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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-4984

AMERICAN BEACON FUNDS

(Exact name of registrant as specified in charter)

4151 Amon Carter Boulevard, MD 2450

Fort Worth, Texas 76155

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

Gene L. Needles, Jr., PRESIDENT

4151 Amon Carter Boulevard, MD 2450

Fort Worth, Texas 76155

(Name and address of agent for service)

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

Date of fiscal year end: December 31, 2013

Date of reporting period: December 31, 2013

ITEM 1. REPORT TO STOCKHOLDERS.

About American Beacon Advisors

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

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

Contents

Message from American Beacon
Market and Performance Overviews
Schedules of Investments	14
Financial Statements
Notes to Financial Statements	28
Financial Highlights	46
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. The Stephens Small Cap Growth Fund may participate in a securities lending program. Please see the prospectus for a complete discussion of each Fund’s risks. There can be no assurances that the investment objectives of these Funds will be met.

Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. The advisor’s strategies and the Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.

        American Beacon Funds December 31, 2013        

Dear Shareholders,   The year 2013 was a record-setting one for the stock markets. The S&P 500 Index rose by more than 32%, marking its best gains since 1997.   The S&P 500 is generally considered a measure of large-cap stock performance. When you look at the performance of small- and mid-capitalization stocks, the gains for 2013 become even more impressive. The Russell Midcap Growth Index returned 35.74%, and the Russell 2000 Growth Index, a small-cap stock index, returned 43.30%.   Here at American Beacon, we often talk about downside protection, the idea that it is important for investors to have some protection

from the full brunt of a market downturn. It is equally important for their investments to participate in up markets, as we saw in 2013. We are proud to offer a broad range of equity funds that are capable of doing just that.

For the 12 months ended December 31, 2013:

• American Beacon Bridgeway Large Cap Value Fund (Investor Class) returned 37.28%.

• American Beacon Holland Large Cap Growth Fund (Investor Class) returned 32.21%.

• American Beacon Stephens Small Cap Growth Fund (Investor Class) returned 42.62%.

• American Beacon Stephens Mid-Cap Growth Fund (Investor Class) returned 32.71%.

Thank you for your continued investment in the American Beacon Funds. For additional information about the Funds or to access your account information, please visit our website at www.americanbeaconfunds.com.

Best Regards,

Gene L. Needles, Jr.

President

American Beacon Funds

1

Domestic Equity Market Overview

December 31, 2013 (Unaudited)

U.S. domestic equity markets continued their upward momentum from 2012 and notched double-digit gains in 2013, with the S&P 500 Index up 32.39% and the Russell 3000 Index up 33.55%. This was the fifth consecutive year that the S&P 500 Index has posted positive returns and the fourth out of five years that those gains were double digits. Smaller stocks fared even better: The Russell Midcap Index increased by 34.76% over the course of the year, while the Russell 2000 Index, a small-cap benchmark, rose by 38.82%.

The year started with a significant rally for domestic equity markets the day after Congress and the White House made a last-minute agreement to keep the U.S. from falling off the “fiscal cliff.” From there, broad equity market indexes crept into record territory spurred by improving economic conditions, solid earnings, the Federal Reserve (“the Fed”) continuing to pump money into the system, solid earnings, and turmoil in Washington settling down. Outside of the U.S., there was further concern about the future financial stability of the eurozone. Despite this uncertainty, U.S. equity markets continued to climb, buoyed by a rebounding housing market, strong corporate balance sheets, and lower unemployment. At the end of the first quarter, on March 28, the S&P 500 Index finally surpassed its pre-crash high, closing at its highest mark since October 2007.

The second quarter of 2013 was also positive, although with some ups and downs. Just as the disappointing unemployment numbers rattled the market in April, a positive surprise to the upside rallied the market in May with the unemployment rate dropping to 7.5% and employment increasing by 165,000 jobs. The stock market momentum tapered toward the end of the quarter with worries about the Fed scaling back asset purchases in response to economic stabilization, thus allowing long-term interest rates to rise.

The third quarter of 2013 continued the positive momentum of the prior quarters. Strong economic reports, strong earnings reports and further Fed talk gave way for a positive start to the quarter. However, there was talk in August that the Fed would slow asset purchases at its next meeting in late September, creating uncertainty in the markets and sending the indexes lower for the month. To the surprise of many, the Fed announced that stimulus measures would stay in place, contrary to the widely held belief that the Fed would begin scaling back its asset purchases.

The domestic equity markets rose sharply in the fourth quarter of 2013, capping off a year that was one of the best for stocks since 1995. The quarter began with the U.S. government entering a partial shutdown after Congress failed to pass a continuing resolution to fund the federal budget. Despite the turmoil, October was a positive month for the markets. November was a month of record high after record high for the broader U.S. markets with the Dow Jones Industrial Average setting 12 closing records. The quarter and the year ended with a strong month of gains in December. During the month, the Fed announced that it will reduce asset purchases by $10 billion per month starting in January while committing to keeping short-term interest rates near 0%.

All 10 of the S&P 500’s sectors ended the year with positive returns. The S&P 500 Index finished with its best year since 1997, and the Dow Jones Industrial Average had its best year since 1995. The small-cap Russell 2000 Index posted its best year since 2003 and its second-best year since 1991.

2

American Beacon Bridgeway Large Cap Value Fund^SM

Performance Overview

December 31, 2013 (Unaudited)

The Investor Class of the American Beacon Bridgeway Large Cap Value Fund (the “Fund”) returned 37.28% for the twelve months ended December 31, 2013. The Fund outperformed the Russell 1000^® Value Index (the “Index”) return of 32.53%.

Comparison of Change in Value of a $10,000 Investment for the Period from 12/31/03 through 12/31/13

Total Returns for the Period ended 12/31/13

	1 Year			5 Years			10 Years			Value of $10,000 12/31/03- 12/31/13
Institutional Class (1,7)		37.77	%		18.94	%		9.12	%	$	23,938
Y Class (1,2,7)		37.55	%		18.89	%		9.10	%		23,885
Investor Class (1,3,7)		37.28	%		18.78	%		9.05	%		23,778
A Class with sales charge (1,4,7)		29.16	%		17.31	%		8.36	%		22,328
A Class without sales charge (1,4,7)		37.01	%		18.71	%		9.01	%		23,700
C Class with sales charge (1,5,7)		35.02	%		18.42	%		8.88	%		23,414
C Class without sales charge (1,5,7)		36.02	%		18.42	%		8.88	%		23,414
Russell 1000 Value Index (6)		32.53	%		16.67	%		7.58	%		20,772

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 were waived since 2008 and since 2012 for the Y, Investor, A, and C Classes.

2. Fund performance for the five-year and ten-year periods represent the returns achieved by the Institutional Class from 12/31/03 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 12/31/03.

3. Fund performance for the five-year and ten-year periods represent the returns achieved by the Institutional Class from 12/31/03 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 12/31/03.

4. Fund performance for the five-year and ten-year periods represent the returns achieved by the Institutional Class from 12/31/03 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 12/31/03. 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 Institutional Class from 12/31/03 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 12/31/03. 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. 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.

3

American Beacon Bridgeway Large Cap Value Fund^SM

Performance Overview

December 31, 2013 (Unaudited)

From a stock selection standpoint, the Fund’s Energy and Consumer Staples companies contributed most to excess performance, adding approximately 105 (1.05%) and 80 (0.80%) basis points, respectively. In the Energy sector, an average underweight in Exxon Mobil (up 13.0%) and positions in Marathon Petroleum (up 48.8%) and Valero Energy (up 50.8%) contributed most to the Fund’s returns. Green Mountain Coffee (up 68.6%), Constellation Brands (up 52.6%) and an average underweight in Procter & Gamble (up 23.3%) were the largest contributors in the Consumer Staples sector. The Fund’s Information Technology sector, where Micron Technology (up 94.7%) and Western Digital (up 83.0%) were the largest contributors, also added relative value. Good performance in the aforementioned sectors was somewhat offset by poor stock selection in the Consumer Discretionary and Materials sectors. A large overweight in Dillard’s, which was only up 0.9%, and a position in Pulte Group (down 12.4%) detracted relative value in the Consumer Discretionary sector. Cliffs Natural Resources (down 53.1%) and not owning Rock Tenn, which was up 51.5% in the Index, detracted from performance in the Materials sector.

The Fund’s average overweight position in Consumer Discretionary and Information Tech-nology, the two best performing sectors in the Index, added approximately 25 (0.25%) and 20 (0.20%) basis points, respectively, through sector allocation. A significant overweight in the Consumer Staples sector also contributed to Fund performance.

The sub-advisor continues to invest in a broadly diversified portfolio of companies that they believe have attractive valuations and above-average earnings growth potential. This approach should allow the Fund to benefit over the longer term.

Top Ten Holdings (% Net Assets)

Southwest Airlines Co.	1.4
Valero Energy Corp.	1.4
Best Buy Co., Inc.	1.4
Marathon Petroleum Corp.	1.3
Micron Technology, Inc.	1.3
AT&T, Inc.	1.2
ConocoPhillips	1.2
WellPoint, Inc.	1.2
Pfizer, Inc.	1.2
Exxon Mobil Corp.	1.2
Total Fund Holdings	107

Sector Allocation (% Equities)

Financials	29.0
Energy	14.7
Consumer Discretionary	11.2
Information Technology	10.9
Industrials	10.1
Utilities	8.0
Health Care	7.1
Materials	4.5
Telecommunication Services	2.9
Consumer Staples	1.6

4

American Beacon Holland Large Cap Growth Fund^SM

Performance Overview

December 31 2013 (Unaudited)

The Investor Class of the American Beacon Holland Large Cap Growth Fund (the “Fund”) returned 32.21% for the twelve months ended December 31, 2013. The Fund trailed the Russell 1000^® Growth Index (the “Index”) return of 33.48%.

Comparison of Change in Value of a $10,000 Investment for the Period from 12/31/03 through 12/31/13

Total Returns for the Period ended 12/31/13

	1 Year			5 Years			10 Years			Value of $10,000 12/31/03- 12/31/13
Institutional Class (1,2,7)		32.73	%		19.68	%		7.35	%	$	20,322
Y Class (1,3,7)		32.59	%		19.62	%		7.32	%		20,272
Investor Class (1,7)		32.21	%		19.44	%		7.24	%		20,115
A Class with sales charge (1,4,7)		24.45	%		17.96	%		6.58	%		18,905
A Class without sales charge (1,4,7)		32.05	%		19.37	%		7.21	%		20,057
C Class with sales charge (1,5,7)		30.04	%		19.04	%		7.06	%		19,786
C Class without sales charge (1,5,7)		31.04	%		19.04	%		7.06	%		19,786
Russell 1000 Growth Index (6)		33.48	%		20.39	%		7.83	%		21,244

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 12/31/03 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 12/31/03.

3. Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 12/31/03 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 12/31/03.

4. Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 12/31/03 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 12/31/03. 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 12/31/03 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 12/31/03. 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 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. 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.

Prior to the deduction of expenses, the Fund performed in-line with the Index entirely due to favorable stock selection as sector allocation detracted value relative to the Index.

From a stock selection standpoint, holdings in the Consumer Discretionary sector added approximately 145 basis points (1.45%) to performance. Priceline.com (up 84.7%), Amazon.com (up 58.6%) and Under Armour (up

5

American Beacon Holland Large Cap Growth Fund^SM

Performance Overview

December 31, 2013 (Unaudited)

80.6%) had the greatest impact to performance in the Consumer Discretionary sector. Companies in the Financials sector also contributed to the Fund’s returns. In the Financials sector, TD Ameritrade (up 89.9%) and BlackRock (up 58.5%) were the largest contributors. Good performance in the afore-mentioned sectors was somewhat offset by poor stock selection in the Health Care sector which detracted more than 130 basis points (1.30%) from performance. Large overweights in Covidien (up 18.3%) and Davita Healthcare Partners (up 14.5%) detracted relative value.

The Fund’s underweight position in the Consumer Staples sector contributed approximately 30 basis points (0.30%) to performance through sector allocation. Being absent from Tele-communication Services, the worst performing sector in the Index, also added approximately 30 basis points (0.30%). A significant underweight position in the Industrials sector and an overweight in the Information Technology sector detracted from Fund performance.

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)

Qualcomm, Inc.	4.5
Visa, Inc.	4.3
Amazon.com, Inc.	4.2
Range Resources Corp.	4.0
Citrix Systems, Inc.	3.5
Google, Inc.	3.5
Apple, Inc.	3.0
Adobe Systems, Inc.	3.0
Priceline.com, Inc.	3.0
Cisco Systems, Inc.	2.7
Total Fund Holdings	47

Sector Allocation (% Equities)

Information Technology	34.9
Consumer Discretionary	19.1
Health Care	14.6
Energy	9.6
Consumer Staples	8.4
Industrials	6.8
Financials	3.7
Materials	2.9

6

American Beacon Stephens Small Cap Growth Fund^SM

Performance Overview

December 31, 2013 (Unaudited)

The Investor Class of the American Beacon Stephens Small Cap Growth Fund (the “Fund”) returned 42.62% for the twelve months ended December 31, 2013, trailing the Russell 2000^® Growth Index (the “Index”) return of 43.30% for the same period.

Comparison of Change in Value of a $10,000 Investment for the Period from 12/1/05 through 12/31/13

Total Returns for the Period ended 12/31/13

	1 Year			5 Years			Since Incep. 12/1/05			Value of $10,000 12/1/05- 12/31/13
Institutional Class (1,2,7)		42.93	%		23.94	%		11.12	%	$	21,668
Y Class (1,3,7)		42.88	%		23.74	%		9.54	%		20,889
Investor Class (1,7)		42.62	%		23.64	%		9.49	%		20,803
A Class with sales charge (1,4,7)		34.06	%		22.09	%		8.63	%		19,530
A Class without sales charge (1,4,7)		42.28	%		23.54	%		9.43	%		20,721
C Class with sales charge (1,5,7)		40.17	%		23.20	%		9.25	%		20,436
C Class without sales charge (1,5,7)		41.17	%		23.20	%		9.25	%		20,436
S&P 500 Index (6)		32.39	%		17.94	%		7.22	%		17,567
Russell 2000 Growth Index (6)		43.30	%		22.58	%		9.36	%		20,610

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 and the Russell 2000 Index are registered trademarks of Frank Russell Company. The Russell 2000 Growth Index is an unmanaged index of those stocks in the Russell 2000 Index with higher price-to-book ratios and higher forecasted growth values. The Russell 2000 Index is an unmanaged index of approximately 2000 smaller-capitalization stocks from various industrial sectors. 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.

