 70 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Semiconductors & Components (concluded) |
| |||||||
Integrated Device Technology, | 66,255 | $ | 483,662 | |||||
Integrated Silicon Solutions, | 12,657 | 113,913 | ||||||
Intermolecular, Inc. (a) | 6,340 | 56,426 | ||||||
International Rectifier Corp. (a)(b) | 32,231 | 571,456 | ||||||
Intersil Corp., Class A | 59,477 | 493,064 | ||||||
IXYS Corp. | 11,399 | 104,187 | ||||||
Kopin Corp. (a) | 31,089 | 103,526 | ||||||
Lattice Semiconductor Corp. (a) | 54,973 | 219,342 | ||||||
M/A-COM Technology Solutions Holdings, Inc. (a) | 2,840 | 42,515 | ||||||
MaxLinear, Inc., Class A (a) | 10,364 | 52,027 | ||||||
MEMC Electronic Materials, | 107,565 | 345,284 | ||||||
Micrel, Inc. | 22,586 | 214,567 | ||||||
Microsemi Corp. (a) | 41,339 | 869,773 | ||||||
Mindspeed Technologies, Inc. (a) | 17,027 | 79,686 | ||||||
MIPS Technologies, Inc. (a) | 22,271 | 174,159 | ||||||
Monolithic Power Systems, Inc. (b) | 14,214 | 316,688 | ||||||
MoSys, Inc. (a) | 15,815 | 55,036 | ||||||
Omnivision Technologies, | 24,394 | 343,468 | ||||||
Pericom Semiconductor Corp. (a) | 10,957 | 87,985 | ||||||
PLX Technology, Inc. (a) | 20,481 | 74,346 | ||||||
Power Integrations, Inc. | 13,215 | 444,156 | ||||||
QuickLogic Corp. (a) | 20,978 | 45,522 | ||||||
Rambus, Inc. (a) | 51,491 | 251,276 | ||||||
RF Micro Devices, Inc. (a)(b) | 129,641 | 580,792 | ||||||
Rubicon Technology, Inc. (a) | 8,012 | 48,953 | ||||||
Semtech Corp. (a) | 30,508 | 883,207 | ||||||
Sigma Designs, Inc. (a) | 15,262 | 78,599 | ||||||
Silicon Image, Inc. (a)(b) | 38,798 | 192,438 | ||||||
Spansion, Inc., Class A (a) | 22,368 | 311,139 | ||||||
Supertex, Inc. | 4,766 | 83,643 | ||||||
TriQuint Semiconductor, Inc. (a) | 78,560 | 380,230 | ||||||
Volterra Semiconductor | 11,811 | 202,795 | ||||||
|
| |||||||
| 12,756,682 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.0% |
| |||||||
Ambarella, Inc. (a) | 2,773 | 30,919 | ||||||
|
| |||||||
Shipping — 0.3% |
| |||||||
Frontline Ltd. (b) | 24,152 | 78,735 | ||||||
GasLog Ltd. | 11,442 | 142,224 | ||||||
Genco Shipping & Trading Ltd. (a) | 14,389 | 50,218 | ||||||
Gulfmark Offshore, Inc., Class A | 12,489 | 430,246 | ||||||
International Shipholding Corp. | 2,493 | 41,085 | ||||||
Knightsbridge Tankers Ltd. | 11,622 | 61,015 | ||||||
Nordic American Tankers Ltd. | 24,757 | 216,624 | ||||||
Rand Logistics, Inc. (a) | 8,064 | 52,416 | ||||||
Scorpio Tankers, Inc. (a) | 26,078 | 185,414 | ||||||
Ship Finance International Ltd. | 22,774 | 378,732 | ||||||
Teekay Tankers Ltd., Class A | 29,591 | 85,814 | ||||||
|
| |||||||
| 1,722,523 | ||||||||
|
| |||||||
Software — 0.1% | ||||||||
Comverse, Inc. (a) | 10,195 | 290,863 | ||||||
Eloqua, Inc. (a) | 4,326 | 102,050 | ||||||
Exa Corp. (a) | 2,867 | 27,896 | ||||||
FleetMatics Group Plc (a) | 4,091 | 102,930 | ||||||
Qualys, Inc. (a) | 3,934 | 58,184 | ||||||
Trulia, Inc. (a) | 3,225 | 52,374 | ||||||
|
| |||||||
| 634,297 | ||||||||
|
| |||||||
Common Stocks | Shares | Value | ||||||
Specialty Retail — 3.3% |
| |||||||
1-800-FLOWERS.COM, Inc., | 11,902 | $ | 43,680 | |||||
America’s Car-Mart, Inc. (a) | 3,685 | 149,316 | ||||||
ANN, Inc. (a) | 22,711 | 768,540 | ||||||
Asbury Automotive Group, Inc. (a) | 12,962 | 415,173 | ||||||
Aéropostale, Inc. (a) | 37,837 | 492,259 | ||||||
Barnes & Noble, Inc. (a) | 13,184 | 198,947 | ||||||
bebe Stores, Inc. | 17,447 | 69,613 | ||||||
Big 5 Sporting Goods Corp. | 7,769 | 101,774 | ||||||
Blue Nile, Inc. (a) | 5,766 | 221,991 | ||||||
Body Central Corp. (a) | 7,564 | 75,337 | ||||||
Brown Shoe Co., Inc. | 19,935 | 366,206 | ||||||
The Buckle, Inc. (b) | 12,918 | 576,659 | ||||||
Cabela’s, Inc., Class A (a) | 21,712 | 906,476 | ||||||
CafePress, Inc. (a) | 2,129 | 12,284 | ||||||
Casual Male Retail Group, Inc. (a) | 19,622 | 82,412 | ||||||
The Cato Corp., Class A | 12,737 | 349,376 | ||||||
The Children’s Place Retail Stores, | 11,295 | 500,256 | ||||||
Citi Trends, Inc. (a) | 6,917 | 95,178 | ||||||
Conn’s, Inc. (a) | 7,839 | 240,500 | ||||||
Destination Maternity Corp. | 6,211 | 133,909 | ||||||
Express, Inc. (a) | 41,670 | 628,800 | ||||||
The Finish Line, Inc., Class A | 23,645 | 447,600 | ||||||
Five Below, Inc. (a) | 5,154 | 165,134 | ||||||
Francesca’s Holdings Corp. (a)(b) | 16,198 | 420,500 | ||||||
Genesco, Inc. (a) | 11,385 | 626,175 | ||||||
Group 1 Automotive, Inc. | 10,650 | 660,193 | ||||||
Haverty Furniture Cos., Inc. | 8,873 | 144,719 | ||||||
hhgregg, Inc. (a) | 7,187 | 50,453 | ||||||
Hibbett Sports, Inc. (a) | 12,250 | 645,575 | ||||||
Hot Topic, Inc. | 19,647 | 189,594 | ||||||
Jos. A. Bank Clothiers, Inc. (a)(b) | 12,943 | 551,113 | ||||||
Lithia Motors, Inc., Class A | 10,104 | 378,092 | ||||||
Lumber Liquidators Holdings, Inc. (a) | 12,816 | 677,069 | ||||||
MarineMax, Inc. (a) | 9,535 | 85,243 | ||||||
Mattress Firm Holding Corp. (a) | 5,143 | 126,158 | ||||||
The Men’s Wearhouse, Inc. | 23,712 | 738,866 | ||||||
Monro Muffler, Inc. | 14,376 | 502,729 | ||||||
New York & Co. (a) | 12,637 | 48,147 | ||||||
Office Depot, Inc. (a)(b) | 132,226 | 433,701 | ||||||
OfficeMax, Inc. | 40,281 | 393,143 | ||||||
Orchard Supply Hardware Stores Corp., Class A (a) | 785 | 5,817 | ||||||
Penske Automotive Group, Inc. | 19,734 | 593,796 | ||||||
The Pep Boys—Manny, Moe & Jack | 24,504 | 240,874 | ||||||
Perfumania Holdings, Inc. (a) | 2,341 | 11,518 | ||||||
Pier 1 Imports, Inc. | 45,232 | 904,640 | ||||||
RadioShack Corp. (b) | 46,382 | 98,330 | ||||||
Regis Corp. | 26,791 | 453,304 | ||||||
Restoration Hardware Holdings, | 2,534 | 85,472 | ||||||
Rue21, Inc. (a) | 7,180 | 203,840 | ||||||
Shoe Carnival, Inc. | 6,619 | 135,623 | ||||||
Shutterfly, Inc. (a)(b) | 16,657 | 497,545 | ||||||
Sonic Automotive, Inc. | 19,860 | 414,875 | ||||||
Stage Stores, Inc. | 14,274 | 353,710 | ||||||
Stamps.com, Inc. (a)(b) | 6,494 | 163,649 | ||||||
Stein Mart, Inc. | 12,731 | 95,992 | ||||||
Systemax, Inc. | 5,066 | 48,887 | ||||||
Teavana Holdings, Inc. (a) | 4,138 | 64,139 | ||||||
Tilly’s, Inc., Class A (a) | 4,295 | 57,940 | ||||||
Vitamin Shoppe, Inc. (a)(b) | 13,683 | 784,857 | ||||||
See Notes to Financial Statements.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 71 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Specialty Retail (concluded) |
| |||||||
The Wet Seal, Inc., Class A (a) | 41,900 | $ | 115,644 | |||||
Zumiez, Inc. (a) | 10,196 | 197,904 | ||||||
|
| |||||||
| 19,241,246 | ||||||||
|
| |||||||
Steel — 0.2% |
| |||||||
AK Steel Holding Corp. | 63,479 | 292,004 | ||||||
Carbonite, Inc. (a)(b) | 5,311 | 49,127 | ||||||
Handy & Harman Ltd. (a) | 2,390 | 36,017 | ||||||
Olympic Steel, Inc. | 4,210 | 93,209 | ||||||
Schnitzer Steel Industries, Inc., Class A | 11,753 | 356,469 | ||||||
Shiloh Industries, Inc. | 2,654 | 27,336 | ||||||
TMS International Corp. (a) | 5,766 | 72,190 | ||||||
Universal Stainless & Alloy Products, Inc. (a) | 3,181 | 116,965 | ||||||
|
| |||||||
| 1,043,317 | ||||||||
|
| |||||||
Synthetic Fibers & Chemicals — 0.0% |
| |||||||
Zoltek Cos., Inc. (a) | 12,799 | 99,192 | ||||||
|
| |||||||
Technology: Miscellaneous — 0.3% |
| |||||||
Acorn Energy, Inc. (b) | 8,398 | 65,588 | ||||||
Benchmark Electronics, Inc. (a) | 26,756 | 444,685 | ||||||
CTS Corp. | 15,801 | 167,965 | ||||||
Fabrinet (a)(b) | 10,277 | 135,040 | ||||||
Key Tronic Corp. (a) | 4,823 | 49,387 | ||||||
Pendrell Corp. (a) | 74,415 | 94,507 | ||||||
Plexus Corp. (a) | 16,286 | 420,179 | ||||||
Vocus, Inc. (a) | 9,619 | 167,178 | ||||||
|
| |||||||
| 1,544,529 | ||||||||
|
| |||||||
Telecommunications Equipment — 0.2% |
| |||||||
Arris Group, Inc. (a) | 52,587 | 785,650 | ||||||
CalAmp Corp. (a) | 13,409 | 111,563 | ||||||
Symmetricom, Inc. (a) | 19,252 | 111,084 | ||||||
Tessco Technologies, Inc. | 2,479 | 54,885 | ||||||
Ubiquiti Networks, Inc. (b) | 4,872 | 59,146 | ||||||
Vocera Communications, Inc. (a) | 3,310 | 83,081 | ||||||
|
| |||||||
| 1,205,409 | ||||||||
|
| |||||||
Textile Products — 0.1% |
| |||||||
Culp, Inc. | 4,004 | 60,100 | ||||||
Interface, Inc. | 27,276 | 438,598 | ||||||
Unifi, Inc. (a) | 6,506 | 84,643 | ||||||
|
| |||||||
| 583,341 | ||||||||
|
| |||||||
Textiles Apparel & Shoes — 1.4% |
| |||||||
Cherokee, Inc. | 3,852 | 52,811 | ||||||
Columbia Sportswear Co. | 5,694 | 303,832 | ||||||
Crocs, Inc. (a) | 41,872 | 602,538 | ||||||
Delta Apparel, Inc. (a) | 3,139 | 43,883 | ||||||
Fifth & Pacific Cos., Inc. (a) | 50,620 | 630,219 | ||||||
G-III Apparel Group Ltd. (a) | 7,720 | 264,256 | ||||||
Iconix Brand Group, Inc. (a)(b) | 32,954 | 735,533 | ||||||
The Jones Group, Inc. | 38,224 | 422,758 | ||||||
K-Swiss, Inc., Class A (a) | 12,334 | 41,442 | ||||||
Maidenform Brands, Inc. (a)(b) | 10,884 | 212,129 | ||||||
Oxford Industries, Inc. | 6,518 | 302,175 | ||||||
Perry Ellis International, Inc. | 5,508 | 109,609 | ||||||
Quiksilver, Inc. (a) | 60,798 | 258,392 | ||||||
R.G. Barry Corp. | 3,937 | 55,787 | ||||||
Skechers U.S.A., Inc., Class A (a) | 17,633 | 326,211 | ||||||
Steven Madden Ltd. (a) | 18,270 | 772,273 | ||||||
True Religion Apparel, Inc. | 12,012 | 305,345 | ||||||
Common Stocks | Shares | Value | ||||||
Textiles Apparel & Shoes (concluded) |
| |||||||
Tumi Holdings, Inc. (a) | 10,020 | $ | 208,917 | |||||
Vera Bradley, Inc. (a)(b) | 9,374 | 235,287 | ||||||
The Warnaco Group, Inc. (a) | 19,111 | 1,367,774 | ||||||
Weyco Group, Inc. | 3,003 | 70,150 | ||||||
Wolverine World Wide, Inc. | 22,644 | 927,951 | ||||||
|
| |||||||
| 8,249,272 | ||||||||
|
| |||||||
Tobacco — 0.2% |
| |||||||
Alliance One International, Inc. (a) | 40,255 | 146,528 | ||||||
Star Scientific, Inc. (a)(b) | 68,049 | 182,372 | ||||||
Universal Corp. | 10,819 | 539,976 | ||||||
Vector Group Ltd. | 25,899 | 385,118 | ||||||
|
| |||||||
| 1,253,994 | ||||||||
|
| |||||||
Toys — 0.1% |
| |||||||
Jakks Pacific, Inc. | 10,182 | 127,479 | ||||||
Leapfrog Enterprises, Inc. (a) | 23,540 | 203,150 | ||||||
|
| |||||||
| 330,629 | ||||||||
|
| |||||||
Transportation Miscellaneous — 0.2% |
| |||||||
Echo Global Logistics, Inc. (a) | 6,788 | 121,980 | ||||||
HUB Group, Inc., Class A (a) | 17,253 | 579,701 | ||||||
Odyssey Marine Exploration, Inc. (a) | 33,994 | 100,962 | ||||||
Pacer International, Inc. (a) | 16,493 | 64,323 | ||||||
Textainer Group Holdings Ltd. | 6,448 | 202,854 | ||||||
Wesco Aircraft Holdings, Inc. (a) | 8,095 | 106,935 | ||||||
XPO Logistics, Inc. (a)(b) | 8,223 | 142,916 | ||||||
|
| |||||||
| 1,319,671 | ||||||||
|
| |||||||
Truckers — 0.7% |
| |||||||
Arkansas Best Corp. | 11,919 | 113,826 | ||||||
Celadon Group, Inc. | 9,311 | 168,250 | ||||||
Forward Air Corp. | 13,542 | 474,105 | ||||||
Heartland Express, Inc. | 22,360 | 292,245 | ||||||
Knight Transportation, Inc. | 26,981 | 394,732 | ||||||
Marten Transport Ltd. | 7,202 | 132,445 | ||||||
Old Dominion Freight Line, Inc. (a) | 33,174 | 1,137,205 | ||||||
Patriot Transportation Holding, | 2,943 | 83,670 | ||||||
Quality Distribution, Inc. (a) | 9,981 | 59,886 | ||||||
Roadrunner Transportation Systems, | 6,594 | 119,615 | ||||||
Saia, Inc. (a) | 7,425 | 171,666 | ||||||
Swift Transportation Co. (a) | 36,724 | 334,923 | ||||||
Universal Truckload Services, Inc. | 2,587 | 47,213 | ||||||
Werner Enterprises, Inc. | 20,624 | 446,922 | ||||||
|
| |||||||
| 3,976,703 | ||||||||
|
| |||||||
Utilities: Electrical — 2.0% |
| |||||||
Allete, Inc. | 17,783 | 728,747 | ||||||
American DG Energy, Inc. (a) | 11,599 | 26,794 | ||||||
Atlantic Power Corp. | 53,026 | 606,087 | ||||||
Avista Corp. | 27,348 | 659,360 | ||||||
Black Hills Corp. | 20,536 | 746,278 | ||||||
CH Energy Group, Inc. | 6,917 | 451,127 | ||||||
Cleco Corp. | 28,386 | 1,135,746 | ||||||
El Paso Electric Co. | 18,638 | 594,738 | ||||||
The Empire District Electric Co. | 19,591 | 399,264 | ||||||
Genie Energy Ltd. | 6,948 | 49,331 | ||||||
IDACORP, Inc. | 23,328 | 1,011,269 | ||||||
MGE Energy, Inc. | 10,782 | 549,343 | ||||||
NorthWestern Corp. | 16,971 | 589,403 | ||||||
Otter Tail Corp. | 16,846 | 421,150 | ||||||
See Notes to Financial Statements.
