American Beacon Balanced Fund (AABPX) N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-04984

AMERICAN BEACON FUNDS

(Exact name of registrant as specified in charter)

4151 Amon Carter Boulevard, MD 2450

Fort Worth, Texas 76155

(Address of principal executive offices)-(Zip code)

Gene L. Needles, Jr., PRESIDENT

4151 Amon Carter Boulevard, MD 2450

Fort Worth, Texas 76155

(Name and address of agent for service)

Registrant’s telephone number, including area code: (817) 391-6100

Date of fiscal year end: December 31, 2013

Date of reporting period: June 30, 2013

ITEM 1. REPORTS TO STOCKHOLDERS.

About American Beacon Advisors

Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.

Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.

Contents

President’s Message	1
Performance Overviews	2
Schedules of Investments:
Bridgeway Large Cap Value Fund	12
Holland Large Cap Growth Fund	15
Stephens Small Cap Growth Fund	17
Stephens Mid-Cap Growth Fund	19
Financial Highlights	40
Additional Information	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 June 30, 2013

Dear Shareholders,

The first six months of 2013 have been a strong period for U.S. equities. But even in a landscape like this one, there tend to be some pretty stark differences in how different areas of the market react to that rising tide.

While the S&P 500 Index was gaining 13.82% for the first half of the year, the Health Care sector was up more than 20%. The Materials sector, by contrast, was up just 2.90%. Among the stocks within the S&P 500, the returns for the first half of 2013 range from Netflix’s gain of 130% to Cliffs Natural Resources, which lost 58% of its value.

Even within a strong landscape for equities, we can see a significant amount of variation. That puts a premium on careful stock selection. American Beacon Advisors is proud to offer several equity funds that are sub-advised by some of the most highly respected investment teams in the nation.

For the six-month period ended June 30, 2013:

• American Beacon Bridgeway Large Cap Value Fund (Institutional Class) returned 17.35%.

• American Beacon Holland Large Cap Growth Fund (Institutional Class) returned 13.05%.

• American Beacon Stephens Small Cap Growth Fund (Institutional Class) returned 17.53%.

• American Beacon Stephens Mid-Cap Growth Fund (Institutional Class) returned 13.02%.

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 Bridgeway Large Cap Value Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

The Investor Class of the American Beacon Bridgeway Large Cap Value Fund (the “Fund”) returned 17.14% for the six months ended June 30, 2013, compared to the Russell 1000^® Value Index (the “Index”) return of 15.90% and the Lipper Large-Cap Value Funds Index return of 15.71%.

Total Returns for the Period ended 6/30/13

	6 Months*			1 Year			5 Years			Since Incep. 10/31/03
Institutional Class (1,7)		17.35	%		27.96	%		8.35	%		8.45	%
Y Class (1,2,7)		17.23	%		27.76	%		8.32	%		8.43	%
Investor Class (1, 3, 7)		17.14	%		27.50	%		8.24	%		8.39	%
A Class with sales charge (1,4,7)		10.33	%		20.01	%		6.93	%		7.71	%
A Class without sales charge (1,4,7)		17.05	%		27.32	%		8.20	%		8.37	%
C Class with sales charge (1,5,7)		15.56	%		25.52	%		8.00	%		8.27	%
C Class without sales charge (1,5,7)		16.56	%		26.52	%		8.00	%		8.27	%
Lipper Large-Cap Value Funds Index (6)		15.71	%		24.61	%		5.96	%		6.32	%
Russell 1000 Value Index (6)		15.90	%		25.32	%		6.67	%		7.18	%

* Not annualized.

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 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 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 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 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 1.73%, 3.75%, 2.26% 2.21%, and 6.81%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report.

The Fund outperformed the Index as both stock selection and sector allocation added value relative to the Index.

Investments in the Consumer Staples and Energy sectors contributed most to the Fund’s performance. In the Consumer Staples sector, Green Mountain Coffee (up 62.5%), Constellation Brands (up 47.3%) and Campbell Soup (up 28.4%) were the largest contributors. Exxon Mobil (up 3.1%), Marathon Petroleum (up 12.5%) and Pioneer Natural Resources (up 35.8%) added the most relative value in the Energy sector. Holdings in the Information Technology and Industrials sectors also contributed to the Fund’s returns. Activision

2

American Beacon Bridgeway Large Cap Value Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

Blizzard (up 36.0%) and Western Digital (up 47.4%) contributed most to performance in the Information Technology sector, as did Delta Air Lines (up 58.1%), Northrop Grumman (up 25.3%) and General Electric (up 12.7%) in the Industrials sector. Poor stock selection in the Consumer Discretionary sector detracted relative value. Dillard’s (down 2.0%) and American Eagle Outfitters (down 2.2%) were the largest detractors in the Consumer Discretionary sector.

On average, an overweight position in Information Technology, the best performing sector in the Index, added relative value through sector allocation. Being underweight Materials, the worst performing sector in the Index, also contributed 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 (% Net Assets)

AT&T, Inc.		1.5
Exxon Mobil Corp.		1.5
Chevron Corp.		1.3
U.S. Bancorp		1.3
Phillips 66		1.3
Delta Air Lines, Inc.		1.3
Hess Corp.		1.3
Time Warner, Inc.		1.3
Xcel Energy, Inc.		1.3
Northrop Grumman Corp.		1.3
Total Fund Holdings	124

Sector Allocation (% Equities)

Financials	28.9
Energy	13.6
Consumer Staples	10.9
Information Technology	10.2
Consumer Discretionary	9.7
Health Care	9.1
Industrials	7.2
Utilities	6.7
Telecommunication Services	2.1
Materials	1.6

3

American Beacon Holland Large Cap Growth Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

The Investor Class of the American Beacon Holland Large Cap Growth Fund (the “Fund”) returned 12.87% for the six months ended June 30, 2013, compared to the Russell 1000^® Growth Index (the “Index”) return of 11.80% and the Lipper Large-Cap Growth Funds Index return of 10.18%.

Total Returns for the Period ended 6/30/13

	6 Months*			1 Year			5 Years			10 Years
Institutional Class (1,2,8)		13.05	%		17.12	%		7.63	%		7.05	%
Y Class (1,3,8)		13.06	%		17.00	%		7.60	%		7.03	%
Investor Class (1,8)		12.87	%		16.70	%		7.46	%		6.96	%
A Class with sales charge (1,4,8)		6.29	%		9.86	%		6.14	%		6.30	%
A Class without sales charge (1,4,8)		12.78	%		16.57	%		7.41	%		6.93	%
C Class with sales charge (1,5,8)		11.39	%		14.70	%		7.21	%		6.83	%
C Class without sales charge (1,5,8)		12.39	%		15.70	%		7.21	%		6.83	%
Lipper Large-Cap Growth Funds Index (7)	��	10.18	%		16.38			5.26	%		6.24	%
Russell 1000 Growth Index (7)		11.80	%		17.07	%		7.47	%		7.40	%

* Not annualized

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 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 6/30/03 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 6/30/03.

3. Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 6/30/03 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 6/30/03.

4. Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 6/30/03 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 6/30/03. A Class shares have a maximum sales charge of 5.75%.

5. Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 6/30/03 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 6/30/03. 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 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 1.33%, 10.19%, 1.45% 2.74%, and 6.18% respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report.

The Fund outperformed the Index entirely due to stock selection as sector allocation detracted value relative to the Index.

Investments in the Information Technology and Energy sectors contributed most to the Fund’s returns. In the Information Technology sector, Apple (down 24.7%) positively impacted performance as the Fund held a much smaller position in the security compared to the Index. Cisco Systems (up 24.7%) also contributed relative value. In the Energy sector, Range Resources (up 23.2%), Halliburton (up 21.0%) and Occidental Petroleum (up 18.2%) were the largest

4

American Beacon Holland Large Cap Growth Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

contributors. Poor stock selection in the Health Care and Consumer Discretionary sectors detracted from Fund performance. Hospira (down 5.8%) was the largest detractor in the Health Care sector. Not owning Bristol Myers Squibb and Celgene, which were up 39.8% and 49.1%, respectively, in the Index, also hurt performance. In the Consumer Discretionary sector, Yum! Brands (up 5.4%) detracted relative value. Not owning Home Depot and Netflix, which were up 26.6% and 128.0%, respectively, in the Index, also negatively impacted performance.

An overweight in Information Technology, the worst performing sector in the Index, detracted relative value through sector allocation. This was slightly offset by overweighting Health Care, the best performing sector in the Index, which contributed 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 (% Net Assets)

Visa, Inc.		4.2
Amazon.com, Inc.		3.9
Range Resources Corp.		3.8
Citrix Systems, Inc.		3.6
Cisco Systems, Inc.		3.6
Google, Inc.		3.3
Yum! Brands, Inc.		3.3
Covidien PLC		3.1
Qualcomm, Inc.		4.1
Priceline.com, Inc.		2.9
Total Fund Holdings	48

Sector Allocation (% Equities)

Information Technology	35.0
Consumer Discretionary	16.6
Health Care	14.9
Consumer Staples	9.5
Energy	8.9
Industrials	6.9
Materials	4.8
Financials	3.4

5

American Beacon Stephens Small Cap Growth Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

The Investor Class of the American Beacon Stephens Small Cap Growth Fund (the “Fund”) returned 17.45% for the six months ended June 30, 2013, outperforming the Russell 2000^® Growth Index (the “Index”) return of 17.44% and the Lipper Small-Cap Growth Funds Index return of 15.86% for the same period.

Total Returns for the Period ended 6/30/13

	6 Months*			1 Year			5 Years			Since Incep. 12/1/05
Institutional Class (1,2,7)		17.53	%		18.48	%		10.39	%		8.83	%
Y Class (1,3,7)		17.54	%		18.41	%		10.19	%		7.41	%
Investor Class (1,7)		17.45	%		18.17	%		10.12	%		7.36	%
A Class with sales charge (1,4,7)		10.54	%		11.19	%		8.76	%		6.49	%
A Class without sales charge (1,4,7)		17.31	%		17.94	%		10.06	%		7.32	%
C Class with sales charge (1,5,7)		15.86	%		16.04	%		9.84	%		7.18	%
C Class without sales charge (1,5,7)		16.86	%		17.04	%		9.84	%		7.18	%
S&P 500 Index (6)		13.82	%		20.60	%		7.01	%		5.59	%
Lipper Small-Cap Growth Funds Index (6)		15.86	%		22.24	%		8.01	%		6.02	%
Russell 2000 Growth Index (6)		17.44	%		23.67	%		8.89	%		7.16	%

* Not annualized

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.

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 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 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 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 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 Russell 2000 Growth Index and the Russell 2000 Index are registered trademarks of Frank Russell Company. 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 1.22% 2.07%, 1.58%, 2.10%, and 6.17% respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report.

The Fund outperformed the Index as both stock selection and sector allocation added value relative to the Index.

Holdings in the Financials, Consumer Discretionary and Health Care sectors contributed the most relative value for the Fund. In the Financials sector, Radian Group (up 68.5%), Portfolio Recovery Associates (up 45.0%) and SVB Financial Group (up 49.2%) were the largest contributors. Krispy Kreme Doughnuts (up 89.0%), Lions Gate Entertainment (up 69.4%) and Chuy’s (up 73.8%) had the largest impact to the Fund’s returns in the Consumer Discretionary sector. Medidata Solutions (up 97.1%) Proto Labs (up

6

American Beacon Stephens Small Cap Growth Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

66.2%) and Parexel International (up 54.6%) contributed most to relative performance in the Health Care sector.

Holdings in the Information Technology and Consumer Staples sectors detracted from the Fund’s returns. Vocus (down 52.5%), Vocera Communications (down 44.8%) and Aruba Networks (down 25.4%) hurt performance in the Information Technology sector. In the Consumer Staples sector, United Natural Foods (down 0.4%) and Boulder Brands (down 29.5%) were the largest detractors. Not owning SuperValu, which was up 151.8% in the Index, also negatively impacted performance.

The Fund’s significant underweight in Materials, the worst performing sector in the Index, added relative value 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 (% Net Assets)

CoStar Group, Inc.		2.1
Proto Labs, Inc.		1.8
Medidata Solutions, Inc.		1.7
Lions Gate Entertainment Corp.		1.7
WageWorks, Inc.		1.6
Neogen Corp.		1.5
Encore Capital Group, Inc.		1.5
Sourcefire, Inc.		1.5
PAREXEL International Corp.		1.5
Krispy Kreme Doughnuts, Inc.		1.5
Total Fund Holdings	118

Sector Allocation (% Equities)

Information Technology	23.1
Health Care	21.0
Consumer Discretionary	13.8
Industrials	13.8
Financials	11.5
Energy	8.1
Consumer Staples	7.2
Materials	1.0
Telecommunication Services	0.5

7

American Beacon Stephens Mid-Cap Growth Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

The Investor Class of the American Beacon Stephens Mid-Cap Growth Fund (the “Fund”) returned 12.81% for the six months ended June 30, 2013. The Fund underperformed the Russell Midcap^® Growth Index (the “Index”) return of 14.70% and the Lipper Mid-Cap Growth Funds Index return of 14.26%.

Total Returns for the Period ended 6/30/13

	6 Months*			1 Year			5 Years			Since Incep. 2/1/06
Institutional Class (1,2,7)		13.02	%		18.77	%		7.89	%		8.51	%
Y Class (1,3,7)		12.87	%		18.85	%		7.68	%		6.34	%
Investor Class (1,7)		12.81	%		18.33	%		7.58	%		6.27	%
A Class with sales charge (1,4,7)		6.29	%		11.36	%		6.30	%		5.41	%
A Class without sales charge (1,4,7)		12.74	%		18.16	%		7.56	%		6.26	%
C Class with sales charge (1,5,7)		11.14	%		16.47	%		7.36	%		6.12	%
C Class without sales charge (1,5,7)		12.14	%		17.47	%		7.36	%		6.12	%
S&P 500 Index (6)		13.82	%		20.60	%		7.01	%		5.35	%
Russell Midcap Growth Index (6)		14.70	%		22.88	%		7.61	%		6.23	%
Lipper Mid-Cap Growth Funds Index (6)		14.26	%		20.24	%		6.09	%		6.11	%

* Not annualized

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.

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 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 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 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 1.29%, 3.86%, 1.68%, 1.84%, and 14.55%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report.

The Fund underperformed the Index entirely through stock selection as sector allocation added modest value relative to the Index.

Investments in the Consumer Staples, Industrials and Health Care sectors detracted the most relative value. In the Consumer Staples sector, not owning Green Mountain Coffee and Kroger, which were up 81.9% and 34.0%, respectively, in the Index, negatively impacted Fund performance. In the Industrials sector, HMS Holdings (down 10.0%) and Clean Harbors (down 9.7%) detracted most from the Fund’s returns. Not owning Delta Air Lines, which was up 57.6% in the

8

American Beacon Stephens Mid-Cap Growth Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

Index, also hurt performance. In the Health Care sector, not owning Vertex Pharmaceuticals and Actavis, which were up 91.1% and 46.8%, respectively, in the Index, detracted from the Fund’s performance. Good stock selection in the Financials sector contributed to the Fund’s returns. Portfolio Recovery Associates (up 43.5%), SVB Financial Group (up 34.4%) and Intercontinental Exchange (up 44.0%) added relative value in the Financials sector.

A significant underweight in Materials, one of the poorer performing sectors in the Index, contributed to the Fund’s performance through sector allocation. An overweight in the Energy sector also contributed to the Fund’s returns. The aforementioned good performance was somewhat offset by an overweight in the Information Technology sector which detracted relative value.

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 (% Net Assets)

Cerner Corp.		2.0
Stericycle, Inc.		1.8
Portfolio Recovery Associates, Inc.		1.7
LKQ Corp.		1.6
Discovery Communications, Inc.		1.6
Verisk Analytics, Inc.		1.5
Whole Foods Market, Inc.		1.5
Illumina, Inc.		1.5
CarMax, Inc.		1.5
Core Laboratories NV		1.5
Total Fund Holdings	103

Sector Allocation (% Equities)

Consumer Discretionary	22.1
Information Technology	21.5
Health Care	18.7
Industrials	11.8
Energy	10.4
Financials	8.3
Consumer Staples	5.8
Materials	1.4

9

American Beacon Fund^SM

Fund Expenses

June 30, 2013 (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 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 in each Class and held for the entire period from January 1, 2013 through June 30, 2013.

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 Investor and Institutional Classes that invest in the Fund through an IRA or Roth 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 Investor and Institutional Classes that invest in the Fund through an IRA or Roth 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.

10

American Beacon Fund^SM

Fund Expenses

June 30, 2013 (Unaudited)

Bridgeway Large Cap Value Fund:

	Beginning Account Value 1/1/13		Ending Account Value 6/30/13		Expenses Paid During Period* 1/1/13-6/30/13
Institutional Class
Actual	$	1,000.00	$	1,173.49	$	4.53
Hypothetical **	$	1,000.00	$	1,020.63	$	4.21
Y Class
Actual	$	1,000.00	$	1,172.34	$	5.06
Hypothetical **	$	1,000.00	$	1,020.13	$	4.71
Investor Class
Actual	$	1,000.00	$	1,171.41	$	6.57
Hypothetical **	$	1,000.00	$	1,018.74	$	6.11
A Class
Actual	$	1,000.00	$	1,170.46	$	7.21
Hypothetical **	$	1,000.00	$	1,018.15	$	6.71
C Class
Actual	$	1,000.00	$	1,165.60	$	11.22
Hypothetical **	$	1,000.00	$	1,014.43	$	10.44

* Expenses are equal to the Fund’s annualized expense ratios for the six- month period of 0.84%, 0.94%, 1.22%, 1.34% and 2.09% 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 (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

Holland Large Cap Growth Fund

	Beginning Account Value 1/1/13		Ending Account Value 6/30/13		Expenses Paid During Period* 1/1/13-6/30/13
Institutional Class
Actual	$	1,000.00	$	1,130.55	$	4.70
Hypothetical **	$	1,000.00	$	1,020.38	$	4.46
Y Class
Actual	$	1,000.00	$	1,130.62	$	5.23
Hypothetical **	$	1,000.00	$	1,019.89	$	4.96
Investor Class
Actual	$	1,000.00	$	1,128.71	$	6.70
Hypothetical **	$	1,000.00	$	1,018.50	$	6.36
A Class
Actual	$	1,000.00	$	1,127.80	$	7.33
Hypothetical **	$	1,000.00	$	1,017.90	$	6.95
C Class
Actual	$	1,000.00	$	1,123.94	$	11.27
Hypothetical **	$	1,000.00	$	1,014.18	$	10.69

* Expenses are equal to the Fund’s annualized expense ratios for the six- month period of 0.89%, 0.99%, 1.27%, 1.39% and 2.14% 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 (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

Stephens Small Cap Growth Fund

	Beginning Account Value 1/1/13		Ending Account Value 6/30/13		Expenses Paid During Period* 1/1/13-6/30/13
Institutional Class
Actual	$	1,000.00	$	1,175.29	$	5.88
Hypothetical **	$	1,000.00	$	1,019.39	$	5.46
Y Class
Actual	$	1,000.00	$	1,175.43	$	6.42
Hypothetical **	$	1,000.00	$	1,018.89	$	5.96
Investor Class
Actual	$	1,000.00	$	1,174.47	$	7.28
Hypothetical **	$	1,000.00	$	1,018.10	$	6.76
A Class
Actual	$	1,000.00	$	1,173.14	$	8.57
Hypothetical **	$	1,000.00	$	1,016.91	$	7.95
C Class
Actual	$	1,000.00	$	1,168.58	$	12.58
Hypothetical **	$	1,000.00	$	1,013.19	$	11.68

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

** 5% return before expenses.

Stephens Mid-Cap Growth Fund

	Beginning Account Value 1/1/13		Ending Account Value 6/30/13		Expenses Paid During Period* 1/1/13-6/30/13
Institutional Class
Actual	$	1,000.00	$	1,130.19	$	5.23
Hypothetical **	$	1,000.00	$	1,019.89	$	4.96
Y Class
Actual	$	1,000.00	$	1,128.72	$	5.75
Hypothetical **	$	1,000.00	$	1,019.39	$	5.46
Investor Class
Actual	$	1,000.00	$	1,128.15	$	7.23
Hypothetical **	$	1,000.00	$	1,018.00	$	6.85
A Class
Actual	$	1,000.00	$	1,127.42	$	7.86
Hypothetical **	$	1,000.00	$	1,017.41	$	7.45
C Class
Actual	$	1,000.00	$	1,121.43	$	11.78
Hypothetical **	$	1,000.00	$	1,013.69	$	11.18

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

** 5% return before expenses.

11

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

June 30, 2013 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK - 96.30%
CONSUMER DISCRETIONARY - 9.38%
Auto Components - 0.99%
Lear Corp.		10,800	$	653
Automobiles - 2.74%
Ford Motor Co.		38,900		602
General Motors Co.A		20,800		693
Hertz Global Holdings, Inc.A		20,800		516
				1,811
Home Builders - 0.43%
D.R. Horton, Inc.		13,300		283
Household Durables - 2.20%
Mohawk Industries, Inc.A		3,700		416
Pulte Group, Inc.A		27,900		529
Whirlpool Corp.		4,500		515
				1,460
Media - 1.29%
Time Warner, Inc.		14,800		856
Multiline Retail - 0.78%
Dillard’s, Inc., Class A		6,300		516
Specialty Retail - 0.50%
Home Depot, Inc.		4,300		333
Textiles & Apparel - 0.45%
PVH Corp.		2,400		300
Total Consumer Discretionary				6,212
CONSUMER STAPLES - 10.50%
Beverages - 1.25%
Constellation Brands, Inc., Class AA		9,700		505
Molson Coors Brewing Co., Class B		6,700		321
				826
Food & Drug Retailing - 3.15%
CST Brands, Inc.A		1,277		39
Kroger Co.		11,800		408
Safeway, Inc.		19,700		466
Sysco Corp.		12,200		417
Walgreen Co.		17,200		760
				2,090
Food Products - 3.59%
Archer-Daniels-Midland Co.		17,200		584
Campbell Soup Co.		7,400		331
ConAgra Foods, Inc.		10,700		374
General Mills, Inc.		6,800		330
Green Mountain Coffee Roasters, Inc.A		7,200		540
Mondelez International, Inc., Class A		7,500		214
				2,373
Household Products - 2.51%
Colgate-Palmolive Co.		14,800		848
Kimberly-Clark Corp.		4,300		418
Procter & Gamble Co.		5,200		400
				1,666
Total Consumer Staples				6,955

	Shares		Fair Value
			(000’s)
ENERGY - 13.14%
Energy Equipment & Services - 1.24%
Cobalt International Energy, Inc.A		12,600	$	335
Helmerich & Payne, Inc.		7,800		487
				822
Oil & Gas - 11.90%
Chesapeake Energy Corp.		16,300		332
Chevron Corp.		7,514		889
ConocoPhillips		13,900		841
Exxon Mobil Corp.		10,700		966
Hess Corp.		12,900		858
HollyFrontier Corp.		7,800		334
Marathon Petroleum Corp.		10,900		775
Murphy Oil Corp.		8,400		511
Phillips 66		14,800		872
Pioneer Natural Resources Co.		2,600		376
Tesoro Corp.		6,400		335
Valero Energy Corp.		22,800		793
				7,882
Total Energy				8,704
FINANCIALS - 27.72%
Banks - 4.29%
BB&T Corp.		6,500		220
Fifth Third Bancorp		28,100		507
Huntington Bancshares, Inc.		51,800		408
Northern Trust Corp.		8,500		492
Regions Financial Corp.		34,500		329
U.S. Bancorp		24,400		883
				2,839
Diversified Financials - 10.92%
Ameriprise Financial, Inc.		5,400		437
Bank of America Corp.		36,300		467
Capital One Financial Corp.		12,900		810
Citigroup, Inc.		12,100		580
Discover Financial Services		13,100		624
Goldman Sachs Group, Inc.		5,300		802
H&R Block, Inc.		16,800		466
JPMorgan Chase & Co.		16,000		845
SLM Corp.		23,500		537
State Street Corp.		13,000		849
Wells Fargo & Co.		19,900		821
				7,238
Insurance - 10.13%
ACE Ltd.		8,100		725
Aflac, Inc.		14,000		814
Allstate Corp.		17,000		817
American International Group, Inc.A		8,300		371
Axis Capital Holdings Ltd.		8,000		366
Berkshire Hathaway, Inc., Class BA		6,200		694
Chubb Corp.		3,500		296
Everest Re Group Ltd.		1,600		205
Genworth Financial, Inc., Class AA		39,300		448
Marsh & McLennan Cos., Inc.		18,000		719
MetLife, Inc.		7,900		362
Prudential Financial, Inc.		5,000		365
Reinsurance Group of America, Inc.		3,500		242
Travelers Cos., Inc.		3,600		288
				6,712
Real Estate - 2.38%
Equity ResidentalB		6,500		377

See accompanying notes

12

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

June 30, 2013 (Unaudited)

	Shares		Fair Value
			(000’s)
Federal Realty Investment TrustB		4,400	$	456
Rayonier, Inc.B		8,000		443
Ventas, Inc.B		4,300		299
				1,575
Total Financials				18,364
HEALTH CARE - 8.80%
Health Care Equipment & Supplies - 1.79%
Medtronic, Inc.		12,800		659
Thermo Fisher Scientific, Inc.		6,200		525
				1,184
Health Care Providers & Services - 3.52%
Aetna, Inc.		8,000		508
Cigna Corp.		9,200		667
Tenet Healthcare Corp.		10,000		461
WellPoint, Inc.		8,500		695
				2,331
Pharmaceuticals - 3.49%
Abbott Laboratories		5,300		185
AbbVie, Inc.		5,300		219
Eli Lilly & Co.		16,700		821
Johnson & Johnson		4,000		343
Mylan, Inc.A		18,400		571
Pfizer, Inc.		6,220		174
				2,313
Total Health Care				5,828
INDUSTRIALS - 6.93%
Aerospace & Defense - 2.12%
L-3 Communications Holdings, Inc.		6,500		557
Northrop Grumman Corp.		10,300		854
				1,411
Airlines - 1.31%
Delta Air Lines, Inc.		46,300		866
Commercial Services & Supplies - 0.81%
Cintas Corp.		11,800		537
Electrical Equipment - 0.57%
Hubbell, Inc., Class B		3,800		376
Industrial Conglomerates - 0.37%
General Electric Co.		10,500		243
Machinery - 0.96%
Dover Corp.		8,200		637
Road & Rail - 0.79%
Norfolk Southern Corp.		7,200		523
Total Industrials				4,593
INFORMATION TECHNOLOGY - 9.80%
Communications Equipment - 1.04%
Cisco Systems, Inc.		28,300		688
Computers & Peripherals - 1.58%
Hewlett-Packard Co.		10,800		268
NVIDIA Corp.		27,600		387
Western Digital Corp.		6,300		391
				1,046

	Shares		Fair Value
			(000’s)
Electronic Equipment & Instruments - 0.63%
Avnet, Inc.A		12,500	$	420
IT Consulting & Services - 2.80%
Computer Sciences Corp.		10,100		442
Fiserv, Inc.A		4,000		350
Paychex, Inc.		17,000		621
Visa, Inc., Class A		2,400		439
				1,852
Office Electronics - 0.83%
Xerox Corp.		61,000		553
Semiconductor Equipment & Products - 2.36%
Cree, Inc.A		8,800		562
Intel Corp.		13,500		327
Micron Technology, Inc.A		47,200		676
				1,565
Software - 0.56%
Activision Blizzard, Inc.		26,000		371
Total Information Technology				6,495
MATERIALS - 1.54%
Chemicals - 1.06%
CF Industries Holdings, Inc.		1,900		326
Westlake Chemical Corp.		3,900		375
				701
Paper & Forest Products - 0.48%
MeadWestvaco Corp.		9,400		321
Total Materials				1,022
TELECOMMUNICATION SERVICES - 2.07%
AT&T, Inc.		27,749		982
Verizon Communications, Inc.		7,700		388
Total Telecommunication Services				1,370
UTILITIES - 6.42%
Electric - 4.50%
American Electric Power Co., Inc.		12,200		546
CMS Energy Corp.		14,300		389
Edison International		10,100		486
Entergy Corp.		9,200		641
Pinnacle West Capital Corp.		6,400		355
The Southern Co.		12,800		565
				2,982
Multi-Utilities - 1.92%
Westar Energy, Inc.		13,000		415
Xcel Energy, Inc.		30,100		854
				1,269
Total Utilities				4,251
Total Common Stock (Cost $55,089)				63,794
SHORT-TERM INVESTMENTS - 3.13% (Cost $2,073)
JPMorgan U.S. Government Money Market Fund, Capital Class		2,073,101		2,073

13

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

June 30, 2013 (Unaudited)

TOTAL INVESTMENTS - 99.43% (Cost $57,162)	$	65,867
OTHER ASSETS, NET OF LIABILITIES - 0.57%		379
TOTAL NET ASSETS - 100.00%	$	66,246

Percentages are stated as a percent of net assets.

^A Non-income producing security.

^B REIT—Real Estate Investment Trust.

Futures Contracts Open on June 30, 2013 (000’s):

Description	Type		Number of Contracts		Expiration Date		Contract Value		Unrealized Appreciation (Depreciation)
S&P 500 Mini E Index Futures		Long		21		September, 2013	$	1,679	$	2
							$	1,679	$	2

See accompanying notes

14

American Beacon Holland Large Cap Growth Fund^SM

Schedule of Investments

June 30, 2013 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK - 97.88%
CONSUMER DISCRETIONARY - 16.28%
Hotels, Restaurants & Leisure - 3.25%
Yum! Brands, Inc.		34,650	$	2,403
Internet & Catalog Retail - 6.79%
Amazon.com, Inc.A		10,350		2,874
priceline.com, Inc.A		2,585		2,138
				5,012
Specialty Retail - 3.50%
Advance Auto Parts, Inc.		19,250		1,562
GNC Holdings, Inc., Class A		23,200		1,026
				2,588
Textiles & Apparel - 2.74%
NIKE, Inc., Class B		18,100		1,152
Under Armour, Inc., Class AA		14,550		869
				2,021
Total Consumer Discretionary				12,024
CONSUMER STAPLES - 9.33%
Beverages - 4.15%
Monster Beverage Corp.A		25,450		1,547
PepsiCo, Inc.		18,550		1,517
				3,064
Food & Drug Retailing - 4.35%
Costco Wholesale Corp.		14,450		1,598
Mead Johnson Nutrition Co., Class A		20,450		1,620
				3,218
Household Products - 0.83%
Procter & Gamble Co.		7,950		612
Total Consumer Staples				6,894
ENERGY - 8.74%
Energy Equipment & Services - 2.03%
Halliburton Co.		35,900		1,498
Oil & Gas - 6.71%
Occidental Petroleum Corp.		14,500		1,294
Range Resources Corp.		36,700		2,837
Southwestern Energy Co.A		22,600		826
				4,957
Total Energy				6,455
FINANCIALS - 3.31%
BlackRock, Inc., Class A		4,005		1,029
Greenhill & Co. Inc		16,500		755
TD Ameritrade Holding Corp.		27,350		664
Total Financials				2,448
HEALTH CARE - 14.55%
Biotechnology - 4.74%
BioMarin Pharmaceutical, Inc.A		17,600		982
Gilead Sciences, Inc.A		25,900		1,327
Vertex Pharmaceuticals, Inc.A		14,950		1,194
				3,503
Health Care Equipment & Supplies - 4.17%
Covidien PLC		37,000		2,325
Waters Corp.A		7,550		755
				3,080

	Shares		Fair Value
			(000’s)
Health Care Providers & Services - 3.73%
Cerner Corp.A		12,550	$	1,206
DaVita HealthCare Partners, Inc.A		12,800		1,546
				2,752
Pharmaceuticals - 1.91%
Bristol-Myers Squibb Co.		31,550		1,410
Total Health Care				10,745
INDUSTRIALS - 6.71%
Aerospace & Defense - 1.22%
United Technologies Corp.		9,700		902
Electrical Equipment - 1.76%
Roper Industries, Inc.		10,450		1,298
Industrial Conglomerates - 2.46%
Honeywell International, Inc.		22,950		1,821
Machinery - 1.27%
WABCO Holdings, Inc.A		12,550		937
Total Industrials				4,958
INFORMATION TECHNOLOGY - 34.28%
Communications Equipment - 5.05%
Cisco Systems, Inc.		107,950		2,625
NeuStar, Inc., Class AA		22,750		1,107
				3,732
Computers & Peripherals - 5.06%
Apple, Inc.		4,690		1,858
International Business Machines Corp.		9,850		1,882
				3,740
Internet Software & Services - 3.28%
Google, Inc., Class AA		2,755		2,425
IT Consulting & Services - 7.20%
Automatic Data Processing, Inc.		9,600		661
IHS, Inc., Class AA		14,550		1,519
Visa, Inc., Class A		17,150		3,134
				5,314
Semiconductor Equipment & Products - 4.08%
QUALCOMM, Inc.		49,300		3,011
Software - 9.61%
Adobe Systems, Inc.A		44,200		2,014
Citrix Systems, Inc.A		43,950		2,651
Intuit, Inc.		13,850		845
MICROS Systems, Inc.A		19,850		857
Microsoft Corp.		20,900		722
				7,089
Total Information Technology				25,311
MATERIALS - 4.68%
Ecolab, Inc.		11,650		992
Potash Corp of Saskatchewan, Inc.		27,950		1,066
Praxair, Inc.		12,150		1,399
Total Materials				3,457
Total Common Stock (Cost $49,835)				72,292

15

American Beacon Holland Large Cap Growth Fund^SM

Schedule of Investments

June 30, 2013 (Unaudited)

	Shares		Fair Value
			(000’s)
SHORT-TERM INVESTMENTS - 2.16% (Cost $1,592)
JPMorgan U.S. Government Money Market Fund, Capital Class		1,592,352	$	1,592
TOTAL INVESTMENTS - 100.04% (Cost $51,427)				73,884
LIABILITIES, NET OF OTHER ASSETS - (0.04%)				(28	)
TOTAL NET ASSETS - 100.00%			$	73,856

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

Futures Contracts Open on June 30, 2013 (000’s):

Description	Type		Number of Contracts		Expiration Date		Contract Value		Unrealized Appreciation (Depreciation)
S&P 500 Mini E Index Futures		Long		19		September, 2013	$	1,519	$	(22	)
							$	1,519	$	(22	)

See accompanying notes

16

American Beacon Stephens Small Cap Growth Fund^SM

Schedule of Investments

June 30, 2013 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK - 98.15%
CONSUMER DISCRETIONARY - 13.55%
Distributors - 1.27%
Beacon Roofing Supply, Inc.A		77,300	$	2,928
DXP Enterprises, Inc.A		23,900		1,592
				4,520
Hotels, Restaurants & Leisure - 6.47%
BJ’s Restaurants, Inc.A		62,496		2,319
Buffalo Wild Wings, Inc.A		32,300		3,171
Chuy’s Holdings, Inc.A		117,830		4,518
Ignite Restaurant Group, Inc.A		191,070		3,605
Krispy Kreme Doughnuts, Inc.A		290,015		5,060
National CineMedia, Inc.		260,700		4,403
				23,076
Media - 3.97%
Acacia Research Corp.		137,400		3,071
IMAX Corp.A B		146,356		3,638
Lions Gate Entertainment Corp.A B		210,700		5,789
Pandora Media, Inc.A B		89,100		1,639
				14,137
Specialty Retail - 1.84%
Aaron’s, Inc.		154,818		4,336
Cabela’s, Inc.A		34,200		2,215
				6,551
Total Consumer Discretionary				48,284
CONSUMER STAPLES - 7.11%
Food & Drug Retailing - 4.39%
Andersons, Inc.		49,700		2,644
Annie’s, Inc.A		89,062		3,807
Fresh Market, Inc.A		90,800		4,515
United Natural Foods, Inc.A		86,840		4,687
				15,653
Food Products - 1.71%
Boulder Brands, Inc.A		278,800		3,359
TreeHouse Foods, Inc.A		41,800		2,740
				6,099
Personal Products - 1.01%
Steiner Leisure Ltd.A		67,800		3,584
Total Consumer Staples				25,336
ENERGY - 7.96%
Energy Equipment & Services - 4.77%
Dril-Quip, Inc.A		37,000		3,341
Forum Energy Technologies, Inc.A		113,700		3,460
Hercules Offshore, Inc.A		368,800		2,596
Hornbeck Offshore Services, Inc.A		48,100		2,573
Oil States International, Inc.A		16,100		1,492
Pacific Drilling S.A.A		226,600		2,216
Tetra Technologies, Inc.A		129,400		1,328
				17,006
Oil & Gas - 3.19%
Carrizo Oil & Gas, Inc.A		111,200		3,150
Halcon Resources Corp.A B		412,889		2,341
Kodiak Oil & Gas Corp.A		262,900		2,337
Pioneer Energy Services Corp.A		286,700		1,898
Rosetta Resources, Inc.A		38,400		1,633
				11,359
Total Energy				28,365

	Shares		Fair Value
			(000’s)
FINANCIALS - 11.25%
Banks - 1.70%
East West Bancorp, Inc.		91,500	$	2,516
SVB Financial GroupA		42,600		3,550
				6,066
Diversified Financials - 6.09%
Cardtronics, Inc.A		144,400		3,985
Encore Capital Group, Inc.A B		158,891		5,262
Euronet Worldwide, Inc.A		123,100		3,922
First Cash Financial Services, Inc.A		72,401		3,563
Portfolio Recovery Associates, Inc.		32,300		4,962
				21,694
Insurance - 3.03%
Hilltop Holdings, Inc.A		184,000		3,018
ProAssurance Corp.		73,600		3,839
Radian Group, Inc.B		338,200		3,929
				10,786
Real Estate - 0.43%
Move, Inc.A		119,200		1,528
Total Financials				40,074
HEALTH CARE - 20.64%
Biotechnology - 4.68%
Cepheid, Inc.A		108,100		3,721
Cubist Pharmaceuticals, Inc.A		42,600		2,058
Myriad Genetics, Inc.A		68,229		1,833
Neogen Corp.A		95,000		5,278
Polypore International, Inc.A B		54,400		2,192
Techne Corp.		22,900		1,582
				16,664
Health Care Equipment & Supplies - 4.43%
Abaxis, Inc.		56,900		2,703
Medidata Solutions, Inc.A		74,921		5,804
NuVasive, Inc.A		145,280		3,601
Thoratec Corp.A		69,800		2,185
Volcano Corp.A		82,305		1,492
				15,785
Health Care Providers & Services - 5.52%
Acadia Healthcare Co. IncA		94,700		3,132
Advisory Board Co.A		89,525		4,893
IPC The Hospitalist Co., Inc.A		77,160		3,963
PAREXEL International Corp.A		110,746		5,087
VCA Antech, Inc.A		99,455		2,595
				19,670
Pharmaceuticals - 6.01%
Akorn, Inc.A B		242,400		3,277
Greenway Medical TechnologiesA B		112,800		1,392
ICON PLCA		137,400		4,868
Pacira Pharmaceuticals, Inc.A		103,400		2,999
Proto Labs, Inc.A		96,840		6,292
Salix Pharmaceuticals Ltd.A		39,400		2,606
				21,434
Total Health Care				73,553
INDUSTRIALS - 13.55%
Air Freight & Couriers - 0.84%
Echo Global Logistics, Inc.A		153,400		2,990

17

American Beacon Stephens Small Cap Growth Fund^SM

Schedule of Investments

June 30, 2013 (Unaudited)

	Shares		Fair Value
			(000’s)
Building Products - 0.51%
Trex Co., Inc.A		37,900	$	1,800
Commercial Services & Supplies - 7.03%
Clean Harbors, Inc.A		34,700		1,753
Corporate Executive Board Co.		60,300		3,812
CoStar Group, Inc.A		55,001		7,100
HMS Holdings Corp.A		128,000		2,982
Marlin Business Services Corp.		87,179		1,986
Tetra Tech, Inc.A		82,000		1,928
WageWorks, Inc.A		160,302		5,523
				25,084
Construction & Engineering - 0.99%
Aegion Corp.A		78,800		1,773
Mistras Group, Inc.A		100,258		1,763
				3,536
Industrial Conglomerates - 0.49%
RPX Corp.A		103,400		1,737
Machinery - 2.49%
Chart Industries, Inc.A		25,546		2,404
ExOne Co.A B		30,700		1,895
Flow International Corp.A		336,700		1,242
Lindsay Corp.		18,900		1,417
Valmont Industries, Inc.		13,400		1,917
				8,875
Road & Rail - 0.58%
Knight Transportation, Inc.		122,400		2,059
Trading Companies & Distributors - 0.62%
MSC Industrial Direct Co., Inc., Class A		28,445		2,203
Total Industrials				48,284
INFORMATION TECHNOLOGY - 22.56%
Communications Equipment - 1.16%
Aruba Networks, Inc.A		169,700		2,607
Procera Networks, Inc.A		111,519		1,531
				4,138
Computers & Peripherals - 1.11%
Stratasys Ltd.A B		47,300		3,961
Electronic Equipment & Instruments - 1.89%
Hittite Microwave Corp.A		44,100		2,558
OSI Systems, Inc.A		65,100		4,194
				6,752
Internet Software & Services - 5.55%
Athenahealth, Inc.A B		41,202		3,491
Fortinet, Inc.A		101,900		1,783
Infoblox, Inc.A		31,100		910
MercadoLibre, Inc.B		26,900		2,899
Shutterfly, Inc.A		50,472		2,816
Sourcefire, Inc.A		92,400		5,132
Vocera Communications, Inc.A		50,400		741
Zix Corp.		476,300		2,015
				19,787
IT Consulting & Services - 0.59%
Tyler Technologies, Inc.		30,700		2,104
Semiconductor Equipment & Products - 4.53%
Cavium, Inc.A		59,100		2,090

	Shares		Fair Value
			(000’s)
Intermolecular, Inc.A		190,300	$	1,383
Microsemi Corp.		126,330		2,874
Power Integrations, Inc.		92,900		3,768
Rudolph Technologies, Inc.A		162,600		1,821
Semtech Corp.A		120,000		4,205
				16,141
Software - 7.73%
Aspen Technology, Inc.A		167,648		4,826
Bottomline Technologies, Inc.A		67,000		1,694
Cognex Corp.		79,700		3,604
Concur Technologies, Inc.A B		30,700		2,498
inContact, Inc.A		299,300		2,460
MICROS Systems, Inc.A		48,100		2,076
National Instruments Corp.		60,367		1,687
PROS Holdings, Inc.A		123,100		3,687
QLIK Technologies, Inc.A		62,300		1,761
Ultimate Software Group, Inc.A		27,700		3,249
				27,542
Total Information Technology				80,425
MATERIALS - 0.99%
Chemicals - 0.56%
Balchem Corp.		44,100		1,974
Metals & Mining - 0.43%
Mueller Water Products, Inc., Class A		223,800		1,546
Total Materials				3,520
TELECOMMUNICATION SERVICES - 0.54%
Ruckus Wireless, Inc.A B		149,200		1,911
Total Common Stock (Cost $293,246)				349,752
SHORT-TERM INVESTMENTS - 3.26% (Cost $11,604)
JPMorgan U.S. Government Money Market Fund, Capital Class		11,604,106		11,604
SECURITIES LENDING COLLATERAL - 10.02%
American Beacon U.S. Government Money Market Select Fund, Select ClassC		27,703,415		27,703
DWS Government and Agency Securities Portfolio, Institutional Class		7,988,896		7,989
Total Securities Lending Collateral (Cost $35,702)				35,692
TOTAL INVESTMENTS - 111.43% (Cost $340,552)				397,048
LIABILITIES, NET OF OTHER ASSETS - (11.43%)				(40,729	)
TOTAL NET ASSETS - 100.00%			$	356,319

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 June 30, 2013.

^C  The Fund is affiliated by having the same investment advisor.

See accompanying notes

18

American Beacon Stephens Mid-Cap Growth Fund^SM

Schedule of Investments

June 30, 2013 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK - 97.37%
CONSUMER DISCRETIONARY - 21.48%
Auto Components - 1.65%
LKQ Corp.A		48,350	$	1,245
Automobiles - 0.65%
Tesla Motors, Inc.A		4,600		494
Hotels, Restaurants & Leisure - 1.66%
Chipotle Mexican Grill, Inc.A		1,100		401
Panera Bread Co., Class AA		4,600		855
				1,256
Leisure Equipment & Products - 1.16%
Polaris Industries, Inc.		9,250		879
Media - 5.17%
Cinemark Holdings, Inc.		25,050		699
Discovery Communications, Inc., Class CA		17,800		1,240
IMAX Corp.A		25,177		626
Lions Gate Entertainment Corp.A		36,500		1,003
Pandora Media, Inc.A		18,050		332
				3,900
Multiline Retail - 0.92%
Nordstrom, Inc.		11,650		698
Specialty Retail - 8.05%
Cabela’s, Inc.A		16,950		1,098
CarMax, Inc.A		23,950		1,105
Ross Stores, Inc.		16,950		1,099
Tractor Supply Co.		8,350		982
Ulta Salon Cosmetics & Fragrance, Inc.		8,350		836
Urban Outfitters, Inc.A		23,750		955
				6,075
Textiles & Apparel - 2.22%
Lululemon Athletica, Inc.A		10,750		704
Under Armour, Inc., Class AA		16,250		971
				1,675
Total Consumer Discretionary				16,222
CONSUMER STAPLES - 5.62%
Beverages - 2.25%
Brown-Forman Corp., Class B		12,330		833
Monster Beverage Corp.A		14,300		869
				1,702
Food & Drug Retailing - 3.37%
Fresh Market, Inc.A		17,350		863
United Natural Foods, Inc.A		10,100		545
Whole Foods Market, Inc.		22,000		1,132
				2,540
Total Consumer Staples				4,242
ENERGY - 10.12%
Energy Equipment & Services - 7.27%
Core Laboratories N.V.		7,500		1,137
Dril-Quip, Inc.A		10,550		953
Ensco PLC, Class A		8,800		511
FMC Technologies, Inc.A		11,630		648
Oceaneering International, Inc.		13,200		953
Oil States International, Inc.A		7,500		695
Superior Energy Services, Inc.A		22,850		593
				5,490

	Shares		Fair Value
			(000’s)
Oil & Gas - 2.85%
Pioneer Natural Resources Co.		3,300	$	478
Range Resources Corp.		8,600		664
Southwestern Energy Co.A		10,760		393
Whiting Petroleum Corp.A		13,400		618
				2,153
Total Energy				7,643
FINANCIALS - 8.10%
Banks - 2.11%
East West Bancorp, Inc.		27,950		769
SVB Financial GroupA		9,900		824
				1,593
Diversified Financials - 4.30%
Affiliated Managers Group, Inc.A		5,730		939
IntercontinentalExchange, Inc.A		5,950		1,058
Portfolio Recovery Associates, Inc.		8,150		1,253
				3,250
Insurance - 1.69%
ProAssurance Corp.		16,050		837
Radian Group, Inc.		37,550		436
				1,273
Total Financials				6,116
HEALTH CARE - 18.23%
Biotechnology - 2.98%
Alexion Pharmaceuticals, Inc.A		4,200		387
Cepheid, Inc.A		20,650		711
Cubist Pharmaceuticals, Inc.A		3,500		169
Polypore International, Inc.A		8,600		347
QIAGEN N.V.A		31,900		635
				2,249
Health Care Equipment & Supplies - 7.62%
Hologic, Inc.A		32,300		623
Idexx Laboratories, Inc.A		8,150		732
Illumina, Inc.A		14,950		1,119
Intuitive Surgical, Inc.A		1,755		889
ResMed, Inc.		20,650		932
Sirona Dental Systems, Inc.		7,700		507
Varian Medical Systems, Inc.A		7,050		476
Waters Corp.A		4,850		485
				5,763
Health Care Providers & Services - 6.23%
Catamaran Corp.A		21,100		1,028
Cerner Corp.A		15,390		1,479
Covance, Inc.A		11,630		886
Henry Schein, Inc.A		7,695		737
VCA Antech, Inc.A		21,980		573
				4,703
Pharmaceuticals - 1.40%
Salix Pharmaceuticals Ltd.A		9,000		595
Shire PLC, ADRB		4,855		462
				1,057
Total Health Care				13,772
INDUSTRIALS - 11.53%
Aerospace & Defense - 1.27%
B/E Aerospace, Inc.A		15,150		956

19

American Beacon Stephens Mid-Cap Growth Fund^SM

Schedule of Investments

June 30, 2013 (Unaudited)

	Shares		Fair Value
			(000’s)
Commercial Services & Supplies - 5.47%
Clean Harbors, Inc.A		10,750	$	543
CoStar Group, Inc.A		3,950		510
HMS Holdings Corp.A		25,300		589
Stericycle, Inc.A		12,100		1,337
Verisk Analytics, Inc., Class AA		19,350		1,155
				4,134
Electrical Equipment - 0.82%
IPG Photonics Corp.		3,500		213
Roper Industries, Inc.		3,300		409
				622
Machinery - 1.80%
Pall Corp.		7,700		512
Valmont Industries, Inc.		5,950		851
				1,363
Road & Rail - 0.57%
JB Hunt Transport Services, Inc.		5,950		430
Trading Companies & Distributors - 1.60%
Fastenal Co.		10,310		473
MSC Industrial Direct Co., Inc., Class A		9,480		734
				1,207
Total Industrials				8,712
INFORMATION TECHNOLOGY - 20.90%
Communications Equipment - 1.08%
Aruba Networks, Inc.A		27,500		422
Palo Alto Networks, Inc.A		9,250		390
				812
Computers & Peripherals - 1.53%
SanDisk Corp.A		10,100		617
Stratasys Ltd.A		6,400		536
				1,153
Electronic Equipment & Instruments - 0.58%
Trimble Navigation Ltd.A		16,720		435
Internet Software & Services - 4.49%
Akamai Technologies, Inc.A		14,300		608
Athenahealth, Inc.A		5,300		449
Fortinet, Inc.A		41,100		719
MercadoLibre, Inc.		7,950		857
VeriSign, Inc.		16,950		757
				3,390
IT Consulting & Services - 2.40%
Alliance Data Systems Corp.A		5,950		1,077
IHS, Inc., Class AA		7,050		736
				1,813
Semiconductor Equipment & Products - 3.42%
ARM Holdings PLC, ADRB		15,815		572
Cree, Inc.A		8,800		562
Lam Research Corp.A		14,268		633
Microchip Technology, Inc.		21,980		819
				2,586
Software - 7.40%
Ansys, Inc.A		5,050		369
Aspen Technology, Inc.A		21,100		607
Cadence Design Systems, Inc.A		43,300		627
Check Point Software Technologies Ltd.A		11,650		579
MICROS Systems, Inc.A		12,550		542
National Instruments Corp.		20,005		559

	Shares		Fair Value
			(000’s)
Nuance Communications, Inc.A		15,150	$	278
Red Hat, Inc.A		12,540		600
Salesforce.com, Inc.A		11,020		421
SolarWinds, Inc.A		9,000		349
Ultimate Software Group, Inc.A		5,700		669
				5,600
Total Information Technology				15,789
MATERIALS - 1.39%
Airgas, Inc.		11,000		1,050
Total Common Stock (Cost $58,531)				73,546
SHORT-TERM INVESTMENTS - 2.19% (Cost $1,653)
JPMorgan U.S. Government Money Market Fund, Capital Class		1,653,301		1,653
TOTAL INVESTMENTS - 99.56% (Cost $60,184)				75,199
OTHER ASSETS, NET OF LIABILITIES - 0.44%				333
TOTAL NET ASSETS - 100.00%			$	75,532

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

^B ADR - American Depositary Receipt.

See accompanying notes

20

American Beacon Funds^SM

Statements of Assets and Liabilities

June 30, 2013 (Unaudited) (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	$	65,867	$	73,884	$	369,345	$	75,199
Investments in affiliated securities, at fair value B		—		—		27,703		—
Deposits with brokers for futures contracts		70		67		—		—
Receivable for investments sold		420		—		1,090		70
Dividends and interest receivable		71		28		34		10
Receivable for fund shares sold		520		19		15,329		361
Receivable for tax reclaims		—		—		1		—
Receivable for expense reimbursement (Note 2)		12		7		13		7
Prepaid expenses		25		13		65		38
Total assets		66,985		74,018		413,580		75,685
Liabilities:
Payable for investments purchased		637		—		18,551		—
Payable upon return of securities loaned		—		—		35,692		—
Payable for fund shares redeemed		2		16		2,345		4
Payable for variation margin from open futures contracts		8		7		—		—
Management and investment advisory fees payable		59		77		525		92
Administrative service and service fees payable		21		41		131		31
Transfer agent fees payable		5		2		5		5
Custody and fund accounting fees payable		—		1		5		2
Professional fees payable		7		6		6		10
Trustee fees payable		—		—		—		2
Payable for prospectus and shareholder reports		—		11		4		7
Other liabilities		—		1		—		—
Total liabilities		739		162		57,264		153
Net Assets	$	66,246	$	73,856	$	356,316	$	75,532
Analysis of Net Assets:
Paid-in-capital		55,489		47,293		293,062		58,732
Undistributed net investment income		229		6		94		(142	)
Accumulated net realized gain		1,821		4,122		6,654		1,927
Unrealized appreciation of investments and futures contracts		8,707		22,435		56,506		15,015
Net assets	$	66,246	$	73,856	$	356,316	$	75,532
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		2,162,435		77,837		12,863,261		2,164,576
Y Class		354,757		4,758		1,365,886		61,882
Investor Class		547,808		2,911,626		9,066,846		1,651,304
A Class		465,279		23,584		471,573		685,894
C Class		38,250		22,644		80,211		46,151
Net assets (not in thousands):
Institutional Class	$	40,221,397	$	1,901,402	$	195,755,190	$	37,463,083
Y Class	$	6,587,983	$	116,111	$	20,768,746	$	1,071,010
Investor Class	$	10,143,753	$	70,726,252	$	131,807,531	$	25,643,623
A Class	$	8,593,057	$	570,184	$	6,834,152	$	10,644,747
C Class	$	700,143	$	541,985	$	1,150,806	$	709,524
Net asset value, offering and redemption price per share:
Institutional Class	$	18.60	$	24.43	$	15.22	$	17.31
Y Class	$	18.57	$	24.41	$	15.21	$	17.31
Investor Class	$	18.52	$	24.29	$	14.54	$	15.53
A Class	$	18.47	$	24.18	$	14.49	$	15.52
A Class (offering price)	$	19.60	$	25.66	$	15.38	$	16.47
C Class	$	18.30	$	23.94	$	14.35	$	15.37
A Cost of investments in unaffiliated securities	$	57,162	$	51,427	$	312,849	$	60,184
B Cost of investments in affiliated securities	$	—	$	—	$	27,703	$	—
C Fair value of securities on loan	$	—	$	—	$	34,837	$	—

21

American Beacon Funds^SM

Statements of Operations

For the Six Months Ended June 30, 2013 (Unaudited) (in thousands)

	Bridgeway Large Cap Value Fund			Holland Large Cap Growth Fund			Stephens Small Cap Growth Fund			Stephens Mid-Cap Growth Fund
Investment Income:
Dividend income from unaffiliated securities (net of foreign taxes) A	$	449		$	377		$	303		$	137
Income derived from securities lending, net		—			—			142			—
Total investment income		449			377			445			137
Expenses:
Management and investment advisory fees (Note 2)		101			160			979			180
Administrative service fees (Note 2):
Institutional Class		52			3			248			52
Y Class		1			—			16			1
Investor Class		6			105			144			32
A Class		10			1			9			18
C Class		1			1			2			1
Transfer agent fees:
Institutional Class		13			—			18			7
Y Class		—			—			—			1
Investor Class		1			5			2			3
A Class		—			—			—			1
C Class		—			—			—			1
Custody and fund accounting fees		5			6			12			3
Professional fees		20			14			25			21
Registration fees and expenses		49			57			54			46
Service fees (Note 2):
Y Class		—			—			5			—
Investor Class		7			131			180			40
A Class		4			—			3			7
C Class		—			—			1			—
Distribution fees (Note 2):
A Class		6			1			6			12
C Class		1			2			4			2
Prospectus and shareholder report expenses		8			10			18			7
Trustee fees		1			3			6			2
Other expenses		2			3			5			3
Total expenses		288			502			1,737			440
Net fees waived and expenses reimbursed (Note 2)		(76	)		(41	)		(75	)		(45	)
Net expenses		212			461			1,662			395
Net investment income		237			(84	)		(1,217	)		(258	)
Realized and unrealized gain (loss) from investments:
Net realized gain (loss) from:
Investments		1,529			3,598			7,187			1,939
Commission recapture (Note 3)		—			2			—			—
Futures contracts		(101	)		234			—			—
Change in net unrealized appreciation or (depreciation) of:
Investments		3,968			5,033			36,634			6,099
Futures contracts		3			(33	)		—			—
Net gain from investments		5,399			8,834			43,821			8,038
Net increase in net assets resulting from operations	$	5,636		$	8,750		$	42,604		$	7,780
A Foreign taxes	$	—		$	2		$	—		$	1

See accompanying notes

22

American Beacon Funds^SM

Statements of Changes of Net Assets (in thousands)

	Bridgeway Large Cap Value Fund								Holland Large Cap Growth Fund
	Six Months Ended June 30, 2013		Six Months Ended Dec. 31, 2012			Year Ended June 30, 2012			Six Months Ended June 30, 2013			Year Ended Dec. 31, 2012
	(unaudited)								(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	237	$	317		$	455		$	(84	)	$	55
Net realized gain from investments and futures contracts		1,428		1,722			2,132			3,834			4,191
Change in net unrealized appreciation or (depreciation) from investments and futures contracts		3,971		345			(1,989	)		5,000			2,958
Net increase in net assets resulting from operations		5,636		2,384			598			8,750			7,204
Distributions to Shareholders:
Net investment income:
Institutional Class		—		(486	)		(357	)A		—			(6	)
Y Class		—		(1	)		—			—			—
Investor Class		—		(8	)		—			—			(41	)
A Class		—		(6	)		—			—			(1	)
C Class		—		—			—			—			(1	)
Net realized gain from investments:
Institutional Class		—		—			—			—			(84	)
Y Class		—		—			—			—			(1	)
Investor Class		—		—			—			—			(3,479	)
A Class		—		—			—			—			(27	)
C Class		—		—			—			—			(15	)
Net distributions to shareholders		—		(501	)		(357	)		—			(3,655	)
Net increase (decrease) in net assets from capital share transactions		33,085		(1,818	)		(2,428	)		(3,852	)		5,522
Net increase (decrease) in net assets		38,721		65			(2,187	)		4,898			9,071
Net Assets:
Beginning of period		27,525		27,460			29,647			68,958			59,887
End of Period *	$	66,246	$	27,525		$	27,460		$	73,856		$	68,958
*Includes undistributed net investment income (loss) of	$	229	$	13		$	200		$	6		$	6
A Formerly known as Class N

See accompanying notes

23

American Beacon Funds^SM

Statements of Changes in Net Assets (in thousands)

	Stephens Small Cap Growth Fund									Stephens Mid-Cap Growth Fund
	Six Months Ended June 30, 2013			One Month Ended Dec. 31, 2012			Year Ended Nov. 30, 2012			Six Months Ended June 30, 2013			One Month Ended Dec. 31, 2012			Year Ended Nov. 30, 2012
	(unaudited)									(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(1,217	)	$	95		$	(1,077	)	$	(258	)	$	72		$	(274	)
Net realized gain from investments and futures contracts		7,187			254			13,655			1,939			64			1,325
Change in net unrealized appreciation or (depreciation) from investments and futures contracts		36,634			3,482			(1,894	)		6,099			665			3,884
Net increase in net assets resulting from operations		42,604			3,831			10,684			7,780			801			4,935
Distributions to Shareholders:
Net investment income:
Institutional Class		—			—			—	A		—			—			—	A
Investor Class		—			—			—	B		—			—			—	B
Net realized gain from investments:
Institutional Class		(500	)		(6,551	)		(4,196	)A		(144	)		(157	)		—	A
Y Class		(29	)		(281	)		—			(4	)		(1	)		—
Investor Class		(337	)		(4,449	)		(3,533	)B		(94	)		(109	)		—	B
A Class		(15	)		(196	)		—			(44	)		(42	)		—
C Class		(3	)		(22	)		—			(2	)		(2	)		—
Net distributions to shareholders		(884	)		(11,499	)		(7,729	)		(288	)		(311	)		—
Net increase in net assets from capital share transactions		106,425			53,535			59,912			10,472			1,051			17,851
Net increase in net assets		148,145			45,867			62,867			17,964			1,541			22,786
Net Assets:
Beginning of period		208,171			162,304			99,437			57,568			56,027			33,241
End of Period *	$	356,316		$	208,171		$	162,304		$	75,532		$	57,568		$	56,027
*Includes undistributed net investment income (loss) of	$	94		$	95		$	—		$	(142	)	$	72		$	—

^A Formerly known as Class I.