Prior to the deduction of expenses, the Fund outperformed the Index as both stock selection and sector allocation added value relative to the Index.

From a stock selection standpoint, the Fund’s Financials sector added over 230 basis points (2.30%) to relative performance. Companies

7

American Beacon Stephens Small Cap Growth Fund^SM

Performance Overview

December 31, 2013 (Unaudited)

in the Financials sector that had the greatest impact to Fund performance were Euronet Worldwide (up 99.7%), Radian Group (up 90.9%) and Hilltop Holdings (up 69.8%). The Fund’s Health Care and Consumer Discretionary sectors also contributed to performance. In the Health Care sector, Medidata Solutions (up 210.4%), Pacira Pharmaceuticals (up 230.5%) and Proto Labs (up 85.3%) added the most relative value. Krispy Kreme Doughnuts (up 126.4%), Lions Gate Entertainment (up 97.7%) and DXP Enterprises (up 100.6%) were the largest contributors in the Consumer Discretionary sector. The aforementioned good performance was somewhat offset by poor stock selection in the Information Technology and Consumer Staples sectors which detracted approximately 185 (1.85%) and 105 (1.05%) basis points, respectively, from performance. OSI Systems (down 26.1%), Vocus (down 52.5%) and Semtech (down 14.2%) detracted most from Fund returns in the Information Technology sector. The Consumer Staples sector was hurt by The Fresh Market (up 1.5%) and Steiner Leisure (down 2.3%) which detracted relative value.

The Fund’s underweight in Materials, the worst performing sector in the Index, contributed more than 55 basis points (0.55%) to performance through sector allocation. This good performance was slightly offset by a significant overweight position in the Energy sector, which detracted approximately 20 basis points (0.20%) from the Fund’s returns.

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)

WageWorks, Inc.	1.8
Encore Capital Group, Inc.	1.8
CoStar Group, Inc.	1.7
Cardtronics, Inc.	1.6
Medidata Solutions, Inc., 144A	1.6
Aspen Technology, Inc.	1.5
United Natural Foods, Inc.	1.5
Proto Labs, Inc.	1.5
Neogen Corp.	1.5
Euronet Worldwide, Inc.	1.5
Total Fund Holdings	119

Sector Allocation (% Equities)

Information Technology	22.7
Health Care	20.5
Consumer Discretionary	14.5
Financials	14.5
Industrials	13.5
Energy	7.1
Consumer Staples	5.1
Materials	1.5
Telecommunication Services	0.6

8

American Beacon Stephens Mid-Cap Growth Fund^SM

Performance Overview

December 31, 2013 (Unaudited)

The Investor Class of the American Beacon Stephens Mid-Cap Growth Fund (the “Fund”) returned 32.71% for the twelve months ended December 31, 2013. The Fund trailed the Russell Midcap^® Growth Index (the “Index”) return of 35.74%.

Comparison of Change in Value of a $10,000 Investment

for the Period from 2/1/06 through 12/31/13

Total Returns for the Period ended 12/31/13

	1 Year			5 Years			Since Incep. 2/1/06			Value of $10,000 2/1/06- 12/31/13
Institutional Class (1,2,7)		33.14	%		23.14	%		10.34	%	$	20,581
Y Class (1,3,7)		32.96	%		22.96	%		8.14	%		18,575
Investor Class (1,7)		32.71	%		22.80	%		8.05	%		18,457
A Class with sales charge (1,4,7)		24.90	%		21.32	%		7.23	%		17,367
A Class without sales charge (1,4,7)		32.49	%		22.76	%		8.03	%		18,426
C Class with sales charge (1,5,7)		30.35	%		22.44	%		7.85	%		18,190
C Class without sales charge (1,5,7)		31.35	%		22.44	%		7.85	%		18,190
S&P 500 Index (6)		32.39	%		17.94	%		7.02	%		17,106
Russell Midcap Growth Index (6)		35.74	%		23.37	%		8.09	%		18,515

1. Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please call 1-800-967-9009 or visit www.americanbeaconfunds.com. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. A portion of the fees charged to each Class was waived since 2012. Performance prior to waiving fees was lower than the actual returns shown since 2012. The Institutional Class and Investor Class of the Fund have adopted the performance history of the Class I and Class A shares, respectively, of the Fund’s predecessor.

2. Fund performance for the since inception period represents the returns achieved by the Institutional Class since its inception of 8/31/06.

3. Fund performance for the 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. 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’s poor performance was attributed to stock selection as sector allocation added value relative to the Index. From a stock selection standpoint, holdings in the Industrials sector detracted from the Fund’s performance. HMS Holdings (down 11.9%) was the largest

9

American Beacon Stephens Mid-Cap Growth Fund^SM

Performance Overview

December 31, 2013 (Unaudited)

detractor in the Industrials sector. Not owning Delta Air Lines, which was up 132.6% in the Index, also negatively impacted Fund returns. Companies in the Health Care and Consumer Discretionary sectors also detracted value relative to the Index. In the Health Care sector, Intuitive Surgical (down 23.2%) and a significant overweight in Catamaran, which was only up 0.5%, detracted from the Fund’s performance. Lululemon Athletica (down 22.6%) and not owning Netflix, which was up 297.6% in the Index, hurt performance in the Consumer Discretionary sector. Good stock selection in the Financials and Information Technology sectors added relative value. In the Financials sector, Affiliated Managers Group (up 67.8%), SVB Financial Group (up 69.0%) and East West Bancorp (up 66.5%) were the largest contributors. Stratasys (up 74.5%), Cree (up 83.9%) and Alliance Data Systems (up 81.6%) added to performance in the Information Technology sector.

A significant underweight in the Materials sector contributed more than 60 basis points (0.60%) relative to the Index through sector allocation. This was mostly offset by an overweight in the Information Technology sector which detracted more than 50 basis points (0.50%) from the Fund’s returns.

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)

Illumina, Inc.	1.8
LKQ Corp.	1.7
Cerner Corp.	1.7
Core Laboratories NV	1.6
Stericycle, Inc.	1.5
IntercontinentalExchange Group, Inc.	1.5
B/E Aerospace, Inc.	1.5
Alliance Data Systems Corp.	1.5
Verisk Analytics, Inc.	1.5
Affiliated Managers Group, Inc.	1.4
Total Fund Holdings	103

Sector Allocation (% Equities)

Information Technology	23.8
Consumer Discretionary	21.8
Health Care	17.6
Industrials	13.2
Energy	9.1
Financials	8.1
Consumer Staples	5.0
Materials	1.4

10

American Beacon Funds^SM

Fund Expenses

December 31, 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, distribution (12b-1) fees, and other Fund expenses. The examples below are intended to help you understand the ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 invested at the beginning of the period in each Class and held for the entire period from July 1, 2013 through December 31, 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 Institutional and Investor 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 Institutional and Investor 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.

11

American Beacon Funds^SM

Fund Expenses

December 31, 2013 (Unaudited)

Bridgeway Large Cap Value Fund

	Beginning Account Value 7/1/13		Ending Account Value 12/31/13		Expenses Paid During Period* 7/1/13-12/31/13
Institutional Class
Actual	$	1,000.00	$	1,174.03	$	4.60
Hypothetical **	$	1,000.00	$	1,020.97	$	4.28
Y Class
Actual	$	1,000.00	$	1,173.27	$	5.15
Hypothetical **	$	1,000.00	$	1,020.47	$	4.79
Investor Class
Actual	$	1,000.00	$	1,171.95	$	5.97
Hypothetical **	$	1,000.00	$	1,019.71	$	5.55
A Class
Actual	$	1,000.00	$	1,170.60	$	7.33
Hypothetical **	$	1,000.00	$	1,018.45	$	6.82
C Class
Actual	$	1,000.00	$	1,166.95	$	11.42
Hypothetical **	$	1,000.00	$	1,014.67	$	10.61

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.84%, 0.94%, 1.09%, 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 (184) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

Holland Large Cap Growth Fund

	Beginning Account Value 7/1/13		Ending Account Value 12/31/13		Expenses Paid During Period* 7/1/13-12/31/13
Institutional Class
Actual	$	1,000.00	$	1,173.97	$	4.88
Hypothetical **	$	1,000.00	$	1,020.72	$	4.53
Y Class
Actual	$	1,000.00	$	1,172.71	$	5.42
Hypothetical **	$	1,000.00	$	1,020.21	$	5.04
Investor Class
Actual	$	1,000.00	$	1,171.33	$	6.95
Hypothetical **	$	1,000.00	$	1,018.80	$	6.46
A Class
Actual	$	1,000.00	$	1,170.88	$	7.61
Hypothetical **	$	1,000.00	$	1,018.20	$	7.07
C Class
Actual	$	1,000.00	$	1,165.88	$	11.68
Hypothetical **	$	1,000.00	$	1,014.42	$	10.87

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

** 5% return before expenses.

Stephens Small Cap Growth Fund

	Beginning Account Value 7/1/13		Ending Account Value 12/31/13		Expenses Paid During Period* 7/1/13-12/31/13
Institutional Class
Actual	$	1,000.00	$	1,216.08	$	6.14
Hypothetical **	$	1,000.00	$	1,019.66	$	5.60
Y Class
Actual	$	1,000.00	$	1,215.50	$	6.65
Hypothetical **	$	1,000.00	$	1,019.21	$	6.06
Investor Class
Actual	$	1,000.00	$	1,214.34	$	7.53
Hypothetical **	$	1,000.00	$	1,018.40	$	6.87
A Class
Actual	$	1,000.00	$	1,212.82	$	8.87
Hypothetical **	$	1,000.00	$	1,017.19	$	8.08
C Class
Actual	$	1,000.00	$	1,208.05	$	13.02
Hypothetical **	$	1,000.00	$	1,013.41	$	11.88

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 1.09%, 1.19%, 1.35%, 1.59% and 2.34% for the Institutional, Y, Investor, A and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (184) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

Stephens Mid-Cap Growth Fund

	Beginning Account Value 7/1/13		Ending Account Value 12/31/13		Expenses Paid During Period* 7/1/13-12/31/13
Institutional Class
Actual	$	1,000.00	$	1,178.06	$	5.44
Hypothetical **	$	1,000.00	$	1,020.21	$	5.04
Y Class
Actual	$	1,000.00	$	1,177.99	$	5.98
Hypothetical **	$	1,000.00	$	1,019.71	$	5.55
Investor Class
Actual	$	1,000.00	$	1,176.39	$	7.52
Hypothetical **	$	1,000.00	$	1,018.30	$	6.97
A Class
Actual	$	1,000.00	$	1,175.12	$	8.17
Hypothetical **	$	1,000.00	$	1,017.69	$	7.58
C Class
Actual	$	1,000.00	$	1,171.31	$	12.26
Hypothetical **	$	1,000.00	$	1,013.91	$	11.37

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.99%, 1.09%, 1.37%, 1.49% and 2.24% for the Institutional, Y, Investor, A and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (184) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

12

American Beacon Funds^SM

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of

American Beacon Bridgeway Large Cap Value Fund, American Beacon Holland Large Cap Growth Fund, American Beacon Stephens Mid-Cap Growth Fund, and American Beacon Stephens Small Cap Growth Fund:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of American Beacon Bridgeway Large Cap Value Fund, American Beacon Holland Large Cap Growth Fund, American Beacon Stephens Mid-Cap Growth Fund, and American Beacon Stephens Small Cap Growth Fund (four of the funds constituting the American Beacon Funds) (collectively, the “Funds”), as of December 31, 2013, the related statements of operations for the year then ended, and the statements of changes in net assets and the financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of each Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of American Beacon Bridgeway Large Cap Value Fund, American Beacon Holland Large Cap Growth Fund, American Beacon Stephens Mid-Cap Growth Fund, and American Beacon Stephens Small Cap Growth Fund at December 31, 2013, the results of their operations for the year then ended, and the changes in their net assets and the financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Dallas, Texas

February 28, 2014

13

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

December 31, 2013

	Shares		Fair Value
			(000’s)
COMMON STOCK - 95.69%
CONSUMER DISCRETIONARY - 10.73%
Auto Components - 1.86%
Lear Corp.		53,000	$	4,292
TRW Automotive Holdings Corp.A		44,000		3,273
				7,565
Automobiles - 1.99%
Ford Motor Co.		240,540		3,712
General Motors Co.A		107,780		4,405
				8,117
Household Durables - 1.69%
Garmin Ltd.		55,200		2,551
Snap-On, Inc.		39,500		4,326
				6,877
Media - 2.12%
Comcast Corp., Class A		84,000		4,365
Twenty-First Century Fox, Inc., Class A		122,980		4,326
				8,691
Multiline Retail - 1.72%
Kohl’s Corp.		49,800		2,826
Macy’s, Inc.		78,100		4,171
				6,997
Specialty Retail - 1.35%
Best Buy Co., Inc.		138,000		5,503
Total Consumer Discretionary				43,750
CONSUMER STAPLES - 1.51%
Food & Drug Retailing - 0.57%
Sysco Corp.		64,590		2,332
Food Products - 0.94%
Tyson Foods, Inc., Class A		114,100		3,817
Total Consumer Staples				6,149
ENERGY - 14.02%
Chevron Corp.		25,024		3,126
Cimarex Energy Co.		29,200		3,063
ConocoPhillips		69,410		4,904
Denbury Resources, Inc.A		238,800		3,923
Exxon Mobil Corp.		48,170		4,875
Hess Corp.		51,000		4,233
HollyFrontier Corp.		93,540		4,648
Marathon Petroleum Corp.		59,970		5,501
Murphy Oil Corp.		32,600		2,115
Noble Energy, Inc.		59,530		4,055
Phillips 66		60,700		4,682
Tesoro Corp.		47,050		2,752
Valero Energy Corp.		109,200		5,505
Whiting Petroleum Corp.A		60,650		3,752
Total Energy				57,134
FINANCIALS - 27.76%
Banks - 5.75%
Fifth Third Bancorp		149,300		3,140
Huntington Bancshares, Inc.		406,300		3,920
KeyCorp		237,300		3,185
Northern Trust Corp.		41,700		2,581
PNC Financial Services Group, Inc.		41,100		3,189