| 72 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Utilities: Electrical (concluded) |
| |||||||
Pike Electric Corp. | 8,042 | $ | 76,801 | |||||
PNM Resources, Inc. | 37,117 | 761,270 | ||||||
Portland General Electric Co. | 35,167 | 962,169 | ||||||
UIL Holdings Corp. | 23,601 | 845,152 | ||||||
Unitil Corp. | 6,314 | 163,659 | ||||||
UNS Energy Corp. | 18,754 | 795,545 | ||||||
|
| |||||||
| 11,573,233 | ||||||||
|
| |||||||
Utilities: Gas Distributors — 1.0% |
| |||||||
Chesapeake Utilities Corp. | 4,465 | 202,711 | ||||||
Delta Natural Gas Co., Inc. | 3,182 | 62,208 | ||||||
The Laclede Group, Inc. | 10,564 | 407,876 | ||||||
New Jersey Resources Corp. | 19,413 | 769,143 | ||||||
Northwest Natural Gas Co. | 12,519 | 553,340 | ||||||
Piedmont Natural Gas Co. | 33,494 | 1,048,697 | ||||||
South Jersey Industries, Inc. | 14,192 | 714,283 | ||||||
Southwest Gas Corp. | 21,509 | 912,197 | ||||||
WGL Holdings, Inc. | 24,060 | 942,912 | ||||||
|
| |||||||
| 5,613,367 | ||||||||
|
| |||||||
Utilities: Miscellaneous — 0.0% |
| |||||||
Ormat Technologies, Inc. | 8,253 | 159,118 | ||||||
|
| |||||||
Utilities: Telecommunications — 0.8% |
| |||||||
8x8, Inc. (a) | 32,967 | 243,626 | ||||||
Atlantic Tele-Network, Inc. | 4,319 | 158,550 | ||||||
Boingo Wireless, Inc. (a) | 7,405 | 55,908 | ||||||
Cbeyond Communications, Inc. (a) | 13,015 | 117,656 | ||||||
Cincinnati Bell, Inc. (a) | 91,779 | 502,949 | ||||||
Cogent Communications Group, Inc. | 21,773 | 492,941 | ||||||
Consolidated Communications Holdings, Inc. | 19,073 | 303,642 | ||||||
Fairpoint Communications, | 9,843 | 78,153 | ||||||
General Communication, Inc., Class A (a) | 17,367 | 166,550 | ||||||
Hawaiian Telcom HoldCo, Inc. (a) | 4,915 | 95,842 | ||||||
HickoryTech Corp. | 6,738 | 65,561 | ||||||
IDT Corp., Class B | 7,407 | 70,663 | ||||||
inContact, Inc. (a) | 17,771 | 92,054 | ||||||
Ipass, Inc. (a) | 23,809 | 43,570 | ||||||
Iridium Communications, Inc. (a) | 23,559 | 158,788 | ||||||
j2 Global, Inc. | 21,539 | 658,663 | ||||||
Leap Wireless International, | 25,065 | 166,682 | ||||||
Lumos Networks Corp. | 7,316 | 73,306 | ||||||
magicJack VocalTec Ltd. (a) | 6,935 | 126,286 | ||||||
Neutral Tandem, Inc. | 13,736 | 35,301 | ||||||
NTELOS Holdings Corp. | 6,905 | 90,525 | ||||||
ORBCOMM, Inc. (a) | 16,561 | 64,919 | ||||||
Premiere Global Services, Inc. (a) | 23,201 | 226,906 | ||||||
Primus Telecommunications Group, Inc. | 5,475 | 59,513 | ||||||
Shenandoah Telecom Co. | 11,205 | 171,549 | ||||||
Towerstream Corp. (a)(b) | 22,291 | 72,446 | ||||||
USA Mobility, Inc. | 8,134 | 95,005 | ||||||
Vonage Holdings Corp. (a) | 49,566 | 117,471 | ||||||
|
| |||||||
| 4,605,025 | ||||||||
|
| |||||||
Utilities: Water — 0.3% | ||||||||
American States Water Co. | 8,803 | 422,368 | ||||||
Artesian Resources Corp., Class A | 3,504 | 78,595 | ||||||
California Water Service Group | 19,570 | 359,109 | ||||||
Connecticut Water Service, Inc. | 4,986 | 148,483 | ||||||
Consolidated Water Co., Inc. | 6,873 | 50,860 | ||||||
Middlesex Water Co. | 7,309 | 142,964 | ||||||
Common Stocks | Shares | Value | ||||||
Utilities: Water (concluded) |
| |||||||
SJW Corp. | 6,571 | $ | 174,789 | |||||
York Water Co. | 5,972 | 104,928 | ||||||
|
| |||||||
| 1,482,096 | ||||||||
|
| |||||||
Total Common Stocks — 95.7% |
| 556,928,349 | ||||||
|
| |||||||
Investment Companies | ||||||||
BlackRock Kelso Capital Corp. (a)(d) | 24,999 | 251,490 | ||||||
Firsthand Technology Value Fund, Inc. (a) | 4,021 | 70,126 | ||||||
Gladstone Capital Corp. | 10,112 | 82,514 | ||||||
Hercules Technology Growth Capital, Inc. | 24,827 | 276,325 | ||||||
Pennantpark Investment Corp. | 30,781 | 338,437 | ||||||
Prospect Capital Corp. | 89,038 | 967,843 | ||||||
|
| |||||||
Total Investment Companies — 0.4% |
| 1,986,735 | ||||||
|
| |||||||
Other Interests (e) — 0.0% | ||||||||
Machinery: Industrial — 0.0% |
| |||||||
Gerber Scientific, Inc. (a) | 12,866 | — | ||||||
|
| |||||||
Rights — 0.0% | ||||||||
Biotechnology — 0.0% | ||||||||
Allos Therapeutcs, Inc. (a) | 29,014 | — | ||||||
|
| |||||||
Warrants (f) — 0.0% | ||||||||
Oil: Crude Producers — 0.0% |
| |||||||
Magnum Hunter Resources Corp. (Issued 08/31/12, 1 Share for 1 Warrant, Expires 10/14/13, Strike Price $10.50) | 5,700 | — | ||||||
|
| |||||||
Total Long-Term Investments |
| 558,915,084 | ||||||
|
| |||||||
Short-Term Securities | ||||||||
BlackRock Liquidity Funds, TempFund, Institutional | 20,512,415 | 20,512,415 | ||||||
|
| |||||||
| Beneficial Interest (000) | ||||||||
BlackRock Liquidity Series, LLC Money Market Series, | $ | 36,878 | 36,877,998 | |||||
|
| |||||||
Total Short-Term Securities |
| 57,390,413 | ||||||
|
| |||||||
Total Investments |
| 616,305,497 | ||||||
Liabilities in Excess of Other |
| (34,534,205 | ) | |||||
|
| |||||||
Net Assets — 100.0% | $ | 581,771,292 | ||||||
|
| |||||||
See Notes to Financial Statements.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 73 |
Schedule of Investments (continued) |
Master Small Cap Index Series |
Notes to Schedule of Investments
| * | As of December 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
Tax cost | $ | 520,579,483 | ||
|
| |||
Gross unrealized appreciation | $ | 120,938,500 | ||
Gross unrealized depreciation | (25,212,486 | ) | ||
|
| |||
Net unrealized appreciation | $ | 95,726,014 | ||
|
|
| (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 issuers considered to be an affiliate of the Series during the year ended December 31, 2012, 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, 2011 | Shares Purchased | Shares/Beneficial Interest Sold | Shares/Beneficial Interest Held at December 31, 2012 | Value at December 31, 2012 | Income | Realized Gain/Loss | |||||||||||||||||||||
BlackRock Kelso Capital Corp. | 34,792 | — | (9,793 | ) | 24,999 | $ | 251,490 | $ | 28,317 | $ | (6,872 | ) | ||||||||||||||||
BlackRock Liquidity Funds, TempFund, | ||||||||||||||||||||||||||||
Institutional Class | 7,771,176 | 12,741,239 | 1 | — | 20,512,415 | $ | 20,512,415 | $ | 23,454 | $ | 246 | |||||||||||||||||
BlackRock Liquidity Series LLC, Money | ||||||||||||||||||||||||||||
Market Series | $ | 58,201,803 | — | $ | (21,323,805 | )1 | $ | 36,877,998 | $ | 36,877,998 | $ | 789,340 | — | |||||||||||||||
PennyMac Mortgage Investment Trust | 13,158 | 22,443 | (7,912 | ) | 27,689 | $ | 700,255 | $ | 37,852 | $ | 4,231 | |||||||||||||||||
| 1 | Represents net shares/beneficial interest purchased/sold. |
| (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 of the warrants, if any. |
| (g) | Represents the current yield as of report date. |
| (h) | Security was purchased with the cash collateral from loaned securities. The Series may withdraw up to 25% of its investment daily, although the manager of the BlackRock Liquidity Series LLC, Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day. |
| • | Financial futures contracts as of December 31, 2012 were as follows: |
Contracts Purchased | Issue | Exchange | Expiration | Notional Value | Unrealized Appreciation | |||||||||
269 | Russell 2000 E-Mini | ICE Futures US Indices | March 2013 | $ | 22,773,540 | $ | 418,047 | |||||||
| • | 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 to valuation techniques 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 that the Series has the ability to access |
| • | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| • | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Series’ own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Series’ policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. 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 is not necessarily an indication of the risks associated with investing in the securities. For information about the Series’ policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
See Notes to Financial Statements.
| 74 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (concluded) |
Master Small Cap Index Series |
The following tables summarize the Series’ investments and derivative financial instruments categorized in the disclosure hierarchy as of December 31, 2012:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks1 | $ | 555,899,011 | $ | 1,029,338 | — | $ | 556,928,349 | |||||||||
Investment Companies | 1,986,735 | — | — | 1,986,735 | ||||||||||||
Short-Term Securities | 20,512,415 | 36,877,998 | — | 57,390,413 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 578,398,161 | $ | 37,907,336 | — | $ | 616,305,497 | |||||||||
|
|
|
|
|
|
|
| |||||||||
| 1 | See above Schedule of Investments for values in each industry, excluding Level 2, Gold, within the table. |
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial Instruments2 | ||||||||||||||||
Assets: | ||||||||||||||||
Equity contracts | $ | 418,047 | — | — | $ | 418,047 | ||||||||||
| 2 | Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
Certain of the Series’ assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of December 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Cash | $ | 148,446 | — | — | $ | 148,446 | ||||||||||
Cash pledged as collateral for financial futures contracts | 872,000 | — | — | 872,000 | ||||||||||||
Liabilities: | ||||||||||||||||
Collateral on securities loaned at value | — | $ | (36,877,998 | ) | — | (36,877,998 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,020,446 | $ | (36,877,998 | ) | — | $ | (35,857,552 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
There were no transfers between levels during the year ended December 31, 2012.
See Notes to Financial Statements.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 75 |
|
Master Small Cap Index Series |
December 31, 2012
| ||||
Assets | ||||
Investments at value — unaffiliated (including securities loaned of $36,428,424) (cost — $444,317,909) | $ | 557,963,339 | ||
Investments at value — affiliated (cost — $58,160,494) | 58,342,158 | |||
Cash | 148,446 | |||
Cash pledged as collateral for financial futures contracts | 872,000 | |||
Dividends receivable | 800,025 | |||
Variation margin receivable | 580,248 | |||
Contributions receivable from investors | 225,503 | |||
Securities lending income receivable — affiliated | 84,529 | |||
Receivable from Manager | 13,416 | |||
Prepaid expenses | 3,359 | |||
|
| |||
Total assets | 619,033,023 | |||
|
| |||
| ||||
Liabilities | ||||
Collateral on securities loaned at value | 36,877,998 | |||
Investments purchased payable | 121,043 | |||
Other affiliates payable | 3,533 | |||
Directors’ fees payable | 3,080 | |||
Other accrued expenses payable | 256,077 | |||
|
| |||
Total liabilities | 37,261,731 | |||
|
| |||
Net Assets | $ | 581,771,292 | ||
|
| |||
| ||||
Net Assets Consist of | ||||
Investors’ capital | $ | 467,526,156 | ||
Net unrealized appreciation/depreciation | 114,245,136 | |||
|
| |||
Net Assets | $ | 581,771,292 | ||
|
|
See Notes to Financial Statements.
| 76 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
|
Master Small Cap Index Series |
Year Ended December 31, 2012
Investment Income | ||||
Dividends — unaffiliated | $ | 10,392,018 | ||
Foreign taxes withheld | (13,884 | ) | ||
Securities lending — affiliated — net | 789,340 | |||
Dividends — affiliated | 89,623 | |||
|
| |||
Total income | 11,257,097 | |||
|
| |||
Expenses | ||||
Investment advisory | 50,934 | |||
Custodian | 350,913 | |||
Accounting services | 139,407 | |||
Professional | 116,387 | |||
Directors | 18,523 | |||
Printing | 9,717 | |||
Miscellaneous | 8,559 | |||
|
| |||
Total expenses | 694,440 | |||
Less fees waived and/or reimbursed by Manager | (303,134 | ) | ||
|
| |||
Total expenses after fees waived and/or reimbursed | 391,306 | |||
|
| |||
Net investment income | 10,865,791 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) from: | ||||
Investments — unaffiliated | 7,436,504 | |||
Investments — affiliated | (2,641 | ) | ||
Capital gain distributions received from affiliated investment companies | 246 | |||
Financial futures contracts | 30,697 | |||
Foreign currency transactions | 56 | |||
|
| |||
| 7,464,862 | ||||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | 65,012,515 | |||
Financial futures contracts | 425,122 | |||
Foreign currency translations | (19 | ) | ||
|
| |||
| 65,437,618 | ||||
|
| |||
Total realized and unrealized gain | 72,902,480 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 83,768,271 | ||
|
|
See Notes to Financial Statements.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 77 |
|
Master Small Cap Index Series |
| Year Ended December 31, | ||||||||
Increase (Decrease) in Net Assets: | 2012 | 2011 | ||||||
Operations | ||||||||
Net investment income | $ | 10,865,791 | $ | 6,404,899 | ||||
Net realized gain | 7,464,862 | 7,096,266 | ||||||
Net change in unrealized appreciation/depreciation | 65,437,618 | (46,200,359 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 83,768,271 | (32,699,194 | ) | |||||
|
|
|
| |||||
Capital Transactions | ||||||||
Proceeds from contributions | 389,096,894 | 449,939,216 | ||||||
Value of withdrawals | (420,147,450 | ) | (226,358,426 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets derived from capital transactions | (31,050,556 | ) | 223,580,790 | |||||
|
|
|
| |||||
Net Assets | ||||||||
Total increase in net assets | 52,717,715 | 190,881,596 | ||||||
Beginning of year | 529,053,577 | 338,171,981 | ||||||
|
|
|
| |||||
End of year | $ | 581,771,292 | $ | 529,053,577 | ||||
|
|
|
| |||||
| Master Small Cap Index Series |
| Year Ended December 31, | ||||||||||||||||||||
| 2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||
Total Investment Return | ||||||||||||||||||||
Total investment return | 16.52 | % | (4.30 | )% | 27.19 | % | 27.37 | % | (33.57 | )% | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||
Total expenses | 0.14 | % | 0.09 | % | 0.12 | % | 0.09 | % | 0.08 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed and fees paid indirectly | 0.08 | % | 0.07 | % | 0.08 | % | 0.07 | % | 0.07 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income | 2.13 | % | 1.46 | % | 1.27 | % | 1.27 | % | 1.60 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 581,771 | $ | 529,054 | $ | 338,172 | $ | 229,637 | $ | 344,720 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Portfolio turnover | 68 | % | 31 | % | 42 | % | 43 | % | 42 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
See Notes to Financial Statements.
| 78 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
|
Master Small Cap Index Series |
1. Organization and Significant Accounting Policies:
Master Small Cap Index Series (the “Series”), a diversified, open-end management investment company, is a series of Quantitative Master Series LLC (the “Master LLC”). The Master LLC is registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”), and is organized as a Delaware limited liability company. The Master LLC’s Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the “Board”) to issue non-transferable interests 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 of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. 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 determines the fair values of its financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Series for all financial instruments.
Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid price. If no bid price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security. Financial futures contracts traded on exchanges are valued at their last sale price. Investments in open-end registered investment companies are valued at 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 in the Money Market Series 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 that 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 by the Global Valuation Committee, or its delegate, 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 Global Valuation Committee, or its delegate, 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 deem relevant consistent with the principles of fair value measurement which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. A market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Series’ pricing vendors, a regular review of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.
Foreign Currency: 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
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 79 |
Notes to Financial Statements (continued) |
Master Small Cap Index Series |
currency, the Series’ investments denominated in that currency will lose value because that 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., foreign currency exchange contracts, and 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, a Series engaging in such transactions may have requirements to deliver/deposit securities to/ with an exchange or broker-dealer 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.
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. The initial collateral received by the Series is required to have a value of at least 102% of the current value of the loaned securities for securities traded on US exchanges and a value of at least 105% for all
other securities. The collateral is maintained thereafter in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined at the close of business of the Series and any additional required collateral is delivered to the Series on the next business day. Securities lending income, as disclosed in the Statement of Operations, represents the income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the securities lending agent. During the term of the loan, the Series earns dividend 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. The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate this risk the Series benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of securities lent. 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, 2012, 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, 2012. 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 Standards: In December 2011, the Financial Accounting Standards Board (the “FASB”) issued guidance that will expand 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 or similar agreements, which are eligible for offset in the Statement of Assets and Liabilities and will require an entity to disclose both gross
| 80 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
Notes to Financial Statements (continued) |
Master Small Cap Index Series |
and net information about such investments and transactions in the financial statements. In January 2013, the FASB issued guidance that clarifies which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting will be limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. 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 return of the Series and/or 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 over-the counter (“OTC”).
Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Series’ maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. Counterparty risk related to exchange-traded financial futures contracts is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.
The Series may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (“ISDA Master Agreement”) implemented between the Series and each of its respective counterparties. 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 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). Financial futures contracts are agreements between the Series and the counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, financial 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 variation margin 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 the counterparty to the contract does not perform its obligations under the agreement.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 81 |
Notes to Financial Statements (continued) |
Master Small Cap Index Series |
Derivative Financial Instruments Categorized by Risk Exposure:
Fair Values of Derivative Financial Instruments as of December 31, 2012
Asset Derivatives | ||||||
Statement of Assets and Liabilities Location | Value | |||||
Equity contracts | Net unrealized appreciation1 | $ | 418,047 | |||
| 1 | Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Financial Instruments in the Statement of Operations
Year Ended December 31, 2012
| Net Realized Gain (Loss) | ||||
| From | ||||
Equity contracts: | ||||
Financial futures contracts | $ | 30,697 | ||
Foreign currency exchange contracts: | ||||
Foreign currency transactions | (94 | ) | ||
|
| |||
Total | $ | 30,603 | ||
|
| |||
| Net Change in Unrealized Appreciation on | ||||
Equity contracts: | ||||
Financial futures contracts | $ | 425,122 | ||
| For the year ended December 31, 2012, 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 | $ | 17,585,038 | ||
Foreign currency exchange contracts: | ||||
Average number of contracts — US dollars purchased2 | 3 | |||
Average US dollar amounts purchased2 | $ | 11,562 | ||
| 2 | Average contract amount shown due to limited activity. |
3. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (“PNC”) is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock.
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, which constitute extraordinary expenses not incurred in the ordinary course of the Series’ business) will not exceed 0.08% of the average daily net assets of the Series. The Manager has agreed not to reduce or discontinue this contractual waiver or reimbursement prior to May 1, 2013 unless approved by the Board. For the year ended December 31, 2012, the Series waived $291,996, which is included in fees waived by Manager 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. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended December 31, 2012, the amount waived was $11,138.
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, 2012, the Series reimbursed the Manager $6,121 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, if any. Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of rebates paid to, or fees paid by, borrowers of securities. The Series retains 65% of securities lending income and pays a fee to BIM equal to 35% of such income. The Series benefits from a borrower default
| 82 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
Notes to Financial Statements (concluded) |
Master Small Cap Index Series |
indemnity provided by BlackRock. As securities lending agent, BIM bears all operational costs directly related to securities lending as well as the cost of borrower default indemnification. BIM does not receive any fees for managing the cash collateral. The share of income earned by the Series is shown as securities lending — affiliated – net in the Statement of Operations. For the year ended December 31, 2012, BIM received $451,080 in securities lending agent fees related to securities lending activities for the Series.
Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.
4. Investments:
Purchases and sales of investments, excluding short-term securities, for the year ended December 31, 2012, were $339,031,060 and $375,304,242, 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. The Series may borrow under the credit agreement to fund shareholder redemptions. Effective November 2011 to November 2012, the credit agreement had 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 London Inter-bank Offered Rate (“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 credit agreement, which expired in November 2012, was renewed with the same terms until November 2013. Effective November 2012 to November 2013, the credit agreement has 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, 2012. The Series did not borrow under the credit agreement during the year ended December 31, 2012.
6. Concentration, Market and Credit Risk:
In the normal course of business, the Series invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Series may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Series; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Series may be exposed to counterparty credit risk, or the risk that an entity with which the Series has unsettled or open transactions may fail to or be unable to perform on its commitments. The Series manages counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Series.
As of December 31, 2012, the Series invested a significant portion of its assets in securities in the financials sector. Changes in economic conditions affecting the financials sector would have a greater impact on the Series and could affect the value, income and/or liquidity of positions in such securities.
7. Subsequent Events:
Management has evaluated the impact of all subsequent events on the Series through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 83 |
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 series constituting Quantitative Master Series LLC, (the “Series”) as of December 31, 2012, 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 Series’ 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 Series 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 Series’ 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, 2012, 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, of Quantitative Master Series LLC, as of December 31, 2012, 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 15, 2013
| 84 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
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- Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | Public Directorships | |||||
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 106 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 2011. | 33 RICs consisting of 106 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 106 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 106 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 Emeritus, Hudson Institute (policy research organization) since 2011, President thereof from 1997 to 2011 and Trustee 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 106 Portfolios | AIMS Worldwide, Inc. (marketing) | |||||
Ian A. MacKinnon 55 East 52nd Street New York, NY 10055 1948 | Director | Since 2012 | Director, Kennett Capital, Inc. (investments) since 2006; Director, Free Library of Philadelphia from 1999 to 2008. | 33 RICs consisting of 106 Portfolios | None | |||||
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 106 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 investments) 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 106 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 106 Portfolios | None | |||||
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 85 |
Officers and Directors (continued) |
Master Small Cap Index Series |
Name, Address and Year of Birth | Position(s) Held with | Length of Time | Principal Occupation(s) During Past Five Years | Number of BlackRock- | Public Directorships | |||||
Independent Directors1 (concluded) | ||||||||||
Toby Rosenblatt 55 East 52nd Street New York, NY 10055 1938 | Director | Since 2007 | President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC since 2007; Director, College Access Foundation of California (philanthropic foundation) since 2009; 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 106 Portfolios | None | |||||
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 Institute 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 106 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 106 Portfolios | None | |||||
| 1 | Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved one-year extensions in terms of Directors who turn 72 prior to December 31, 2013. |
| 2 | Date shown is the earliest date a person has served 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 certain 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 of BlackRock and Head of U.S. Mutual Funds since 2011; Chair of the U.S. Mutual Funds Committee reporting to the Global Executive Committee since 2011; 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 business 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. | 155 RICs consisting of 278 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. | 155 RICs consisting of 278 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. |
| 86 | MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 |
Officers and Directors (concluded) |
Master Small Cap Index Series |
Name, Address and Year of Birth | Position(s) Held with Master LLC | Length of Time Served | Principal Occupation(s) During Past Five Years | |||
Officers1 | ||||||
John M. Perlowski 55 East 52nd Street New York, NY 10055 1964 | President and Chief Executive Officer | Since 2010 | Managing Director of BlackRock 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. | |||
Benjamin Archibald 55 East 52nd Street New York, NY 10055 1975 | Secretary | Since 2012 | Director of BlackRock since 2010; Assistant Secretary to the funds from 2010 to 2012; General Counsel and Chief Operating Officer of Uhuru Capital Management from 2009 to 2010; Executive Director and Counsel of Goldman Sachs Asset Management from 2005 to 2009. | |||
| 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 and | Independent Registered | Legal Counsel | ||||
BlackRock Advisors, LLC Wilmington, DE 19809 | BlackRock Investment Management, LLC Princeton, NJ 08540 | Accounting Agent State Street Bank and Trust Company Boston, MA 02110 | Public Accounting Firm Deloitte & Touche LLP Boston, MA 02116 | Sidley Austin LLP New York, NY 10019 |
| MASTER SMALL CAP INDEX SERIES | DECEMBER 31, 2012 | 87 |
Series Portfolio Information |
Master International Index Series |
As of December 31, 2012 |
Ten Largest Holdings | Percent of Long-Term Investments | |||
Nestlé SA, Registered Shares | 2 | % | ||
HSBC Holdings Plc | 2 | |||
Novartis AG, Registered Shares | 1 | |||
Roche Holding AG | 1 | |||
BP Plc | 1 | |||
Royal Dutch Shell Plc, Class A | 1 | |||
Toyota Motor Corp | 1 | |||
BHP Billiton Ltd. | 1 | |||
Vodafone Group Plc | 1 | |||
Sanofi | 1 | |||
Geographic Allocation | Percent of Long-Term Investments | |||
United Kingdom | 22 | % | ||
Japan | 20 | |||
France | 10 | |||
Australia | 9 | |||
Germany | 9 | |||
Switzerland | 9 | |||
Hong Kong | 3 | |||
Sweden | 3 | |||
Spain | 3 | |||
Netherlands | 3 | |||
Italy | 2 | |||
Singapore | 2 | |||
Other1 | 5 | |||
| 1 | Other includes a 1% or less investment in each of the following countries: Belgium, Denmark, Norway, Finland, Israel, Ireland, Austria, Portugal, New Zealand and Greece. |
Derivative Financial Instruments
Master International Index Series (the “Series”) may invest in various derivative financial instruments, including financial futures contracts and foreign currency exchange contracts, as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities or to hedge market, equity and/or foreign currency exchange rate risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the
derivative financial instrument. The Series’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require the Series to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation the Series can realize on an investment or may cause the Series to hold an investment that it might otherwise sell. The Series’ investments in these instruments are discussed in detail in the Notes to Financial Statements.
| 88 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 |
|
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Australia — 8.6% | ||||||||
AGL Energy Ltd. | 36,321 | $ | 583,899 | |||||
ALS Ltd./Queensland | 23,053 | 262,974 | ||||||
Alumina Ltd. | 160,837 | 154,361 | ||||||
Amcor Ltd. | 80,303 | 678,700 | ||||||
AMP Ltd. | 192,688 | 977,385 | ||||||
APA Group | 54,879 | 316,818 | ||||||
Asciano Ltd. | 65,230 | 319,105 | ||||||
ASX Ltd. | 11,837 | 386,291 | ||||||
Aurizon Holdings Ltd. | 119,562 | 470,164 | ||||||
Australia & New Zealand Banking Group Ltd. | 180,841 | 4,762,716 | ||||||
Bendigo and Adelaide Bank Ltd. | 25,925 | 230,943 | ||||||
BGP Holdings Plc (a) | 783,183 | 10 | ||||||
BHP Billiton Ltd. | 214,704 | 8,382,135 | ||||||
Boral Ltd. | 52,018 | 238,682 | ||||||
Brambles Ltd. | 104,179 | 826,065 | ||||||
Caltex Australia Ltd. | 8,911 | 179,732 | ||||||
Centro Retail Australia | 91,777 | 217,267 | ||||||
CFS Retail Property Trust | 133,352 | 266,766 | ||||||
Coca-Cola Amatil Ltd. | 38,338 | 538,776 | ||||||
Cochlear Ltd. | 3,730 | 309,215 | ||||||
Commonwealth Bank of Australia | 106,014 | 6,904,306 | ||||||
Computershare Ltd. | 29,768 | 280,819 | ||||||
Crown Ltd. | 27,165 | 303,595 | ||||||
CSL Ltd. | 33,658 | 1,900,239 | ||||||
Dexus Property Group | 300,204 | 318,848 | ||||||
Echo Entertainment Group Ltd. | 48,819 | 176,318 | ||||||
Flight Centre Ltd. | 3,423 | 96,856 | ||||||
Fortescue Metals Group Ltd. | 94,491 | 470,890 | ||||||
Goodman Group | 113,434 | 516,867 | ||||||
GPT Group | 94,248 | 362,778 | ||||||
Harvey Norman Holdings Ltd. | 31,404 | 62,516 | ||||||
Iluka Resources Ltd. | 28,027 | 270,852 | ||||||
Incitec Pivot Ltd. | 110,317 | 376,112 | ||||||
Insurance Australia Group Ltd. | 138,359 | 681,465 | ||||||
Leighton Holdings Ltd. | 9,898 | 186,845 | ||||||
Lend Lease Group | 35,581 | 347,476 | ||||||
Macquarie Group Ltd. | 21,542 | 806,985 | ||||||
Metcash Ltd. | 58,890 | 204,156 | ||||||
Mirvac Group | 231,349 | 360,034 | ||||||
National Australia Bank Ltd. | 151,351 | 3,980,996 | ||||||
Newcrest Mining Ltd. | 50,924 | 1,191,249 | ||||||
Orica Ltd. | 24,331 | 640,055 | ||||||
Origin Energy Ltd. | 72,792 | 894,810 | ||||||
OZ Minerals Ltd. | 19,462 | 138,211 | ||||||
Qantas Airways Ltd. (a) | 77,541 | 121,422 | ||||||
QBE Insurance Group Ltd. | 78,658 | 901,256 | ||||||
Ramsay Health Care Ltd. | 8,478 | 241,812 | ||||||
Rio Tinto Ltd. | 29,010 | 2,039,664 | ||||||
Santos Ltd. | 64,222 | 752,466 | ||||||
Sims Metal Management Ltd. | 11,568 | 114,307 | ||||||
Sonic Healthcare Ltd. | 25,257 | 352,553 | ||||||
SP AusNet | 112,082 | 130,251 | ||||||
Stockland | 146,669 | 542,311 | ||||||
Suncorp Group Ltd. | 85,700 | 915,176 | ||||||
Common Stocks | Shares | Value | ||||||
Australia (concluded) | ||||||||
Sydney Airport | 13,793 | $ | 48,587 | |||||
Tabcorp Holdings Ltd. | 47,647 | 152,185 | ||||||
Tatts Group Ltd. | 91,221 | 287,325 | ||||||
Telstra Corp. Ltd. | 289,910 | 1,321,040 | ||||||
Toll Holdings Ltd. | 46,738 | 224,012 | ||||||
Transurban Group | 87,545 | 556,488 | ||||||
Treasury Wine Estates Ltd. | 43,719 | 215,182 | ||||||
Wesfarmers Ltd. | 67,017 | 2,585,591 | ||||||
Westfield Group | 142,962 | 1,578,851 | ||||||
Westfield Retail Trust | 193,076 | 609,146 | ||||||
Westpac Banking Corp. | 205,085 | 5,619,281 | ||||||
Whitehaven Coal Ltd. | 30,229 | 112,658 | ||||||
Woodside Petroleum Ltd. | 43,879 | 1,563,629 | ||||||
Woolworths Ltd. | 82,047 | 2,517,065 | ||||||
WorleyParsons Ltd. | 13,599 | 334,983 | ||||||
|
| |||||||
| 65,412,523 | ||||||||
|
| |||||||
Austria — 0.3% | ||||||||
Andritz AG | 4,889 | 314,161 | ||||||
Erste Group Bank AG (a) | 14,254 | 453,200 | ||||||
Immoeast AG NPV (a) | 30,711 | — | ||||||
IMMOFINANZ AG (a) | 60,647 | 255,311 | ||||||
OMV AG | 9,760 | 353,664 | ||||||
Raiffeisen Bank AG | 3,286 | 136,694 | ||||||
Telekom Austria AG | 13,873 | 105,341 | ||||||
Verbund AG | 4,748 | 117,928 | ||||||
Vienna Insurance Group | 2,605 | 139,039 | ||||||
Voestalpine AG | 7,473 | 274,583 | ||||||
|
| |||||||
| 2,149,921 | ||||||||
|
| |||||||
Belgium — 1.1% | ||||||||
Ageas | 15,325 | 452,811 | ||||||
Anheuser-Busch InBev NV | 53,477 | 4,657,021 | ||||||
Belgacom SA | 9,973 | 293,322 | ||||||
Colruyt SA | 5,194 | 257,093 | ||||||
Delhaize Group | 6,874 | 276,876 | ||||||
Groupe Bruxelles Lambert SA | 5,350 | 426,696 | ||||||
KBC Group Holding | 15,841 | 552,095 | ||||||
Solvay SA | 3,985 | 579,866 | ||||||
Telenet Group Holding NV | 3,836 | 180,508 | ||||||
UCB SA | 7,394 | 423,590 | ||||||
Umicore SA | 7,605 | 421,112 | ||||||
|
| |||||||
| 8,520,990 | ||||||||
|
| |||||||
Denmark — 1.1% | ||||||||
A.P. Moller - Maersk A/S, Class A | 38 | 270,647 | ||||||
A.P. Moller - Maersk A/S, Class B | 88 | 666,393 | ||||||
Carlsberg A/S, Class B | 7,119 | 701,338 | ||||||
Coloplast A/S, Class B | 7,715 | 378,345 | ||||||
Danske Bank A/S (a) | 43,225 | 734,141 | ||||||
DSV A/S | 12,590 | 325,734 | ||||||
Novo-Nordisk A/S, Class B | 27,117 | 4,415,641 | ||||||
Novozymes A/S, Class B | 16,127 | 457,791 | ||||||
TDC A/S | 32,329 | 229,055 | ||||||
Tryg A/S | 1,666 | 126,091 | ||||||
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 | NOK | Norwegian Krone | ||||||
| EUR | Euro | SEK | Swedish Krona | |||||||
| GBP | British Pound | SGD | Singapore Dollar | |||||||
| HKD | Hong Kong Dollar | USD | US Dollar | |||||||
| ILS | Israeli New Shekel |
See Notes to Financial Statements.
| MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 | 89 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Denmark (concluded) |
| |||||||
William Demant Holding A/S (a) | 1,739 | $ | 149,400 | |||||
|
| |||||||
| 8,454,576 | ||||||||
|
| |||||||
Finland — 0.8% | ||||||||
Elisa Oyj | 9,184 | 203,607 | ||||||
Fortum Oyj | 29,837 | 558,576 | ||||||
Kesko Oyj, Class B | 4,450 | 146,093 | ||||||
Kone Oyj, Class B | 10,442 | 772,287 | ||||||
Metso Oyj | 8,429 | 359,849 | ||||||
Neste Oil Oyj | 8,875 | 115,057 | ||||||
Nokia Oyj | 249,824 | 987,232 | ||||||
Nokian Renkaat Oyj | 7,335 | 293,819 | ||||||
Orion Oyj, Class B | 6,361 | 187,286 | ||||||
Pohjola Bank Plc, Class A | 9,274 | 138,865 | ||||||
Sampo Oyj, Class A | 27,898 | 903,495 | ||||||
Stora Enso Oyj, Class R | 35,753 | 250,250 | ||||||
UPM-Kymmene Oyj | 35,010 | 411,884 | ||||||
Wartsila Oyj | 11,026 | 480,026 | ||||||
|
| |||||||
| 5,808,326 | ||||||||
|
| |||||||
France — 9.2% |
| |||||||
Accor SA | 9,663 | 344,650 | ||||||
Aeroports de Paris | 1,990 | 154,071 | ||||||
Air Liquide SA | 20,769 | 2,623,907 | ||||||
Alstom SA | 13,906 | 560,188 | ||||||
ArcelorMittal | 62,338 | 1,086,890 | ||||||
Arkema | 4,137 | 434,379 | ||||||
Atos Origin SA | 3,685 | 258,786 | ||||||
AXA SA | 117,705 | 2,113,485 | ||||||
BNP Paribas SA | 66,780 | 3,801,788 | ||||||
Bouygues SA | 12,430 | 369,881 | ||||||
Bureau Veritas SA | 3,673 | 411,852 | ||||||
Cap Gemini SA | 9,826 | 429,667 | ||||||
Carrefour SA | 40,125 | 1,033,112 | ||||||
Casino Guichard-Perrachon SA | 3,774 | 361,483 | ||||||
Christian Dior SA | 3,653 | 622,668 | ||||||
Cie Generale de Geophysique-Veritas (a) | 10,523 | 319,755 | ||||||
Cie Generale des Etablissements Michelin, Class B | 12,115 | 1,160,846 | ||||||
CNP Assurances | 11,119 | 171,151 | ||||||
Compagnie de Saint-Gobain | 26,511 | 1,138,485 | ||||||
Credit Agricole SA (a) | 67,413 | 549,016 | ||||||
Danone SA | 38,538 | 2,538,581 | ||||||
Dassault Systemes SA | 4,221 | 471,939 | ||||||
Edenred | 11,514 | 356,109 | ||||||
EDF SA | 15,751 | 291,874 | ||||||
Essilor International SA | 13,475 | 1,359,051 | ||||||
Eurazeo | 1,897 | 91,847 | ||||||
European Aeronautic Defence and Space Co. NV | 27,521 | 1,084,912 | ||||||
Eutelsat Communications SA | 8,836 | 293,887 | ||||||
Fonciere Des Regions | 1,752 | 147,436 | ||||||
France Telecom SA | 123,432 | 1,369,332 | ||||||
GDF Suez | 85,018 | 1,751,036 | ||||||
Gecina SA | 1,450 | 164,202 | ||||||
Groupe Eurotunnel SA | 36,810 | 286,041 | ||||||
ICADE | 1,573 | 140,441 | ||||||
Iliad SA | 1,480 | 254,056 | ||||||
Imerys SA | 2,274 | 145,851 | ||||||
JC Decaux SA | 4,659 | 111,205 | ||||||
Klepierre | 6,465 | 258,401 | ||||||
L’Oreal SA | 16,058 | 2,234,349 | ||||||
Common Stocks | Shares | Value | ||||||
France (concluded) | ||||||||
Lafarge SA | 12,324 | $ | 795,789 | |||||
Lagardere S.C.A. | 7,712 | 259,400 | ||||||
Legrand SA | 15,775 | 669,429 | ||||||
LVMH Moet Hennessy Louis Vuitton SA | 16,919 | 3,122,524 | ||||||
Natixis | 60,061 | 205,295 | ||||||
Pernod Ricard SA | 14,130 | 1,639,376 | ||||||
Peugeot SA (a) | 16,412 | 119,766 | ||||||
PPR | 5,031 | 944,875 | ||||||
Publicis Groupe SA | 11,791 | 709,383 | ||||||
Remy Cointreau SA | 1,488 | 162,489 | ||||||
Renault SA | 12,792 | 694,708 | ||||||
Rexel SA | 7,434 | 152,046 | ||||||
Safran SA | 15,263 | 660,994 | ||||||
Sanofi | 79,407 | 7,530,153 | ||||||
Schneider Electric SA | 34,990 | 2,562,693 | ||||||
Scor SE | 11,009 | 297,557 | ||||||
SES SA | 20,384 | 587,074 | ||||||
Societe BIC SA | 1,868 | 223,913 | ||||||
Societe Generale SA (a) | 46,751 | 1,777,588 | ||||||
Sodexo | 6,353 | 536,820 | ||||||
Suez Environnement Co. | 18,139 | 218,807 | ||||||
Technip SA | 6,775 | 783,434 | ||||||
Thales SA | 5,907 | 205,815 | ||||||
Total SA | 141,734 | 7,374,833 | ||||||
Unibail-Rodamco SE | 6,122 | 1,484,604 | ||||||
Vallourec SA | 6,829 | 358,468 | ||||||
Veolia Environnement SA | 21,974 | 266,392 | ||||||
Vinci SA | 30,641 | 1,475,276 | ||||||
Vivendi SA | 86,622 | 1,959,038 | ||||||
Wendel SA | 2,140 | 220,595 | ||||||
Zodiac Aerospace | 2,220 | 245,779 | ||||||
|
| |||||||
| 69,541,523 | ||||||||
|
| |||||||
Germany — 8.4% | ||||||||
Adidas AG | 13,927 | 1,242,974 | ||||||
Allianz SE, Registered Shares | 30,315 | 4,225,819 | ||||||
Axel Springer AG | 2,723 | 116,571 | ||||||
BASF SE | 61,156 | 5,782,904 | ||||||
Bayer AG, Registered Shares | 55,061 | 5,250,718 | ||||||
Bayerische Motoren Werke AG | 22,043 | 2,145,026 | ||||||
Bayerische Motoren Werke AG, Preference Shares | 3,394 | 219,860 | ||||||
Beiersdorf AG | 6,773 | 554,577 | ||||||
Brenntag AG | 3,405 | 448,593 | ||||||
Celesio AG | 5,979 | 103,562 | ||||||
Commerzbank AG (a) | 249,380 | 477,751 | ||||||
Continental AG | 7,324 | 853,636 | ||||||
Daimler AG, Registered Shares | 60,396 | 3,325,135 | ||||||
Deutsche Bank AG, Registered Shares | 61,885 | 2,722,618 | ||||||
Deutsche Boerse AG | 12,733 | 780,813 | ||||||
Deutsche Lufthansa AG, Registered Shares | 15,510 | 293,205 | ||||||
Deutsche Post AG, Registered Shares | 60,361 | 1,329,481 | ||||||
Deutsche Telekom AG, Registered Shares | 187,001 | 2,128,614 | ||||||
E.ON AG | 119,897 | 2,248,791 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 2,480 | 144,674 | ||||||
Fresenius Medical Care AG & Co. KGaA | 14,071 | 971,068 | ||||||
Fresenius SE & Co. KGaA | 8,285 | 953,341 | ||||||
GEA Group AG | 11,794 | 383,491 | ||||||
Hannover Rueckversicherung AG, Registered Shares | 4,082 | 319,717 | ||||||
HeidelbergCement AG | 9,491 | 580,771 | ||||||
Henkel AG & Co. KGaA | 8,644 | 593,246 | ||||||
See Notes to Financial Statements.
| 90 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Germany (concluded) | ||||||||
Henkel AG & Co. KGaA, Preference Shares | 11,859 | $ | 975,652 | |||||
Hochtief AG (a) | 1,911 | 111,781 | ||||||
Hugo Boss AG | 1,594 | 169,403 | ||||||
Infineon Technologies AG | 73,039 | 595,008 | ||||||
K+S AG | 11,603 | 538,887 | ||||||
Kabel Deutschland Holding AG | 5,865 | 441,432 | ||||||
Lanxess AG | 5,465 | 481,900 | ||||||
Linde AG | 12,317 | 2,154,837 | ||||||
MAN SE | 2,811 | 301,960 | ||||||
Merck KGaA | 4,332 | 570,935 | ||||||
Metro AG | 8,809 | 244,726 | ||||||
Muenchener Rueckversicherungs AG, Registered Shares | 11,940 | 2,155,501 | ||||||
Porsche Automobil Holding SE, Preference Shares | 10,092 | 830,721 | ||||||
ProSieben SAT.1 Media AG, Preference Shares | 5,820 | 165,776 | ||||||
RWE AG | 32,577 | 1,351,212 | ||||||
RWE AG, Non-Voting Preference Shares | 2,740 | 103,605 | ||||||
Salzgitter AG | 2,650 | 138,883 | ||||||
SAP AG | 61,340 | 4,932,510 | ||||||
Siemens AG, Registered Shares | 54,784 | 5,990,663 | ||||||
Suedzucker AG | 5,533 | 227,113 | ||||||
ThyssenKrupp AG | 25,925 | 612,156 | ||||||
United Internet AG | 6,744 | 145,841 | ||||||
Volkswagen AG | 1,966 | 426,498 | ||||||
Volkswagen AG, Preference Shares | 9,629 | 2,209,363 | ||||||
|
| |||||||
| 64,073,319 | ||||||||
|
| |||||||
Greece — 0.1% | ||||||||
Coca-Cola Hellenic Bottling | 13,339 | 311,641 | ||||||
OPAP SA | 15,543 | 111,452 | ||||||
|
| |||||||
| 423,093 | ||||||||
|
| |||||||
Hong Kong — 3.1% | ||||||||
AIA Group Ltd. | 721,600 | 2,862,108 | ||||||
ASM Pacific Technology Ltd. | 13,304 | 163,334 | ||||||
Bank of East Asia Ltd. | 92,732 | 360,107 | ||||||
BOC Hong Kong Holdings Ltd. | 248,400 | 781,412 | ||||||
Cathay Pacific Airways Ltd. | 79,263 | 147,223 | ||||||
Cheung Kong Holdings Ltd. | 92,835 | 1,444,456 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 34,500 | 213,107 | ||||||
CLP Holdings Ltd. | 120,187 | 1,009,791 | ||||||
First Pacific Co. Ltd. | 142,000 | 156,813 | ||||||
Galaxy Entertainment Group | 142,000 | 569,389 | ||||||
Hang Lung Properties Ltd. | 148,000 | 595,613 | ||||||
Hang Seng Bank Ltd. | 51,253 | 791,190 | ||||||
Henderson Land Development Co. Ltd. | 64,491 | 461,704 | ||||||
HKT Trust/HKT Ltd. | 156,000 | 153,225 | ||||||
Hong Kong & China Gas Ltd. | 347,295 | 954,196 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 72,727 | 1,258,625 | ||||||
Hopewell Holdings Ltd. | 37,849 | 164,107 | ||||||
Hutchison Whampoa Ltd. | 142,176 | 1,506,631 | ||||||
Hysan Development Co. Ltd. | 41,791 | 203,223 | ||||||
Kerry Properties Ltd. | 46,500 | 244,288 | ||||||
Li & Fung Ltd. | 389,980 | 703,713 | ||||||
The Link REIT | 151,914 | 760,801 | ||||||
MGM China Holdings Ltd. | 59,600 | 109,773 | ||||||
MTR Corp. | 95,000 | 376,442 | ||||||
New World Development Co. Ltd. | 243,226 | 385,069 | ||||||
NWS Holdings Ltd. | 91,500 | 155,516 | ||||||
Orient Overseas International Ltd. | 15,057 | 99,401 | ||||||
Common Stocks | Shares | Value | ||||||
Hong Kong (concluded) | ||||||||
PCCW Ltd. | 276,000 | $ | 121,991 | |||||
Power Assets Holdings Ltd. | 91,500 | 785,030 | ||||||
Sands China Ltd. | 160,600 | 717,989 | ||||||
Shangri-La Asia Ltd. | 107,905 | 217,367 | ||||||
Sino Land Co. Ltd. | 201,263 | 368,541 | ||||||
SJM Holdings Ltd. | 131,000 | 309,168 | ||||||
Sun Hung Kai Properties Ltd. | 104,324 | 1,582,097 | ||||||
Swire Pacific Ltd., Class A | 45,077 | 563,865 | ||||||
Swire Properties Ltd. | 78,600 | 264,726 | ||||||
Wharf Holdings Ltd. | 100,357 | 799,817 | ||||||
Wheelock & Co. Ltd. | 62,000 | 316,267 | ||||||
Wing Hang Bank Ltd. | 11,500 | 121,133 | ||||||
Wynn Macau Ltd. (a) | 103,200 | 284,180 | ||||||
Yue Yuen Industrial Holdings Ltd. | 49,285 | 166,692 | ||||||
|
| |||||||
| 23,250,120 | ||||||||
|
| |||||||
Ireland — 0.4% | ||||||||
CRH Plc | 48,102 | 978,208 | ||||||
Elan Corp. Plc (a) | 34,169 | 350,356 | ||||||
Experian Plc | 67,203 | 1,083,105 | ||||||
Irish Bank Resolution Corp. | 62,641 | 1 | ||||||
James Hardie Industries SE | 29,405 | 284,694 | ||||||
Kerry Group Plc | 10,046 | 530,639 | ||||||
Prothena Corp. Plc (a) | 833 | 6,109 | ||||||
Ryanair Holdings Plc | 10,891 | 68,519 | ||||||
|
| |||||||
| 3,301,631 | ||||||||
|
| |||||||
Israel — 0.5% | ||||||||
Bank Hapoalim BM (a) | 70,522 | 302,570 | ||||||
Bank Leumi Le-Israel BM (a) | 83,927 | 285,673 | ||||||
Bezeq The Israeli Telecommunication Corp. Ltd. | 131,348 | 152,142 | ||||||
Delek Group Ltd. | 296 | 69,653 | ||||||
Israel Chemicals Ltd. | 30,115 | 362,679 | ||||||
The Israel Corp. Ltd. | 157 | 103,272 | ||||||
Mellanox Technologies Ltd. (a) | 2,298 | 142,342 | ||||||
Mizrahi Tefahot Bank Ltd. (a) | 7,472 | 77,490 | ||||||
Nice Systems Ltd. (a) | 4,090 | 136,987 | ||||||
Teva Pharmaceutical Industries Ltd. | 62,794 | 2,333,391 | ||||||
|
| |||||||
| 3,966,199 | ||||||||
|
| |||||||
Italy — 2.2% | ||||||||
Assicurazioni Generali SpA | 77,728 | 1,420,456 | ||||||
Atlantia SpA | 22,405 | 406,843 | ||||||
Banca Monte dei Paschi di Siena | 399,301 | 119,430 | ||||||
Banco Popolare SC (a) | 115,161 | 191,762 | ||||||
Enel Green Power SpA | 113,673 | 211,746 | ||||||
Enel SpA | 438,202 | 1,822,693 | ||||||
Eni SpA | 169,380 | 4,149,390 | ||||||
Exor SpA | 4,458 | 112,350 | ||||||
Fiat Industrial SpA | 56,948 | 623,898 | ||||||
Fiat SpA (a) | 57,559 | 289,948 | ||||||
Finmeccanica SpA (a) | 27,245 | 157,673 | ||||||
Intesa Sanpaolo SpA | 670,677 | 1,159,809 | ||||||
Intesa Sanpaolo SpA, Non-Convertible Savings Shares | 56,017 | 79,558 | ||||||
Luxottica Group SpA | 10,836 | 447,254 | ||||||
Mediobanca SpA | 33,549 | 207,233 | ||||||
Pirelli & C SpA | 15,554 | 179,208 | ||||||
Prysmian SpA | 13,841 | 276,280 | ||||||
Saipem SpA | 17,813 | 693,869 | ||||||
Snam Rete Gas SpA | 114,239 | 533,217 | ||||||
See Notes to Financial Statements.
| MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 | 91 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Italy (concluded) | ||||||||
Telecom Italia SpA | 630,665 | $ | 572,055 | |||||
Telecom Italia SpA, Non-Convertible Savings Shares | 396,336 | 315,440 | ||||||
Tenaris SA | 31,423 | 655,181 | ||||||
Terna SpA | 85,205 | 340,969 | ||||||
UniCredit SpA (a) | 269,658 | 1,327,918 | ||||||
Unione di Banche Italiane ScpA | 56,556 | 263,726 | ||||||
|
| |||||||
| 16,557,906 | ||||||||
|
| |||||||
Japan — 19.4% | ||||||||
ABC-Mart, Inc. | 1,600 | 69,657 | ||||||
Acom Co. Ltd. (a) | 2,450 | 70,568 | ||||||
Advantest Corp. | 10,100 | 159,510 | ||||||
Aeon Co. Ltd. | 39,700 | 453,712 | ||||||
Aeon Credit Service Co. Ltd. | 4,400 | 89,032 | ||||||
Aeon Mall Co. Ltd. | 5,000 | 123,005 | ||||||
Air Water, Inc. | 10,000 | 127,988 | ||||||
Aisin Seiki Co. Ltd. | 13,000 | 405,953 | ||||||
Ajinomoto Co., Inc. | 43,000 | 568,995 | ||||||
Alfresa Holdings Corp. | 2,900 | 113,353 | ||||||
All Nippon Airways Co. Ltd. | 80,000 | 168,072 | ||||||
Amada Co. Ltd. | 24,000 | 156,169 | ||||||
Aozora Bank Ltd. | 40,000 | 122,989 | ||||||
Asahi Glass Co. Ltd. | 67,100 | 489,937 | ||||||
Asahi Group Holdings Ltd. | 25,900 | 551,482 | ||||||
Asahi Kasei Corp. | 84,000 | 496,701 | ||||||
Asics Corp. | 10,000 | 152,765 | ||||||
Astellas Pharma, Inc. | 29,500 | 1,326,367 | ||||||
The Bank of Kyoto Ltd. | 21,000 | 177,850 | ||||||
The Bank of Yokohama Ltd. | 83,000 | 385,918 | ||||||
Benesse Holdings, Inc. | 4,300 | 178,950 | ||||||
Bridgestone Corp. | 43,300 | 1,127,166 | ||||||
Brother Industries Ltd. | 15,700 | 169,018 | ||||||
Calbee, Inc. | 1,000 | 70,463 | ||||||
Canon, Inc. | 75,500 | 2,926,360 | ||||||
Casio Computer Co. Ltd. | 14,000 | 122,881 | ||||||
Central Japan Railway Co. | 9,700 | 787,247 | ||||||
The Chiba Bank Ltd. | 50,000 | 292,908 | ||||||
Chiyoda Corp. | 10,000 | 143,252 | ||||||
Chubu Electric Power Co., Inc. | 43,000 | 573,824 | ||||||
Chugai Pharmaceutical Co. Ltd. | 15,100 | 289,317 | ||||||
The Chugoku Bank Ltd. | 13,000 | 181,451 | ||||||
The Chugoku Electric Power Co., Inc. | 19,300 | 303,709 | ||||||
Citizen Holdings Co. Ltd. | 19,000 | 100,366 | ||||||
Coca-Cola West Co. Ltd. | 3,900 | 60,217 | ||||||
Cosmo Oil Co. Ltd. | 38,000 | 85,104 | ||||||
Credit Saison Co. Ltd. | 10,200 | 255,129 | ||||||
Dai Nippon Printing Co. Ltd. | 38,000 | 297,975 | ||||||
The Dai-ichi Life Insurance Co. Ltd. | 566 | 796,395 | ||||||
Daicel Corp. | 21,000 | 138,943 | ||||||
Daido Steel Co. Ltd. | 21,000 | 106,486 | ||||||
Daihatsu Motor Co. Ltd. | 12,000 | 239,074 | ||||||
Daiichi Sankyo Co. Ltd. | 44,500 | 683,174 | ||||||
Daikin Industries Ltd. | 15,400 | 528,976 | ||||||
Dainippon Sumitomo Pharma Co. Ltd. | 10,800 | 129,748 | ||||||
Daito Trust Construction Co. Ltd. | 4,900 | 463,099 | ||||||
Daiwa House Industry Co. Ltd. | 33,000 | 567,361 | ||||||
Daiwa Securities Group Inc. | 110,000 | 613,694 | ||||||
Dena Co. Ltd. | 6,900 | 226,350 | ||||||
Denki Kagaku Kogyo KK | 29,000 | 99,290 | ||||||
Denso Corp. | 32,400 | 1,128,304 | ||||||
Common Stocks | Shares | Value | ||||||
Japan (continued) | ||||||||
Dentsu, Inc. | 12,113 | $ | 324,455 | |||||
Don Quijote Co. Ltd. | 3,700 | 136,108 | ||||||
East Japan Railway Co. | 22,649 | 1,464,577 | ||||||
Eisai Co. Ltd. | 16,800 | 701,279 | ||||||
Electric Power Development Co. Ltd. | 7,700 | 182,628 | ||||||
FamilyMart Co. Ltd. | 4,000 | 164,792 | ||||||
FANUC Corp. | 12,700 | 2,362,828 | ||||||
Fast Retailing Co. Ltd. | 3,500 | 893,238 | ||||||
Fuji Electric Co. Ltd. | 40,800 | 100,385 | ||||||
Fuji Heavy Industries Ltd. | 40,000 | 504,413 | ||||||
FUJIFILM Holdings Corp. | 31,100 | 625,727 | ||||||
Fujitsu Ltd. | 125,000 | 524,246 | ||||||
Fukuoka Financial Group, Inc. | 50,000 | 200,238 | ||||||
Furukawa Electric Co. Ltd. (a) | 46,000 | 103,459 | ||||||
Gree, Inc. | 6,400 | 99,325 | ||||||
GS Yuasa Corp. | 25,000 | 100,795 | ||||||
The Gunma Bank Ltd. | 26,000 | 127,206 | ||||||
The Hachijuni Bank Ltd. | 28,000 | 140,477 | ||||||
Hakuhodo DY Holdings, Inc. | 1,640 | 106,126 | ||||||
Hamamatsu Photonics KK | 4,900 | 178,158 | ||||||
Hankyu Hanshin Holdings, Inc. | 75,000 | 387,774 | ||||||
Hino Motors Ltd. | 18,000 | 162,698 | ||||||
Hirose Electric Co. Ltd. | 2,100 | 251,453 | ||||||
The Hiroshima Bank Ltd. | 35,000 | 146,772 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 4,000 | 199,081 | ||||||
Hitachi Chemical Co. Ltd. | 7,400 | 111,542 | ||||||
Hitachi Construction Machinery Co. Ltd. | 7,300 | 153,524 | ||||||
Hitachi High-Technologies Corp. | 4,400 | 91,052 | ||||||
Hitachi Ltd. | 309,000 | 1,818,312 | ||||||
Hitachi Metals Ltd. | 12,000 | 102,335 | ||||||
Hokkaido Electric Power Co., Inc. | 12,400 | 150,533 | ||||||
Hokuriku Electric Power Co. | 11,400 | 135,290 | ||||||
Honda Motor Co. Ltd. | 108,500 | 4,018,256 | ||||||
Hoya Corp. | 29,000 | 571,414 | ||||||
Hulic Co. Ltd. | 15,900 | 107,880 | ||||||
Ibiden Co. Ltd. | 8,400 | 134,417 | ||||||
Idemitsu Kosan Co. Ltd. | 1,500 | 130,708 | ||||||
IHI Corp. | 87,000 | 225,600 | ||||||
Inpex Corp. | 147 | 786,209 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 23,105 | 226,114 | ||||||
Isuzu Motors Ltd. | 80,000 | 477,394 | ||||||
ITOCHU Corp. | 100,200 | 1,059,023 | ||||||
Itochu Techno-Solutions Corp. | 1,700 | 70,003 | ||||||
The Iyo Bank Ltd. | 17,000 | 134,758 | ||||||
J. Front Retailing Co. Ltd. | 31,600 | 175,138 | ||||||
Japan Airlines Co. Ltd. (a) | 3,940 | 169,355 | ||||||
Japan Petroleum Exploration Co. | 2,000 | 70,635 | ||||||
Japan Prime Realty Investment Corp. | 52 | 150,291 | ||||||
Japan Real Estate Investment Corp. | 40 | 394,085 | ||||||
Japan Retail Fund Investment Corp. | 136 | 250,004 | ||||||
The Japan Steel Works Ltd. | 21,000 | 136,813 | ||||||
Japan Tobacco, Inc. | 59,900 | 1,692,137 | ||||||
JFE Holdings, Inc. | 33,200 | 625,709 | ||||||
JGC Corp. | 13,000 | 405,099 | ||||||
The Joyo Bank Ltd. | 44,000 | 209,056 | ||||||
JS Group Corp. | 17,900 | 399,269 | ||||||
JSR Corp. | 11,600 | 221,416 | ||||||
JTEKT Corp. | 15,100 | 143,955 | ||||||
Jupiter Telecommunications Co. Ltd. | 143 | 178,100 | ||||||
JX Holdings, Inc. | 150,560 | 850,027 | ||||||
See Notes to Financial Statements.
| 92 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Japan (continued) | ||||||||
Kajima Corp. | 57,800 | $ | 191,242 | |||||
Kamigumi Co. Ltd. | 15,000 | 119,682 | ||||||
Kaneka Corp. | 20,000 | 101,193 | ||||||
The Kansai Electric Power Co., Inc. | 49,500 | 519,856 | ||||||
Kansai Paint Co. Ltd. | 15,000 | 161,653 | ||||||
Kao Corp. | 35,000 | 912,014 | ||||||
Kawasaki Heavy Industries Ltd. | 92,000 | 250,197 | ||||||
KDDI Corp. | 17,900 | 1,265,481 | ||||||
Keikyu Corp. | 32,000 | 284,084 | ||||||
Keio Corp. | 38,000 | 283,294 | ||||||
Keisei Electric Railway Co. Ltd. | 18,000 | 151,898 | ||||||
Keyence Corp. | 2,992 | 829,755 | ||||||
Kikkoman Corp. | 12,000 | 171,350 | ||||||
Kinden Corp. | 10,000 | 65,168 | ||||||
Kintetsu Corp. | 108,000 | 442,553 | ||||||
Kirin Holdings Co. Ltd. | 58,000 | 682,428 | ||||||
Kobe Steel Ltd. (a) | 166,000 | 212,103 | ||||||
Koito Manufacturing Co. Ltd. | 6,000 | 87,505 | ||||||
Komatsu Ltd. | 62,200 | 1,596,076 | ||||||
Konami Corp. | 6,700 | 150,879 | ||||||
Konica Minolta Holdings, Inc. | 31,000 | 223,086 | ||||||
Kubota Corp. | 74,000 | 850,807 | ||||||
Kuraray Co. Ltd. | 23,100 | 302,822 | ||||||
Kurita Water Industries Ltd. | 7,500 | 164,708 | ||||||
Kyocera Corp. | 10,300 | 933,852 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 17,000 | 167,709 | ||||||
Kyushu Electric Power Co., Inc. | 28,000 | 319,234 | ||||||
Lawson, Inc. | 4,100 | 278,124 | ||||||
M3, Inc. | 39 | 62,247 | ||||||
Mabuchi Motor Co. Ltd. | 1,800 | 76,759 | ||||||
Makita Corp. | 7,600 | 353,053 | ||||||
Marubeni Corp. | 111,000 | 796,451 | ||||||
Marui Group Co. Ltd. | 15,700 | 125,422 | ||||||
Maruichi Steel Tube Ltd. | 3,400 | 78,360 | ||||||
Mazda Motor Corp. (a) | 175,400 | 359,976 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 4,500 | 118,746 | ||||||
Medipal Holdings Corp. | 9,900 | 109,765 | ||||||
Meiji Holdings Co. Ltd. | 3,993 | 173,167 | ||||||
Miraca Holdings, Inc. | 3,700 | 149,187 | ||||||
Mitsubishi Chemical Holdings Corp. | 90,500 | 450,833 | ||||||
Mitsubishi Corp. | 93,600 | 1,802,076 | ||||||
Mitsubishi Electric Corp. | 129,000 | 1,098,352 | ||||||
Mitsubishi Estate Co. Ltd. | 83,000 | 1,987,078 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 27,000 | 165,614 | ||||||
Mitsubishi Heavy Industries Ltd. | 203,200 | 982,925 | ||||||
Mitsubishi Logistics Corp. | 9,000 | 129,143 | ||||||
Mitsubishi Materials Corp. | 73,000 | 249,563 | ||||||
Mitsubishi Motors Corp. (a) | 262,000 | 270,880 | ||||||
Mitsubishi Tanabe Pharma Corp. | 14,800 | 193,017 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 848,474 | 4,591,189 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 3,840 | 165,182 | ||||||
Mitsui & Co. Ltd. | 115,700 | 1,734,212 | ||||||
Mitsui Chemicals, Inc. | 57,000 | 148,545 | ||||||
Mitsui Fudosan Co. Ltd. | 55,000 | 1,345,469 | ||||||
Mitsui OSK Lines Ltd. | 76,000 | 226,400 | ||||||
Mizuho Financial Group, Inc. | 1,521,364 | 2,789,398 | ||||||
MS&AD Insurance Group Holdings | 33,670 | 671,951 | ||||||
Murata Manufacturing Co. Ltd. | 13,400 | 790,484 | ||||||
Nabtesco Corp. | 6,600 | 147,419 | ||||||
Namco Bandai Holdings, Inc. | 11,800 | 152,954 | ||||||
Common Stocks | Shares | Value | ||||||
Japan (continued) | ||||||||
NEC Corp. (a) | 157,000 | $ | 331,166 | |||||
Nexon Co. Ltd. (a) | 7,300 | 73,935 | ||||||
NGK Insulators Ltd. | 19,000 | 225,391 | ||||||
NGK Spark Plug Co. Ltd. | 13,000 | 173,177 | ||||||
NHK Spring Co. Ltd. | 10,700 | 88,168 | ||||||
Nidec Corp. | 7,300 | 426,311 | ||||||
Nikon Corp. | 22,700 | 670,204 | ||||||
Nintendo Co. Ltd. | 7,200 | 768,796 | ||||||
Nippon Building Fund, Inc. | 41 | 424,136 | ||||||
Nippon Electric Glass Co. Ltd. | 23,500 | 133,809 | ||||||
Nippon Express Co. Ltd. | 59,000 | 243,802 | ||||||
Nippon Meat Packers, Inc. | 11,000 | 152,482 | ||||||
Nippon Paper Group, Inc. | 7,094 | 98,566 | ||||||
Nippon Steel Corp. | 506,265 | 1,246,511 | ||||||
Nippon Telegraph & Telephone Corp. | 29,076 | 1,224,186 | ||||||
Nippon Yusen KK | 104,000 | 244,798 | ||||||
The Nishi-Nippon City Bank Ltd. | 48,000 | 119,104 | ||||||
Nissan Motor Co. Ltd. | 165,500 | 1,570,409 | ||||||
Nisshin Seifun Group, Inc. | 12,500 | 156,427 | ||||||
Nissin Foods Holdings Co. Ltd. | 3,900 | 147,959 | ||||||
Nitori Holdings Co. Ltd. | 2,300 | 168,513 | ||||||
Nitto Denko Corp. | 11,010 | 542,228 | ||||||
NKSJ Holdings, Inc. | 24,575 | 527,110 | ||||||
NOK Corp. | 7,100 | 111,180 | ||||||
Nomura Holdings, Inc. | 241,700 | 1,430,692 | ||||||
Nomura Real Estate Holdings, Inc. | 6,500 | 124,296 | ||||||
Nomura Real Estate Office Fund, Inc. | 19 | 109,450 | ||||||
Nomura Research Institute Ltd. | 6,800 | 141,649 | ||||||
NSK Ltd. | 29,000 | 206,354 | ||||||
NTT Data Corp. | 86 | 269,199 | ||||||
NTT DoCoMo, Inc. | 1,017 | 1,466,026 | ||||||
NTT Urban Development Corp. | 84 | 81,474 | ||||||
Obayashi Corp. | 43,000 | 242,439 | ||||||
Odakyu Electric Railway Co. Ltd. | 42,000 | 436,977 | ||||||
OJI Paper Co. Ltd. | 52,000 | 179,366 | ||||||
Olympus Corp. (a) | 14,800 | 287,131 | ||||||
Omron Corp. | 13,600 | 326,445 | ||||||
Ono Pharmaceutical Co. Ltd. | 5,500 | 280,963 | ||||||
Oracle Corp. Japan | 2,600 | 108,310 | ||||||
Oriental Land Co. Ltd. | 3,400 | 411,755 | ||||||
ORIX Corp. | 6,910 | 780,543 | ||||||
Osaka Gas Co. Ltd. | 123,000 | 446,776 | ||||||
Otsuka Corp. | 1,100 | 83,227 | ||||||
Otsuka Holdings Co. Ltd. | 24,000 | 676,111 | ||||||
Panasonic Corp. | 145,700 | 890,434 | ||||||
Park24 Co. Ltd. | 7,000 | 110,550 | ||||||
Rakuten, Inc. | 48,400 | 377,445 | ||||||
Resona Holdings, Inc. | 126,756 | 579,575 | ||||||
Ricoh Co. Ltd. | 43,000 | 456,421 | ||||||
Rinnai Corp. | 2,300 | 156,271 | ||||||
Rohm Co. Ltd. | 6,400 | 209,215 | ||||||
Sankyo Co. Ltd. | 3,200 | 126,976 | ||||||
Sanrio Co. Ltd. | 3,200 | 102,092 | ||||||
Santen Pharmaceutical Co. Ltd. | 4,800 | 184,382 | ||||||
SBI Holdings, Inc. | 15,240 | 136,235 | ||||||
Secom Co. Ltd. | 14,100 | 710,389 | ||||||
Sega Sammy Holdings, Inc. | 13,432 | 226,723 | ||||||
Sekisui Chemical Co. Ltd. | 29,000 | 252,987 | ||||||
Sekisui House Ltd. | 36,000 | 394,188 | ||||||
Seven & I Holdings Co. Ltd. | 50,200 | 1,415,176 | ||||||
See Notes to Financial Statements.
| MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 | 93 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Japan (continued) | ||||||||
Seven Bank Ltd. | 33,800 | $ | 89,157 | |||||
Sharp Corp. | 64,000 | 223,836 | ||||||
Shikoku Electric Power Co., Inc. | 11,200 | 178,677 | ||||||
Shimadzu Corp. | 16,000 | 109,180 | ||||||
Shimamura Co. Ltd. | 1,600 | 155,481 | ||||||
Shimano, Inc. | 5,100 | 326,569 | ||||||
Shimizu Corp. | 41,000 | 154,124 | ||||||
Shin-Etsu Chemical Co. Ltd. | 27,300 | 1,666,120 | ||||||
Shinsei Bank Ltd. | 102,000 | 204,157 | ||||||
Shionogi & Co. Ltd. | 19,700 | 328,277 | ||||||
Shiseido Co. Ltd. | 23,800 | 335,948 | ||||||
The Shizuoka Bank Ltd. | 36,000 | 351,652 | ||||||
Showa Denko KK | 91,000 | 139,087 | ||||||
Showa Shell Sekiyu KK | 13,200 | 74,768 | ||||||
SMC Corp. | 3,500 | 635,791 | ||||||
Softbank Corp. | 59,000 | 2,161,831 | ||||||
Sojitz Corp. | 87,100 | 128,781 | ||||||
Sony Corp. | 66,900 | 750,314 | ||||||
Sony Financial Holdings, Inc. | 11,400 | 204,952 | ||||||
Square Enix Holdings Co. Ltd. | 4,600 | 58,516 | ||||||
Stanley Electric Co. Ltd. | 9,600 | 136,446 | ||||||
Sumco Corp. (a) | 7,000 | 68,855 | ||||||
Sumitomo Chemical Co. Ltd. | 101,000 | 318,295 | ||||||
Sumitomo Corp. | 74,900 | 960,952 | ||||||
Sumitomo Electric Industries Ltd. | 50,600 | 584,876 | ||||||
Sumitomo Heavy Industries Ltd. | 38,000 | 182,116 | ||||||
Sumitomo Metal Mining Co. Ltd. | 36,000 | 508,171 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 89,450 | 3,250,773 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 206,820 | 728,690 | ||||||
Sumitomo Realty & Development Co. Ltd. | 23,000 | 766,219 | ||||||
Sumitomo Rubber Industries Ltd. | 11,500 | 139,061 | ||||||
Suruga Bank Ltd. | 12,000 | 147,589 | ||||||
Suzuken Co. Ltd. | 4,900 | 138,048 | ||||||
Suzuki Motor Corp. | 24,500 | 641,123 | ||||||
Sysmex Corp. | 4,700 | 216,429 | ||||||
T&D Holdings, Inc. | 38,400 | 467,530 | ||||||
Taiheiyo Cement Corp. | 76,000 | 208,947 | ||||||
Taisei Corp. | 68,000 | 226,119 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 2,400 | 164,839 | ||||||
Taiyo Nippon Sanso Corp. | 15,000 | 86,298 | ||||||
Takashimaya Co. Ltd. | 19,000 | 135,205 | ||||||
Takeda Pharmaceutical Co. Ltd. | 52,600 | 2,350,957 | ||||||
TDK Corp. | 8,400 | 305,901 | ||||||
Teijin Ltd. | 63,000 | 156,892 | ||||||
Terumo Corp. | 10,100 | 401,070 | ||||||
THK Co. Ltd. | 8,100 | 145,684 | ||||||
Tobu Railway Co. Ltd. | 69,000 | 365,917 | ||||||
Toho Co. Ltd. | 7,700 | 135,524 | ||||||
Toho Gas Co. Ltd. | 27,000 | 144,787 | ||||||
Tohoku Electric Power Co., Inc. (a) | 30,700 | 286,263 | ||||||
Tokio Marine Holdings, Inc. | 46,100 | 1,284,311 | ||||||
The Tokyo Electric Power Co., | 95,000 | 228,955 | ||||||
Tokyo Electron Ltd. | 11,300 | 521,170 | ||||||
Tokyo Gas Co. Ltd. | 162,000 | 740,187 | ||||||
Tokyu Corp. | 77,000 | 433,797 | ||||||
Tokyu Land Corp. | 28,000 | 205,159 | ||||||
TonenGeneral Sekiyu KK | 19,000 | 164,307 | ||||||
Toppan Printing Co. Ltd. | 36,000 | 223,168 | ||||||
Toray Industries, Inc. | 96,700 | 594,030 | ||||||
Toshiba Corp. | 269,000 | 1,064,761 | ||||||
Common Stocks | Shares | Value | ||||||
Japan (concluded) | ||||||||
Toto Ltd. | 20,000 | $ | 150,361 | |||||
Toyo Seikan Kaisha Ltd. | 10,300 | 138,798 | ||||||
Toyo Suisan Kaisha Ltd. | 6,000 | 159,863 | ||||||
Toyoda Gosei Co. Ltd. | 4,100 | 83,340 | ||||||
Toyota Boshoku Corp. | 3,600 | 41,740 | ||||||
Toyota Industries Corp. | 10,600 | 338,415 | ||||||
Toyota Motor Corp. | 183,700 | 8,578,078 | ||||||
Toyota Tsusho Corp. | 14,200 | 350,495 | ||||||
Trend Micro, Inc. | 6,900 | 208,484 | ||||||
Tsumura & Co. | 4,100 | 123,945 | ||||||
Ube Industries Ltd. | 68,000 | 163,352 | ||||||
Uni-charm Corp. | 7,700 | 400,127 | ||||||
Ushio, Inc. | 6,300 | 69,084 | ||||||
USS Co. Ltd. | 1,460 | 152,029 | ||||||
West Japan Railway Co. | 11,300 | 445,182 | ||||||
Yahoo Japan Corp. | 962 | 311,491 | ||||||
Yakult Honsha Co. Ltd. | 6,300 | 275,953 | ||||||
Yamada Denki Co. Ltd. | 5,960 | 230,360 | ||||||
Yamaguchi Financial Group, Inc. | 14,000 | 123,639 | ||||||
Yamaha Corp. | 10,800 | 114,543 | ||||||
Yamaha Motor Co. Ltd. | 18,200 | 201,615 | ||||||
Yamato Holdings Co. Ltd. | 25,400 | 386,004 | ||||||
Yamato Kogyo Co. Ltd. | 2,900 | 84,933 | ||||||
Yamazaki Baking Co. Ltd. | 8,000 | 89,142 | ||||||
Yaskawa Electric Corp. | 15,000 | 144,750 | ||||||
Yokogawa Electric Corp. | 13,900 | 152,417 | ||||||
|
| |||||||
| 146,785,904 | ||||||||
|
| |||||||
Netherlands — 2.6% | ||||||||
Aegon NV | 116,809 | 754,565 | ||||||
Akzo Nobel NV | 15,857 | 1,049,682 | ||||||
ASML Holding NV | 20,962 | 1,344,369 | ||||||
Corio NV | 4,309 | 197,594 | ||||||
DE Master Blenders 1753 NV (a) | 38,966 | 447,669 | ||||||
Delta Lloyd NV | 9,644 | 158,872 | ||||||
Fugro NV | 4,564 | 270,818 | ||||||
Gemalto NV | 5,200 | 469,377 | ||||||
Heineken Holding NV | 6,580 | 362,312 | ||||||
Heineken NV | 15,336 | 1,028,179 | ||||||
ING Groep NV (a) | 255,006 | 2,422,042 | ||||||
Koninklijke Ahold NV | 67,086 | 899,556 | ||||||
Koninklijke Boskalis Westminster NV | 4,972 | 225,067 | ||||||
Koninklijke DSM NV | 10,262 | 625,424 | ||||||
Koninklijke KPN NV | 66,783 | 330,264 | ||||||
Koninklijke Philips Electronics NV | 69,203 | 1,832,509 | ||||||
Koninklijke Vopak NV | 4,783 | 338,099 | ||||||
QIAGEN NV (a) | 15,859 | 288,018 | ||||||
Randstad Holding NV | 8,087 | 300,166 | ||||||
Reed Elsevier NV | 45,782 | 678,841 | ||||||
STMicroelectronics NV | 42,937 | 311,703 | ||||||
TNT Express NV | 22,393 | 249,171 | ||||||
Unilever NV CVA | 108,462 | 4,150,147 | ||||||
Wolters Kluwer NV | 20,149 | 413,894 | ||||||
Ziggo NV | 8,074 | 263,874 | ||||||
|
| |||||||
| 19,412,212 | ||||||||
|
| |||||||
New Zealand — 0.1% | ||||||||
Auckland International Airport Ltd. | 62,385 | 138,086 | ||||||
Contact Energy Ltd. (a) | 25,128 | 108,502 | ||||||
Fletcher Building Ltd. | 45,486 | 319,280 | ||||||
See Notes to Financial Statements.
| 94 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
New Zealand (concluded) | ||||||||
SKYCITY Entertainment | 39,154 | $ | 122,958 | |||||
Telecom Corp. of New Zealand Ltd. | 125,692 | 237,911 | ||||||
|
| |||||||
| 926,737 | ||||||||
|
| |||||||
Norway — 0.9% | ||||||||
Aker Solutions ASA | 10,661 | 220,775 | ||||||
DnB NOR ASA | 65,362 | 835,435 | ||||||
Gjensidige Forsikring ASA | 13,051 | 187,550 | ||||||
Norsk Hydro ASA | 61,657 | 312,942 | ||||||
Orkla ASA | 51,153 | 448,281 | ||||||
Seadrill Ltd. | 23,427 | 863,095 | ||||||
Statoil ASA | 74,298 | 1,872,651 | ||||||
Subsea 7 SA | 18,626 | 447,626 | ||||||
Telenor ASA | 46,723 | 951,365 | ||||||
Yara International ASA | 12,442 | 620,341 | ||||||
|
| |||||||
| 6,760,061 | ||||||||
|
| |||||||
Portugal — 0.2% | ||||||||
Banco Espirito Santo SA, Registered Shares (a) | 140,243 | 166,799 | ||||||
EDP—Energias de Portugal SA | 124,913 | 379,958 | ||||||
Galp Energia SGPS SA | 18,070 | 280,494 | ||||||
Jeronimo Martins SGPS SA | 14,755 | 285,308 | ||||||
Portugal Telecom SGPS SA, Registered Shares | 41,589 | 207,105 | ||||||
|
| |||||||
| 1,319,664 | ||||||||
|
| |||||||
Singapore — 1.8% | ||||||||
Ascendas Real Estate Investment Trust | 129,962 | 254,325 | ||||||
CapitaCommercial Trust | 137,000 | 190,118 | ||||||
CapitaLand Ltd. | 169,749 | 522,506 | ||||||
CapitaMall Trust | 157,700 | 277,122 | ||||||
CapitaMalls Asia Ltd. | 91,000 | 146,560 | ||||||
City Developments Ltd. | 33,535 | 358,656 | ||||||
ComfortDelGro Corp. Ltd. | 124,816 | 183,620 | ||||||
DBS Group Holdings Ltd. | 121,407 | 1,490,454 | ||||||
Fraser and Neave Ltd. | 61,096 | 488,192 | ||||||
Genting Singapore Plc | 405,227 | 465,548 | ||||||
Global Logistic Properties Ltd. | 136,000 | 314,529 | ||||||
Golden Agri-Resources Ltd. | 456,251 | 245,531 | ||||||
Hutchison Port Holdings Trust | 351,000 | 280,929 | ||||||
Jardine Cycle & Carriage Ltd. | 6,721 | 267,696 | ||||||
Keppel Corp. Ltd. | 96,577 | 881,899 | ||||||
Keppel Land Ltd. | 51,000 | 170,812 | ||||||
Noble Group Ltd. | 265,840 | 256,834 | ||||||
Olam International Ltd. | 108,900 | 139,885 | ||||||
Oversea-Chinese Banking Corp. | 171,914 | 1,385,280 | ||||||
SembCorp Industries Ltd. | 66,590 | 290,354 | ||||||
Sembcorp Marine Ltd. | 55,197 | 210,863 | ||||||
Singapore Airlines Ltd. | 36,009 | 319,383 | ||||||
Singapore Exchange Ltd. | 57,000 | 331,232 | ||||||
Singapore Press Holdings Ltd. | 84,316 | 279,212 | ||||||
Singapore Technologies Engineering Ltd. | 102,213 | 322,605 | ||||||
Singapore Telecommunications Ltd. | 531,132 | 1,445,225 | ||||||
StarHub Ltd. | 39,157 | 122,648 | ||||||
United Overseas Bank Ltd. | 84,572 | 1,387,322 | ||||||
UOL Group Ltd. | 32,457 | 160,074 | ||||||
Wilmar International Ltd. | 125,670 | 346,948 | ||||||
Yangzijiang Shipbuilding | 135,183 | 108,306 | ||||||
|
| |||||||
| 13,644,668 | ||||||||
|
| |||||||
Common Stocks | Shares | Value | ||||||
Spain — 2.9% | ||||||||
Abertis Infraestructuras SA | 24,845 | $ | 410,349 | |||||
Acciona SA | 1,687 | 125,983 | ||||||
ACS Actividades de Construccion y Servicios SA | 9,222 | 233,718 | ||||||
Amadeus IT Holding SA, Class A | 20,550 | 519,327 | ||||||
Banco Bilbao Vizcaya | 362,784 | 3,370,566 | ||||||
Banco de Sabadell SA (a) | 189,193 | 494,792 | ||||||
Banco Popular Espanol SA | 363,656 | 284,244 | ||||||
Banco Santander SA | 687,221 | 5,585,050 | ||||||
Bankia SA (a) | 64,874 | 33,482 | ||||||
Caixa Bank | 54,079 | 189,442 | ||||||
Distribuidora Internacional de Alimentacion SA | 39,673 | 253,477 | ||||||
Enagas SA | 12,424 | 266,172 | ||||||
Ferrovial SA | 26,864 | 399,907 | ||||||
Gas Natural SDG SA | 23,527 | 424,129 | ||||||
Grifols SA (a) | 9,819 | 343,352 | ||||||
Iberdrola SA | 265,625 | 1,483,437 | ||||||
Inditex SA | 14,524 | 2,040,713 | ||||||
International Consolidated Airlines Group SA (a) | 61,141 | 181,505 | ||||||
Mapfre SA | 51,574 | 158,906 | ||||||
Red Electrica Corp. SA | 7,069 | 349,180 | ||||||
Repsol YPF SA | 54,351 | 1,109,452 | ||||||
Telefonica SA | 272,711 | 3,692,246 | ||||||
Zardoya Otis SA | 10,398 | 148,228 | ||||||
|
| |||||||
| 22,097,657 | ||||||||
|
| |||||||
Sweden — 3.0% | ||||||||
Alfa Laval AB | 22,201 | 464,218 | ||||||
Assa Abloy AB, Class B | 22,252 | 837,625 | ||||||
Atlas Copco AB, Class A | 44,700 | 1,239,543 | ||||||
Atlas Copco AB, Class B | 25,967 | 637,399 | ||||||
Boliden AB | 17,900 | 340,118 | ||||||
Electrolux AB, Class B | 15,948 | 421,257 | ||||||
Elekta AB, B Shares | 24,237 | 377,914 | ||||||
Getinge AB, Class B | 13,246 | 450,269 | ||||||
Hennes & Mauritz AB, Class B | 63,209 | 2,190,636 | ||||||
Hexagon AB, Class B | 15,935 | 402,968 | ||||||
Husqvarna AB, Class B | 27,598 | 167,493 | ||||||
Industrivarden AB, Class C | 7,998 | 133,252 | ||||||
Investor AB, Class B | 30,313 | 796,327 | ||||||
Kinnevik Investment AB, Class B | 13,966 | 292,133 | ||||||
Lundin Petroleum AB (a) | 15,138 | 350,327 | ||||||
Millicom International Cellular SA | 4,298 | 373,070 | ||||||
Nordea Bank AB | 175,249 | 1,685,706 | ||||||
Ratos AB, Class B | 12,958 | 124,796 | ||||||
Sandvik AB | 66,796 | 1,073,528 | ||||||
Scania AB, Class B | 21,133 | 439,384 | ||||||
Securitas AB, Class B | 20,839 | 182,689 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 94,711 | 810,316 | ||||||
Skanska AB, Class B | 25,589 | 419,938 | ||||||
SKF AB, Class B | 26,090 | 660,797 | ||||||
Svenska Cellulosa AB, B Shares | 38,818 | 844,004 | ||||||
Svenska Handelsbanken AB, Class A | 33,004 | 1,186,556 | ||||||
Swedbank AB, Class A | 53,331 | 1,047,707 | ||||||
Swedish Match AB | 13,535 | 454,369 | ||||||
Tele2 AB, Class B | 21,497 | 388,555 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 202,608 | 2,046,594 | ||||||
TeliaSonera AB | 144,106 | 978,334 | ||||||
Volvo AB, Class B | 92,868 | 1,280,568 | ||||||
|
| |||||||
| 23,098,390 | ||||||||
|
| |||||||
See Notes to Financial Statements.
| MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 | 95 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Switzerland — 8.4% | ||||||||
ABB Ltd., Registered Shares (a) | 146,409 | $ | 3,036,160 | |||||
Actelion Ltd., Registered Shares (a) | 7,187 | 343,904 | ||||||
Adecco SA, Registered Shares (a) | 8,765 | 464,179 | ||||||
Aryzta AG (a) | 5,754 | 296,074 | ||||||
Baloise Holding AG, Registered Shares | 3,186 | 275,184 | ||||||
Banque Cantonale Vaudoise | 189 | 100,656 | ||||||
Barry Callebaut AG (a) | 122 | 118,028 | ||||||
Cie Financiere Richemont SA, Class A Shares | 34,754 | 2,728,033 | ||||||
Credit Suisse Group AG (a) | 83,491 | 2,037,712 | ||||||
EMS-Chemie Holding AG | 575 | 135,559 | ||||||
Geberit AG, Registered Shares (a) | 2,480 | 549,754 | ||||||
Givaudan SA, Registered Shares (a) | 557 | 588,631 | ||||||
Holcim Ltd., Registered Shares (a) | 15,240 | 1,122,503 | ||||||
Julius Baer Group Ltd. (a) | 14,587 | 519,338 | ||||||
Kuehne & Nagel International AG, Registered Shares | 3,569 | 430,275 | ||||||
Lindt & Spruengli AG (a) | 56 | 182,622 | ||||||
Lindt & Spruengli AG, Registered Shares (a) | 6 | 227,098 | ||||||
Lonza Group AG, Registered | 3,610 | 195,612 | ||||||
Nestle SA, Registered Shares | 214,730 | 14,009,725 | ||||||
Novartis AG, Registered Shares | 153,166 | 9,675,997 | ||||||
Pargesa Holding SA | 1,833 | 126,329 | ||||||
Partners Group Holding AG | 1,166 | 269,555 | ||||||
Roche Holding AG | 46,781 | 9,458,235 | ||||||
Schindler Holding AG, Participation Certificates | 3,207 | 463,911 | ||||||
Schindler Holding AG, Registered Shares | 1,408 | 199,683 | ||||||
SGS SA, Registered Shares | 367 | 815,130 | ||||||
Sika AG | 143 | 330,751 | ||||||
Sonova Holding AG, Registered Shares (a) | 3,206 | 355,424 | ||||||
Sulzer AG | 1,637 | 259,086 | ||||||
The Swatch Group AG, Bearer Shares | 2,053 | 1,041,085 | ||||||
The Swatch Group AG, Registered Shares | 2,804 | 242,560 | ||||||
Swiss Life Holding, Registered Shares (a) | 2,072 | 276,563 | ||||||
Swiss Prime Site AG (a) | 3,698 | 308,689 | ||||||
Swiss Re AG (a) | 23,445 | 1,699,734 | ||||||
Swisscom AG, Registered Shares | 1,551 | 672,069 | ||||||
Syngenta AG, Registered Shares | 6,200 | 2,504,715 | ||||||
Transocean Ltd. | 23,922 | 1,072,511 | ||||||
UBS AG, Registered Shares (a) | 242,452 | 3,794,100 | ||||||
Zurich Insurance Group AG (a) | 9,813 | 2,629,471 | ||||||
|
| |||||||
| 63,556,645 | ||||||||
|
| |||||||
United Kingdom — 21.7% | ||||||||
3i Group Plc | 62,540 | 223,201 | ||||||
Aberdeen Asset Management Plc | 57,655 | 346,934 | ||||||
Admiral Group Plc | 13,656 | 260,127 | ||||||
Aggreko Plc | 17,856 | 509,584 | ||||||
AMEC Plc | 20,890 | 345,332 | ||||||
Anglo American Plc | 92,571 | 2,918,127 | ||||||
Antofagasta Plc | 26,454 | 579,738 | ||||||
ARM Holdings Plc | 91,789 | 1,159,179 | ||||||
Associated British Foods Plc | 23,897 | 610,528 | ||||||
AstraZeneca Plc | 83,028 | 3,934,672 | ||||||
Aviva Plc | 194,259 | 1,202,064 | ||||||
Babcock International Group Plc | 24,207 | 382,108 | ||||||
BAE Systems Plc | 216,291 | 1,202,185 | ||||||
Balfour Beatty Plc | 45,076 | 202,884 | ||||||
Barclays Plc | 774,166 | 3,362,961 | ||||||
BG Group Plc | 226,211 | 3,773,153 | ||||||
BHP Billiton Plc | 140,628 | 4,960,439 | ||||||
Common Stocks | Shares | Value | ||||||
United Kingdom (continued) | ||||||||
BP Plc | 1,267,884 | $ | 8,815,480 | |||||
British American Tobacco Plc | 129,400 | 6,578,043 | ||||||
British Land Co. Plc | 55,373 | 511,570 | ||||||
British Sky Broadcasting | 71,959 | 907,575 | ||||||
BT Group Plc | 524,175 | 1,999,833 | ||||||
Bunzl Plc | 21,616 | 357,782 | ||||||
Burberry Group Plc | 29,213 | 587,224 | ||||||
The Capita Group Plc | 43,969 | 543,320 | ||||||
Capital Shopping Centres | 36,294 | 208,801 | ||||||
Carnival Plc | 12,294 | 477,404 | ||||||
Centrica Plc | 345,962 | 1,888,155 | ||||||
Cobham Plc | 72,474 | 263,336 | ||||||
Compass Group Plc | 123,909 | 1,470,893 | ||||||
Croda International Plc | 8,808 | 344,261 | ||||||
Diageo Plc | 166,882 | 4,860,705 | ||||||
Eurasian Natural Resources | 15,477 | 73,198 | ||||||
Evraz Plc | 22,376 | 96,031 | ||||||
Fresnillo Plc | 12,128 | 371,984 | ||||||
G4S Plc | 94,373 | 395,423 | ||||||
GKN Plc | 107,702 | 406,336 | ||||||
GlaxoSmithKline Plc | 331,182 | 7,210,596 | ||||||
Glencore International Plc | 253,463 | 1,464,212 | ||||||
Hammerson Plc | 48,213 | 386,607 | ||||||
Hargreaves Lansdown Plc | 16,256 | 181,814 | ||||||
HSBC Holdings Plc | 1,219,277 | 12,920,391 | ||||||
ICAP Plc | 36,602 | 185,083 | ||||||
IMI Plc | 21,278 | 385,116 | ||||||
Imperial Tobacco Group Plc | 66,025 | 2,559,891 | ||||||
Inmarsat Plc | 30,104 | 290,173 | ||||||
InterContinental Hotels Group Plc | 17,841 | 500,268 | ||||||
Intertek Group Plc | 10,804 | 548,807 | ||||||
Invensys Plc | 52,741 | 282,246 | ||||||
Investec Plc | 37,184 | 258,861 | ||||||
ITV Plc | 243,198 | 421,891 | ||||||
J Sainsbury Plc | 80,871 | 457,539 | ||||||
Johnson Matthey Plc | 13,776 | 541,164 | ||||||
Kazakhmys Plc | 14,031 | 181,346 | ||||||
Kingfisher Plc | 156,502 | 731,266 | ||||||
Land Securities Group Plc | 51,934 | 692,852 | ||||||
Legal & General Group Plc | 393,269 | 943,007 | ||||||
Lloyds Banking Group Plc (a) | 2,809,886 | 2,239,180 | ||||||
London Stock Exchange Group Plc | 11,712 | 208,920 | ||||||
Marks & Spencer Group Plc | 106,980 | 672,008 | ||||||
Meggitt Plc | 51,057 | 319,706 | ||||||
Melrose Industries Plc | 79,012 | 290,229 | ||||||
National Grid Plc | 242,212 | 2,778,029 | ||||||
Next Plc | 11,023 | 669,123 | ||||||
Old Mutual Plc | 325,287 | 955,379 | ||||||
Pearson Plc | 54,336 | 1,059,093 | ||||||
Petrofac Ltd. | 17,115 | 457,414 | ||||||
Prudential Plc | 170,209 | 2,428,430 | ||||||
Randgold Resources Ltd. | 5,806 | 574,371 | ||||||
Reckitt Benckiser Group Plc | 43,332 | 2,750,697 | ||||||
Reed Elsevier Plc | 81,338 | 858,737 | ||||||
Resolution Ltd. | 94,233 | 383,381 | ||||||
Rexam Plc | 58,249 | 416,783 | ||||||
Rio Tinto Plc | 89,254 | 5,205,795 | ||||||
Rolls-Royce Holdings Plc (a) | 124,643 | 1,787,802 | ||||||
Royal Bank of Scotland Group | 141,210 | 754,758 | ||||||
See Notes to Financial Statements.
| 96 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
United Kingdom (continued) | ||||||||
Royal Dutch Shell Plc, Class A | 247,420 | $ | 8,587,996 | |||||
Royal Dutch Shell Plc, Class B | 175,162 | 6,249,133 | ||||||
RSA Insurance Group Plc | 234,527 | 484,338 | ||||||
SABMiller Plc | 63,696 | 2,956,202 | ||||||
The Sage Group Plc | 80,883 | 388,926 | ||||||
Schroders Plc | 7,376 | 204,939 | ||||||
Scottish & Southern Energy Plc | 62,890 | 1,463,079 | ||||||
Segro Plc | 48,415 | 196,518 | ||||||
Serco Group Plc | 32,671 | 286,190 | ||||||
Severn Trent Plc | 15,833 | 407,413 | ||||||
Shire Plc | 37,445 | 1,151,850 | ||||||
Smith & Nephew Plc | 59,839 | 661,454 | ||||||
Smiths Group Plc | 25,887 | 507,064 | ||||||
Standard Chartered Plc | 159,299 | 4,122,617 | ||||||
Standard Life Plc | 157,759 | 862,382 | ||||||
Tate & Lyle Plc | 31,359 | 387,980 | ||||||
Tesco Plc | 535,376 | 2,949,158 | ||||||
Tui Travel Plc | 28,239 | 131,036 | ||||||
Tullow Oil Plc | 60,387 | 1,258,912 | ||||||
Unilever Plc | 85,454 | 3,321,675 | ||||||
United Utilities Group Plc | 44,694 | 492,023 | ||||||
Vedanta Resources Plc | 6,701 | 129,379 | ||||||
Vodafone Group Plc | 3,274,276 | 8,242,217 | ||||||
The Weir Group Plc | 14,092 | 435,768 | ||||||
Whitbread Plc | 11,733 | 471,484 | ||||||
WM Morrison Supermarkets Plc | 151,269 | 649,497 | ||||||
Common Stocks | Shares | Value | ||||||
United Kingdom (concluded) | ||||||||
Wolseley Plc | 17,897 | $ | 855,811 | |||||
WPP Plc (a) | 84,080 | 1,228,340 | ||||||
Xstrata Plc | 139,938 | 2,442,728 | ||||||
|
| |||||||
| 164,609,644 | ||||||||
|
| |||||||
Total Common Stocks — 96.8% | 733,671,709 | |||||||
|
| |||||||
Rights | ||||||||
Singapore — 0.0% | ||||||||
Olam International Ltd. (a) | 34,085 | — | ||||||
|
| |||||||
Spain — 0.0% | ||||||||
Repsol SA (a) | 54,351 | 33,144 | ||||||
|
| |||||||
Total Rights — 0.0% | 33,144 | |||||||
|
| |||||||
Total Long-Term Investments |
| 733,704,853 | ||||||
|
| |||||||
Total Investments |
| 733,704,853 | ||||||
Other Assets Less Liabilities — 3.2% |
| 24,438,776 | ||||||
|
| |||||||
Net Assets — 100.0% |
| $ | 758,143,629 | |||||
|
| |||||||
Notes to Schedule of Investments
| * | As of December 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
Tax cost | $ | 628,318,296 | ||
|
| |||
Gross unrealized appreciation | $ | 167,219,681 | ||
Gross unrealized depreciation | (61,833,124 | ) | ||
|
| |||
Net unrealized appreciation | $ | 105,386,557 | ||
|
|
| (a) | Non-income producing security. |
| • | Investments in issuers considered to be an affiliate of the Series during the year ended December 31, 2012, 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, 2011 | Net Activity | Shares Held at December 31, 2012 | Income | ||||||||||||
BlackRock Liquidity Funds, TempCash, Institutional Class | 1,969,251 | (1,969,251 | ) | — | $ | 4,682 | ||||||||||
| • | Financial futures contracts as of December 31, 2012 were as follows: |
Contracts Purchased | Issue | Exchange | Expiration | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
71 | DJ Euro Stoxx 50 Index | Eurex | March 2013 | $ | 2,450,687 | $ | (6,714 | ) | ||||||
8 | E-Mini MSCI EAFE Index | Chicago Mercantile | March 2013 | $ | 648,120 | 6,235 | ||||||||
29 | FTSE 100 Index | Euronext LIFFE | March 2013 | $ | 2,754,937 | (9,089 | ) | |||||||
28 | Nikkei 225 Index | Singapore Exchange | March 2013 | $ | 1,676,574 | 115,977 | ||||||||
9 | SPI 200 Index | Australian Securities Exchange | March 2013 | $ | 1,078,534 | 12,693 | ||||||||
|
| |||||||||||||
Total | $ | 119,102 | ||||||||||||
|
| |||||||||||||
See Notes to Financial Statements.
| MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 | 97 |
Schedule of Investments (continued) |
Master International Index Series |
| • | Foreign currency exchange contracts as of December 31, 2012 were as follows: |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||||||
USD | 96,374 | EUR | 73,000 | HSBC Holdings Plc | 1/02/13 | $ | 18 | |||||||||||||
USD | 491,052 | GBP | 302,000 | HSBC Holdings Plc | 1/02/13 | 468 | ||||||||||||||
SEK | 50,000 | USD | 7,689 | HSBC Holdings Plc | 1/03/13 | — | ||||||||||||||
USD | 290,021 | AUD | 279,000 | HSBC Holdings Plc | 1/03/13 | 293 | ||||||||||||||
USD | 22,578 | HKD | 175,000 | HSBC Holdings Plc | 1/03/13 | — | ||||||||||||||
USD | 5,091 | ILS | 19,000 | HSBC Holdings Plc | 1/03/13 | 4 | ||||||||||||||
USD | 36,347 | NOK | 202,000 | HSBC Holdings Plc | 1/03/13 | 2 | ||||||||||||||
USD | 4,093 | SGD | 5,000 | HSBC Holdings Plc | 1/03/13 | — | ||||||||||||||
|
| |||||||||||||||||||
Total | $ | 785 | ||||||||||||||||||
|
| |||||||||||||||||||
| • | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques 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 that the Series has the ability to access |
| • | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| • | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Series’ own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Series’ policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. 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 is not necessarily an indication of the risks associated with investing in the securities. For information about the Series’ policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
See Notes to Financial Statements.
| 98 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 |
Schedule of Investments (concluded) |
Master International Index Series |
The following tables summarize the Series’ investments and derivative financial instruments categorized in the disclosure hierarchy as of December 31, 2012:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Australia | — | $ | 65,412,513 | $ | 10 | $ | 65,412,523 | |||||||||
Austria | — | 2,149,921 | — | 2,149,921 | ||||||||||||
Belgium | $ | 437,601 | 8,083,389 | — | 8,520,990 | |||||||||||
Denmark | — | 8,454,576 | — | 8,454,576 | ||||||||||||
Finland | — | 5,808,326 | — | 5,808,326 | ||||||||||||
France | 2,955,126 | 66,586,397 | — | 69,541,523 | ||||||||||||
Germany | — | 64,073,319 | — | 64,073,319 | ||||||||||||
Greece | 311,641 | 111,452 | — | 423,093 | ||||||||||||
Hong Kong | — | 23,250,120 | — | 23,250,120 | ||||||||||||
Ireland | 6,109 | 3,295,521 | 1 | 3,301,631 | ||||||||||||
Israel | — | 3,966,199 | — | 3,966,199 | ||||||||||||
Italy | — | 16,557,906 | — | 16,557,906 | ||||||||||||
Japan | 628,286 | 146,157,618 | — | 146,785,904 | ||||||||||||
Netherlands | 513,045 | 18,899,167 | — | 19,412,212 | ||||||||||||
New Zealand | — | 926,737 | — | 926,737 | ||||||||||||
Norway | — | 6,760,061 | — | 6,760,061 | ||||||||||||
Portugal | 280,494 | 1,039,170 | — | 1,319,664 | ||||||||||||
Singapore | — | 13,644,668 | — | 13,644,668 | ||||||||||||
Spain | 181,710 | 21,915,947 | — | 22,097,657 | ||||||||||||
Sweden | 377,914 | 22,720,476 | — | 23,098,390 | ||||||||||||
Switzerland | 664,113 | 62,892,532 | — | 63,556,645 | ||||||||||||
United Kingdom | — | 164,609,644 | — | 164,609,644 | ||||||||||||
Rights | 33,144 | — | — | 33,144 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 6,389,183 | $ | 727,315,659 | $ | 11 | $ | 733,704,853 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial Instruments1 | ||||||||||||||||
Assets: | ||||||||||||||||
Equity contracts | $ | 134,905 | — | — | $ | 134,905 | ||||||||||
Foreign currency exchange contracts | — | $ | 785 | — | 785 | |||||||||||
Liabilities: | ||||||||||||||||
Equity contracts | (15,803 | ) | — | — | (15,803 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 119,102 | $ | 785 | — | $ | 119,887 | |||||||||
|
|
|
|
|
|
|
| |||||||||
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.
Certain of the Series’ assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of December 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows: |
| |||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Cash pledged as collateral for financial futures contracts | $ | 504,000 | — | — | $ | 504,000 | ||||||||||
Foreign currency at value | 7,681,374 | — | — | 7,681,374 | ||||||||||||
Liabilities: | ||||||||||||||||
Bank overdraft | — | $ | (258,219 | ) | — | (258,219 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 8,185,374 | $ | (258,219 | ) | — | $ | 7,927,155 | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no transfers between levels during the year ended December 31, 2012.
Certain of the Series’ investments are categorized as Level 3 and were valued utilizing transaction prices or third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.