^B Formerly known as Class A.

See accompanying notes

24

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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.

Class Disclosure

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.

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, fund management, and securities lending 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 for the Funds. Management fees paid by the Funds during the six months ended June 30, 2013 were as follows (in thousands):

	Management Fee Rate			Management Fee		Amounts paid to Investment Advisors		Net Amounts Retained by Manager
Bridgeway Large Cap Value		0.44	%	$	101	$	89	$	12
Holland Large Cap Growth		0.44	%		160		142		18
Stephens Small Cap Growth		0.70	%		979		894		85
Stephens Mid-Cap Growth		0.54	%		180		163		17

25

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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 0.30% of the average daily net assets of the Institutional, Y, and Investor Classes of the Fund 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, has 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 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. 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.

Service Plans

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.

Investment in Affiliated Funds

The Funds may invest in the American Beacon Money Market 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 investment advisor to the Select Funds and receives from the Select Funds an annualized fee up to 0.09% of the average daily net assets of the Select Fund. During the six months ended June 30, 2013, the Manager earned $11,034 from the Stephens Small Cap Growth Fund’s investment in the Select Funds.

Interfund Lending Program

Pursuant to an exemptive order issued by the Securities and Exchange Commission (“SEC”), the Fund, 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 Fund to borrow from other participating Funds. During the six months ended June 30, 2013, the Stephens Mid-Cap Growth Fund borrowed from the American Beacon Large Cap Value Fund $431,989 for one day at 0.81% with interest charges of $9.49 and the American Beacon Short-Term Bond Fund $246,690 for one day at 0.79% with interest charges of $5.34.

26

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

Expense Reimbursement Plan

The Manager contractually agreed to reimburse the following Funds to the extent that total annual fund operating expenses exceeded the Funds’ expense cap. For the period ended June 30, 2013, the Manager waived or reimbursed expenses as follows:

Fund	Class	Expense Cap			Waived or Reimbursed Expenses		Expiration
Bridgeway Large Cap Value	Institutional		0.84	%	$	63,453		2016
Bridgeway Large Cap Value	Y		0.94	%		857		2016
Bridgeway Large Cap Value	Investor		1.22	%		5,496		2016
Bridgeway Large Cap Value	A		1.34	%		6,107		2016
Bridgeway Large Cap Value	C		2.09	%		346		2016
Holland Large Cap Growth	Institutional		0.89	%		1,275		2016
Holland Large Cap Growth	Y		0.99	%		41		2016
Holland Large Cap Growth	Investor		1.27	%		39,202		2016
Holland Large Cap Growth	A		1.39	%		262		2016
Holland Large Cap Growth	C		2.14	%		180		2016
Stephens Small Cap Growth	Institutional		1.09	%		20,648		2016
Stephens Small Cap Growth	Y		1.19	%		91		2016
Stephens Small Cap Growth	Investor		1.35	%		53,928		2016
Stephens Small Cap Growth	A		1.59	%		76		2016
Stephens Small Cap Growth	C		2.34	%		4		2016
Stephens Mid-Cap Growth	Institutional		0.99	%		24,437		2016
Stephens Mid-Cap Growth	Y		1.09	%		1,178		2016
Stephens Mid-Cap Growth	Investor		1.37	%		12,840		2016
Stephens Mid-Cap Growth	A		1.49	%		5,916		2016
Stephens Mid-Cap Growth	C		2.24	%		1,118		2016

Of these amounts, $11,956, $7,013, $13,389 and $6,864 were receivable from the Manager at June 30, 2013 for the Bridgeway Large Cap Value, Holland Large Cap Growth, Stephens Small Cap Growth, and Stephens Mid-Cap Growth Funds, respectively. The Funds have 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. The reimbursed expenses above will expire in 2016. The carryover of excess expenses potentially reimbursable to the Manager is as follows:

Fund	Recovered Expenses		Excess Expense Carryover		Expiration of Reimbursed Expenses
Bridgeway Large Cap Value	$	—	$	125,600		2015
Holland Large Cap Growth		—		62,458		2015
Stephens Small Cap Growth		—		30,434		2015
Stephens Mid-Cap Growth		—		15,532		2015

For the period ended June 30, 2013, the Funds did not record a liability for potential reimbursements, due to the current assessment that a reimbursement is unlikely.

Sales Commissions

The Funds’ 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. During the six months ended April 30, 2013, Foreside collected $3,645, $272, $10,590 and $15,298 for the Bridgeway Large Cap Value, Holland Large Cap Growth, Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds, respectively, from the sale of Class A 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

27

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

redeemed. During the six months ended June 30, 2013 CDSC fees of $395 were collected from the Stephens Small Cap Growth 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. Equity securities, including exchange-traded funds (“ETFs”) 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 open-end 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 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

28

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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. Generally Accepted Accounting Principles (“U.S. GAAP”) also requires all transfers between 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 six months ended June 30, 2013, there were no transfers between levels. As of June 30, 2013, the investments were classified as described below (in thousands):

Bridgeway Large Cap Value Fund1	Level 1		Level 2		Level 3		Total
Common Stock	$	63,794	$	—	$	—	$	63,794
Short-Term Investments – Money Markets		2,073		—		—		2,073
Total Investments in Securities	$	65,867	$	—	$	—	$	65,867
Derivative Financial Instruments2
Assets:
Equity Contracts	$	2	$	—	$	—	$	2
Total	$	2	$	—	$	—	$	2

Certain of the Fund’s assets are held at carrying amount, which approximates fair value for financial statement purposes. As of June 30, 2013, such assets are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2		Level 3		Total
Assets:
Deposits with brokers for futures contracts	$	70	$	—	$	—	$	70
Total	$	70	$	—	$	—	$	70

Holland Large Cap Growth Fund1	Level 1			Level 2		Level 3		Total
Common Stock	$	72,292		$	—	$	—	$	72,292
Short-Term Investments – Money Markets		1,592			—		—		1,592
Total Investments in Securities	$	73,884		$	—	$	—	$	73,884
Derivative Financial Instruments2
Assets:
Equity Contracts	$	(22	)	$	—	$	—	$	(22	)
Total	$	(22	)	$	—	$	—	$	(22	)

Certain of the Fund’s assets are held at carrying amount, which approximates fair value for financial statement purposes. As of June 30, 2013, such assets are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2		Level 3		Total
Assets:
Deposits with brokers for futures contracts	$	67	$	—	$	—	$	67
Total	$	67	$	—	$	—	$	67

Stephens Small Cap Growth Fund1	Level 1		Level 2		Level 3		Total
Common Stock	$	349,752	$	—	$	—	$	349,752
Short-Term Investments – Money Markets		11,604		—		—		11,604
Securities Lending Collateral Invested in Money Markets		35,692		—		—		35,692
Total Investments in Securities	$	397,048	$	—	$	—	$	397,048

Stephens Mid-Cap Growth Fund1	Level 1		Level 2		Level 3		Total
Common Stock	$	73,546	$	—	$	—	$	73,546
Short-Term Investments – Money Markets		1,653		—		—		1,653
Total Investments in Securities	$	75,199	$	—	$	—	$	75,199

29

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

¹  Refer to the Schedules of Investments for industry information.

²  Derivative financial instruments financial futures contracts. Financial futures contracts are valued at the unrealized appreciation or (depreciation) on the instrument.

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 enters into a commitment to purchase a security, the transaction is recorded, and the value of the security is reflected in the NAV. The value of the security may vary with market fluctuations.

Dividend income, 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 Fund. Any collateral benefit received through participation in the commission recapture program is directed exclusively to the Fund. This amount is reported with the net realized gain in the Funds’ Statement 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.

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.

30

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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-characterize 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.

Other Investment Company Securities and Other Exchange Traded Products

The Funds may invest in shares of other investment companies, including open-end funds, closed-end funds, business development companies, ETFs, exchange-traded notes (“ETNs”), unit investment trusts, and other investment companies of the Trust. The Funds may invest in investment company securities advised by the Manager or a sub-advisor. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, a Fund becomes a shareholder of that investment company. As a result, Fund shareholders indirectly will bear a Fund’s proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses Fund shareholders directly bear in connection with the Fund’s own operations. These other fees and expenses are reflected as Acquired Fund Fees and Expenses and are included in the Fees and Expenses Table for the Fund in its Prospectus, if applicable. Investments in other investment companies may involve the payment of substantial premiums above the value of such issuer’s portfolio securities.

5. Derivative Financial Instruments

The Funds engage in various portfolio strategies using derivative contracts both to increase the returns of the Funds and/or to economically hedge their exposure to equity risks. These contracts may be transacted on an exchange or OTC.

Futures Contracts

Futures contracts obligate a purchaser to take delivery of a specific amount of an obligation underlying the futures contract at a specified time in the future for a specified price. Likewise, the seller incurs an obligation to deliver the specified amount of the underlying obligation against receipt of the specified price. Futures are traded on both U.S. and foreign commodities exchanges. Futures contracts will be traded for the same purposes as entering into forward contracts. The purchase of futures can serve as a long hedge, and the sale of futures can serve as a short hedge.

No price is paid upon entering into a futures contract. Instead, at the inception of a futures contract a Fund is required to deposit “initial deposit” consisting of cash or U.S. Government Securities in an amount set by the exchange on which the contract is traded and varying based on the volatility of the underlying asset. Margin must also be deposited when writing a call or put option on a futures contract, in accordance with applicable exchange rules. Unlike margin in securities transactions, initial margin on futures contracts does not represent a borrowing, but rather is in the nature of a performance bond or good-faith deposit that is returned to a Fund at the termination of the transaction if all contractual obligations have been satisfied. Under certain circumstances, such as periods of high volatility, a Fund may be required by a futures exchange to increase the level of its initial margin payment, and initial margin requirements might be increased generally in the future by regulatory action.

31

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

Subsequent “variation margin” payments are made to and from the futures broker daily as the value of the futures position varies, a process known as “marking-to-market.” Variation margin does not involve borrowing, but rather represents a daily settlement of a Fund’s obligations to or from a futures broker. When a Fund purchases or sells a futures contract, it is subject to daily variation margin calls that could be substantial in the event of adverse price movements. If a Fund has insufficient cash to meet daily variation margin requirements, it might need to sell securities at a time when such sales are disadvantageous.

Purchasers and sellers of futures contracts can enter into offsetting closing transactions, by selling or purchasing, respectively, an instrument identical to the instrument purchased or sold. Positions in futures contracts may be closed only on a futures exchange or board of trade that provides a secondary market. A Fund intends to enter into futures contracts only on exchanges or boards of trade where there appears to be a liquid secondary market. However, there can be no assurance that such a market will exist for a particular contract at a particular time. In such event, it may not be possible to close a futures contract.

Although futures contracts by their terms call for the actual delivery or acquisition of securities or currency, in most cases the contractual obligation is fulfilled before the date of the contract without having to make or take delivery of the securities or currency. The offsetting of a contractual obligation is accomplished by buying (or selling, as appropriate) on a commodities exchange an identical futures contract calling for delivery in the same month. Such a transaction, which is effected through a member of an exchange, cancels the obligation to make or take delivery of the securities or currency. Since all transactions in the futures market are made, offset or fulfilled through a clearinghouse associated with the exchange on which the contracts are traded, a Fund will incur brokerage fees when it purchases or sells futures contracts.

Under certain circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price; once that limit is reached, no trades may be made that day at a price beyond the limit. Daily price limits do not limit potential losses because prices could move to the daily limit for several consecutive days with little or no trading, thereby preventing liquidation of unfavorable positions.

If a Fund were unable to liquidate a futures contract due to the absence of a liquid secondary market or the imposition of price limits, it could incur substantial losses. A Fund would continue to be subject to market risk with respect to the position. In addition, a Fund would continue to be required to make daily variation margin payments and might be required to maintain the position being hedged by the futures contract or option thereon or to maintain cash or securities in a segregated account.

The ordinary spreads between prices in the cash and futures market, due to differences in the nature of those markets, are subject to distortions. First, all participants in the futures market are subject to initial deposit and variation margin requirements. Rather than meeting additional variation margin deposit requirements, investors may close futures contracts through offsetting transactions that could distort the normal relationship between the cash and futures markets. Second, the liquidity of the futures market depends on participants entering into offsetting transactions rather than making or taking delivery. To the extent participants decide to make or take delivery, liquidity in the futures market could be reduced, thus producing distortion. Third, from the point of view of speculators, the margin deposit requirements in the futures market are less onerous than margin requirements in the securities market. Therefore, increased participation by speculators in the futures market may cause temporary price distortions. Due to the possibility of distortion, a correct forecast of securities price or currency exchange rate trends by a sub-advisor may still not result in a successful transaction.

In addition, futures contracts entail risks. Although the use of such contracts may benefit a Fund, if investment judgment about the general direction of, for example, an index is incorrect, a Fund’s overall performance would be worse than if it had not entered into any such contract. In addition, there are differences between the securities and futures markets that could result in an imperfect correlation between the markets, causing a given transaction not to achieve its objectives.

32

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

The following is a summary of the Fund’s derivative financial instruments categorized by risk exposure (in thousands) ^(1) (3):

Fair Values of derivative financial instruments as of June 30, 2013 (000’s):

		Bridgeway Large Cap Value		Holland Large Cap Growth
Statements of Assets and Liabilities	Derivative
Unrealized appreciation or (depreciation) of investments and futures contracts(2)	Equity Contracts	$	2	$	(22	)

The effect of derivative financial instruments during the six months ended June 30, 2013 (000’s):

Statements of Operations
Net realized gain (loss) from futures contracts	Equity Contracts	(101	)	234
Change in net unrealized appreciation or (depreciation) of futures contracts	Equity Contracts	3		(33	)

⁽¹⁾  See Note 3 in the Notes to Financial Statements for additional information.

⁽²⁾  Includes only current day’s variation margin as reported within the Statements of Assets and Liabilities. Cumulative appreciation or (depreciation) of futures contracts is reported in the Schedule of Investments footnotes.

⁽³⁾  The volume of derivative activity described above is reflective of the derivative activity through the current period of operations.

For the six months ended June 30, 2013, the average quarterly balances of outstanding derivative financial instruments were as follows:

	Bridgeway Large Cap Value		Holland Large Cap Growth
Financial futures contracts:
Average Number of Contracts Purchased		5		3
Average Number of Contracts Sold		13		2
Average Value of Contracts Purchased	$	402,396	$	260,520
Average Value of Contracts Sold	$	968,604	$	128,177

Counterparty Credit Risk

A derivative contract may suffer a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract. With exchange traded futures, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.

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, 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 Statement of Operations.

33

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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 were as follows (in thousands):

	Bridgeway Large Cap Value						Holland Large Cap Growth
	Six Months Ended June 30, 2013		Six Months Ended December 31, 2012		Year Ended June 30, 2012		Six Months Ended June 30, 2013		Year Ended December 31, 2012
	(unaudited)						(unaudited)
Distributions paid from:
Ordinary income*
Institutional Class	$	—	$	486	$	357	$	—	$	6
Y Class		—		1		—		—		—
Investor Class		—		8		—		—		41
A Class		—		6		—		—		1
C Class		—		—		—		—		1
Long-Term Capital Gain
Institutional Class		—		—		—		—		84
Y Class		—		—		—		—		1
Investor Class		—		—		—		—		3,479
A Class		—		—		—		—		27
C Class		—		—		—		—		15
Total distributions paid	$	—	$	501	$	357	$	—	$	3,655

	Stephens Small Cap Growth						Stephens Mid-Cap Growth
	Six Months Ended June 30, 2013		One Month Ended December 31, 2012		Year Ended November 30, 2012		Six Months Ended June 30, 2013		One Month Ended December 31, 2012		Year Ended November 30, 2012
	(unaudited)						(unaudited)
Distributions paid from:
Ordinary income*
Institutional Class	$	—	$	27	$	—	$	—	$	—	$	—
Y Class		—		1		—		—		—		—
Investor Class		—		18		—		—		—		—
A Class		—		1		—		—		—		—
C Class		—		—		—		—		—		—
Long-Term Capital Gain
Institutional Class		500		6,524		4,196		144		157		—
Y Class		29		280		—		4		1		—
Investor Class		337		4,431		3,533		94		109		—
A Class		15		195		—		44		42		—
C Class		3		22		—		2		2		—
Total distributions paid	$	884	$	11,499	$	7,729	$	288	$	311	$	—

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

As of June 30, 2013, the components of distributable earnings or (deficits) on a tax basis were as follows (in thousands):

	Bridgeway Large Cap Value			Holland Large Cap Growth			Stephens Small Cap Growth			Stephens Mid-Cap Growth
Cost basis of investments for federal income tax purposes	$	57,196		$	51,605		$	341,510		$	60,238
Unrealized appreciation		9,020			22,984			61,741			16,100
Unrealized depreciation		(349	)		(705	)		(6,203	)		(1,139	)
Net unrealized appreciation or (depreciation)		8,671			22,279			55,538			14,961
Undistributed ordinary income		230			190			94			(142	)
Accumulated long-term gain or (loss)		1,854			4,116			7,622			1,981
Other temporary differences		2			(22	)		—			—
Distributable earnings or (deficits)	$	10,757		$	26,563		$	63,254		$	16,800

34

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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 and the realization for tax purposes of unrealized gains or (losses) on certain derivative instruments.

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 realization for tax purposes of unrealized gains or (losses) on certain derivative instruments and prior period adjustments to income and expense as of June 30, 2012 (in thousands):

	Bridgeway Large Cap Value			Holland Large Cap Growth			Stephens Small Cap Growth			Stephens Mid-Cap Growth
Paid-in-capital	$	—		$	—		$	(1,217	)	$	—
Undistributed net investment income		(21	)		83			1,217			44
Accumulated net realized gain (loss)		21			(83	)		—			(44	)
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 regulated investment companies. The changes are generally effective for taxable years beginning after the date of enactment. One of the more prominent changes addresses capital loss carryforwards. Under the 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.

As of June 30, 2013, the Fund had $0 net capital loss carryforwards

7. Investment Transactions

The aggregate cost of purchases and proceeds from sales and maturities of long-term investments during the year ended June 30, 2013 were as follows (in thousands):

	Bridgeway Large Cap Value		Holland Large Cap Growth		Stephens Small Cap Growth		Stephens Mid-Cap Growth
Purchases (excluding U.S. government securities)	$	39,608	$	9,575	$	153,910	$	17,200
Sales and maturities (excluding U.S. government securities)		8,493		12,363		50,115		8,731

35

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

A summary of the Funds’ direct transactions in Select Funds for the year ended June 30, 2013 is set forth below (in thousands):

	Affiliate		December 31, 2012 Shares/Fair Value		Purchases		Sales		June 30, 2013 Shares/Fair Value
Stephens Small Cap Growth		USG Select Fund	$	9,303	$	87,424	$	69,024	$	27,703

8. Securities Lending

The Stephens Small Cap Growth Fund (“Fund”) may lend securities to approved borrowers, such as banks, brokers and other financial institutions. The borrower pledges cash or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Fund should have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. 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. If the market value of the loaned securities falls below 100%, the borrower is required to delivery additional collateral to the Fund. Securities lending income, as disclosed in the Statements of Operations, represents the income earned from the investment of the cash collateral, the net of fees paid by and rebates paid to borrowers and less the fees paid to the securities lending agent, Brown Brothers Harriman (“BBH”), and the Fund’s investment adviser, American Beacon Advisors, Inc. for its administration and oversight functions, including oversight of the of the securities lending agent. During the term of the loan, the Fund earns dividend or interest income, or the equivalent, 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 market value of securities on loan and the value of the related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value, and collateral on securities loaned at value, respectively. The cash collateral invested by the securities lending agent, BBH, if any, is disclosed in the Schedule of Investments.

Securities lending transactions are entered into by the Fund under Master Securities Lending Agreements (“MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Fund would offset the market value of the collateral received against the market value of the securities loaned. The value of the collateral is typically greater than that of the market value of the securities loaned, leaving the lender with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the Fund can reinvest cash collateral, or, upon an event of default, resell or repledge the collateral, and the borrower can resell or repledge the loaned securities.

The following table is a summary of Stephens Small Gap Growth Fund’s open securities lending agreements by counterparty which are subject to offset under a MSLA as of June 30, 2013 (in thousands):

Counterparty	Fair Value of Securities on Loan		Non-Cash Collateral		Cash Collateral Posted by Borrower Collateral1		Net Amount
Barclays Capital, Inc.	$	4,181,622	$	—	$	4,181,622	$	—
BNP Paribas S.A.		52,076		—		52,076		—
Citigroup Global Markets, Inc.		4,679,163		—		4,679,163		—
Credit Suisse Securities (USA) LLC		4,035,533		—		4,035,533		—
Deutsche Bank Securities, Inc.		14,811,450		—		14,811,450		—
Goldman Sachs & Co.		22,221,176		—		22,221,176		—
INC Financial Markets LLC		317,608		—		317,608		—
JP Morgan Clearing Corp.		3,252,528		—		3,252,528		—
Scotia Capital USA, Inc.		600,362		—		600,362		—

36

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

Counterparty	Fair Value of Securities on Loan		Non-Cash Collateral		Cash Collateral Posted by Borrower Collateral1		Net Amount
SG Americas Securities LLC	$	194,712	$	—	$	194,712	$	—
USB Securities LLC		489,686		—		489,686		—
Total	$	34,837,256	$	—	$	34,837,256	$	—

¹  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. Collateral with a value of $35,692,310 has been received in connection with securities lending transactions.

The risks of securities lending also include the risk that the borrower may not provide additional collateral when required, may not return the securities when due, or may default or otherwise become insolvent. To mitigate this risk, the Fund benefits from a borrower default indemnity provided by BBH. BBH’s indemnity allows for full replacement of securities lent. Also, the securities in which the collateral is invested may not perform sufficiently to cover the return collateral payments owed to borrowers. The Fund attempts to minimize this risk by limiting the investment of cash collateral to registered money market funds. In addition, delays may occur in the recovery of securities from borrowers, which could interfere with the Fund’s ability to vote proxies or to settle transactions. During the six months ended June 30, 2013, any securities on loan were collateralized by cash.

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.

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 Fund (dollars and shares in thousands):

For the Six months Ended June 30, 2013

	Institutional Class						Y Class						Investor Class
Bridgeway Large Cap Value Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		697		$	12,491			353		$	6,615			540		$	9,759
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(217	)		(3,925	)		(1	)		(12	)		(23	)		(411	)
Net increase in shares outstanding		480		$	8,566			352		$	6,603			517		$	9,348

	A Class						C Class
Bridgeway Large Cap Value Fund	Shares			Amount			Shares		Amount
Shares sold		456		$	8,091			37	$	673
Reinvestment of dividends		—			—			—		—
Shares redeemed		(10	)		(190	)		—		(6	)
Net increase in shares outstanding		446		$	7,901			37	$	667

37

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

	Institutional Class						Y Class				Investor Class
Holland Large Cap Growth Fund	Shares			Amount			Shares		Amount		Shares			Amount
Shares sold		5		$	111			4	$	85		53		$	1,250
Reinvestment of dividends		—			—			—		—		—			—
Shares redeemed		(2	)		(42	)		—		—		(235	)		(5,528	)
Net increase (decrease) in shares outstanding		3		$	69			4	$	85		(182	)	$	(4,278	)

	A Class						C Class
Holland Large Cap Growth Fund	Shares			Amount			Shares			Amount
Shares sold		5		$	116			12		$	294
Reinvestment of dividends		—			—			—			—
Shares redeemed		(3	)		(69	)		(3	)		(69	)
Net increase in shares outstanding		2		$	47			9		$	225

	Institutional Class						Y Class						Investor Class
Stephens Small Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		4,043		$	57,518			1,113		$	16,159			4,189		$	57,964
Reinvestment of dividends		34			488			1			24			24			334
Shares redeemed		(1,250	)		(17,965	)		(100	)		(1,452	)		(763	)		(10,388	)
Net increase in shares outstanding		2,827		$	40,041			1,014		$	14,731			3,450		$	47,910

	A Class						C Class
Stephens Small Cap Growth Fund	Shares			Amount			Shares			Amount
Shares sold		249		$	3,466			56		$	753
Reinvestment of dividends		1			13			—			3
Shares redeemed		(31	)		(436	)		(4	)		(56	)
Net increase in shares outstanding		219		$	3,043			52		$	700

	Institutional Class						Y Class						Investor Class
Stephens Mid-Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		281		$	4,725			44		$	731			479		$	7,158
Reinvestment of dividends		8			142			—			3			6			90
Shares redeemed		(141	)		(2,362	)		(6	)		(111	)		(178	)		(2,620	)
Net increase in shares outstanding		148		$	2,505			38		$	623			307		$	4,628

	A Class						C Class
Stephens Mid-Cap Growth Fund	Shares			Amount			Shares		Amount
Shares sold		201		$	2,998			24	$	368
Reinvestment of dividends		2			26			—		2
Shares redeemed		(45	)		(672	)		—		(6	)
Net increase in shares outstanding		158		$	2,352			24	$	364

For the Period 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

38

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

	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

	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

	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

39

American Beacon Bridgeway Large Cap Value Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional ClassG
	Six Months Ended June 30,			Six Months Ended Dec. 31,			Year Ended June 30,
	2013			2012			2012			2011			2010			2009
	(unaudited)
Net asset value, beginning of period	$	15.85		$	14.80		$	14.62		$	11.44		$	9.74		$	13.63
Income from investment operations:
Net investment income		0.08			0.20			0.24			0.20	B		0.19	B		0.23	B
Net gains (losses) on investments (both realized and unrealized)		2.67			1.14			0.12			3.21			1.73			(3.89	)
Total income (loss) from investment operations		2.75			1.34			0.36			3.41			1.92			(3.66	)
Less distributions:
Dividends from net investment income		—			(0.29	)		(0.18	)		(0.23	)		(0.22	)		(0.23	)
Distributions from net realized gains		—			—			—			—			—			—
Total distributions		—			(0.29	)		(0.18	)		(0.23	)		(0.22	)		(0.23	)
Net asset value, end of period	$	18.60		$	15.85		$	14.80		$	14.62		$	11.44		$	9.74
Total return C		17.35	%D		9.04	%D		2.60	%		30.02	%		19.65	%		(26.88	)%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	40,220		$	26,669		$	26,950		$	29,647		$	25,534		$	27,996
Ratios to average net assets:
Expenses, before reimbursements		1.20	%E		1.73	%E		1.30	%		1.17	%		1.11	%		0.98	%
Expenses, net of reimbursements		0.84	%E		0.84	%E		0.82	%		0.84	%		0.84	%		0.84	%
Net investment income (loss), before reimbursements		0.81	%E		1.38	%E		1.17	%		1.17	%		1.32	%		2.06	%
Net investment income (loss), net of reimbursements		1.17	%E		2.27	%E		1.66	%		1.50	%		1.58	%		2.20	%
Portfolio turnover rate		19	%D		21	%D		36	%		43	%		49	%		65	%

^A  Commencement of operations.

^B  Per share amounts calculated based on average daily shares outstanding during the period.

^C  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.

^D  Not annualized.

^E  Annualized.

^F  Portfolio turnover rate is for the period from July 1, 2011 to June 30, 2012.

^G  Prior to the reorganization on February 3, 2012, the Institutional Class was known as Class N.

40

American Beacon Bridgeway Large Cap Value Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class									Investor Class									A Class									C Class
Six Months Ended June 30, 2013			Six Months Ended Dec. 31, 2012			Feb. 3A to June 30, 2012			Six Months Ended June 30, 2013			Six Months Ended Dec. 31, 2012			Feb. 3A to June 30, 2012			Six Months Ended June 30, 2013			Six Months Ended Dec. 31, 2012			Feb. 3A to June 30, 2012			Six Months Ended June 30, 2013			Six Months Ended Dec. 31, 2012			Feb. 3A to June 30, 2012
(unaudited)									(unaudited)									(unaudited)									(unaudited)
$	15.84		$	14.80		$	14.46		$	15.81		$	14.78		$	14.46		$	15.78		$	14.77		$	14.46		$	15.70		$	14.73		$	14.46
	0.14			0.07			0.09			0.15			0.12			0.03			0.16			0.15			0.01			0.18			0.09			0.02
	2.59			1.26			0.25			2.56			1.19			0.29			2.53			1.15			0.30			2.42			1.17			0.25
	2.73			1.33			0.34			2.71			1.31			0.32			2.69			1.30			0.31			2.60			1.26			0.27
	—			(0.29	)		—			—			(0.28	)		—			—			(0.29	)		—			—			(0.29	)		—
	—			—			—			—			—			—			—			—			—			—			—			—
	—			(0.29	)		—			—			(0.28	)		—			—			(0.29	)		—			—			(0.29	)		—
$	18.57		$	15.84		$	14.80		$	18.52		$	15.81		$	14.78		$	18.47		$	15.78		$	14.77		$	18.30		$	15.70		$	14.73
	17.23	%D		8.98	%D		2.35	%D		17.14	%D		8.84	%D		2.21	%D		17.05	%D		8.78	%D		2.14	%D		16.56	%D		8.54	%D		1.87	%D
$	6,588		$	36		$	5		$	10,144		$	489		$	215		$	8,593		$	311		$	276		$	700		$	20		$	14
	1.15	%E		3.75	%E		144.38	%E		1.49	%E		2.26	%E		18.30	%E		1.58	%E		2.21	%E		15.39	%E		2.33	%E		6.81	%E		64.88	%E
	0.94	%E		0.93	%E		0.94	%E		1.22	%E		1.21	%E		1.22	%E		1.34	%E		1.33	%E		1.34	%E		2.09	%E		1.77	%E		2.09	%E
	0.69	%E		(0.51	)%E		(141.90	)%E		0.47	%E		1.00	%E		(15.48	)%E		0.33	%E		0.90	%E		(13.13	)%E		(0.34	)%E		(3.55	)%E		(62.47	)%E
	0.90	%E		2.31	%E		1.54	%E		0.75	%E		2.05	%E		1.59	%E		0.57	%E		1.78	%E		0.92	%E		(0.10	)%E		1.49	%E		0.32	%E
	19	%D		21	%D		36	%F		19	%D		21	%D		36	%F		19	%D		21	%D		36	%F		19	%D		21	%D		36	%F

41

American Beacon Holland Large Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class												Y Class
	Six Months Ended June 30,			Year Ended December 31,						March 1A to Dec. 31,			Six Months Ended June 30,			March 23A to Dec. 31,
	2013			2012			2011			2010			2013			2012
	(unaudited)												(unaudited)
Net asset value, beginning of period	$	21.60		$	20.30		$	20.00		$	17.88		$	21.59		$	23.00
Income from investment operations:
Net investment income (loss)		0.02			0.09	B		(0.02	)C		(0.01	)C		(0.01	)		0.09	B
Net gains (losses) on investments (both realized and unrealized)		2.82			2.47			0.71			2.61			2.82			(0.26	)
Total income (loss) from investment operations		2.84			2.56			0.69			2 .60			2.81			(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	$	24.44		$	21.60		$	20.30		$	20.00		$	24.40		$	21.59
Total return D		13.10	%E		12.57	%		3.47	%		14.58	%E		13.06	%E		(0.79	)%E
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	1,902		$	1,619		$	1,193		$	1,126		$	116		$	23
Ratios to average net assets:
Expenses, before reimbursements		1.03	%F		1.32	%		1.49	%		1.91	%F		1.07	%F		10.18	%F
Expenses, net of reimbursements		0.89	%F		0.96	%		1.20	%		1.20	%F		0.99	%F		0.98	%F
Net investment income (loss), before expense reimbursements		0.00	%F		0.07	%		(0.38	)%		(0.77	)%F		0.03	%F		(8.77	)%F
Net investment income (loss), net of reimbursements		0.15	%F		0.43	%		(0.09	)%		0.06	%F		0.11	%F		0.43	%F
Portfolio turnover rate		13	%E		18	%		12	%		18	%E		13	%E		18	%G

^A  Commencement of operations.

^B  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 average shares outstanding for the period.

^C 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.

^D 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.

^E  Not annualized.

^F  Annualized.

^G  Portfolio turnover rate is for the period from January 1, 2012 to December 31, 2012.

42

American Beacon Holland Large Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Investor Class																		A Class												C Class
Six Months Ended June 30,			Year Ended December 31,															Six Months Ended June 30,			Year Ended December 31,						Feb. 1A to Dec. 31,			Six Months Ended June 30,			March 23A to Dec. 31,
2013			2012			2011			2010			2009			2008			2013			2012			2011			2010			2013			2012
(unaudited)																		(unaudited)												(unaudited)
$	21.52		$	20.24		$	19.97		$	17.94		$	12.90		$	19.81		$	21.43		$	20.23		$	19.96		$	17.40		$	21.29		$	22.90
	(0.03	)		0.02	B		(0.05	)C		(0.04	)C		(0.02	)C		(0.04	)C		(0.04	)		0.03	B		(0.05	)C		(0.04	)C		(0.07	)		0.01	B
	2.80			2.45			0.71			2.55			5.06			(6.86	)		2.79			2.41			0.71			3 .08			2.72			(0.38	)
	2.77			2.47			0.66			2.51			5.04			(6.90	)		2.75			2.44			0.66			3 .04			2.65			(0.37	)
	—			(0.01	)		—			—			—			—			—			(0.06	)		—			—			—			(0.06	)
	—			(1.18	)		(0.39	)		(0.48	)		—			(0.01	)		—			(1.18	)		(0.39	)		(0.48	)		—			(1.18	)
	—			(1.19	)		(0.39	)		(0.48	)		—			(0.01	)		—			(1.24	)		(0.39	)		(0.48	)		—			(1.24	)
$	24.29		$	21.52		$	20.24		$	19.97		$	17.94		$	12.90		$	24.18		$	21.43		$	20.23		$	19.96		$	23.94		$	21.29
	12.87	%E		12.18	%		3.33	%		14.03	%		39.07	%		(34.83	)%		12.83	%E		11.99	%		3.33	%		17.51	%E		12.45	%E		(1.65	)%E
$	70,737		$	66,568		$	58,682		$	54,128		$	50,341		$	33,766		$	571		$	467		$	13		$	12		$	542		$	281
	1.38	%F		1.44	%		1.64	%		1.77	%		1.69	%		1.71	%		1.49	%F		2.73	%		10.06	%		42.81	%F		2.24	%F		6.17	%F
	1.27	%F		1.29	%		1.35	%		1.35	%		1.35	%		1.35	%		1.39	%F		1.38	%		1.40	%		1.40	%F		2.14	%F		2.12	%F
	(0.35	)%F		(0.08	)%		(0.53	)%		(0.64	)%		(0.45	)%		(0.61	)%		(0.45	)%F		(0.97	)%		(8.94	)%		(41.83	)%F		(1.19	)%F		(3.85	)%F
	(0.23	)%F		0.07	%		(0.24	)%		(0.22	)%		(0.11	)%		(0.25	)%		(0.35	)%F		0.37	%		(0.28	)%		(0.22	)%F		(1.09	)%F		0.20	%F
	13	%E		18	%		12	%		18	%		11	%		35	%		13	%E		18	%		12	%		18	%E		13	%E		18	%G

43

American Beacon Stephens Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Six Months Ended June 30,			One Month Ended Dec. 31,			Year Ended November 30,
	2013			2012			2012A			2011A			2010A			2009A			2008A
	(unaudited)
Net asset value, beginning of period	$	12.99		$	13.54		$	13.14		$	12.03		$	9.37		$	7.09		$	12.34
Income from investment operations:
Net investment income (loss)		(0.03	)		0.06			(0.04	)I		(0.11	)B		(0.09	)B		(0.06	)		(0.04	)
Net gains (losses) from investments (both realized and unrealized)		2.30			0.23			1.43			1.37			2.75			2.34			(5.21	)
Total income (loss) from investment operations		2.27			0.29			1.39			1.26			2.66			2.28			(5.25	)
Less distributions:
Dividends from net investment income		—			—			—			—			—			—			—
Distributions from net realized gains on securities		(0.04	)		(0.84	)		(0.99	)		(0.15	)		—			—			—
Total distributions		(0.04	)		(0.84	)		(0.99	)		(0.15	)		—			—			—
Redemption fees added to beneficial interests		—			—			—			—			—			—			0.00	C
Net asset value, end of period	$	15.22		$	12.99		$	13.54		$	13.14		$	12.03		$	9.37		$	7.09
Total return D		17.53	%E		2.15	%E		11.74	%		10.49	%		28.39	%		32.16	%		(42.54	)%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	195,754		$	138,052		$	88,815		$	52,336		$	39,169		$	34,356		$	13,792
Ratios to average net assets:
Expenses, before reimbursements		1.11	%F		1.20	%F		1.20	%		1.15	%		1.35	%		1.65	%		1.46	%
Expenses, net of reimbursements		1.09	%F		1.06	%F		1.10	%		1.10	%		1.10	%		1.25	%		1.25	%
Net investment income (loss), before reimbursements		(0.79	)%F		0.54	%F		(0.84	)%		(0.91	)%		(1.09	)%		(1.33	)%		(1.00	)%
Net investment income (loss), net of reimbursements		(0.77	)%F		0 .68	%F		(0.74	)%		(0.86	)%		(0.84	)%		(0.93	)%		(0.79	)%
Portfolio turnover rate		18	%E		6	%E		45	%		36	%		66	%		35	%		43	%

^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  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.

^C  Amount represents less than $0.01 per share.

^D  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.

^E  Not annualized.

^F  Annualized.

^G  Portfolio turnover rate is for the period from December 1, 2011 through November 30, 2012.

^H  Commencement of Operations.

^I  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.

44

American Beacon Stephens Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class									Investor Class																					A Class
Six Months Ended June 30,			One Month Ended Dec. 31,			Feb. 24H to Nov. 30,			Six Months Ended June 30,			One Month Ended Dec. 31,			Year Ended November 30,															Six Months Ended June 30,			One Month Ended Dec. 31,			Feb. 24H to Nov. 30,
2013			2012			2012			2013			2012			2012A			2011A			2010A			2009A			2008A			2013			2012			2012
(unaudited)									(unaudited)																					(unaudited)
$	12.98		$	13.54		$	13.59		$	12.42		$	12 .99		$	12.67		$	11.64		$	9.09		$	6.90		$	12.03		$	12.40		$	12.98		$	13.07
	(0.03)			0.01			(0.02	)		0.02			0 .02			(0 .06	)I		(0 .14	)B		(0 .11	)B		(0.09	)		(0.13	)		(0.03	)		0.01			(0.07	)
	2.30			0.27			13 .56			2.14			0 .25			1.37			1.32			2.66			2.28			(5.00	)		2 .16			0.25			(0.02	)
	2.27			0.28			13.54			2.16			0 .27			1.31			1.18			2.55			2.19			(5.13	)		2 .13			0.26			(0.09	)
	—			—			—			—			—			—			—			—			—			—			—			—			—
	(0.04)			(0.84	)		—			(0.04	)		(0.84	)		(0.99	)		(0.15	)		—			—			—			(0.04	)		(0.84	)		—
	(0.04)			(0.84	)		—			(0.04	)		(0.84	)		(0.99	)		(0.15	)		—			—			—			(0.04	)		(0.84	)		—
	—			—			—			—			—			—			0 .00	C		0 .00	C		0 .00	C		0 .00	C		—			—			—
$	15.21		$	12.98		$	13.54		$	14.54		$	12 .42		$	12.99		$	12.67		$	11.64		$	9.09		$	6.90		$	14.49		$	12.40		$	12.98
	17.54	%E		2.07	%E		(0.37	)%E		17.45	%E		15.92	%E		11.44	%		10.15	%		28.05	%		31.74	%		(42.64	)%		17.31	%E		2.01	%E		(0.69	)%E
$	20,769		$	4,563		$	2,699		$	131,808		$	69,786		$	67,506		$	47,101		$	45,911		$	22,058		$	19,854		$	6,834		$	3,131		$	2,941
	1.19	%F		1.36	%F		2.05	%F		1.46	%F		1 .62	%F		1.56	%		1.40	%		1.60	%		1.91	%		1.69	%		1.59	%F		1.79	%F		2.08	%F
	1.19	%F		1.16	%F		1.21	%F		1.35	%F		1 .34	%F		1.36	%		1.35	%		1.35	%		1.50	%		1.50	%		1.59	%F		1.58	%F		1.61	%F
	(0.87	)%F		0.19	%F		(1.57	)%F		(1.14	)%F		0 .23	%F		(1.20	)%		(1.16	)%		(1.33	)%		(1.59	)%		(1.36	)%		(1.27	)%F		0.04	%F		(1.68	)%F
	(0.86	)%F		0.38	%F		(0.73	)%F		(1.03	)%F		0 .50	%F		(1.00	)%		(1.11	)%		(1.08	)%		(1.18	)%		(1.17	)%		(1.27	)%F		0.25	%F		(1.21	)%F
	18	%E		6	%E		45	%G		18	%E		6	%E		45	%		36	%		66	%		35	%		43	%		18	%E		6	%E		45	%G

45

American Beacon Stephens Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	C Class
	Six Months Ended June 30, 2013			One Month Ended Dec. 31, 2012			Feb. 24H to Nov. 30, 2012
	(unaudited)
Net asset value, beginning of period	$	12.32		$	12.91		$	13.07
Income from investment operations:
Net investment income (loss)		(0.06	)		0.00			(0.06	)
Net gains (losses) from investments (both realized and unrealized)		2.13			0.25			(0.10	)
Total income (loss) from investment operations		2.07			0.25			(0.16	)
Less distributions:
Dividends from net investment income		—			—			—
Distributions from net realized gains on securities		(0.04	)		(0.84	)		—
Total distributions		(0.04	)		(0.84	)		—
Redemption fees added to beneficial interests		—			—			—
Net asset value, end of period	$	14.35		$	12.32		$	12.91
Total return D		16.86	%E		1.94	%		(1.22	)%E
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	1,151		$	349		$	343
Ratios to average net assets:
Expenses, before reimbursements		2.34	%F		3.21	%F		6.15	%F
Expenses, net of reimbursements		2.34	%F		2.33	%F		2.35	%F
Net investment income (loss), before reimbursements		(2.01	)%F		(1.36	)%F		(5.71	)%F
Net investment income (loss), net of reimbursements		(2.01	)%F		(0.48	)%F		(1.91	)%F
Portfolio turnover rate		18	%E		6	%E		45	%G

^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  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.

^C  Amount represents less than $0.01 per share.

^D  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.

^E  Not annualized.

^F  Annualized.

^G  Portfolio turnover rate is for the period from December 1, 2011 through November 30, 2012.

^H  Commencement of Operations.

^I  For purposes of this calculation, the change in undistributed net investment income per share was derived by dividing the change in undistributed net D investment income by shares outstanding at November 30, 2012.

46

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47

American Beacon Stephens Mid-Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Six Months Ended June 30, 2013			One Month Ended Dec. 31, 2012			Year Ended November 30,
							2012B			2011B			2010B			2009B			2008B
	(unaudited)
Net asset value, beginning of period	$	15 .38		$	15 .24		$	13.69		$	12.44		$	9.63		$	7.18		$	13.39
Income from investment operations:
Net investment income (loss)		(0 .04	)		0 .02			0.00	C		(0 .10	)D		(0.09	)D		(0.07	)		(0.06	)
Net gains (losses) from investments (both realized and unrealized)		2 .04			0 .20			1.55			1.35			2.90			2.52			(6.15	)
Total income (loss) from investment operations		2 .00			0 .22			1.55			1.25			2.81			2.45			(6.21	)
Less distributions:
Dividends from net investment income		—			—			—			—			—			—			—
Distributions from net realized gains on securities		(0 .07	)		(0 .08	)		—			—			—			—			—
Total distributions		(0 .07	)		(0 .08	)		—			—			—			—			—
Redemption fees added to beneficial interests		—			—			—			—			—			—			0 .00	E
Net asset value, end of period	$	17 .31		$	15 .38		$	15.24		$	13.69		$	12.44		$	9.63		$	7.18
Total return F		13 .02	%G		1.43	%G		11.32	%		10.05	%		29.18	%		34.12	%		(46.38	)%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	37,462		$	31,005		$	30,503		$	13,208		$	7,124		$	4,552		$	3,967
Ratios to average net assets:
Expenses, before reimbursements		1.13	%H		1.31	%H		1.28	%		1.65	%		2.27	%		3.03	%		2.19	%
Expenses, net of reimbursements		0.99	%H		0.99	%H		1.03	%		1.25	%		1.25	%		1.25	%		1.25	%
Net investment income (loss), before reimbursements		(0.72	)%H		1.37	%H		(0.62	)%		(1.12	)%		(1.81	)%		(2.46	)%		(1.57	)%
Net investment income (loss), net of reimbursements		(0.58	)%H		1.69	%H		(0.37	)%		(0.72	)%		(0.79	)%		(0.69	)%		(0.63	)%
Portfolio turnover rate		13	%G		1	%G		27	%		30	%		20	%		29	%		32	%

^A Commencement of operations.

^B Prior to the reorganization on February 24, 2012, the Institutional Class and Investor Classes were known as Class I and Class A, respectively.

^C 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 average shares outstanding for the period.

^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 Amount represents less than $0.01 per share.

^F 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.

^G Not annualized.

^H  Annualized.

^I Portfolio turnover rate is for the period from December 1, 2011 through November 30, 2012.

48

American Beacon Stephens Mid-Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class									Investor Class																					A Class
Six Months Ended June 30,			One Month Ended Dec. 31,			Feb. 24A to Nov. 30,			Six Months Ended June 30,			One Month Ended Dec. 31,																		Six Months Ended June 30,			One Month Ended Dec. 31,			Feb. 24A to Nov. 30,
															Year Ended November 30,
2013			2012			2012			2013			2012			2012B			2011B			2010B			2009B			2008B			2013			2012			2012
(unaudited)									(unaudited)																					(unaudited)
$	15.38		$	15.23		$	15.09		$	13 .83		$	13 .72		$	12.36		$	11.26		$	8.74		$	6.53		$	12.22		$	13 .83		$	13.72	��	$	13.62
	(0.04	)		0.02			(0.03	)		(0.02	)		0 .02			(0 .14	)C		(0 .11	)D		(0 .10	)D		(0.07	)		(0.11	)		(0 .06	)		0.02			(0.05	)
	2 .04			0 .21			0 .17			1 .79			0 .17			1.50			1.21			2.62			2.28			(5.58)			1 .82			0 .17			0 .15
	2 .00			0 .23			0 .14			1 .77			0 .19			1.36			1.10			2.52			2.21			(5.69	)		1 .76			0 .19			0 .10
	—			—			—			—			—			—			—			—			—			—			—			—			—
	(0.07	)		(0 .08	)		—			(0.07	)		(0.08	)		—			—			—			—			—			(0.07	)		(0.08	)		—
	(0.07	)		(0.08	)		—			(0.07	)		(0.08	)		—			—			—			—			—			(0.07	)		(0.08	)		—
	—			—			—			—			—			—			—			0 .00	E		0 .00	E		0 .00	E		—			—			—
$	17.31		$	15.38		$	15.23		$	15 .53		$	13 .83		$	13.72		$	12.36		$	11.26		$	8.74		$	6.53		$	15 .52		$	13.83		$	13.72
	12.87	%G		1.50	%G		1.13	%G		12.81	%G		1.37	%G		11.00	%		9.77	%		28.83	%		33.84	%		(46.56	)%		12.74	%G		1.37	%G		0.73	%G
$	1,071		$	374		$	222		$	25,644		$	18,585		$	18,092		$	20,034		$	15,076		$	9,637		$	7,748		$	10,645		$	7,302		$	7,063
	1.37	%H		1.53	%H		3.85	%H		1.49	%H		1.68	%H		1.67	%		1.91	%		2.52	%		3.32	%		2.42	%		1.61	%H		1.81	%H		1.83	%H
	1.09	%H		1.09	%H		1.09	%H		1.37	%H		1.37	%H		1.40	%		1.50	%		1.50	%		1.50	%		1.50	%		1.49	%H		1.49	%H		1.49	%H
	(0.93	)%H		0.69	%H		(3.09)	%H		(1.07)	%H		0.94	%H		(1.04	)%		(1.35	)%		(2.06	)%		(2.75	)%		(1.97	)%		(1.20	)%H		0.86	%H		(1.04	)%H
	(0.66	)%H		1.13	%H		(0.33)	%H		(0.95)	%H		1.26	%H		(0.76	)%		(0.94	)%		(1.04	)%		(0.93	)%		(1.05	)%		(1.07	)%H		1.18	%H		(0.70	)%H
	13	%G		1	%G		27	%I		13	%G		1	%G		27	%		30	%		20	%		29	%		32	%		13	%G		1	%G		27	%I

49

American Beacon Stephens Mid-Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	C Class
	Six Months Ended June 30, 2013			One Month Ended Dec. 31, 2012			Feb. 24A to Nov. 30, 2012
	(unaudited)
Net asset value, beginning of period	$	13.75		$	13.63		$	13.62
Income from investment operations:
Net investment income (loss)		(0 .09	)		0 .02			(0 .04	)
Net gains (losses) from investments (both realized and unrealized)		1 .78			0 .18			0 .05
Total income (loss) from investment operations		1 .69			0 .20			0 .01
Less distributions:
Dividends from net investment income		—			—			—
Distributions from net realized gains on securities		(0 .07	)		(0 .08	)		—
Total distributions		(0 .07	)		(0 .08	)		—
Redemption fees added to beneficial interests		—			—			—
Net asset value, end of period	$	15 .37		$	13 .75		$	13 .63
Total return FD		12.14%G			1.45%G			0.07%G
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	710		$	302		$	147
Ratios to average net assets:
Expenses, before reimbursements		2.66	%H		2.68	%H		14.54	%H
Expenses, net of reimbursements		2.24	%H		2.24	%H		2.24	%H
Net investment income (loss), before reimbursements		(2.24	)%H		0.15	%H		(13.65	)%H
Net investment income (loss), net of reimbursements		(1.82	)%H		0.59	%H		(1.36	)%H
Portfolio turnover rate		13	%G		1	%G		27	%i

^A  Commencement of operations.

^B Prior to the reorganization on February 24, 2012, the Institutional Class and Investor Classes were known as Class I and Class A, respectively.

^C 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 average shares outstanding for the period.

^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 Amount represents less than $0.01 per share.

^F 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.

^G  Not annualized.

^H  Annualized.

^I Portfolio turnover rate is for the period from December 1, 2011 through November 30, 2012.

50

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

At its May 29, 2013 meeting, the Board of Trustees (“Board”) considered the renewal of the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Beacon Trust”) on behalf of each of their series (collectively, the “Funds”) and the renewal of each investment advisory agreement between the Manager and a subadvisor (each an “Investment Advisory Agreement”). The Management Agreement and the Investment Advisory Agreements are collectively referred to herein as the “Agreements.” In preparation for the Board’s consideration to renew and approve these Agreements, the Board and its Investment Committee undertook steps to gather and consider information furnished by the Manager, the subadvisors, Lipper, Inc. (“Lipper”) and Morningstar, Inc. (“Morningstar”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and each subadvisor.

The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager.

In addition, the Board’s Investment Committee worked with Lipper to obtain relevant comparative information regarding the performance, fees and expenses of the Funds. The Investment Committee, for the benefit of all Trustees, sponsored a separate meeting on May 10, 2013 to consider the information provided by Lipper. Further, the Board took into consideration information furnished for the Board’s review and consideration throughout the year at regular Board and Investment Committee meetings, as well as information specifically prepared in connection with the renewal process.

• In connection with the Board’s consideration of the Management Agreement and each Investment Advisory Agreement, the Trustees received and evaluated such information as they deemed necessary. The information requested by the Board included, among other information, the following materials. For various reasons, a subadvisor may not have provided responses to each requested item. In these instances, the Board considered the materials that were received from such subadvisor. References herein to the “firm” refer to the Manager and/or each applicable subadvisor.a description of any significant changes (actual or anticipated) to principal activities, personnel, services provided to the Funds, or any other area, including how these changes might affect the Funds;

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

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

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

• any actual or anticipated economies of scale in relation to the services the firm provides or will provide to each Fund and whether the current fee rates charged or to be charged to each Fund reflect these economies of scale for the benefit of the Fund’s investors;

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

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

• a copy of the firm’s proxy voting policies and procedures and, if applicable, the name of the third-party voting service used by the firm;

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

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

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

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

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

• a description of the firm’s practices in monitoring the quality of portfolio holdings and in reviewing portfolio valuation, including any fair value determinations;

• a description of the firm’s use of derivatives, short positions, leveraged trading strategies or other similar trading strategies for the Funds;

• a discussion regarding the firm’s participation in third-party and/or proprietary “soft dollar” arrangements, if any, or other brokerage allocation policies with respect to Fund transactions;

• a discussion of the firm’s methodology for obtaining best execution, including any plans to improve the quality of execution in the upcoming year, and the use of any affiliated broker-dealers;

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

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

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

51

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

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

• a discussion of whether the firm utilizes “commission recapture” or “directed brokerage” arrangements for the benefit of the Funds or “step-out” transactions;

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

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

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

• confirmation that the firm is prepared to provide to the Manager, directly or in summary form, any regulatory review comments that could have a material impact on services provided to the Funds;

• a discussion of whether, due to the firm’s trading activities on behalf of the Funds, the firm would need to register, or qualify for exclusion from registration, as a commodity pool operator or commodity trading advisor pursuant to the recent amendments to Rule 4.5 under the Commodity Exchange Act with respect to the Funds and, if so, whether the firm would so register or be exempt;

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

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

• a discussion of any anticipated change in the firm’s controlling persons; and verification of the firm’s insurance coverage with regards to the services provided to the Funds.

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

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

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

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

• a profit/loss analysis of the Manager;

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

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

• a discussion of whether the Manager provides different types or levels of administrative and accounting related services to certain Funds;

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

• a description of arrangements pursuant to which certain firms may make any direct or indirect payments to partially reimburse the Manager for its marketing or other expenses on behalf of the Funds;

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

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

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

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

• confirmation that the Manager complies with applicable CFTC and National Futures Association rules and requirements for applicable Funds and a discussion regarding whether, due to the Manager’s trading activities on behalf of other Funds, the Manager would need to register, or qualify for exclusion from registration, as a commodity pool operator or commodity trading advisor pursuant to the recent amendment to Rule 4.5 under the Commodity Exchange Act with respect to the Funds and, if so, whether the firm would so register or be exempt.

In connection with the Management Agreement and each Investment Advisory Agreement, the Board also obtained an analysis provided by Lipper that compared: (i) investment performance of each Fund versus comparable investment companies and appropriate indices; (ii) total Fund expenses of each Fund versus comparable mutual funds; and (iii) each Fund’s investment advisory fee rate versus comparable mutual funds. For certain Funds, the Board also considered information regarding the performance of the Manager and individual subadvisors with respect to their allocated portions of a Fund’s portfolio, net of management or subadvisory fees, as applicable, but not other Fund expenses. For each Fund with more than one class of shares, the class of shares used for comparative purposes was the class with the longest performance history, which in most cases was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.

Provided below is an overview of the primary factors the Trustees considered at the Investment Committee meeting on May 10, 2013 at which the Trustees reviewed the investment performance of the Manager and the primary factors considered by the Board at its May 29, 2013 meeting at which the Board considered the renewal of the Agreement.

52

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

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

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

In determining whether to renew the Management Agreement and each Investment Advisory Agreement on behalf of the Funds, the Trustees considered the best interests of each Fund separately. While the Management Agreement and the Investment Advisory Agreements for all of the Funds were considered at the May 29, 2013 meeting, the Board considered each Fund’s investment management and subadvisory relationships separately.