	Shares		Fair Value
			(000’s)
Regions Financial Corp.		380,800	$	3,766
U.S. Bancorp		90,200		3,644
				23,425
Diversified Financials - 7.74%
Capital One Financial Corp.		50,200		3,846
Citigroup, Inc.		74,100		3,861
Discover Financial Services		67,600		3,782
Goldman Sachs Group, Inc.		21,400		3,793
JPMorgan Chase & Co.		67,900		3,971
Morgan Stanley		127,500		3,998
SLM Corp.		109,900		2,888
State Street Corp.		32,900		2,415
Wells Fargo & Co.		65,700		2,983
				31,537
Insurance - 14.27%
ACE Ltd.		29,400		3,044
Aflac, Inc.		46,500		3,106
Allstate Corp.		59,000		3,218
American International Group, Inc.		68,800		3,512
Chubb Corp.		28,400		2,744
CNA Financial Corp.		64,700		2,775
Everest Re Group Ltd.		19,900		3,102
Fidelity National Financial, Inc., Class A		105,600		3,427
Genworth Financial, Inc., Class AA		228,470		3,548
Lincoln National Corp.		52,500		2,710
Loews Corp.		69,900		3,372
Marsh & McLennan Cos., Inc.		64,100		3,100
Principal Financial Group, Inc.		66,900		3,299
Prudential Financial, Inc.		40,600		3,745
Torchmark Corp.		41,600		3,251
Travelers Cos., Inc.		35,400		3,205
Unum Group		100,900		3,540
WR Berkley Corp.		80,300		3,484
				58,182
Total Financials				113,144
HEALTH CARE - 6.81%
Health Care Equipment & Supplies - 0.76%
Boston Scientific Corp.A		259,200		3,116
Health Care Providers & Services - 3.21%
Cigna Corp.		44,500		3,893
HCA Holdings, Inc. A		89,500		4,270
WellPoint, Inc.		53,010		4,897
				13,060
Pharmaceuticals - 2.84%
Eli Lilly & Co.		84,830		4,326
Johnson & Johnson		25,810		2,364
Pfizer, Inc.		159,220		4,877
				11,567
Total Health Care				27,743
INDUSTRIALS - 9.62%
Aerospace & Defense - 2.85%
L-3 Communications Holdings, Inc.		35,900		3,836
Northrop Grumman Corp.		41,900		4,802
Raytheon Co.		32,560		2,953
				11,591
Airlines - 2.52%
Delta Air Lines, Inc.		163,000		4,478

See accompanying notes

14

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

December 31, 2013

	Shares		Fair Value
			(000’s)
Southwest Airlines Co.		307,800	$	5,799
				10,277
Commercial Services & Supplies - 0.94%
Cintas Corp.		64,100		3,820
Electrical Equipment - 0.93%
First Solar, Inc.A		69,700		3,808
Electronic Equipment & Instruments - 0.56%
Energizer Holdings, Inc.		21,200		2,295
Machinery - 1.82%
AGCO Corp.		54,000		3,196
Danaher Corp.		54,600		4,215
				7,411
Total Industrials				39,202
INFORMATION TECHNOLOGY - 10.47%
Communications Equipment - 0.85%
Cisco Systems, Inc.		153,500		3,446
Computers & Peripherals - 2.36%
Hewlett-Packard Co.		173,260		4,848
Western Digital Corp.		57,000		4,782
				9,630
IT Consulting & Services - 1.38%
Computer Sciences Corp.		55,100		3,079
Paychex, Inc.		55,500		2,527
				5,606
Office Electronics - 1.13%
Xerox Corp.		378,700		4,609
Semiconductor Equipment & Products - 1.26%
Micron Technology, Inc.A		235,400		5,122
Software - 3.49%
Activision Blizzard, Inc.		218,500		3,896
Amdocs Ltd.		95,900		3,955
Electronic Arts, Inc.A		148,700		3,411
Synopsys, Inc.A		74,000		3,002
				14,264
Total Information Technology				42,677
MATERIALS - 4.33%
Chemicals - 1.97%
CF Industries Holdings, Inc.		17,500		4,078
Sigma-Aldrich Corp.		42,100		3,958
				8,036
Containers & Packaging - 0.72%
Rock-Tenn Co., Class A		28,100		2,951
Metals & Mining - 1.64%
Freeport-McMoRan Copper & Gold, Inc.		119,900		4,525
Newmont Mining Corp.		93,400		2,151
				6,676
Total Materials				17,663
TELECOMMUNICATION SERVICES - 2.75%
AT&T, Inc.		141,049		4,959
CenturyLink, Inc.		67,000		2,134

	Shares		Fair Value
			(000’s)
Level 3 Communications, Inc.A		123,700	$	4,103
Total Telecommunication Services				11,196
UTILITIES - 7.69%
Electric - 6.31%
AES Corp.		264,400		3,836
Alliant Energy Corp.		40,700		2,100
Edison International		90,800		4,204
Entergy Corp.		48,700		3,081
Exelon Corp.		132,700		3,635
Pinnacle West Capital Corp.		36,400		1,926
PPL Corp.		119,400		3,593
Public Service Enterprise Group, Inc.		104,700		3,355
				25,730
Gas - 0.89%
AGL Resources, Inc.		76,800		3,627
Multi-Utilities - 0.49%
Xcel Energy, Inc.		71,400		1,995
Total Utilities				31,352
Total Common Stock (Cost $351,936)				390,010
SHORT-TERM INVESTMENTS - 3.79% (Cost $15,430)
JPMorgan U.S. Government Money Market Fund, Capital Class		15,430,192		15,430
TOTAL INVESTMENTS - 99.48% (Cost $367,366)				405,440
OTHER ASSETS, NET OF LIABILITIES - 0.52%				2,123
TOTAL NET ASSETS - 100.00%			$	407,563

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

See accompanying notes

15

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

December 31, 2013

Futures Contracts Open on December 31, 2013 (000’s):

Description	Type		Number of Contracts		Expiration Date		Contract Value		Unrealized Appreciation (Depreciation)
S&P 500 Mini E Index Futures		Long		157		March, 2014	$	14,453	$	257
							$	14,453	$	257

See accompanying notes

16

American Beacon Holland Large Cap Growth Fund^SM

Schedule of Investments

December 31, 2013

	Shares		Fair Value
			(000’s)
COMMON STOCK - 98.16%
CONSUMER DISCRETIONARY - 18.71%
Hotels, Restaurants & Leisure - 2.48%
Yum! Brands, Inc.		31,300	$	2,367
Internet & Catalog Retail - 7.22%
Amazon.com, Inc.A		10,025		3,998
priceline.com, Inc.A		2,495		2,900
				6,898
Media - 2.06%
Twenty-First Century Fox, Inc., Class A		55,950		1,968
Specialty Retail - 3.79%
Advance Auto Parts, Inc.		16,750		1,854
GNC Holdings, Inc., Class A		30,250		1,768
				3,622
Textiles & Apparel - 3.16%
NIKE, Inc., Class B		20,250		1,592
Under Armour, Inc., Class AA		16,300		1,423
				3,015
Total Consumer Discretionary				17,870
CONSUMER STAPLES - 8.18%
Beverages - 3.48%
Monster Beverage Corp.A		21,200		1,437
PepsiCo, Inc.		22,800		1,891
				3,328
Food & Drug Retailing - 3.95%
Costco Wholesale Corp.		16,180		1,926
Mead Johnson Nutrition Co., Class A		22,000		1,843
				3,769
Household Products - 0.75%
Procter & Gamble Co.		8,850		720
Total Consumer Staples				7,817
ENERGY - 9.43%
Energy Equipment & Services - 3.78%
Cameron International Corp.A		27,850		1,658
Halliburton Co.		38,500		1,954
				3,612
Oil & Gas - 5.65%
Occidental Petroleum Corp.		16,250		1,545
Range Resources Corp.		45,625		3,847
				5,392
Total Energy				9,004
FINANCIALS - 3.59%
BlackRock, Inc., Class A		4,495		1,422
Greenhill & Co., Inc.		18,500		1,072
TD Ameritrade Holding Corp.		30,600		938
Total Financials				3,432
HEALTH CARE - 14.36%
Biotechnology - 6.54%
BioMarin Pharmaceutical, Inc.A		31,300		2,199
Gilead Sciences, Inc.A		29,050		2,183
Vertex Pharmaceuticals, Inc.A		25,100		1,865
				6,247

	Shares		Fair Value
			(000’s)
Health Care Equipment & Supplies - 2.01%
Covidien PLC B		28,130	$	1,916
Health Care Providers & Services - 3.84%
Cerner Corp.A		28,100		1,566
DaVita HealthCare Partners, Inc.A		33,240		2,107
				3,673
Pharmaceuticals - 1.97%
Bristol-Myers Squibb Co.		35,350		1,879
Total Health Care				13,715
INDUSTRIALS - 6.72%
Aerospace & Defense - 1.30%
United Technologies Corp.		10,900		1,240
Electrical Equipment - 1.70%
Roper Industries, Inc.		11,690		1,621
Industrial Conglomerates - 2.35%
Honeywell International, Inc.		24,550		2,244
Machinery - 1.37%
WABCO Holdings, Inc.A		14,050		1,312
Total Industrials				6,417
INFORMATION TECHNOLOGY - 34.28%
Communications Equipment - 4.04%
Cisco Systems, Inc.		115,400		2,591
NeuStar, Inc., Class AA		25,450		1,269
				3,860
Computers & Peripherals - 5.10%
Apple, Inc.		5,180		2,907
International Business Machines Corp.		10,500		1,969
				4,876
Internet Software & Services - 3.45%
Google, Inc., Class AA		2,945		3,300
IT Consulting & Services - 7.20%
Automatic Data Processing, Inc.		10,750		869
IHS, Inc., Class AA		15,645		1,873
Visa, Inc., Class A		18,585		4,138
				6,880
Semiconductor Equipment & Products - 4.52%
Qualcomm, Inc.		58,200		4,321
Software - 9.97%
Adobe Systems, Inc.A		47,300		2,832
Citrix Systems, Inc.A		52,900		3,346
Intuit, Inc.		15,500		1,183
MICROS Systems, Inc.A		22,250		1,276
Microsoft Corp.		23,450		878
				9,515
Total Information Technology				32,752
MATERIALS - 2.89%
Ecolab, Inc.		9,450		985
Praxair, Inc.		13,645		1,775
Total Materials				2,760

See accompanying notes

17

American Beacon Holland Large Cap Growth Fund^SM

Schedule of Investments

December 31, 2013

	Shares		Fair Value
			(000’s)
Total Common Stock (Cost $61,344)			$	93,767
SHORT-TERM INVESTMENTS - 1.90% (Cost $1,818)
JPMorgan U.S. Government Money Market Fund, Capital Class		1,817,680		1,818
TOTAL INVESTMENTS - 100.06% (Cost $63,162)				95,585
LIABILITIES, NET OF OTHER ASSETS - (0.06%)				(57	)
TOTAL NET ASSETS - 100.00%			$	95,528

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

^B  Public Limited Company.

Futures Contracts Open on December 31, 2013 (000’s):

Description	Type		Number of Contracts		Expiration Date		Contract Value		Unrealized Appreciation (Depreciation)
S&P 500 Mini E Index Futures		Long		19		March, 2014	$	1,749	$	67
							$	1,749	$	67

See accompanying notes

18

American Beacon Stephens Small Cap Growth Fund^SM

Schedule of Investments

December 31, 2013

	Shares		Fair Value
			(000’s)
COMMON STOCK - 97.16%
CONSUMER DISCRETIONARY - 14.12%
Distributors - 1.54%
Beacon Roofing Supply, Inc.A		124,800	$	5,027
DXP Enterprises, Inc.A		50,900		5,864
				10,891
Hotels, Restaurants & Leisure - 5.46%
Buffalo Wild Wings, Inc.A		29,200		4,298
Chuy’s Holdings, Inc.A		258,834		9,323
Del Frisco’s Restaurant Group, Inc.A		275,200		6,486
Krispy Kreme Doughnuts, Inc.A		438,866		8,466
National CineMedia, Inc.		456,100		9,104
Potbelly Corp.A B		43,200		1,049
				38,726
Media - 4.07%
DreamWorks Animation SKG, Inc., Class AA B		192,300		6,827
IMAX Corp.A B		310,878		9,164
Lions Gate Entertainment Corp.B		198,212		6,275
Pandora Media, Inc.A		99,400		2,644
Shutterstock, Inc.A B		47,143		3,943
				28,853
Movies & Entertainment - 0.60%
SFX Entertainment, Inc.A B		352,900		4,235
Specialty Retail - 2.45%
Aaron’s, Inc.		249,618		7,339
Cabela’s, Inc.A		57,300		3,820
Container Store Group, Inc.A B		54,891		2,558
Monro Muffler Brake, Inc.		64,500		3,635
				17,352
Total Consumer Discretionary				100,057
CONSUMER STAPLES - 4.96%
Food & Drug Retailing - 2.54%
Annie’s, Inc.A B		174,262		7,500
United Natural Foods, Inc.A		140,040		10,558
				18,058
Food Products - 1.95%
Boulder Brands, Inc.A		455,559		7,225
TreeHouse Foods, Inc.A		95,500		6,582
				13,807
Personal Products - 0.47%
Steiner Leisure Ltd.A		67,500		3,320
Total Consumer Staples				35,185
ENERGY - 6.91%
Energy Equipment & Services - 3.78%
Dril-Quip, Inc.A		59,800		6,575
Forum Energy Technologies, Inc.A		183,400		5,183
Hercules Offshore, Inc.A		595,000		3,885
Hornbeck Offshore Services, Inc.A		64,900		3,195
Pacific Drilling S.A.A		365,600		4,190
Tetra Technologies, Inc.A		304,400		3,762
				26,790
Oil & Gas - 3.13%
Athlon Energy, Inc.A		114,600		3,467
Carrizo Oil & Gas, Inc.A		149,000		6,671
Kodiak Oil & Gas Corp.A		396,100		4,440