See Notes to Financial Statements.
| MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 | 99 |
|
Master International Index Series |
December 31, 2012
Assets | ||||
Investments at value — (cost — $586,314,295) | $ | 733,704,853 | ||
Cash pledged as collateral for financial futures contracts | 504,000 | |||
Contributions receivable from investors | 13,072,800 | |||
Foreign currency at value (cost — $7,716,155) | 7,681,374 | |||
Dividends receivable | 3,674,849 | |||
Investments sold receivable | 13,662 | |||
Unrealized appreciation on foreign currency exchange contracts | 785 | |||
Prepaid expenses | 4,723 | |||
|
| |||
Total assets | 758,657,046 | |||
|
| |||
Liabilities | ||||
Bank overdraft | 258,219 | |||
Variation margin payable | 54,492 | |||
Investment advisory fees payable | 5,936 | |||
Other affiliates payable | 4,545 | |||
Directors’ fees payable | 1,418 | |||
Other accrued expenses payable | 188,807 | |||
|
| |||
Total liabilities | 513,417 | |||
|
| |||
Net Assets | $ | 758,143,629 | ||
|
| |||
Net Assets Consist of | ||||
Investors’ capital | $ | 610,445,186 | ||
Net unrealized appreciation/depreciation | 147,698,443 | |||
|
| |||
Net Assets | $ | 758,143,629 | ||
|
|
See Notes to Financial Statements.
| 100 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 |
|
Master International Index Series |
Year Ended December 31, 2012
| ||||
Investment Income | ||||
Dividends — unaffiliated | $ | 25,030,521 | ||
Foreign taxes withheld | (1,630,575 | ) | ||
Dividends — affiliated | 4,682 | |||
|
| |||
Total income | 23,404,628 | |||
|
| |||
Expenses | ||||
Investment advisory | 68,180 | |||
Accounting services | 121,777 | |||
Custodian | 104,462 | |||
Professional | 84,325 | |||
Directors | 21,397 | |||
Printing | 13,476 | |||
Miscellaneous | 28,518 | |||
|
| |||
Total expenses | 442,135 | |||
Less fees waived and/or reimbursed by Manager | (9,147 | ) | ||
|
| |||
Total expenses after fees waived and/or reimbursed | 432,988 | |||
|
| |||
Net investment income | 22,971,640 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) from: | ||||
Investments | (62,826,904 | ) | ||
Financial futures contracts | 1,868,337 | |||
Foreign currency transactions | (346,091 | ) | ||
|
| |||
| (61,304,658 | ) | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | 182,459,563 | |||
Financial futures contracts | 62,492 | |||
Foreign currency translations | 51,260 | |||
|
| |||
| 182,573,315 | ||||
|
| |||
Total realized and unrealized gain | 121,268,657 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 144,240,297 | ||
|
|
See Notes to Financial Statements.
| MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 | 101 |
|
Master International Index Series |
| Year Ended December 31, | ||||||||
Increase (Decrease) in Net Assets: | 2012 | 2011 | ||||||
Operations | ||||||||
Net investment income | $ | 22,971,640 | $ | 31,591,898 | ||||
Net realized loss | (61,304,658 | ) | (26,277,530 | ) | ||||
Net change in unrealized appreciation/depreciation | 182,573,315 | (123,722,751 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 144,240,297 | (118,408,383 | ) | |||||
|
|
|
| |||||
Capital Transactions | ||||||||
Proceeds from contributions | 279,030,661 | 277,608,631 | ||||||
Value of withdrawals | (520,908,247 | ) | (226,119,685 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets derived from capital transactions | (241,877,586 | ) | 51,488,946 | |||||
|
|
|
| |||||
Net Assets | ||||||||
Total decrease in net assets | (97,637,289 | ) | (66,919,437 | ) | ||||
Beginning of year | 855,780,918 | 922,700,355 | ||||||
|
|
|
| |||||
End of year | $ | 758,143,629 | $ | 855,780,918 | ||||
|
|
|
| |||||
| Master International Index Series |
| Year Ended December 31, | ||||||||||||||||||||
| 2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||
Total Investment Return | ||||||||||||||||||||
Total investment return | 19.01 | % | (12.34 | )% | 7.66 | % | 28.99 | % | (41.94 | )% | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||
Total expenses | 0.06 | % | 0.08 | % | 0.11 | % | 0.09 | % | 0.11 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed | 0.06 | % | 0.08 | % | 0.10 | % | 0.09 | % | 0.10 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income | 3.36 | % | 3.38 | % | 2.73 | % | 2.98 | % | 3.54 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 758,144 | $ | 855,781 | $ | 922,700 | $ | 749,280 | $ | 706,119 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Portfolio turnover | 21 | % | 6 | % | 8 | % | 30 | % | 30 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
See Notes to Financial Statements.
| 102 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 |
|
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 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 of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. 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 determines the fair values of its financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Series for all financial instruments.
Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid price. If no bid price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security. Financial futures contracts traded on exchanges are valued at their last sale price. Investments in open-end registered investment companies are valued at 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 that 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 by the Global Valuation Committee, or its delegate, 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 Global Valuation Committee, or its delegate, 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 deem relevant consistent with the principles of fair value measurement which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. A market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Series’ pricing vendors, a regular review of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.
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 affect the value of such instruments materially, those instruments may be Fair Value Assets and valued at their fair value, as determined in good faith
| MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 | 103 |
Notes to Financial Statements (continued) |
Master International Index Series |
by the Global Valuation Committee using a pricing service and/or policies approved by the Board. Each business day, the Series uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.
Foreign Currency: 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 that 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 in 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 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, a Series engaging in such transactions may have requirements to deliver/deposit securities to/ with an exchange or broker-dealer 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.
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, 2012. 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 Standards: In December 2011, the Financial Accounting Standards Board (the “FASB”) issued guidance that will expand 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 or similar agreements, which are eligible for offset in the Statement of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. In January 2013, the FASB issued guidance that clarifies which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting will be limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. 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.
| 104 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 |
Notes to Financial Statements (continued) |
Master International Index Series |
2. Derivative Financial Instruments:
The Series engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Series and/or to economically hedge, or protect, its exposure to certain risks such as equity risk or foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.
Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Series’ maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. Counterparty risk related to exchange-traded financial futures contracts is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.
The Series may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (“ISDA Master Agreement”) implemented between the Series and each of its respective counterparties. 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 Note 1 “Segregation and Collateralization” for information with respect to collateral practices. In addition, the Series manages counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Series’ net assets decline by a stated percentage or the Series fails to meet the terms of its ISDA Master Agreements, which would cause the Series to accelerate payment of any net liability owed to the counterparty.
Financial Futures Contracts: The Series purchases or sells financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are agreements between the Series and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, financial 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 variation margin 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 or foreign currency exchange 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 the counterparty to the contract does not perform its obligations under the agreement.
Derivative Financial Instruments Categorized by Risk Exposure:
Fair Values of Derivative Financial Instruments as of December 31, 2012
Asset Derivatives | ||||||
Statement of Assets and Liabilities Location | Value | |||||
Equity contracts | Net unrealized appreciation1 | $ | 134,905 | |||
Foreign currency exchange contracts | Unrealized appreciation on foreign currency exchange contracts | 785 | ||||
|
| |||||
Total | $ | 135,690 | ||||
|
| |||||
Liability Derivatives | ||||||
Statement of Assets and Liabilities Location | Value | |||||
Equity contracts | Net unrealized depreciation1 | $ | (15,803 | ) | ||
| 1 | Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
| MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 | 105 |
Notes to Financial Statements (continued) |
Master International Index Series |
The Effect of Derivative Financial Instruments in the Statement of Operations
Year Ended December 31, 2012
| Net Realized Gain (Loss) From | ||||
Equity contracts: | ||||
Financial futures contracts | $ | 1,868,337 | ||
Foreign currency exchange contracts: | ||||
Foreign currency transactions | (1,711,983 | ) | ||
|
| |||
Total | $ | 156,354 | ||
|
| |||
| Net Change in Unrealized Appreciation/ Depreciation on | ||||
Equity contracts: | ||||
Financial futures contracts | $ | 62,492 | ||
Foreign currency exchange contracts: | ||||
Foreign currency translations | (32,584 | ) | ||
|
| |||
Total | $ | 29,908 | ||
|
| |||
For the year ended December 31, 2012, the average quarterly balances of outstanding derivative financial instruments were as follows:
Financial futures contracts: | ||||
Average number of contracts purchased | 167 | |||
Average number of contracts sold | 18 | |||
Average notional value of contracts purchased | $ | 8,814,626 | ||
Average notional value of contracts sold | $ | 562,254 | ||
Foreign currency exchange contracts: | ||||
Average number of contracts – US dollars purchased | 5 | |||
Average number of contracts – US dollars sold | 2 | |||
Average US dollar amounts purchased | $ | 1,827,447 | ||
Average US dollar amounts sold | $ | 240,358 |
3. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (“PNC”) is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock, Inc. (“BlackRock”).
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 contractually agreed to waive and/or reimburse fees or expenses, excluding interest expense, dividend expense, acquired fund fees and expenses and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Series’
business, in order to limit expenses. The expense limitation as a percentage of average daily net assets is 0.12%. The Manager has agreed not to reduce or discontinue this contractual waiver or reimbursement prior to May 1, 2013 unless approved by the Board, including a majority of the Independent Directors. For the year ended December 31, 2012, the Series waived $8,275, which is included in fees waived and/or reimbursed by Manager 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. This amount is included in fees waived by Manager in the Statement of Operations. For the year ended December 31, 2012, the amount waived was $872.
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, 2012, the Series reimbursed the Manager $9,957 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, 2012, were $141,674,787 and $369,185,448, 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. The Series may borrow under the credit agreement to fund shareholder redemptions. Effective November 2011 to November 2012, the credit agreement had 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 London Inter-bank Offered Rate (“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
| 106 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 |
Notes to Financial Statements (concluded) |
Master International Index Series |
credit agreement, which expired in November 2012, was renewed with the same terms until November 2013. Effective November 2012 to November 2013, the credit agreement has 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, 2012. The Series did not borrow under the credit agreement during the year ended December 31, 2012.
6. Concentration, Market and Credit Risk:
In the normal course of business, the Series invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Series may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Series; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Series may be exposed to counterparty credit risk, or the risk that an entity with which the Series has unsettled or open transactions may fail to or be unable to perform on its commitments. The Series manages counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Series.
The Series invests a substantial amount of its assets in issuers located in a single country or a limited number of countries. When the Series concentrates its investments in this manner, it assumes the risk that
economic, political and social conditions in those countries may have a significant impact on its 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.
The Series invests a significant portion of its assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of several European countries, including Greece, Ireland, Italy, Portugal and Spain. As of December 31, 2012, these events have adversely affected the exchange rate of the euro and may continue to spread to other countries in Europe, including countries that do not use the euro. These events may affect the value and liquidity of certain of the Series’ investments.
As of December 31, 2012, the Series had the following industry classifications:
| Percent of | ||||
| Long-Term | ||||
Industry | Investments | |||
Commercial Banks | 13 | % | ||
Pharmaceuticals | 8 | % | ||
Oil, Gas & Consumable Fuels | 7 | % | ||
Metals and Mining | 5 | % | ||
Insurance | 5 | % | ||
Other1 | 62 | % | ||
| 1 | All other industries held were 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.
| MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 | 107 |
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 series constituting Quantitative Master Series LLC, (the “Series”) as of December 31, 2012, 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 Series’ 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 Series 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 Series’
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, 2012, 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, 2012, 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 15, 2013
| 108 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 |
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 Directorships | |||||
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 106 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 2011. | 33 RICs consisting of 106 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 106 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 106 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 Emeritus, Hudson Institute (policy research organization) since 2011, President thereof from 1997 to 2011 and Trustee 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 106 Portfolios | AIMS Worldwide, Inc. (marketing) | |||||
Ian A. MacKinnon 55 East 52nd Street New York, NY 10055 1948 | Director | Since 2012 | Director, Kennett Capital, Inc. (investments) since 2006; Director, Free Library of Philadelphia from 1999 to 2008. | 33 RICs consisting of 106 Portfolios | None | |||||
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 106 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 investments) 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 106 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 106 Portfolios | None | |||||
| MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 | 109 |
Officers and Directors (continued) |
Master International Index Series |
Name, Address and Year of Birth | Position(s) | Length | Principal Occupation(s) During Past Five Years | Number of BlackRock- | Public Directorships | |||||
Independent Directors1 (concluded) | ||||||||||
Toby Rosenblatt 55 East 52nd Street New York, NY 10055 1938 | Director | Since 2007 | President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC Since 2007; Director, College Access Foundation of California (philanthropic foundation) since 2009; 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 106 Portfolios | None | |||||
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 Institute 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 106 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 106 Portfolios | None | |||||
| 1 | Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved one-year extensions in terms of Directors who turn 72 prior to December 31, 2013. |
| 2 | Date shown is the earliest date a person has served 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 certain 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; |
Interested Directors3 | ||||||||||
Paul L. Audet 55 East 52nd Street New York, NY 10055 1953 | Director | Since 2011 | Senior Managing Director of BlackRock and Head of U.S. Mutual Funds since 2011; Chair of the U.S. Mutual Funds Committee reporting to the Global Executive Committee since 2011; 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 business 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. | 155 RICs consisting of 278 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. | 155 RICs consisting of 278 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. |
See Notes to Financial Statements.
| 110 | MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 |
Officers and Directors (concluded) |
Master International Index Series |
Name, Address and Year of Birth | Position(s) Held with Master LLC | Length of Time Served | Principal Occupation(s) During Past Five Years | |||
Officers1 | ||||||
John M. Perlowski 55 East 52nd Street New York, NY 10055 1964 | President and Chief Executive Officer | Since 2010 | Managing Director of BlackRock 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. | |||
Benjamin Archibald 55 East 52nd Street New York, NY 10055 1975 | Secretary | Since 2012 | Director of BlackRock since 2010; Assistant Secretary to the funds from 2010 to 2012; General Counsel and Chief Operating Officer of Uhuru Capital Management from 2009 to 2010; Executive Director and Counsel of Goldman Sachs Asset Management from 2005 to 2009. | |||
| 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 | Custodian | Independent Registered | Legal Counsel | |||
BlackRock Advisors, LLC Wilmington, DE 19809 | JPMorgan Chase Bank, N.A. Brooklyn, NY 11245 | Public Accounting Firm Deloitte & Touche LLP Boston, MA 02116 | Sidley Austin LLP New York, NY 10019 | |||
| Sub-Advisor | Accounting Agent | |||||
BlackRock Investment Management, LLC | State Street Bank and Trust Company | |||||
Princeton, NJ 08540 | Boston, MA 02110 | |||||
| MASTER INTERNATIONAL INDEX SERIES | DECEMBER 31, 2012 | 111 |
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To obtain more information about the Fund:
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By E-mail: american_beacon.funds@ambeacon.com | On the Internet: Visit our website at www.americanbeaconfunds.com | |
| | |
By Telephone:
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 Section, 100 F Street, NE, Washington, DC 20549-1520. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (202) 551-8090. A complete schedule of the Fund’s portfolio holdings is also available on www.americanbeaconfunds.com approximately twenty days after the end of each month. | 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 on www.americanbeaconfunds.com and 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 12/12
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 | |||
$ 144,159 | 8/31/2011 | |||
$ 381,399 | 10/31/2011 | |||
$ 72,527 | 12/31/2011 | |||
$ 27,241 | 6/30/2012 | |||
$ 162,479 | 8/31/2012 | |||
$ 372,802 | 10/31/2012 | |||
$ 54,482 | 11/30/2012 | |||
$ 163,621 | 12/31/2012 | |||
(b) Audit-Related Fees | Fiscal Year Ended | |||
$ 0 | 8/31/2011 | |||
$ 0 | 10/31/2011 | |||
$ 0 | 12/31/2011 | |||
$ 0 | 6/30/2012 | |||
$ 0 | 8/31/2012 | |||
$ 0 | 10/31/2012 | |||
$ 0 | 11/30/2012 | |||
$ 0 | 12/31/2012 | |||
(c) Tax Fees | Fiscal Year Ended | |||
$ 32,500 | 8/31/2011 | |||
$ 61,132 | 10/31/2011 | |||
$ 15,592 | 12/31/2011 | |||
$ 3,500 | 6/30/2012 | |||
$ 28,000 | 8/31/2012 | |||
$ 74,500 | 10/31/2012 | |||
$ 7,000 | 11/30/2012 | |||
$ 10,500 | 12/31/2012 | |||
(d) All Other Fees | Fiscal Year Ended | |||
$ 0 | 8/31/2011 | |||
$ 0 | 10/31/2011 | |||
$ 0 | 12/31/2011 | |||
$ 0 | 6/30/2012 | |||
$ 0 | 8/31/2012 | |||
$ 0 | 10/31/2012 | |||
$ 0 | 11/30/2012 | |||
$ 0 | 12/31/2012 | |||
(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 | Fiscal Year Ended | |||||
$ 32,500 | $ | 7,885 | N/A | 8/31/2011 | ||||
$ 61,132 | $ | 0 | N/A | 10/31/2011 | ||||
$ 15,592 | $ | 0 | N/A | 12/31/2011 | ||||
$ 3,500 | $ | 0 | N/A | 6/30/2012 | ||||
$ 28,000 | $ | 0 | N/A | 8/31/2012 | ||||
$ 74,500 | $ | 0 | N/A | 10/31/2012 | ||||
$ 7,000 | $ | 0 | N/A | 11/30/2012 | ||||
$ 10,500 | $ | 0 | N/A | 12/31/2012 | ||||
(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) Filed herewith as EX-99.CODE ETH.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the Investment Company Act of 1940 is attached hereto as EX-99.CERT.
(a)(3) Not applicable.
(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.
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 7, 2013
| By | /s/ Melinda G. Heika | |
Melinda G. Heika | ||
Treasurer |
Date: March 7, 2013
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 |
| By | /s/ Melinda G. Heika | |
Melinda G. Heika | ||
Treasurer |
Date: March 7, 2013