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

Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Board considered, among other factors: each Fund’s long-term performance and the background and experience of key investment personnel at the Manager; the cost structure of the Funds; the Manager’s culture of compliance and support for compliance operations that reduce risks to the Funds; the Manager’s commitment to enhance the Funds’ product line and increase assets in the Funds; the Manager’s quality of services; the Manager’s active role in monitoring and, as appropriate, recommending additional or replacement subadvisors; the Manager’s commitment to training employees; and the Manager’s efforts to retain key employees and maintain staff levels.

With respect to the renewal of each Investment Advisory Agreement, the Trustees considered the level of staffing, quality, background and experience of each subadvisor’s investment personnel responsible for managing the Funds, the size of the subadvisor and the subadvisor’s ability to continue to attract and retain qualified investment personnel. The Board also considered the adequacy of the resources committed to the Funds by each subadvisor, and whether those resources were commensurate with the needs of the Funds and are sufficient to sustain appropriate levels of performance and compliance needs. In this regard, the Board considered the financial stability of each subadvisor. The Board also considered the subadvisors’ representations regarding their compliance programs and codes of ethics. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and each subadvisor were appropriate for each Fund and, thus, determined to renew the Management Agreement and the Investment Advisory Agreement for each Fund. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and each subadvisor were appropriate for each Fund and, thus, determined to renew the Management Agreement and the Investment Advisory Agreement for each Fund.

Investment Performance. The Board evaluated the comparative information provided by Lipper and the Manager regarding each Fund’s investment performance relative to its Lipper performance universe, Lipper performance group, and/or benchmark index(es). The Board considered the information provided by Lipper regarding its independent peer selection methodology to select all performance groups and universes. The Board also considered that the performance groups and universes selected by Lipper may not provide appropriate comparisons for each Fund. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also considered in each instance the Manager’s recommendation to continue to retain each subadvisor. A discussion regarding the Board’s considerations with respect to each Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to Each Fund.”

Costs of the services Provided to the Funds and the Profits Realized by the Manager from its Relationship with the Funds. In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager. The profits or losses were noted at both an aggregate level for all Funds and at an individual Fund level, with some Funds being profitable for the Manager and with the Manager sustaining losses with respect to other Funds. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Funds, the difference reflects the greater level of responsibility and regulatory requirements associated with managing the Funds.

The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for certain Funds and classes that were in place during the last fiscal year. The Board further considered that with respect to each Fund, the Management Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager plus the amount payable by the Manager to a subadvisor. The Board also considered that the Manager receives service and administrative fees to compensate the Manager for providing administrative services to the Funds and to compensate third-party administrators and broker-dealers for services to Fund shareholders. In addition, the Board considered that the Manager receives management fees for overseeing the securities lending program on behalf of various Funds. The Board also noted that certain classes of the Funds maintain higher expense ratios in order to compensate third-party distributors. In analyzing the cost of services for each subadvisor in connection with its investment advisory services to the Fund, the Board considered that, in many cases, the Manager has negotiated the lowest subadvisory fee rate a subadvisor charges for any comparable client

53

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

accounts. The Board did not request profitability data from the subadvisors because the Board did not view this data as imperative to its deliberations given the arm’s-length nature of the relationship between the Manager and the subadvisors with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that subadvisors may not account for their profits on an account-by-account basis and, those that do, likely employ different methodologies in connection with these calculations.

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

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

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

Benefits Derived from the Relationship with the Funds. The Board considered the “fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisors as a result of the advisory relationships with the Funds, including greater exposure in the marketplace with respect to the Manager’s or subadvisor’s investment process and expanding the level of assets under management by the Manager and the subadvisors.

In addition, the Manager noted that the Funds also derive benefits from their association with the Manager. Specifically, the Board noted the Manager’s representation that it provides services to most Funds at a lower than industry average cost. The Board considered that certain of the subadvisors reimburse the Manager for certain of its costs relating to distribution activities for the Funds. The Board also considered that the Funds did not pay commissions to any affiliated broker-dealer of the Manager or the relevant subadvisor during the most recent fiscal year ended December 31, 2012.

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

Additional Considerations and Conclusions with Respect to Each Fund. The performance comparisons below were made versus each Fund’s Lipper performance universe median, Lipper performance group median and/or benchmark index. References below to each Fund’s Lipper performance group and Lipper performance universe are to the respective group or universe of comparable mutual funds included in the analysis provided by Lipper. A Lipper performance group consists of the Fund and a representative sample of funds with similar investment classifications and objectives as the Fund, as selected by Lipper. A Lipper performance universe is an expansion of the performance group, providing a broader view of performance across the Fund’s investment classification/objective and allowing for a more extensive comparison. In reviewing the performance, the Trustees viewed longer-term performance over a full market cycle, typically five years or longer, as the most important consideration, because relative performance over shorter periods may be significantly impacted by market or economic events that do not reflect manager skill.

The expense comparisons below were made versus each Fund’s Lipper expense universe median and Lipper expense group median. References below to each Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Lipper. A Lipper expense group consists of the Fund and a representative sample of funds with similar operating structures, as selected by Lipper. A Lipper expense universe includes all funds in the investment classification/objective with a similar load type to the share class of the Fund included in the Lipper comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Trustees also considered a Fund’s Morningstar fee level category. In reviewing expenses, the Trustees considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the use of soft dollars was requested from the Manager and all subadvisors and was considered by the Trustees.

Additional Considerations and Conclusions with Respect to the American Beacon Bridgeway Large Cap Value Fund. In considering the renewal of the Management Agreement and Investment Advisory Agreement for the American Beacon Bridgeway Large Cap Value Fund, the Trustees considered the following additional factors: (1) the American Beacon Bridgeway Large Cap Value Fund outperformed the Lipper performance universe median and Lipper performance group median for the one-, three- and five-year periods ended March 31, 2013; (2) the American Beacon Bridgeway Large Cap Value Fund acquired all of the assets of the Bridgeway Large Cap Value Fund, a series of Bridgeway Funds, Inc. (“Acquired Fund”), on February 3, 2012, and that the Fund’s performance prior to that date is that of the Acquired Fund; (3) the expense ratio of the Institutional Class of the Fund was lower than the median of its Lipper expense universe and Lipper expense group; and (4) the Institutional Class of the Fund was categorized by Morningstar as having an average expense ratio.

54

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

In considering the renewal of the Investment Advisory Agreement with Bridgeway Capital Management Inc. (“Bridgeway”), the Trustees considered the following additional factors: (1) representations by Bridgeway that, for fee rate comparison purposes, it does not manage other accounts comparable to the Fund; and (2) the Manager’s recommendation to continue to retain the subadvisor.

Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager and subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; (2) determined that the Bridgeway Large Cap Value Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund; and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the Bridgeway Large Cap Value Fund.

Additional Considerations and Conclusions with Respect to the American Beacon Holland Large Cap Growth Fund. In considering the renewal of the Management Agreement and Investment Advisory Agreement for the American Beacon Holland Large Cap Growth Fund, the Trustees considered the following additional factors: (1) the American Beacon Holland Large Cap Growth Fund outperformed the Lipper performance universe median and Lipper performance group median for the one- and three-year periods ended March 31, 2013; (2) the American Beacon Holland Large Cap Growth Fund acquired all of the assets of the Lou Holland Growth Fund, a series of the Forum Funds (“Acquired Fund”), on March 23, 2012, and that the Fund’s performance prior to that date is that of the Acquired Fund; (3) the expense ratio of the Institutional Class of the Fund was equal to the median of its Lipper expense group and higher than the median of its Lipper expense universe; and (4) the Institutional Class of the Fund was categorized by Morningstar as having an above average expense ratio.

In considering the renewal of the Investment Advisory Agreement with Holland Capital Management LLC (“Holland”), the Trustees considered the following additional factors: (1) representations by Holland regarding fee rates charged to other comparable clients; and (2) the Manager’s recommendation to continue to retain the subadvisor.

Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager and subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; (2) determined that the American Beacon Holland Large Cap Growth Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund; and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the American Beacon Holland Large Cap Growth Fund.

Additional Considerations and Conclusions with Respect to the American Beacon Stephens Mid-Cap Growth Fund. In considering the renewal of the Management Agreement for the American Beacon Stephens Mid-Cap Growth Fund, the Trustees considered the following additional factors: (1) the American Beacon Stephens Mid-Cap Growth Fund outperformed the Lipper performance universe median for the one-, three- and five-year periods ended March 31, 2013; (2) the American Beacon Stephens Mid-Cap Growth Fund outperformed the Lipper performance group median for the three- and five-year periods ended March 31, 2013, and was equal to the peer group median for the one-year period; (3) the American Beacon Stephens Mid-Cap Growth Fund acquired all of the assets of the Stephens Mid-Cap Growth Fund, a series of Professionally Managed Portfolios (“Acquired Fund”), on February 24, 2012, and that the Fund’s performance prior to that date is that of the Acquired Fund; (4) the expense ratio of the Institutional Class of the Fund was lower than the median of its Lipper expense universe and Lipper expense group; and (5) the Institutional Class of the Fund was categorized by Morningstar as having an average expense ratio.

In considering the renewal of the Investment Advisory Agreement with Stephens Investment Management Group, LLC (“Stephens”), the Trustees considered the following additional factors: (1) representations from Stephens regarding fee rates charged to other comparable clients; and (2) the Manager’s recommendation to continue to retain the subadvisor.

Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager and subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; (2) determined that the American Beacon Stephens Mid-Cap Growth Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund; and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the American Beacon Stephens Mid-Cap Growth Fund.

Additional Considerations and Conclusions with Respect to the American Beacon Stephens Stephens Small Cap Growth Fund. In considering the renewal of the Management Agreement for the American Beacon Stephens Small Cap Growth Fund, the Trustees considered the following additional factors: (1) the American Beacon Stephens Small Cap Growth Fund outperformed the Lipper performance universe median and Lipper performance group median for the one-, three- and five-year periods ended March 31, 2013; (2) the American Beacon Stephens Small Cap Growth Fund acquired all of the assets of Stephens Small Cap Growth Fund, a series of Professionally Managed Portfolios (“Acquired Fund”), on February 24, 2012, and that the Fund’s performance prior to that date is that of the Acquired Fund; (3) the expense ratio of the Institutional Class of the Fund was lower than the median of its Lipper expense universe; (4) the expense ratio of the Institutional Class of the Fund was higher than the median of its Lipper expense group; and (5) the Institutional Class of the Fund was categorized by Morningstar as having an average expense ratio.

In considering the renewal of the Investment Advisory Agreement with Stephens Investment Management Group, LLC (“Stephens”), the Trustees considered the following additional factors: (1) representations from Stephens regarding fee rates it charged to other comparable clients; and (2) the Manager’s recommendation to continue to retain the subadvisor.

Based on these and other considerations the Trustees: (1) concluded that the fees paid to the Manager and the subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; (2) determined that the American Beacon Stephens Small Cap Growth Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund; and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the American Beacon Stephens Small Cap Growth Fund.

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57

Delivery of Documents

eDelivery is NOW AVAILABLE- Stop traditional mail delivery and receive your

shareholder reports and summary prospectus on-line. Sign up at

www.americanbeaconfunds.com

If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the 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, 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 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, 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.

SAR 6/13

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

President’s Message	1
Performance Overviews	2
American Beacon Funds
Statements of Assets and Liabilities	10
Statements of Operations	11
Statements of Changes in Net Assets	12
Notes to Financial Statements	13
Financial Highlights	18
State Street Equity 500 Index Portfolio
Portfolio of Investments	27
Statement of Assets and Liabilities	33
Statement of Operations	34
Statement of Changes in Net Assets	35
Financial Highlights	36
Notes to Financial Statements	37
Quantitative Master Series LLC
Master International Index Series
Schedule of Investments	45
Master Small Cap Index Series
Schedule of Investments	55
Statement of Assets and Liabilities	75
Statement of Operations	76
Statement of Changes in Net Assets	77
Financial Highlights	78
Notes to Financial Statements	79
Additional Information	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 June 30, 2013

  Dear Shareholders,   The first six months of 2013 have been very good for the stock market. Despite a dip in June, fueled by the possible end of the Federal Reserve’s quantitative easing program, the market had risen enough through May to make the first half of the year a profitable one overall.   The S&P 500 Index gained 13.82% over the first six months of 2013, with all ten industry sectors posting positive returns.   Meanwhile, the Russell 2000 Index, which consists of small-cap stocks, gained 15.86% over that same period. In the developed international markets, the MSCI EAFE Index returned 4.10%.

American Beacon Advisors is proud to offer its shareholders several index funds that can take advantage of such broad-based market gains. For the six-month period ended June 30, 2013:

• American Beacon S&P 500 Index Fund (Institutional Class) returned 13.75%.

• American Beacon Small Cap Index Fund (Institutional Class) returned 15.90%.

• American Beacon International Equity Index Fund (Institutional Class) returned 3.32%.

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.

        Sincerely,

        Gene L. Needles, Jr.

        President

        American Beacon Funds

1

American Beacon S&P 500^® Index Fund ^†

Performance Overview

June 30, 2013 (Unaudited)

For the six months ended June 30, 2013, the total return of the Investor Class of the American Beacon S&P 500 Index Fund (the “Fund”) was 13.48%, underperforming the S&P 500^® Index (the “Index”) return of 13.82% and underperforming the Lipper S&P 500 Objective Funds Index return of 13.68%.

Total Returns for the Period ended 6/30/13

	6 Months*			1 Year			5 Years			10 Years
Institutional Class(1,3)		13.75	%		20.41	%		6.95	%		7.19	%
Investor Class(1,3)		13.48	%		19.80	%		6.47	%		6.70	%
Lipper S&P 500 Objective Funds Index (2)		13.68	%		20.26	%		6.78	%		7.05	%
S&P 500 Index (2)		13.82	%		20.60	%		7.01	%		7.30	%

* Not annualized

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 prospectus for the Institutional and Investor Class shares were 0.15% and 0.63%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report which are based on expenses incurred during the period covered by this report.

Performance Summary provided by SSgA Funds Management, Inc.

After lagging the vast majority of global stock markets amid the fiscal worries that preoccupied the final quarter of 2012, U.S. equity averages recovered strongly during the opening

months of 2013. Share prices jumped sharply in the first trading session of the year and built on those gains thereafter, as worries about the consequences of mandated budgetary restraint gave way to optimism that the U.S. private sector would keep employment growing and consumer demand solid. U.S. equity returns were as broad as they were strong in the first quarter, with more than 85% of the names in the S&P 500 generating positive returns.

Although the second quarter of 2013 confronted investors with numerous new sources of volatility, most notably a less straightforward monetary mantra that seemed unexpectedly hawkish relative to limited inflation and restrained global growth, the U.S. equity markets demonstrated an impressive resilience throughout the period. They found ready support despite weak employment and retail sales reports during April, and the S&P 500 climbed briskly into May to achieve a new set of record highs. The adjustments to monetary policy rhetoric during the second quarter caused considerable volatility across the major sectors in the S&P 500.

For the six-month reporting period, all of the ten sectors posted gains. The top performing sector was Health Care with a 20.2% return. Not far behind were Consumer Discretionary (up 19.8%) and Financials (up 19.5%). These three sectors also comprised the largest weights in the portfolio, amplifying the contribution to return. The bottom performing sector was Materials, with a return of 2.9%.

On an individual stock level, the top contributors for the reporting period were Microsoft Corp. (up 31.3%), Johnson & Johnson (up 24.4%), and Google (up 24.5%). Microsoft Corp. continued to see strong demand for its enterprise and cloud offerings, as well as increased consumer demand for services like Office 365, Outlook.com, Skype and Xbox LIVE. Johnson & Johnson experienced continued strength in its pharmaceuticals business and an improvement in the consumer healthcare segment. The company did well with its immunology and oncology drugs and showed resilience against the competition from generic drugs in central nervous system therapeutic area. Google had a strong six months due to the continued success of its robust search engine and Android operating systems businesses, as well as several other product innovations.

2

American Beacon S&P 500^® Index Fund ^†

Performance Overview

June 30, 2013 (Unaudited)

The bottom individual security contributors were: Apple (down 24.6%), Oracle Corp. (down 7.8%) and Newmont Mining Corp. (down 34.1%). Apple was hurt by increasingly strong competition across its core iPhone and iPad business lines. Oracle was also negatively affected due to stiff competition in its hardware and services businesses. Newmont Mining Corp. suffered due to falling spot prices of gold; this put both high cost productions and future projects at risk.

Portfolio Strategy

The investment manager continues to utilize a replication strategy, owning all 500 names in the S&P 500 Index in approximately the same weightings as the Index. Therefore, the Fund is expected to continue to meet its objective of closely tracking, before expenses, the return of its benchmark, the S&P 500 Index.

Top Ten Holdings (% Net Assets)*

Exxon Mobil Corp.	2.8
Apple, Inc.	2.6
Microsoft Corp.	1.8
Johnson & Johnson	1.7
General Electric Co.	1.7
Google Inc.	1.7
Chevron Corp.	1.6
Procter & Gamble Co.	1.5
Berkshire Hathaway Inc. Cl B	1.4
Wells Fargo & Co.	1.4

* Percent of the Net Assets of State Street Equity 500 Index Portfolio

Sector Allocation (% Equities)*

Information Technology	17.8
Financials	16.6
Health Care	12.7
Consumer Discretionary	12.3
Energy	10.5
Consumer Staples	10.5
Industrials	10.2
Utilities	3.3
Materials	3.3
Telecommunication Services	2.8

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

^†  S&P is a trademark of McGraw-Hill Companies, Inc. and has been licensed for use, “Standard and Poor’s^®”, “S&P”, “Standard and Poor’s 500”, “S&P 500” are all trademarks of the McGraw-Hill Companies, Inc and have been licensed for use by State Street Bank of Trust Company.

3

American Beacon Small Cap Index Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

For the six months ended June 30, 2013, the total return of the Institutional Class of the American Beacon Small Cap Index Fund (the “Fund”) was 15.90%. The Fund’s performance was above the Russell 2000^® Index (the “Index”) return of 15.86% and also above the Lipper Small-Cap Core Funds Index return of 14.45% which consists primarily of actively managed funds.

Total Returns for the Period ended 6/30/13

	6 Months*			1 Year			5 Years			10 Years
Institutional Class(1,3)		15.90	%		24.09	%		8.80	%		9.43	%
Lipper Small-Cap Core Funds Index(2)		14.45	%		24.89	%		8.38	%		9.71	%
Russell 2000 Index(2)		15.86	%		24.21	%		8.77	%		9.53	%

* Not annualized

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 comprising approximately 2,000 smaller-capitalization stocks from various industrial sectors. One cannot invest directly in an index.

3. The total annual Fund operating expense ratio set forth in the most recent prospectus for the Fund was 0.21%. The expense ratio above may vary from the expense ratio presented in other sections of this report which is based on expenses incurred during the period covered by this report.

Performance Summary provided by BlackRock Investment Management, LLC

Risk markets globally began 2013 with a powerful relief rally after the United States averted the worst of its fiscal cliff situation with a last minute tax deal struck on New Year’s Day. The rally stalled in February, however, as economic

momentum slowed and investors weighed the global impact of the inevitable U.S. government spending cuts. Later in the first quarter, financial markets were rattled by a stalemate presidential election in Italy and a severe banking crisis in Cyprus, reminding investors that Europe was still quite vulnerable to political instability, and its debt and banking problems were far from resolved.

U.S. stocks persevered through these flare-ups in the eurozone as investors’ risk appetite was largely supported by the continuation of accommodative monetary policy from the U.S. Federal Reserve. Equities broadly advanced as increased global liquidity kept interest rates low and investors turned to riskier asset classes in search of yield. As the year progressed, the markets became increasingly dominated by speculation around the future direction of monetary policy. Sluggish global growth, ironically, was conducive to positive equity market performance. Although disappointing economic reports caused financial market volatility to rise, the weak data also afforded investors some comfort that the central bank would continue to maintain their accommodative stance.

However, after peaking in late May, U.S. stock markets recoiled in response to comments from the U.S. Federal Reserve, hinting that a change in its policy stance was on the horizon. Volatility picked up considerably and equities broadly declined through the remainder of the period due to concerns about the potential impact tighter monetary policy would have on financial markets and economic growth.

While rhetoric from the U.S. Federal Reserve about tapering its bond-buying stimulus program was the catalyst for the sell-off in equity markets, indicators that global growth was continuing to slow (with the exception of Japan) was another source of investor anxiety. The U.S. recovery showed signs of weakening and European countries already mired in recession saw economic conditions worsen. Slowing growth in emerging markets, particularly China and Brazil, dimmed the outlook for the entire global economy.

From a sector perspective, Consumer Discretionary (up 23.56%), Consumer Staples (up 21.70%) and Health Care (up 20.83%) were the stronger performers for the six-month period. Information Technology stocks also posted significant gains (up 17.54%), as did Industrials (up

4

American Beacon Small Cap Index Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

15.01%), Financials (up 13.5%), Telecommunication Services (up 10.02%), Utilities (up 10.22%) and Energy (up 8.34%). The Materials sector generated more modest gains (up 1.66%) in the challenging global growth environment.

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 (% Net Assets)*

CoStar Group, Inc.	0.3
CommVault Systems, Inc.	0.2
FirstMerit Corp.	0.2
Middleby Corp.	0.2
Prosperity Bancshares, Inc.	0.2
Ultimate Software Group, Inc.	0.2
Acuity Brands, Inc.	0.2
Lufkin Industries, Inc.	0.2
Isis Pharmaceuticals, Inc.	0.2
athenahealth, Inc.	0.2

* Percent of Net Assets of Master Small Cap Index Series

Sector Allocation (% Equities)*

Financials	22.7
Information Technology	16.9
Consumer Discretionary	14.0
Industrials	13.9
Health Care	12.0
Energy	5.4
Materials	4.8
Consumer Staples	3.8
Utilities	3.2
Other	2.6
Telecommunications	0.7

* Percent of equity portion of Master Small Cap Index Series

5

American Beacon International Equity Index Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

For the six months ended June 30, 2013, the Institutional Class of the American Beacon International Equity Index Fund (the “Fund”) posted a total return of 3.32%, underperforming the MSCI EAFE Index (the “Index”) return of 4.10% and outperforming the Lipper International Large-Cap Core Funds Index return of 2.91% which consists primarily of actively managed funds. The investment manager’s application of its fair valuation policy during the period was a significant driver of the Fund’s underperformance versus the Index.

Total Returns for the Period ended 6/30/13

	6 Months*			1 Year			5 Years			10 Years
Institutional Class(1,3)		3.32	%		18.11	%		-0.64	%		7.63	%
Lipper International Large-Cap Core Funds Index(2)		2.91	%		17.83	%		-1.29	%		6.00	%
MSCI EAFE Index(2)		4.10	%		18.62	%		-0.63	%		7.67	%

* Not annualized

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 Large-Cap Core International Funds category. Lipper is an independent mutual fund research and ranking service. The MSCI EAFE Index is a market capitalization weighted index of international stock performance composed of equities from developed markets excluding the U.S. and Canada. One cannot invest directly in an index.

3. The total annual Fund operating expense ratio set forth in the most recent prospectus for the Fund was 0.19%. The expense ratio above may vary from the expense ratio presented in other sections of this report, which is based on expenses incurred during the period covered by this report.

Performance Summary provided by BlackRock Investment Management, LLC

Risk markets globally began 2013 with a powerful relief rally after the United States

averted the worst of its fiscal cliff situation with a last minute tax deal struck on New Year’s Day. The rally stalled in February, however, as economic momentum slowed and investors weighed the global impact of the inevitable U.S. government spending cuts. Later in the first quarter, financial markets were rattled by a stalemate presidential election in Italy and a severe banking crisis in Cyprus, reminding investors that Europe was still quite vulnerable to political instability, and its debt and banking problems were far from resolved.

International equities persevered through these flare-ups in the eurozone as investors’ risk appetite was largely supported by the continuation of accommodative monetary policy from the world’s largest central banks. As the year progressed, the markets became increasingly dominated by speculation around the future direction of monetary policy in response to signals from central banks, particularly the U.S. Federal Reserve. Equities broadly advanced as increased global liquidity kept interest rates low and investors turned to riskier asset classes in search of yield. Sluggish global growth, ironically, was conducive to positive equity market performance. Although disappointing economic reports caused financial market volatility to rise, the weak data also afforded investors some comfort that major central banks would continue to maintain their accommodative stance.

However, after peaking in late May, international markets recoiled in response to comments from the U.S. Federal Reserve, hinting that a change in its policy stance was on the horizon. Volatility picked up considerably and equities broadly declined through the remainder of the period due to concerns about the potential impact tighter U.S. monetary policy would have on financial markets and global growth.

While rhetoric from the U.S. Federal Reserve about tapering its bond-buying stimulus program was the catalyst for the sell-off in equity markets, indicators that global growth was continuing to slow (with the exception of Japan) was another source of investor anxiety. The U.S. recovery showed signs of weakening and European countries already mired in recession saw economic conditions worsen. Slowing growth in emerging countries, particularly China and Brazil, dimmed the outlook for the entire global economy.

6

American Beacon International Equity Index Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

Nearly half of the developed countries represented in the Index posted losses (in U.S. dollar terms) for the six-month period; however, heavier weightings in Japanese and Swiss stocks, which posted gains of 16.56% and 10.92%, respectively, supported the overall performance of the Index. In the eurozone, Ireland (up 8.52%) posted strong performance, followed by the Netherlands (up 5.02%) and Belgium (up 4.03%). The core economies of France (up 3.17%) and Germany (up 2.89%) exhibited resilience despite widespread recession in the region, while markets were down in Spain (down 6.17%) and Italy (down 9.04%). Outside the euro currency bloc, Sweden (up 2.76%) and the United Kingdom (up 0.27%) generated modest positive returns, while Denmark (down 0.09%) and Norway (down 5.35%) did not fare as well. Elsewhere, Australian stocks (down 6.13%) struggled due to waning business conditions, severe currency weakness and declining commodity prices.

In June, MSCI announced its decision to reclassify the MSCI Greece Index from a Developed Market to an Emerging Market. This reclassification is scheduled to take effect on November 27, 2013; therefore, the performance of Greek stocks (up 2.66%) continues to be reflected in the performance of the Index for the first half of 2013.

From a sector perspective, the strongest performers were Consumer Discretionary (up 13.37%) and Health Care stocks (up 12.82%), while Telecommunication Services posted strong gains as well (up 11.35%). Positive returns also came from Consumer Staples and Information Technology (both up 5.85%), Industrials (up 4.07%) and the Financials sector (up 4.03%), in which the MSCI EAFE Index holds its largest weighting. Utilities finished the period with a modest gain (up 2.41%). However, Energy (down 4.92%) and Materials (down 13.06%) posted negative results in the weak global growth environment.

Portfolio Strategy

The Fund continues to pursue its objective of closely replicating, before expenses, the return of its benchmark, the MSCI EAFE Index. It does so by investing in a subset of the securities in the Index such that the characteristics of the portfolio closely track the characteristics of the Index.

Top Ten Holdings (% Net Assets)*

Nestle S.A.	1.8
HSBC Holdings PLC	1.7
Roche Holding Ltd.	1.5
Toyota Motor Corp.	1.5
Novartis AG	1.4
Vodafone Group PLC	1.2
BP PLC	1.2
Sanofi S.A.	1.1
GlaxoSmithKline PLC	1.1
Royal Dutch Shell PLC	1.1

* Percent of Net Assets of the Master International Index Series

Sector Allocation (% Equities)*

Financials	24.7
Industrials	12.4
Consumer Staples	11.6
Consumer Discretionary	11.5
Health Care	10.3
Materials	7.9
Energy	6.9
Telecommunications	5.1
Information Technology	4.3
Utilities	3.7
Other	1.6

* Percent of equity portion of Master International Index Series

7

American Beacon International Equity Index Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

Country Allocation (% Equities)*

Japan	22.5
United Kingdom	21.7
France	9.4
Switzerland	9.0
Germany	8.6
Australia	8.0
Sweden	3.1
Hong Kong	3.0
Spain	2.8
Netherlands	2.6
Italy	2.0
Singapore	1.6
Belgium	1.1
Denmark	1.1
Norway	0.8
Finland	0.8
Israel	0.5
Ireland	0.3
Austria	0.3
Portugal	0.2
New Zealand	0.1
Others	0.5

* Percent of equity portion of Master International Index Series

8

American Beacon Funds^SM

Fund Expenses

June 30, 2013 (Unaudited)

Fund Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in a particular Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2013 through June 30, 2013.

Actual Expenses

The following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the “Expenses Paid During Period” row to estimate the expenses you paid on your account during this period. Shareholders of the Institutional and Investor Classes that invest in a Fund through an IRA or Roth 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 1/1/13	$	1,000.00		$	1,000.00		$	1,000.00		Beginning Account Value 1/1/13	$	1,000.00
Ending Account Value 6/30/13	$	1,137.52		$	1,159.02		$	1,033.16		Ending Account Value 6/30/13	$	1,134.80
Expenses Paid During Period* 1/1/13—6/30/13	$	0.74		$	1.02		$	1.16		Expenses Paid During Period* 1/1/13—6/30/13	$	3.23
Annualized Expense Ratio		0.14	%		0.19	%		0.23	%	Annualized Expense Ratio		0.61	%

Hypothetical Example for Comparison Purposes

The following table provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in a particular Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders of the Institutional and Investor Classes that invest in a Fund through an IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.

You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by a Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Expenses Paid During Period” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.

Hypothetical

Institutional Class	S&P 500 Index			Small Cap Index			International Equity Index			Investor Class	S&P 500 Index
Beginning Account Value 1/1/13	$	1,000.00		$	1,000.00		$	1,000.00		Beginning Account Value 1/1/13	$	1,000.00
Ending Account Value 6/30/13	$	1,024.10		$	1,023.85		$	1,023.65		Ending Account Value 6/30/13	$	1,021.77
Expenses Paid During Period* 1/1/13—6/30/13	$	0.70		$	0.95		$	1.15		Expenses Paid During Period* 1/1/13—6/30/13	$	3.06
Annualized Expense Ratio		0.14	%		0.19	%		0.23	%	Annualized Expense Ratio		0.61	%

* Expenses are equal to each Fund’s annualized expense ratio for the six-month period multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period.

9

American Beacon Funds^SM

Statements of Assets and Liabilities

June 30, 2013 (Unaudited) (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	$	791,017		$	200,202		$	531,127
Receivable for fund shares sold		2,069			15			812
Prepaid expenses		17			6			20
Total assets		793,103			200,223			531,959
Liabilities:
Payable for fund shares redeemed		6			1			330
Administrative service and service fees payable (Note 2)		40			7			15
Printing fees payable		31			11			1
Professional fees payable		25			16			12
Sub-administration fees payable		—			19			264
Transfer agent fees payable		9			—			—
Trustee fees payable		—			—			—
Other liabilities		1			1			2
Total liabilities		112			55			624
Net Assets	$	792,991		$	200,168		$	531,335
Analysis of Net Assets:
Paid-in-capital		637,930			182,940			564,552
Undistributed net investment income		4,125			1,217			10,393
Accumulated net realized gain (loss)		(52,100	)		(11,151	)		(82,485	)
Unrealized net appreciation (depreciation) of investments, foreign currency contracts, and futures contracts		203,036			27,162			38,875
Net assets	$	792,991		$	200,168		$	531,335
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		35,124,156			12,771,778			53,284,772
Investor Class		1,086,170			N/A			N/A
Net assets (not in thousands):
Institutional Class	$	769,417,351		$	200,167,943		$	531,335,060
Investor Class	$	23,573,927		$	N/A		$	N/A
Net asset value, offering and redemption price per share:
Institutional Class	$	21.91		$	15.67		$	9.97
Investor Class	$	21.70		$	N/A		$	N/A

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios

10

American Beacon Funds^SM

Statements of Operations

For the Six Months ended June 30, 2013 (Unaudited) (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	$	7,854		$	1,257		$	11,246
Interest income		9			3			1
Securities lending income		—			163			—
Portfolio expenses (net of fees waived)B		(168	)		(64	)		(181	)
Other income		—			—			12
Net investment income allocated from Portfolio		7,695			1,359			11,078
Fund Expenses:
Administrative service fees (Note 2):
Institutional Class		181			52			134
Investor Class		27			—			—
Sub-administrative service fees:
Institutional Class		—			36			213
Transfer agent fees:
Institutional Class		15			3			13
Investor Class		3			—			—
Custody and accounting fees		6			6			6
Professional fees		25			10			14
Registration fees		21			2			6
Service fees—Investor Class (Note 2)		27			—			—
Printing expense		51			14			31
Trustee fees		25			6			16
Insurance expense		4			1			4
Other expenses		9			2			12
Total fund expenses		394			132			449
Net investment income		7,301			1,227			10,629
Realized and unrealized gain (loss) allocated from master portfolio
Net realized gain (loss) from:
Investments		3,135			1,306			(2,839	)
Foreign currency transactions		—			—			(478	)
Futures contracts		2,212			1,113			416
Change in net unrealized appreciation or (depreciation) of:
Investments		80,857			25,987			8,760
Futures contracts		(361	)		(11	)		(35	)
Net gain on investments		85,843			28,395			5,824
Net increase in net assets resulting from operations	$	93,144		$	29,622		$	16,453
A        Foreign taxes	$	17		$	2		$	966
B        Fees waived by Master Portfolio	$	—		$	2		$	1

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios

11

American Beacon Funds^SM

Statements of Changes in Net Assets (in thousands)

	S&P 500 Index Fund						Small Cap Index Fund						International Equity Index Fund
	Six Months ended June 30, 2013			Year ended December 31, 2012			Six Months ended June 30, 2013			Year ended December 31, 2012			Six Months ended June 30, 2013			Year ended December 31, 2012
	(unaudited)						(unaudited)						(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	7,301		$	11,930		$	1,227		$	2,460		$	10,629		$	11,859
Net realized gain (loss) from investments, foreign currency, and futures contracts		5,347			15,814			2,419			488			(2,901	)		(30,284	)
Change in net unrealized appreciation or depreciation of investments and futures contracts		80,496			44,226			25,976			5,766			8,725			83,038
Net increase in net assets resulting from operations		93,144			71,970			29,622			8,714			16,453			64,613
Distributions to Shareholders:
Net investment income:
Institutional Class		(3,371	)		(11,794	)		—			(3,779	)		—			(11,845	)
Investor Class		(77	)		(187	)		—			—			—			—
Total distributions to shareholders		(3,448	)		(11,981	)		—			(3,779	)		—			(11,845	)
Net increase (decrease) in net assets from capital share transactions		35,664			169,151			(16,114	)		138,568			33,982			106,540
Net increase in net assets		125,360			229,140			13,508			143,503			50,435			159,308
Net Assets:
Beginning of period		667,631			438,491			186,660			43,157			480,900			321,592
End of Period *	$	792,991		$	667,631		$	200,168		$	186,660		$	531,335		$	480,900
* Includes undistributed net investment income (loss) of	$	4,125		$	272		$	1,217		$	(10	)	$	10,393		$	(236	)

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios

12

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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 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 June 30, 2013
S&P 500 Index Fund	State Street Equity 500 Index Portfolio		34.0	%
Small Cap Index Fund	Master Small Cap Index Series		30.0	%
International Equity Index Fund	Master International Index Series		63.9	%

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, service fees, and distribution fees and vary amongst the classes as described more fully in Note 2.

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

13

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

and the Small Cap Index Fund and an annualized fee of 0.25% of the average daily net assets of the Investor Class of the S&P 500 Index Fund.

Service Plans

The Manager and the Trust entered into a Service Plan that obligates the Manager to oversee additional shareholder servicing of the Investor Class of S&P 500 Index Fund. As compensation for performing the duties required under the Service Plan, the Manager receives up to 0.375% of the average daily net assets of the Investor Class of the S&P 500 Index Fund.

Sub-administration Agreement

The Trust, the Manager and BlackRock Advisors, LLC (“BlackRock”) entered into a Sub-administration Agreement that obligates BlackRock to provide certain other administrative services to the Small Cap Index Fund and the International Equity Index Fund. As compensation for performing these services, BlackRock receives an annualized fee of 0.08% of the average daily net assets of the Small Cap Index Fund and 0.12% of the average daily net assets of the International Equity Index Fund; however, the fee of each is reduced by the total expense ratio of its corresponding Portfolio, net of any fee waivers.

3. Security Valuation and Fair Value Measurements

U.S. Generally Accepted Accounting Principals (“U.S. GAAP”) defines fair market value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds’ policy is to fair value its financial instruments in the Portfolios at fair value based on the Fund’s apportionate interest in the net assets of the Portfolios. Valuation of securities held by the Portfolios is discussed in the accompanying Notes to the Financial Statements of the respective Portfolios attached.

Investment Income

Each Fund records its share of net investment income and realized and unrealized gains and losses from the security transactions of its corresponding Portfolio each day. All net investment income and realized and unrealized gains (losses) of each Portfolio are allocated pro rata among the investors in that Portfolio at the time of such determination.

Dividends to Shareholders

Dividends from net investment income of the Small Cap Index and International Equity Index Funds normally will be declared and paid annually. The S&P 500 Index Fund normally will declare and pay dividends quarterly. Distributions, if any, of net realized capital gains are generally paid annually and recorded on the ex-dividend date.

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.

14

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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.

The tax character of distributions paid during were as follows (in thousands):

	S&P 500 Index				Small Cap Index				International Equity Index
	Six Months Ended June 30, 2013		Year Ended December 31, 2012		Six Months Ended June 30, 2013		Year Ended December 31, 2012		Six Months Ended June 30, 2013		Year Ended December 31, 2012
	(unaudited)				(unaudited)				(unaudited)
Distributions paid from:
Ordinary income
Institutional Class	$	3,371	$	11,794	$	—	$	3,779	$	—	$	11,845
Investor Class		77		87		—		—		—		—
Total distributions paid	$	3,448	$	11,981	$	—	$	3,779	$	—	$	11,845

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted, which changed various technical rules governing the tax treatment of 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 Act, each Fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-

15

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.

Finally, the Act contains several provisions aimed at preserving the character of distributions made by a fiscal year RIC during the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which a RIC might be required to file amended Forms 1099 to restate previously reported distributions. Except for the simplification provisions related to RIC qualification, the Act is effective for taxable years beginning after December 22, 2010. The provisions related to RIC qualification are effective for taxable years for which the extended due date of the tax return is after December 22, 2010.

Losses incurred for the year ended December 31, 2012 that will be carried forward under the provisions of the Act are as follows:

	Loss Carryforward Character
Fund	Short term		Long term		Total
S&P 500 Index Fund	$	—	$	—	$	—
Small Cap Index Fund		—		—		—
International Equity Index Fund		1,358		40,074		41,432

For the year ended December 31, 2012, the capital losses prior to the provisions of the Act which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, which ever occurs first are as follows (in thousands):

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

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 Six Months ended June 30, 2013

	Institutional Class						Investor Class
S&P 500 Index Fund	Shares			Amount			Shares			Amount
Shares sold		3,404		$	71,428			360		$	7,607
Reinvestment of dividends		158			3,345			3			74
Shares redeemed		(2,006	)		(42,067	)		(224	)		(4,723	)
Net increase in shares outstanding		1,556		$	32,706			139		$	2,958

	Institutional Class
Small Cap Index Fund	Shares			Amount
Shares sold		3,125		$	46,647
Reinvestment of dividends		—			—
Shares redeemed		(4,156	)		(62,761	)
Net increase in shares outstanding		(1,031	)	$	(16,114	)

16

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

	Institutional Class
International Equity Index Fund	Shares			Amount
Shares sold		9,779		$	98,110
Reinvestment of dividends		—			—
Shares redeemed		(6,315	)		(64,128	)
Net increase in shares outstanding		3,464		$	33,982

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	)
Net increase (decrease) in shares outstanding		8,796		$	169,455			(14	)	$	(304	)

	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	)
Net increase in shares outstanding		10,164		$	138,568

	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	)
Net increase in shares outstanding		11,353		$	106,540

17

American Beacon S&P 500 Index Fund

Financial Highlights

(For a share outstanding throughout each period)

	Institutional Class
	Six Months ended June 30,			Year Ended December 31,
	2013			2012			2011			2010			2009			2008
	(unaudited)
Net asset value, beginning of period	$	19.35		$	17.05		$	17.07		$	15.15		$	12.21		$	19.85
Income from investment operations:
Net investment income:A		0.20			0.39			0.34			0.29			0.30			0.35
Net gain (loss) from investments (both realized and unrealized)		2.46			2.31			0.02			1.95			2.91			(7.64	)
Total income (loss) from investment operations		2.66			2.70			0.32			2.24			3.21			(7.29	)
Less distributions:
Dividends from net investment income		(0.10	)		(0.40	)		(0.34	)		(0.32	)		(0.27	)		(0.35	)
Tax return of capital		—			—			(0 .00	)B		—			—			—
Total distributions		(0.10	)		(0.40	)		(0.34	)		(0.32	)		(0.27	)		(0.35	)
Net asset value, end of period	$	21.91		$	19.35		$	17.05		$	17.07		$	15.15		$	12.21
Total return C		13.75	%D		15.87	%		1.92	%		14.96	%		26.70	%		(37.08	)%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	769,417		$	649,457		$	422,337		$	381,592		$	316,975		$	224,583
Ratios to average net assets:A
Net investment income		1.97	%E		2.19	%		1.95	%		1.90	%		2.39	%		2.23	%
Expenses, including expenses allocated from the master portfolio		0.14	%E		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 The tax return of capital is calculated based upon outstanding shares at the time of distribution. Amounts are less than $0.01 per share.

^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 Not annualized.

^E Annualized.

18

American Beacon S&P 500 Index Fund

Financial Highlights

(For a share outstanding throughout each period)

Investor Class
Six Months ended June 30,			Year Ended December 31,
2013			2012			2011			2010			2009			2008
(unaudited)
$	19.19		$	16.82		$	16.88		$	15.00		$	12.06		$	19.60
	0.19			0.68			0.22			0.15			0.33			0.33
	2.39			1.88			0.02			1.99			2.80			(7.60	)
	2.58			2.56			0.24			2.14			3.13			(7.27	)
	(0.07	)		(0.19	)		(0.30	)		(0.26	)		(0.19	)		(0.27	)
	—			—			(0 .00	)B		—			—			—
	(0.07	)		(0.19	)		(0.30	)		(0.26	)		(0.19	)		(0.27	)
$	21.70		$	19.19		$	16.82		$	16.88		$	15.00		$	12.06
	13.48	%D		15.25	%		1.44	%		14.43	%		26.26	%		(37.35	)%
$	23,574		$	18,174		$	16,154		$	17,707		$	22,261		$	12,915
	1.50	%E		1.67	%		1.44	%		1.42	%		2.01	%		1.73	%
	0.61	%E		0.63	%		0.64	%		0.60	%		0.60	%		0.62	%

19

American Beacon Small Cap Index Fund^SM

Financial Highlights

(For a share outstanding throughout each period)

	Institutional Class
	Six Months ended June 30,			Year Ended December 31,
	2013			2012			2011			2010			2009			2008
	(unaudited)
Net asset value, beginning of period	$	13.52		$	11.86		$	12.64		$	10.06		$	8.00		$	13.51
Income from investment operations:
Net investment incomeA		0.09			0.21			0.19			0.13			0.10			0.18
Net gain (loss) from investments and futures transactions (both realized and unrealized)		2.06			1.73			(0.76	)		2.59			2.08			(4.78	)
Total income (loss) from investment operations		2.15			1.94			(0.57	)		2.72			2.18			(4.60	)
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	)B,C		(0.01	)B		(0.01	)B		(0.13	)B
Total distributions		—			(0.28	)		(0.21	)		(0.14	)		(0.12	)		(0.91	)
Net asset value, end of period	$	15.67		$	13.52		$	11.86		$	12.64		$	10.06		$	8.00
Total return D		15.90	%E		16.36	%		(4.54	)%		27.05	%		27.21	%		(33.58	)%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	200,168		$	186,660		$	43,157		$	93,138		$	39,958		$	31,552
Ratios to average net assets:A
Net investment income		1.18	%F		2.23	%		1.04	%		1.21	%		1.18	%		1.54	%
Expenses, including expenses allocated from the master portfolio		0.19	%F		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 Amount is less than $0.01 per share

^D 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.

^E Not annualized.

^F Annualized.

20

American Beacon International Equity Index Fund^SM

Financial Highlights

(For a share outstanding throughout each period)

	Institutional Class
	Six Months ended June 30,			Year Ended December 31,
	2013			2012			2011			2010			2009			2008
	(unaudited)
Net asset value, beginning of period	$	9.65		$	8.36		$	9.87		$	9.38		$	7.46		$	13.37
Income from investment operations:
Net investment incomeA		0.20			0.25			0.29			0.22			0.21			0.39
Net gain (loss) from investments, foreign currency and futures transactions (both realized and unrealized)		0.12			1.29			(1.51	)		0.49			1.93			(6.00	)
Total income (loss) from investment operations		0.32			1.54			(1.22	)		0.71			2.14			(5.61	)
Less distributions:
Dividends from net investment income		—			(0.25	)		(0.29	)		(0.22	)		(0.22	)		(0.30	)
Tax return of capital		—			—			—			—			—			—
Total distributions		—			(0.25	)		(0.29	)		(0.22	)		(0.22	)		(0.30	)
Net asset value, end of period	$	9.97		$	9.65		$	8.36		$	9.87		$	9.38		$	7.46
Total return B		3.32	%C		18.42	%		(12.29	)%		7.57	%		28.72	%		(41.85	)%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	531,335		$	480,900		$	321,592		$	326,055		$	280,110		$	185,860
Ratios to average net assets:A
Net investment income		3.96	%D		3.28	%		3.26	%		2.66	%		2.66	%		3.58	%
Expenses, including expenses allocated from the master portfolio		0.23	%D		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.

^C Not annualized.

^D Annualized.

21

American Beacon Funds^SM

Disclosure Regarding the Board of Trustees’ Approval of the

Management Agreements of the Funds (Unaudited)

At its May 29, 2013 meeting, the Board of Trustees (“Board”) considered the renewal of the Management Agreement (the “Agreement”) between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Beacon Trust”) on behalf of each of their series (collectively, the “Funds”). In preparation for the Board’s consideration to renew the Agreement, the Board and its Investment Committee undertook steps to gather and consider information furnished by the Manager, Lipper, Inc. (“Lipper”) and Morningstar, Inc. (“Morningstar”).

The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager.

In addition, the Board’s Investment Committee worked with Lipper to obtain relevant comparative information regarding the performance, fees and expenses of the Funds. The Investment Committee, for the benefit of all Trustees, sponsored a separate meeting on May 10, 2013 to consider the information provided by Lipper. Further, the Board took into consideration information furnished for the Board’s review and consideration throughout the year at regular Board and Investment Committee meetings, as well as information specifically prepared in connection with the renewal process.

In connection with the Board’s consideration of the Agreement, the Trustees received and evaluated such information as they deemed necessary. The information requested by the Board included, among other information, the following materials:

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

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

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

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

• any actual or anticipated economies of scale in relation to the services the Manager provides or will provide to each Fund and whether the current fee rates charged or to be charged to each Fund reflect these economies of scale for the benefit of the Fund’s investors;

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

• a copy of the Manager’s proxy voting policies and procedures and, if applicable, the name of the third-party voting service used by the Manager;

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

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

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

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

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

• a description of the Manager’s practices in monitoring the quality of portfolio holdings and in reviewing portfolio valuation, including any fair value determinations;

• a description of the Manager’s use of derivatives, short positions, leveraged trading strategies or other similar trading strategies for the Funds;

• a discussion regarding the Manager’s participation in third-party and/or proprietary “soft dollar” arrangements, if any, or other brokerage allocation policies with respect to Fund transactions;

• a discussion of the Manager’s methodology for obtaining best execution, including any plans to improve the quality of execution in the upcoming year, and the use of any affiliated broker-dealers;

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

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

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

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

• a discussion of whether the Manager utilizes “commission recapture” or “directed brokerage” arrangements for the benefit of the Funds or “step-out” transactions;

22

American Beacon Funds^SM

Disclosure Regarding the Board of Trustees’ Approval of the

Management Agreements of the Funds (Unaudited)

• a discussion of whether the Manager receives, or anticipates receiving, other compensation, including any payment for electronic communication network liquidity rebates with respect to the Funds;

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

• a summary of the results of the Manager’s most recent annual review of its compliance program;

• confirmation that the Manager is prepared to provide to the Manager, directly or in summary form, any regulatory review comments that could have a material impact on services provided to the Funds;

• a discussion of whether, due to the Manager’s trading activities on behalf of the Funds, the Manager would need to register, or qualify for exclusion from registration, as a commodity pool operator or commodity trading advisor pursuant to the recent amendments to Rule 4.5 under the Commodity Exchange Act with respect to the Funds and, if so, whether the Manager would so register or be exempt;

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

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

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

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

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

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

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

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

• a profit/loss analysis of the Manager;

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

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

• a discussion of whether the Manager provides different types or levels of administrative and accounting related services to certain Funds;

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

• a description of arrangements pursuant to which certain firms may make any direct or indirect payments to partially reimburse the Manager for its marketing or other expenses on behalf of the Funds;

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

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

• a description of the portfolio turnover rate for each Fund;

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

• confirmation that the Manager complies with applicable CFTC and National Futures Association rules and requirements for applicable Funds and a discussion regarding whether, due to the Manager’s trading activities on behalf of other Funds, the Manager would need to register, or qualify for exclusion from registration, as a commodity pool operator or commodity trading advisor pursuant to the recent amendment to Rule 4.5 under the Commodity Exchange Act with respect to the Funds and, if so, whether the Manager would so register or be exempt.

In connection with the Agreement, the Board also obtained an analysis provided by Lipper that compared: (i) investment performance of each Fund versus comparable investment companies and appropriate indices; (ii) total Fund expenses of each Fund versus comparable mutual funds; and (iii) each Fund’s investment advisory fee rate versus comparable mutual funds. For certain Funds, the Board also considered information regarding the performance of the Manager with respect to its allocated portions of a Fund’s portfolio, net of management or subadvisory fees, as applicable, but not other Fund expenses. For each Fund with more than one class of shares, the class of shares used for comparative purposes was the class with the longest performance history, which in most cases was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.

Provided below is an overview of the primary factors the Trustees considered at the Investment Committee meeting on May 10, 2013 at which the Trustees reviewed the investment performance of the Manager and the primary factors considered by the Board at its May 29, 2013 meeting at which the Board considered the renewal of the Agreement.

The Board did not identify any particular information that was most relevant to its consideration to renew the Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal of the Agreement. The memorandum explained the regulatory

23

American Beacon Funds^SM

Disclosure Regarding the Board of Trustees’ Approval of the

Management Agreements of the Funds (Unaudited)

requirements surrounding the Trustees’ process for evaluating investment advisors and the terms of the contracts. Based on its evaluation, the Board unanimously concluded that the terms of the Agreement were reasonable and fair and that the renewal of the Agreement was in the best interests of the Funds and their shareholders.

Considerations With Respect to the Renewal of the Management Agreement

In determining whether to renew the Agreement on behalf of the Funds, the Trustees considered the best interests of each Fund separately. While the Agreement for all of the Funds was considered at the May 29, 2013 meeting, the Board considered each Fund’s investment management relationship separately.

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

Nature, Extent and Quality of Services. With respect to the renewal of the Agreement, the Board considered, among other factors: each Fund’s long-term performance and the background and experience of key investment personnel at the Manager; the cost structure of the Funds; the Manager’s culture of compliance and support for compliance operations that reduce risks to the Funds; the Manager’s commitment to enhance the Funds’ product line and increase assets in the Funds; the Manager’s quality of services; the Manager’s commitment to training employees; and the Manager’s efforts to retain key employees and maintain staff levels.

Based on the foregoing information, the Board concluded that the nature, extent and quality of the management services provided by the Manager were appropriate for each Fund and, thus, determined to renew the Agreement.

Investment Performance. The Board evaluated the comparative information provided by Lipper and the Manager regarding each Fund’s investment performance relative to its Lipper performance universe, Lipper performance group, and/or benchmark index(es). The Board considered the information provided by Lipper regarding its independent peer selection methodology to select all performance groups and universes. The Board also considered that the performance groups and universes selected by Lipper may not provide appropriate comparisons for certain Funds. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. A discussion regarding the Board’s considerations with respect to each Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to Each Fund.”

Costs of the Services Provided to the Funds and the Profits Realized by the Manager from its Relationship with the Funds. In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager. The profits or losses were noted at both an aggregate level for all Funds and at an individual Fund level, with some Funds being profitable for the Manager and with the Manager sustaining losses with respect to other Funds. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Funds, the difference reflects the greater level of responsibility and regulatory requirements associated with managing the Funds.

The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for certain Funds and classes that were in place during the last fiscal year. The Board further considered that with respect to each Fund, the Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager plus the amount payable by the Manager to a subadvisor. The Board also considered that the Manager receives service and administrative fees to compensate the Manager for providing administrative services to the Funds and to compensate third-party administrators and broker-dealers for services to Fund shareholders. In addition, the Board considered that the Manager receives management fees for overseeing the securities lending program on behalf of various Funds. The Board also noted that certain classes of the Funds maintain higher expense ratios in order to compensate third-party distributors.

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

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

Benefits Derived from the Relationship with the Funds. The Board considered the “fall-out” or ancillary benefits that accrue to the Manager as a result of its advisory relationship with the Funds, including greater exposure in the marketplace with respect to the Manager’s investment process and expanding the level of assets under management by the Manager.

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

24

American Beacon Funds^SM

Disclosure Regarding the Board of Trustees’ Approval of the

Management Agreements of the Funds (Unaudited)

considered that the Funds did not pay commissions to any affiliated broker-dealer of the Manager during the most recent fiscal year ended December 31, 2012.

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

Additional Considerations and Conclusions with Respect to Each Fund

The performance comparisons below were made versus each Fund’s Lipper performance universe median, Lipper performance group median and/or benchmark index. References below to each Fund’s Lipper performance group and Lipper performance universe are to the respective group or universe of comparable mutual funds included in the analysis provided by Lipper. A Lipper performance group consists of the Fund and a representative sample of funds with similar investment classifications and objectives as the Fund, as selected by Lipper. A Lipper performance universe is an expansion of the performance group, providing a broader view of performance across the Fund’s investment classification/objective and allowing for a more extensive comparison. In reviewing the performance, the Trustees viewed longer-term performance over a full market cycle, typically five years or longer, as the most important consideration, because relative performance over shorter periods may be significantly impacted by market or economic events that do not reflect manager skill.

The expense comparisons below were made versus each Fund’s Lipper expense universe median and Lipper expense group median. References below to each Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Lipper. A Lipper expense group consists of the Fund and a representative sample of funds with similar operating structures, as selected by Lipper. A Lipper expense universe includes all funds in the investment classification/objective with a similar load type to the share class of the Fund included in the Lipper comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Trustees also considered a Fund’s Morningstar fee level category. In reviewing expenses, the Trustees considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the use of soft dollars was requested from the Manager and was considered by the Trustees.

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

In considering the renewal of the Agreement for the American Beacon International Equity Index Fund, the Trustees considered the following additional factors: (1) the American Beacon International Equity Index Fund outperformed the Lipper performance universe median and Lipper performance group median for the one-, three- and five-year periods ended March 31, 2013; (2) the Fund’s expense ratio was lower than the median of its Lipper expense universe and Lipper expense group; and (3) the Institutional Class of the Fund was categorized by Morningstar as having a low expense ratio.

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

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

In considering the renewal of the Agreement for the American Beacon S&P 500 Index Fund, the Trustees considered the following additional factors: (1) the American Beacon S&P 500 Index Fund outperformed the Lipper performance universe median for the one-, three- and five-year periods ended March 31, 2013; (2) the Fund outperformed the Lipper performance group median for the five-year period ended March 31, 2013, had performance equal to the three-year period, and underperformed for the one-year period; (3) the expense ratio of the Fund was lower than the median of its Lipper expense universe and Lipper expense group; and (4) the Institutional Class of the Fund was categorized by Morningstar as having a low expense ratio.

Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager under the Agreement are fair and reasonable; (2) determined that the Fund and its shareholders would benefit from the Manager’s continued management of the Fund; and (3) approved the renewal of the Agreement with respect to the American Beacon S&P 500 Index Fund.

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

In considering the renewal of the Agreement for the American Beacon Small Cap Index Fund, the Trustees considered the following additional factors: (1) the American Beacon Small Cap Index Fund outperformed the Lipper performance universe median and Lipper performance group median for the one-, three- and five-year periods ended March 31, 2013; (2) the Fund’s expense ratio was lower than the median of its Lipper expense universe and Lipper expense group; and (3) the Institutional Class of the Fund was categorized by Morningstar as having a low expense ratio.