	Shares		Fair Value
			(000’s)
Pioneer Energy Services Corp.A		582,200	$	4,663
Rosetta Resources, Inc.A		61,100		2,935
				22,176
Total Energy				48,966
FINANCIALS - 14.05%
Banks - 2.85%
Bancorp, Inc.A		333,745		5,977
East West Bancorp, Inc.		103,200		3,609
SVB Financial GroupA		44,600		4,677
ViewPoint Financial Group, Inc.		215,300		5,910
				20,173
Diversified Financials - 7.79%
Cardtronics, Inc.A		253,500		11,014
Demandware, Inc.A		83,000		5,322
Encore Capital Group, Inc.A B		250,629		12,596
Euronet Worldwide, Inc.A		216,500		10,359
First Cash Financial Services, Inc.A		108,660		6,720
Portfolio Recovery Associates, Inc.		174,200		9,205
				55,216
Insurance - 2.74%
eHealth, Inc.A		95,600		4,444
Hilltop Holdings, Inc.A		400,400		9,262
ProAssurance Corp.		118,400		5,740
				19,446
Real Estate - 0.67%
Move, Inc.A		298,100		4,767
Total Financials				99,602
HEALTH CARE - 19.93%
Biotechnology - 4.20%
Cepheid, Inc.A B		174,500		8,153
Cubist Pharmaceuticals, Inc.A		68,800		4,738
Myriad Genetics, Inc.A B		118,429		2,485
Neogen Corp.A		230,050		10,513
Techne Corp.		40,700		3,853
				29,742
Health Care Equipment & Supplies - 3.49%
Medidata Solutions, Inc.A		188,542		11,420
NuVasive, Inc.A		173,180		5,599
Thoratec Corp.A		131,600		4,817
Volcano Corp.A B		133,005		2,906
				24,742
Health Care Providers & Services - 5.77%
Acadia Healthcare Co., Inc.A		170,700		8,079
Advisory Board Co.A		144,425		9,196
IPC The Hospitalist Co., Inc.A		124,360		7,386
MAXIMUS, Inc.		73,800		3,246
PAREXEL International Corp.A		175,700		7,938
VCA Antech, Inc.A		160,455		5,032
				40,877
Pharmaceuticals - 6.47%
Akorn, Inc.A		360,500		8,879
ICON PLCAE		221,700		8,959
Ligand Pharmaceuticals, Inc.		57,300		3,014
Pacira Pharmaceuticals, Inc.A		152,800		8,784
Proto Labs, Inc.A B		148,040		10,538

See accompanying notes

19

American Beacon Stephens Small Cap Growth Fund^SM

Schedule of Investments

December 31, 2013

	Shares		Fair Value
			(000’s)
Salix Pharmaceuticals Ltd.A		63,600	$	5,720
				45,894
Total Health Care				141,255
INDUSTRIALS - 13.15%
Aerospace & Defense - 0.91%
Astronics Corp.		127,113		6,483
Air Freight & Couriers - 0.66%
Echo Global Logistics, Inc.A		217,800		4,678
Building Products - 0.80%
Trex Co., Inc.A		71,300		5,670
Commercial Services & Supplies - 7.07%
Clean Harbors, Inc.A		56,000		3,358
Corporate Executive Board Co.		96,700		7,487
CoStar Group, Inc.A		65,901		12,164
HMS Holdings Corp.A		298,169		6,777
Marlin Business Services Corp.		140,579		3,543
Tetra Tech, Inc.A		142,600		3,990
WageWorks, Inc.A		214,002		12,721
				50,040
Diversified Manufacturing - 0.39%
Acuity Brands, Inc.		25,400		2,777
Electrical Equipment - 0.64%
Power Solutions International, Inc.A		60,620		4,553
Industrial Conglomerates - 0.46%
RPX Corp.A		193,600		3,272
Machinery - 1.70%
Chart Industries, Inc.A		36,146		3,457
ExOne Co.A B		45,800		2,769
RBC Bearings, Inc.A		81,700		5,780
				12,006
Trading Companies & Distributors - 0.52%
MSC Industrial Direct Co., Inc., Class A		45,845		3,707
Total Industrials				93,186
INFORMATION TECHNOLOGY - 22.08%
Communications Equipment - 0.93%
Aruba Networks, Inc.A		217,800		3,898
Procera Networks, Inc.A		179,619		2,698
				6,596
Computers & Peripherals - 1.31%
Stratasys Ltd.A B		68,800		9,267
Electronic Equipment & Instruments - 0.62%
Hittite Microwave Corp.A		71,300		4,401
Internet Software & Services - 6.75%
Athenahealth, Inc.A B		66,502		8,945
Cornerstone OnDemand, Inc.A		81,500		4,347
Fortinet, Inc.A		220,400		4,216
Global Eagle Entertainment, Inc.A B		391,300		5,819
HealthStream, Inc.A		170,614		5,591
Infoblox, Inc.A		158,500		5,234
Proofpoint, Inc.A		143,926		4,774
Shutterfly, Inc.A		105,672		5,382

	Shares		Fair Value
			(000’s)
Zix Corp.		768,200	$	3,503
				47,811
IT Consulting & Services - 0.68%
Tyler Technologies, Inc.		47,384		4,839
Office Electronics - 0.15%
voxeljet AG, ADRA B C		26,700		1,054
Semiconductor Equipment & Products - 4.54%
8x8, Inc.A		404,300		4,108
Cavium, Inc.A		120,900		4,172
Intermolecular, Inc.A		345,200		1,698
Microsemi Corp.		216,530		5,402
Power Integrations, Inc.		149,000		8,317
Rudolph Technologies, Inc.A		262,400		3,081
Semtech Corp.A		212,486		5,372
				32,150
Software - 7.10%
Aspen Technology, Inc.A		252,648		10,560
Cognex Corp.		270,000		10,309
inContact, Inc.A		482,800		3,771
MICROS Systems, Inc.A		77,700		4,458
National Instruments Corp.		97,267		3,114
PROS Holdings, Inc.A		214,000		8,539
Qlik Technologies, Inc.A		100,600		2,679
Ultimate Software Group, Inc.A		44,600		6,834
				50,264
Total Information Technology				156,382
MATERIALS - 1.43%
Chemicals - 0.59%
Balchem Corp.		71,300		4,185
Metals & Mining - 0.84%
Mueller Water Products, Inc., Class A		635,700		5,957
Total Materials				10,142
TELECOMMUNICATION SERVICES - 0.53%
Ruckus Wireless, Inc.A		265,000		3,763
Total Common Stock (Cost $552,008)				688,538
SHORT-TERM INVESTMENTS - 3.17% (Cost $22,491)
JPMorgan U.S. Government Money Market Fund, Capital Class		22,490,827		22,491
SECURITIES LENDING COLLATERAL - 9.78%
DWS Government and Agency Securities Portfolio, Institutional Class		20,738,611		20,739
American Beacon U.S. Government Money Market Select Fund, Select ClassD		48,607,474		48,607
Total Securities Lending Collateral (Cost $69,346)				69,346

See accompanying notes

20

American Beacon Stephens Small Cap Growth Fund^SM

Schedule of Investments

December 31, 2013

	Shares	Fair Value
		(000’s)
TOTAL INVESTMENTS - 110.11% (Cost $643,845)		$	780,375
LIABILITIES, NET OF OTHER ASSETS - (10.11%)			(71,650	)
TOTAL NET ASSETS - 100.00%		$	708,725

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

^B  All or a portion of this security is on loan at December 31, 2013.

^C  ADR - American Depositary Receipt.

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

^E  Public Limited Company.

See accompanying notes

21

American Beacon Stephens Mid-Cap Growth Fund^SM

Schedule of Investments

December 31, 2013

	Shares		Fair Value
			(000’s)
COMMON STOCK - 98.52%
CONSUMER DISCRETIONARY - 21.50%
Auto Components - 1.67%
LKQ Corp.A		59,250	$	1,949
Automobiles - 0.61%
Tesla Motors, Inc.A		4,700		707
Hotels, Restaurants & Leisure - 0.93%
Chipotle Mexican Grill, Inc.A		2,050		1,092
Leisure Equipment & Products - 1.35%
Polaris Industries, Inc.		10,850		1,580
Media - 6.66%
Cinemark Holdings, Inc.		33,450		1,115
Discovery Communications, Inc., Class CA		19,600		1,644
DreamWorks Animation SKG, Inc., Class AA		30,800		1,093
IMAX Corp.A		44,862		1,323
Lions Gate Entertainment Corp.		44,481		1,408
Netflix, Inc.A		1,700		626
Pandora Media, Inc.A		21,700		577
				7,786
Multiline Retail - 0.82%
Nordstrom, Inc.		15,550		961
Specialty Retail - 7.30%
Cabela’s, Inc.A		22,600		1,507
CarMax, Inc.A		31,050		1,460
Ross Stores, Inc.		22,000		1,649
Tractor Supply Co.		20,200		1,567
Ulta Salon Cosmetics & Fragrance, Inc.		12,100		1,168
Urban Outfitters, Inc.A		31,700		1,176
				8,527
Textiles & Apparel - 2.16%
Lululemon Athletica, Inc.A		21,400		1,263
Under Armour, Inc., Class AA		14,400		1,257
				2,520
Total Consumer Discretionary				25,122
CONSUMER STAPLES - 4.86%
Beverages - 2.44%
Brown-Forman Corp., Class B		16,430		1,242
Monster Beverage Corp.A		23,750		1,609
				2,851
Food & Drug Retailing - 2.42%
United Natural Foods, Inc.A		17,750		1,338
Whole Foods Market, Inc.		25,800		1,492
				2,830
Total Consumer Staples				5,681
ENERGY - 8.97%
Energy Equipment & Services - 5.57%
Core Laboratories N.V.		9,650		1,843
Dril-Quip, Inc.A		14,100		1,550
FMC Technologies, Inc.A		15,580		813
Oceaneering International, Inc.		17,600		1,388
Superior Energy Services, Inc.		34,600		921
				6,515

	Shares			Fair Value
				(000’s)
Oil & Gas - 3.40%
Oasis Petroleum, Inc.A		19,200		$	902
Pioneer Natural Resources Co.		4,400			810
Range Resources Corp.		11,450			965
Southwestern Energy Co.A		14,410			567
Whiting Petroleum Corp.A		11,750			727
					3,971
Total Energy					10,486
FINANCIALS - 8.00%
Banks - 2.30%
East West Bancorp, Inc.		37,250			1,303
SVB Financial GroupA		13,200			1,384
					2,687
Diversified Financials - 4.81%
Affiliated Managers Group, Inc.A		7,630			1,655
IntercontinentalExchange Group, Inc.		7,900			1,777
Portfolio Recovery Associates, Inc.		30,200			1,596
Towers Watson & Co., Class A		4,650			593
					5,621
Insurance - 0.89%
ProAssurance Corp.		21,400			1,037
Total Financials					9,345
HEALTH CARE - 17.33%
Biotechnology - 3.13%
Alexion Pharmaceuticals, Inc.A		5,600			745
Cepheid, Inc.A		27,550	��		1,287
Cubist Pharmaceuticals, Inc.A		8,900			613
QIAGEN N.V.A		42,550			1,013
					3,658
Health Care Equipment & Supplies - 6.08%
Hologic, Inc.A		46,150			1,031
Idexx Laboratories, Inc.A		11,150			1,186
Illumina, Inc.A		19,350			2,141
ResMed, Inc.		27,550			1,297
Sirona Dental Systems, Inc.		10,250			720
Varian Medical Systems, Inc.A		9,350			726
					7,101
Health Care Providers & Services - 6.41%
Catamaran Corp.A		28,150			1,337
Cerner Corp.A		34,880			1,944
Covance, Inc.A		15,580			1,372
Henry Schein, Inc.A		10,245			1,171
PAREXEL International Corp.A		16,450			743
VCA Antech, Inc.A		29,330			920
					7,487
Pharmaceuticals - 1.71%
Salix Pharmaceuticals Ltd.A		12,000			1,079
Shire PLC, ADRB		6,505			919
					1,998
Total Health Care					20,244
INDUSTRIALS - 12.99%
Aerospace & Defense - 1.50%
B/E Aerospace, Inc.A		20,200			1,758
Commercial Services & Supplies - 5.77%
Clean Harbors, Inc.A		16,150			968
CoStar Group, Inc.A		6,270			1,157

See accompanying notes

22

American Beacon Stephens Mid-Cap Growth Fund^SM

Schedule of Investments

December 31, 2013

	Shares		Fair Value
			(000’s)
HMS Holdings Corp.A		49,212	$	1,119
Stericycle, Inc.A		15,550		1,806
Verisk Analytics, Inc., Class AA		25,800		1,696
				6,746
Diversified Manufacturing - 0.58%
Acuity Brands, Inc.		6,150		672
Electrical Equipment - 0.83%
IPG Photonics Corp.		4,700		365
Roper Industries, Inc.		4,400		610
				975
Machinery - 1.97%
3D Systems Corp.A		8,750		813
Pall Corp.		10,250		875
Valmont Industries, Inc.		4,100		611
				2,299
Road & Rail - 0.52%
JB Hunt Transport Services, Inc.		7,900		611
Trading Companies & Distributors - 1.82%
Fastenal Co.		23,160		1,101
MSC Industrial Direct Co., Inc., Class A		12,630		1,021
				2,122
Total Industrials				15,183
INFORMATION TECHNOLOGY - 23.47%
Communications Equipment - 1.07%
Aruba Networks, Inc.A		36,650		656
Palo Alto Networks, Inc.A		10,300		592
				1,248
Computers & Peripherals - 2.07%
SanDisk Corp.		13,500		952
Stratasys Ltd.A		10,850		1,462
				2,414
Electronic Equipment & Instruments - 0.66%
Trimble Navigation Ltd.A		22,270		773
Internet Software & Services - 4.80%
Akamai Technologies, Inc.A		15,250		719
Athenahealth, Inc.A		8,427		1,133
Fortinet, Inc.A		66,000		1,263
MercadoLibre, Inc.		10,550		1,137
VeriSign, Inc.		22,600		1,352
				5,604
IT Consulting & Services - 2.41%
Alliance Data Systems Corp.A		6,450		1,696
IHS, Inc., Class AA		9,350		1,119
				2,815
Semiconductor Equipment & Products - 3.95%
ARM Holdings PLC, ADRB		12,915		707
Cree, Inc.A		12,650		792
Lam Research Corp.A		19,018		1,035
Microchip Technology, Inc.		29,330		1,312
Xilinx, Inc.		16,700		767
				4,613
Software - 8.51%
Ansys, Inc.A		6,800		593
Aspen Technology, Inc.A		28,150		1,178
Cadence Design Systems, Inc.A		71,850		1,007
Check Point Software Technologies Ltd.A		15,550		1,003

	Shares		Fair Value
			(000’s)
Electronic Arts, Inc.A		43,700	$	1,002
FireEye, Inc.A		11,719		511
MICROS Systems, Inc.A		19,100		1,096
National Instruments Corp.		26,705		855
Red Hat, Inc.A		14,090		790
Salesforce.com, Inc.A		13,470		743
Ultimate Software Group, Inc.A		7,600		1,164
				9,942
Total Information Technology				27,409
MATERIALS - 1.40%
Airgas, Inc.		14,650		1,639
Total Common Stock (Cost $87,279)				115,109
SHORT-TERM INVESTMENTS - 3.23% (Cost $3,774)
JPMorgan U.S. Government Money Market Fund, Capital Class		3,774,163		3,774
TOTAL INVESTMENTS - 101.75% (Cost $91,053)				118,883
LIABILITIES, NET OF OTHER ASSETS - (1.75%)				(2,041	)
TOTAL NET ASSETS - 100.00%			$	116,842

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

^B  ADR - American Depositary Receipt.