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

25

State Street Equity 500 Index Portfolio

Semi-Annual Report

June 30, 2013

26

State Street Equity 500 Index Portfolio

Portfolio of Investments

June 30, 2013 (Unaudited)

	Shares		Market Value
COMMON STOCKS – 97.7%
Consumer Discretionary – 12.7%
Abercrombie & Fitch Co. Class A		13,046	$	590,331
Amazon.com, Inc.(a)		57,992		16,103,798
AutoNation, Inc.(a)		6,363		276,091
AutoZone, Inc.(a)		5,564		2,357,411
Bed Bath & Beyond, Inc.(a)		36,545		2,591,040
Best Buy Co., Inc.		42,119		1,151,112
BorgWarner, Inc.(a)		18,500		1,593,775
Cablevision Systems Corp.		35,600		598,792
CarMax, Inc.(a)		37,200		1,717,152
Carnival Corp.		70,650		2,422,588
CBS Corp. Class B		91,203		4,457,091
Chipotle Mexican Grill, Inc.(a)		5,100		1,858,185
Coach, Inc.		44,828		2,559,230
Comcast Corp. Class A		420,448		17,608,362
D.R. Horton, Inc.		46,076		980,497
Darden Restaurants, Inc.		20,588		1,039,282
Delphi Automotive PLC		45,500		2,306,395
DIRECTV(a)		91,377		5,630,651
Discovery Communications, Inc. Class A(a)		38,100		2,941,701
Dollar General Corp.(a)		48,200		2,430,726
Dollar Tree, Inc.(a)		36,600		1,860,744
eBay, Inc.(a)		186,803		9,661,451
Expedia, Inc.		14,357		863,574
Family Dollar Stores, Inc.		15,558		969,419
Ford Motor Co.		630,098		9,747,616
Fossil Group, Inc.(a)		8,800		909,128
GameStop Corp. Class A		19,500		819,585
Gannett Co., Inc.		39,574		967,980
Gap, Inc.		48,098		2,007,130
Garmin Ltd.		17,300		625,568
General Motors Co.(a)		121,100		4,033,841
Genuine Parts Co.		25,209		1,968,067
Goodyear Tire & Rubber Co.(a)		34,957		534,492
H&R Block, Inc.		41,215		1,143,716
Harley-Davidson, Inc.		35,801		1,962,611
Harman International Industries, Inc.		12,021		651,538
Hasbro, Inc.		17,825		799,095
Home Depot, Inc.		232,112		17,981,717
Host Hotels & Resorts, Inc.		118,721		2,002,823
International Game Technology		39,819		665,375
Interpublic Group of Cos., Inc.		71,894		1,046,058
JC Penney Co., Inc.(a)		21,810		372,515
Johnson Controls, Inc.		109,586		3,922,083
Kohl’s Corp.		34,533		1,744,262
L Brands, Inc.		38,167		1,879,725
Lennar Corp. Class A		25,931		934,553
Lowe’s Cos., Inc.		170,362		6,967,806
Macy’s, Inc.		61,423		2,948,304
Marriott International, Inc. Class A		39,050		1,576,448
Mattel, Inc.		53,776		2,436,591
McDonald’s Corp.		159,925		15,832,575
McGraw-Hill Cos., Inc.		45,766		2,434,293
NetFlix, Inc.(a)		8,900		1,878,701
Newell Rubbermaid, Inc.		47,893		1,257,191
News Corp. Class A		320,809		10,458,373
NIKE, Inc. Class B		113,504		7,227,935

	Shares		Market Value
Nordstrom, Inc.		23,633	$	1,416,562
O’Reilly Automotive, Inc.(a)		17,700		1,993,374
Omnicom Group, Inc.		40,441		2,542,526
PetSmart, Inc.		17,300		1,158,927
Priceline.com, Inc.(a)		8,190		6,774,195
PulteGroup, Inc.(a)		54,705		1,037,754
PVH Corp.		12,400		1,550,620
Ralph Lauren Corp.		9,515		1,653,136
Ross Stores, Inc.		35,900		2,326,679
Scripps Networks Interactive, Inc. Class A		13,535		903,597
Snap-on, Inc.		9,212		823,369
Stanley Black & Decker, Inc.		24,707		1,909,851
Staples, Inc.		110,033		1,745,123
Starbucks Corp.		117,261		7,679,423
Starwood Hotels & Resorts Worldwide, Inc.		31,247		1,974,498
Target Corp.		101,816		7,011,050
Tiffany & Co.		19,880		1,448,059
Time Warner Cable, Inc.		46,071		5,182,066
Time Warner, Inc.		150,191		8,684,044
TJX Cos., Inc.		113,912		5,702,435
TripAdvisor, Inc.(a)		16,857		1,026,086
Urban Outfitters, Inc.(a)		18,300		736,026
V.F. Corp.		14,393		2,778,713
Viacom, Inc. Class B		72,422		4,928,317
Walt Disney Co.		287,545		18,158,467
Washington Post Co. Class B		660		319,288
Whirlpool Corp.		12,661		1,447,912
Wyndham Worldwide Corp.		22,699		1,299,064
Wynn Resorts, Ltd.		12,700		1,625,600
Yum! Brands, Inc.		70,392		4,880,981
				295,024,835
Consumer Staples – 10.1%
Altria Group, Inc.		321,299		11,242,252
Archer-Daniels-Midland Co.		102,424		3,473,198
Avon Products, Inc.		67,660		1,422,890
Beam, Inc.		25,045		1,580,590
Brown-Forman Corp. Class B		23,482		1,586,209
Campbell Soup Co.		28,865		1,292,863
Clorox Co.		20,543		1,707,945
Coca-Cola Co.		606,222		24,315,564
Coca-Cola Enterprises, Inc.		40,801		1,434,563
Colgate-Palmolive Co.		137,802		7,894,677
ConAgra Foods, Inc.		65,375		2,283,549
Constellation Brands, Inc. Class A(a)		23,026		1,200,115
Costco Wholesale Corp.		68,589		7,583,886
CVS Caremark Corp.		196,832		11,254,854
Dr Pepper Snapple Group, Inc.		31,100		1,428,423
Estee Lauder Cos., Inc. Class A		38,504		2,532,408
General Mills, Inc.		103,664		5,030,814
Hormel Foods Corp.		21,200		817,896
Kellogg Co.		39,035		2,507,218
Kimberly-Clark Corp.		61,800		6,003,252
Kraft Foods Group, Inc.		94,769		5,294,744
Kroger Co.		81,676		2,821,089
Lorillard, Inc.		61,383		2,681,209
McCormick & Co., Inc.		20,753		1,460,181

See Notes to Financial Statements.

27

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2013 (Unaudited)

	Shares		Market Value
COMMON STOCKS – (continued)
Consumer Staples – (continued)
Molson Coors Brewing Co. Class B		25,162	$	1,204,253
Mondelez International, Inc. Class A		285,809		8,154,131
Monster Beverage Corp.(a)		24,300		1,476,711
PepsiCo, Inc.		245,554		20,083,862
Philip Morris International, Inc.		260,599		22,573,085
Procter & Gamble Co.		434,819		33,476,715
Reynolds American, Inc.		52,074		2,518,819
Safeway, Inc.		37,164		879,300
Sysco Corp.		93,209		3,184,019
The Hershey Co.		23,482		2,096,473
The J.M. Smucker Co.		16,460		1,697,849
Tyson Foods, Inc. Class A		44,235		1,135,955
Wal-Mart Stores, Inc.		260,302		19,389,896
Walgreen Co.		137,218		6,065,036
Whole Foods Market, Inc.		55,066		2,834,798
				235,621,291
Energy – 10.3%
Anadarko Petroleum Corp.		79,126		6,799,297
Apache Corp.		62,125		5,207,939
Baker Hughes, Inc.		69,973		3,227,855
Cabot Oil & Gas Corp.		32,600		2,315,252
Cameron International Corp.(a)		38,500		2,354,660
Chesapeake Energy Corp.		83,182		1,695,249
Chevron Corp.(b)		309,146		36,584,338
ConocoPhillips		195,130		11,805,365
Consol Energy, Inc.		34,973		947,768
Denbury Resources, Inc.(a)		61,500		1,065,180
Devon Energy Corp.		60,151		3,120,634
Diamond Offshore Drilling, Inc.		11,500		791,085
Ensco PLC Class A		36,500		2,121,380
EOG Resources, Inc.		42,717		5,624,975
EQT Corp.		23,300		1,849,321
ExxonMobil Corp.(b)		706,547		63,836,521
FMC Technologies, Inc.(a)		38,600		2,149,248
Halliburton Co.		148,634		6,201,010
Helmerich & Payne, Inc.		16,300		1,017,935
Hess Corp.		47,801		3,178,289
Kinder Morgan, Inc.		101,326		3,865,587
Marathon Oil Corp.		111,777		3,865,249
Marathon Petroleum Corp.		51,688		3,672,949
Murphy Oil Corp.		27,441		1,670,883
Nabors Industries, Ltd.		48,204		738,003
National Oilwell Varco, Inc.		67,757		4,668,457
Newfield Exploration Co.(a)		20,600		492,134
Noble Corp.		39,400		1,480,652
Noble Energy, Inc.		55,820		3,351,433
Occidental Petroleum Corp.		127,044		11,336,136
Peabody Energy Corp.		44,124		645,975
Phillips 66		99,165		5,841,810
Pioneer Natural Resources Co.		21,100		3,054,225
QEP Resources, Inc.		27,068		751,949
Range Resources Corp.		25,500		1,971,660
Rowan Cos. PLC Class A(a)		19,620		668,453
Schlumberger, Ltd.		211,258		15,138,748
Southwestern Energy Co.(a)		54,600		1,994,538

	Shares		Market Value
Spectra Energy Corp.		104,398	$	3,597,555
Tesoro Corp.		23,165		1,211,993
Valero Energy Corp.		87,909		3,056,596
Williams Cos., Inc.		105,468		3,424,546
WPX Energy, Inc.(a)		30,856		584,413
				238,977,245
Financials – 17.1%
ACE, Ltd.		54,100		4,840,868
AFLAC, Inc.		73,990		4,300,299
Allstate Corp.		76,406		3,676,657
American Express Co.		153,764		11,495,397
American International Group, Inc.(a)		234,433		10,479,155
American Tower Corp. REIT		62,800		4,595,076
Ameriprise Financial, Inc.		31,407		2,540,198
Aon PLC		48,347		3,111,129
Apartment Investment & Management Co. Class A		22,952		689,478
Assurant, Inc.		14,131		719,409
AvalonBay Communities, Inc.		19,298		2,603,493
Bank of America Corp.		1,712,071		22,017,233
BB&T Corp.		111,970		3,793,544
Berkshire Hathaway, Inc. Class B(a)		289,903		32,445,944
BlackRock, Inc.		19,634		5,042,993
Boston Properties, Inc.		23,867		2,517,253
Capital One Financial Corp.		92,963		5,839,006
CBRE Group, Inc.(a)		49,575		1,158,072
Charles Schwab Corp.		175,293		3,721,470
Chubb Corp.		40,575		3,434,674
Cincinnati Financial Corp.		23,114		1,060,933
Citigroup, Inc.		483,520		23,194,454
CME Group, Inc.		48,955		3,719,601
Comerica, Inc.		28,344		1,128,942
DDR Corp. REIT		1,532		25,508
Discover Financial Services		79,005		3,763,798
E*Trade Financial Corp.(a)		44,931		568,826
Equity Residential		51,157		2,970,175
Fifth Third Bancorp		135,116		2,438,844
Franklin Resources, Inc.		21,480		2,921,710
Genworth Financial, Inc. Class A(a)		72,151		823,243
Goldman Sachs Group, Inc.		68,534		10,365,768
Hartford Financial Services Group, Inc.		70,197		2,170,491
HCP, Inc.		70,500		3,203,520
Health Care REIT, Inc.		46,100		3,090,083
Hudson City Bancorp, Inc.		76,692		702,499
Huntington Bancshares, Inc.		141,956		1,118,613
IntercontinentalExchange, Inc.(a)		11,980		2,129,565
Invesco, Ltd.		72,200		2,295,960
J.P. Morgan Chase & Co.		600,615		31,706,466
KeyCorp		148,675		1,641,372
Kimco Realty Corp.		62,669		1,342,997
Legg Mason, Inc.		18,042		559,482
Leucadia National Corp.		46,736		1,225,418
Lincoln National Corp.		41,392		1,509,566
Loews Corp.		47,731		2,119,256
M&T Bank Corp.		18,737		2,093,860

See Notes to Financial Statements.

28

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2013 (Unaudited)

	Shares		Market Value
COMMON STOCKS – (continued)
Financials – (continued)
Marsh & McLennan Cos., Inc.		88,553	$	3,535,036
Mastercard, Inc. Class A		16,900		9,709,050
MetLife, Inc.		174,396		7,980,361
Moody’s Corp.		30,266		1,844,107
Morgan Stanley		214,230		5,233,639
NASDAQ OMX Group, Inc.		18,400		603,336
Northern Trust Corp.		34,306		1,986,317
NYSE Euronext		40,200		1,664,280
Paychex, Inc.		50,738		1,852,952
People’s United Financial, Inc.		57,000		849,300
PNC Financial Services Group, Inc.		84,117		6,133,812
Principal Financial Group, Inc.		43,391		1,624,993
Progressive Corp.		84,501		2,148,015
ProLogis, Inc.		78,999		2,979,842
Prudential Financial, Inc.		74,339		5,428,977
Public Storage, Inc.		23,087		3,539,930
Regions Financial Corp.		218,789		2,085,059
Simon Property Group, Inc.		49,415		7,803,617
SLM Corp.		69,254		1,583,146
State Street Corp.(c)		72,725		4,742,397
SunTrust Banks, Inc.		86,518		2,731,373
T. Rowe Price Group, Inc.		40,075		2,931,486
The Bank of New York Mellon Corp.		181,685		5,096,264
The Macerich Co. REIT		21,800		1,329,146
Torchmark Corp.		14,931		972,605
Total System Services, Inc.		26,575		650,556
Travelers Cos., Inc.		59,004		4,715,600
U.S. Bancorp		299,052		10,810,730
Unum Group		40,929		1,202,085
Ventas, Inc.		45,400		3,153,484
Visa, Inc. Class A		80,500		14,711,375
Vornado Realty Trust		26,714		2,213,255
Wells Fargo & Co.		782,749		32,304,051
Western Union Co.		86,585		1,481,469
XL Group PLC		44,968		1,363,430
Zions Bancorp.		30,453		879,483
				398,786,856
Health Care – 12.2%
Abbott Laboratories		252,406		8,803,921
AbbVie, Inc.		252,906		10,455,134
Actavis, Inc.(a)		20,946		2,643,804
Aetna, Inc.		59,359		3,771,671
Alexion Pharmaceuticals, Inc.(a)		30,400		2,804,096
Allergan, Inc.		49,192		4,143,934
AmerisourceBergen Corp.		34,986		1,953,268
Amgen, Inc.		119,545		11,794,310
Baxter International, Inc.		85,361		5,912,956
Becton Dickinson and Co.		30,097		2,974,487
Biogen Idec, Inc.(a)		37,731		8,119,711
Boston Scientific Corp.(a)		219,034		2,030,445
Bristol-Myers Squibb Co.		262,516		11,731,840
C.R. Bard, Inc.		11,997		1,303,834
Cardinal Health, Inc.		53,957		2,546,770
CareFusion Corp.(a)		33,878		1,248,404
Celgene Corp.(a)		65,618		7,671,400

	Shares		Market Value
Cerner Corp.(a)		23,000	$	2,210,070
CIGNA Corp.		45,996		3,334,250
Covidien PLC		73,700		4,631,308
DaVita, Inc.(a)		13,300		1,606,640
Dentsply International, Inc.		23,300		954,368
Edwards Lifesciences Corp.(a)		19,000		1,276,800
Eli Lilly & Co.		156,475		7,686,052
Express Scripts Holding Co.(a)		129,914		8,014,395
Forest Laboratories, Inc.(a)		37,402		1,533,482
Gilead Sciences, Inc.(a)		243,198		12,454,170
Hospira, Inc.(a)		25,303		969,358
Humana, Inc.		24,307		2,051,025
Intuitive Surgical, Inc.(a)		6,300		3,191,454
Johnson & Johnson		446,349		38,323,525
Laboratory Corp. of America Holdings(a)		15,422		1,543,742
Life Technologies Corp.(a)		27,887		2,063,917
McKesson Corp.		37,255		4,265,698
Mead Johnson Nutrition Co.		32,618		2,584,324
Medtronic, Inc.		159,778		8,223,774
Merck & Co., Inc.		478,170		22,210,997
Mylan, Inc.(a)		63,209		1,961,375
Patterson Cos., Inc.		12,894		484,814
Perrigo Co.		14,400		1,742,400
Pfizer, Inc.		1,073,781		30,076,606
Quest Diagnostics, Inc.		25,600		1,552,128
Regeneron Pharmaceuticals, Inc.(a)		12,100		2,721,048
St. Jude Medical, Inc.		45,126		2,059,099
Stryker Corp.		46,289		2,993,973
Tenet Healthcare Corp.(a)		15,542		716,486
UnitedHealth Group, Inc.		161,796		10,594,402
Varian Medical Systems, Inc.(a)		18,060		1,218,147
WellPoint, Inc.		47,738		3,906,878
Zimmer Holdings, Inc.		26,052		1,952,337
Zoetis, Inc.		67,048		2,071,113
				283,090,140
Industrials – 10.1%
3M Co.		101,772		11,128,768
ADT Corp.(a)		36,250		1,444,562
Amphenol Corp. Class A		26,100		2,034,234
Avery Dennison Corp.		15,388		657,991
Boeing Co.		108,988		11,164,731
Caterpillar, Inc.		103,679		8,552,481
CH Robinson Worldwide, Inc.		25,861		1,456,233
Cintas Corp.		17,588		800,957
CSX Corp.		162,814		3,775,657
Cummins, Inc.		28,358		3,075,709
Danaher Corp.		92,472		5,853,478
Deere & Co.		60,837		4,943,006
Dover Corp.		27,895		2,166,326
Eaton Corp. PLC		75,124		4,943,910
Emerson Electric Co.		112,948		6,160,184
Equifax, Inc.		19,983		1,177,598
Expeditors International Washington, Inc.		34,020		1,293,100
Fastenal Co.		42,500		1,948,625
FedEx Corp.		46,800		4,613,544
First Solar, Inc.(a)		8,070		360,971

See Notes to Financial Statements.

29

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2013 (Unaudited)

			Market
	Shares		Value
COMMON STOCKS – (continued)
Industrials – (continued)
Flir Systems, Inc.		23,500	$	633,795
Flowserve Corp.		21,900		1,182,819
Fluor Corp.		24,960		1,480,378
Fortune Brands Home & Security, Inc.		1,145		44,357
General Dynamics Corp.		53,161		4,164,101
General Electric Co.		1,643,133		38,104,254
Honeywell International, Inc.		125,781		9,979,465
Illinois Tool Works, Inc.		66,271		4,583,965
Ingersoll-Rand PLC		43,300		2,404,016
Iron Mountain, Inc.		24,010		638,906
Jacobs Engineering Group, Inc.(a)		20,400		1,124,652
Joy Global, Inc.		17,200		834,716
Kansas City Southern		17,500		1,854,300
L-3 Communications Holdings, Inc.		13,603		1,166,321
Leggett & Platt, Inc.		20,398		634,174
Lockheed Martin Corp.		41,752		4,528,422
Masco Corp.		57,123		1,113,327
Norfolk Southern Corp.		48,955		3,556,581
Northrop Grumman Corp.		36,711		3,039,671
PACCAR, Inc.		56,774		3,046,493
Pall Corp.		18,609		1,236,196
Parker Hannifin Corp.		23,903		2,280,346
Pentair, Ltd.		33,495		1,932,327
Pitney Bowes, Inc.		29,727		436,392
Precision Castparts Corp.		23,007		5,199,812
Quanta Services, Inc.(a)		35,000		926,100
Raytheon Co.		50,482		3,337,870
Republic Services, Inc.		45,503		1,544,372
Robert Half International, Inc.		23,540		782,234
Rockwell Automation, Inc.		22,505		1,871,066
Rockwell Collins, Inc.		22,531		1,428,691
Roper Industries, Inc.		16,100		1,999,942
Ryder System, Inc.		7,921		481,518
Southwest Airlines Co.		114,186		1,471,858
Stericycle, Inc.(a)		14,100		1,557,063
Textron, Inc.		44,839		1,168,056
Thermo Fisher Scientific, Inc.		55,724		4,715,922
Tyco International, Ltd.		72,500		2,388,875
Union Pacific Corp.		74,268		11,458,067
United Parcel Service, Inc. Class B		112,546		9,732,978
United Technologies Corp.		134,678		12,516,973
W.W. Grainger, Inc.		9,669		2,438,328
Waste Management, Inc.		68,239		2,752,079
Xylem, Inc.		28,692		772,962
				236,096,805
Information Technology – 15.8%
Accenture PLC Class A		103,300		7,433,468
Adobe Systems, Inc.(a)		77,957		3,551,721
Advanced Micro Devices, Inc.(a)		84,086		343,071
Agilent Technologies, Inc.		54,968		2,350,432
Akamai Technologies, Inc.(a)		27,324		1,162,636
Altera Corp.		50,554		1,667,776
Analog Devices, Inc.		47,269		2,129,941
AOL, Inc.(a)		1		36
Apple, Inc.		149,184		59,088,799

			Market
	Shares		Value
Applied Materials, Inc.		185,707	$	2,768,891
Autodesk, Inc.(a)		36,476		1,237,995
Automatic Data Processing, Inc.		78,417		5,399,795
BMC Software, Inc.(a)		22,421		1,012,084
Broadcom Corp. Class A		82,359		2,780,440
CA, Inc.		50,699		1,451,512
Cisco Systems, Inc.		849,619		20,654,238
Citrix Systems, Inc.(a)		29,667		1,789,810
Cognizant Technology Solutions Corp. Class A(a)		47,784		2,991,756
Computer Sciences Corp.		23,144		1,013,013
Corning, Inc.		228,576		3,252,636
Dell, Inc.		226,950		3,029,782
Dun & Bradstreet Corp.		7,100		691,895
Electronic Arts, Inc.(a)		50,400		1,157,688
EMC Corp.		334,284		7,895,788
F5 Networks, Inc.(a)		12,200		839,360
Fidelity National Information Services, Inc.		46,777		2,003,927
Fiserv, Inc.(a)		21,052		1,840,155
Google, Inc. Class A(a)		42,690		37,582,995
Harris Corp.		18,600		916,050
Hewlett-Packard Co.		305,616		7,579,277
Intel Corp.		789,956		19,132,734
International Business Machines Corp.		166,742		31,866,064
Intuit, Inc.		43,863		2,676,959
Jabil Circuit, Inc.		27,551		561,489
Juniper Networks, Inc.(a)		84,393		1,629,629
KLA-Tencor Corp.		27,005		1,504,989
Lam Research Corp.(a)		25,858		1,146,544
Linear Technology Corp.		35,263		1,299,089
LSI Corp.(a)		89,162		636,617
Microchip Technology, Inc.		29,389		1,094,740
Micron Technology, Inc.(a)		160,962		2,306,585
Microsoft Corp.(b)		1,199,335		41,413,038
Molex, Inc.		23,205		680,835
Motorola Solutions, Inc.		42,752		2,468,073
NetApp, Inc.(a)		57,357		2,166,947
NVIDIA Corp.		99,956		1,402,383
Oracle Corp.		587,962		18,062,193
PerkinElmer, Inc.		19,218		624,585
QUALCOMM, Inc.		274,511		16,767,132
Red Hat, Inc.(a)		29,800		1,425,036
SAIC, Inc.		42,900		597,597
Salesforce.com, Inc.(a)		84,800		3,237,664
SanDisk Corp.(a)		38,367		2,344,224
Seagate Technology PLC		49,100		2,201,153
Symantec Corp.		109,963		2,470,869
TE Connectivity, Ltd.		67,300		3,064,842
Teradata Corp.(a)		25,320		1,271,824
Teradyne, Inc.(a)		28,149		494,578
Texas Instruments, Inc.		176,199		6,144,059
VeriSign, Inc.(a)		24,721		1,104,040
Waters Corp.(a)		13,765		1,377,188
Western Digital Corp.		36,200		2,247,658
Xerox Corp.		187,601		1,701,541
Xilinx, Inc.		42,502		1,683,504
Yahoo!, Inc.(a)		154,519		3,879,972
				368,303,341

See Notes to Financial Statements.

30

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2013 (Unaudited)

			Market
	Shares		Value
COMMON STOCKS – (continued)
Materials – 3.4%
Air Products & Chemicals, Inc.		33,209	$	3,040,948
Airgas, Inc.		11,600		1,107,336
Alcoa, Inc.		169,749		1,327,437
Allegheny Technologies, Inc.		17,228		453,269
Ball Corp.		25,024		1,039,497
Bemis Co., Inc.		17,462		683,463
CF Industries Holdings, Inc.		10,550		1,809,325
Cliffs Natural Resources, Inc.		22,200		360,750
Dow Chemical Co.		189,628		6,100,333
E.I. du Pont de Nemours & Co.		148,112		7,775,880
Eastman Chemical Co.		23,708		1,659,797
Ecolab, Inc.		42,166		3,592,122
FMC Corp.		21,400		1,306,684
Freeport-McMoRan Copper & Gold, Inc. Class B		165,004		4,555,761
International Flavors & Fragrances, Inc.		13,031		979,410
International Paper Co.		71,411		3,164,221
LyondellBasell Industries NV		59,400		3,935,844
MeadWestvaco Corp.		26,720		911,419
Monsanto Co.		86,055		8,502,234
Mosaic Co.		43,600		2,346,116
Newmont Mining Corp.		78,406		2,348,260
Nucor Corp.		49,654		2,151,011
Owens-Illinois, Inc.(a)		24,000		666,960
Plum Creek Timber Co., Inc.		25,311		1,181,264
PPG Industries, Inc.		22,771		3,333,902
Praxair, Inc.		46,511		5,356,207
Sealed Air Corp.		28,792		689,568
Sherwin-Williams Co.		13,696		2,418,714
Sigma-Aldrich Corp.		19,134		1,537,608
United States Steel Corp.		21,478		376,509
Vulcan Materials Co.		21,361		1,034,086
Weyerhaeuser Co.		87,474		2,492,134
				78,238,069
Telecommunication Services – 2.8%
AT&T, Inc.		854,950		30,265,230
CenturyLink, Inc.		99,565		3,519,623
Crown Castle International Corp.(a)		46,900		3,395,091
Frontier Communications Corp.		165,844		671,668
JDS Uniphase Corp.(a)		32,523		467,681
Sprint Nextel Corp.(a)		479,365		3,365,142
Verizon Communications, Inc.		454,666		22,887,887
Windstream Corp.		99,213		764,932
				65,337,254
Utilities – 3.2%
AES Corp.		103,195		1,237,308
AGL Resources, Inc.		18,100		775,766
Ameren Corp.		37,560		1,293,566
American Electric Power Co., Inc.		76,652		3,432,477
CenterPoint Energy, Inc.		66,311		1,557,645
CMS Energy Corp.		42,056		1,142,662
Consolidated Edison, Inc.		47,252		2,755,264
Dominion Resources, Inc.		90,862		5,162,779

			Market
	Shares		Value
DTE Energy Co.		27,484	$	1,841,703
Duke Energy Corp.		112,183		7,572,353
Edison International		50,419		2,428,179
Entergy Corp.		27,698		1,929,997
Exelon Corp.		136,543		4,216,448
FirstEnergy Corp.		64,822		2,420,453
Integrys Energy Group, Inc.		11,616		679,884
NextEra Energy, Inc.		67,721		5,517,907
NiSource, Inc.		50,582		1,448,668
Northeast Utilities		50,060		2,103,521
NRG Energy, Inc.		49,000		1,308,300
Oneok, Inc.		32,200		1,330,182
Pepco Holdings, Inc.		41,200		830,592
PG&E Corp.		69,126		3,161,132
Pinnacle West Capital Corp.		17,860		990,694
PPL Corp.		92,275		2,792,242
Public Service Enterprise Group, Inc.		80,924		2,642,978
SCANA Corp.		21,000		1,031,100
Sempra Energy		35,286		2,884,983
Southern Co.		135,943		5,999,165
TECO Energy, Inc.		34,951		600,808
Wisconsin Energy Corp.		38,100		1,561,719
Xcel Energy, Inc.		75,951		2,152,451
				74,802,926
TOTAL COMMON STOCKS (Cost: $ 1,187,915,321)				2,274,278,762
	Par Amount
U.S. GOVERNMENT SECURITIES – 0.1%
U.S. Treasury Bill(b)(d)(e) 0% due 07/05/2013	$	400,000		399,998
U.S. Treasury Bill(b)(d)(e) 0% due 08/08/2013		1,610,000		1,609,941
U.S. Treasury Bill(b)(d)(e) 0% due 09/12/2013		1,150,000		1,149,918
TOTAL U.S. GOVERNMENT SECURITIES (Cost: $ 3,159,857)				3,159,857
	Shares
MONEY MARKET FUND – 2.3%
State Street Institutional Liquid Reserves Fund(c)(f)		52,484,387		52,484,387
TOTAL MONEY MARKET FUND (Cost: $ 52,484,387)				52,484,387
TOTAL INVESTMENTS(g) – 100.1% (Cost $1,243,559,565)				2,329,923,006
Liabilities in Excess of Assets – (0.1)%				(1,565,448	)
NET ASSETS – 100.0%			$	2,328,357,558

^(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)  Rate represents annualized yield at date of purchase.

See Notes to Financial Statements.

31

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2013 (Unaudited)

^(e)  Value determined based on Level 2 inputs. (Note 2)

^(f)  The rate shown is the annualized seven-day yield at period end.

^(g)  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

Schedule of Futures Contracts

	Number of		Notional		Unrealized
	Contracts		Value		Depreciation
S&P 500 Financial Futures Contracts (long) Expiration Date 09/2013		678	$	55,153,271	$	(937,001	)
Total unrealized depreciation on open futures contracts purchased					$	(937,001	)

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 period ending June 30, 2013 were as follows:

Security Description	Number of shares held at 12/31/12		Shares purchased for the six months ended 06/30/13		Shares sold for the six months ended 06/30/13		Number of shares held at 06/30/13		Value at 06/30/13		Income earned for the six months ended 06/30/13		Realized gain on shares sold
State Street Corp.		72,725		—		—		72,725	$	4,742,397	$	37,817	$	—
State Street Institutional Liquid Reserves Fund		25,053,183		163,572,583		136,141,379		52,484,387		52,484,387		26,120		—

See Notes to Financial Statements.

32

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities

June 30, 2013 (Unaudited)

	State Street
	Equity 500
	Index Portfolio
Assets
Investments in unaffiliated issuers at market value (identified cost $1,188,685,404)	$	2,272,696,222
Investments in non-controlled affiliates at market value (identified cost $54,874,161) (Note 4)		57,226,784
Total investments at market value (identified cost $1,243,559,565)		2,329,923,006
Receivable for investment securities sold		319,501
Daily variation margin on futures contracts		689,529
Dividends and interest receivable		2,828,988
Dividend recievable from non-controlled affiliates (Note 4)		18,909
Total assets		2,333,779,933
Liabilities
Daily variation margin on futures contracts		937,001
Payable for withdrawals from portfolio		4,436,729
Management fees payable (Note 3)		48,645
Total liabilities		5,422,375
Net Assets	$	2,328,357,558

See Notes to Financial Statements.

33

State Street Equity 500 Index Portfolio

Statement of Operations

Six Months Ended June 30, 2013 (Unaudited)

	State Street
	Equity 500
	Index Portfolio
Investment Income
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $51,801 )	$	23,529,979
Dividend income – non-controlled affiliated issuer		63,937
Interest		937
Total investment income		23,594,853
Expenses
Management fees (Note 3)		503,913
Total expenses		503,913
Net Investment Income	$	23,090,940
Realized and Unrealized Gain (Loss)
Net realized gain on:
Investments – unaffiliated issuers	$	8,925,269
Futures contracts		6,612,377
		15,537,646
Net change in net unrealized appreciation (depreciation) on:
Investments		246,037,907
Futures contracts		(1,006,170	)
		245,031,737
Net realized and unrealized gain		260,569,383
Net Increase in Net Assets Resulting from Operations	$	283,660,323

See Notes to Financial Statements.

34

State Street Equity 500 Index Portfolio

Statements of Changes in Net Assets

	Six Months Ended			For the
	June 30, 2013			Year Ended
	(Unaudited)			December 31, 2012
Increase (Decrease) in Net Assets From Operations:
Net investment income	$	23,090,940		$	44,258,364
Net realized gain on investments and futures contracts		15,537,646			59,782,429
Net change in net unrealized appreciation on investments and futures contracts		245,031,737			177,710,661
Net increase in net assets from operations		283,660,323			281,751,454
Capital Transactions
Contributions		115,590,455			262,981,954
Withdrawals		(126,134,606	)		(315,020,063	)
Net decrease in net assets from capital transactions		(10,544,151	)		(52,038,109	)
Net Increase in Net Assets		273,116,172			229,713,345
Net Assets
Beginning of period		2,055,241,386			1,825,528,041
End of period	$	2,328,357,558		$	2,055,241,386

See Notes to Financial Statements.

35

State Street Equity 500 Index Portfolio

Financial Highlights

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

	Six Months Ended
	6/30/13			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			12/31/12			12/31/11			12/31/10			12/31/09			12/31/08
Supplemental Data and Ratios:
Net assets, end of period (in thousands)		2,328,358			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	%		0.045	%
Net investment income		2.06	%*		2.26	%		2.04	%		1.99	%		2.28	%		2.30	%
Portfolio turnover rate(a)		2	%		9	%		15	%		12	%		19	%		14	%
Total return(b)		13.84	%		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.

* Annualized.

See Notes to Financial Statements.

36

State Street Equity 500 Index Portfolio

Notes to Financial Statements

June 30, 2013 (Unaudited)

1. Organization

State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises ten investment portfolios: State Street Equity 500 Index Portfolio, State Street Equity 400 Index Portfolio, State Street Equity 2000 Index Portfolio, State Street Aggregate Bond Index Portfolio, State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street Limited Duration Bond Portfolio, State Street Treasury Money Market Portfolio, State Street Treasury Plus Money Market Portfolio and State Street U.S. Government Money Market Portfolio. Information presented in these financial statements pertains only to the State Street Equity 500 Index Portfolio (the “Portfolio”).

At June 30, 2013, 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 nontransferable 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 defines 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

37

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2013 (Unaudited)

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 June 30, 2013, in valuing the Portfolio’s assets carried at fair value:

	Quoted Prices in			Significant Other		Significant
	Active Markets for			Observable		Unobservable
	Identical Assets			Inputs		Inputs
Description	(Level 1)			(Level 2)		(Level 3)		Total
ASSETS:
INVESTMENTS:
Common Stocks	$	2,274,278,762		$	—	$	—	$	2,274,278,762
U.S. Government Securities		—			3,159,857		—		3,159,857
Money Market Fund		52,484,387			—		—		52,484,387
TOTAL INVESTMENTS		2,326,763,149			3,159,857		—		2,329,923,006
OTHER ASSETS:
Futures contracts		(937,001	)		—		—		(937,001	)
TOTAL ASSETS	$	2,325,826,148		$	3,159,857	$	—	$	2,328,986,005

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 six months ended June 30, 2013, 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.

38

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2013 (Unaudited)

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 June 30, 2013, 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 June 30, 2013, the tax cost of investments was $1,243,559,565 on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $ 1,110,681,006 and $ 24,317,565 respectively, resulting in net appreciation of $1,086,363,441 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 through the use of options

39

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2013 (Unaudited)

and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.

The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at June 30, 2013:

Asset Derivatives⁽¹⁾ (amounts in thousands)

	Equity Contracts Risk			Total
Futures Contracts	$	(937,001	)	$	(937,001	)

⁽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 six months ended June 30, 2013, were as follows:

Realized Gain (Loss)⁽²⁾ (amounts in thousands)

	Equity Contracts Risk		Total
Futures Contracts	$	6,612,377	$	6,612,377

Change in Appreciation (Depreciation)⁽³⁾ (amounts in thousands)

	Equity Contracts Risk		Total
Futures Contracts	$	1,006,170	$	1,006,170

⁽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 of futures outstanding during the six months ended June 30, 2013 was $44,035,248.

At June 30, 2013, the fund sold the following exchange traded futures contracts:

Financial Exchange Traded Futures Contracts

			Number of				Notional		Unrealized
Issue	Exchange		Contracts		Expiration Date		Value		Depreciation
S&P 500 Financial Futures		Chicago Mercantile Exchange		678		September 2013	$	55,153,271	$	(937,001	)

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.

40

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2013 (Unaudited)

Subsequent events – Management has determined that there are no subsequent events or transactions that would have materially impacted the Fund’s financial statements as presented.

3. Securities Transactions

For the six months ended June 30, 2013, purchases and sales of investment securities, excluding short-term investments, and futures contracts, aggregated to $40,249,683 and $45,700,068, respectively.

4. Related Party Fees and Transactions

The Portfolio has entered into an investment advisory agreement with SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), under which SSgA FM directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. The Trust has contracted with State Street to provide custody, administration and transfer agent services to the Portfolio. In compensation for SSgA FM’s services as investment adviser and for State Street’s services as administrator, custodian and transfer agent (and for assuming ordinary operating expenses of the Portfolio, including ordinary legal, audit and trustees expense), State Street receives a unitary fee, calculated daily, at the annual rate of 0.045% of the Portfolio’s average daily net assets.

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corporation, the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The market value of this investment at June 30, 2013 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.

41

State Street Equity 500 Index Portfolio

General Information

June 30, 2013 (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.

42

JUNE 30, 2013

SEMI-ANNUAL REPORT (UNAUDITED)

Quantitative Master Series LLC

• Master International Index Series

• Master Small Cap Index Series

Not FDIC Insured • May Lose Value • No Bank Guarantee

Series Portfolio Information as of June 30, 2013 Quantitative Master Series LLC

Master International Index Series

	Percent of
Ten Largest Holdings	Long-Term Investments
Nestlé SA, Registered Shares		2	%
HSBC Holdings Plc		2
Roche Holding AG		2
Toyota Motor Corp.		1
Novartis AG, Registered Shares		1
Vodafone Group Plc		1
BP Plc		1
Sanofi		1
GlaxoSmithKline Plc		1
Royal Dutch Shell Plc, Class A		1

	Percent of
Geographic Allocation	Long-Term Investments
Japan		23	%
United Kingdom		21
Switzerland		10
France		9
Germany		9
Australia		8
Hong Kong		3
Netherlands		3
Spain		3
Sweden		3
Italy		2
Singapore		2
Other1		4

¹  Other includes a 1% or less investment in each of the following countries: Belgium, Denmark, Finland, Norway, Ireland, Israel, Austria, Bermuda, Cayman Islands, Greece, Mexico, New Zealand and Portugal.

Master Small Cap Index Series

	Percent of
Ten Largest Holdings	Long-Term Investments
CoStar Group, Inc.		0.3	%
CommVault Systems, Inc.		0.2
FirstMerit Corp.		0.2
Ultimate Software Group, Inc.		0.2
Acuity Brands, Inc.		0.2
Middleby Corp.		0.2
Prosperity Bancshares, Inc.		0.2
athenahealth, Inc.		0.2
Isis Pharmaceuticals, Inc.		0.2
Lufkin Industries, Inc.		0.2

	Percent of
Sector Allocation	Long-Term Investments
Financials		23	%
Information Technology		17
Consumer Discretionary		15
Industrials		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 International Index Series and 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 4 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.

44 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013

Schedule of Investments June 30, 2013 (Unaudited)	Master International Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Australia — 7.8%
AGL Energy Ltd.		38,553	$	510,137
ALS Ltd.		24,392		212,340
Alumina Ltd. (a)		173,063		154,021
Amcor Ltd.		89,410		826,319
AMP Ltd.		214,946		831,284
APA Group		57,688		316,127
Asciano Ltd.		68,460		313,118
ASX Ltd.		13,607		410,329
Aurizon Holdings Ltd.		145,234		551,675
Australia & New Zealand Banking Group Ltd.		198,218		5,145,609
Bendigo and Adelaide Bank Ltd.		29,133		267,143
BGP Holdings Plc (a)		783,183		10
BHP Billiton Ltd.		232,004		6,677,728
Boral Ltd.		54,919		210,139
Brambles Ltd.		114,474		975,103
Caltex Australia Ltd.		9,654		158,791
CFS Retail Property Trust		155,701		283,869
Coca-Cola Amatil Ltd.		40,499		469,224
Cochlear Ltd.		4,105		230,389
Commonwealth Bank of Australia		116,242		7,316,979
Computershare Ltd.		34,173		320,407
Crown Ltd.		28,521		314,413
CSL Ltd.		36,159		2,036,402
Dexus Property Group		358,954		350,051
Echo Entertainment Group Ltd.		52,974		148,485
Federation Centres Ltd.		98,111		212,638
Flight Centre Ltd.		3,947		141,333
Fortescue Metals Group Ltd.		111,508		306,964
Goodman Group		120,840		537,251
GPT Group		126,577		444,452
Harvey Norman Holdings Ltd.		38,809		90,067
Iluka Resources Ltd.		29,539		266,208
Incitec Pivot Ltd.		114,484		298,076
Insurance Australia Group Ltd.		147,200		730,656
Leighton Holdings Ltd.		12,216		171,194
Lend Lease Group		39,211		298,954
Macquarie Group Ltd.		22,908		873,731
Metcash Ltd.		63,088		202,386
Mirvac Group		262,207		383,870
National Australia Bank Ltd.		169,231		4,577,690
Newcrest Mining Ltd.		54,223		500,543
Orica Ltd.		25,710		484,645
Origin Energy Ltd.		80,493		922,399
Qantas Airways Ltd. (a)		77,541		95,243
QBE Insurance Group Ltd.		87,070		1,205,527
Ramsay Health Care Ltd.		9,527		311,395
Rio Tinto Ltd.		31,420		1,505,813
Santos Ltd.		70,736		805,546
Seek Ltd.		23,033		190,662
Sonic Healthcare Ltd.		26,295		357,224
SP AusNet		124,539		133,615
Stockland		156,183		496,953
Suncorp Group Ltd.		94,284		1,024,026
Sydney Airport		13,793		42,560
Tabcorp Holdings Ltd.		52,333		145,744
Tatts Group Ltd.		100,334		289,832
Telstra Corp. Ltd.		314,123		1,365,640
Toll Holdings Ltd.		49,469		239,424
Transurban Group		100,658		621,617

Common Stocks	Shares		Value
Australia (concluded)
Treasury Wine Estates Ltd.		46,594	$	247,588
Wesfarmers Ltd.		72,972		2,640,571
Westfield Group		154,715		1,620,427
Westfield Retail Trust		218,418		617,705
Westpac Banking Corp.		224,222		5,886,918
Whitehaven Coal Ltd.		34,376		72,327
Woodside Petroleum Ltd.		47,481		1,512,170
Woolworths Ltd.		89,981		2,695,528
WorleyParsons Ltd.		14,832		262,753
				64,859,957
Austria — 0.3%
Andritz AG		5,118		262,592
Erste Group Bank AG		16,936		451,408
Immoeast AG NPV (a)		30,711		—
IMMOFINANZ AG		67,515		251,931
OMV AG		11,072		499,470
Raiffeisen Bank International AG		3,624		105,508
Telekom Austria AG		15,806		100,024
Verbund AG		4,748		90,053
Vienna Insurance Group AG		2,602		120,705
Voestalpine AG		7,832		276,966
				2,158,657
Belgium — 1.1%
Ageas		16,408		575,731
Anheuser-Busch InBev NV		58,042		5,225,702
Belgacom SA		10,971		245,642
Colruyt SA		5,505		289,667
Delhaize Group		7,266		449,201
Groupe Bruxelles Lambert SA		5,740		432,330
KBC Groep NV		16,247		605,678
Solvay SA		4,180		547,325
Telenet Group Holding NV		3,551		162,977
UCB SA		7,684		412,483
Umicore SA		8,215		341,126
				9,287,862
Denmark — 1.1%
A.P. Moller - Maersk A/S, Class A		40		269,318
A.P. Moller - Maersk A/S, Class B		97		693,900
Carlsberg A/S, Class B		7,937		709,695
Coloplast A/S, Class B		8,045		450,472
Danske Bank A/S (a)		48,471		826,864
DSV A/S		13,109		319,336
Novo-Nordisk A/S, Class B		29,425		4,574,480
Novozymes A/S, Class B		17,373		556,461
TDC A/S		53,149		430,750
Tryg A/S		1,678		138,243
William Demant Holding A/S (a)		1,914		158,138
				9,127,657
Finland — 0.8%
Elisa Oyj		10,481		204,651
Fortum Oyj		31,478		589,688
Kesko Oyj, Class B		4,450		123,617
Kone Oyj, Class B		11,449		908,128
Metso Oyj		9,209		311,935
Neste Oil Oyj		8,875		129,508
Nokia Oyj (a)		273,582		1,019,896

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:	ADR	American Depositary Receipts	GBP	British Pound
	AUD	Australian Dollar	REIT	Real Estate Investment Trust
	EUR	Euro	USD	US Dollar

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	45

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

Common Stocks	Shares		Value
Finland (concluded)
Nokian Renkaat Oyj		8,076	$	328,622
Orion Oyj, Class B		6,857		160,673
Pohjola Bank Plc, Class A		10,148		149,117
Sampo Oyj, Class A		30,753		1,197,516
Stora Enso Oyj, Class R		40,003		267,871
UPM-Kymmene Oyj		37,340		365,967
Wartsila Oyj		12,697		551,621
				6,308,810
France — 8.9%
Accor SA		11,498		404,163
Aeroports de Paris		2,172		211,140
Air Liquide SA		22,614		2,792,825
Alstom SA		15,320		502,553
ArcelorMittal		73,772		825,680
Arkema		4,407		403,969
Atos		3,901		289,915
AXA SA		129,803		2,558,768
BNP Paribas SA		71,811		3,931,295
Bouygues SA		13,613		346,884
Bureau Veritas SA		15,756		408,007
Cap Gemini SA		10,847		526,750
Carrefour SA		44,260		1,215,675
Casino Guichard-Perrachon SA		3,937		368,920
Christian Dior SA		4,061		656,068
Cie Generale de Geophysique-Veritas (a)		11,523		255,315
Cie Generale des Etablissements Michelin, Class B		13,297		1,188,963
CNP Assurances		10,999		157,924
Compagnie de Saint-Gobain		29,088		1,178,659
Credit Agricole SA (a)		70,732		608,778
Danone SA		41,427		3,118,142
Dassault Systemes SA		4,378		535,110
Edenred		14,550		445,516
EDF SA		17,318		401,892
Essilor International SA		14,585		1,553,854
Eurazeo		2,296		123,116
Eutelsat Communications SA		10,266		291,257
Fonciere Des Regions		1,928		144,504
France Telecom SA		133,668		1,265,755
GDF Suez		95,262		1,868,547
Gecina SA		1,582		174,850
Groupe Eurotunnel SA		40,461		307,664
ICADE		1,743		143,776
Iliad SA		1,652		356,911
Imerys SA		2,500		153,499
JC Decaux SA		4,659		126,818
Kering		5,532		1,125,691
Klepierre		7,240		285,324
L’Oreal SA		17,470		2,871,795
Lafarge SA		13,810		847,976
Lagardere S.C.A.		8,569		239,091
Legrand SA		17,886		829,288
LVMH Moet Hennessy Louis Vuitton SA		18,353		2,979,689
Natixis		64,590		271,196
Pernod Ricard SA		15,262		1,693,988
Publicis Groupe SA		13,081		931,617
Remy Cointreau SA		1,965		208,507
Renault SA		14,139		952,367
Rexel SA		10,866		244,819
Safran SA		17,884		933,659
Sanofi		86,223		8,913,778
Schneider Electric SA		38,187		2,773,395
Scor SE		11,565		354,958
SES SA		21,454		614,691
Societe BIC SA		1,967		197,327
Societe Generale SA		50,416		1,735,090
Sodexo		7,042		586,638

Common Stocks	Shares		Value
France (concluded)
Suez Environnement Co.		19,381	$	250,489
Technip SA		7,503		762,547
Thales SA		6,399		298,602
Total SA		153,813		7,512,713
Unibail-Rodamco SE		6,941		1,616,594
Vallourec SA		7,450		378,061
Veolia Environnement SA		24,529		280,052
Vinci SA		33,911		1,700,995
Vivendi SA		89,242		1,691,280
Wendel SA		2,277		234,826
Zodiac Aerospace		2,370		313,816
				74,474,321
Germany — 8.4%
Adidas AG		15,073		1,629,373
Allianz SE, Registered Shares		32,942		4,808,256
Axel Springer AG		2,723		115,876
BASF SE		66,352		5,918,165
Bayer AG, Registered Shares		59,738		6,360,336
Bayerische Motoren Werke AG		23,745		2,072,374
Bayerische Motoren Werke AG, Preference Shares		3,839		262,190
Beiersdorf AG		7,148		622,654
Brenntag AG		3,673		558,269
Celesio AG		5,979		129,791
Commerzbank AG (a)		69,176		600,949
Continental AG		8,073		1,076,203
Daimler AG, Registered Shares		69,430		4,191,410
Deutsche Bank AG, Registered Shares		73,677		3,089,483
Deutsche Boerse AG		14,222		935,214
Deutsche Lufthansa AG, Registered Shares (a)		16,225		328,676
Deutsche Post AG, Registered Shares		65,239		1,619,102
Deutsche Telekom AG, Registered Shares		204,368		2,380,998
E.ON AG		129,142		2,116,463
Fraport AG Frankfurt Airport Services Worldwide		2,725		164,666
Fresenius Medical Care AG & Co. KGaA		15,483		1,097,454
Fresenius SE & Co. KGaA		9,111		1,121,387
GEA Group AG		13,451		476,263
Hannover Rueckversicherung SE, Registered Shares		4,279		307,691
HeidelbergCement AG		10,001		670,075
Henkel AG & Co. KGaA		9,631		754,299
Henkel AG & Co. KGaA, Preference Shares		12,831		1,204,955
Hochtief AG		2,160		140,709
Hugo Boss AG		2,272		249,827
Infineon Technologies AG		76,345		639,077
K+S AG		12,062		445,777
Kabel Deutschland Holding AG		6,304		692,187
Lanxess AG		5,866		353,263
Linde AG		13,442		2,504,881
MAN SE		2,937		320,193
Merck KGaA		4,576		695,917
Metro AG		9,325		294,651
Muenchener Rueckversicherungs AG, Registered Shares		13,043		2,396,163
Porsche Automobil Holding SE, Preference Shares		11,308		873,233
ProSieben SAT.1 Media AG, Preference Shares		7,550		323,821
RWE AG		35,317		1,125,836
RWE AG, Non-Voting Preference Shares		2,740		84,572
SAP AG		66,568		4,860,993
Siemens AG, Registered Shares		57,395		5,812,019
Suedzucker AG		5,905		182,815
Telefonica Deutschland Holding AG		20,099		145,415
ThyssenKrupp AG (a)		28,878		566,075
United Internet AG		7,797		219,798
Volkswagen AG		2,096		407,515
Volkswagen AG, Preference Shares		10,371		2,094,772
				70,042,081

See Notes to Financial Statements.
46	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

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

Common Stocks	Shares		Value
Greece — 0.0%
Hellenic Telecommunications Organization SA (a)		17,634	$	137,922
OPAP SA		15,543		130,072
				267,994
Hong Kong — 3.0%
AAC Technologies Holdings, Inc.		52,500		294,550
AIA Group Ltd.		870,200		3,666,151
ASM Pacific Technology Ltd.		17,304		189,959
Bank of East Asia Ltd.		84,932		303,999
BOC Hong Kong Holdings Ltd.		273,900		837,884
Cathay Pacific Airways Ltd.		87,263		151,850
Cheung Kong Holdings Ltd.		100,835		1,359,702
Cheung Kong Infrastructure Holdings Ltd.		44,500		296,519
CLP Holdings Ltd.		130,687		1,056,451
First Pacific Co. Ltd.		154,000		164,625
Galaxy Entertainment Group Ltd. (a)		153,000		743,187
Hang Lung Properties Ltd.		158,000		547,285
Hang Seng Bank Ltd.		56,653		834,307
Henderson Land Development Co. Ltd.		74,240		440,902
HKT Trust/HKT Ltd.		156,000		149,132
Hong Kong & China Gas Ltd.		423,324		1,032,935
Hong Kong Exchanges and Clearing Ltd.		76,627		1,150,889
Hopewell Holdings Ltd.		41,349		137,235
Hutchison Whampoa Ltd.		155,176		1,623,491
Hysan Development Co. Ltd.		45,791		197,686
Kerry Properties Ltd.		52,500		204,668
Li & Fung Ltd.		437,980		596,962
The Link REIT		168,914		828,976
MGM China Holdings Ltd.		68,000		180,449
MTR Corp.		103,500		380,344
New World Development Co. Ltd.		264,226		362,935
NWS Holdings Ltd.		100,500		154,076
Orient Overseas International Ltd.		15,057		96,449
PCCW Ltd.		276,000		128,811
Power Assets Holdings Ltd.		102,500		882,320
Sands China Ltd.		178,600		834,610
Shangri-La Asia Ltd.		105,905		182,057
Sino Land Co. Ltd.		211,263		295,382
SJM Holdings Ltd.		137,000		332,473
Sun Hung Kai Properties Ltd.		116,324		1,493,837
Swire Pacific Ltd., Class A		48,077		579,245
Swire Properties Ltd.		83,000		244,356
Wharf Holdings Ltd.		112,357		937,778
Wheelock & Co. Ltd.		64,000		319,319
Wynn Macau Ltd.		108,800		292,647
Yue Yuen Industrial Holdings Ltd.		54,285		140,287
				24,646,720
Ireland — 0.5%
Bank of Ireland (a)		1,510,671		308,054
CRH Plc		53,112		1,074,598
Elan Corp. Plc (a)		34,358		482,149
Experian Plc		72,668		1,262,952
Irish Bank Resolution Corp. Ltd. (a)		62,641		1
James Hardie Industries SE		31,042		266,554
Kerry Group Plc		10,628		586,559
Ryanair Holdings Plc		10,891		100,917
				4,081,784
Israel — 0.5%
Bank Hapoalim BM (a)		74,133		334,561
Bank Leumi Le-Israel (a)		88,217		291,420
Bezeq The Israeli Telecommunication Corp. Ltd.		133,123		176,991
Delek Group Ltd.		355		91,644
Israel Chemicals Ltd.		31,321		307,585
The Israel Corp. Ltd. (a)		206		122,819
Mellanox Technologies Ltd. (a)		2,589		128,716
Mizrahi Tefahot Bank Ltd. (a)		8,935		89,456

Common Stocks	Shares		Value
Israel (concluded)
Nice Systems Ltd.		4,090	$	150,384
Teva Pharmaceutical Industries Ltd.		61,564		2,409,479
				4,103,055
Italy — 1.9%
Assicurazioni Generali SpA		83,991		1,468,136
Atlantia SpA		23,169		377,892
Banca Monte dei Paschi di Siena SpA (a)		447,785		113,436
Enel Green Power SpA		121,571		252,305
Enel SpA		473,472		1,485,739
Eni SpA		183,824		3,772,798
Exor SpA		4,458		132,025
Fiat Industrial SpA		63,618		708,187
Fiat SpA (a)		63,071		439,859
Finmeccanica SpA (a)		29,559		147,883
Intesa Sanpaolo SpA		830,586		1,329,386
Luxottica Group SpA		11,720		592,977
Mediobanca SpA		37,921		197,218
Pirelli & C SpA		16,831		194,569
Prysmian SpA		14,595		272,268
Saipem SpA		18,607		302,011
Snam SpA		145,095		660,667
Telecom Italia SpA		719,770		501,680
Telecom Italia SpA, Non-Convertible Savings Shares		434,224		242,083
Tenaris SA		33,336		667,667
Terna SpA		107,886		448,305
UniCredit SpA		317,577		1,484,636
Unione di Banche Italiane ScpA		62,528		226,123
				16,017,850
Japan — 22.1%
ABC-Mart, Inc.		2,000		77,951
Acom Co. Ltd. (a)		2,980		94,802
Advantest Corp.		10,200		168,063
Aeon Co. Ltd.		43,000		565,074
Aeon Credit Financial Co. Ltd.		4,500		127,473
Aeon Mall Co. Ltd.		7,500		186,060
Air Water, Inc.		10,000		140,578
Aisin Seiki Co. Ltd.		13,600		519,281
Ajinomoto Co., Inc.		45,000		660,116
Alfresa Holdings Corp.		2,900		155,281
All Nippon Airways Co. Ltd.		81,000		168,427
Amada Co. Ltd.		24,000		158,007
Aozora Bank Ltd. (a)		77,000		240,477
Asahi Glass Co. Ltd.		71,100		460,856
Asahi Group Holdings Ltd.		27,600		683,700
Asahi Kasei Corp.		90,000		593,831
Asics Corp.		11,000		173,356
Astellas Pharma, Inc.		32,200		1,749,235
The Bank of Kyoto Ltd.		23,000		191,544
The Bank of Yokohama Ltd.		87,000		448,803
Benesse Holdings, Inc.		5,600		202,031
Bridgestone Corp.		46,900		1,599,300
Brother Industries Ltd.		17,100		191,880
Calbee, Inc.		1,500		142,363
Canon, Inc.		82,200		2,693,963
Casio Computer Co. Ltd.		15,800		139,162
Central Japan Railway Co.		10,600		1,291,928
The Chiba Bank Ltd.		53,000		361,615
Chiyoda Corp.		10,000		117,938
Chubu Electric Power Co., Inc.		45,700		647,341
Chugai Pharmaceutical Co. Ltd.		15,900		329,119
The Chugoku Bank Ltd.		13,000		182,162
The Chugoku Electric Power Co., Inc.		21,600		338,692
Citizen Holdings Co. Ltd.		19,000		105,977
Coca-Cola West Co. Ltd.		3,900		69,161
Cosmo Oil Co. Ltd. (a)		38,000		69,887