See accompanying notes

23

American Beacon Funds^SM

Statements of Assets and Liabilities

December 31. 2013 (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	$	405,440	$	95,585	$	731,768		$	118,883
Investments in affiliated securities, at fair value B		—		—		48,607			—
Deposit with brokers for futures contracts		631		78		—			—
Receivable for investments sold		—		—		879			—
Receivable for variation margin on open futures contracts		50		6		—			—
Dividends and interest receivable		394		57		67			11
Receivable for fund shares sold		1,742		5		2,414			227
Receivable for tax reclaims		—		—		1			—
Prepaid expenses		14		11		50			17
Total assets		408,271		95,742		783,786			119,138
Liabilities:
Payable for investments purchased		—		—		4,023			589
Payable upon return of securities loaned		—		—		69,346			—
Payable for fund shares redeemed		107		21		359			1,500
Payable under excess expense reimbursement plan (Note 2)		19		31		1			8
Management and investment advisory fees payable		379		97		1,035			134
Administrative service and service fees payable		173		45		242			46
Transfer agent fees payable		8		3		20			3
Custody and fund accounting fees payable		3		1		8			2
Professional fees payable		10		8		12			8
Payable for prospectus and shareholder reports		9		3		15			6
Other liabilities		—		5		—			—
Total liabilities		708		214		75,061			2,296
Net Assets	$	407,563	$	95,528	$	708,725		$	116,842
Analysis of Net Assets:
Paid-in-capital		364,058		62,345		577,506			89,065
Undistributed net investment income		—		—		—			—
Accumulated net realized gain (loss)		5,174		693		(5,311	)		(53	)
Unrealized appreciation of investments		38,074		32,423		136,530			27,830
Unrealized appreciation of futures contracts		257		67		—			—
Net assets	$	407,563	$	95,528	$	708,725		$	116,842
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		3,735,575		613,279		17,799,510			3,199,867
Y Class		932,773		2,962		11,691,616			84,656
Investor Class		12,878,691		2,937,119		9,999,798			1,809,551
A Class		1,474,749		39,223		647,211			1,044,337
C Class		111,750		27,210		146,827			93,514
Net assets (not in thousands):
Institutional Class	$	79,889,063	$	16,292,016	$	317,341,400		$	63,235,775
Y Class	$	19,913,753	$	78,575	$	208,196,284		$	1,672,420
Investor Class	$	274,113,476	$	77,426,294	$	169,799,314		$	31,912,432
A Class	$	31,300,069	$	1,028,434	$	10,941,646		$	18,395,962
C Class	$	2,346,463	$	702,642	$	2,446,766		$	1,625,535
Net asset value, offering and redemption price per share:
Institutional Class	$	21 .39	$	26 .57	$	17 .83		$	19 .76
Y Class	$	21 .35	$	26 .53	$	17 .81		$	19 .76
Investor Class	$	21 .28	$	26 .36	$	16 .98		$	17 .64
A Class	$	21 .22	$	26 .22	$	16 .91		$	17 .61
A Class (offering price)	$	22 .51	$	27 .82	$	17 .94		$	18 .68
C Class	$	21 .00	$	25 .82	$	16 .66		$	17 .38
A       Cost of investments in unaffiliated securities	$	367,366	$	63,162	$	595,238		$	91,053
B       Cost of investments in affiliated securities	$	—	$	—	$	48,607		$	—
C       Fair value of securities on loan	$	—	$	—	$	67,850		$	—

See accompanying notes

24

American Beacon Funds^SM

Statements of Operations

For the year ended December 31, 2013 (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	$	3,304		$	874		$	1,028		$	325
Income derived from securities lending		—			—			560			—
Total investment income		3,304			874			1,588			325
Expenses:
Management and investment advisory fees (Note 2)		729			357			2,854			438
Administrative service fees (Note 2):
Institutional Class		133			21			622			124
Y Class		23			—			197			3
Investor Class		291			216			379			76
A Class		51			3			29			46
C Class		3			2			6			3
Transfer agent fees:
Institutional Class		30			1			77			24
Y Class		—			—			20			—
Investor Class		4			9			7			5
A Class		2			—			—			2
Custody and fund accounting fees		18			11			36			9
Professional fees		46			35			71			41
Registration fees and expenses		64			67			107			83
Service fees (Note 2):
Y Class		8			—			66			1
Investor Class		260			236			400			81
A Class		19			1			11			17
C Class		1			1			2			1
Distribution fees (Note 2):
A Class		32			2			18			29
C Class		8			5			14			9
Prospectus and shareholder report expenses		33			4			52			12
Trustee fees		10			5			25			3
Other expenses		13			13			22			14
Total expenses		1,778			989			5,015			1,021
Net fees waived and expenses (reimbursed) or recouped by Manager (Note 2)		(75	)		9			(93	)		(60	)
Net expenses		1,703			998			4,922			961
Net investment income		1,601			(124	)		(3,334	)		(636	)
Realized and unrealized gain (loss):
Net realized gain (loss) from:
Investments		9,832			6,985			22,621			4,109
Commission recapture (Note 3)		—			2			—			—
Futures contracts		1,140			382			—			—
Change in net unrealized appreciation or (depreciation) of:
Investments		33,336			15,000			116,658			18,914
Futures contracts		258			55			—			—
Net gain from investments		44,566			22,424			139,279			23,023
Net increase in net assets resulting from operations	$	46,167		$	22,300		$	135,945		$	22,387
A Foreign taxes	$	—		$	3		$	1		$	2

See accompanying notes

25

American Beacon Funds^SM

Statements of Changes in Net Assets (in thousands)

	Bridgeway Large Cap Value Fund									Holland Large Cap Growth Fund
	Year Ended Dec. 31, 2013			Six Months Ended Dec. 31, 2012			Year Ended June 30, 2012			Year Ended Dec. 31, 2013			Year Ended Dec. 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	1,601		$	317		$	455		$	(124	)	$	55
Net realized gain from investments and futures contracts		10,972			1,722			2,132			7,369			4,191
Change in net unrealized appreciation or (depreciation) of investments and futures contracts		33,594			345			(1,989	)		15,055			2,958
Net increase in net assets resulting from operations		46,167			2,384			598			22,300			7,204
Distributions to Shareholders:
Net investment income:
Institutional Class		(390	)		(486	)		(357	)A		(3	)		(6	)
Y Class		(93	)		(1	)		—			—			—
Investor Class		(1,089	)		(8	)		—			(3	)		(41	)
A Class		(90	)		(6	)		—			—			(1	)
C Class		(2	)		—			—			—			(1	)
Net realized gain:
Institutional Class		(1,182	)		—			—			(1,173	)		(84	)
Y Class		(304	)		—			—			(6	)		(1	)
Investor Class		(4,130	)		—			—			(5,613	)		(3,479	)
A Class		(468	)		—			—			(78	)		(27	)
C Class		(36	)		—			—			(53	)		(15	)
Net distributions to shareholders		(7,784	)		(501	)		(357	)		(6,929	)		(3,655	)
Net increase (decrease) in net assets from capital share transactions. (Note 10)		341,655			(1,818	)		(2,428	)		11,199			5,522
Net increase in net assets		380,038			65			(2,187	)		26,570			9,071
Net Assets:
Beginning of period		27,525			27,460			29,647			68,958			59,887
End of Period *	$	407,563		$	27,525		$	27,460		$	95,528		$	68,958
*       Includes undistributed net investment income (loss) of	$	—		$	13		$	200		$	—		$	6

^A Formerly known as Class N.

See accompanying notes

26

American Beacon Funds^SM

Statements of Changes in Net Assets (in thousands)

	Stephens Small Cap Growth Fund									Stephens Mid-Cap Growth Fund
	Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Year Ended Nov. 30, 2012			Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Year Ended Nov. 30, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(3,334	)	$	95		$	(1,077	)	$	(636	)	$	72		$	(274	)
Net realized gain from investments and futures contracts		22,621			254			13,655			4,109			64			1,325
Change in net unrealized appreciation or (depreciation) of investments and futures contracts		116,658			3,482			(1,894	)		18,914			665			3,884
Net increase in net assets resulting from operations		135,945			3,831			10,684			22,387			801			4,935
Distributions to Shareholders:
Net investment income:
Institutional Class		(56	)		—			—	A		(43	)		—			—	A
Y Class		(26	)		—			—			(1	)		—			—
Investor Class		(12	)		—			—	B		(18	)		—			—	B
A Class		—			—			—			(9	)		—			—
C Class		—			—			—			(1	)		—			—
Net realized gain:
Institutional Class		(11,150	)		(6,551	)		(4,196	)A		(2,006	)		(157	)		—	A
Y Class		(6,930	)		(281	)		—			(53	)		(1	)		—
Investor Class		(6,374	)		(4,449	)		(3,533	)B		(1,131	)		(109	)		—	B
A Class		(404	)		(196	)		—			(624	)		(42	)		—
C Class		(91	)		(22	)		—			(57	)		(2	)		—
Tax Return of Capital:
Institutional Class		(666	)		—			—	A		(50	)		—			—	A
Y Class		(432	)		—			—			(1	)		—			—
Investor Class		(377	)		—			—	B		(28	)		—			—	B
A Class		(24	)		—			—			(16	)		—			—
C Class		(6	)		—			—			(1	)		—			—
Net distributions to shareholders		(26,548	)		(11,499	)		(7,729	)		(4,039	)		(311	)		—
Net increase in net assets from capital share transactions. (Note 10)		391,157			53,535			59,912			40,926			1,051			17,851
Net increase in net assets		500,554			45,867			62,867			59,274			1,541			22,786
Net Assets:
Beginning of period		208,171			162,304			99,437			57,568			56,027			33,241
End of Period *	$	708,725		$	208,171		$	162,304		$	116,842		$	57,568		$	56,027
*       Includes undistributed net investment income (loss) of	$	—		$	95		$	—		$	—		$	72		$	—

^A Formerly known as Class I.

^B Formerly known as Class A.

27

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

1. Organization and Significant Accounting Policies

American Beacon Funds (the “Trust”), which is comprised of twenty-seven 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

Each 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 directly or through an intermediary
A Class	General public and investors investing through an intermediary with applicable sales charges, which may include a front-end sales charge and a contingent deferred sales charge (“CDSC”)
C Class	General public and investors investing through an intermediary with applicable sales charges, which may include a CDSC

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.

Recently Adopted Accounting Pronouncements

In December 2011, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2011-11, Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities. The amendments in the ASU enhance disclosures about offsetting of financial assets and liabilities to enable investors to understand the effect of these arrangements on a fund’s financial position. In January 2013, FASB issued ASU No. 2013-01, Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities. The amendments in ASU No. 2013-01 clarify the scope of disclosures required by ASU No. 2011-11. These ASUs are effective for annual periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Funds adopted ASU 2011-11 and 2013-01 effective January 1, 2013. The adoption did not have any impact on the Funds’ financial statements as the accounting standard affects only the disclosure requirements for offsetting financial instruments.

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.

28

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

As compensation for performing the duties required under the Management Agreement, the Manager receives from the Funds an annualized fee equal to 0.05% of the average daily net assets plus amounts paid by the Manager to the unaffiliated investment advisors hired by the Manager to direct investment activities of the Funds. Management fees paid by the Funds during the year ended December 31, 2013 were as follows (in thousands):

Fund	Management Fee Rate			Management Fee		Amounts paid to Investment Advisors		Net Amounts Retained by Manager
Bridgeway Large Cap Value		0.45	%	$	729	$	648	$	81
Holland Large Cap Growth		0.44	%		357		317		40
Stephens Small Cap Growth		0.70	%		2,854		2,587		267
Stephens Mid-Cap Growth		0.55	%		438		398		40

As compensation for services provided by the Manager in connection with securities lending activities conducted by the Stephens Small Cap Growth Fund, the lending Fund pays to the Manager, with respect to cash collateral posted by borrowers, a fee up to 25% of the net monthly interest income (the gross income earned by the investment of cash collateral, less the amount paid to borrowers and related expenses) from such activities and, with respect to loan fees paid by borrowers, a fee up to 25% of such loan fees. This fee is included in Income derived from securities lending and management and investment advisory fees on the Statements of Operations. During the year ended December 31, 2013, securities lending fees paid to the Manager were $73,549.

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 0.30% of the average daily net assets of the Institutional, Y, and Investor Classes of the Funds and 0.40% of the average daily net assets of the A and C Classes of the Funds.

Distribution Plans

The Funds, except for the A and C Classes, have adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule 12b-1 under the Act, pursuant to which no separate fees will be charged to the Funds for distribution purposes. However, the Plan authorizes the management and administrative service fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Funds do not intend to separately 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 Funds. Under the Distribution Plans, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance.

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.

29

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

Investment in Affiliated Funds

The Funds may invest in the American Beacon Money Market Select Fund (the “MM Select Fund”) or the U.S. Government Money Market Select Fund (the “USG Select Fund”) (collectively, the “Select Funds”). The Select Funds and the Funds have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as the investment advisor to the Select Funds and receives Management and Administrative Service fees totaling 0.10% of the average daily net assets of the Select Funds. During the year ended December 31, 2013, the Manager earned $31,603 from the Stephens Small Cap Growth Fund’s securities lending collateral invested in the Select Funds.

Interfund Lending Program

Pursuant to an exemptive order issued by the Securities and Exchange Commission (“SEC”), the Funds, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Funds to borrow from other participating Funds. During the year ended December 31, 2013, the Stephens Mid-Cap Growth Fund borrowed on average $339,340 for two days at 0.80% with interest charges of $14.94. This amount is recorded as interest expense on the Statements of Operations herein.