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	47

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

Common Stocks	Shares		Value
Japan (continued)
Credit Saison Co. Ltd.		11,000	$	276,398
Dai Nippon Printing Co. Ltd.		40,000		364,991
The Dai-ichi Life Insurance Co. Ltd.		627		900,086
Daicel Corp.		21,000		183,539
Daido Steel Co. Ltd.		21,000		106,012
Daihatsu Motor Co. Ltd.		15,000		284,111
Daiichi Sankyo Co. Ltd.		47,700		794,911
Daikin Industries Ltd.		16,700		675,010
Dainippon Sumitomo Pharma Co. Ltd.		11,000		145,480
Daito Trust Construction Co. Ltd.		5,100		480,520
Daiwa House Industry Co. Ltd.		37,000		689,200
Daiwa Securities Group, Inc.		123,000		1,030,115
Dena Co. Ltd.		7,400		144,877
Denso Corp.		34,900		1,640,759
Dentsu, Inc.		12,813		443,260
Don Quijote Co. Ltd.		3,700		179,615
East Japan Railway Co.		24,349		1,895,144
Eisai Co. Ltd.		18,700		762,102
Electric Power Development Co. Ltd.		8,400		262,623
FamilyMart Co. Ltd.		4,000		170,674
FANUC Corp.		13,900		2,011,704
Fast Retailing Co. Ltd.		3,800		1,282,517
Fuji Electric Co. Ltd.		40,800		143,456
Fuji Heavy Industries Ltd.		42,000		1,037,158
FUJIFILM Holdings Corp.		34,400		756,581
Fujitsu Ltd.		139,000		575,042
Fukuoka Financial Group, Inc.		54,000		229,671
Furukawa Electric Co. Ltd.		46,000		106,420
Gree, Inc.		6,400		56,786
GungHo Online Entertainment, Inc. (a)		240		262,206
The Gunma Bank Ltd.		27,000		149,283
The Hachijuni Bank Ltd.		28,000		163,369
Hakuhodo DY Holdings, Inc.		1,640		114,863
Hamamatsu Photonics KK		4,900		176,955
Hankyu Hanshin Holdings, Inc.		81,000		461,018
Hino Motors Ltd.		18,000		264,131
Hirose Electric Co. Ltd.		2,100		276,591
The Hiroshima Bank Ltd.		35,000		148,973
Hisamitsu Pharmaceutical Co., Inc.		4,400		223,278
Hitachi Chemical Co. Ltd.		7,400		115,846
Hitachi Construction Machinery Co. Ltd.		7,300		147,240
Hitachi High-Technologies Corp.		4,400		106,109
Hitachi Ltd.		351,000		2,249,031
Hitachi Metals Ltd.		16,000		179,210
Hokkaido Electric Power Co., Inc. (a)		12,900		176,044
Hokuhoku Financial Group, Inc.		85,000		173,567
Hokuriku Electric Power Co.		11,700		183,589
Honda Motor Co. Ltd.		117,700		4,372,488
Hoya Corp.		30,700		631,444
Hulic Co. Ltd.		18,200		195,256
Ibiden Co. Ltd.		8,400		130,744
Idemitsu Kosan Co. Ltd.		1,500		114,985
IHI Corp.		94,000		355,651
Inpex Corp.		163		677,461
Isetan Mitsukoshi Holdings Ltd.		25,205		334,688
Isuzu Motors Ltd.		87,000		594,727
ITOCHU Corp.		108,400		1,253,525
Itochu Techno-Solutions Corp.		1,700		70,373
The Iyo Bank Ltd.		19,000		181,595
J. Front Retailing Co. Ltd.		34,600		275,923
Japan Airlines Co. Ltd.		4,340		223,426
Japan Exchange Group, Inc.		3,500		353,524
Japan Petroleum Exploration Co.		2,000		80,980
Japan Prime Realty Investment Corp.		53		162,179
Japan Real Estate Investment Corp.		42		469,172
Japan Retail Fund Investment Corp.		147		307,104
The Japan Steel Works Ltd.		24,000		131,700

Common Stocks	Shares		Value
Japan (continued)
Japan Tobacco, Inc.		79,800	$	2,816,742
JFE Holdings, Inc.		36,200		793,068
JGC Corp.		15,000		540,187
The Joyo Bank Ltd.		51,000		278,534
JSR Corp.		12,500		252,920
JTEKT Corp.		15,100		169,254
JX Holdings, Inc.		166,160		802,289
Kajima Corp.		57,800		191,627
Kamigumi Co. Ltd.		17,000		136,818
Kaneka Corp.		20,000		131,872
The Kansai Electric Power Co., Inc. (a)		53,500		732,324
Kansai Paint Co. Ltd.		18,000		229,773
Kao Corp.		38,300		1,303,790
Kawasaki Heavy Industries Ltd.		99,000		303,830
KDDI Corp.		38,800		2,020,450
Keikyu Corp.		32,000		274,720
Keio Corp.		41,000		281,689
Keisei Electric Railway Co. Ltd.		20,000		187,373
Keyence Corp.		3,292		1,048,866
Kikkoman Corp.		12,000		199,617
Kinden Corp.		10,000		86,053
Kintetsu Corp.		116,000		509,239
Kirin Holdings Co. Ltd.		62,000		971,186
Kobe Steel Ltd. (a)		179,000		221,365
Koito Manufacturing Co. Ltd.		7,000		133,440
Komatsu Ltd.		67,300		1,550,049
Konami Corp.		6,800		144,359
Konica Minolta Holdings, Inc.		33,000		248,382
Kubota Corp.		78,000		1,135,162
Kuraray Co. Ltd.		24,400		341,971
Kurita Water Industries Ltd.		8,200		173,563
Kyocera Corp.		11,600		1,180,252
Kyowa Hakko Kirin Co. Ltd.		19,000		214,764
Kyushu Electric Power Co., Inc. (a)		29,800		449,120
Lawson, Inc.		4,700		358,654
LIXIL Group Corp.		20,100		489,449
M3, Inc.		57		127,849
Mabuchi Motor Co. Ltd.		1,800		96,018
Makita Corp.		8,000		430,098
Marubeni Corp.		123,000		822,052
Marui Group Co. Ltd.		15,700		156,397
Maruichi Steel Tube Ltd.		3,400		86,876
Mazda Motor Corp. (a)		197,400		780,408
McDonald’s Holdings Co. Japan Ltd.		4,500		124,874
Medipal Holdings Corp.		10,100		136,933
Meiji Holdings Co. Ltd.		4,393		210,961
Miraca Holdings, Inc.		4,100		188,407
Mitsubishi Chemical Holdings Corp.		97,500		456,954
Mitsubishi Corp.		101,100		1,727,161
Mitsubishi Electric Corp.		141,000		1,317,518
Mitsubishi Estate Co. Ltd.		91,000		2,422,773
Mitsubishi Gas Chemical Co., Inc.		27,000		197,953
Mitsubishi Heavy Industries Ltd.		218,200		1,213,095
Mitsubishi Logistics Corp.		9,000		125,586
Mitsubishi Materials Corp.		77,000		271,085
Mitsubishi Motors Corp. (a)		301,000		412,007
Mitsubishi Tanabe Pharma Corp.		16,000		207,013
Mitsubishi UFJ Financial Group, Inc.		920,574		5,685,344
Mitsubishi UFJ Lease & Finance Co. Ltd.		41,900		198,796
Mitsui & Co. Ltd.		125,200		1,570,033
Mitsui Chemicals, Inc.		63,000		141,819
Mitsui Fudosan Co. Ltd.		60,000		1,764,001
Mitsui OSK Lines Ltd. (a)		76,000		295,346
Mizuho Financial Group, Inc.		1,655,564		3,438,098
MS&AD Insurance Group Holdings, Inc.		37,370		946,589
Murata Manufacturing Co. Ltd.		14,900		1,133,367
Nabtesco Corp.		7,300		151,568

See Notes to Financial Statements.
48	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

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

Common Stocks	Shares		Value
Japan (continued)
Namco Bandai Holdings, Inc.		13,000	$	210,697
NEC Corp.		157,000		343,807
Nexon Co. Ltd. (a)		7,300		80,629
NGK Insulators Ltd.		19,000		234,794
NGK Spark Plug Co. Ltd.		13,000		260,193
NHK Spring Co. Ltd.		10,700		123,540
Nidec Corp.		7,600		531,712
Nikon Corp.		24,000		560,736
Nintendo Co. Ltd.		7,900		930,138
Nippon Building Fund, Inc.		51		590,657
Nippon Electric Glass Co. Ltd.		26,500		128,999
Nippon Express Co. Ltd.		60,000		284,916
Nippon Meat Packers, Inc.		14,000		214,147
Nippon Prologis REIT, Inc.		18		156,190
Nippon Steel & Sumitomo Metal Corp.		547,265		1,474,469
Nippon Telegraph & Telephone Corp.		31,376		1,635,345
Nippon Yusen KK		112,000		296,338
The Nishi-Nippon City Bank Ltd.		48,000		125,166
Nissan Motor Co. Ltd.		178,700		1,791,040
Nisshin Seifun Group, Inc.		14,000		167,760
Nissin Foods Holdings Co. Ltd.		4,300		173,895
Nitori Holdings Co. Ltd.		2,300		185,171
Nitto Denko Corp.		11,710		751,028
NKSJ Holdings, Inc.		26,575		631,545
NOK Corp.		7,100		112,568
Nomura Holdings, Inc.		260,700		1,918,952
Nomura Real Estate Holdings, Inc.		8,800		194,389
Nomura Real Estate Office Fund, Inc.		19		83,321
Nomura Research Institute Ltd.		6,900		224,088
NSK Ltd.		36,000		343,435
NTT Data Corp.		91		324,138
NTT DoCoMo, Inc.		1,102		1,714,386
NTT Urban Development Corp.		84		103,102
Obayashi Corp.		46,000		238,514
Odakyu Electric Railway Co. Ltd.		44,000		429,689
OJI Paper Co. Ltd.		57,000		229,756
Olympus Corp. (a)		15,000		455,811
Omron Corp.		14,400		429,307
Ono Pharmaceutical Co. Ltd.		5,800		394,805
Oracle Corp. Japan		2,600		107,690
Oriental Land Co. Ltd.		3,600		557,121
ORIX Corp.		78,800		1,075,361
Osaka Gas Co. Ltd.		134,000		565,803
Otsuka Corp.		1,100		122,683
Otsuka Holdings Co. Ltd.		26,700		881,605
Panasonic Corp. (a)		161,100		1,297,185
Park24 Co. Ltd.		7,000		126,994
Rakuten, Inc.		53,700		635,002
Resona Holdings, Inc.		134,056		652,878
Ricoh Co. Ltd.		48,000		568,815
Rinnai Corp.		2,900		206,206
Rohm Co. Ltd.		6,900		280,218
Sankyo Co. Ltd.		3,600		170,112
Sanrio Co. Ltd.		3,200		148,441
Santen Pharmaceutical Co. Ltd.		5,200		225,029
SBI Holdings, Inc.		15,540		170,846
Secom Co. Ltd.		14,900		810,121
Sega Sammy Holdings, Inc.		14,332		359,133
Sekisui Chemical Co. Ltd.		32,000		339,792
Sekisui House Ltd.		41,000		592,388
Seven & I Holdings Co. Ltd.		54,200		1,984,984
Seven Bank Ltd.		39,600		143,553
Sharp Corp. (a)		75,000		301,985
Shikoku Electric Power Co., Inc. (a)		12,200		220,309
Shimadzu Corp.		16,000		128,793
Shimamura Co. Ltd.		1,600		194,227
Shimano, Inc.		5,600		477,035

Common Stocks	Shares		Value
Japan (continued)
Shimizu Corp.		41,000	$	164,818
Shin-Etsu Chemical Co. Ltd.		29,500		1,952,465
Shinsei Bank Ltd.		123,000		279,314
Shionogi & Co. Ltd.		20,900		435,836
Shiseido Co. Ltd.		26,000		386,849
The Shizuoka Bank Ltd.		41,000		442,217
Showa Denko KK		101,000		133,202
Showa Shell Sekiyu KK		13,200		108,298
SMC Corp.		3,900		781,855
Softbank Corp.		68,500		3,987,380
Sojitz Corp.		87,100		144,514
Sony Corp.		74,000		1,563,339
Sony Financial Holdings, Inc.		12,300		193,658
Stanley Electric Co. Ltd.		9,700		188,452
Sumco Corp.		8,600		94,203
Sumitomo Chemical Co. Ltd.		106,000		332,467
Sumitomo Corp.		82,900		1,033,232
Sumitomo Electric Industries Ltd.		53,500		636,866
Sumitomo Heavy Industries Ltd.		38,000		159,567
Sumitomo Metal Mining Co. Ltd.		39,000		434,408
Sumitomo Mitsui Financial Group, Inc.		92,850		4,250,024
Sumitomo Mitsui Trust Holdings, Inc.		239,820		1,118,966
Sumitomo Realty & Development Co. Ltd.		27,000		1,076,060
Sumitomo Rubber Industries Ltd.		11,800		192,624
Suruga Bank Ltd.		13,000		235,748
Suzuken Co. Ltd.		4,900		164,910
Suzuki Motor Corp.		27,300		629,274
Sysmex Corp.		5,100		334,027
T&D Holdings, Inc.		41,100		549,777
Taiheiyo Cement Corp.		82,000		261,678
Taisei Corp.		73,000		263,528
Taisho Pharmaceutical Holdings Co. Ltd.		2,400		170,343
Taiyo Nippon Sanso Corp.		18,000		124,128
Takashimaya Co. Ltd.		19,000		192,571
Takeda Pharmaceutical Co. Ltd.		57,400		2,588,394
TDK Corp.		8,900		306,695
Teijin Ltd.		63,000		138,000
Terumo Corp.		10,900		541,805
THK Co. Ltd.		8,200		172,061
Tobu Railway Co. Ltd.		72,000		371,060
Toho Co. Ltd.		7,800		160,430
Toho Gas Co. Ltd.		30,000		155,141
Tohoku Electric Power Co., Inc. (a)		32,300		403,295
Tokio Marine Holdings, Inc.		49,900		1,574,592
The Tokyo Electric Power Co., Inc. (a)		103,700		535,337
Tokyo Electron Ltd.		12,200		616,826
Tokyo Gas Co. Ltd.		174,000		959,967
Tokyo Tatemono Co. Ltd.		29,000		241,311
Tokyu Corp.		81,000		530,368
Tokyu Land Corp.		33,000		302,080
TonenGeneral Sekiyu KK		19,000		183,853
Toppan Printing Co. Ltd.		39,000		270,548
Toray Industries, Inc.		103,700		670,072
Toshiba Corp.		293,000		1,404,516
Toto Ltd.		20,000		203,361
Toyo Seikan Kaisha Ltd.		12,400		190,871
Toyo Suisan Kaisha Ltd.		6,000		199,636
Toyoda Gosei Co. Ltd.		4,900		119,803
Toyota Boshoku Corp.		5,000		71,893
Toyota Industries Corp.		11,700		477,804
Toyota Motor Corp.		199,200		12,015,309
Toyota Tsusho Corp.		14,900		383,122
Trend Micro, Inc.		7,500		238,446
Tsumura & Co.		4,100		120,829
Ube Industries Ltd.		68,000		125,805
Uni-charm Corp.		8,000		452,467
United Urban Investment Corp.		164		221,401

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	49

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

Common Stocks	Shares		Value
Japan (concluded)
USS Co. Ltd.		1,610	$	204,108
West Japan Railway Co.		12,500		530,128
Yahoo! Japan Corp.		1,092		537,717
Yakult Honsha Co. Ltd.		6,700		277,827
Yamada Denki Co. Ltd.		6,800		275,327
Yamaguchi Financial Group, Inc.		14,000		137,749
Yamaha Corp.		10,800		123,741
Yamaha Motor Co. Ltd.		19,800		256,449
Yamato Holdings Co. Ltd.		26,500		558,096
Yamato Kogyo Co. Ltd.		2,900		88,575
Yamazaki Baking Co. Ltd.		8,000		93,889
Yaskawa Electric Corp.		15,000		182,049
Yokogawa Electric Corp.		16,400		196,058
The Yokohama Rubber Co., Ltd.		14,000		140,577
				183,891,642
Mexico — 0.0%
Fresnillo Plc		12,548		169,408
Netherlands — 2.9%
Aegon NV		126,672		849,850
Akzo Nobel NV		17,486		986,665
ASML Holding NV		25,685		2,027,592
Corio NV		4,942		196,683
DE Master Blenders 1753 NV (a)		35,714		571,791
Delta Lloyd NV		12,841		257,334
European Aeronautic Defence and Space Co. NV		42,226		2,259,121
Fugro NV CVA		5,455		296,405
Gemalto NV		5,615		508,397
Heineken Holding NV		7,264		407,123
Heineken NV		16,618		1,057,761
ING Groep NV - CVA (a)		278,265		2,543,086
Koninklijke Ahold NV		74,163		1,103,022
Koninklijke Boskalis Westminster NV		5,261		191,652
Koninklijke DSM NV		11,433		745,356
Koninklijke KPN NV		231,621		480,566
Koninklijke Philips Electronics NV		68,736		1,873,818
Koninklijke Vopak NV		4,966		293,110
QIAGEN NV (a)		16,630		325,407
Randstad Holding NV		8,471		348,229
Reed Elsevier NV		50,983		849,096
STMicroelectronics NV		44,821		402,799
TNT Express NV		26,340		197,348
Unilever NV CVA		117,696		4,633,017
Wolters Kluwer NV		21,091		446,738
Ziggo NV		12,168		488,754
				24,340,720
New Zealand — 0.1%
Auckland International Airport Ltd.		80,989		186,272
Contact Energy Ltd.		25,128		99,446
Fletcher Building Ltd.		49,552		322,709
SKYCITY Entertainment Group Ltd.		39,554		133,442
Telecom Corp. of New Zealand Ltd.		133,880		233,130
				974,999
Norway — 0.8%
Aker Solutions ASA		12,065		164,712
DnB NOR ASA		71,593		1,038,575
Gjensidige Forsikring ASA		14,091		207,591
Norsk Hydro ASA		67,655		271,292
Orkla ASA		54,841		449,012
Seadrill Ltd.		26,827		1,080,494
Statoil ASA		80,275		1,658,326
Subsea 7 SA (a)		19,972		350,164
Telenor ASA		51,536		1,023,660
Yara International ASA		13,150		524,409
				6,768,235

Common Stocks	Shares		Value
Portugal — 0.2%
Banco Espirito Santo SA, Registered Shares (a)		140,243	$	112,432
EDP - Energias de Portugal SA		145,550		469,510
Galp Energia SGPS SA		19,001		281,671
Jeronimo Martins SGPS SA		18,024		379,883
Portugal Telecom SGPS SA, Registered Shares		44,559		173,353
				1,416,849
Singapore — 1.6%
Ascendas Real Estate Investment Trust		153,962		269,816
CapitaCommercial Trust		138,000		159,197
CapitaLand Ltd.		180,749		436,686
CapitaMall Trust		166,700		261,588
CapitaMalls Asia Ltd.		100,000		143,425
City Developments Ltd.		35,535		298,946
ComfortDelGro Corp. Ltd.		135,816		195,182
DBS Group Holdings Ltd.		123,407		1,501,604
Genting Singapore Plc		433,227		449,231
Global Logistic Properties Ltd.		221,000		478,038
Golden Agri-Resources Ltd.		511,251		225,070
Hutchison Port Holdings Trust		371,000		271,683
Jardine Cycle & Carriage Ltd.		7,721		258,144
Keppel Corp. Ltd.		106,577		871,729
Keppel Land Ltd.		56,000		147,260
Keppel REIT		400		408
Noble Group Ltd.		317,840		241,728
Olam International Ltd.		108,900		140,173
Oversea-Chinese Banking Corp.		185,914		1,461,494
SembCorp Industries Ltd.		70,590		274,630
Sembcorp Marine Ltd.		59,197		200,603
Singapore Airlines Ltd.		38,009		303,385
Singapore Exchange Ltd.		60,000		331,644
Singapore Press Holdings Ltd.		99,985		328,626
Singapore Technologies Engineering Ltd.		107,213		353,176
Singapore Telecommunications Ltd.		573,132		1,697,511
StarHub Ltd.		44,157		145,188
United Overseas Bank Ltd.		93,572		1,461,230
UOL Group Ltd.		32,457		171,580
Wilmar International Ltd.		138,670		342,964
Yangzijiang Shipbuilding Holdings Ltd.		135,183		88,232
				13,510,171
Spain — 2.8%
Abertis Infraestructuras SA		25,784		449,250
Acciona SA		1,866		98,380
ACS Actividades de Construccion y Servicios SA		9,798		259,198
Amadeus IT Holding SA, Class A		27,197		870,444
Banco Bilbao Vizcaya Argentaria SA		399,792		3,359,797
Banco de Sabadell SA		197,472		327,598
Banco Popular Espanol SA (a)		90,331		276,536
Banco Santander SA		780,960		4,997,551
Bankia SA (a)		289,400		223,758
Caixa Bank		81,589		250,606
Distribuidora Internacional de Alimentacion SA		44,107		333,196
Enagas SA		13,781		340,612
Ferrovial SA		28,157		449,527
Gas Natural SDG SA		26,300		529,880
Grifols SA		10,747		394,837
Iberdrola SA		338,695		1,789,868
Inditex SA		15,670		1,932,820
International Consolidated Airlines Group SA (a)		65,894		264,555
Mapfre SA		56,128		182,618
Red Electrica Corp. SA		7,798		428,791
Repsol YPF SA		60,687		1,280,797
Telefonica SA (a)		295,967		3,807,732
Zardoya Otis SA		11,354		160,788
				23,009,139

See Notes to Financial Statements.
50	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

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

Common Stocks	Shares		Value
Sweden — 3.1%
Alfa Laval AB		23,860	$	487,348
Assa Abloy AB, Class B		24,584		960,786
Atlas Copco AB, Class A		48,403		1,166,600
Atlas Copco AB, Class B		27,485		588,199
Boliden AB		19,708		244,287
Electrolux AB, Class B		17,162		433,079
Elekta AB, B Shares		26,558		403,643
Getinge AB, Class B		14,243		432,431
Hennes & Mauritz AB, Class B		69,095		2,273,319
Hexagon AB, Class B		17,064		456,144
Husqvarna AB, Class B		29,922		158,023
Industrivarden AB, Class C		8,006		133,687
Investor AB, Class B		33,592		901,638
Investment AB Kinnevik, Class B		14,676		376,250
Lundin Petroleum AB (a)		15,784		312,187
Millicom International Cellular SA		4,433		319,275
Nordea Bank AB		191,920		2,143,221
Ratos AB, Class B		13,092		101,532
Sandvik AB		76,199		910,069
Scania AB, Class B		22,750		455,157
Securitas AB, Class B		22,513		196,814
Skandinaviska Enskilda Banken AB, Class A		108,549		1,036,317
Skanska AB, Class B		27,380		453,747
SKF AB, Class B		29,127		682,362
Svenska Cellulosa AB, B Shares		42,590		1,068,103
Svenska Handelsbanken AB, Class A		35,783		1,433,626
Swedbank AB, Class A		66,307		1,518,732
Swedish Match AB		14,574		517,297
Tele2 AB, Class B		22,260		261,322
Telefonaktiebolaget LM Ericsson, Class B		220,945		2,505,478
TeliaSonera AB		170,183		1,109,034
Volvo AB, Class B		108,284		1,444,990
				25,484,697
Switzerland — 9.0%
ABB Ltd., Registered Shares		158,911		3,442,322
Actelion Ltd., Registered Shares		7,553		454,975
Adecco SA, Registered Shares		9,385		534,494
Aryzta AG		6,071		340,785
Baloise Holding AG, Registered Shares		3,370		327,312
Banque Cantonale Vaudoise		218		108,062
Barry Callebaut AG		177		161,997
Cie Financiere Richemont SA, Class A		37,723		3,326,724
Coca-Cola HBC AG ADR		14,579		340,857
Credit Suisse Group AG		108,346		2,868,360
EMS-Chemie Holding AG		575		170,307
Geberit AG, Registered Shares		2,776		687,680
Givaudan SA, Registered Shares		588		757,682
Holcim Ltd., Registered Shares		16,494		1,148,086
Julius Baer Group Ltd.		16,007		624,727
Kuehne & Nagel International AG, Registered Shares		3,836		420,867
Lindt & Spruengli AG		62		232,733
Lindt & Spruengli AG, Registered Shares		7		304,577
Lonza Group AG, Registered Shares		3,867		290,557
Nestle SA, Registered Shares		232,905		15,283,312
Novartis AG, Registered Shares		166,141		11,767,858
Pargesa Holding SA		2,037		135,727
Partners Group Holding AG		1,231		333,206
Roche Holding AG		50,743		12,594,266
Schindler Holding AG, Participation Certificates		3,448		479,749
Schindler Holding AG, Registered Shares		1,514		205,048
SGS SA, Registered Shares		404		867,356
Sika AG		150		387,861
Sonova Holding AG, Registered Shares		3,539		374,411
Sulzer AG		1,732		276,571
The Swatch Group AG, Bearer Shares		2,220		1,212,650
The Swatch Group AG, Registered Shares		3,151		296,302

Common Stocks	Shares		Value
Switzerland (concluded)
Swiss Life Holding, Registered Shares AG		2,361	$	383,242
Swiss Prime Site AG		3,878		285,087
Swiss Re AG		25,325		1,884,201
Swisscom AG, Registered Shares		1,732		758,219
Syngenta AG, Registered Shares		6,758		2,635,342
Transocean Ltd.		25,870		1,242,201
UBS AG, Registered Shares		263,291		4,469,056
Zurich Insurance Group AG		10,735		2,782,608
				75,197,377
United Kingdom — 21.1%
3i Group Plc		70,365		361,304
Aberdeen Asset Management Plc		68,601		399,233
Admiral Group Plc		14,498		292,047
Aggreko Plc		19,053		476,220
AMEC Plc		21,713		332,083
Anglo American Plc		101,409		1,954,213
Antofagasta Plc		27,589		334,298
ARM Holdings Plc		99,770		1,206,925
Associated British Foods Plc		25,171		664,012
AstraZeneca Plc		90,183		4,263,744
Aviva Plc		214,939		1,107,826
Babcock International Group Plc		25,142		422,157
BAE Systems Plc		234,263		1,364,227
Barclays Plc		872,171		3,714,350
BG Group Plc		245,841		4,177,832
BHP Billiton Plc		152,553		3,889,769
BP Plc		1,384,313		9,607,054
British American Tobacco Plc		139,404		7,149,965
British Land Co. Plc		67,021		577,358
British Sky Broadcasting Group Plc		75,685		911,773
BT Group Plc		571,208		2,681,677
Bunzl Plc		23,887		465,894
Burberry Group Plc		32,909		677,020
The Capita Group Plc		46,492		683,386
Capital Shopping Centres Group Plc		47,929		227,834
Carnival Plc		13,771		478,678
Centrica Plc		372,818		2,039,206
Cobham Plc		76,587		305,356
Compass Group Plc		132,913		1,698,306
Croda International Plc		9,750		367,673
Diageo Plc		181,297		5,198,925
Direct Line Insurance Group Plc		59,281		210,081
easyJet Plc		11,381		224,330
G4S Plc		98,515		347,363
GKN Plc		116,331		532,493
GlaxoSmithKline Plc		354,401		8,858,685
Glencore International Plc		729,061		3,017,932
Hammerson Plc		50,178		372,053
Hargreaves Lansdown Plc		16,520		223,141
HSBC Holdings Plc		1,335,034		13,820,458
ICAP Plc		39,581		218,540
IMI Plc		23,015		433,798
Imperial Tobacco Group Plc		70,888		2,458,013
Inmarsat Plc		31,730		324,948
InterContinental Hotels Group Plc		19,268		529,527
Intertek Group Plc		11,411		507,237
Invensys Plc		47,023		294,458
Investec Plc		39,244		246,967
ITV Plc		264,488		563,902
J. Sainsbury Plc		87,633		473,643
Johnson Matthey Plc		14,590		582,942
Kingfisher Plc		174,636		910,520
Land Securities Group Plc		57,804		776,350
Legal & General Group Plc		432,596		1,127,497
Lloyds Banking Group Plc (a)		3,304,421		3,173,271
London Stock Exchange Group Plc		12,540		254,888

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	51

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

Common Stocks	Shares		Value
United Kingdom (continued)
Marks & Spencer Group Plc		119,053	$	778,991
Meggitt Plc		56,373		444,145
Melrose Industries Plc		94,506		358,201
National Grid Plc		264,918		3,003,009
Next Plc		11,423		791,273
Old Mutual Plc		359,759		987,577
Pearson Plc		59,851		1,064,407
Persimmon Plc (a)		21,689		389,337
Petrofac Ltd.		18,345		333,940
Prudential Plc		184,874		3,017,656
Randgold Resources Ltd.		6,128		388,310
Reckitt Benckiser Group Plc		46,722		3,304,951
Reed Elsevier Plc		85,336		970,456
Resolution Ltd.		101,525		439,772
Rexam Plc		56,334		408,828
Rio Tinto Plc		92,677		3,769,076
Rolls-Royce Holdings Plc		136,313		2,347,090
Royal Bank of Scotland Group Plc (a)		151,160		627,281
Royal Dutch Shell Plc, Class A		272,487		8,704,324
Royal Dutch Shell Plc, Class B		188,844		6,254,311
RSA Insurance Group Plc		269,916		489,680
SABMiller Plc		69,248		3,319,980
The Sage Group Plc		81,163		419,468
Schroders Plc		7,939		263,550
Segro Plc		52,071		220,900
Serco Group Plc		36,071		339,214
Severn Trent Plc		17,021		431,002
Shire Plc		40,686		1,289,346
Smith & Nephew Plc		66,763		747,736
Smiths Group Plc		27,823		553,532
SSE Plc		69,035		1,598,682
Standard Chartered Plc		174,364		3,785,507
Standard Life Plc		173,557		913,373
Tate & Lyle Plc		32,559		408,507
Tesco Plc		582,273		2,932,218
Travis Perkins Plc		17,536		388,287
Tui Travel Plc		31,441		170,466
Tullow Oil Plc		66,532		1,012,803
Unilever Plc		92,744		3,754,478
United Utilities Group Plc		48,256		502,064
Vedanta Resources Plc		7,455		115,872

Common Stocks	Shares		Value
United Kingdom (concluded)
Vodafone Group Plc		3,534,373	$	10,128,362
The Weir Group Plc		15,152		495,452
Whitbread Plc		12,637		587,869
William Hill Plc		61,775		414,255
WM Morrison Supermarkets Plc		158,518		630,973
Wolseley Plc		20,170		930,634
WPP Plc		90,903		1,553,788
				175,294,315
Total Common Stocks — 98.0%				815,434,300
Preferred Stocks — 0.0%
Germany — 0.0%
Fuchs Petrolub AG, Preference Shares		2,547		201,931
Rights
Bermuda — 0.0%
First Pacific Co. Ltd. (Expires 7/03/13)		19,250		521
Hong Kong — 0.0%
New World Development Co. Ltd. (Expires 8/30/13)		3,302		—
Spain — 0.0%
Repsol SA (a) (Expires 7/10/13)		58,989		32,863
Total Rights — 0.0%				33,384
Total Long-Term Investments (Cost — $654,241,039) — 98.0%				815,669,615
Short-Term Securities
BlackRock Liquidity Funds, TempCash, Institutional Class, 0.06% (b)(c)		4,365,311		4,365,311
Total Short-Term Securities (Cost — $4,365,311) — 0.5%				4,365,311
Total Investments (Cost — $658,606,350*) — 98.5%				820,034,926
Other Assets Less Liabilities — 1.5%				12,302,414
Net Assets — 100.0%			$	832,337,340

Notes to Schedule of Investments

* As of June 30, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	700,610,351
Gross unrealized appreciation	$	201,007,021
Gross unrealized depreciation		(81,582,446	)
Net unrealized appreciation	$	119,424,575

(a) Non-income producing security.

(b) Investments in issuers considered to be an affiliate of the Series during the six months ended June 30, 2013, 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, 2012		Net Activity			Shares Held at June 30, 2013		Income
BlackRock Liquidity Funds, TempCash, Institutional Class		—		4,365,311	1		4,365,311	$	1,102

¹  Represents net shares purchased.

See Notes to Financial Statements.
52	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

Schedule of Investments (continued) Master International Index Series

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

• Financial futures contracts as of June 30, 2013 were as follows:

						Unrealized
Contracts				Notional		Appreciation
Purchased	Issue	Exchange	Expiration	Value		(Depreciation)
119	DJ Euro Stoxx 50 Index	Eurex	September 2013	$	4,024,205	$	(92,969	)
44	FTSE 100 Index	Euronext LIFFE	September 2013	$	4,123,386		(30,950	)
41	Nikkei 225 Index	Singapore Exchange	September 2013	$	2,816,218		73,369
14	SPI 200 Index	Australian Securities Exchange	September 2013	$	1,526,521		8,106
Total						$	(42,444	)

• Foreign currency exchange contracts as of June 30, 2013 were as follows:

Currency	Currency			Settlement		Unrealized
Purchased	Sold		Counterparty	Date		Depreciation
AUD  646,343	USD	600,000	Deutsche Bank AG		7/01/13	$	(8,887	)
EUR   766,754	USD	1,000,000	Deutsche Bank AG		7/01/13		(1,956	)
GBP   327,890	USD	500,000	Deutsche Bank AG		7/01/13		(1,295	)
Total						$	(12,138	)

• 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 or 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 fair value hierarchy classification 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 those securities. For information about the Series’ policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements.

The following tables summarize the Series’ investments and derivative financial instruments categorized in the disclosure hierarchy as of June 30, 2013:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Common Stocks:
Australia	$	2,036,412	$	62,823,545		—	$	64,859,957
Austria		—		2,158,657		—		2,158,657
Belgium		162,977		9,124,885		—		9,287,862
Denmark		430,750		8,696,907		—		9,127,657
Finland		—		6,308,810		—		6,308,810
France		586,638		73,887,683		—		74,474,321
Germany		—		70,042,081		—		70,042,081
Greece		—		267,994		—		267,994
Hong Kong		—		24,646,720		—		24,646,720
Ireland		586,560		3,495,224		—		4,081,784
Israel		—		4,103,055		—		4,103,055
Italy		—		16,017,850		—		16,017,850
Japan		56,786		183,834,856		—		183,891,642
Mexico		—		169,408		—		169,408
Netherlands		1,080,188		23,260,532		—		24,340,720
New Zealand		—		974,999		—		974,999
Norway		350,164		6,418,071		—		6,768,235
Portugal		—		1,416,849		—		1,416,849

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	53

Schedule of Investments (concluded) Master International Index Series

	Level 1		Level 2		Level 3		Total
Common Stocks (concluded):
Singapore		—	$	13,510,171		—	$	13,510,171
Spain	$	223,758		22,785,381		—		23,009,139
Sweden		—		25,484,697		—		25,484,697
Switzerland		340,857		74,856,520		—		75,197,377
United Kingdom		210,081		175,084,234		—		175,294,315
Preferred Securities		—		201,931		—		201,931
Rights:
Bermuda		521		—		—		521
Spain		32,863		—		—		32,863
Short-Term Securities		4,365,311						4,365,311
Total	$	10,463,866	$	809,571,060		—	$	820,034,926

	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments1
Assets:
Equity contracts	$	81,475			—			—	$	81,475
Liabilities:
Equity contracts		(123,919	)		—			—		(123,919	)
Foreign currency exchange contracts		—		$	(12,138	)		—		(12,138	)
Total	$	(42,444	)	$	(12,138	)		—	$	(54,582	)

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 are held at carrying amount, which approximates fair value for financial statement purposes. As of June 30, 2013, such assets are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2		Level 3		Total
Assets:
Cash pledged for financial futures contracts	$	840,000		—		—	$	840,000
Foreign currency at value		5,547,756		—		—		5,547,756
Total	$	6,387,756		—		—	$	6,387,756

There were no transfers between levels during the six months ended June 30, 2013.

See Notes to Financial Statements.
54	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

Schedule of Investments June 30, 2013 (Unaudited) Master Small Cap Index Series (Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Advertising Agencies — 0.6%
Arbitron, Inc.		12,238	$	568,455
Constant Contact, Inc. (a)		14,003		225,028
Digital Generation, Inc. (a)		11,029		81,284
Harte-Hanks, Inc.		19,696		169,386
Marchex, Inc., Class B		10,326		62,162
Marin Software, Inc. (a)		4,152		42,516
Marketo, Inc. (a)		3,150		78,340
MDC Partners, Inc., Class A		11,544		208,254
National CineMedia, Inc.		25,974		438,701
QuinStreet, Inc. (a)(b)		14,323		123,607
ReachLocal, Inc. (a)		4,733		58,027
Travelzoo, Inc. (a)(b)		3,607		98,327
Valassis Communications, Inc.		17,706		435,391
ValueClick, Inc. (a)(b)		34,732		857,186
Viad Corp.		9,258		227,006
				3,673,670
Aerospace — 1.3%
AAR Corp.		18,120		398,278
AeroVironment, Inc. (a)		8,377		169,048
API Technologies Corp. (a)		14,894		41,703
Astronics Corp. (a)		5,720		233,776
Cubic Corp.		9,015		433,622
Curtiss-Wright Corp.		21,331		790,527
Ducommun, Inc. (a)		4,782		101,665
Erickson Air-Crane, Inc. (a)		1,723		32,410
Esterline Technologies Corp. (a)		14,246		1,029,843
GenCorp, Inc. (a)		27,638		449,394
Heico Corp.		24,184		1,218,148
Kaman Corp., Class A		12,324		425,917
Kratos Defense & Security Solutions, Inc. (a)		19,861		128,699
LMI Aerospace, Inc. (a)		4,670		87,516
Moog, Inc., Class A (a)(b)		20,640		1,063,579
Orbital Sciences Corp. (a)		27,345		474,983
Teledyne Technologies, Inc. (a)		17,021		1,316,574
				8,395,682
Agriculture, Fishing & Ranching — 0.5%
Alico, Inc.		1,345		53,948
The Andersons, Inc.		8,507		452,487
Cal-Maine Foods, Inc.		6,754		314,129
Calavo Growers, Inc.		5,589		151,965
Fresh Del Monte Produce, Inc.		17,227		480,289
Limoneira Co.		4,532		93,948
Pilgrims Pride Corp. (a)		27,670		413,390
Sanderson Farms, Inc.		10,491		696,812
Seaboard Corp.		134		362,872
				3,019,840
Air Transport — 1.0%
Air Transport Services Group, Inc. (a)		23,730		156,855
Allegiant Travel Co.		6,844		725,396
Atlas Air Worldwide Holdings, Inc. (a)		11,759		514,574
Bristow Group, Inc.		16,465		1,075,494
Era Group, Inc. (a)		9,115		238,357
Hawaiian Holdings, Inc. (a)		23,632		144,391
JetBlue Airways Corp. (a)		105,962		667,561
PHI, Inc. (a)		5,744		197,019
Republic Airways Holdings, Inc. (a)		22,396		253,747
SkyWest, Inc.		23,633		319,991
Spirit Airlines, Inc. (a)		27,464		872,531
US Airways Group, Inc. (a)		74,621		1,225,277
				6,391,193
Alternative Energy — 0.1%
Ameresco, Inc., Class A (a)		8,900		80,189
Amyris, Inc. (a)		12,184		35,212
EnerNOC, Inc. (a)		11,996		159,067

Common Stocks	Shares		Value
Alternative Energy (concluded)
Green Plains Renewable Energy, Inc. (a)		11,523	$	153,486
Rex American Resources Corp. (a)		2,495		71,781
Solazyme, Inc. (a)(b)		21,925		256,961
				756,696
Aluminum — 0.1%
Century Aluminum Co. (a)		23,451		217,625
Kaiser Aluminum Corp.		8,593		532,250
Noranda Aluminum Holding Corp.		15,286		49,374
				799,249
Asset Management & Custodian — 1.2%
Apollo Investment Corp.		102,486		793,242
Arlington Asset Investment Corp.		6,742		180,281
Calamos Asset Management, Inc., Class A		9,076		95,298
Capital Southwest Corp.		1,516		208,950
CIFC Corp. (a)		3,068		23,163
Cohen & Steers, Inc.		8,597		292,126
Cowen Group, Inc., Class A (a)		44,072		127,809
Diamond Hill Investments Group, Inc.		1,276		108,524
Fifth Street Finance Corp.		55,139		576,203
Financial Engines, Inc.		22,292		1,016,292
GAMCO Investors, Inc., Class A		2,749		152,322
Golub Capital BDC, Inc.		15,676		274,330
GSV Capital Corp. (a)		8,776		68,979
Horizon Technology Finance Corp.		3,633		49,917
JMP Group, Inc.		7,232		48,021
KCAP Financial, Inc.		12,867		144,882
Manning & Napier, Inc.		6,222		110,503
MCG Capital Corp.		32,684		170,284
Medley Capital Corp.		13,195		179,188
MVC Capital, Inc.		10,877		136,941
National Financial Partners Corp. (a)		18,297		463,097
New Mountain Finance Corp. (a)		14,169		200,633
NGP Capital Resources Co.		9,623		58,989
Oppenheimer Holdings, Inc.		4,496		85,604
Pzena Investment Management, Inc., Class A		5,122		33,396
Resource America, Inc., Class A		5,628		47,838
Solar Capital Ltd.		20,510		473,576
Solar Senior Capital Ltd.		5,256		96,763
TCP Capital Corp.		11,679		195,857
THL Credit, Inc.		11,854		180,062
TICC Capital Corp.		24,061		231,467
Virtus Investment Partners, Inc. (a)		2,646		466,410
Westwood Holdings Group, Inc.		3,154		135,370
WhiteHorse Finance, Inc.		3,049		48,022
WisdomTree Investments, Inc. (a)		45,730		529,096
				8,003,435
Auto Parts — 0.8%
American Axle & Manufacturing Holdings, Inc. (a)		30,651		571,028
Dana Holding Corp.		66,909		1,288,668
Dorman Products, Inc.		11,491		524,334
Federal-Mogul Corp., Class A (a)		8,408		85,846
Fuel Systems Solutions, Inc. (a)		6,399		114,478
Gentherm, Inc. (a)		15,188		282,041
Meritor, Inc. (a)		44,476		313,556
Remy International, Inc.		6,200		115,134
Standard Motor Products, Inc.		9,050		310,777
Stoneridge, Inc. (a)		12,988		151,180
Superior Industries International, Inc.		10,583		182,134
Tenneco, Inc. (a)		27,711		1,254,754
Tower International, Inc. (a)		2,785		55,115
				5,249,045
Auto Services — 0.2%
Cooper Tire & Rubber Co.		28,858		957,220

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	55

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

Common Stocks	Shares		Value
Back Office Support, HR & Consulting — 2.1%
The Advisory Board Co. (a)(b)		16,160	$	883,144
Angie’s List, Inc. (a)		19,244		510,928
Barrett Business Services, Inc.		3,225		168,377
CBIZ, Inc. (a)		17,268		115,868
CDI Corp.		6,361		90,072
Convergys Corp.		47,878		834,513
The Corporate Executive Board Co.		15,318		968,404
CoStar Group, Inc. (a)(b)		12,999		1,677,781
CRA International, Inc. (a)		4,625		85,424
Dice Holdings, Inc. (a)(b)		18,571		171,039
ExlService Holdings, Inc. (a)		14,814		437,902
Forrester Research, Inc.		5,725		210,050
FTI Consulting, Inc. (a)		18,360		603,860
GP Strategies Corp. (a)		6,712		159,880
The Hackett Group, Inc.		11,769		61,081
Heidrick & Struggles International, Inc.		8,233		137,656
Huron Consulting Group, Inc. (a)		10,600		490,144
ICF International, Inc. (a)		8,978		282,897
Innovative Solutions & Support, Inc.		5,524		35,354
Insperity, Inc.		10,237		310,181
Kelly Services, Inc., Class A		12,222		213,518
Kforce, Inc.		12,358		180,427
Korn/Ferry International (a)		22,181		415,672
Liquidity Services, Inc. (a)(b)		11,314		392,256
MAXIMUS, Inc.		15,561		1,158,983
Monster Worldwide, Inc. (a)(b)		53,139		260,912
Navigant Consulting, Inc. (a)		22,978		275,736
On Assignment, Inc. (a)		20,818		556,257
PRGX Global, Inc. (a)		12,885		70,739
Resources Connection, Inc.		18,595		215,702
RPX Corp. (a)		14,696		246,893
ServiceSource International, Inc. (a)		27,782		258,928
SYKES Enterprises, Inc. (a)		17,864		281,537
TeleTech Holdings, Inc. (a)(b)		9,083		212,815
TrueBlue, Inc. (a)		18,559		390,667
WageWorks, Inc. (a)		11,359		391,318
				13,756,915
Banks: Diversified — 7.2%
1st Source Corp.		6,991		166,106
1st United Bancorp, Inc.		13,813		92,823
Access National Corp.		3,424		44,444
Ambac Financial Group, Inc. (a)		20,505		488,634
American National BankShares, Inc.		3,679		85,500
Ameris Bancorp (a)		10,989		185,165
Ames National Corp.		4,224		96,138
Arrow Financial Corp.		4,881		120,805
Bancfirst Corp.		3,235		150,589
Banco Latinoamericana De Comercio Exterior SA		13,339		298,660
The Bancorp, Inc. (a)		15,074		225,959
BancorpSouth, Inc.		43,477		769,543
Bank of Kentucky Financial Corp.		2,826		80,371
Bank of Marin Bancorp		2,514		100,560
Bank of the Ozarks, Inc.		14,209		615,676
Banner Corp.		8,914		301,204
Bar Harbor Bankshares		1,825		66,704
BBCN Bancorp, Inc.		36,117		513,584
BBX Capital Corp. (a)		3,240		41,828
BNC Bancorp		8,047		91,897
Boston Private Financial Holdings, Inc.		36,489		388,243
Bridge Bancorp, Inc.		4,130		92,925
Bridge Capital Holdings (a)		4,387		69,578
Bryn Mawr Bank Corp.		6,139		146,906
C&F Financial Corp.		1,525		84,988
Camden National Corp.		3,545		125,741
Capital City Bank Group, Inc. (a)		5,624		64,845
Capitol Federal Financial, Inc.		67,391		818,127

Common Stocks	Shares		Value
Banks: Diversified (continued)
Cardinal Financial Corp.		13,801	$	202,047
Cascade Bancorp (a)		3,048		18,928
Cathay General Bancorp		36,034		733,292
Center Bancorp, Inc.		5,598		71,039
Centerstate Banks, Inc.		13,926		120,878
Central Pacific Financial Corp. (a)		10,041		180,738
Century Bancorp, Inc., Class A		1,584		55,440
Charter Financial Corp.		10,198		102,796
Chemical Financial Corp.		12,668		329,241
Chemung Financial Corp.		1,521		50,938
Citizens & Northern Corp.		5,753		111,148
City Holding Co.		7,233		281,725
CNB Financial Corp.		5,862		99,302
CoBiz Financial, Inc.		16,409		136,195
Columbia Banking System, Inc.		23,355		556,083
Community Bank System, Inc.		18,334		565,604
Community Trust Bancorp, Inc.		6,490		231,174
CommunityOne Bancorp (a)		4,799		38,920
Crescent Financial Bancshares, Inc. (a)		5,192		22,741
CU Bancorp (a)		4,171		65,902
Customers Bancorp, Inc. (a)		9,000		146,250
CVB Financial Corp.		41,943		493,250
Eagle Bancorp, Inc. (a)		10,191		228,070
Enterprise Bancorp, Inc.		3,231		59,741
Enterprise Financial Services Corp.		8,351		133,282
EverBank Financial Corp.		36,538		605,069
Farmers Capital Bank Corp. (a)		3,346		72,575
Fidelity Southern Corp. (a)		4,745		58,696
Financial Institutions, Inc.		6,392		117,677
First Bancorp, Inc.		4,452		77,821
First Bancorp, North Carolina		8,950		126,195
First Bancorp, Puerto Rico (a)		33,028		233,838
First Busey Corp.		33,632		151,344
First Commonwealth Financial Corp.		44,985		331,539
First Community Bancshares, Inc.		8,283		129,877
First Connecticut Bancorp, Inc.		7,834		109,049
First Financial Bancorp		26,623		396,683
First Financial Bankshares, Inc.		14,436		803,508
First Financial Corp.		5,207		161,365
First Interstate Bancsystem, Inc.		7,949		164,783
First M&F Corp.		3,715		58,734
First Merchants Corp.		13,223		226,774
First Midwest Bancorp, Inc.		34,344		471,200
First NBC Bank Holding Co.		1,885		45,994
The First of Long Island Corp.		3,673		121,907
First Security Group, Inc. (a)		28,323		61,461
FirstMerit Corp.		75,660		1,515,470
Flagstar Bancorp, Inc. (a)		8,965		125,151
FNB Corp.		66,158		799,189
German American Bancorp, Inc.		5,909		133,071
Glacier Bancorp, Inc.		32,940		730,939
Guaranty Bancorp		6,877		78,054
Hampton Roads Bankshares, Inc. (a)		14,526		18,739
Hancock Holding Co.		38,677		1,163,017
Hanmi Financial Corp. (a)		14,480		255,862
Heartland Financial USA, Inc.		6,827		187,674
Heritage Commerce Corp. (a)		9,712		67,984
Heritage Oaks Bancorp (a)		9,523		58,757
Home Bancshares, Inc.		20,694		537,423
Horizon Bancorp		3,902		79,640
Hudson Valley Holding Corp.		7,521		127,707
IBERIABANK Corp.		13,564		727,166
Independent Bank Corp. (b)		10,461		360,904
Independent Bank Group, Inc. (a)		1,703		51,771
International Bancshares Corp.		24,432		551,675
Intervest Bancshares Corp. (a)		7,962		53,186
Investors Bancorp, Inc.		21,161		446,074

See Notes to Financial Statements.
56	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

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

Common Stocks	Shares		Value
Banks: Diversified (continued)
Janus Capital Group, Inc.		67,784	$	576,842
Lakeland Bancorp, Inc.		13,847		144,424
Lakeland Financial Corp.		7,585		210,484
LCNB Corp.		2,586		57,823
Macatawa Bank Corp. (a)		10,602		53,434
MainSource Financial Group, Inc.		9,409		126,363
MB Financial, Inc.		25,044		671,179
Mercantile Bank Corp.		4,015		72,150
Merchants Bancshares, Inc.		2,559		75,670
Meridian Interstate Bancorp, Inc. (a)		3,846		72,420
Metro Bancorp, Inc. (a)		6,516		130,515
MetroCorp Bancshares, Inc.		7,377		72,000
Middleburg Financial Corp.		2,525		48,228
Midsouth Bancorp, Inc.		3,879		60,241
NASB Financial, Inc. (a)		1,906		49,880
National Bank Holdings Corp. Class A		23,747		467,816
National Bankshares, Inc.		3,272		116,254
National Penn Bancshares, Inc.		53,611		544,688
NBT Bancorp, Inc.		20,108		425,686
Newbridge Bancorp (a)		11,274		67,531
Northrim Bancorp, Inc.		3,043		73,610
OFG Bancorp		20,885		378,227
Old National Bancorp		46,368		641,269
Pacific Continental Corp.		8,345		98,471
Pacific Premier Bancorp, Inc. (a)		6,817		83,304
PacWest Bancorp		17,374		532,513
Palmetto Bancshares, Inc. (a)		2,000		26,000
Park National Corp.		5,297		364,381
Park Sterling Corp. (a)		20,640		121,982
Peapack-Gladstone Financial Corp.		4,203		73,552
Penns Woods Bancorp, Inc.		1,811		75,808
Peoples Bancorp, Inc.		5,004		105,484
Pinnacle Financial Partners, Inc. (a)(b)		16,026		412,028
Preferred Bank (a)		5,405		89,074
PrivateBancorp, Inc.		29,630		628,452
Prosperity Bancshares, Inc.		27,483		1,423,345
Provident Financial Services, Inc.		27,263		430,210
Renasant Corp.		11,605		282,466
Republic Bancorp, Inc., Class A		4,546		99,648
Rockville Financial, Inc.		12,594		164,730
Roma Financial Corp.		3,414		61,998
S&T Bancorp, Inc.		13,592		266,403
Sandy Spring Bancorp, Inc.		11,395		246,360
SCBT Financial Corp.		7,781		392,085
Seacoast Banking Corp. of Florida (a)		34,002		74,804
Sierra Bancorp		5,669		83,901
Simmons First National Corp., Class A		7,639		199,302
Southside Bancshares, Inc.		8,245		196,891
Southwest Bancorp, Inc. (a)		9,069		119,711
State Bank Financial Corp.		14,650		220,189
StellarOne Corp.		10,460		205,539
Stellus Capital Investment Corp.		5,408		81,390
Sterling Bancorp		14,328		166,491
Sterling Financial Corp.		15,508		368,780
Suffolk Bancorp (a)		5,209		85,115
Sun Bancorp, Inc. (a)		18,630		63,156
Susquehanna Bancshares, Inc.		85,141		1,094,062
SY Bancorp, Inc.		6,343		155,594
Taylor Capital Group, Inc. (a)(b)		7,873		132,975
Texas Capital Bancshares, Inc. (a)		18,624		826,161
Tompkins Trustco, Inc.		6,563		296,582
Towne Bank		12,145		178,774
Trico Bancshares		7,403		157,906
Tristate Capital Holdings, Inc. (a)		2,932		40,315
TrustCo Bank Corp. NY		43,592		237,140
Trustmark Corp.		30,756		755,982

Common Stocks	Shares		Value
Banks: Diversified (concluded)
UMB Financial Corp.		14,846	$	826,477
Umpqua Holdings Corp.		51,142		767,641
Union First Market Bankshares Corp.		9,325		192,002
United Bankshares, Inc.		10,792		285,448
United Community Banks, Inc. (a)		19,699		244,662
United Community Financial Corp. (a)		17,501		81,380
Univest Corp. of Pennsylvania		7,765		148,079
Virginia Commerce Bancorp, Inc. (a)		12,448		173,774
Washington Banking Co.		7,124		101,161
Washington Trust Bancorp, Inc.		6,700		191,084
Webster Financial Corp.		41,129		1,056,193
WesBanco, Inc.		11,911		314,808
West Bancorp., Inc.		7,360		86,480
Westamerica Bancorp		12,386		565,916
Western Alliance Bancorp (a)		33,861		536,020
Wilshire Bancorp, Inc. (b)		28,484		188,564
Wintrust Financial Corp.		16,905		647,123
Yadkin Financial Corp. (a)		6,409		89,982
				47,310,391
Banks: Savings, Thrift & Mortgage Lending — 1.1%
Apollo Residential Mortgage, Inc.		14,591		240,460
Astoria Financial Corp.		40,240		433,787
Bank Mutual Corp.		21,466		121,068
BankFinancial Corp.		9,720		82,620
Beneficial Mutual Bancorp, Inc. (a)		14,641		122,984
Berkshire Hills Bancorp, Inc.		11,493		319,046
BofI Holding, Inc. (a)		5,510		252,468
Brookline Bancorp, Inc.		32,027		277,994
Clifton Savings Bancorp, Inc.		4,083		48,384
Dime Community Bancshares, Inc.		14,562		223,090
Doral Financial Corp. (a)		58,890		48,879
ESB Financial Corp.		5,892		71,470
ESSA Bancorp, Inc.		4,059		44,487
First Defiance Financial Corp.		4,473		100,866
First Federal Bancshares of Arkansas, Inc. (a)		1,552		12,261
First Financial Holdings, Inc.		7,580		160,772
First Financial Northwest, Inc.		7,567		78,016
First Pactrust Bancorp, Inc.		4,975		67,561
Flushing Financial Corp.		14,096		231,879
Fox Chase Bancorp, Inc.		5,688		96,696
Franklin Financial Corp.		4,928		88,753
Great Southern Bancorp, Inc.		4,772		128,653
Heritage Financial Corp.		7,092		103,898
Hingham Institution for Savings		570		38,692
Home Bancorp, Inc. (a)		3,036		56,166
Home Federal Bancorp, Inc.		6,694		85,282
Home Loan Servicing Solutions Ltd. (b)		25,901		620,847
HomeStreet, Inc.		5,830		125,053
Kearny Financial Corp. (a)		6,664		69,905
Northfield Bancorp, Inc.		26,275		307,943
Northwest Bancshares, Inc.		42,795		578,160
OceanFirst Financial Corp.		6,319		98,260
OmniAmerican Bancorp, Inc. (a)		5,259		115,856
Oritani Financial Corp.		20,748		325,329
Provident Financial Holdings, Inc.		4,188		66,505
Provident New York Bancorp		20,126		187,977
Territorial Bancorp, Inc.		4,851		109,681
United Financial Bancorp, Inc.		9,019		136,638
ViewPoint Financial Group, Inc.		18,090		376,453
Waterstone Financial, Inc. (a)		3,377		34,310
Westfield Financial, Inc.		8,863		62,041
WSFS Financial Corp.		3,567		186,875
				6,938,065

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	57

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

Common Stocks	Shares		Value
Beverage: Brewers & Distillers — 0.1%
The Boston Beer Co., Inc., Class A (a)(b)		3,749	$	639,729
Craft Brew Alliance, Inc. (a)		4,757		39,198
				678,927
Beverage: Soft Drinks — 0.0%
Coca-Cola Bottling Co. Consolidated		2,108		128,904
Farmer Bros. Co. (a)		2,762		38,834
National Beverage Corp.		5,226		91,298
				259,036
Biotechnology — 3.6%
Accelrys, Inc. (a)		25,485		214,074
Acorda Therapeutics, Inc. (a)		18,476		609,523
Aegerion Pharmaceuticals, Inc. (a)		13,136		832,034
Albany Molecular Research, Inc. (a)		10,527		124,956
Alimera Sciences, Inc. (a)		7,659		37,376
Alnylam Pharmaceuticals, Inc. (a)		26,468		820,773
AMAG Pharmaceuticals, Inc. (a)		9,845		219,051
Amicus Therapeutics, Inc. (a)		13,682		31,879
Arena Pharmaceuticals, Inc. (a)(b)		99,258		764,287
ArQule, Inc. (a)		27,072		62,807
Array Biopharma, Inc. (a)		53,301		241,987
Astex Pharmaceuticals (a)		43,225		177,655
AVEO Pharmaceuticals, Inc. (a)		23,467		58,668
BioDelivery Sciences International, Inc. (a)		13,550		55,013
BioTime, Inc. (a)(b)		16,754		66,346
Cell Therapeutics, Inc. (a)		50,899		53,444
Celldex Therapeutics, Inc. (a)(b)		36,869		575,525
Cepheid, Inc. (a)		30,570		1,052,219
Chelsea Therapeutics International, Inc. (a)		30,405		69,932
ChemoCentryx, Inc. (a)(b)		11,060		156,388
Clovis Oncology, Inc. (a)		6,336		424,385
Cornerstone Therapeutics, Inc. (a)		3,918		31,344
Coronado Biosciences, Inc. (a)		10,029		86,249
Curis, Inc. (a)		36,670		116,977
Cytokinetics, Inc. (a)		11,220		129,815
Cytori Therapeutics, Inc. (a)		28,521		65,598
Dendreon Corp. (a)(b)		71,857		296,051
Durata Therapeutics, Inc. (a)		5,997		43,178
Dyax Corp. (a)(b)		49,886		172,606
Dynavax Technologies Corp. (a)		83,850		92,235
Emergent Biosolutions, Inc. (a)		12,383		178,563
Enzon Pharmaceuticals, Inc.		17,325		34,650
Epizyme, Inc. (a)		2,661		74,854
Exact Sciences Corp. (a)(b)		29,226		406,534
Exelixis, Inc. (a)		83,785		380,384
Fibrocell Science, Inc. (a)		7,438		45,521
Furiex Pharmaceuticals, Inc. (a)		3,048		103,845
Galena Biopharma, Inc. (a)		37,733		83,767
GenMark Diagnostics, Inc. (a)		13,161		136,085
Genomic Health, Inc. (a)		7,596		240,869
Geron Corp. (a)		59,665		89,498
GTx, Inc. (a)		12,035		79,431
Halozyme Therapeutics, Inc. (a)(b)		40,553		321,991
Harvard Bioscience, Inc. (a)		11,576		54,754
Horizon Pharma, Inc. (a)		23,205		57,084
Hyperion Therapeutics, Inc. (a)		3,789		83,358
Idenix Pharmaceuticals, Inc. (a)		45,341		163,681
ImmunoGen, Inc. (a)		38,572		639,910
Immunomedics, Inc. (a)		33,441		181,919
Insmed, Inc. (a)		12,816		153,279
Insys Therapeutics, Inc. (a)		2,306		31,915
Intercept Pharmaceuticals, Inc. (a)		2,842		127,435
InterMune, Inc. (a)		37,223		358,085
KaloBios Pharmaceuticals, Inc. (a)		4,083		23,110
Keryx Biopharmaceuticals, Inc. (a)		37,319		278,773
Lexicon Pharmaceuticals, Inc. (a)(b)		103,334		224,235

Common Stocks	Shares		Value
Biotechnology (concluded)
Ligand Pharmaceuticals, Inc. (a)		8,121	$	303,888
MannKind Corp. (a)(b)		67,789		440,629
Merrimack Pharmaceuticals, Inc. (a)		41,146		276,913
Momenta Pharmaceuticals, Inc. (a)		21,511		323,956
Nanosphere, Inc. (a)		19,034		58,434
Nektar Therapeutics (a)(b)		52,648		608,084
Neurocrine Biosciences, Inc. (a)		30,438		407,260
NewLink Genetics Corp. (a)		7,668		151,213
Novavax, Inc. (a)		61,745		126,577
NPS Pharmaceuticals, Inc. (a)(b)		45,682		689,798
Omeros Corp. (a)(b)		13,553		68,307
OncoGenex Pharmaceutical, Inc. (a)		6,739		66,042
Opko Health, Inc. (a)(b)		64,668		459,143
Orexigen Therapeutics, Inc. (a)		43,075		251,989
Osiris Therapeutics, Inc. (a)		7,599		76,522
Pacific Biosciences of California, Inc. (a)		20,195		50,891
PDL BioPharma, Inc.		63,861		493,007
Peregrine Pharmaceuticals, Inc. (a)		62,245		80,296
Peregrine Semiconductor Corp. (a)		11,910		129,938
Progenics Pharmaceuticals, Inc. (a)		23,123		103,129
Prothena Corp. Plc (a)		5,293		68,333
Puma Biotechnology, Inc. (a)		10,070		446,806
Raptor Pharmaceutical Corp. (a)		25,297		236,527
Regulus Therapeutics, Inc. (a)		4,137		40,584
Repligen Corp. (a)		14,293		117,774
Repros Therapeutics, Inc. (a)		8,519		157,176
Rigel Pharmaceuticals, Inc. (a)(b)		39,648		132,424
Rockwell Medical, Inc. (a)		17,954		64,814
RTI Surgical, Inc. (a)		25,682		96,564
Sangamo Biosciences, Inc. (a)		24,505		191,384
Sarepta Therapeutics, Inc. (a)		14,536		553,095
Sequenom, Inc. (a)(b)		52,587		221,391
Stemline Therapeutics, Inc. (a)		4,138		98,650
Sucampo Pharmaceuticals, Inc., Class A (a)		6,171		40,605
Sunesis Pharmaceuticals, Inc. (a)		14,720		76,691
Symmetry Medical, Inc. (a)		16,994		143,089
Synageva BioPharma Corp. (a)(b)		7,756		325,752
Synergy Pharmaceuticals, Inc. (a)		36,502		157,689
Synta Pharmaceuticals Corp. (a)		18,683		93,228
Targacept, Inc. (a)		12,674		54,118
TESARO, Inc. (a)		6,087		199,288
Threshold Pharmaceuticals, Inc. (a)		21,454		112,848
Trius Therapeutics, Inc. (a)(b)		16,895		137,187
Vanda Pharmaceuticals, Inc. (a)		12,995		105,000
Verastem, Inc. (a)		6,414		89,026
ViroPharma, Inc. (a)(b)		29,752		852,395
West Pharmaceutical Services, Inc.		15,752		1,106,736
Wright Medical Group, Inc. (a)		18,405		482,395
XOMA Corp. (a)		28,758		104,392
ZIOPHARM Oncology, Inc. (a)(b)		31,123		65,358
				23,973,240
Building Materials — 1.0%
Acuity Brands, Inc.		19,523		1,474,377
BlueLinx Holdings, Inc. (a)		15,573		33,482
Builders FirstSource, Inc. (a)		20,498		122,578
Gibraltar Industries, Inc. (a)		13,981		203,563
Griffon Corp.		20,355		228,994
Headwaters, Inc. (a)		33,482		295,981
Louisiana-Pacific Corp. (a)		63,453		938,470
LSI Industries, Inc.		9,619		77,818
NCI Building Systems, Inc. (a)		9,424		144,093
Patrick Industries, Inc. (a)		3,016		62,702
PGT, Inc. (a)		15,100		130,917
Quanex Building Products Corp.		16,919		284,916
Revolution Lighting Technologies, Inc. (a)		13,528		54,112
Simpson Manufacturing Co., Inc.		18,469		543,358

See Notes to Financial Statements.
58	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

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

Common Stocks	Shares		Value
Building Materials (concluded)
Texas Industries, Inc. (a)		9,928	$	646,710
Trex Co., Inc. (a)(b)		7,831		371,894
Watsco, Inc.		11,718		983,843
				6,597,808
Building: Climate Control — 0.1%
Aaon, Inc.		8,550		282,834
Comfort Systems USA, Inc.		17,005		253,715
Nortek, Inc. (a)		4,072		262,359
				798,908
Building: Roofing, Wallboard & Plumbing — 0.3%
Beacon Roofing Supply, Inc. (a)(b)		22,173		839,913
USG Corp. (a)		34,661		798,936
				1,638,849
Casinos & Gambling — 0.4%
Ameristar Casinos, Inc.		15,032		395,191
Boyd Gaming Corp. (a)		25,801		291,551
Caesars Entertainment Corp. (a)		16,851		230,859
Isle of Capri Casinos, Inc. (a)		9,686		72,645
Monarch Casino & Resort, Inc. (a)		3,914		65,990
Multimedia Games Holding Co., Inc. (a)		13,174		343,446
Pinnacle Entertainment, Inc. (a)		26,595		523,124
Scientific Games Corp., Class A (a)(b)		21,801		245,261
WMS Industries, Inc. (a)		24,947		636,398
				2,804,465
Cement — 0.0%
US Concrete, Inc. (a)		6,041		99,193
Chemicals: Diversified — 1.2%
Aceto Corp.		12,497		174,083
American Vanguard Corp.		13,017		304,988
Axiall Corp.		31,801		1,354,087
Chemtura Corp. (a)		44,796		909,359
Hawkins, Inc.		4,288		168,904
Innophos Holdings, Inc.		9,997		471,559
KMG Chemicals, Inc.		3,665		77,332
Landec Corp. (a)		11,837		156,367
LSB Industries, Inc. (a)		8,708		264,810
Olin Corp.		36,596		875,376
OM Group, Inc. (a)		14,563		450,288
Omnova Solutions, Inc. (a)		21,445		171,774
Penford Corp. (a)		4,144		55,488
PolyOne Corp.		45,292		1,122,336
Sensient Technologies Corp.		22,813		923,242
Taminco Corp. (a)		7,157		145,931
				7,625,924
Chemicals: Specialty — 0.6%
Balchem Corp.		13,525		605,244
Calgon Carbon Corp. (a)(b)		24,663		411,379
FutureFuel Corp.		9,827		139,248
GSE Holding, Inc. (a)		3,446		19,952
Innospec, Inc.		10,720		430,729
Kraton Performance Polymers, Inc. (a)		14,808		313,930
Polypore International, Inc. (a)		21,226		855,408
Quaker Chemical Corp.		5,994		371,688
Stepan Co.		8,567		476,411
Zep, Inc.		10,311		163,223
				3,787,212
Coal — 0.2%
Arch Coal, Inc.		96,640		365,299
Cloud Peak Energy, Inc. (a)(b)		27,693		456,381
Hallador Energy Co.		3,797		30,566
KiOR, Inc., Class A (a)		19,657		112,241
L&L Energy, Inc. (a)		13,453		48,162

Common Stocks	Shares		Value
Coal (concluded)
Walter Energy, Inc.		28,438	$	295,755
Westmoreland Coal Co. (a)		5,285		59,351
				1,367,755
Commercial Banks — 0.0%
HomeTrust Bancshares, Inc. (a)		9,619		163,138
Commercial Finance & Mortgage Companies — 0.2%
Capital Bank Financial Corp., Class A (a)		11,227		213,201
Federal Agricultural Mortgage Corp., Class B		4,656		134,465
Garrison Capital, Inc.		2,592		39,969
Medallion Financial Corp.		8,474		117,873
Meta Financial Group, Inc.		2,379		62,520
NewStar Financial, Inc. (a)(b)		12,017		160,066
PennantPark Floating Rate Capital Ltd.		4,512		63,800
PennyMac Financial Services, Inc. (a)(c)		5,696		121,154
Walker & Dunlop, Inc. (a)		7,461		130,568
				1,043,616
Commercial Services & Supplies — 0.1%
ARC Document Solutions, Inc. (a)		17,203		68,812
LifeLock, Inc. (a)		27,572		322,868
National Research Corp. (a)		3,826		68,868
National Research Corp. Class B		588		20,545
National Technical Systems, Inc. (a)		2,999		41,956
Performant Financial Corp. (a)		10,098		117,036
				640,085
Commercial Services: Rental & Leasing — 0.5%
Aircastle Ltd.		31,086		497,065
CAI International, Inc. (a)		7,782		183,422
Electro Rent Corp.		8,593		144,277
H&E Equipment Services, Inc.		13,543		285,351
Marlin Business Services, Inc.		3,784		86,200
McGrath RentCorp		11,488		392,430
Mobile Mini, Inc. (a)		17,489		579,760
PHH Corp. (a)		25,993		529,737
TAL International Group, Inc.		15,402		671,065
				3,369,307
Commercial Vehicles & Parts — 0.2%
Accuride Corp. (a)(b)		18,342		92,811
Commercial Vehicle Group, Inc. (a)		10,936		81,583
Miller Industries, Inc.		5,103		78,484
Modine Manufacturing Co. (a)		21,529		234,235
Rush Enterprises, Inc., Class A (a)		15,739		389,540
Spartan Motors, Inc.		15,593		95,429
Wabash National Corp. (a)		31,244		318,064
				1,290,146
Communications Equipment — 0.0%
Ruckus Wireless, Inc. (a)		19,792		253,536
Communications Technology — 2.3%
Adtran, Inc.		27,009		664,692
Alliance Fiber Optic Products, Inc.		2,598		51,934
Anaren, Inc. (a)		5,310		121,811
Anixter International, Inc. (a)		12,346		935,950
Aruba Networks, Inc. (a)(b)		51,936		797,737
Aviat Networks, Inc. (a)		27,927		73,169
Bel Fuse, Inc.		4,511		60,673
Black Box Corp.		7,350		186,102
Calix, Inc. (a)		18,284		184,668
Ciena Corp. (a)(b)		46,258		898,330
Comtech Telecommunications Corp.		7,649		205,682
Cyan, Inc. (a)		3,561		37,213
Datalink Corp. (a)		7,176		76,353
Digi International, Inc. (a)		11,778		110,360
DigitalGlobe, Inc. (a)		33,914		1,051,673

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	59

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

Common Stocks	Shares		Value
Communications Technology (concluded)
Emulex Corp. (a)		41,239	$	268,878
Extreme Networks, Inc. (a)		42,445		146,435
Finisar Corp. (a)		42,558		721,358
General Cable Corp.		22,590		694,643
Globecomm Systems, Inc. (a)		10,771		136,146
GSI Technology, Inc. (a)		9,394		59,370
Harmonic, Inc. (a)		51,538		327,266
Infinera Corp. (a)		52,826		563,653
InterDigital, Inc.		18,759		837,589
Ixia (a)		25,691		472,714
KVH Industries, Inc. (a)		7,073		94,142
Loral Space & Communications Ltd.		5,935		355,981
NeoPhotonics Corp. (a)		9,187		79,835
Net Element International, Inc. (a)		900		4,671
NETGEAR, Inc. (a)		17,543		535,763
Numerex Corp., Class A (a)		6,270		69,973
Oplink Communications, Inc. (a)		8,673		150,650
ParkerVision, Inc. (a)		40,287		183,306
PC-Tel, Inc.		8,438		71,554
Plantronics, Inc.		19,723		866,234
Procera Networks, Inc. (a)		9,390		128,925
QLogic Corp. (a)		40,578		387,926
SeaChange International, Inc. (a)		14,825		173,601
Shoretel, Inc. (a)		26,502		106,803
Sonus Networks, Inc. (a)		98,538		296,599
TeleNav, Inc. (a)		7,936		41,505
Tellabs, Inc.		162,122		321,002
Viasat, Inc. (a)		18,017		1,287,495
Westell Technologies, Inc., Class A (a)		20,358		48,656
				14,889,020
Computer Services Software & Systems — 5.9%
ACI Worldwide, Inc. (a)(d)		18,150		843,612
The Active Network, Inc. (a)		24,478		185,298
Actuate Corp. (a)		21,674		143,915
Acxiom Corp. (a)		33,692		764,135
American Software, Inc., Class A		11,086		96,337
Aspen Technology, Inc. (a)		42,704		1,229,448
AVG Technologies NV (a)		10,883		211,674
Avid Technology, Inc. (a)		14,039		82,549
Bankrate, Inc. (a)		21,088		302,824
Bazaarvoice, Inc. (a)		21,777		205,139
Blackbaud, Inc.		20,803		677,554
Blucora, Inc. (a)		18,663		346,012
Bottomline Technologies, Inc. (a)		17,254		436,354
Brightcove, Inc. (a)		12,738		111,585
BroadSoft, Inc. (a)		12,786		352,894
CACI International, Inc., Class A (a)		10,497		666,455
Callidus Software, Inc. (a)		17,152		113,032
Ciber, Inc. (a)		33,825		112,976
CommVault Systems, Inc. (a)		21,171		1,606,667
Computer Task Group, Inc.		7,077		162,559
ComScore, Inc. (a)		16,279		397,045
Cornerstone OnDemand, Inc. (a)(b)		18,380		795,670
CSG Systems International, Inc. (b)		15,438		335,005
DealerTrack Technologies, Inc. (a)(b)		19,830		702,577
Demand Media, Inc. (a)		16,283		97,698
Demandware, Inc. (a)		7,301		309,635
Digimarc Corp.		2,911		60,461
Digital River, Inc. (a)		16,077		301,765
EarthLink, Inc.		46,915		291,342
Ebix, Inc.		14,108		130,640
Envestnet, Inc. (a)(b)		10,297		253,306
EPAM Systems, Inc. (a)		9,934		270,006
EPIQ Systems, Inc.		14,350		193,295
ePlus, Inc.		1,715		102,711
ExactTarget, Inc. (a)		19,478		656,798

Common Stocks	Shares		Value
Computer Services Software & Systems (continued)
Guidance Software, Inc. (a)		7,560	$	66,074
Guidewire Software, Inc. (a)		19,093		802,861
ICG Group, Inc. (a)		17,337		197,642
iGate Corp. (a)		15,808		259,567
Imperva, Inc. (a)		9,182		413,557
Infoblox, Inc. (a)		22,790		666,835
Interactive Intelligence Group, Inc. (a)(b)		7,056		364,090
Internap Network Services Corp. (a)		24,450		202,202
IntraLinks Holdings, Inc. (a)		17,372		126,121
Jive Software, Inc. (a)		18,013		327,296
Keynote Systems, Inc.		7,411		146,441
The KEYW Holding Corp. (a)		14,451		191,476
Limelight Networks, Inc. (a)		24,482		55,085
Lionbridge Technologies, Inc. (a)		26,409		76,586
LivePerson, Inc. (a)(b)		25,146		225,182
LogMeIn, Inc. (a)		11,061		270,552
Manhattan Associates, Inc. (a)(b)		8,874		684,718
Mantech International Corp., Class A		10,760		281,051
Mentor Graphics Corp.		43,447		849,389
Mercury Systems, Inc. (a)(b)		14,715		135,672
MicroStrategy, Inc., Class A (a)		4,116		357,927
Millennial Media, Inc. (a)		16,026		139,586
Mitek Systems, Inc. (a)		10,116		58,471
Moduslink Global Solutions, Inc. (a)		16,791		53,395
Monotype Imaging Holdings, Inc.		17,398		442,083
NetScout Systems, Inc. (a)		16,513		385,413
NIC, Inc.		29,586		489,057
OpenTable, Inc. (a)		10,385		664,121
PDF Solutions, Inc. (a)		11,442		210,876
Pegasystems, Inc.		7,936		262,840
Perficient, Inc. (a)		15,201		202,781
Progress Software Corp. (a)		25,135		578,356
Proofpoint, Inc. (a)		9,914		240,216
PROS Holdings, Inc. (a)		10,263		307,377
PTC, Inc. (a)		54,499		1,336,861
QAD, Inc., Class A		2,721		31,237
QLIK Technologies, Inc. (a)		39,651		1,120,934
RealNetworks, Inc. (a)		10,319		78,012
RealPage, Inc. (a)(b)		21,154		387,964
Reis, Inc. (a)		3,679		68,025
Responsys, Inc. (a)(b)		16,802		240,437
Sapiens International Corp. NV		7,602		43,636
Sapient Corp. (a)		50,326		657,258
SciQuest, Inc. (a)		10,339		258,992
Shutterstock, Inc. (a)(b)		3,370		187,979
Sourcefire, Inc. (a)(b)		14,195		788,532
Spark Networks, Inc. (a)		7,918		66,907
SPS Commerce, Inc. (a)		6,825		375,375
SS&C Technologies Holdings, Inc. (a)		26,497		871,751
Support.com, Inc. (a)		22,899		104,648
Synchronoss Technologies, Inc. (a)(b)		13,266		409,521
SYNNEX Corp. (a)(b)		11,991		506,980
Syntel, Inc.		7,032		442,102
Tangoe, Inc. (a)		14,091		217,424
TechTarget, Inc. (a)		6,576		29,395
TeleCommunication Systems, Inc., Class A (a)		21,028		48,995
Tyler Technologies, Inc. (a)		14,351		983,761
Ultimate Software Group, Inc. (a)(b)		12,597		1,477,502
Unisys Corp. (a)		20,134		444,357
United Online, Inc.		42,229		320,096
Unwired Planet, Inc. (a)		28,985		56,521
VASCO Data Security International, Inc. (a)		13,274		110,307
Verint Systems, Inc. (a)		23,975		850,393
VirnetX Holding Corp. (a)(b)		19,252		384,848
Virtusa Corp. (a)		9,287		205,800
Web.com Group, Inc. (a)(b)		19,075		488,320
Yelp, Inc. (a)		13,551		471,168

See Notes to Financial Statements.
60	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

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

Common Stocks	Shares		Value
Computer Services Software & Systems (concluded)
Zillow, Inc. (a)		9,481	$	533,780
Zix Corp. (a)		28,298		119,701
				39,003,388
Computer Technology — 0.4%
Cray, Inc. (a)(b)		18,069		354,875
Imation Corp. (a)		15,176		64,195
Immersion Corp. (a)		12,775		169,269
Insight Enterprises, Inc. (a)(b)		19,803		351,305
Intermec, Inc. (a)		27,591		271,220
PC Connection, Inc.		4,160		64,272
Quantum Corp. (a)		97,252		133,235
Radisys Corp. (a)		10,491		50,462
Safeguard Scientifics, Inc. (a)		9,553		153,326
Silicon Graphics International Corp. (a)		15,448		206,694
STEC, Inc. (a)		15,364		103,246
Super Micro Computer, Inc. (a)		14,421		153,439
Synaptics, Inc. (a)		14,809		571,035
				2,646,573
Construction — 0.5%
Aegion Corp. (a)(b)		17,843		401,646
EMCOR Group, Inc.		30,582		1,243,158
Granite Construction, Inc.		17,694		526,574
Great Lakes Dredge & Dock Corp.		27,177		212,524
Orion Marine Group, Inc. (a)		12,479		150,871
Primoris Services Corp.		16,049		316,486
Sterling Construction Co., Inc. (a)		7,440		67,407
Tutor Perini Corp. (a)		16,833		304,509
				3,223,175
Consumer Electronics — 0.2%
RealD, Inc. (a)		18,496		257,094
Skullcandy, Inc. (a)		8,075		44,090
TiVo, Inc. (a)		57,723		637,839
Universal Electronics, Inc. (a)		6,841		192,437
VOXX International Corp. (a)		8,528		104,639
XO Group, Inc. (a)		12,287		137,614
Zagg, Inc. (a)		13,937		74,563
				1,448,276
Consumer Lending — 0.9%
Cash America International, Inc.		13,007		591,298
Credit Acceptance Corp. (a)		3,249		341,307
Encore Capital Group, Inc. (a)		10,630		351,966
Ezcorp, Inc. (a)		23,198		391,582
First Cash Financial Services, Inc. (a)(b)		13,314		655,182
The First Marblehead Corp. (a)		40,932		48,300
Imperial Holdings, Inc. (a)		7,767		53,204
MGIC Investment Corp. (a)		147,867		897,553
MoneyGram International, Inc. (a)		9,812		222,242
Nelnet, Inc., Class A		10,452		377,213
Netspend Holdings, Inc. (a)		16,016		255,775
Nicholas Financial, Inc.		4,680		70,762
Portfolio Recovery Associates, Inc. (a)(b)		7,708		1,184,180
Regional Management Corp. (a)		2,421		60,525
Tree.com, Inc.		2,968		50,872
World Acceptance Corp. (a)		4,245		369,060
				5,921,021
Consumer Services: Miscellaneous — 0.6%
Chuy’s Holdings, Inc. (a)		7,362		282,259
Core-Mark Holdings Co., Inc.		5,219		331,407
Del Frisco’s Restaurant Group, Inc. (a)		4,813		103,046
Move, Inc. (a)		18,202		233,350
NutriSystem, Inc.		13,105		154,377
Sotheby’s		31,107		1,179,266

Common Stocks	Shares		Value
Consumer Services: Miscellaneous (concluded)
Steiner Leisure Ltd. (a)		6,678	$	352,999
WEX, Inc. (a)(b)		17,675		1,355,672
				3,992,376
Containers & Packaging — 0.3%
AEP Industries, Inc. (a)		1,973		146,771
Berry Plastics Group, Inc. (a)		25,164		555,370
Graphic Packaging Holding Co. (a)		95,257		737,289
Myers Industries, Inc.		12,893		193,524
UFP Technologies, Inc. (a)		2,503		49,009
				1,681,963
Cosmetics — 0.1%
Elizabeth Arden, Inc. (a)		11,671		526,012
Inter Parfums, Inc.		7,482		213,387
Revlon, Inc., Class A (a)		5,191		114,513
				853,912
Diversified Financial Services — 0.7%
Blackhawk Network Holdings, Inc. (a)		5,193		120,478
California First National Bancorp		1,117		18,430
ConnectOne Bancorp, Inc. (a)		789		24,254
DFC Global Corp. (a)		18,469		255,057
Evercore Partners, Inc., Class A		14,401		565,671
FBR & Co. (a)		4,000		101,040
Fidus Investment Corp.		6,259		117,106
Greenhill & Co., Inc.		12,862		588,308
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (a)		6,645		78,943
Intersections, Inc.		4,262		37,378
JTH Holding, Inc. Class A (a)		1,983		32,224
Main Street Capital Corp.		15,800		437,502
MidwestOne Financial Group, Inc.		3,156		75,933
Outerwall, Inc. (a)		12,809		751,504
Piper Jaffray Cos. (a)		7,863		248,549
Planet Payment, Inc. (a)		19,100		52,716
Stifel Financial Corp. (a)(b)		28,934		1,032,076
Triangle Capital Corp.		12,592		346,406
				4,883,575
Diversified Manufacturing Operations — 0.5%
A.M. Castle & Co. (a)		7,927		124,930
Barnes Group, Inc.		24,497		734,665
Federal Signal Corp. (a)		28,507		249,436
Lydall, Inc. (a)		7,769		113,427
OSI Systems, Inc. (a)		9,082		585,062
Raven Industries, Inc.		16,570		496,769
Standex International Corp.		5,790		305,423
Trimas Corp. (a)		18,057		673,165
				3,282,877
Diversified Materials & Processing — 0.6%
Belden, Inc.		20,055		1,001,346
Cabot Microelectronics Corp. (a)		10,607		350,137
Clarcor, Inc.		22,631		1,181,565
Encore Wire Corp.		9,339		318,460
Harbinger Group, Inc. (a)		15,036		113,371
Insteel Industries, Inc.		8,240		144,365
Koppers Holdings, Inc.		9,424		359,808
NL Industries, Inc.		3,107		35,109
Tredegar Corp.		11,229		288,585
Uranium Energy Corp. (a)(b)		39,174		70,122
				3,862,868
Diversified Media — 0.1%
Belo Corp., Class A		47,293		659,738
EW Scripps Co. (a)		14,209		221,376
Hemisphere Media Group, Inc. (a)		3,826		52,416
				933,530

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	61

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

Common Stocks	Shares		Value
Diversified Retail — 0.5%
The Bon-Ton Stores, Inc.		6,165	$	111,278
Fred’s, Inc., Class A		16,707		258,791
Gordmans Stores, Inc. (a)		3,950		53,759
HSN, Inc.		15,417		828,201
Overstock.com, Inc. (a)		5,118		144,328
PriceSmart, Inc.		8,602		753,793
Saks, Inc. (a)		47,628		649,646
Tuesday Morning Corp. (a)		19,507		202,288
ValueVision Media, Inc., Class A (a)		17,808		90,999
Winmark Corp.		1,017		65,973
				3,159,056
Drug & Grocery Store Chains — 0.8%
Arden Group, Inc., Class A		538		59,390
Casey’s General Stores, Inc.		17,483		1,051,777
Harris Teeter Supermarkets		22,533		1,055,896
Ingles Markets, Inc., Class A		5,741		144,960
Nash Finch Co.		5,572		122,640
The Pantry, Inc. (a)		10,718		130,545
PetMed Express, Inc.		9,236		116,374
Rite Aid Corp. (a)		332,588		951,202
Spartan Stores, Inc.		9,951		183,497
SUPERVALU, Inc.		92,618		576,084
Susser Holdings Corp. (a)(b)		8,210		393,095
Village Super Market, Inc., Class A		2,935		97,119
Weis Markets, Inc.		5,033		226,837
				5,109,416
Education Services — 0.5%
American Public Education, Inc. (a)(b)		8,034		298,544
Bridgepoint Education, Inc. (a)		8,300		101,094
Bright Horizons Family Solutions, Inc. (a)		5,414		187,920
Capella Education Co. (a)		5,048		210,249
Career Education Corp. (a)		24,835		72,022
Corinthian Colleges, Inc. (a)		36,300		81,312
Education Management Corp. (a)		11,123		62,511
Franklin Covey Co. (a)		4,224		56,855
Grand Canyon Education, Inc. (a)(b)		20,669		666,162
HealthStream, Inc. (a)		9,168		232,134
ITT Educational Services, Inc. (a)		10,611		258,908
K12, Inc. (a)		12,385		325,354
Lincoln Educational Services Corp.		11,059		58,281
Rosetta Stone, Inc. (a)		5,297		78,078
Strayer Education, Inc.		4,939		241,171
Universal Technical Institute, Inc.		9,728		100,490
				3,031,085
Electronic Components — 0.6%
Acacia Research Corp.		22,414		500,953
Checkpoint Systems, Inc. (a)		18,706		265,438
InvenSense, Inc. (a)		25,849		397,558
Kemet Corp. (a)		20,479		84,169
Methode Electronics, Inc.		16,918		287,775
Multi-Fineline Electronix, Inc. (a)		3,972		58,825
Neonode, Inc. (a)		11,373		67,669
NVE Corp. (a)		2,212		103,566
Park Electrochemical Corp.		9,499		228,071
Rogers Corp. (a)(b)		7,753		366,872
Sanmina Corp. (a)		37,698		540,966
ScanSource, Inc. (a)		12,679		405,728
Sparton Corp. (a)		4,581		78,976
TTM Technologies, Inc. (a)		24,106		202,490
Universal Display Corp. (a)		18,332		515,313
Viasystems Group, Inc. (a)		1,673		19,290
				4,123,659

Common Stocks	Shares		Value
Electronic Entertainment — 0.1%
DTS, Inc. (a)(b)		8,332	$	171,473
Glu Mobile, Inc. (a)(b)		26,021		57,246
Take-Two Interactive Software, Inc. (a)		36,871		551,959
				780,678
Electronics — 0.4%
Agilysys, Inc. (a)		6,517		73,577
American Science & Engineering, Inc.		3,717		208,152
Coherent, Inc.		11,074		609,845
Daktronics, Inc.		16,738		171,732
II-VI, Inc. (a)		23,255		378,126
iRobot Corp. (a)(b)		12,875		512,039
Newport Corp. (a)		17,800		247,954
Richardson Electronics Ltd.		5,510		64,687
Rofin-Sinar Technologies, Inc. (a)(b)		12,886		321,377
				2,587,489
Energy Equipment — 0.4%
C&J Energy Services, Inc. (a)		20,502		397,124
Capstone Turbine Corp. (a)		138,450		161,986
Dynegy, Inc. (a)		45,393		1,023,612
Enphase Energy, Inc. (a)		7,224		55,842
FuelCell Energy, Inc. (a)		72,536		92,121
Matador Resources Co. (a)		22,409		268,460
PowerSecure International, Inc. (a)		8,573		128,852
Silver Spring Networks, Inc. (a)		2,672		66,640
SunPower Corp. (a)		18,795		389,056
Uni-Pixel, Inc. (a)		4,608		67,784
				2,651,477
Energy Equipment & Services — 0.1%
Geospace Technologies Corp. (a)(b)		5,888		406,743
Pioneer Energy Services Corp. (a)		28,310		187,412
				594,155
Engineering & Contracting Services — 0.5%
Argan, Inc.		6,294		98,186
Dycom Industries, Inc. (a)		15,091		349,206
Engility Holdings, Inc. (a)		7,765		220,681
Exponent, Inc.		6,006		355,015
Furmanite Corp. (a)		17,136		114,640
Layne Christensen Co. (a)(b)		9,011		175,805
Mastec, Inc. (a)(b)		27,065		890,438
Michael Baker Corp.		3,928		106,488
Mistras Group, Inc. (a)		7,248		127,420
MYR Group, Inc. (a)		9,534		185,436
Power Solutions International, Inc. (a)		900		30,231
Tetra Tech, Inc. (a)(b)		29,564		695,050
VSE Corp.		1,841		75,610
				3,424,206
Entertainment — 0.4%
Ascent Capital Group, Inc., Class A (a)		6,437		502,537
Carmike Cinemas, Inc. (a)		8,159		157,958
Live Nation Entertainment, Inc. (a)		64,151		994,340
Navarre Corp. (a)		17,876		49,338
Reading International, Inc., Class A (a)		7,742		49,239
Rentrak Corp. (a)		4,731		94,951
SHFL Entertainment, Inc. (a)		25,686		454,899
Trans World Entertainment Corp.		4,419		21,476
World Wrestling Entertainment, Inc.		12,973		133,752
				2,458,490
Environmental, Maintenance, & Security Service — 0.7%
ABM Industries, Inc.		24,871		609,588
The Brink’s Co.		21,833		556,960
G&K Services, Inc., Class A		8,896		423,449
The Geo Group, Inc.		32,626		1,107,653

See Notes to Financial Statements.
62	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

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

Common Stocks	Shares		Value
Environmental, Maintenance, & Security Service (concluded)
Healthcare Services Group, Inc.		31,181	$	764,558
Mac-Gray Corp.		5,559		78,938
Nuverra Environmental Solutions, Inc. (a)(b)		65,164		188,976
Standard Parking Corp. (a)(b)		7,003		150,284
Swisher Hygiene, Inc. (a)		53,444		45,956
Unifirst Corp.		6,667		608,364
				4,534,726
Fertilizers — 0.1%
Intrepid Potash, Inc.		24,842		473,240
Rentech, Inc.		68,542		143,938
				617,178
Financial Data & Systems — 0.7%
Advent Software, Inc. (a)		14,867		521,237
Cardtronics, Inc. (a)		20,436		564,034
Cass Information Systems, Inc.		4,699		216,624
Consumer Portfolio Services, Inc. (a)		7,663		56,246
Euronet Worldwide, Inc. (a)		22,715		723,700
EVERTEC, Inc. (a)		13,422		294,881
Fair Isaac Corp.		16,322		748,037
Global Cash Access, Inc. (a)		30,288		189,603
Green Dot Corp., Class A (a)		11,742		234,253
Heartland Payment Systems, Inc.		16,554		616,636
Higher One Holdings, Inc. (a)		14,220		165,521
Xoom Corp. (a)		3,342		76,599
				4,407,371
Food & Staples Retailing — 0.0%
Fairway Group Holdings Corp. (a)		7,146		172,719
Natural Grocers by Vitamin Cottage, Inc. (a)		4,025		124,775
				297,494
Foods — 1.4%
Annie’s, Inc. (a)		6,216		265,672
B&G Foods, Inc., Class A		24,110		820,945
Boulder Brands, Inc. (a)		27,176		327,471
The Chefs’ Warehouse, Inc. (a)		6,299		108,343
Chiquita Brands International, Inc. (a)		21,189		231,384
Diamond Foods, Inc. (a)(b)		10,133		210,260
Dole Food Co., Inc. (a)		23,311		297,215
The Hain Celestial Group, Inc. (a)		17,499		1,136,910
Inventure Foods, Inc. (a)		6,249		52,242
J&J Snack Foods Corp.		6,816		530,285
John B. Sanfilippo & Son, Inc.		3,680		74,189
Lancaster Colony Corp.		8,444		658,548
Lifeway Foods, Inc.		2,129		36,959
Medifast, Inc. (a)		6,294		162,133
Natures Sunshine Products, Inc.		4,992		81,619
Nutraceutical International Corp.		3,885		79,409
Omega Protein Corp. (a)		9,164		82,293
Post Holdings, Inc. (a)		14,853		648,482
Roundy’s, Inc.		11,435		95,254
Seneca Foods Corp. (a)		3,713		113,915
Snyders-Lance, Inc.		21,618		614,167
Synutra International, Inc. (a)		8,100		41,229
Tootsie Roll Industries, Inc.		8,991		285,734
TreeHouse Foods, Inc. (a)		16,509		1,082,000
United Natural Foods, Inc. (a)		22,463		1,212,777
				9,249,435
Forest Products — 0.1%
Boise Cascade Co. (a)		6,124		155,611
Deltic Timber Corp.		5,043		291,586
Universal Forest Products, Inc.		8,989		358,841
				806,038

Common Stocks	Shares		Value
Forms & Bulk Printing Services — 0.3%
Consolidated Graphics, Inc. (a)		3,308	$	155,509
Deluxe Corp.		23,193		803,637
Ennis, Inc.		11,940		206,443
Innerworkings, Inc. (a)		20,111		218,204
Multi-Color Corp.		5,605		170,056
Quad/Graphics, Inc.		11,368		273,969
Schawk, Inc.		6,017		79,003
				1,906,821
Funeral Parlors & Cemeteries — 0.2%
Carriage Services, Inc.		7,210		122,209
Hillenbrand, Inc.		25,063		594,244
Matthews International Corp., Class A		12,569		473,851
Stewart Enterprises, Inc., Class A		33,097		433,240
				1,623,544
Gas Pipeline — 0.2%
Crosstex Energy, Inc.		21,818		431,124
SemGroup Corp., Class A		19,282		1,038,528
				1,469,652
Glass — 0.1%
Apogee Enterprises, Inc.		13,131		315,144
Gold — 0.2%
Allied Nevada Gold Corp. (a)		46,131		298,929
Coeur Mining, Inc. (a)		45,098		599,804
Gold Resource Corp.		13,751		119,771
Midway Gold Corp. (a)		59,116		55,746
				1,074,250
Health Care Facilities — 0.7%
Amsurg Corp. (a)(b)		14,570		511,407
Assisted Living Concepts, Inc. Class A (a)		8,976		107,353
Capital Senior Living Corp. (a)		13,085		312,731
Emeritus Corp. (a)		18,342		425,168
The Ensign Group, Inc.		8,825		310,816
Five Star Quality Care, Inc. (a)		19,552		109,687
Hanger, Inc. (a)		15,793		499,533
HealthSouth Corp. (a)		39,761		1,145,117
Kindred Healthcare, Inc. (a)		24,635		323,458
National Healthcare Corp.		4,899		234,172
Select Medical Holdings Corp.		22,002		180,416
Skilled Healthcare Group, Inc., Class A (a)		8,984		60,013
US Physical Therapy, Inc.		5,531		152,877
Usmd Holding, Inc. (a)		455		13,463
Vanguard Health Systems, Inc. (a)		15,393		319,251
				4,705,462
Health Care Management Services — 0.7%
Bioscript, Inc. (a)		26,553		438,125
Centene Corp. (a)(b)		24,779		1,299,906
Computer Programs & Systems, Inc.		5,060		248,648
Magellan Health Services, Inc. (a)		12,324		691,130
Molina Healthcare, Inc. (a)		12,918		480,291
Triple-S Management Corp. (a)		10,680		229,300
Universal American Corp.		17,567		156,171
WellCare Health Plans, Inc. (a)		19,795		1,099,612
				4,643,183
Health Care Services — 1.9%
Acadia Healthcare Co., Inc. (a)(b)		16,131		533,452
Accelerate Diagnostics, Inc. (a)		4,669		37,912
Accretive Health, Inc. (a)		26,744		289,103
Addus HomeCare Corp. (a)		2,474		48,837
Air Methods Corp.		17,724		600,489
Alliance HealthCare Services, Inc. (a)		2,235		34,955
Almost Family, Inc.		3,728		70,832
Amedisys, Inc. (a)		14,252		165,608

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	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)
AMN Healthcare Services, Inc. (a)		20,955	$	300,076
athenahealth, Inc. (a)		16,735		1,417,789
Chemed Corp.		8,602		623,043
Chindex International, Inc. (a)		5,430		88,075
Corvel Corp. (a)		5,762		168,654
Cross Country Healthcare, Inc. (a)		12,334		63,643
ExamWorks Group, Inc. (a)(b)		13,775		292,443
Gentiva Health Services, Inc. (a)		14,251		141,940
Globus Medical, Inc., Class A (a)		24,812		418,330
Greenway Medical Technologies (a)		6,475		79,902
Healthways, Inc. (a)		15,588		270,919
HMS Holdings Corp. (a)(b)		39,949		930,812
IPC The Hospitalist Co., Inc. (a)(b)		7,647		392,750
LHC Group, Inc. (a)		5,537		108,415
Medidata Solutions, Inc. (a)(b)		12,108		937,765
MiMedx Group, Inc. (a)		38,149		269,332
MWI Veterinary Supply, Inc. (a)		5,826		717,996
NeoGenomics, Inc. (a)		14,623		58,200
Omnicell, Inc. (a)		15,648		321,566
OvaScience, Inc. (a)		3,983		54,687
PharMerica Corp. (a)		13,529		187,512
Quality Systems, Inc.		18,206		340,634
Ryman Hospitality Properties		20,109		784,452
Team Health Holdings, Inc. (a)		31,260		1,283,848
TearLab Corp. (a)		11,627		123,479
Tetraphase Pharmaceuticals, Inc. (a)		5,066		35,614
WebMD Health Corp. (a)		16,020		470,507
				12,663,571
Health Care: Miscellaneous — 0.1%
MedAssets, Inc. (a)		27,708		491,540
The Providence Service Corp. (a)		4,857		141,290
				632,830
Home Building — 0.7%
Beazer Homes USA, Inc. (a)		11,461		200,797
Hovnanian Enterprises, Inc., Class A (a)		49,147		275,715
KB Home		38,113		748,158
M/I Homes, Inc. (a)(b)		11,042		253,524
MDC Holdings, Inc.		17,827		579,556
Meritage Homes Corp. (a)		16,463		713,836
Ryland Group, Inc.		21,020		842,902
Standard-Pacific Corp. (a)		67,524		562,475
Tile Shop Holdings, Inc. (a)		8,374		242,511
TRI Pointe Homes, Inc. (a)		6,787		112,528
William Lyon Homes Class A (a)		6,236		157,209
				4,689,211
Hotel/Motel — 0.2%
Bloomin’ Brands, Inc. (a)		25,151		625,757
Marcus Corp.		8,459		107,599
Morgans Hotel Group Co. (a)		12,062		97,220
Orient Express Hotels Ltd., Class A (a)		43,634		530,589
				1,361,165
Household Appliances — 0.0%
National Presto Industries, Inc.		2,190		157,746
Household Equipment & Products — 0.2%
American Greetings Corp., Class A		14,530		264,737
Blyth, Inc.		4,244		59,246
Central Garden & Pet Co., Class A (a)		18,945		130,720
CSS Industries, Inc.		3,799		94,709
Helen of Troy Ltd. (a)		14,515		556,941
Libbey, Inc. (a)		9,551		228,937
Sears Hometown and Outlet Stores, Inc. (a)		3,932		171,907
				1,507,197

Common Stocks	Shares		Value
Household Furnishings — 0.3%
American Woodmark Corp. (a)		4,542	$	157,607
Bassett Furniture Industries, Inc.		4,960		77,029
Ethan Allen Interiors, Inc.		11,316		325,901
Everyware Global, Inc. (a)		4,453		54,059
Flexsteel Industries, Inc.		2,191		53,417
Hooker Furniture Corp.		4,914		79,902
Kirkland’s, Inc. (a)		6,315		108,934
La-Z-Boy, Inc.		23,868		483,804
Lifetime Brands, Inc.		4,574		62,115
Select Comfort Corp. (a)		25,366		635,672
				2,038,440
Insurance: Life — 0.6%
American Equity Investment Life Holding Co.		29,156		457,749
Citizens, Inc. (a)(b)		19,594		117,172
CNO Financial Group, Inc.		101,119		1,310,502
FBL Financial Group, Inc., Class A		4,061		176,694
Health Insurance Innovations, Inc. (a)		2,025		21,303
Independence Holding Co.		3,607		42,635
Kansas City Life Insurance Co.		1,787		68,388
National Western Life Insurance Co., Class A		987		187,382
The Phoenix Cos., Inc. (a)		2,640		113,520
Primerica, Inc.		25,913		970,183
Symetra Financial Corp.		36,915		590,271
				4,055,799
Insurance: Multi-Line — 0.3%
Crawford & Co., Class B		12,040		67,665
Eastern Insurance Holdings, Inc.		3,040		57,000
eHealth, Inc. (a)		8,907		202,367
Fortegra Financial Corp. (a)		2,890		19,854
Horace Mann Educators Corp.		18,148		442,448
Maiden Holdings Ltd.		22,960		257,611
Pico Holdings, Inc. (a)		10,398		217,942
Platinum Underwriters Holdings Ltd.		14,540		831,979
				2,096,866
Insurance: Property-Casualty — 1.5%
American Safety Insurance Holdings Ltd. (a)		4,368		126,454
Amerisafe, Inc.		8,453		273,793
AmTrust Financial Services, Inc.		12,903		460,637
Argo Group International Holdings Ltd. (b)		12,448		527,679
Baldwin & Lyons, Inc., Class B		4,319		104,865
Donegal Group, Inc., Class A		3,524		49,230
EMC Insurance Group, Inc.		2,160		56,722
Employers Holdings, Inc.		10,430		255,013
Enstar Group Ltd. (a)		4,332		576,069
First American Financial Corp.		49,401		1,088,798
Global Indemnity Plc (a)		4,332		102,019
Greenlight Capital Re Ltd. (a)(b)		12,930		317,173
Hallmark Financial Services, Inc. (a)		6,587		60,205
HCI Group, Inc.		4,228		129,884
Hilltop Holdings, Inc. (a)		28,292		463,989
Infinity Property & Casualty Corp.		5,295		316,429
Investors Title Co.		604		42,848
Meadowbrook Insurance Group, Inc.		22,946		184,256
Montpelier Re Holdings Ltd.		21,207		530,387
National Interstate Corp.		3,052		89,271
Navigators Group, Inc. (a)		4,726		269,571
OneBeacon Insurance Group Ltd.		10,424		150,940
Radian Group, Inc.		78,870		916,469
RLI Corp.		9,766		746,220
Safety Insurance Group, Inc.		5,959		289,071
Selective Insurance Group, Inc.		25,439		585,606
State Auto Financial Corp.		6,963		126,518
Stewart Information Services Corp.		9,752		255,405
Tower Group International Ltd.		26,172		536,788

See Notes to Financial Statements.
64	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

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

Common Stocks	Shares		Value
Insurance: Property-Casualty (concluded)
United Fire Group, Inc.		9,442	$	234,445
Universal Insurance Holdings, Inc.		13,486		95,481
				9,962,235
International Trade & Diversified Logistic — 0.0%
Global Sources Ltd. (a)		8,567		57,485
Internet & Catalog Retail — 0.0%
Vitacost.com, Inc. (a)		10,071		85,100
Internet Software & Services — 0.0%
ChannelAdvisor Corp. (a)		2,695		42,392
E2open, Inc. (a)		6,647		116,323
eGain Corp. (a)		5,836		56,142
Global Eagle Entertainment, Inc. (a)		9,700		97,582
				312,439
Leisure Time — 1.0%
Black Diamond, Inc. (a)		10,178		95,673
Callaway Golf Co.		32,193		211,830
Churchill Downs, Inc.		6,247		492,576
International Speedway Corp., Class A		12,684		399,165
Interval Leisure Group, Inc.		17,955		357,664
Johnson Outdoors, Inc. (a)		2,262		56,324
Life Time Fitness, Inc. (a)		19,606		982,457
Marriott Vacations Worldwide Corp. (a)		13,236		572,325
Nautilus, Inc. (a)		14,092		122,459
Orbitz Worldwide, Inc. (a)		11,023		88,515
Pool Corp.		21,228		1,112,559
Smith & Wesson Holding Corp. (a)		29,263		292,045
Speedway Motorsports, Inc.		5,293		92,098
Steinway Musical Instruments, Inc. (a)		3,151		95,885
Sturm Ruger & Co., Inc.		8,827		424,049
Town Sports International Holdings, Inc.		10,847		116,822
Vail Resorts, Inc.		16,358		1,006,344
West Marine, Inc. (a)		7,550		83,050
				6,601,840
Luxury Items — 0.0%
Movado Group, Inc.		8,067		272,907
Machinery: Agricultural — 0.2%
Alamo Group, Inc.		3,212		131,114
Lindsay Corp.		5,861		439,458
Titan International, Inc.		24,397		411,577
Titan Machinery, Inc. (a)		7,810		153,310
				1,135,459
Machinery: Construction & Handling — 0.1%
Astec Industries, Inc.		9,278		318,143
Douglas Dynamics, Inc.		10,162		131,903
NACCO Industries, Inc., Class A		2,270		130,025
				580,071
Machinery: Engines — 0.1%
Briggs & Stratton Corp.		21,968		434,966
Machinery: Industrial — 1.5%
Actuant Corp., Class A		33,335		1,099,055
Altra Holdings, Inc.		12,324		337,431
Applied Industrial Technologies, Inc.		19,201		927,984
Chart Industries, Inc. (a)		13,814		1,299,759
Columbus McKinnon Corp. (a)		8,885		189,428
DXP Enterprises, Inc. (a)(b)		4,308		286,913
EnPro Industries, Inc. (a)		9,501		482,271
The ExOne Co. (a)(b)		2,782		171,705
Flow International Corp. (a)		22,249		82,099
Graham Corp.		4,575		137,387
Hardinge, Inc.		5,356		79,162
Hyster-Yale Materials Handling, Inc.		4,800		301,392

Common Stocks	Shares		Value
Machinery: Industrial (concluded)
John Bean Technologies Corp.		13,207	$	277,479
Kadant, Inc.		5,109		154,139
Manitex International, Inc. (a)		5,473		59,929
Middleby Corp. (a)(b)		8,562		1,456,311
MTS Systems Corp.		7,210		408,086
Omega Flex, Inc.		1,265		18,811
Proto Labs, Inc. (a)		7,765		504,492
Tecumseh Products Co., Class A (a)		8,179		89,396
Tennant Co.		8,390		404,985
Twin Disc, Inc.		3,817		90,463
Woodward, Inc.		31,320		1,252,800
				10,111,477
Machinery: Specialty — 0.1%
Albany International Corp., Class A		12,742		420,231
Hurco Cos., Inc.		2,931		84,325
Xerium Technologies, Inc. (a)		4,894		49,821
				554,377
Manufactured Housing — 0.0%
Cavco Industries, Inc. (a)		3,174		160,128
Medical & Dental Instruments & Supplies — 2.0%
Abiomed, Inc. (a)		17,627		380,038
Align Technology, Inc. (a)(b)		33,327		1,234,432
Alphatec Holdings, Inc. (a)		27,748		56,883
AngioDynamics, Inc. (a)		11,184		126,156
Anika Therapeutics, Inc. (a)		5,505		93,585
Antares Pharma, Inc. (a)		51,262		213,250
AtriCure, Inc. (a)		9,473		89,994
Atrion Corp.		713		155,940
Biolase Inc. (a)		14,365		51,427
Cantel Medical Corp.		9,939		336,634
Cardiovascular Systems, Inc. (a)		9,511		201,633
Cerus Corp. (a)		31,905		141,020
CONMED Corp.		12,634		394,686
CryoLife, Inc.		12,616		78,976
Cutera, Inc. (a)		6,568		57,798
Derma Sciences, Inc. (a)		6,180		82,503
Endologix, Inc. (a)(b)		28,555		379,210
Exactech, Inc. (a)		4,163		82,219
Heartware International, Inc. (a)		7,444		707,999
ICU Medical, Inc. (a)(b)		5,891		424,506
Insulet Corp. (a)(b)		24,329		764,174
Integra LifeSciences Holdings Corp. (a)		9,092		333,040
Invacare Corp.		14,553		208,981
Landauer, Inc.		4,343		209,810
MAKO Surgical Corp. (a)		19,136		230,589
Medical Action Industries, Inc. (a)		6,458		49,727
Meridian Bioscience, Inc.		18,922		406,823
Merit Medical Systems, Inc. (a)		19,370		215,976
Navidea Biopharmaceuticals, Inc. (a)(b)		54,285		144,941
Neogen Corp. (a)		10,897		605,437
NuVasive, Inc. (a)		20,156		499,667
OraSure Technologies, Inc. (a)		25,466		98,808
Orthofix International NV (a)		8,830		237,527
Owens & Minor, Inc.		28,824		975,116
Quidel Corp. (a)		12,814		327,141
Rochester Medical Corp. (a)		4,982		73,385
Staar Surgical Co. (a)		16,802		170,540
Steris Corp.		26,863		1,151,885
SurModics, Inc. (a)		6,567		131,406
Tornier NV (a)		11,755		205,713
Unilife Corp. (a)(b)		41,923		132,896
Utah Medical Products, Inc.		1,508		81,884
Vascular Solutions, Inc. (a)		7,531		110,781
Volcano Corp. (a)(b)		24,861		450,730
				13,105,866

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	65

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

Common Stocks		Shares		Value
Medical Equipment — 1.1%
Abaxis, Inc.			10,076	$	478,711
Accuray, Inc. (a)			33,772		193,851
Affymetrix, Inc. (a)			32,391		143,816
Analogic Corp.			5,576		406,100
ArthroCare Corp. (a)			12,843		443,469
Cyberonics, Inc. (a)			12,594		654,384
Cynosure, Inc., Class A (a)			8,273		214,934
DexCom, Inc. (a)(b)			32,207		723,047
Fluidigm Corp. (a)(b)			11,535		201,401
Greatbatch, Inc. (a)(b)			10,891		357,116
Haemonetics Corp. (a)			23,257		961,677
Luminex Corp. (a)(b)			17,033		351,050
Masimo Corp.			22,203		470,704
Merge Healthcare, Inc. (a)			29,628		106,661
Natus Medical, Inc. (a)			13,803		188,411
NxStage Medical, Inc. (a)			27,162		387,873
Solta Medical, Inc. (a)			32,228		73,480
Spectranetic Corp. (a)			18,424		344,160
Thoratec Corp. (a)			26,075		816,408
Zeltiq Aesthetics, Inc. (a)			8,017		51,229
					7,568,482
Medical Services — 0.2%
Bio-Reference Labs, Inc. (a)(b)			11,165		320,994
Parexel International Corp. (a)(b)			25,900		1,189,846
					1,510,840
Metal Fabricating — 0.7%
Ampco-Pittsburgh Corp.			3,846		72,189
Compx International, Inc.			465		6,491
Dynamic Materials Corp.			6,217		102,643
Global Brass & Copper Holdings, Inc. (a)			3,529		46,724
Haynes International, Inc.			5,615		268,790
Kaydon Corp.			14,712		405,316
L.B. Foster Co., Class A			4,592		198,237
Mueller Industries, Inc.			12,759		643,436
Mueller Water Products, Inc., Series A			72,085		498,107
NN, Inc.			7,808		89,089
Northwest Pipe Co. (a)			4,280		119,412
RBC Bearings, Inc. (a)			10,444		542,566
Rexnord Corp. (a)			13,740		231,519
RTI International Metals, Inc. (a)(b)			14,233		394,397
Worthington Industries, Inc.			24,101		764,243
					4,383,159
Metals & Minerals: Diversified — 0.7%
Alpha Natural Resources, Inc. (a)			100,362		525,897
AMCOL International Corp.			12,610		399,611
Commercial Metals Co.			53,019		783,091
General Moly, Inc. (a)			26,549		49,647
Globe Specialty Metals, Inc.			29,230		317,730
Hecla Mining Co.			148,044		441,171
Materion Corp.			9,357		253,481
Minerals Technologies, Inc.	��		15,874		656,231
Molycorp, Inc. (a)			56,376		349,531
Oil-Dri Corp. of America			2,188		60,104
Paramount Gold and Silver Corp. (a)(b)			56,487		67,220
SunCoke Energy, Inc. (a)			31,845		446,467
United States Lime & Minerals, Inc. (a)			853		44,569
Ur-Energy, Inc. (a)			54,424		72,928
US Silica Holdings, Inc.			9,768		202,979
					4,670,657
Miscellaneous Consumer Staples — 0.1%
Spectrum Brands Holdings, Inc.			9,801		557,383

Common Stocks	Shares		Value
Office Supplies & Equipment — 0.6%
ACCO Brands Corp. (a)		51,749	$	329,123
AT Cross Co., Class A (a)		4,326		73,326
Electronics for Imaging, Inc. (a)		21,154		598,447
Herman Miller, Inc.		26,710		723,040
HNI Corp.		20,730		747,731
Kimball International, Inc., Class B		14,765		143,368
Knoll, Inc.		21,982		312,364
Steelcase, Inc., Class A		38,350		559,143
United Stationers, Inc.		18,420		617,991
				4,104,533
Offshore Drilling & Other Services — 0.1%
Hercules Offshore, Inc. (a)		72,706		511,850
Vantage Drilling Co. (a)		91,091		185,826
				697,676
Oil Well Equipment & Services — 1.4%
Basic Energy Services, Inc. (a)		13,644		164,956
Bolt Technology Corp.		3,955		67,551
Cal Dive International, Inc. (a)(b)		44,398		83,468
Dawson Geophysical Co. (a)		3,668		135,202
Edgen Group, Inc. (a)		7,430		47,403
Exterran Holdings, Inc. (a)		26,242		737,925
Flotek Industries, Inc. (a)		21,787		390,859
Forum Energy Technologies, Inc. (a)		17,864		543,602
Global Geophysical Services, Inc. (a)		10,217		48,224
Gulf Island Fabrication, Inc.		6,577		125,950
Helix Energy Solutions Group, Inc. (a)		48,269		1,112,118
Hornbeck Offshore Services, Inc. (a)(b)		16,307		872,425
ION Geophysical Corp. (a)		60,724		365,558
Key Energy Services, Inc. (a)		69,384		412,835
Lufkin Industries, Inc.		15,456		1,367,392
Matrix Service Co. (a)		11,910		185,558
Mitcham Industries, Inc. (a)		5,844		98,062
Natural Gas Services Group, Inc. (a)		5,650		132,719
Newpark Resources, Inc. (a)		39,334		432,281
Parker Drilling Co. (a)		54,260		270,215
RigNet, Inc. (a)		5,419		138,076
SEACOR Holdings, Inc.		9,103		756,004
Tesco Corp. (a)		13,768		182,426
Tetra Technologies, Inc. (a)(b)		35,706		366,344
TGC Industries, Inc.		6,956		57,178
Willbros Group, Inc. (a)(b)		18,278		112,227
				9,206,558
Oil, Gas & Consumable Fuels — 0.3%
CARBO Ceramics, Inc.		8,996		606,600
Emerald Oil, Inc. (a)		16,597		113,855
EPL Oil & Gas, Inc. (a)		13,610		399,590
Equal Energy Ltd.		15,721		63,513
EXCO Resources, Inc.		61,744		471,724
				1,655,282
Oil: Crude Producers — 1.9%
Abraxas Petroleum Corp. (a)		37,649		79,063
Apco Oil and Gas International, Inc. (a)		4,164		48,011
Approach Resources, Inc. (a)		15,853		389,508
Berry Petroleum Co., Class A		23,994		1,015,426
Bill Barrett Corp. (a)		22,215		449,187
Bonanza Creek Energy, Inc. (a)		13,393		474,916
BPZ Resources, Inc. (a)		53,512		95,786
Callon Petroleum Co. (a)		18,232		61,442
Carrizo Oil & Gas, Inc. (a)		18,393		521,074
Clayton Williams Energy, Inc. (a)		2,678		116,493
Comstock Resources, Inc.		22,006		346,154
Contango Oil & Gas Co.		5,915		199,631
Crimson Exploration, Inc. (a)		9,983		28,152
Diamondback Energy, Inc. (a)		8,118		270,492

See Notes to Financial Statements.
66	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