Expense Reimbursement Plan

The Manager agreed to reimburse the following Funds to the extent that total annual fund operating expenses exceeded a Fund’s expense cap. For the year ended December 31, 2013, the Manager waived or reimbursed expenses as follows:

Fund	Class	Expense Cap			Reimbursed or (Recovered) Expenses			Expiration
Bridgeway Large Cap Value	Institutional		0.84	%	$	76,230			2016
Bridgeway Large Cap Value	Y		0.94	%		(460	)		2016
Bridgeway Large Cap Value	Investor		1.22	%		(7,137	)		2016
Bridgeway Large Cap Value	A		1.34	%		5,531			2016
Bridgeway Large Cap Value	C		2.09	%		343			2016
Holland Large Cap Growth	Institutional		0.89	%		(2,060	)		2016
Holland Large Cap Growth	Y		0.99	%		(21	)		2016
Holland Large Cap Growth	Investor		1.27	%		(7,160	)		2016
Holland Large Cap Growth	A		1.39	%		68			2016
Holland Large Cap Growth	C		2.14	%		36			2016
Stephens Small Cap Growth	Institutional		1.09	%		35,503			2016
Stephens Small Cap Growth	Y		1.19	%		2,955			2016
Stephens Small Cap Growth	Investor		1.35	%		55,745			2016
Stephens Small Cap Growth	A		1.59	%		(1,303	)		2016
Stephens Small Cap Growth	C		2.34	%		(146	)		2016
Stephens Mid-Cap Growth	Institutional		0.99	%		47,890			2016
Stephens Mid-Cap Growth	Y		1.09	%		611			2016
Stephens Mid-Cap Growth	Investor		1.37	%		3,640			2016
Stephens Mid-Cap Growth	A		1.49	%		7,829			2016
Stephens Mid-Cap Growth	C		2.24	%		319			2016

Of these amounts, $18,935, $31,478, $897, and $7,640 was payable to the Manager at December 31, 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 carryover of excess expenses potentially reimbursable to the Manager are as follows:

30

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

Fund	Recovered Expenses		Excess Expense Carryover		Expiration of Reimbursed Expenses
Bridgeway Large Cap Value	$	7,597	$	194,304		2015
Holland Large Cap Growth		9,241		53,217		2015
Stephens Small Cap Growth		1,449		179,246		2015
Stephens Mid-Cap Growth		—		116,349		2015

The Manager recovered excess carryover expenses of $460 from the Y Class and $7,137 from the Investor Class of the Bridgeway Large Cap Value Fund, expiring in 2015; $2,060 from the Institutional Class, $21 from the Y Class, and $7,160 from the Investor Class of the Holland Large Cap Growth Fund, expiring in 2015; and $1,303 from the A Class and $146 from the C Class of the Stephens Small Cap Growth Fund.

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 year ended December 31, 2013, Foreside collected $19,499, $2,235, $25,328, and $43,459 for 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 CDSC of 0.50% will be deducted with respect to Class A Shares on certain purchases of $1,000,000 or more that are redeemed in whole or part within 18 months of purchase, unless waived as discussed in the Prospectus. Any applicable CDSC will be 0.50% of the lesser of the original purchase price or the value of the redemption of the Class A Shares redeemed. During the year ended December 31, 2013, there were no CDSC fees collected for Class A Shares.

A CDSC of 1.00% will be deducted with respect to Class C Shares redeemed within 12 months of purchase, unless waived as discussed in the Prospectus. Any applicable CDSC will be 1.00% of the lesser of the original purchase price or the value of the redemption of the Class C Shares redeemed. During the year ended December 31, 2013, CDSC fees of $31, $15, $718, and $56 were collected for the Bridgeway Large Cap Value, Holland Large Cap Growth, Stephens Small Cap Growth, and Stephens Mid-Cap Growth Funds, respectively.

3. Security Valuation and Fair Value Measurements

Investments are valued at the close of the New York Stock Exchange (the “Exchange”), normally 4 p.m. ET, each day that the Exchange is open for business. Equity securities, 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

31

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

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.

Other investments, including restricted securities and those financial instruments for which the above valuation procedures are inappropriate or are deemed not to reflect fair value are stated at fair value as determined in good faith by the Valuation Committee, established by the Fund’s Board.

Valuation Inputs

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

Level 1 -	Quoted prices in active markets for identical securities.
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. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

Investments in registered open-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair value. These investments are categorized as Level 2 of the fair value hierarchy.

The Funds’ investments are summarized by level based on the inputs used to determine their values. U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) also requires all transfers between any levels to be disclosed. The end of period timing recognition has been adopted for the transfers between levels of each Fund’s assets and liabilities. During the year ended December 31, 2013, there were no transfers between levels. As of December 31, 2013, the investments were classified as described below (in thousands):

Bridgeway Large Cap Value Fund*	Level 1		Level 2		Level 3		Total
Common Stock	$	390,010	$	—	$	—	$	390,010
Short-Term Investments – Money Market Funds		15,430		—		—		15,430
Total Investments in Securities	$	405,440	$	—	$	—	$	405,440
Financial Derivative Instruments
Futures Contracts	$	257	$	—	$	—	$	257
Holland Large Cap Growth Fund*	Level 1		Level 2		Level 3		Total
Common Stock	$	93,767	$	—	$	—	$	93,767
Short-Term Investments – Money Market Funds		1,818		—		—		1,818
Total Investments in Securities	$	95,585	$	—	$	—	$	95,585
Financial Derivative Instruments
Futures Contracts	$	67	$	—	$	—	$	67

32

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

Stephens Small Cap Growth Fund*	Level 1		Level 2		Level 3		Total
Common Stock	$	688,538	$	—	$	—	$	688,538
Short-Term Investments – Money Market Funds		22,491		—		—		22,491
Securities Lending Collateral invested in Money Market Funds		69,346		—		—		69,346
Total Investments in Securities	$	780,375	$	—	$	—	$	780,375
Stephens Mid-Cap Growth Fund*	Level 1		Level 2		Level 3		Total
Common Stock	$	115,109	$	—	$	—	$	115,109
Short-Term Investments – Money Market Funds		3,774		—		—		3,774
Total Investments in Securities	$	118,883	$	—	$	—	$	118,883

^*  Refer to the Schedule of Investments for industry information.

Security Transactions and Investment Income

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

Dividend income, net of foreign taxes, is recorded on the ex-dividend date, except certain dividends from foreign securities which are recorded as soon as the information is available to the Funds. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification.

Dividends to Shareholders

Dividends from net investment income of the Funds normally will be declared and paid at least annually. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date.

Commission Recapture

The Funds have established brokerage commission recapture arrangements with certain brokers or dealers. If the Funds’ investment advisor chooses to execute a transaction through a participating broker, the broker rebates a portion of the commission back to the Funds. Any collateral benefit received through participation in the commission recapture program is directed exclusively to the Funds. This amount is reported with the net realized gain in the Funds’ Statements of Operations.

Allocation of Income, Expenses, Gains, and Losses

Income, expenses (other than those attributable to a specific class), gains, and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.

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.

33

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

Other

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

4. Securities and Other Investments

American Depositary Receipts (ADRs)

ADRs are depositary receipts for foreign issuers in registered form traded in U.S. securities markets. Depositary receipts may not be denominated in the same currency as the securities into which they may be converted. Investing in depositary receipts entails substantially the same risks as direct investment in foreign securities. There is generally less publicly available information about foreign companies and there may be less governmental regulation and supervision of foreign stock exchanges, brokers and listed companies.

Real Estate Investment Trusts

The Funds may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. The Funds re-characterizes distributions received from REIT investments based on information provided by the REITs into the following categories: ordinary income, long-term capital gains, and return of capital. If information is not available on a timely basis from the REITs, the re-characterization will be estimated based on available information which may include the previous year allocation. If new or additional information becomes available from the REITs at a later date, a re-characterization will be made the following year. These re-characterizations are not recorded for financial statement purposes, but as an adjustment to the calculation of taxable income.

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. Financial Derivative Instruments

Futures Contracts

Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Fund may enter into financial futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or bond market, as applicable. The primary risks associated with the use of futures contracts are

34

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations.

Upon entering into a futures contract, the Fund is required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents a portion of the face value of the futures contract. The Fund usually reflects this amount on the Schedule of Investments as a U.S. Treasury Bill held as collateral for futures contracts or as Cash deposited with broker on the Statement of Assets and Liabilities. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded.

During the year ended December 31, 2013, the Funds entered into future contracts primarily for return enhancement and exposing cash to markets.

The Funds’ average futures contracts outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the quarterly volume of futures contracts. For purpose of this disclosure, volume is measured by contracts outstanding at period end.

	Average Futures Contracts Outstanding
For the Quarter Ended	September 30, 2013		December 31, 2013
Bridgeway Large Cap Value		17		20
Holland Large Cap Growth		16		10

The following is a summary of the Funds’ derivative financial instruments categorized by risk exposure (in thousands) ^(1) (2):

Fair Values of derivative financial instruments on the Statement of Assets and Liabilities as of December 31, 2013:

Assets	Derivative		Bridgeway Large Cap Value		Holland Large Cap Growth
Unrealized appreciation of futures contracts		Equity Contracts	$	257	$	67

The effect of financial derivative instruments on the Statement of Operations for the year ended December 31, 2013

Statements of Operations
Net realized gain (loss) from futures contracts	Equity Contracts	$	1,140	$	382
Change in net unrealized appreciation or (depreciation) of futures contracts	Equity Contracts		258		55

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

⁽²⁾  The volume of derivative activity described above is reflective of the derivative activity through the current period of operations.

6. Principal Risks

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists. Security values fluctuate (market risk) and may decline due to factors affecting securities markets in general, particular industries represented in the securities markets or conditions specifically related to a particular company. Failure of the other party to a transaction to perform (credit and counterparty risk), for example by not making principal and interest payments when due, reduces the value of the issuer’s debt and could reduce the Funds’ income. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an institution or other entity with which the Funds have unsettled or open transactions will fail to make required payments or otherwise comply with the terms of the instrument, transaction or contract. The potential loss could exceed the value of the financial assets recorded in the financial statements. Some of the Funds’ investments may be illiquid and the Funds may not be able to

35

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

vary the portfolio investments in response to changes in economic and other conditions. If a Fund is required to liquidate all or a portion of its investments quickly, the Fund may realize significantly less than the value at which it previously recorded those investments.

Market Risks

The Funds’ investments in financial derivatives and other financial instruments expose the Funds to various risks such as, but not limited to, interest rate, foreign currency and equity risks.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by the Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income’s market price to interest rate (i.e. yield) movements.

The fair values of equities, such as common stocks and preferred securities or equity related investments such as futures, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities.

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 Funds 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 Funds.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as Deposits with brokers for futures contracts and Payable to brokers for futures contracts, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party is determined at the close of business of the Funds and additional required collateral is delivered to/pledged by the Funds on the next business day. To the extent amounts due to the Funds from its counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. The Funds attempt 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.

36

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

Offsetting Assets and Liabilities

The Funds are parties to enforceable master netting agreements between brokers and counterparties, such as ISDA, Master Repo Agreements and Master Forward Agreements which provide for the right to offset under certain circumstances. The Funds employ multiple money managers and counterparties and have elected not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities, as such all financial and derivative instruments are presented on a gross basis. The impacts of netting arrangements that provide the right to offset are detailed below. The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing agreements such as repurchase agreements can only be netted across transactions governed by the same Master Agreement with the same legal entity. All amounts reported below represent the balance as of the report date, December 31, 2013 (in thousands).

Bridgeway Large Cap Value Fund

Offsetting of Financial Assets and Derivative Assets as of December 31, 2013

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Futures Contracts	$	50	$	—	$	50

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of December 31, 2013

	Net amount of Assets Presented in the Statement of Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty			Financial Instruments		Cash Collateral Received		Net Amount
Goldman Sachs & Co.	$	50	$	—	$	—	$	50

Holland Large Cap Growth Fund

Offsetting of Financial Assets and Derivative Assets as of December 31, 2013

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Futures Contracts	$	6	$	—	$	6

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of December 31, 2013

	Net amount of Assets Presented in the Statement of Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty			Financial Instruments		Cash Collateral Received		Net Amount
Goldman Sachs & Co.	$	6	$	—	$	—	$	6

Stephens Small Cap Growth

Offsetting of Financial Assets and Derivative Assets as of December 31, 2013

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Securities on Loan	$	67,850	$	—	$	67,850

37

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of December 31, 2013

	Net amount of Assets Presented in the Statement of Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty			Financial Instruments		Cash Collateral Received1			Net Amount
Barclays Capital, Inc.	$	18,408	$	—	$	(18,408	)	$	—
BNP Paraibas Prime Brokerage		798		—		(798	)		—
Citigroup Global Markets, Inc.		7,375		—		(7,375	)		—
Credit Suisse Securities LLC		470		—		(470	)		—
Deutsche bank Securities, Inc.		14,005		—		(14,005	)		—
Goldman, Sachs & Co.		3,949		—		(3,949	)		—
ING Financial Markets LLC		1,853		—		(1,853	)		—
JPMorgan Clearing Corp.		15,973		—		(15,973	)		—
Merrill Lynch, Pierce, Fenner & Smith, Inc.		3,826		—		(3,826	)		—
SG Anerucas Securites LLC		1,080		—		(1,080	)		—
UBS Securities LLC		112		—		(112	)		—
Total:	$	67,850	$	—	$	(67,850	)	$	—

¹  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. Collateral with a value of $69,346 has been received in connection with securities lending transactions.

7. Federal Income and Excise Taxes

It is the policy of the Funds to qualify as a regulated investment company (“RIC”), by complying with all applicable provisions of Subchapter M of the Internal Revenue Code, as amended, and to make distribution of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, the Funds are treated as a single entity for the purpose of determining such qualification.

The Funds do not have any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2013 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.

A 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 or depreciation, as applicable, as the income is earned or capital gains are recorded.

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

38

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

	Bridgeway Large Cap Value						Holland Large Cap Growth
	Year Ended December 31, 2013		Six Months Ended December 31, 2012		Year Ended June 30, 2012		Year Ended December 31, 2013		Year Ended December 31, 2012
Distributions paid from:
Ordinary income*
Institutional Class	$	601	$	486	$	357	$	17	$	6
Y Class		146		1		—		—		—
Investor Class		1,823		8		—		63		41
A Class		173		6		—		1		1
C Class		9		—		—		1		1
Long-Term Capital Gain
Institutional Class		972		—		—		1,160		84
Y Class		250		—		—		6		1
Investor Class		3,396		—		—		5,552		3,479
A Class		385		—		—		77		27
C Class		29		—		—		52		15
Total distributions paid	$	7,784	$	501	$	357	$	6,929	$	3,655

	Stephens Small Cap Growth						Stephens Mid-Cap Growth
	Year Ended December 31, 2013		One Month Ended December 31, 2012		Year Ended November 30, 2012		Year Ended December 31, 2013		One Month Ended December 31, 2012		Year Ended November 30, 2012
Distributions paid from:
Ordinary income*
Institutional Class	$	728	$	27	$	—	$	43	$	—	$	—
Y Class		462		1		—		1		—		—
Investor Class		393		18		—		18		—		—
A Class		24		1		—		9		—		—
C Class		6		—		—		1		—		—
Long-Term Capital Gain
Institutional Class		10,478		6,524		4,196		2,006		157		—
Y Class		6,494		280		—		53		1		—
Investor Class		5,993		4,431		3,533		1,131		109		—
A Class		379		195		—		624		42		—
C Class		86		22		—		57		2		—
Tax Return of Captial
Institutional Class		666		—		—		50		—		—
Y Class		432		—		—		1		—		—
Investor Class		377		—		—		28		—		—
A Class		24		—		—		16		—		—
C Class		6		—		—		1		—		—
Total distributions paid	$	26,548	$	11,499	$	7,729	$	4,039	$	311	$	—

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

As of December 31, 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	$	367,366		$	63,376		$	645,025		$	91,091
Unrealized appreciation		41,992			32,745			140,730			28,352
Unrealized depreciation		(3,918	)		(536	)		(5,380	)		(560	)
Net unrealized appreciation or (depreciation)		38,074			32,209			135,350			27,792
Undistributed ordinary income		4,156			—			—			—
Accumulated long-term gain or (loss)		1,275			974			—			—
Other temporary differences		—			—			(4,131	)		(15	)
Distributable earnings or (deficits)	$	43,505		$	33,183		$	131,219		$	27,777

39

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

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 reclassifications of income from net operating losses used to offset short-term capital gains, non-utilization of net operating losses, tax return of capital, and dividend reclasses that have been reclassed as of December 31, 2013 (in thousands):

	Bridgeway Large Cap Value Fund			Holland Large Cap Growth Fund			Stephens Small Cap Growth Fund			Stephens Mid-Cap Growth Fund
Paid-in-capital	$	(1	)	$	—		$	(1,504	)	$	(121	)
Undistributed net investment income		50			124			3,333			636
Accumulated net realized gain (loss)		(50	)		(124	)		(1,829	)		(515	)
Unrealized appreciation or (depreciation) of investments and futures contracts		1			—			—			—

Under the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”), net capital losses recognized by Funds in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses. Prior to RIC MOD, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. RIC MOD requires that post-enactment net capital losses be used before pre-enactment net capital losses.