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

Common Stocks	Shares		Value
Oil: Crude Producers (concluded)
Endeavour International Corp. (a)(b)		21,552	$	82,760
Energy XXI Bermuda Ltd.		36,156		801,940
Evolution Petroleum Corp. (a)		7,746		84,509
Forest Oil Corp. (a)(b)		54,452		222,709
FX Energy, Inc. (a)		24,427		78,411
Gastar Exploration Ltd. (a)		27,827		74,298
Goodrich Petroleum Corp. (a)		12,053		154,278
Halcon Resources Corp. (a)(b)		94,194		534,080
Isramco, Inc. (a)		433		40,347
Kodiak Oil & Gas Corp. (a)		120,958		1,075,317
Magnum Hunter Resources Corp. (a)		78,268		285,678
Midstates Petroleum Co., Inc. (a)		14,978		81,031
Northern Oil and Gas, Inc. (a)		29,073		387,834
Panhandle Oil & Gas, Inc.		3,191		90,943
PDC Energy, Inc. (a)		13,829		711,917
Penn Virginia Corp.		25,185		118,369
Petroquest Energy, Inc. (a)		26,106		103,380
Quicksilver Resources, Inc. (a)(b)		56,812		95,444
Resolute Energy Corp. (a)(b)		30,716		245,114
Rex Energy Corp. (a)		20,569		361,603
Rosetta Resources, Inc. (a)		27,832		1,183,417
Sanchez Energy Corp. (a)(b)		12,913		296,482
Stone Energy Corp. (a)		22,766		501,535
Swift Energy Co. (a)		19,732		236,587
Synergy Resources Corp. (a)		18,591		136,086
Triangle Petroleum Corp. (a)		21,010		147,280
Vaalco Energy, Inc. (a)		26,458		151,340
W&T Offshore, Inc.		15,873		226,825
Warren Resources, Inc. (a)		33,144		84,517
ZaZa Energy Corp. (a)		16,434		19,721
				12,709,087
Oil: Integrated — 0.1%
Targa Resources, Inc.		14,965		962,698
Oil: Refining & Marketing — 0.3%
Adams Resources & Energy, Inc.		995		68,546
Alon USA Energy, Inc.		10,704		154,780
Arabian American Development Co. (a)		9,365		81,475
Clean Energy Fuels Corp. (a)		31,259		412,619
Delek US Holdings, Inc.		16,983		488,771
Miller Energy Resources, Inc. (a)		14,001		56,004
Renewable Energy Group, Inc. (a)		9,723		138,358
Western Refining, Inc.		24,832		697,034
				2,097,587
Paints & Coatings — 0.2%
Chase Corp.		2,946		65,872
Ferro Corp. (a)		33,100		230,045
H.B. Fuller Co.		22,918		866,530
				1,162,447
Paper — 0.7%
Boise, Inc.		45,856		391,610
Buckeye Technologies, Inc.		18,497		685,129
Clearwater Paper Corp. (a)		10,083		474,506
Kapstone Paper and Packaging Corp.		18,571		746,183
Neenah Paper, Inc.		7,232		229,761
P.H. Glatfelter Co.		19,483		489,023
Resolute Forest Products (a)		31,656		416,910
Schweitzer-Mauduit International, Inc.		14,263		711,438
Wausau Paper Corp.		22,298		254,197
				4,398,757
Personal Care — 0.1%
Female Health Co.		9,841		97,032
Orchids Paper Products Co.		2,675		70,219
PhotoMedex, Inc. (a)		6,295		100,343

Common Stocks	Shares		Value
Personal Care (concluded)
USANA Health Sciences, Inc. (a)(b)		2,732	$	197,742
WD-40 Co.		7,048		383,975
				849,311
Pharmaceuticals — 1.8%
Acadia Pharmaceuticals, Inc. (a)		31,928		579,493
AcelRx Pharmaceuticals, Inc. (a)		9,488		87,954
Achillion Pharmaceuticals, Inc. (a)		43,886		358,987
Akorn, Inc. (a)(b)		26,547		358,915
American Pacific Corp. (a)		2,648		75,071
Ampio Pharmaceuticals, Inc. (a)(b)		12,532		72,310
Anacor Pharmaceuticals, Inc. (a)		11,483		64,190
Auxilium Pharmaceuticals, Inc. (a)		22,457		373,460
Avanir Pharmaceuticals, Inc. (a)		66,191		304,479
Cadence Pharmaceuticals, Inc. (a)		28,239		192,590
Cambrex Corp. (a)		13,723		191,710
Cempra, Inc. (a)		6,549		51,279
Chimerix, Inc. (a)		3,788		91,821
Corcept Therapeutics, Inc. (a)		23,799		41,172
Depomed, Inc. (a)		25,809		144,788
Enanta Pharmaceuticals, Inc. (a)		1,597		28,283
Endocyte, Inc. (a)(b)		13,883		182,284
Hi-Tech Pharmacal Co., Inc.		5,053		167,760
Impax Laboratories, Inc. (a)(b)		31,197		622,380
Infinity Pharmaceuticals, Inc. (a)		21,799		354,234
Ironwood Pharmaceuticals, Inc. (a)		42,335		421,233
Isis Pharmaceuticals, Inc. (a)(b)		51,166		1,374,830
Lannett Co., Inc. (a)		7,507		89,408
Lifevantage Corp. (a)		48,066		111,513
The Medicines Co. (a)		25,506		784,565
MEI Pharma, Inc. (a)		4,282		30,531
Omthera Pharmaceuticals, Inc. (a)		2,674		35,564
Optimer Pharmaceuticals, Inc. (a)		22,172		320,829
Pacira Pharmaceuticals, Inc. (a)		12,546		363,834
Pernix Therapeutics Holdings, Inc. (a)		7,665		27,671
Portola Pharmaceuticals, Inc. (a)		4,380		107,617
Pozen, Inc. (a)		12,439		62,319
Prestige Brands Holdings, Inc. (a)		23,302		679,020
Questcor Pharmaceuticals, Inc.		23,645		1,074,902
Receptos, Inc. (a)		2,576		51,237
Sagent Pharmaceuticals, Inc. (a)		7,527		157,916
Santarus, Inc. (a)		25,273		531,997
Sciclone Pharmaceuticals, Inc. (a)		24,713		122,576
SIGA Technologies, Inc. (a)(b)		16,693		47,408
Spectrum Pharmaceuticals, Inc.		27,378		204,240
Supernus Pharmaceuticals, Inc. (a)(b)		6,743		43,357
T.G. Theraputics, Inc. (a)		5,687		36,340
TherapeuticsMD, Inc. (a)		35,300		106,959
Vical, Inc. (a)		34,707		108,633
Vivus, Inc. (a)(b)		45,881		577,183
Xenoport, Inc. (a)(b)		19,814		98,079
Zogenix, Inc. (a)		32,415		55,430
				11,968,351
Plastics — 0.1%
A. Schulman, Inc.		13,408		359,603
Ply Gem Holdings, Inc. (a)		7,171		143,850
				503,453
Power Transmission Equipment — 0.3%
Advanced Energy Industries, Inc. (a)		17,900		311,639
Generac Holdings, Inc.		23,486		869,217
Global Power Equipment Group, Inc.		7,739		124,753
Maxwell Technologies, Inc. (a)		13,340		95,381
Powell Industries, Inc. (a)		4,188		216,310
Power-One, Inc. (a)		30,509		192,817
Vicor Corp. (a)		8,107		55,533
				1,865,650

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	67

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

Common Stocks	Shares		Value
Precious Metals & Minerals — 0.1%
Horsehead Holding Corp. (a)(b)		20,096	$	257,430
Stillwater Mining Co. (a)		53,831		578,145
				835,575
Printing & Copying Services — 0.1%
Casella Waste Systems, Inc. (a)		17,609		75,895
Cenveo, Inc. (a)		24,389		51,949
VistaPrint NV (a)(b)		14,885		734,872
				862,716
Producer Durables: Miscellaneous — 0.1%
Blount International, Inc. (a)		22,427		265,087
Park-Ohio Holdings Corp. (a)		3,958		130,535
				395,622
Production Technology Equipment — 1.0%
ATMI, Inc. (a)		14,540		343,871
Axcelis Technologies, Inc. (a)		49,144		89,442
Brooks Automation, Inc.		30,338		295,189
Cognex Corp.		19,803		895,492
Cohu, Inc.		11,270		140,875
Electro Scientific Industries, Inc.		10,743		115,595
Entegris, Inc. (a)		63,519		596,443
FEI Co.		17,569		1,282,361
GSI Group, Inc. (a)		13,682		110,003
LTX-Credence Corp. (a)		21,695		129,953
MKS Instruments, Inc.		24,140		640,676
Nanometrics, Inc. (a)(b)		10,531		154,490
Photronics, Inc. (a)		27,716		223,391
Rudolph Technologies, Inc. (a)		14,895		166,824
Tessera Technologies, Inc.		24,049		500,219
Ultra Clean Holdings, Inc. (a)		10,908		65,993
Ultratech, Inc. (a)(b)		12,638		464,067
Veeco Instruments, Inc. (a)		17,845		632,070
				6,846,954
Publishing — 0.4%
AH Belo Corp.		8,361		57,356
Courier Corp.		5,097		72,785
Daily Journal Corp. (a)		417		47,121
Dex Media, Inc. (a)		7,796		136,976
Journal Communications, Inc., Class A (a)		20,004		149,830
Martha Stewart Living Omnimedia, Inc., Class A (a)		13,345		32,161
McClatchy Co., Class A (a)		27,400		62,472
Media General, Inc., Class A (a)		8,861		97,737
Meredith Corp.		16,285		776,794
The New York Times Co., Class A (a)		58,845		650,826
Scholastic Corp.		12,040		352,652
				2,436,710
Radio & TV Broadcasters — 0.4%
Beasley Broadcasting Group, Inc., Class A		1,845		15,461
Central European Media Enterprises Ltd. (a)		34,663		114,734
Crown Media Holdings, Inc., Class A (a)		16,080		39,718
Cumulus Media, Inc., Class A (a)		34,148		115,762
Entercom Communications Corp. (a)(b)		10,951		103,377
Entravision Communications Corp., Class A		25,159		154,728
Fisher Communications, Inc.		4,075		167,401
Gray Television, Inc. (a)		22,856		164,563
Lin TV Corp., Class A (a)		13,013		199,099
Nexstar Broadcasting Group, Inc., Class A		13,373		474,207
Saga Communications, Inc.		2,212		101,553
Salem Communications Corp., Class A		4,676		35,023
Sinclair Broadcast Group, Inc., Class A		31,185		916,215
				2,601,841

Common Stocks	Shares		Value
Railroad Equipment — 0.1%
American Railcar Industries, Inc.		4,318	$	144,696
Freightcar America, Inc.		5,442		92,459
Greenbrier Cos., Inc. (a)(b)		11,110		270,751
				507,906
Real Estate — 0.2%
AV Homes, Inc. (a)		4,333		76,824
Consolidated-Tomoka Land Co.		2,615		99,788
Forestar Group, Inc. (a)		15,814		317,229
Griffin Land & Nurseries, Inc.		1,205		34,367
HFF, Inc., Class A		15,142		269,073
Kennedy-Wilson Holdings, Inc.		23,831		396,548
Market Leader, Inc. (a)		10,894		116,566
Tejon Ranch Co. (a)		6,243		177,863
Thomas Properties Group, Inc.		13,933		73,845
				1,562,103
Real Estate Investment Trusts (REITs) — 7.8%
Acadia Realty Trust (b)		25,053		618,559
AG Mortgage Investment Trust, Inc.		12,642		237,796
Agree Realty Corp.		6,083		179,570
Alexander & Baldwin, Inc. (a)		19,492		774,807
Alexander’s, Inc. (b)		960		281,962
Altisource Residential Corp. (a)		11,266		188,030
American Assets Trust, Inc.		15,316		472,652
American Capital Mortgage Investment Corp.		26,964		484,543
American Realty Capital Properties, Inc.		70,104		1,069,787
American Residential Properties, Inc. (a)		6,123		105,316
AmREIT, Inc., Class B		7,206		139,364
Anworth Mortgage Asset Corp.		66,450		372,120
Apollo Commercial Real Estate Finance, Inc.		16,616		263,862
Ares Commercial Real Estate Corp.		3,179		40,723
Armada Hoffler Properties, Inc.		8,446		99,494
ARMOUR Residential REIT, Inc.		170,678		803,893
Ashford Hospitality Trust, Inc.		23,830		272,853
Associated Estates Realty Corp.		23,019		370,146
Aviv REIT, Inc.		5,188		131,205
Campus Crest Communities, Inc.		29,509		340,534
CapLease, Inc.		40,651		343,094
Capstead Mortgage Corp.		43,674		528,455
Cedar Realty Trust, Inc.		28,186		146,003
Chambers Street Properties		113,071		1,130,710
Chatham Lodging Trust		7,989		137,251
Chesapeake Lodging Trust		22,153		460,561
Colonial Properties Trust		40,409		974,665
Colony Financial, Inc.		29,442		585,601
Coresite Realty Corp.		9,468		301,177
Cousins Properties, Inc.		48,771		492,587
CubeSmart (b)		60,759		970,929
CyrusOne, Inc.		8,725		180,957
CYS Investments, Inc.		79,685		733,899
DCT Industrial Trust, Inc.		132,315		946,052
DiamondRock Hospitality Co. (b)		88,852		828,101
DuPont Fabros Technology, Inc.		28,466		687,454
Dynex Capital Corp.		25,166		256,442
Eastgroup Properties, Inc. (b)		13,802		776,639
Education Realty Trust, Inc.		52,051		532,482
Ellington Residential Mortgage REIT		2,823		50,391
EPR Properties (b)		21,452		1,078,392
Equity One, Inc. (b)		27,339		618,682
Excel Trust, Inc.		21,808		279,360
FelCor Lodging Trust, Inc. (a)		56,703		335,115
First Industrial Realty Trust, Inc. (b)		49,027		743,740
First Potomac Realty Trust		26,641		347,931
Franklin Street Properties Corp.		40,952		540,566
Getty Realty Corp. (b)		11,742		242,472
Gladstone Commercial Corp.		5,613		104,626

See Notes to Financial Statements.
68	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

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

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (concluded)
Glimcher Realty Trust (b)		65,773	$	718,241
Government Properties Income Trust (b)		24,824		626,061
Gramercy Property Trust, Inc. (a)		27,071		121,820
Healthcare Realty Trust, Inc. (b)		41,159		1,049,554
Hersha Hospitality Trust		92,020		518,993
Highwoods Properties, Inc. (b)		37,407		1,332,063
Hudson Pacific Properties, Inc.		19,754		420,365
Inland Real Estate Corp.		38,723		395,749
InvesCo. Mortgage Capital, Inc.		61,707		1,021,868
Investors Real Estate Trust		45,956		395,222
iStar Financial, Inc. (a)		38,808		438,142
JAVELIN Mortgage Investment Corp.		6,078		85,639
Kite Realty Group Trust		41,353		249,359
KYTHERA Biopharmaceuticals, Inc. (a)		4,611		124,728
LaSalle Hotel Properties (b)		43,550		1,075,685
Lexington Realty Trust (b)		76,830		897,374
LTC Properties, Inc.		15,864		619,489
Medical Properties Trust, Inc.		68,520		981,206
Monmouth Real Estate Investment Corp., Class A		19,229		189,790
MPG Office Trust, Inc. (a)		26,072		81,866
National Health Investors, Inc. (b)		11,240		672,826
New Residential Investment Corp.		114,833		773,974
New York Mortgage Trust, Inc.		29,088		196,926
NorthStar Realty Finance Corp.		90,473		823,304
One Liberty Properties, Inc.		5,379		118,123
Parkway Properties, Inc.		19,766		331,278
Pebblebrook Hotel Trust		27,963		722,844
Pennsylvania Real Estate Investment Trust		31,051		586,243
PennyMac Mortgage Investment Trust (c)		28,588		601,777
Potlatch Corp.		18,500		748,140
PS Business Parks, Inc.		8,322		600,599
RAIT Financial Trust		31,976		240,460
Ramco-Gershenson Properties Trust		27,299		423,953
Redwood Trust, Inc.		37,398		635,766
Resource Capital Corp. (b)		58,108		357,364
Retail Opportunity Investments Corp.		30,332		421,615
RLJ Lodging Trust		56,380		1,267,986
Rouse Properties, Inc.		10,275		201,596
Sabra Healthcare REIT, Inc.		17,081		445,985
Saul Centers, Inc.		3,522		156,588
Select Income REIT		7,732		216,805
Silver Bay Realty Trust Corp.		7,005		116,003
Sovran Self Storage, Inc.		14,304		926,756
Spirit Realty Capital, Inc.		26,162		463,591
STAG Industrial, Inc.		19,013		379,309
Strategic Hotel Capital, Inc. (a)		82,701		732,731
Summit Hotel Properties, Inc.		29,785		281,468
Sun Communities, Inc.		16,372		814,671
Sunstone Hotel Investors, Inc. (a)		74,226		896,650
Terreno Realty Corp.		8,748		162,100
UMH Properties, Inc.		6,646		68,254
Universal Health Realty Income Trust		5,453		235,188
Urstadt Biddle Properties, Inc., Class A		11,450		230,946
Walter Investment Management Corp. (a)		16,805		568,177
Washington Real Estate Investment Trust (b)		30,345		816,584
Western Asset Mortgage Capital Corp.		10,999		192,043
Whitestone REIT		7,601		119,792
Winthrop Realty Trust		13,334		160,408
ZAIS Financial Corp.		2,535		46,061
				51,699,648
Recreational Vehicles & Boats — 0.4%
Arctic Cat, Inc.		5,996		269,700
Brunswick Corp.		41,216		1,316,851
Drew Industries, Inc.		10,410		409,321

Common Stocks	Shares		Value
Recreational Vehicles & Boats (concluded)
Marine Products Corp.		5,046	$	40,469
Winnebago Industries, Inc. (a)		12,822		269,134
				2,305,475
Rental & Leasing Services: Consumer — 0.2%
Rent-A-Center, Inc.		26,321		988,354
Restaurants — 1.6%
AFC Enterprises, Inc. (a)		10,893		391,494
Biglari Holdings, Inc. (a)		549		225,310
BJ’s Restaurants, Inc. (a)		11,236		416,856
Bob Evans Farms, Inc.		12,698		596,552
Bravo Brio Restaurant Group, Inc. (a)		8,924		159,026
Buffalo Wild Wings, Inc. (a)		8,545		838,777
Carrols Restaurant Group, Inc. (a)		10,590		68,411
CEC Entertainment, Inc.		8,113		332,958
The Cheesecake Factory, Inc.		24,296		1,017,760
Cracker Barrel Old Country Store, Inc.		8,949		847,112
Denny’s Corp. (a)		41,938		235,692
DineEquity, Inc.		7,520		517,902
Diversified Restaurant Holdings, Inc. (a)		4,700		37,412
Einstein Noah Restaurant Group, Inc.		2,873		40,797
Ellie Mae, Inc. (a)		11,983		276,568
Fiesta Restaurant Group, Inc. (a)		9,029		310,507
Ignite Restaurant Group, Inc. (a)		3,241		61,158
Jack in the Box, Inc. (a)		20,257		795,898
Jamba, Inc. (a)		7,653		114,259
Krispy Kreme Doughnuts, Inc. (a)		29,845		520,795
Luby’s, Inc. (a)		9,132		77,165
Nathan’s Famous, Inc. (a)		1,242		64,895
Papa John’s International, Inc. (a)		7,298		477,070
Red Robin Gourmet Burgers, Inc. (a)		6,455		356,187
Ruby Tuesday, Inc. (a)		27,797		256,566
Ruth’s Hospitality Group, Inc.		16,374		197,634
Sonic Corp. (a)(b)		25,615		372,954
Texas Roadhouse, Inc., Class A		28,455		711,944
				10,319,659
Scientific Instruments: Control & Filter — 0.5%
Brady Corp.		21,046		646,744
CIRCOR International, Inc.		8,003		407,033
Energy Recovery, Inc. (a)		20,282		83,765
ESCO Technologies, Inc.		12,038		389,790
The Gorman-Rupp Co.		6,882		219,123
Mine Safety Appliances Co.		12,917		601,286
PMFG, Inc. (a)		9,476		65,574
Sun Hydraulics, Inc.		9,762		305,355
Thermon Group Holdings, Inc. (a)		12,276		250,430
Watts Water Technologies, Inc., Class A		12,996		589,239
				3,558,339
Scientific Instruments: Electrical — 0.6%
American Superconductor Corp. (a)		20,039		52,903
AZZ, Inc.		11,609		447,643
Coleman Cable, Inc.		3,927		70,922
EnerSys		21,921		1,075,006
Franklin Electric Co., Inc.		21,600		726,840
GrafTech International Ltd. (a)		52,987		385,745
Houston Wire & Cable Co.		8,168		113,045
Littelfuse, Inc.		10,067		751,099
Preformed Line Products Co.		1,156		76,654
Taser International, Inc. (a)		23,464		199,913
				3,899,770
Scientific Instruments: Gauges & Meters — 0.3%
Badger Meter, Inc.		6,555		292,025
Faro Technologies, Inc. (a)		7,786		263,322
Itron, Inc. (a)		17,958		761,958

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	69

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

Common Stocks	Shares		Value
Scientific Instruments: Gauges & Meters (concluded)
Measurement Specialties, Inc. (a)		7,051	$	328,083
Mesa Laboratories, Inc.		1,185		64,144
Vishay Precision Group, Inc. (a)		5,592		84,663
Zygo Corp. (a)		7,533		119,097
				1,913,292
Scientific Instruments: Pollution Control — 0.3%
ADA-ES, Inc. (a)		4,582		192,994
Ceco Environmental Corp.		4,543		55,879
Darling International, Inc. (a)		53,879		1,005,382
Heritage-Crystal Clean, Inc. (a)		3,918		57,242
Met-Pro Corp.		6,748		90,693
Team, Inc. (a)(b)		9,367		354,541
TRC Cos., Inc. (a)		7,277		50,939
US Ecology, Inc.		8,420		231,045
				2,038,715
Securities Brokerage & Services — 0.4%
BGC Partners, Inc.		57,817		340,542
FXCM, Inc.		16,591		272,258
Gain Capital Holdings, Inc.		5,224		32,964
GFI Group, Inc.		31,905		124,749
Gladstone Investment Corp.		12,189		89,589
International FCStone, Inc. (a)(b)		6,311		110,127
Investment Technology Group, Inc. (a)		16,985		237,450
Knight Capital Group, Inc., Class A (a)		85,286		306,177
Ladenburg Thalmann Financial Services, Inc. (a)		47,161		77,816
MarketAxess Holdings, Inc.		17,099		799,378
SWS Group, Inc. (a)		13,154		71,689
				2,462,739
Semiconductors & Components — 2.3%
Aeroflex Holding Corp. (a)		8,981		70,860
Alpha & Omega Semiconductor Ltd. (a)		7,846		59,943
Amkor Technology, Inc. (a)		29,180		122,848
Anadigics, Inc. (a)		37,661		82,854
Applied Micro Circuits Corp. (a)		30,834		271,339
Audience, Inc. (a)		4,310		56,935
Cavium, Inc. (a)(b)		23,376		826,809
Ceva, Inc. (a)(b)		10,094		195,420
Cirrus Logic, Inc. (a)		28,889		501,513
Cypress Semiconductor Corp.		66,874		717,558
Diodes, Inc. (a)		16,352		424,661
DSP Group, Inc. (a)		9,061		75,297
Entropic Communications, Inc. (a)		40,866		174,498
Exar Corp. (a)		17,429		187,710
Formfactor, Inc. (a)		24,418		164,822
GT Advanced Technologies, Inc. (a)		54,521		226,262
Hittite Microwave Corp. (a)		14,353		832,474
Inphi Corp. (a)		11,815		129,965
Integrated Device Technology, Inc. (a)		60,112		477,289
Integrated Silicon Solutions, Inc. (a)		12,802		140,310
Intermolecular, Inc. (a)		7,730		56,197
International Rectifier Corp. (a)		31,629		662,311
Intersil Corp., Class A		57,993		453,505
IXYS Corp.		11,055		122,268
Kopin Corp. (a)		30,346		112,584
Lattice Semiconductor Corp. (a)		52,779		267,590
M/A-COM Technology Solutions Holdings, Inc. (a)		4,714		68,824
MaxLinear, Inc., Class A (a)		10,479		73,353
Micrel, Inc.		21,297		210,414
Microsemi Corp. (a)		42,273		961,711
Mindspeed Technologies, Inc. (a)		19,567		63,397
Monolithic Power Systems, Inc.		16,719		403,095
MoSys, Inc. (a)		21,228		85,337
Omnivision Technologies, Inc. (a)		24,574		458,305
Pericom Semiconductor Corp. (a)		10,405		74,084

Common Stocks	Shares		Value
Semiconductors & Components (concluded)
PLX Technology, Inc. (a)		20,657	$	98,327
PMC-Sierra, Inc. (a)		92,674		588,480
Power Integrations, Inc.		13,202		535,473
Rambus, Inc. (a)		50,911		437,326
RF Micro Devices, Inc. (a)		128,200		685,870
Rubicon Technology, Inc. (a)(b)		8,094		64,833
Semtech Corp. (a)		30,674		1,074,510
Sigma Designs, Inc. (a)		13,970		70,549
Silicon Image, Inc. (a)		35,267		206,312
Spansion, Inc., Class A (a)		21,549		269,794
SunEdison, Inc. (a)(b)		105,654		863,193
Supertex, Inc.		4,508		107,786
TriQuint Semiconductor, Inc. (a)		74,421		515,738
Volterra Semiconductor Corp. (a)		11,406		161,053
				15,491,586
Semiconductors & Semiconductor Equipment — 0.0%
Ambarella, Inc. (a)		8,403		141,422
Shipping — 0.5%
Frontline Ltd. (a)(b)		23,906		42,314
GasLog Ltd.		11,967		153,178
Gulfmark Offshore, Inc., Class A		12,164		548,475
International Shipholding Corp.		2,471		57,648
Knightsbridge Tankers Ltd.		11,211		82,513
Matson, Inc.		19,365		484,125
Nordic American Tankers Ltd.		29,991		227,032
Scorpio Tankers, Inc.		73,907		663,685
Ship Finance International Ltd.		23,274		345,386
Teekay Tankers Ltd., Class A		28,493		74,936
Ultrapetrol Bahamas Ltd. (a)		9,342		26,625
UTI Worldwide, Inc.		41,179		678,218
				3,384,135
Software — 0.3%
Comverse, Inc. (a)		10,123		301,260
FleetMatics Group Plc (a)		7,428		246,832
Fusion-io, Inc. (a)		34,618		492,960
Model N, Inc. (a)		3,657		85,427
Qualys, Inc. (a)		6,747		108,762
Rally Software Development Corp. (a)		3,119		77,414
Trulia, Inc. (a)		10,908		339,130
Vringo, Inc. (a)		30,410		96,400
				1,748,185
Specialty Retail — 3.4%
1-800-FLOWERS.COM, Inc., Class A (a)		11,769		72,850
America’s Car-Mart, Inc. (a)(b)		3,663		158,388
ANN, Inc. (a)		21,495		713,634
Asbury Automotive Group, Inc. (a)(b)		14,180		568,618
Aéropostale, Inc. (a)		35,770		493,626
Barnes & Noble, Inc. (a)		18,377		293,297
bebe Stores, Inc.		15,899		89,193
Big 5 Sporting Goods Corp.		7,687		168,730
Blue Nile, Inc. (a)(b)		5,651		213,495
Body Central Corp. (a)		7,452		99,261
Brown Shoe Co., Inc.		19,715		424,464
The Buckle, Inc.		12,743		662,891
The Cato Corp., Class A		12,566		313,647
The Children’s Place Retail Stores, Inc. (a)		10,523		576,660
Christopher & Banks Corp. (a)		16,435		110,772
Citi Trends, Inc. (a)		6,996		101,652
Conn’s, Inc. (a)		10,223		529,142
Destination Maternity Corp.		6,181		152,053
Destination XL Group, Inc. (a)(b)		19,233		121,937
Express, Inc. (a)		38,901		815,754
The Finish Line, Inc., Class A		22,433		490,385
Five Below, Inc. (a)		14,924		548,606

See Notes to Financial Statements.
70	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

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

Common Stocks	Shares		Value
Specialty Retail (concluded)
Francesca’s Holdings Corp. (a)		20,042	$	556,967
Genesco, Inc. (a)		10,936		732,603
Group 1 Automotive, Inc.		9,899		636,803
Haverty Furniture Cos., Inc.		9,005		207,205
hhgregg, Inc. (a)		5,856		93,520
Hibbett Sports, Inc. (a)		11,837		656,953
Jos. A. Bank Clothiers, Inc. (a)		12,733		526,128
Lithia Motors, Inc., Class A		10,105		538,698
Lumber Liquidators Holdings, Inc. (a)		12,521		975,010
MarineMax, Inc. (a)		10,588		119,962
Mattress Firm Holding Corp. (a)		6,106		246,072
The Men’s Wearhouse, Inc.		22,903		866,879
Monro Muffler Brake, Inc.		14,253		684,857
New York & Co. (a)		13,122		83,325
Office Depot, Inc. (a)		112,184		434,152
OfficeMax, Inc.		39,652		405,640
Pacific Sunwear of California, Inc. (a)		20,814		75,971
Penske Automotive Group, Inc.		19,231		587,315
The Pep Boys—Manny, Moe & Jack (a)		24,221		280,479
Pier 1 Imports, Inc.		43,201		1,014,791
RadioShack Corp. (b)		45,456		143,641
Regis Corp.		21,642		355,362
Restoration Hardware Holdings, Inc. (a)		8,051		603,825
Rue21, Inc. (a)		6,689		278,329
Shoe Carnival, Inc.		6,798		163,220
Shutterfly, Inc. (a)		17,304		965,390
Sonic Automotive, Inc.		17,745		375,129
Stage Stores, Inc.		14,914		350,479
Stamps.com, Inc. (a)		5,966		235,001
Stein Mart, Inc.		12,667		172,905
Systemax, Inc.		4,911		46,212
Tilly’s, Inc., Class A (a)		4,434		70,944
Vitamin Shoppe, Inc. (a)(b)		13,814		619,420
The Wet Seal, Inc., Class A (a)		40,663		191,523
Zale Corp. (a)		14,750		134,225
Zumiez, Inc. (a)(b)		9,632		276,920
				22,424,910
Steel — 0.1%
AK Steel Holding Corp. (b)		62,223		189,158
Carbonite, Inc. (a)		5,453		67,563
Handy & Harman Ltd. (a)		2,444		43,699
Olympic Steel, Inc.		4,109		100,670
Schnitzer Steel Industries, Inc., Class A		11,664		272,704
Shiloh Industries, Inc.		2,791		29,138
TMS International Corp., Class A		6,398		94,882
Universal Stainless & Alloy Products, Inc. (a)		3,127		92,184
				889,998
Synthetic Fibers & Chemicals — 0.0%
Zoltek Cos., Inc. (a)		12,558		162,124
Technology: Miscellaneous — 0.3%
Acorn Energy, Inc. (b)		8,237		69,520
Benchmark Electronics, Inc. (a)		24,733		497,134
CTS Corp.		15,294		208,610
Fabrinet (a)		12,837		179,718
Hutchinson Technology, Inc. (a)		10,603		50,152
Pendrell Corp. (a)		73,904		193,629
Plexus Corp. (a)		15,526		464,072
Vocus, Inc. (a)		8,587		90,335
				1,753,170
Telecommunications Equipment — 0.2%
ARRIS Group, Inc. (a)		53,016		760,779
CalAmp Corp. (a)		16,013		233,790
Inteliquent, Inc.		14,839		85,324
Symmetricom, Inc. (a)		18,663		83,797

Common Stocks	Shares		Value
Telecommunications Equipment (concluded)
Tessco Technologies, Inc.		2,487	$	65,657
Ubiquiti Networks, Inc.		5,721		100,346
Vocera Communications, Inc. (a)		9,558		140,503
				1,470,196
Textile Products — 0.1%
Culp, Inc.		3,739		65,021
Interface, Inc.		27,036		458,801
Unifi, Inc. (a)		6,763		139,791
				663,613
Textiles Apparel & Shoes — 1.3%
American Apparel, Inc. (a)		26,122		50,154
Columbia Sportswear Co.		5,853		366,691
Crocs, Inc. (a)		40,154		662,541
Fifth & Pacific Cos., Inc. (a)(b)		54,660		1,221,104
G-III Apparel Group Ltd. (a)		7,645		367,877
Iconix Brand Group, Inc. (a)		25,971		763,807
The Jones Group, Inc.		36,489		501,724
Maidenform Brands, Inc. (a)		10,589		183,507
Oxford Industries, Inc.		6,137		382,949
Perry Ellis International, Inc.		5,602		113,777
Quiksilver, Inc. (a)(b)		60,464		389,388
R.G. Barry Corp.		4,416		71,716
Skechers U.S.A., Inc., Class A (a)		17,601		422,600
Steven Madden Ltd. (a)		18,264		883,612
True Religion Apparel, Inc.		11,891		376,469
Tumi Holdings, Inc. (a)		21,753		522,072
Vera Bradley, Inc. (a)		9,818		212,658
Weyco Group, Inc.		2,938		74,038
Wolverine World Wide, Inc.		22,836		1,247,074
				8,813,758
Tobacco — 0.2%
Alliance One International, Inc. (a)		39,751		151,054
Star Scientific, Inc. (a)(b)		75,625		105,119
Universal Corp.		10,622		614,483
Vector Group Ltd.		27,371		443,957
				1,314,613
Toys — 0.1%
Jakks Pacific, Inc.		8,765		98,606
Leapfrog Enterprises, Inc. (a)		28,964		285,006
				383,612
Transportation Miscellaneous — 0.3%
Echo Global Logistics, Inc. (a)(b)		8,033		156,563
HUB Group, Inc., Class A (a)(b)		16,835		613,131
Odyssey Marine Exploration, Inc. (a)		36,335		107,552
Pacer International, Inc. (a)		16,108		101,641
Textainer Group Holdings Ltd.		9,669		371,676
Wesco Aircraft Holdings, Inc. (a)(b)		18,674		346,776
XPO Logistics, Inc. (a)(b)		8,250		149,243
				1,846,582
Truckers — 0.6%
Arkansas Best Corp.		11,729		269,181
Celadon Group, Inc.		9,175		167,444
Forward Air Corp.		13,725		525,393
Heartland Express, Inc.		21,075		292,310
Knight Transportation, Inc.		26,799		450,759
Marten Transport Ltd.		10,718		167,943
Patriot Transportation Holding, Inc. (a)		2,955		88,768
Quality Distribution, Inc. (a)(b)		9,627		85,103
Roadrunner Transportation Systems, Inc. (a)		8,005		222,859
Saia, Inc. (a)		11,083		332,142
Swift Transportation Co. (a)		38,179		631,481
Universal Truckload Services, Inc. (a)		2,481		59,817

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	71

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

Common Stocks	Shares		Value
Truckers (concluded)
Werner Enterprises, Inc.		20,790	$	502,494
YRC Worldwide, Inc. (a)		4,281		123,079
				3,918,773
Utilities: Electrical — 1.8%
Allete, Inc.		18,149		904,728
Atlantic Power Corp.		54,660		215,360
Avista Corp.		27,296		737,538
Black Hills Corp.		20,272		988,260
Cleco Corp.		27,555		1,279,379
El Paso Electric Co.		18,339		647,550
The Empire District Electric Co.		19,479		434,576
Genie Energy Ltd.		5,984		54,754
IDACORP, Inc.		22,887		1,093,083
MGE Energy, Inc.		10,546		577,499
NorthWestern Corp.		17,217		686,958
Otter Tail Corp.		16,551		470,048
Pike Electric Corp.		11,791		145,029
PNM Resources, Inc.		36,296		805,408
Portland General Electric Co.		34,489		1,055,019
UIL Holdings Corp.		23,118		884,264
Unitil Corp.		6,318		182,464
UNS Energy Corp.		18,870		844,055
				12,005,972
Utilities: Gas Distributors — 1.0%
Chesapeake Utilities Corp.		4,403		226,711
Delta Natural Gas Co., Inc.		3,149		66,916
The Laclede Group, Inc.		14,894		680,060
New Jersey Resources Corp.		19,057		791,437
Northwest Natural Gas Co.		12,281		521,697
Piedmont Natural Gas Co.		34,460		1,162,681
South Jersey Industries, Inc.		14,585		837,325
Southwest Gas Corp.		21,118		988,111
WGL Holdings, Inc.		23,574		1,018,868
				6,293,806
Utilities: Miscellaneous — 0.0%
Ormat Technologies, Inc.		8,046		189,242
Utilities: Telecommunications — 0.9%
8x8, Inc. (a)		32,946		271,475
Atlantic Tele-Network, Inc.		4,227		209,913
Boingo Wireless, Inc. (a)		8,322		51,680
Cbeyond, Inc. (a)		12,536		98,282
Cincinnati Bell, Inc. (a)(b)		95,363		291,811
Cogent Communications Group, Inc.		21,521		605,816
Consolidated Communications Holdings, Inc.		18,637		324,470
Fairpoint Communications, Inc. (a)(b)		9,769		81,571
General Communication, Inc., Class A (a)		14,721		115,265
Hawaiian Telcom HoldCo, Inc. (a)(b)		4,835		121,649
HickoryTech Corp.		6,620		70,371
IDT Corp., Class B		7,132		133,297
inContact, Inc. (a)		24,448		200,963
Iridium Communications, Inc. (a)		29,004		225,071
j2 Global, Inc.		20,906		888,714
Leap Wireless International, Inc. (a)		24,615		165,659
Lumos Networks Corp.		7,179		122,761
magicJack VocalTec Ltd. (a)(b)		8,444		119,820
NII Holdings, Inc. (a)		78,247		521,907
NTELOS Holdings Corp.		7,167		117,969
ORBCOMM, Inc. (a)		16,529		74,215
Premiere Global Services, Inc. (a)		21,965		265,117
Primus Telecommunications Group, Inc. (a)		5,606		66,936
Shenandoah Telecom Co.		11,067		184,598
Towerstream Corp. (a)		30,020		76,551
USA Mobility, Inc.		10,022		135,998

Common Stocks	Shares		Value
Utilities: Telecommunications (concluded)
Vonage Holdings Corp. (a)		49,566	$	140,272
West Corp.		9,655		213,762
				5,895,913
Utilities: Water — 0.3%
American States Water Co.		8,800		472,296
Artesian Resources Corp., Class A		3,484		77,624
California Water Service Group		21,826		425,825
Connecticut Water Service, Inc.		4,948		142,008
Consolidated Water Co., Inc.		6,763		77,301
Middlesex Water Co.		7,260		144,619
Pure Cycle Corp. (a)		7,618		42,585
SJW Corp.		7,052		184,762
York Water Co.		5,972		113,647
				1,680,667
Total Common Stocks — 97.2%				640,991,890
Investment Companies
Asset Management & Custodian — 0.3%
BlackRock Kelso Capital Corp. (c)		33,896		317,267
Firsthand Technology Value Fund, Inc. (a)		3,888		77,216
Gladstone Capital Corp.		9,667		78,979
Hercules Technology Growth Capital, Inc.		28,135		392,202
Pennantpark Investment Corp.		30,391		335,820
Prospect Capital Corp.		110,764		1,196,251
Total Investment Companies — 0.3%				2,397,735
Other Interests (e) — 0.0%
Machinery: Industrial — 0.0%
Gerber Scientific, Inc.		12,866		—
Rights — 0.0%
Auto Parts — 0.0%
Federal-Mogul Corp. (Expires 12/27/14) (a)		8,695		1,478
Warrants (f) — 0.0%
Oil: Crude Producers — 0.0%
Magnum Hunter Resources Corp. (Issued 8/31/12, 1 share for 1 warrant, Expires 10/14/13, Strike Price $10.50)		5,700		—
Total Long-Term Investments (Cost – $464,231,976) — 97.5%				643,391,103
Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.05% (c)(g)		22,342,449		22,342,449
	Beneficial Interest (000)
BlackRock Liquidity Series, LLC     Money Market Series, 0.21% (c)(g)(h)	$	76,754		76,754,416
Total Short-Term Securities (Cost — $99,096,865) — 15.0%				99,096,865
Total Investments (Cost — $563,328,841*) — 112.5%				742,487,968
Liabilities in Excess of Other Assets —(12.5)%				(82,237,050	)
Net Assets — 100.0%			$	660,250,918

See Notes to Financial Statements.
72	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

Schedule of Investments (continued) Master Small Cap Index Series

Notes to Schedule of investments

* As of June 30, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	581,429,921
Gross unrealized appreciation	$	193,754,726
Gross unrealized depreciation		(32,696,679	)
Net unrealized appreciation	$	161,058,047

(a) Non-income producing security.

(b) Security, or a portion of security, is on loan.

(c) Investments in issuers considered to be an affiliate of the Series during the six months ended June 30, 2013, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

	Shares/								Shares/
	Beneficial		Shares/						Beneficial
	Interest Held		Beneficial						Interest Held		Value
	at December 31,		Interest			Shares			at June 30,		at June 30,				Realized
Affiliate	2012		Purchased			Sold			2013		2013		Income		Loss
BlackRock Kelso Capital Corp.		24,999		10,688			(1,791	)		33,896	$	317,267	$	15,490	$	(1,010	)
BlackRock Liquidity Funds, Temp Fund, Institutional Class		20,512,415		1,830,034	1		—			22,342,449	$	22,342,449	$	9,180		—
BlackRock Liquidity Series LLC, Money Market Series	$	36,877,998	$	39,876,418	1		—		$	76,754,416	$	76,754,416	$	510,502		—
PennyMac Financial Services, Inc.		—		5,696			—			5,696	$	121,154		—		—
PennyMac Mortgage Investment Trust		27,689		899			—			28,588	$	601,777	$	32,592		—

¹  Represents net shares/beneficial interest purchased.

(d) All or a portion of security has been pledged in connection with open financial futures contracts.

(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 June 30, 2013 were as follows:

Contracts Purchased	Issue		Exchange		Expiration		Notional Value		Unrealized Appreciation
179		Russell 2000 E-Mini		ICE Futures US Indices		September 2013	$	17,447,130	$	111,576

• 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 or 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 fair value hierarchy classification 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 those securities. For information about the Series’ policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	73

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 June 30, 2013:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments1	$	643,391,103		—		—	$	643,391,103
Short-Term Securities		22,342,449	$	76,754,416		—		99,096,865
Total	$	665,733,552	$	76,754,416		—	$	742,487,968

¹  See above Schedule of Investments for values in each industry.

	Level 1		Level 2		Level 3		Total
Derivative Financial Instruments2
Assets:
Equity contracts	$	111,576		—		—	$	111,576

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/or liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of June 30, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	638,202		—			—	$	638,202
Cash pledged for financial futures contracts		886,000		—			—		886,000
Liabilities:
Collateral on securities loaned at value		—	$	(76,754,416	)		—		(76,754,416	)
Total	$	1,524,202	$	(76,754,416	)		—	$	(75,230,214	)

There were no transfers between levels during the six months ended June 30, 2013.

See Notes to Financial Statements.
74	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

Statements of Assets and Liabilities

	Master		Master
	International		Small Cap
June 30, 2013 (Unaudited)	Index Series		Index Series
Assets
Investments at value — unaffiliated1,2	$	815,669,615	$	642,350,905
Investments at value — affiliated3		4,365,311		100,137,063
Cash		—		638,202
Cash pledged for financial futures contracts		840,000		886,000
Foreign currency at value4		5,547,756		—
Dividends receivable		5,320,486		845,993
Investments sold receivable		38,326		58,170,380
Contributions receivable from investors		462,432		—
Variation margin receivable		185,038		—
Securities lending income receivable — affiliated		—		62,683
Prepaid expenses		965		814
Total assets		832,429,929		803,092,040
Liabilities
Collateral on securities loaned at value		—		76,754,416
Investments purchased payable		—		57,713,478
Unrealized depreciation on foreign currency exchange contracts		12,138		—
Other affiliates payable		7,083		5,236
Investment advisory fees payable		6,827		4,368
Directors’ fees payable		5,288		357
Variation margin payable		—		43,736
Withdrawals payable to investors		—		8,168,415
Other accrued expenses payable		61,253		151,116
Total liabilities		92,589		142,841,122
Net Assets	$	832,337,340	$	660,250,918
Net Assets Consist of
Investors’ capital	$	671,062,911	$	480,980,215
Net unrealized appreciation/depreciation		161,274,429		179,270,703
Net Assets	$	832,337,340	$	660,250,918
1 Investments at cost — unaffiliated	$	654,241,039	$	463,238,753
2 Securities loaned at value		—	$	74,337,068
3 Investments at cost — affiliated	$	4,365,311	$	100,090,088
4 Foreign currency at cost	$	5,699,287		—

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	75

Statements of Operations

	Master			Master
	International			Small Cap
Six Months Ended June 30, 2013 (Unaudited)	Index Series			Index Series
Investment Income
Dividends — unaffiliated	$	19,017,063		$	3,967,275
Foreign taxes withheld		(1,511,921	)		(6,078	)
Securities lending — affiliated — net		—			510,502
Dividends — affiliated		1,102			57,262
Total income		17,506,244			4,528,961
Expenses
Investment advisory		41,730			32,538
Accounting services		73,605			60,185
Custodian		52,216			73,515
Professional		29,866			31,745
Directors		13,738			8,642
Printing		2,352			1,671
Miscellaneous		5,146			3,681
Total expenses		218,653			211,977
Less fees waived and/or reimbursed by Manager		(894	)		(7,827	)
Total expenses after fees waived and/or reimbursed		217,759			204,150
Net investment income		17,288,485			4,324,811
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated		(4,442,906	)		21,663,604
Investments — affiliated		—			(1,010	)
Financial futures contracts		636,951			3,396,796
Foreign currency transactions		(768,351	)		(127	)
		(4,574,306	)		25,059,263
Net change in unrealized appreciation/depreciation on:
Investments		14,038,018			65,332,033
Financial futures contracts		(161,546	)		(306,471	)
Foreign currency translations		(300,486	)		5
		13,575,986			65,025,567
Total realized and unrealized gain		9,001,680			90,084,830
Net Increase in Net Assets Resulting from Operations	$	26,290,165		$	94,409,641

See Notes to Financial Statements.
76	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

Statements of Changes in Net Assets

	Master International Index Series						Master Small Cap Index Series
	Six Months Ended						Six Months Ended
	June 30,			Year Ended			June 30,			Year Ended
	2013			December 31,			2013			December 31,
Increase (Decrease) in Net Assets:	(Unaudited)			2012			(Unaudited)			2012
Operations
Net investment income	$	17,288,485		$	22,971,640		$	4,324,811		$	10,865,791
Net realized gain (loss)		(4,574,306	)		(61,304,658	)		25,059,263			7,464,862
Net change in unrealized appreciation/depreciation		13,575,986			182,573,315			65,025,567			65,437,618
Net increase in net assets resulting from operations		26,290,165			144,240,297			94,409,641			83,768,271
Capital Transactions
Proceeds from contributions		133,752,779			279,030,661			107,183,969			389,096,894
Value of withdrawals		(85,849,233	)		(520,908,247	)		(123,113,984	)		(420,147,450	)
Net increase (decrease) in net assets derived from capital transactions		47,903,546			(241,877,586	)		(15,930,015	)		(31,050,556	)
Net Assets
Total increase (decrease) in net assets		74,193,711			(97,637,289	)		78,479,626			52,717,715
Beginning of period		758,143,629			855,780,918			581,771,292			529,053,577
End of period	$	832,337,340		$	758,143,629		$	660,250,918		$	581,771,292

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013	77

Financial Highlights Master International Index Series

	Six Months Ended June 30, 2013 (Unaudited)
				Year Ended December 31,
				2012			2011			2010			2009			2008
Total Investment Return
Total investment return		3.42	%1		19.01	%		(12.34	)%		7.66	%		28.99	%		(41.94	)%
Ratios to Average Net Assets
Total expenses		0.05	%2		0.06	%		0.08	%		0.11	%		0.09	%		0.11	%
Total expenses after fees waived and/or reimbursed		0.05	%2		0.06	%		0.08	%		0.10	%		0.09	%		0.10	%
Net investment income		4.15	%2		3.36	%		3.38	%		2.73	%		2.98	%		3.54	%
Supplemental Data
Net assets, end of period (000)	$	832,337		$	758,144		$	855,781		$	922,700		$	749,280		$	706,119
Portfolio turnover		3	%		21	%		6	%		8	%		30	%		30	%

Master Small Cap Index Series

	Six Months Ended June 30, 2013 (Unaudited)
				Year Ended December 31,
				2012			2011			2010			2009			2008
Total Investment Return
Total investment return		15.99	%1		16.52	%		(4.30	)%		27.19	%		27.37	%		(33.57	)%
Ratios to Average Net Assets
Total expenses		0.07	%2		0.14	%		0.09	%		0.12	%		0.09	%		0.08	%
Total expenses after fees waived and/or reimbursed and fees paid indirectly		0.06	%2		0.08	%		0.07	%		0.08	%		0.07	%		0.07	%
Net investment income		1.33	%2		2.13	%		1.46	%		1.27	%		1.27	%		1.60	%
Supplemental Data
Net assets, end of period (000)	$	660,251		$	581,771		$	529,054		$	338,172		$	229,637		$	344,720
Portfolio turnover		18	%		68	%		31	%		42	%		43	%		42	%

¹  Aggregate total investment return.

²  Annualized.

See Notes to Financial Statements.
78	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2013

Notes to Financial Statements (Unaudited) Quantitative Master Series LLC

1. Organization:

Master International Index Series (“Master International Index”) and Master Small Cap Index Series (“Master Small Cap Index”) (collectively, the “Series” or individually, a “Series”) are non-diversified and diversified, respectively, open-end management investment companies. Each 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.

2. Significant Accounting Policies:

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 determine the fair values of their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The Black-Rock 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 (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security. Financial futures contracts traded on exchanges are valued at their last sale price. Investments in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

Master Small Cap Index values its investments in BlackRock Liquidity Series, LLC Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments will follow the parameters of investments by a money market fund

that is subject to Rule 2a-7 under the 1940 Act. The Fund may withdraw up to 25% of its investment daily, although the manager of the Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

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.

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 deems 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. The 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

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013 79

Notes to Financial Statements (continued) Quantitative Master Series LLC

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 by the Global Valuation Committee, or its delegate, using a pricing service and/ or policies approved by the Board. Each business day, the Series use 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 do 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 Statements 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 report 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 are 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 are classified as partnerships 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 file 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.

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 have 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 Statements 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.

3. Securities and Other Investments:

Securities Lending: Master Small Cap Index 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 Master Small Cap Index should 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 Master Small Cap Index and any additional required collateral is delivered to Master Small Cap Index on the next business day. Securities lending income, as disclosed in the Statements of Operations, represents the income earned from the investment of the cash collateral,

80 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013

Notes to Financial Statements (continued) Quantitative Master Series LLC

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, Master Small Cap Index 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 market value of securities on loan and the value of the related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value, and collateral on securities loaned at value, respectively. The cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedule of Investments.

Securities lending transactions are entered into by Master Small Cap Index Series under Master Securities Lending Agreements (“MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, Master Small Cap Index, as lender, would offset the market value of the collateral received against the market value of the securities loaned. The value of the collateral is typically greater than that of the market value of the securities loaned, leaving the lender with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, Master Small Cap Index can reinvest cash collateral, or, upon an event of default, resell or repledge the collateral, and the borrower can resell or repledge the loaned securities.

The following table is a summary of Master Small Cap Index’s open securities lending agreements by counterparty which are subject to offset under a MSLA as of June 30, 2013:

	Securities		Cash
	Loaned at		Collateral			Net
Counterparty	Value		Received1			Amount
Barclays Capital, Inc.	$	746,900	$	(746,900	)		—
BNP Paribas S.A.		147,974		(147,974	)		—
Citigroup Global Markets, Inc.		1,078,035		(1,078,035	)		—
Credit Suisse Securities (USA) LLC		20,211,469		(20,211,469	)		—
Deutsche Bank Securities, Inc.		727,372		(727,372	)		—
Goldman Sachs & Co.		1,285,768		(1,285,768	)		—
J.P. Morgan Securities LLC		1,349,789		(1,349,789	)		—
Merrill Lynch, Pierce, Fenner & Smith Inc.		1,488,545		(1,488,545	)		—
Morgan Stanley		46,228,255		(46,228,255	)		—
SG Americas Securities LLC		301,629		(301,629	)		—
UBS Securities LLC		771,332		(771,332	)		—
Total	$	74,337,068	$	(74,337,068	)		—

¹  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. Collateral with a value of $76,754,416 has been received in connection with securities lending transactions.

The risks of securities lending also 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 Fund benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of securities lent. The Fund 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 six months ended June 30, 2013, any securities on loan were collateralized by cash.

4. Derivative Financial Instruments:

The Series engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Series and/or to economically hedge, their exposure to certain risks such as equity risk or foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: The Series purchase and/or sell 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 a 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. Upon entering into a financial futures contract, the Series are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is recorded on the Statement of Assets and Liabilities as cash pledged for financial futures contracts. 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 record 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 enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to or hedge exposure away from 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 record 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

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013 81

Notes to Financial Statements (continued) Quantitative Master Series LLC

value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

The following is a summary of the Series’ derivative financial instruments categorized by risk exposure:

Fair Values of Derivative Financial Instruments as of June 30, 2013

	Derivative Assets
	Statements of Assets and
	Liabilities Location	Value
		Master		Master
		International		Small
		Index		Cap Index
Equity contracts	Net unrealized appreciation/ depreciation1	$	81,475	$	111,576

	Derivative Liabilities
	Statement of Assets and
	Liabilities Location	Value
		Master
		International
		Index
Equity contracts	Net unrealized appreciation/ depreciation1	$	(123,919	)
Foreign currency exchange contracts	Unrealized appreciation on foreign currency exchange contracts		(12,138	)
Total		$	(136,057	)

¹  Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

The Effect of Derivative Financial Instruments in the Statements of Operations

Six Months Ended June 30, 2013

	Net Realized Gain (Loss) From
	Master			Master
	International			Small Cap
	Index			Index
Equity contracts:
Financial futures contracts	$	636,951		$	3,396,796
Foreign currency exchange contracts:
Foreign currency transactions		(159,238	)		(29	)
Total	$	(477,713	)	$	3,396,767

	Net Change in Unrealized
	Appreciation/
	Depreciation on
	Master			Master
	International			Small Cap
	Index			Index
Equity contracts:
Financial futures contracts	$	(161,546	)	$	(306,471	)
Foreign currency exchange contracts:
Foreign currency translations		(12,923	)		—
Total	$	(174,469	)	$	(306,471	)

For the six months ended June 30, 2013, the average quarterly balances of outstanding derivative financial instruments were as follows:

	Master		Master
	International		Small Cap
	Index		Index
Financial futures contracts:
Average number of contracts purchased		187		171
Average notional value of contracts purchased	$	10,742,299	$	16,409,655
Foreign currency exchange contracts:
Average number of contracts – US dollars purchased		2		—
Average number of contracts – US dollars sold		2		—
Average US dollar amounts purchased	$	155,235		—
Average US dollar amounts sold	$	1,050,000		—

Counterparty Credit Risk: A derivative contract may suffer a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

With exchange traded futures, there is less counterparty credit risk to the Series since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Series does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Series.

In order to better define its contractual rights and to secure rights that will help the Series mitigate its counterparty risk, the Series may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Series and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Series may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net

82 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013

Notes to Financial Statements (continued) Quantitative Master Series LLC

payment in the event of default (close-out netting) including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a 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 counter-party.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Series and the counterparty.

Cash collateral that has been pledged to cover obligations of the Series and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Series, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $500,000) before a transfer is required, which is determined at the close of business of the Series and additional required collateral is delivered to/pledged by the Series on the next business day. 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. The Series attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Series do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

At June 30, 2013, the Funds’ derivative assets and liabilities (by type) on a gross basis are as follows:

	Master				Master
	International				Small Cap
	Index				Index
	Assets		Liabilities		Assets		Liabilities
Derivative Financial Instruments:
Financial futures contracts	$	185,038		—		—	$	43,736
Foreign currency exchange contracts		—	$	12,138		—		—
Total derivative assets and liabilities in the Statements of Assets and Liabilities		185,038		12,138		—		43,736
Derivatives not subject to a master netting agreement or similar agreement (“MNA”)		185,038		12,138		—		43,736
Total assets and liabilities subject to a MNA		—		—		—		—

5. 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 Black-Rock, to provide investment advisory and administration services. The Manager is responsible for the management of the Series’ portfolios and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Series. For such services, the Series pay 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% for Master International Index and 0.08% for Master Small Cap Index.

The Manager has agreed not to reduce or discontinue this contractual waiver or reimbursement prior to May 1, 2014 unless approved by the Board, including a majority of the Independent Directors. For the six months ended June 30, 2013, Master Small Cap Index, waived $387, which is included in fees waived and/or reimbursed by Manager in the Statements of Operations.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pay 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. These amounts are included in fees waived and/or reimbursed by Manager in the Statements of Operations. For the six months ended June 30, 2013, the amounts waived for Master International Index and Master Small Cap Index, were $894 and $7,440, respectively.

The Manager entered into a sub-advisory agreement with BIM, an affiliate of the Manager, with respect to each Series. The Manager pays BIM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Series to the Manager.

For the six months ended June 30, 2013, Master International Index and Master Small Cap Index reimbursed the Manager $2,538 and $1,703, respectively, for certain accounting services, which are included in accounting services in the Statements of Operations.

The Master LLC, on behalf of Master Small Cap Index, 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

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Notes to Financial Statements (continued) Quantitative Master Series LLC

BIM as the securities lending agent. BIM may, on behalf of the Series, invest cash collateral received by the Series for such loans 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, is shown in the Statements of Assets and Liabilities as securities loaned at value and collateral on securities loaned at value, respectively. The cash collateral invested by BIM, if any, is disclosed in the Schedules of Investments. 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 retain 65% of securities lending income and pay a fee to BIM equal to 35% of such income. The Series benefit from a borrower default 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 Statements of Operations. For the six months ended June 30, 2013, BIM received $278,382 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.

6. Purchases and Sales:

Purchases and sales of investments, excluding short-term securities, for the six months ended June 30, 2013, were as follows:

	Purchases		Sales
Master International Index	$	100,184,181	$	28,165,619
Master Small Cap Index	$	111,056,215	$	112,689,040

7. Bank Borrowings:

The Series, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $800 million credit agreement with a group of lenders, under which the Series may borrow to fund shareholder redemptions. The agreement expires in April 2014. Excluding commitments designated for a certain individual fund, other Participating Funds, including the Series, can borrow up to an aggregate commitment amount of $500 million, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.065% per annum on unused commitment amounts 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. Participating Funds paid administration and arrangement fees, which, along with commitment fees, were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. The Series did not borrow under the credit agreement during the six months ended June 30, 2013.

8. Concentration, Market and Credit Risk:

In the normal course of business, the Series invest in securities and enter into transactions where risks exist due to fluctuations in the market

(market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Series may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Series; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Series may be exposed to counter-party credit risk, or the risk that an entity with which the Series have unsettled or open transactions may fail to or be unable to perform on its commitments. The Series manage counterparty credit risk by entering into transactions only with counterparties that they believe 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 counter-parties. The extent of the Series’ exposure to market, issuer and counter-party credit risks with respect to these financial assets is generally approximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Series.

Master International Index 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.

Master International Index 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 Euro-pean countries, including Greece, Ireland, Italy, Portugal and Spain. As of June 30, 2013, 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 June 30, 2013, Master Small Cap Index 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 Fund and could affect the value, income and/or liquidity of positions in such securities.

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Notes to Financial Statements (concluded) Quantitative Master Series LLC

As of June 30, 2013, the Series had the following industry classifications:

Master International Index
	Percent of
Industry	Long-Term Investments
Commercial Banks		13	%
Pharmaceuticals		9	%
Oil, Gas & Consumable Fuels		6	%
Insurance		5	%
Other1		67	%
Master Small Cap Index
	Percent of
Industry	Long-Term Investments
Real Estate Investment Trusts (“REITs”)		8	%
Banks: Diversified		7	%
Computer Services Software & Systems		6	%
Other1		79	%

¹ All other industries held were less than 5% of long-term investments.

9. 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.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013 85

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement Master International Index Series

The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of Quantitative Master Series LLC (the “Master LLC”) met in person on April 11, 2013 (the “April Meeting”) and May 21-22, 2013 (the “May Meeting”) to consider the approval of the Master LLC’s investment advisory agreement (the “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), the Master LLC’s investment advisor, on behalf of Master International Index Series (the “Master Portfolio”), a series of the Master LLC. The Board also considered the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and BlackRock Investment Management, LLC (the “Sub-Advisor”), with respect to the Master Portfolio. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreement are referred to herein as the “Agreements.”

Activities and Composition of the Board

The Board consists of fourteen individuals, twelve of whom are not “interested persons” of the Master LLC as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Master LLC and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Co-Chairs of the Board are each Independent Board Members. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight and Contract Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreements on an annual basis. The Board has four quarterly meetings per year, each extending over two days, and a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreements. In connection with this process, the Board assessed, among other things, the nature, scope and quality of the services provided to the Master Portfolio by BlackRock, its personnel and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services, risk oversight, compliance and assistance in meeting applicable legal and regulatory requirements.

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Master Portfolio and its interest holders. Among the matters the Board considered were: (a) investment performance of an affiliated feeder fund that invests all of its investable assets in the Master Portfolio (the

“representative feeder fund”) for one-year, three-year, five-year and/or since inception periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management’s and portfolio managers’ analysis of the reasons for any over performance or under-performance against its peers and/or benchmark, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolio for services, such as marketing and distribution, call center and fund accounting; (c) the Master Portfolio’s operating expenses and how BlackRock allocates expenses to the Master Portfolio; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Master Portfolio’s investment objective, policies and restrictions; (e) the Master LLC’s compliance with its Code of Ethics and other compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) Black-Rock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) Black-Rock’s implementation of the Master LLC’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment objectives across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable; (l) BlackRock’s compensation methodology for its investment professionals and the incentives it creates; and (m) periodic updates on BlackRock’s business.

The Board has engaged in an ongoing strategic review with BlackRock of opportunities to consolidate funds and of BlackRock’s commitment to investment performance. In addition, the Board requested and BlackRock provided an analysis of fair valuation and stale pricing policies. BlackRock also furnished information to the Board in response to specific questions. These questions covered issues such as BlackRock’s profitability, investment performance and management fee levels. The Board further considered the importance of: (i) organizational and structural variables to investment performance; (ii) rates of portfolio turnover; (iii) BlackRock’s performance accountability for portfolio managers; (iv) marketing support for the funds; (v) services provided to the Master Portfolio by BlackRock affiliates; and (vi) BlackRock’s oversight of relationships with third party service providers.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreements. The Board is engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on fees and expenses of the Master Portfolio and the representative feeder fund, as applicable, as compared with a peer group of funds as determined by Lipper (“Expense Peers”) and the investment performance of the representative feeder fund as compared

86 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued) Master International Index Series

with a peer group of funds as determined by Lipper,¹ as well as the gross investment performance of the representative feeder fund as compared with its benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by the Master Portfolio to Black-Rock; and (g) if applicable, a comparison of management fees to similar BlackRock open-end funds, as classified by Lipper.

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

At the May Meeting, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Master LLC with respect to the Master Portfolio and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Master Portfolio, each for a one-year term ending June 30, 2014. In approving the continuation of the Agreements, the Board considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Master Portfolio and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio; (d) the representative feeder fund’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance comparison as previously discussed; (e) economies of scale; (f) fall-out benefits to BlackRock as a result of its relationship with the Master Portfolio; and (g) other factors deemed relevant by the Board Members.

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

¹  Lipper ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Master Portfolio. Throughout the year, the Board compared the representative feeder fund’s performance to the performance of a comparable group of mutual funds and/or the performance of a relevant benchmark, if any. The Board met with BlackRock’s senior management personnel responsible for investment operations, including the senior investment officers. The Board also reviewed the materials provided by the Master Portfolio’s portfolio management team discussing the performance of the Master Portfolio and the representative feeder fund and the Master Portfolio’s investment objective, strategies and outlook.

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

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

B. The Investment Performance of the Master Portfolio and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Master Portfolio. The Board noted that the representative feeder fund’s investment results correspond

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013 87

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued) Master International Index Series

directly to the investment results of the Master Portfolio. In preparation for the April Meeting, the Board worked with its independent legal counsel, BlackRock and Lipper to develop a template for, and was provided with, reports independently prepared by Lipper, which included a comprehensive analysis of the representative feeder fund’s performance. The Board also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper’s rankings. In connection with its review, the Board received and reviewed information regarding the investment performance of the representative feeder fund as compared to other funds in its applicable Lipper category and the gross investment performance of the representative feeder fund as compared with its benchmark. The Board was provided with a description of the methodology used by Lipper to select peer funds and periodically meets with Lipper representatives to review its methodology. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Master Portfolio management to discuss, the performance of the Master Portfolio and the representative feeder fund, as applicable, throughout the year.

The Board noted that the representative feeder fund’s gross performance (before expenses and fees), as agreed upon by the Board, was within tolerance of its benchmark during the one-year period reported and exceeded its benchmark during the three- and five-year periods reported. BlackRock believes that gross performance relative to the benchmark is an appropriate performance metric for the representative feeder fund.

The Board noted that BlackRock has recently made, and continues to make, changes to the organization of BlackRock’s overall portfolio management structure designed to result in strengthened leadership teams.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio: The Board, including the Independent Board Members, reviewed the Master Portfolio’s/ representative feeder fund’s contractual management fee rate compared with the other funds in the representative feeder fund’s Lipper category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the representative feeder fund’s total net operating expense ratio, as well as the Master Portfolio’s/representative feeder fund’s actual management fee rate, to those of other funds in the representative feeder fund’s Lipper category. The total net operating expense ratio and actual management fee rate both give effect to any expense reimbursements or fee waivers that benefit the funds. The Board considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including institutional accounts.

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolio. The Board reviewed BlackRock’s profitability with respect to the Master Portfolio and

other funds the Board currently oversees for the year ended December 31, 2012 compared to available aggregate profitability data provided for the two prior years. The Board reviewed BlackRock’s profitability with respect to certain other fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, comparing profitability is difficult.

The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management and the relative product mix.

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

The Board noted that the Master Portfolio’s/representative feeder fund’s contractual management fee rate ranked in the first quartile relative to the representative feeder fund’s Expense Peers. The Board also noted that BlackRock has contractually agreed to a cap on the Master Portfolio’s total net operating expenses as a percentage of the Master Portfolio’s average daily net assets.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolio increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Master Portfolio benefits from such economies and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Master Portfolio to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the asset level of the Master Portfolio. In its consideration, the Board took into account the existence of any expense caps and further considered the continuation and/or implementation, as applicable, of such caps.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive

88 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (concluded) Master International Index Series

from their respective relationships with the Master Portfolio, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Master Portfolio, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that it had considered the investment by BlackRock’s funds in ETFs without any offset against the management fees payable by the funds to BlackRock.

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

Conclusion

The Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Master LLC with respect to the Master Portfolio for a one-year term ending June 30, 2014 and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Master Portfolio for a one-year term ending June 30, 2014. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Master Portfolio and its interest holders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolio reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013 89

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement Master Small Cap Index Series

The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of Quantitative Master Series LLC (the “Master LLC”) met in person on April 11, 2013 (the “April Meeting”) and May 21-22, 2013 (the “May Meeting”) to consider the approval of the Master LLC’s investment advisory agreement (the “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), the Master LLC’s investment advisor, on behalf of Master Small Cap Index Series (the “Master Portfolio”), a series of the Master LLC. The Board also considered the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and BlackRock Investment Management, LLC (the “Sub-Advisor”), with respect to the Master Portfolio. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreement are referred to herein as the “Agreements.”

Activities and Composition of the Board

The Board consists of fourteen individuals, twelve of whom are not “interested persons” of the Master LLC as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Master LLC and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Co-Chairs of the Board are each Independent Board Members. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight and Contract Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreements on an annual basis. The Board has four quarterly meetings per year, each extending over two days, and a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreements. In connection with this process, the Board assessed, among other things, the nature, scope and quality of the services provided to the Master Portfolio by BlackRock, its personnel and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services, risk oversight, compliance and assistance in meeting applicable legal and regulatory requirements.

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Master Portfolio and its interest holders. Among the matters the Board considered were: (a) investment performance of an affiliated feeder fund that invests all of its investable assets in the Master Portfolio (the

“representative feeder fund”) for one-year, three-year, five-year and/or since inception periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management’s and portfolio managers’ analysis of the reasons for any over performance or under-performance against its peers and/or benchmark, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolio for services, such as marketing and distribution, call center and fund accounting; (c) the Master Portfolio’s operating expenses and how BlackRock allocates expenses to the Master Portfolio; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Master Portfolio’s investment objective, policies and restrictions; (e) the Master LLC’s compliance with its Code of Ethics and other compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) Black-Rock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) Black-Rock’s implementation of the Master LLC’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment objectives across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable; (l) BlackRock’s compensation methodology for its investment professionals and the incentives it creates; and (m) periodic updates on BlackRock’s business.

The Board has engaged in an ongoing strategic review with BlackRock of opportunities to consolidate funds and of BlackRock’s commitment to investment performance. In addition, the Board requested and BlackRock provided an analysis of fair valuation and stale pricing policies. BlackRock also furnished information to the Board in response to specific questions. These questions covered issues such as BlackRock’s profitability, investment performance and management fee levels. The Board further considered the importance of: (i) organizational and structural variables to investment performance; (ii) rates of portfolio turnover; (iii) BlackRock’s performance accountability for portfolio managers; (iv) marketing support for the funds; (v) services provided to the Master Portfolio by BlackRock affiliates; and (vi) BlackRock’s oversight of relationships with third party service providers.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreements. The Board is engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on fees and expenses of the Master Portfolio and the representative feeder fund, as applicable, as compared with a peer group of funds as determined by Lipper (“Expense Peers”) and the investment performance of the representative feeder fund as compared

90 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued) Master Small Cap Index Series

with a peer group of funds as determined by Lipper,¹ as well as the gross investment performance of the representative feeder fund as compared with its benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by the Master Portfolio to Black-Rock; and (g) if applicable, a comparison of management fees to similar BlackRock open-end funds, as classified by Lipper.

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

At the May Meeting, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Master LLC with respect to the Master Portfolio and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Master Portfolio, each for a one-year term ending June 30, 2014. In approving the continuation of the Agreements, the Board considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Master Portfolio and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio; (d) the representative feeder fund’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance comparison as previously discussed; (e) economies of scale; (f) fall-out benefits to BlackRock as a result of its relationship with the Master Portfolio; and (g) other factors deemed relevant by the Board Members.

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

¹  Lipper ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Master Portfolio. Throughout the year, the Board compared the representative feeder fund’s performance to the performance of a comparable group of mutual funds and/or the performance of a relevant benchmark, if any. The Board met with BlackRock’s senior management personnel responsible for investment operations, including the senior investment officers. The Board also reviewed the materials provided by the Master Portfolio’s portfolio management team discussing the performance of the Master Portfolio and the representative feeder fund and the Master Portfolio’s investment objective, strategies and outlook.

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

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

B. The Investment Performance of the Master Portfolio and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Master Portfolio. The Board noted that the representative feeder fund’s investment results correspond

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013 91

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued) Master Small Cap Index Series

directly to the investment results of the Master Portfolio. In preparation for the April Meeting, the Board worked with its independent legal counsel, BlackRock and Lipper to develop a template for, and was provided with, reports independently prepared by Lipper, which included a comprehensive analysis of the representative feeder fund’s performance. The Board also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper’s rankings. In connection with its review, the Board received and reviewed information regarding the investment performance of the representative feeder fund as compared to other funds in its applicable Lipper category and the gross investment performance of the representative feeder fund as compared with its benchmark. The Board was provided with a description of the methodology used by Lipper to select peer funds and periodically meets with Lipper representatives to review its methodology. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Master Portfolio management to discuss, the performance of the Master Portfolio and the representative feeder fund, as applicable, throughout the year.

The Board noted that the representative feeder fund’s gross performance (before expenses and fees), as agreed upon by the Board, was within tolerance of its benchmark during each of the one-, three- and five-year periods reported. BlackRock believes that gross performance relative to the benchmark is an appropriate performance metric for the representative feeder fund.

The Board noted that BlackRock has recently made, and continues to make, changes to the organization of BlackRock’s overall portfolio management structure designed to result in strengthened leadership teams.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio: The Board, including the Independent Board Members, reviewed the Master Portfolio’s/ representative feeder fund’s contractual management fee rate compared with the other funds in the representative feeder fund’s Lipper category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the representative feeder fund’s total net operating expense ratio, as well as the Master Portfolio’s/representative feeder fund’s actual management fee rate, to those of other funds in the representative feeder fund’s Lipper category. The total net operating expense ratio and actual management fee rate both give effect to any expense reimbursements or fee waivers that benefit the funds. The Board considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including institutional accounts.

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolio. The Board reviewed BlackRock’s profitability with respect to the Master Portfolio and

other funds the Board currently oversees for the year ended December 31, 2012 compared to available aggregate profitability data provided for the two prior years. The Board reviewed BlackRock’s profitability with respect to certain other fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, comparing profitability is difficult.

The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management and the relative product mix.

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

The Board noted that the Master Portfolio’s/representative feeder fund’s contractual management fee rate ranked in the second quartile relative to the representative feeder fund’s Expense Peers. The Board also noted that BlackRock has contractually agreed to a cap on the Master Portfolio’s total net operating expenses as a percentage of the Master Portfolio’s average daily net assets.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolio increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Master Portfolio benefits from such economies and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Master Portfolio to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the asset level of the Master Portfolio. In its consideration, the Board took into account the existence of any expense caps and further considered the continuation and/or implementation, as applicable, of such caps.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive

92 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (concluded) Master Small Cap Index Series

from their respective relationships with the Master Portfolio, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Master Portfolio, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that it had considered the investment by BlackRock’s funds in ETFs without any offset against the management fees payable by the funds to BlackRock.

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

Conclusion

The Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Master LLC with respect to the Master Portfolio for a one-year term ending June 30, 2014 and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Master Portfolio for a one-year term ending June 30, 2014. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Master Portfolio and its interest holders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolio reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013 93

Officers and Directors

Ronald W. Forbes, Co-Chairman of the Board and Director

Rodney D. Johnson, Co-Chairman of the Board and Director

Paul L. Audet, Director

David O. Beim, Director

Henry Gabbay, Director

Dr. Matina S. Horner, Director

Herbert I. London, Director

Ian A. MacKinnon, Director

Cynthia A. Montgomery, Director

Joseph P. Platt, Director

Robert C. Robb, Jr., Director

Toby Rosenblatt, Director

Kenneth L. Urish, Director

Frederick W. Winter, Director

John M. Perlowski, President and Chief Executive Officer

Brendan Kyne, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Brian Kindelan, Chief Compliance Officer and Anti-Money

    Laundering Officer

Benjamin Archibald, Secretary

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Advisor

BlackRock Investment Management, LLC

Princeton, NJ 08540

Custodians

JPMorgan Chase Bank, N.A.¹

Brooklyn, NY 11245

State Street Bank and Trust Company²

Boston, MA 02110

Accounting Agent

State Street Bank and Trust Company

Boston, MA 02110

Legal Counsel

Sidley Austin LLP

New York, NY 10019

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

¹  For Master International Index Series.

²  For Master Small Cap Index Series.

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QUANTITATIVE MASTER SERIES LLC JUNE 30, 2013 97

Delivery of Documents

eDelivery is NOW AVAILABLE- Stop traditional mail delivery and receive your

shareholder reports and summary prospectus on-line. Sign up at

www.americanbeaconfunds.com

If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the 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
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, D.C. 20549-1520. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (202) 551-8090.	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.

SAR 6/13

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

President’s Message	1
Performance Overview	2
Schedule of Investments	5
Financial Highlights	18
Additional Information	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 June 30, 2013

Dear Shareholders,

With economic conditions showing signs of improvement during the first six months of 2013, the market turned its attention to the possibility of rising inflation. That’s one reason why many investors have continued to turn 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 take this inflation protection strategy a step further.

• For the six-month period ended June 30, 2013, the American Beacon Treasury Inflation Protected Securities Fund (Institutional Class) returned -5.29%, outperforming the Lipper Treasury Inflation Protected Securities Index by 160 basis points (1.60%).

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

American Beacon Treasury Inflation Protected Securities Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

The Investor Class of the American Beacon Treasury Inflation Protected Securities Fund (the “Fund”) returned -5.41% for the six months ended June 30, 2013, trailing the Barclays Capital 1-10 Year U.S. TIPS Index (the “Index”) return of -5.21%, but outperforming the Lipper TIPS Index return of -6.89%.

Total Returns for the Period ended 6/30/13

	6 Months*			1 Year			5 Years			Since Inception 6/30/04
Institutional Class(1,7,8)		-5.29	%		-3.25	%		3.17	%		4.39	%
Y Class (1,3,7,8)		-5.35	%		-3.48	%		2.95	%		4.26	%
Investor Class(1,2,7,8)		-5.41	%		-3.58	%		2.81	%		4.18	%
A Class without sales load (1,4,7,8)		-5.58	%		-3.81	%		2.60	%		4.06	%
A Class with sales load (1,4,7,8)		-10.10	%		-8.40	%		1.60	%		3.50	%
C Class without sales load (1,5,7,8)		-5.94	%		-4.61	%		2.17	%		3.82	%
C Class with sales load (1,5,7,8)		-6.94	%		-5.61	%		2.17	%		3.82	%
Barclays Capital 1-10 Yr. U.S. TIPS Index(6)		-5.21	%		-3.14	%		3.32	%		4.68	%
Barclays Capital U.S. TIPS Index(6)		-7.39	%		-4.78	%		4.41	%		5.34	%
Lipper TIPS Index(6)		-6.89	%		-4.42	%		3.95	%		4.89	%

* Not annualized

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 3/2/09, the inception date of the Investor Class, and the returns of the Investor Class since its inception. Expenses of the Investor Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Investor Class been in existence since 6/30/04.

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

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 Index tracks the results of the 30 largest mutual funds in the Lipper TIPS category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index.

7. A portion of the fees charged to the Investor Class of the Fund was waived from its inception. A portion of the fees charged to the Institutional Class of the Fund has been waived since 2005. A portion of the fees charged to the Y, A, and C Classes has been waived since 2012. Performance prior to waiving fees was lower than the actual returns shown.

8. The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 0.37%, 0.62%, 0.77%, 1.07%, and 1.79% respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report.

The Fund produced negative absolute returns for the six-month time period, particularly in May and June as the bond market responded to the U.S. Federal Reserve’s comments about the anticipated tapering of its asset purchase program.

From a yield curve positioning standpoint, the Fund benefited from underweighting the 6-7 year maturity range (down 6.4%), but the Fund’s relative underperformance stemmed from overweighting the 8-9 year and the 9-10 year maturity ranges (down 8.8% and 9.4%, respectively). Individual security selections within the 4-5 year maturity range also detracted from relative performance.

2

American Beacon Treasury Inflation Protected Securities Fund^SM

Performance Overview

June 30, 2013 (Unaudited)

From a duration perspective, a tactical short duration position in place during the second quarter added value to the Fund’s relative performance.

The Fund remains focused on investing in TIPS to provide inflation protection and income to its shareholders.

Top Ten Holdings (% Net Assets)

U.S. Treasury Inflation Indexed Security, 0.625%, Due 7/15/2021	11.4
U.S. Treasury Inflation Indexed Security, 0.125%, Due 4/15/2017	11.2
U.S. Treasury Inflation Indexed Security, 0.125%, Due 1/15/2022	11.0
U.S. Treasury Inflation Indexed Security, 0.125%, Due 4/15/2016	10.5
U.S. Treasury Inflation Indexed Security, 1.375%, Due 1/15/2020	8.9
U.S. Treasury Inflation Indexed Security, 1.625%, Due 1/15/2015	6.6
U.S. Treasury Inflation Indexed Security, 0.125%, Due 7/15/2022	6.6
U.S. Treasury Inflation Indexed Security, 2.125%, Due 1/15/2019	6.0
U.S. Treasury Inflation Indexed Security, 0.125%, Due 4/15/2018	5.7
U.S. Treasury Inflation Indexed Security, 2.00%, Due 1/15/2016	3.9
Total Fund Holdings	18

Portfolio Statistics

Effective Maturity (years)	5.3
Effective Duration (years)	5.2
3-Year Standard Deviation	3.7

Security Type (% of Total Investments)

U.S. Treasuries	99.4
Short-Term Investments	0.6

3

American Beacon Treasury Inflation Protected Securities Fund^SM

Fund Expenses

June 30, 2013 (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 redemption fees if applicable, and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2013 through June 30, 2013.

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 or Roth 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 or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If you account was subject to a custodial IRA fee during the period, your cost would have been $15 higher.

You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.

	Beginning Account Value 1/1/13		Ending Account Value 6/30/13		Expenses Paid During Period* 1/1/13-6/30/13
Institutional Class
Actual	$	1,000.00	$	947.13	$	1.40
Hypothetical **	$	1,000.00	$	1,023.36	$	1.45
Y Class
Actual	$	1,000.00	$	946.51	$	2.94
Hypothetical **	$	1,000.00	$	1,021.77	$	3.06
Investor Class
Actual	$	1,000.00	$	945.87	$	3.33
Hypothetical **	$	1,000.00	$	1,021.37	$	3.46
A Class
Actual	$	1,000.00	$	944.19	$	4.82
Hypothetical **	$	1,000.00	$	1,019.84	$	5.01
C Class
Actual	$	1,000.00	$	940.58	$	8.56
Hypothetical **	$	1,000.00	$	1,015.97	$	8.90

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.29%, 0.61%, 0.69%, 1.00% and 1.78% for the Institutional, Y, Investor, A and C Class, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

4

American Beacon Treasury Inflation Protected Securities Fund^SM

Schedule of Investments

June 30, 2013 (Unaudited)

	Par Amount		Fair Value
	(000’s)		(000’s)
U.S. TREASURY INFLATION PROTECTED SECURITY OBLIGATIONS - 99.16%
1.25%, Due 4/15/2014A	$	1,797	$	1,821
2.00%, Due 7/15/2014A		7,586		7,831
1.625%, Due 1/15/2015A		14,221		14,786
0.50%, Due 4/15/2015A		6,996		7,171
2.00%, Due 1/15/2016A		8,043		8,638
0.125%, Due 4/15/2016A		23,003		23,594
2.50%, Due 7/15/2016A		2,228		2,463
2.375%, Due 1/15/2017A		3,073		3,406
0.125%, Due 4/15/2017A		24,372		25,006
0.125%, Due 4/15/2018A		12,489		12,811
1.375%, Due 7/15/2018A		3,284		3,586
2.125%, Due 1/15/2019A		11,968		13,534
1.875%, Due 7/15/2019A		4,422		4,985
1.375%, Due 1/15/2020A		18,340		19,982
0.625%, Due 7/15/2021A		24,643		25,434
0.125%, Due 1/15/2022A		25,043		24,529
0.125%, Due 7/15/2022A		15,021		14,682
0.125%, Due 1/15/2023A		7,803		7,565
Total U.S. Treasury Obligations (Cost $231,590)				221,824
	Shares
SHORT-TERM INVESTMENTS - 0.55% (Cost $1,236)
JPMorgan U.S. Government Money Market Fund, Capital Class		1,235,612		1,236
TOTAL INVESTMENTS - 99.71% (Cost $232,826)				223,060
OTHER ASSETS, NET OF LIABILITIES - 0.29%				646
TOTAL NET ASSETS - 100.00%			$	223,706

Percentages are stated as a percent of net assets.

^A  Inflation-Indexed.

See accompanying notes

5

American Beacon Treasury Inflation Protected Securities Fund^SM

Statement of Assets and Liabilities

June 30, 2013 (Unaudited) (in thousands, except share and per share amounts)

Assets:
Investments in unaffiliated securities, at fair valueA	$	223,060
Dividends and interest receivable		729
Receivable for fund shares sold		254
Receivable for expense reimbursement (Note 2)		19
Prepaid expenses		73
Total assets		224,135
Liabilities:
Payable for fund shares redeemed		301
Management and investment advisory fees payable		44
Administrative service and service fees payable		33
Transfer agent fees payable		10
Custody and fund accounting fees payable		3
Professional fees payable		26
Prospectus and shareholder reports fees payable		10
Trustee fees payable		2
Total liabilities		429
Net assets	$	223,706
Analysis of Net Assets:
Paid-in-capital		234,011
Undistributed net investment income		(310	)
Accumulated net realized loss		(229	)
Unrealized depreciation of investments		(9,766	)
Net assets	$	223,706
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		19,815,180
Y Class		83,546
Investor Class		1,519,579
A Class		79,969
C Class		40,103
Net assets (not in thousands):
Institutional Class	$	205,939,755
Y Class	$	871,947
Investor Class	$	15,662,551
A Class	$	825,386
C Class	$	406,081
Net asset value, offering and redemption price per share:
Institutional Class	$	10.39
Y Class	$	10.44
Investor Class	$	10.31
A Class (offering price $10.83)	$	10.32
C Class	$	10.13

^A Cost of investments in unaffiliated securities $ 232,826

See accompanying notes

6

American Beacon Treasury Inflation Protected Securities Fund^SM

Statement of Operations

For the Six Months ended June 30, 2013 (Unaudited) (in thousands)

Investment Income:
Interest income	$	56
Total investment income		56
Expenses:
Management and investment advisory fees (Note 2)		113
Administrative service fees (Note 2):
Institutional Class		151
Y Class		2
Investor Class		27
A Class		2
C Class		1
Transfer agent fees:
Institutional Class		20
Investor Class		2
Custody and fund accounting fees		17
Professional fees		24
Registration fees and expenses		40
Service fees (Note 2):
Investor Class		22
A Class		1
Distribution fees (Note 2):
A Class		1
C Class		2
Prospectus and shareholder report expenses		20
Insurance fees		3
Trustee fees		9
Other expenses		6
Total expenses		463
Net fees waived and expenses reimbursed (Note 2)		(97	)
Net expenses		366
Net investment income		(310	)
Realized and unrealized gain (loss) on investments:
Net realized gain (loss) from:
Investments		38
Change in net unrealized appreciation or (depreciation) from:
Investments		(12,384	)
Net loss on investments		(12,346	)
Net decrease in net assets resulting from operations	$	(12,656	)

See accompanying notes

7

American Beacon Treasury Inflation Protected Securities Fund^SM

Statement of Changes of Net Assets (in thousands)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
	(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	(310	)	$	1,804
Net realized gain from investments		38			11,031
Change in net unrealized depreciation from investments		(12,384	)		(1,096	)
Net increase (decrease) in net assets resulting from operations		(12,656	)		11,739
Distributions to Shareholders:
Net investment income:
Institutional Class		—			(1,723	)
Y Class		—			(4	)
Investor Class		—			(76	)
A Class		—			(1	)
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	)
Y Class		—			(15	)
Investor Class		—			(274	)
A Class		—			(12	)
C Class		—			(4	)
Net distributions to shareholders		—			(15,035	)
Net increase (decrease) in net assets from capital share transactions		12,551			(1,299	)
Net (decrease) in net assets		(105	)		(4,595	)
Net Assets:
Beginning of period		223,811			228,406
End of Period *	$	223,706		$	223,811
* Includes undistributed net investment (loss) of	$	(310	)	$	—

See accompanying notes

8

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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 an open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon Treasury Inflation Protected Securities Fund (the “Fund”), a series of the Trust.

American Beacon Advisors, Inc. (the “Manager”) is a wholly-owned subsidiary of Lighthouse Holdings, Inc. and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services to the Trust and other investors.

Class Disclosure

The Fund has multiple classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:

Class:	Offered to:
Institutional Class	Investors making an initial investment of $250,000
Y Class	Investors making an initial investment of $100,000
Investor Class	General public and investors investing through an intermediary
A Class	General public and investors investing through an intermediary with applicable sales charges
C Class	General public and investors investing through an intermediary with applicable sales charges

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.

2. Transactions with Affiliates

Management Agreement

The Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all investment advisory and portfolio management services. Investment assets of the Fund may be managed by multiple investment advisors which have entered into separate investment advisory agreements with the Manager. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Fund an annualized fee equal to 0.05% of the average daily net assets plus amounts paid by the Manager to the investment advisors hired by the Manager to direct investment activities of the Fund. Management fees paid during the six months ended June 30, 2013 were as follows:

Management Fee Rate	Management Fee	Amounts paid to Investment Sub-Advisors	Net Amount Retained by Manager
0.10%	$113,455	$58,096	$55,359

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

9

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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 Trust, except for the A Class of the Fund, has adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule 12b-1 under the Act, pursuant to which no separate fees will be charged to the Fund for distribution purposes. However, the Plan authorizes the management and administrative service fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Trust does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Trust shares.

A separate Distribution Plan (the “Distribution Plan”) has been adopted pursuant to Rule 12b-1 under the Act for the A and C Classes of the Fund. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C Classes of the Fund. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance.

Services Plan

The Manager and the Trust entered into a Service Plan which obligates the Manager to oversee additional shareholder servicing of the Y, Investor, A, and C Classes of the Fund. As compensation for performing the duties required under the Service Plan, the Manager receives an annualized fee of 0.10% of the average daily net assets of the Y Class, 0.15% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Fund. Service fees for the Y and C Classes for the six months ended June 30, 2013 were less than $500.

Interfund Lending Program

Pursuant to an exemptive order 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. For the six months ended June 30, 2013, the Fund did not utilize the credit facility.

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 $18,619 was receivable from the Manager at June 30, 2013. For the six months ended June 30, 2013, the Manager reimbursed expenses as follows:

	Expense Cap and Limits
Class	4/27/12 to 5/1/13			5/2/13 to 4/30/14			Waived or Reimbursed Expenses		Expiration
Institutional		0.10	%*		0.10	%*	$	89,425		2016
Y		0.61	%		0.61	%		17		2016
Investor		0.69	%		0.69	%		7,772		2016
A		1.00	%		1.00	%		151		2016
C		1.78	%		1.78	%		8		2016

* Expense reduction.

10

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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 $195,591, $238,084 and $246,503 will expire in 2013, 2014, and 2015 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 six months ended June 30, 2013, Foreside collected $2,560 from the sale of Class A 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. For the period ended June 30, 2013, CDSC fees were not collected for the Treasury Inflation Protected Securities 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 open-end 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 Board of Trustees (the “Board”).

Valuation Inputs

Various inputs may be used to determine the value of the Fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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

11

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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. Generally Accepted Accounting Principles (“U.S. GAAP”) also requires all significant transfers between any levels to be disclosed. During the six months ended June 30, 2013, there were no transfers between levels. As of June 30, 2013, the investments were classified as described below (in thousands):

	Level 1		Level 2		Level 3		Total
U.S. Treasury Inflation Protection Security Obligations	$	—	$	221,824	$	—	$	221,824
Short-Term Investments – Money Markets		1,236		—		—		1,236
Total Investments	$	1,236	$	221,824	$	—	$	223,060

Security Transactions and Investment Income

Security transactions are recorded on the trade date of the security purchase or sale. The Fund may purchase securities with delivery or payment to occur at a later date. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded, and the value of the security is reflected in the NAV. The value of the security may vary with market fluctuations.

Dividend income is recorded on the ex-dividend date. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification.

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.

12

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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 directors are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.

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.

Other Investment Company Securities and Other Exchange Traded Products

The Funds may invest in shares of other investment companies, including open-end funds, closed-end funds, business development companies, ETFs, exchange-traded notes (“ETNs”), unit investment trusts, and other investment companies of the Trust. The Funds may invest in investment company securities advised by the Manager or a sub-advisor. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, a Fund becomes a shareholder of that investment company. As a result, Fund shareholders indirectly will bear a Fund’s proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses Fund shareholders directly bear in connection with the Fund’s own operations. These other fees and expenses are reflected as Acquired Fund Fees and Expenses and are included in the Fees and Expenses Table for the Fund in its Prospectus, if applicable. Investments in other investment companies may involve the payment of substantial premiums above the value of such issuer’s portfolio securities.

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.

13

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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 were as follows (in thousands):

	Six Months Ended June 30, 2013		Year Ended December 31, 2012
	(unaudited)
Distributions paid from:
Ordinary income:*
Institutional Class	$	—	$	1,723
Y Class		—		4
Investor Class		—		76
A Class		—		1
C Class		—		—
Long-Term Capital Gain:
Institutional Class		—		9,136
Y Class		—		45
Investor Class		—		853
A Class		—		35
C Class		—		13
Tax return of capital:
Institutional Class		—		2,844
Y Class		—		15
Investor Class		—		274
A Class		—		12
C Class		—		4
Total distributions paid	$	—	$	15,035

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

As of June 30, 2013, 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	$	233,669
Unrealized appreciation		6
Unrealized depreciation		(10,615	)
Net unrealized appreciation or (depreciation)		(10,609	)
Undistributed ordinary income		(310	)
Undistributed long-term gain or (loss)		614
Other temporary differences		—
Distributable earnings or (deficits)	$	(10,305	)

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.

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 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-

14

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.

Finally, the Act contains several provisions aimed at preserving the character of distributions made by a fiscal year RIC during the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which a RIC might be required to file amended Forms 1099 to restate previously reported distributions. Except for the simplification provisions related to RIC qualification, the Act is effective for taxable years beginning after December 22, 2010. The provisions related to RIC qualification are effective for taxable years for which the extended due date of the tax return is after December 22, 2010.

As of June 30, 2013, the Fund did not have capital loss carryforward positions.

6. Investment Transactions

Purchases and proceeds from sales of investments for the six months ended June 30, 2013, excluding short-term investments, were $310,311,929 and $300,223,208, 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 Six Months Ended June 30, 2013

	Institutional Class						Y Class						Investor Class
	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		5,928		$	64,738			30		$	336			206		$	2,212
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(4,548	)		(49,507	)		(42	)		(455	)		(469	)		(5,030	)
Net increase (decrease) in shares outstanding		1,380		$	15,231			(12	)	$	(119	)		(263	)	$	(2,818	)

	A Class						C Class
	Shares			Amount			Shares		Amount
Shares sold		30		$	328			12	$	132
Reinvestment of dividends		—			—			—		—
Shares redeemed		(18	)		(196	)		—		(7	)
Net increase in shares outstanding		12		$	132			12	$	125

15

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2013 (Unaudited)

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	)
Net increase (decrease) in shares outstanding		(106	)	$	(1,682	)		51		$	576			(9	)	$	(148	)

	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	)		—		—
Net increase (decrease) in shares outstanding		(9	)	$	(94	)		4	$	49

16

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17

American Beacon Treasury Inflation Protected Securities Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class																		Y Class
	Six																		Six
	Months																		Months
	Ended																		Ended			Year Ended
	June 30,			Year Ended December 31,															June 30,			Dec. 31,
	2013			2012			2011			2010			2009A			2008			2013			2012
	(unaudited)																		(unaudited)
Net asset value, beginning of period	$	10 .97		$	11.16		$	10.51		$	10.16		$	9.20		$	10.18		$	11.03		$	11.24
Income from investment operations:
Net investment income (loss)		(0 .01	)		0.04			0.28			0.16			0.06			0.80			(0.04	)		0.09
Net gains (losses) from investments (both realized and unrealized)		(0 .57	)		0.49			0.67			0.35			0.95			(0.98	)		(0.55	)		0.41
Total income (loss) from investment operations		(0 .58	)		0.53			0.95			0.51			1.01			(0.18	)		(0.59	)		0.50
Less distributions:
Dividends from net investment income		—			(0.07	)		(0.29	)		(0.16	)		(0.05	)		(0.80	)		—			(0.06	)
Distributions from net realized gains on securities		—			(0.49	)		—			—			—			—			—			(0.49	)
Tax return of capital		—			(0 .16	)B		(0 .01	)B		—			—			—			—			(0.16	)B
Total distributions		—			(0.72	)		(0.30	)		(0.16	)		(0.05	)		(0.80	)		—			(0.71	)
Net asset value, end of period	$	10 .39		$	10.97		$	11.16		$	10.51		$	10.16		$	9.20		$	10.44		$	11.03
Total return C		(5.29	)%D		4.80	%		9.14	%		5.03	%		11.00	%		(2.09	)%		(5.35	)%D		4.42	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	205,940		$	202,274		$	206,864		$	157,195		$	155,833		$	140,189		$	872		$	1,051
Ratios to average net assets (annualized):
Expenses, before reimbursements		0 .38	%E		0.37	%		0.36	%		0.35	%		0.36	%		0.29	%		0.61	%E		0.62	%
Expenses, net of reimbursements		0 .29	%E		0.27	%		0.26	%		0.25	%		0.26	%		0.25	%		0.61	%E		0.61	%
Net investment income (loss), before reimbursements		(0.31	)%E		0.64	%		2.24	%		1.40	%		0.59	%		5.15	%		(0.68	)%E		0.81	%
Net investment income (loss), net of reimbursements		(0.22	)%E		0.74	%		2.34	%		1.50	%		0.69	%		5.19	%		(0.67	)%E		0.82	%
Portfolio turnover rate		136	%D		286	%		381	%		214	%		180	%		128	%		136	%D		286	%

^A  Standish Mellon Asset Management Company, LLC was added as an investment advisor on December 11, 2009.

^B  The tax return of capital is calculated based on outstanding shares at the time of distribution.

^C  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.

^D  Not annualized.

^E  Annualized.

^F  Portfolio turnover rate is for the period from January 1 through December 31, 2010.

^G  Portfolio turnover rate is for the period from January 1 through December 31, 2009.

18

American Beacon Treasury Inflation Protected Securities Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

						Investor Class															A Class
						Six															Six
			Mar. 1			Months												Mar. 2			Months									May 17
			to			Ended												to			Ended			Year Ended						to
			Dec. 31,			June 30,			Year Ended December 31,									Dec. 31,			June 30,			December 31,						Dec. 31,
2011			2010			2013			2012			2011			2010			2009A			2013			2012			2011			2010
						(unaudited)															(unaudited)
$	10.60		$	10.25		$	10 .90		$	11.12		$	10.48		$	10.13		$	9 .25		$	10.93		$	11.15		$	10.54		$	10.35
	0.26			0.05			(0.05	)		0.06			0.24			0.06			0.14			(0.02	)		0.00			0.10			0 .04
	0.65			0.35			(0.54	)		0.42			0.66			0.41			0.79			(0.59	)		0.45			0.76			0 .19
	0.91			0.40			(0.59	)		0.48			0.90			0.47			0.93			(0.61	)		0.45			0.86			0 .23
	(0.26	)		(0 .05	)		—			(0.05	)		(0.25	)		(0.12	)		(0.05	)		—			(0.02	)		(0.24	)		(0 .04	)
	—			—			—			(0.49	)		—			—			—			—			(0.49	)		—			—
	(0.01	)B		—			—			(0 .16	)B		(0 .01	)B		—			—			—			(0.16	)B		(0.01	)B		—
	(0.27	)		(0 .05	)		—			(0.70	)		(0.26	)		(0.12	)		(0.05	)		—			(0.67	)		(0.25	)		(0.04	)
$	11.24		$	10.60		$	10 .31		$	10.90		$	11.12		$	10.48		$	10.13		$	10.32		$	10.93		$	11.15		$	10.54
	8.66	%		3.89	%D		(5.41	)%D		4.32	%		8.67	%		4.62	%		10.05	%D		(5.58	)%D		4.07	%		8.17	%		2.23	%D
$	501		$	365		$	15,663		$	19,438		$	19,920		$	15,262		$	5,868		$	825		$	741		$	855		$	155
	1.04	%		0.60	%E		0 .78	%E		0.77	%		0.77	%		0.75	%		0.81	%E		1.04	%E		1.07	%		1.32	%		0.99	%E
	0.63	%		0.60	%E		0 .69	%E		0.69	%		0.68	%		0.64	%		0.65	%E		1.00	%E		1.01	%		1.03	%		0.99	%E
	1.80	%		0.85	%E		(0.93	)%E		0.44	%		2.24	%		1.06	%		3.04	%E		(0.89	)%E		0.07	%		0.88	%		0.55	%E
	2.21	%		0.85	%E		(0.84	)%E		0.53	%		2.32	%		1.17	%		3.20	%E		(0.85	)%E		0.13	%		1.17	%		0.55	%E
	381	%		214	%F		136	%D		286	%		381	%		214	%		180	%G		136	%D		286	%		381	%		214	%F

19

American Beacon Treasury Inflation Protected Securities Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	C Class
	Six
	Months									Sept. 1
	Ended			Year Ended						to
	June 30,			December 31,						Dec. 31,
	2013			2012			2011			2010
	(unaudited)
Net asset value, beginning of period	$	10.77		$	11.06		$	10.46		$	10.38
Income from investment operations:
Net investment income (loss)		(0 .06	)		(0.05	)		0.13			0 .00
Net gains (losses) from investments (both realized and unrealized)		(0 .58	)		0.41			0.65			0 .08
Total income (loss) from investment operations		(0 .64	)		0.36			0.78			0 .08
Less distributions:
Dividends from net investment income		—			—			(0.17	)		—
Distributions from net realized gains on securities		—			(0.49	)		—			—
Tax return of capital		—			(0.16	)B		(0.01	)B		—
Total distributions		—			(0.65	)		(0.18	)		—
Net asset value, end of period	$	10.13		$	10.77		$	11.06		$	10.46
Total return C		(5.94	)%D		3.26	%		7.47	%		0.77	%D
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	406		$	307		$	266		$	153
Ratios to average net assets (annualized):
Expenses, before reimbursements		1.78	%E		1.79	%		2.62	%		1.77	%E
Expenses, net of reimbursements		1.78	%E		1.77	%		1.79	%		1.77	%E
Net investment income (loss), before reimbursements		(1.73	)%E		(0.61	)%		0.25	%		(0.05	)%E
Net investment income (loss), net of reimbursements		(1.73	)%E		(0.59	)%		1.08	%		(0.05	)%E
Portfolio turnover rate		136	%D		286	%		381	%		214	%F

^A  Standish Mellon Asset Management Company, LLC was added as an investment advisor on December 11, 2009.

^B  The tax return of capital is calculated based on outstanding shares at the time of distribution.

^C  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.

^D  Not annualized.

^E  Annualized.

^F  Portfolio turnover rate is for the period from January 1 through December 31, 2010.

^G  Portfolio turnover rate is for the period from January 1 through December 31, 2009.

20

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

At its May 29, 2013 meeting, the Board of Trustees (“Board”) considered the renewal of the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Beacon Trust”) on behalf of each of their series (collectively, the “Funds”) and the renewal of each investment advisory agreement between the Manager and a subadvisor (each an “Investment Advisory Agreement”). The Management Agreement and the Investment Advisory Agreements are collectively referred to herein as the “Agreements.” In preparation for the Board’s consideration to renew and approve these Agreements, the Board and its Investment Committee undertook steps to gather and consider information furnished by the Manager, the subadvisors, Lipper, Inc. (“Lipper”) and Morningstar, Inc. (“Morningstar”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and each subadvisor.

In addition, the Board’s Investment Committee worked with Lipper to obtain relevant comparative information regarding the performance, fees and expenses of the Funds. The Investment Committee, for the benefit of all Trustees, sponsored a separate meeting on May 10, 2013 to consider the information provided by Lipper. Further, the Board took into consideration information furnished for the Board’s review and consideration throughout the year at regular Board and Investment Committee meetings, as well as information specifically prepared in connection with the renewal process.

In connection with the Board’s consideration of the Management Agreement and each Investment Advisory Agreement, the Trustees received and evaluated such information as they deemed necessary. The information requested by the Board included, among other information, the following materials. For various reasons, a subadvisor may not have provided responses to each requested item. In these instances, the Board considered the materials that were received from such subadvisor. References herein to the “firm” refer to the Manager and/or each applicable subadvisor.

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

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

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

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

• any actual or anticipated economies of scale in relation to the services the firm provides or will provide to each Fund and whether the current fee rates charged or to be charged to each Fund reflect these economies of scale for the benefit of the Fund’s investors;

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

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

• a copy of the firm’s proxy voting policies and procedures and, if applicable, the name of the third-party voting service used by the firm;

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

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

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

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

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

• a description of the firm’s practices in monitoring the quality of portfolio holdings and in reviewing portfolio valuation, including any fair value determinations;

• a description of the firm’s use of derivatives, short positions, leveraged trading strategies or other similar trading strategies for the Funds;

• a discussion regarding the firm’s participation in third-party and/or proprietary “soft dollar” arrangements, if any, or other brokerage allocation policies with respect to Fund transactions;

• a discussion of the firm’s methodology for obtaining best execution, including any plans to improve the quality of execution in the upcoming year, and the use of any affiliated broker-dealers;

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

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

21

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

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

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

• a discussion of whether the firm utilizes “commission recapture” or “directed brokerage” arrangements for the benefit of the Funds or “step-out” transactions;

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

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

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

• confirmation that the firm is prepared to provide to the Manager, directly or in summary form, any regulatory review comments that could have a material impact on services provided to the Funds;

• a discussion of whether, due to the firm’s trading activities on behalf of the Funds, the firm would need to register, or qualify for exclusion from registration, as a commodity pool operator or commodity trading advisor pursuant to the recent amendments to Rule 4.5 under the Commodity Exchange Act with respect to the Funds and, if so, whether the firm would so register or be exempt;

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

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

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

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

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

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

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

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

• a profit/loss analysis of the Manager;

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

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

• a discussion of whether the Manager provides different types or levels of administrative and accounting related services to certain Funds;

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

• a description of arrangements pursuant to which certain firms may make any direct or indirect payments to partially reimburse the Manager for its marketing or other expenses on behalf of the Funds;

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

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

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

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

• confirmation that the Manager complies with applicable CFTC and National Futures Association rules and requirements for applicable Funds and a discussion regarding whether, due to the Manager’s trading activities on behalf of other Funds, the Manager would need to register, or qualify for exclusion from registration, as a commodity pool operator or commodity trading advisor pursuant to the recent amendment to Rule 4.5 under the Commodity Exchange Act with respect to the Funds and, if so, whether the firm would so register or be exempt.

In connection with the Management Agreement and each Investment Advisory Agreement, the Board also obtained an analysis provided by Lipper that compared: (i) investment performance of each Fund versus comparable investment companies and appropriate indices; (ii) total Fund expenses of each Fund versus comparable mutual funds; and (iii) each Fund’s investment advisory fee rate versus comparable mutual funds. For certain Funds, the Board also considered information regarding the performance of the Manager and individual subadvisors with respect to their allocated portions of a Fund’s portfolio, net of management or subadvisory fees, as applicable, but not other Fund expenses. For each Fund with more than one class of shares, the class of shares used for comparative purposes was the

22

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

class with the longest performance history, which in most cases was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.

Provided below is an overview of the primary factors the Trustees considered at the Investment Committee meeting on May 10, 2013 at which the Trustees reviewed the investment performance of the Manager and each subadvisor and the primary factors considered by the Board at its May 29, 2013 meeting at which the Board considered the renewal of the Management Agreement and Investment Advisory Agreements.

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

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

In determining whether to renew the Management Agreement and each Investment Advisory Agreement on behalf of the Funds, the Trustees considered the best interests of each Fund separately. While the Management Agreement and the Investment Advisory Agreements for all of the Funds were considered at the May 29, 2013 meeting, the Board considered each Fund’s investment management and subadvisory relationships separately.

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

Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Board considered, among other factors: each Fund’s long-term performance and the background and experience of key investment personnel at the Manager; the cost structure of the Funds; the Manager’s culture of compliance and support for compliance operations that reduce risks to the Funds; the Manager’s commitment to enhance the Funds’ product line and increase assets in the Funds; the Manager’s quality of services; the Manager’s active role in monitoring and, as appropriate, recommending additional or replacement subadvisors; the Manager’s commitment to training employees; and the Manager’s efforts to retain key employees and maintain staff levels.

With respect to the renewal of each Investment Advisory Agreement, the Trustees considered the level of staffing, quality, background and experience of each subadvisor’s investment personnel responsible for managing the Funds, the size of the subadvisor and the subadvisor’s ability to continue to attract and retain qualified investment personnel. The Board also considered the adequacy of the resources committed to the Funds by each subadvisor, and whether those resources were commensurate with the needs of the Funds and are sufficient to sustain appropriate levels of performance and compliance needs. In this regard, the Board considered the financial stability of each subadvisor. The Board also considered the subadvisors’ representations regarding their compliance programs and codes of ethics. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and each subadvisor were appropriate for each Fund and, thus, determined to renew the Management Agreement and the Investment Advisory Agreement for each Fund.

Investment Performance. The Board evaluated the comparative information provided by Lipper and the Manager regarding each Fund’s investment performance relative to its Lipper performance universe, Lipper performance group, and/or benchmark index(es). The Board considered the information provided by Lipper regarding its independent peer selection methodology to select all performance groups and universes. The Board also considered that the performance groups and universes selected by Lipper may not provide appropriate comparisons for each Fund. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also considered in each instance the Manager’s recommendation to continue to retain each subadvisor. A discussion regarding the Board’s considerations with respect to each Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to Each Fund.”

Costs of the Services Provided to the Fund and the Profits Realized by the Manager from its Relationship with the Funds. In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager. The profits or losses were noted at both an aggregate level for all Funds and at an individual Fund level, with some Funds being profitable for the Manager and with the Manager sustaining losses with respect to other Funds. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Funds, the difference reflects the greater level of responsibility and regulatory requirements associated with managing the Funds.

The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for certain Funds and classes that were in place during the last fiscal year. The Board further considered that with respect to each Fund, the Management

23

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager plus the amount payable by the Manager to a subadvisor. The Board also considered that the Manager receives service and administrative fees to compensate the Manager for providing administrative services to the Funds and to compensate third-party administrators and broker-dealers for services to Fund shareholders. In addition, the Board considered that the Manager receives management fees for overseeing the securities lending program on behalf of various Funds. The Board also noted that certain classes of the Funds maintain higher expense ratios in order to compensate third-party distributors.

In analyzing the cost of services for each subadvisor in connection with its investment advisory services to the Fund, the Board considered that, in many cases, the Manager has negotiated the lowest subadvisory fee rate a subadvisor charges for any comparable client accounts. The Board did not request profitability data from the subadvisors because the Board did not view this data as imperative to its deliberations given the arm’s-length nature of the relationship between the Manager and the subadvisors with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that subadvisors may not account for their profits on an account-by-account basis and, those that do, likely employ different methodologies in connection with these calculations.

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

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

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

Benefits Derived from the Relationship with the Funds. The Board considered the “fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisors as a result of the advisory relationships with the Funds, including greater exposure in the marketplace with respect to the Manager’s or subadvisor’s investment process and expanding the level of assets under management by the Manager and the subadvisors.

In addition, the Manager noted that the Funds also derive benefits from their association with the Manager. Specifically, the Board noted the Manager’s representation that it provides services to most Funds at a lower than industry average cost. The Board considered that certain of the subadvisors reimburse the Manager for certain of its costs relating to distribution activities for the Funds. The Board also considered that the Funds did not pay commissions to any affiliated broker-dealer of the Manager or the relevant subadvisor during the most recent fiscal year ended December 31, 2012.

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

Additional Considerations and Conclusions with Respect to each Fund. The performance comparisons below were made versus each Fund’s Lipper performance universe median, Lipper performance group median and/or benchmark index. References below to each Fund’s Lipper performance group and Lipper performance universe are to the respective group or universe of comparable mutual funds included in the analysis provided by Lipper. A Lipper performance group consists of the Fund and a representative sample of funds with similar investment classifications and objectives as the Fund, as selected by Lipper. A Lipper performance universe is an expansion of the performance group, providing a broader view of performance across the Fund’s investment classification/objective and allowing for a more extensive comparison. In reviewing the performance, the Trustees viewed longer-term performance over a full market cycle, typically five years or longer, as the most important consideration, because relative performance over shorter periods may be significantly impacted by market or economic events that do not reflect manager skill.

The expense comparisons below were made versus each Fund’s Lipper expense universe median and Lipper expense group median. References below to each Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Lipper. A Lipper expense group consists of the Fund and a representative sample of funds with similar operating structures, as selected by Lipper. A Lipper expense universe includes all funds in the investment classification/objective with a similar load type to the share class of the Fund included in the Lipper comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Trustees also considered a Fund’s Morningstar fee level category. In reviewing expenses, the Trustees considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the use of soft dollars was requested from the Manager and all subadvisors and was considered by the Trustees.

24

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

Additional Considerations and Conclusions with Respect to the American Beacon Treasury Inflation Protected Securities Fund. In considering the renewal of the Management Agreement for the American Beacon Treasury Inflation Protected Securities Fund, the Trustees considered the following additional factors: (1) the American Beacon Treasury Inflation Protected Securities Fund underperformed the Lipper performance universe median and Lipper performance group median for the one-, three- and five-year periods ended March 31, 2013; (2) the Manager’s representation that the Fund’s performance relative to its benchmark index may be more appropriate as compared to the peer universe because the peer universe funds generally have longer duration and invest in Treasury Inflation Protection Securities (“TIPS”), nominal Treasuries and foreign inflation-linked bonds, whereas the American Beacon Treasury Inflation Protected Securities Fund may invest only in U.S. TIPS; (3) the Fund underperformed its benchmark index for the one-, three- and five-year periods ended March 31, 2013; (4) the expense ratio of the Institutional Class of Fund shares was lower than the median of its Lipper expense universe and Lipper expense group; and (5) the Institutional Class of the Fund was categorized by Morningstar as having a low expense ratio.

In considering the renewal of the Investment Advisory Agreement with NISA Investment Advisors LLC (“NISA”) and Standish Mellon Asset Management LLC (“Standish”), the Trustees considered the following additional factors: (1) NISA underperformed the Lipper performance universe median for the one-, three- and five-year periods ended March 31, 2013; (2) Standish underperformed the Lipper performance universe median for the one- and three-year periods ended March 31, 2013; (3) the Manager’s explanation that NISA’s and Standish’s underperformance was due in part to their focus on shorter duration TIPS; (4) NISA outperformed its applicable benchmark index for the one-, three- and five-year periods ended March 31, 2013; (5) Standish outperformed its applicable benchmark index for the three-year period ended March 31, 2013, but underperformed its benchmark index for the one-year period; (6) representations by each subadvisor regarding fee rates charged by the subadvisor to other comparable clients; and (7) the Manager’s recommendation to continue to retain each subadvisor.

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

25

Delivery of Documents

eDelivery is NOW AVAILABLE- Stop traditional mail delivery and receive your

shareholder reports and summary prospectus on-line. Sign up at

www.americanbeaconfunds.com

If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Summary Prospectus, Annual Report and Semi-Annual Report, by e-mail. If you are interested in this option, please go to www.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.

To obtain more information about the Fund:

By E-mail: 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, 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 at 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 American Beacon Treasury Inflation Protected Securities Fund are service marks of American Beacon Advisors, Inc.

SAR 6/13

ITEM 2. CODE OF ETHICS.

The Trust did not amend the code of ethics that applies to its principal executive and financial officers (the “Code”) nor did it grant any waivers to the provisions of the Code during the period covered by the shareholder report presented in Item 1.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

The schedules of investments for each series of the Trust are included in the shareholder report presented in Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not Applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not Applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

The Trust has made no material changes to the procedures by which shareholders may recommend nominees to the Trust’s Board of Trustees since the Trust last disclosed such procedures in Schedule 14A.

ITEM 11. CONTROLS AND PROCEDURES.

(a) Based upon an evaluation within 90 days of the filing date of this report, the principal executive and financial officers concluded that the disclosure controls and procedures of the Trust are effective.

(b) There were no changes in the Trust’s internal control over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Not Applicable.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the Investment Company Act of 1940 is attached hereto as EX-99.CERT.

(a)(3) Not Applicable.

(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant): American Beacon Funds

By	/s/ Gene L. Needles, Jr.
	Gene L. Needles, Jr. President

Date: September 6, 2013

By	/s/ Melinda G. Heika
	Melinda G. Heika Treasurer

Date: September 6, 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

Date: September 6, 2013

By	/s/ Melinda G. Heika
	Melinda G. Heika Treasurer

Date: September 6, 2013