For the fiscal year ended December 31, 2013, the Funds did not have capital loss carryforwards.

Net capital losses (in thousands) incurred after October 31, 2013 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended December 31, 2013, the Stephens Small Cap Growth Fund deferred $3,179 of short-term capital loss and $952 of long-term capital loss to January 1, 2014. The Stephens Mid-Cap Growth Fund deferred $15 of short-term capital loss to January 1, 2014.

8. Investment Transactions

The aggregate cost of purchases and proceeds from sales of investments, other than short-term obligations, for the year ended December 31, 2013 were as follows (in thousands):

	Bridgeway Large Cap Value Fund		Holland Large Cap Growth Fund		Stephens Small Cap Growth Fund		Stephens Mid-Cap Growth Fund
Purchases (excluding U.S. government securities)	$	381,681	$	28,265	$	505,915	$	54,810
Sales and maturities (excluding U.S. government securities)		62,022		22,931		158,791		19,762

9. Securities Lending

The Stephens Small Cap Growth Fund may lend its securities to qualified financial institutions, such as certain broker-dealers, to earn additional income. The borrowers are required to secure their loans continuously with collateral in an amount at least equal to the fair value of the securities loaned, initially in an amount at least equal to 102% of the fair value of domestic securities loaned and 105% of the fair value of international securities loaned. Collateral is monitored and marked to market daily. Daily mark to market

40

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

amounts are required to be paid to the borrower or received from the borrower by the end of the following business day. This one day settlement for mark to market amounts may result in the collateral being temporarily less than the value of the securities on loan or temporarily more than the required minimum collateral.

To the extent that a loan is collateralized by cash, such cash collateral shall be invested by the securities lending agent (the “Agent”) in money market mutual funds, and other short-term investments, as designated by the Manager.

Securities lending income is generated from the demand premium (if any) paid by the borrower to borrow a specific security and from the return on investment of cash collateral, reduced by negotiated rebate fees paid to the borrower and transaction costs. To the extent that a loan is secured by non-cash collateral, securities lending income is generated as a demand premium reduced by transaction costs. The Fund, the Agent, and the Manager retain 80%, 10%, and 10%, respectively, of the income generated from securities lending.

While securities are on loan, the Fund continues to receive certain income associated with that security and any gain or loss in the market price that may occur during the term of the loan. In the case of domestic equities, the value of any dividend is received in the form of a substitute payment approximately equal to the dividend. In the case of foreign securities, a negotiated amount is received that is less than the actual dividend, but higher than the dividend amount minus the foreign tax that the Fund would be subject to on the dividend.

Securities lending transactions pose certain risks to the Fund, including that the borrower may not provide additional collateral when required or return the securities when due, that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower, that non-cash collateral may be subject to legal constraints in the event of a borrower bankruptcy, and that the cash collateral investments could become illiquid and unable to be used to return collateral to the borrower. The Fund could also experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower and any action which impairs its ability to liquidate non-cash collateral to satisfy a borrower default.

As of December 31, 2013, the value of outstanding securities on loan and the value of collateral was as follows (in thousands):

Fair Value of Securities on Loan	Non-Cash Collateral	Cash Collateral Posted by Borrower
$  67,850	$        —	$  69,346

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.

10. Capital Share Transactions

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

41

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

For the Year Ended December 31, 2013

	Institutional Class						Y Class						Investor Class
Bridgeway Large Cap Value Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,399		$	47,501			957		$	18,562			13,250		$	260,496
Reinvestment of dividends		74			1,549			19			395			249			5,209
Shares redeemed		(420	)		(8,050	)		(46	)		(931	)		(651	)		(13,227	)
Net increase in shares outstanding		2,053		$	41,000			930		$	18,026			12,848		$	252,478
	A Class						C Class						Totals
Bridgeway Large Cap Value Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,504		$	28,959			109		$	2,120			18,219		$	357,638
Reinvestment of dividends		25			511			2			36			369			7,700
Shares redeemed		(74	)		(1,465	)		(1	)		(10	)		(1,192	)		(23,683	)
Net increase in shares outstanding		1,455		$	28,005			110		$	2,146			17,396		$	341,655
	Institutional Class						Y Class						Investor Class
Holland Large Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		497		$	12,868			5		$	105			136		$	3,442
Reinvestment of dividends		45			1,177			—			4			217			5,613
Shares redeemed		(4	)		(107	)		(3	)		(69	)		(509	)		(12,635	)
Net increase (decrease) in shares outstanding		538		$	13,938			2		$	40			(156	)	$	(3,580	)
	A Class						C Class						Totals
Holland Large Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		19		$	493			17		$	411			674		$	17,319
Reinvestment of dividends		2			57			1			38			265			6,889
Shares redeemed		(4	)		(93	)		(4	)		(105	)		(524	)		(13,009	)
Net increase in shares outstanding		17		$	457			14		$	344			415		$	11,199
	Institutional Class						Y Class						Investor Class
Stephens Small Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		9,305		$	150,456			11,641		$	197,877			5,538		$	80,195
Reinvestment of dividends		665			11,559			414			7,255			358			5,922
Shares redeemed		(2,206	)		(34,487	)		(715	)		(12,352	)		(1,513	)		(22,866	)
Net increase in shares outstanding		7,764		$	127,528			11,340		$	192,780			4,383		$	63,251
	A Class						C Class						Totals
Stephens Small Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		460		$	6,830			121		$	1,786			27,065		$	437,144
Reinvestment of dividends		24			400			6			89			1,467			25,225
Shares redeemed		(89	)		(1,386	)		(8	)		(121	)		(4,531	)		(71,212	)
Net increase in shares outstanding		395		$	5,844			119		$	1,754			24,001		$	391,157
	Institutional Class						Y Class						Investor Class
Stephens Mid-Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,448		$	27,514			72		$	1,271			750		$	11,862
Reinvestment of dividends		106			2,043			2			47			66			1,134
Shares redeemed		(371	)		(6,854	)		(14	)		(255	)		(350	)		(5,575	)
Net increase in shares outstanding		1,183		$	22,703			60		$	1,063			466		$	7,421
	A Class						C Class						Totals
Stephens Mid-Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		574		$	9,470			70		$	1,132			2,914		$	51,249
Reinvestment of dividends		33			567			2			35			209			3,826
Shares redeemed		(91	)		(1,453	)		—			(12	)		(826	)		(14,149	)
Net increase in shares outstanding		516		$	8,584			72		$	1,155			2,297		$	40,926

42

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

For the Six Months Ended December 31, 2012

	Institutional Class						Y Class						Investor Class
Bridgeway Large Cap Value Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		65		$	1,021			2		$	29			34		$	540
Reinvestment of dividends		30			473			—			1			1			8
Shares redeemed		(233	)		(3,617	)		—			—			(19	)		(298	)
Net increase (decrease) in shares outstanding		(138	)	$	(2,123	)		2		$	30			16		$	250
	A Class						C Class						Totals
Bridgeway Large Cap Value Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		6		$	90			—		$	6			107		$	1,686
Reinvestment of dividends		—			5			—			—			31			487
Shares redeemed		(5	)		(75	)		—			(1	)		(257	)		(3,991	)
Net increase in shares outstanding		1		$	20			—		$	5			(119	)	$	(1,818	)
For the Year Ended December 31, 2012
	Institutional Class						Y Class						Investor Class
Holland Large Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		15		$	345			2		$	49			385		$	8,615
Reinvestment of dividends		4			89			—			1			162			3,519
Shares redeemed		(3	)		(72	)		(1	)		(26	)		(353	)		(7,755	)
Net increase in shares outstanding		16		$	362			1		$	24			194		$	4,379
	A Class						C Class						Totals
Holland Large Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		31		$	687			12		$	283			445		$	9,979
Reinvestment of dividends		1			18			1			15			168			3,642
Shares redeemed		(11	)		(242	)		—			(4	)		(368	)		(8,099	)
Net increase in shares outstanding		21		$	463			13		$	294			245		$	5,522
For the One Month Ended December 31, 2012
	Institutional Class						Y Class						Investor Class
Stephens Small Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		3,195		$	42,177			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		$	45,825			152		$	2,044			422		$	5,320
	A Class						C Class						Totals
Stephens Small Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		15		$	189			—		$	—			3,718		$	48,967
Reinvestment of dividends		14			178			2			21			871			11,106
Shares redeemed		(3	)		(42	)		—			—			(508	)		(6,538	)
Net increase in shares outstanding		26		$	325			2		$	21			4,081		$	53,535
	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

43

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

	A Class						C Class				Totals
Stephens Mid-Cap Growth Fund	Shares			Amount			Shares		Amount		Shares			Amount
Shares sold		38		$	525			11	$	150		151		$	2,099
Reinvestment of dividends		2			24			—		2		19			283
Shares redeemed		(27	)		(366	)		—		—		(96	)		(1,331	)
Net increase in shares outstanding		13		$	183			11	$	152		74		$	1,051
For the Year Ended June 30, 2012
	Institutional Class						Y Class				Investor Class
Bridgeway Large Cap Value Fund	Shares			Amount			Shares		Amount		Shares			Amount
Shares sold		189		$	2,646			—	$	5		15		$	212
Reinvestment of dividends		25			333			—		—		—			—
Shares redeemed		(422	)		(5,912	)		—		—		—			(1	)
Net increase (decrease) in shares outstanding		(208	)	$	(2,933	)		—	$	5		15		$	211
	A Class						C Class				Totals
Bridgeway Large Cap Value Fund	Shares			Amount			Shares		Amount		Shares			Amount
Shares sold		19		$	274			1	$	15		224		$	3,152
Reinvestment of dividends		—			—			—		—		25			333
Shares redeemed		—			—			—		—		(422	)		(5,913	)
Net increase in shares outstanding		19		$	274			1	$	15		(173	)	$	(2,428	)

44

This page intentionally left blank.

45

American Beacon Bridgeway Large Cap Value Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Year Ended Dec. 31,			Six Months Ended Dec. 31,			Year Ended June 30,
	2013			2012			2012			2011			2010			2009
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		0.11			0.20			0.24			0.20	B		0.19	B		0.23	B
Net gains (losses) on investments (both realized and unrealized)		5.87			1.14			0.12			3.21			1.73			(3.89	)
Total income (loss) from investment operations		5.98			1.34			0.36			3.41			1.92			(3.66	)
Less distributions:
Dividends from net investment income		(0.11	)		(0.29	)		(0.18	)		(0.23	)		(0.22	)		(0.23	)
Distributions from net realized gains		(0.33	)		—			—			—			—			—
Total distributions		(0.44	)		(0.29	)		(0.18	)		(0.23	)		(0.22	)		(0.23	)
Net asset value, end of period	$	21.39		$	15.85		$	14.80		$	14.62		$	11.44		$	9.74
Total return C		37.77	%		9.04	%D		2.60	%		30.02	%		19.65	%		(26.88	)%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	79,889		$	26,669		$	26,950		$	29,647		$	25,534		$	27,996
Ratios to average net assets:
Expenses, before reimbursements		1.01	%		1.73	%E		1.30	%		1.17	%		1.11	%		0.98	%
Expenses, net of reimbursements		0.84	%		0.84	%E		0.82	%		0.84	%		0.84	%		0.84	%
Net investment income (loss), before reimbursements		0.98	%		1.38	%E		1.17	%		1.17	%		1.32	%		2.06	%
Net investment income (loss), net of reimbursements		1.16	%		2.27	%E		1.66	%		1.50	%		1.58	%		2.20	%
Portfolio turnover rate		38	%		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.

46

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
Year Ended Dec. 31, 2013			Six Months Ended Dec. 31, 2012			Feb. 3A to June 30, 2012			Year Ended Dec. 31, 2013			Six Months Ended Dec. 31, 2012			Feb. 3A to June 30, 2012			Year Ended Dec. 31, 2013			Six Months Ended Dec. 31, 2012			Feb. 3A to June 30, 2012			Year Ended Dec. 31, 2013			Six Months Ended Dec. 31, 2012			Feb. 3A to June 30, 2012
$	15.84		$	14.80		$	14.46		$	15.81		$	14.78		$	14.46		$	15.78		$	14.77		$	14.46		$	15.70		$	14.73		$	14.46
	0.22			0.07			0.09			0.21			0.12			0.03			0.19			0.15			0.01			0.18			0.09			0.02
	5.72			1.26			0.25			5.68			1.19			0.29			5.64			1.15			0.30			5.47			1.17			0.25
	5.94			1.33			0.34			5.89			1.31			0.32			5.83			1.30			0.31			5.65			1.26			0.27
	(0.10	)		(0.29	)		—			(0.09	)		(0.28	)		—			(0.06	)		(0.29	)		—			(0.02	)		(0.29	)		—
	(0.33	)		—			—			(0.33	)		—			—			(0.33	)		—			—			(0.33	)		—			—
	(0.43	)		(0.29	)		—			(0.42	)		(0.28	)		—			(0.39	)		(0.29	)		—			(0.35	)		(0.29	)		—
$	21.35		$	15.84		$	14.80		$	21.28		$	15.81		$	14.78		$	21.22		$	15.78		$	14.77		$	21.00		$	15.70		$	14.73
	37.55	%		8.98	%D		2.35	%D		37.28	%		8.84	%D		2.21	%D		37.01	%		8.78	%D		2.14	%D		36.02	%		8.54	%D		1.87	%D
$	19,914		$	36		$	5		$	274,113		$	489		$	215		$	31,300		$	311		$	276		$	2,346		$	20		$	14
	0.93	%		3.75	%E		144.38	%E		1.08	%		2.26	%E		18.30	%E		1.38	%		2.21	%E		15.39	%E		2.13	%		6.81	%E		64.88	%E
	0.94	%		0.93	%E		0.94	%E		1.09	%		1.21	%E		1.22	%E		1.34	%		1.33	%E		1.34	%E		2.09	%		1.77	%E		2.09	%E
	1.07	%		(0.51	)%E		(141.90	)%E		0.95	%		1.00	%E		(15.48	)%E		0.61	%		0.90	%E		(13.13	)%E		(0.13	)%		(3.55	)%E		(62.47	)%E
	1.06	%		2.31	%E		1.54	%E		0.94	%		2.05	%E		1.59	%E		0.66	%		1.78	%E		0.92	%E		(0.08	)%		1.49	%E		0.32	%E
	38	%		21	%D		36	%F		38	%		21	%D		36	%F		38	%		21	%D		36	%F		38	%		21	%D		36	%F

47

American Beacon Holland Large Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class												Y Class
	Year Ended December 31,									March 1A to Dec. 31,			Year Ended Dec. 31,			Mar.23A to Dec. 31,
	2013			2012			2011			2010			2013			2012
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		0.02			0.09	B
Net gains (losses) on investments (both realized and unrealized)		7.02			2.47			0.71			2.61			6.98			(0.26	)
Total income (loss) from investment operations		7.04			2.56			0.69			2.60			7.00			(0.17	)
Less distributions:
Dividends from net investment income		(0.01	)		(0.08	)		—			—			0.00			(0.06	)
Distributions from net realized gains		(2.06	)		(1.18	)		(0.39	)		(0.48	)		(2.06	)		(1.18	)
Total distributions		(2.07	)		(1.26	)		(0.39	)		(0.48	)		(2.06	)		(1.24	)
Net asset value, end of period	$	26.57		$	21.60		$	20.30		$	20.00		$	26.53		$	21.59
Total return D		32.73	%		12.57	%		3.47	%		14.58	%E		32.59	%		(0.79	)%E
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	16,292		$	1,619		$	1,193		$	1,126		$	79		$	23
Ratios to average net assets:
Expenses, before reimbursements		0.86	%		1.32	%		1.49	%		1.91	%F		0.97	%		10.18	%F
Expenses, net of reimbursements		0.89	%		0.96	%		1.20	%		1.20	%F		0.99	%		0.98	%F
Net investment income (loss), before expense reimbursements		0.24	%		0.07	%		(0.38	)%		(0.77	)%F		0.15	%		(8.77	)%F
Net investment income (loss), net of reimbursements		0.21	%		0.43	%		(0.09	)%		0.06	%F		0.12	%		0.43	%F
Portfolio turnover rate		29	%		18	%		12	%		18	%E		29	%		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.

48

American Beacon Holland Large Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Investor Class															A Class												C Class
																								Feb. 1A to Dec. 31, 2010			Year Ended Dec. 31, 2013			Mar. 23A to Dec. 31, 2012
Year Ended December 31,															Year Ended December 31,
2013			2012			2011			2010			2009			2013			2012			2011
$	21.52		$	20.24		$	19.97		$	17.94		$	12.90		$	21.43		$	20.23		$	19.96		$	17 .40		$	21.29		$	22 .90
	(0.05	)		0.02	B		(0.05	)C		(0.04	)C		(0.02	)C		(0.03	)		0.03	B		(0.05	)C		(0.04	)C		(0.17	)		0.01	B
	6.95			2.45			0.71			2.55			5.06			6.88			2.41			0.71			3.08			6.76			(0.38	)
	6.90			2.47			0.66			2.51			5.04			6.85			2.44			0.66			3.04			6.59			(0.37	)
	0.00			(0.01	)		—			—			—			0.00			(0.06	)		—			—			0.00			(0.06	)
	(2.06	)		(1.18	)		(0.39	)		(0.48	)		—			(2.06	)		(1.18	)		(0.39	)		(0.48	)		(2.06	)		(1.18	)
	(2.06	)		(1.19	)		(0.39	)		(0.48	)		—			(2.06	)		(1.24	)		(0.39	)		(0.48	)		(2.06	)		(1.24	)
$	26.36		$	21.52		$	20.24		$	19.97		$	17.94		$	26.22		$	21.43		$	20.23		$	19.96		$	25.82		$	21.29
	32.21	%		12.18	%		3.33	%		14.03	%		39.07	%		32.11	%		11.99	%		3.33	%		17.51	%E		31.10	%		(1.65	)%E
$	77,426		$	66,568		$	58,682		$	54,128		$	50,341		$	1,028		$	467		$	13		$	12		$	703		$	281
	1.26	%		1.44	%		1.64	%		1.77	%		1.69	%		1.40	%		2.73	%		10.06	%		42.81	%F		2.15	%		6.17	%F
	1.27	%		1.29	%		1.35	%		1.35	%		1.35	%		1.39	%		1.38	%		1.40	%		1.40	%F		2.14	%		2.12	%F
	(0.17	)%		(0.08	)%		(0.53	)%		(0.64	)%		(0.45	)%		(0.28	)%		(0.97	)%		(8.94	)%		(41.83	)%F		(1.04	)%		(3.85	)%F
	(0.18	)%		0.07	%		(0.24	)%		(0.22	)%		(0.11	)%		(0.27	)%		0.37	%		(0.28	)%		(0.22	)%F		(1.03	)%		0.20	%F
	29	%		18	%		12	%		18	%		11	%		29	%		18	%		12	%		18	%E		29	%		18	%G

49

American Beacon Stephens Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class																		Y Class
	Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012															Year Ended December 31, 2013			One Month Ended Dec. 31, 2012			Feb. 24IA to Nov. 30, 2012
							Year Ended November 30,
							2012A			2011A			2010A			2009A
Net asset value, beginning of period	$	12.99		$	13.54		$	13.14		$	12.03		$	9.37		$	7.09		$	12.98		$	13.54		$	13.59
Income from investment operations:
Net investment income (loss)		(0.05	)		0.06			(0.04	)H		(0.11	)B		(0.09	)B		(0.06	)		(0.04	)		0.01			(0.02	)
Net gains (losses) from investments (both realized and unrealized)		5.60			0.23			1.43			1.37			2.75			2.34			5.58			0.27			(0.03	)
Total income (loss) from investment operations		5.55			0.29			1.39			1.26			2.66			2.28			5.54			0.28			(0.05	)
Less distributions:
Dividends from net investment income		0.00			—			—			—			—			—			0.00			—			—
Distributions from net realized gains		(0.67	)		(0.84	)		(0.99	)		(0.15	)		—			—			(0.68	)		(0.84	)		—
Tax return of captial		(0.04	)		—			—			—			—			—			(0.03	)		—			—
Total distributions		(0.71	)		(0.84	)		(0.99	)		(0.15	)		—			—			(0.71	)		(0.84	)		—
Redemption fees added to beneficial interests		—			—			—			—			—			—			—			—			—
Net asset value, end of period	$	17.83		$	12.99		$	13.54		$	13.14		$	12.03		$	9.37		$	17.81		$	12.98		$	13.54
Total return D		42.93	%		2.15	%E		11.74	%		10.49	%		28.39	%		32.16	%		42.88	%		2.07	%E		(0.37	)%E
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	317,341		$	130,342		$	88,815		$	52,336		$	39,169		$	34,356		$	208,196		$	4,563		$	2,699
Ratios to average net assets:
Expenses, before reimbursements		1.11	%		1.20	%F		1.20	%		1.15	%		1.35	%		1.65	%		1.19	%		1.36	%F		2.05	%F
Expenses, net of reimbursements		1.09	%		1.06	%F		1.10	%		1.10	%		1.10	%		1.25	%		1.19	%		1.16	%F		1.21	%F
Net investment income (loss), before reimbursements		(0.73	)%		0.54	%F		(0.84	)%		(0.91	)%		(1.09	)%		(1.33	)%		(0.79	)%		0.19	%F		(1.57	)%F
Net investment income (loss), net of reimbursements		(0.71	)%		0.68	%F		(0.74	)%		(0.86	)%		(0.84	)%		(0.93	)%		(0.78	)%		0.38	%F		(0.73	)%F
Portfolio turnover rate		39	%		6	%E		45	%		36	%		66	%		35	%		39	%		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  For purposes of this calculation, the change in undistributed net investment income per share was derived by dividing the change in undistributed net investment income by shares outstanding at November 30, 2012.

^I Commencement of operations.

50

American Beacon Stephens Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Investor Class																		A Class									C Class
Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012															Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Feb. 24I to Nov. 30, 2012			Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Feb. 24IA to Nov. 30, 2012
						Year Ended November 30,
						2012A			2011A			2010A			2009A
$	12.42		$	12.99		$	12.67		$	11.64		$	9.09		$	6.90		$	12.40		$	12.98		$	13.07		$	12.32		$	12.91		$	13.07
	(0.04	)		0.02			(0.06	)H		(0.14	)B		(0.11	)B		(0.09	)		(0.10	)		0.01			(0.07	)		(0.13	)		0.00			(0.06	)
	5.31			0.25			1.37			1.32			2.66			2.28			5.32			0.25			(0.02	)		5.18			0.25			(0.10	)
	5.27			0.27			1.31			1.18			2.55			2.19			5.22			0.26			(0.09	)		5.05			0.25			(0.16	)
	0.00			—			—			—			—			—			0.00			—			—			0.00			—			—
	(0.69	)		(0.84	)		(0.99	)		(0.15	)		—			—			(0.71	)		(0.84	)		—			(0.71	)		(0.84	)		—
	(0.02	)		—			—			—			—			—			(0.00	)E		—			—			(0.00	)E		—			—
	(0.71	)		(0.84	)		(0.99	)		(0.15	)		—			—			(0.71	)		(0.84	)		—			(0.71	)		(0.84	)		—
																							��
	—			—			—			0.00	C		0.00	C		0.00	C		—			—			—			—			—			—
$	16.98		$	12.42		$	12.99		$	12.67		$	11.64		$	9.09		$	16.91		$	12.40		$	12.98		$	16.66		$	12.32		$	12.91
	42.62	%		2.08	%E		11.44	%		10.15	%		28.05	%		31.74	%		42.28	%		2.01	%E		(0.69	)%E		41.17	%		1.94	%E		(1.22	)%E
$	169,799		$	69,786		$	67,506		$	47,101		$	45,911		$	22,058		$	10,942		$	3,131		$	2,941		$	2,447		$	349		$	343
	1.39	%		1.62	%F		1.56	%		1.40	%		1.60	%		1.91	%		1.57	%		1.79	%F		2.08	%F		2.33	%		3.21	%F		6.15	%F
	1.35	%		1.34	%F		1.36	%		1.35	%		1.35	%		1.50	%		1.59	%		1.58	%F		1.61	%F		2.34	%		2.33	%F		2.35	%F
	(1.01	)%		0.23	%F		(1.20	)%		(1.16	)%		(1.33	)%		(1.59	)%		(1.18	)%		0.04	%F		(1.68	)%F		(1.93	)%		(1.36	)%F		(5.71	)%F
	(0.96	)%		0.50	%F		(1.00	)%		(1.11	)%		(1.08	)%		(1.18	)%		(1.20	)%		0.25	%F		(1.21	)%F		(1.94	)%		(0.48	)%F		(1.91	)%F
	39	%		6	%E		45	%		36	%		66	%		35	%		39	%		6	%E		45	%G		39	%		6	%E		45	%G

51

American Beacon Stephens Mid-Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class																		Y Class
	Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Year Ended November 30,												Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Feb. 24A to Nov. 30, 2012
							2012B			2011B			2010B			2009B
Net asset value, beginning of period	$	15.38		$	15.24		$	13.69		$	12.44		$	9.63		$	7.18		$	15.38		$	15.23		$	15.09
Income from investment operations:
Net investment income (loss)		(0.05	)		0.02			—	C		(0.10	)D		(0.09	)D		(0.07	)		(0.08	)		0.02			(0.03	)
Net gains from investments (both realized and unrealized)		5.12			0.20			1.55			1.35			2.90			2.52			5.15			0.21			0.17
Total income from investment operations		5.07			0.22			1.55			1.25			2.81			2.45			5.07			0.23			0.14
Less distributions:
Dividends from net investment income		(0.01	)		—			—			—			—			—			(0.01	)		—			—
Distributions from net realized gains		(0.66	)		(0.08	)		—			—			—			—			(0.68	)		(0.08	)		—
Tax return of capital		(0.02	)		—			—			—			—			—			(0.00	)E		—			—
Total distributions		(0.69	)		(0.08	)		—			—			—			—			(0.69	)		(0.08	)		—
Redemption fees added to beneficial interests		—			—			—			—			—			—			—			—			—
Net asset value, end of period	$	19.76		$	15.38		$	15.24		$	13.69		$	12.44		$	9.63		$	19.76		$	15.38		$	15.23
Total return F		33.14	%		1.43	%G		11.32	%		10.05	%		29.18	%		34.12	%		33.14	%		1.50	%G		0.93	%G
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	63,236		$	31,005		$	30,503		$	13,208		$	7,124		$	4,552		$	1,672		$	374		$	222
Ratios to average net assets:
Expenses, before reimbursements		1.11	%		1.31	%H		1.28	%		1.65	%		2.27	%		3.03	%		1.14	%		1.53	%H		3.85	%H
Expenses, net of reimbursements		0.99	%		0.99	%H		1.03	%		1.25	%		1.25	%		1.25	%		1.09	%		1.09	%H		1.09	%H
Net investment income (loss), before reimbursements		(0.70	)%		1.37	%H		(0.62	)%		(1.12	)%		(1.81	)%		(2.46	)%		(0.73	)%		0.69	%H		(3.09	)%H
Net investment income (loss), net of reimbursements		(0.58	)%		1.69	%H		(0.37	)%		(0.72	)%		(0.79	)%		(0.69	)%		(0.68	)%		1.13	%H		(0.33	)%H
Portfolio turnover rate		25	%		1	%G		27	%		30	%		20	%		29	%		25	%		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.

52

American Beacon Stephens Mid-Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Investor Class																		A Class									C Class
Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Year Ended November 30,												Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Feb. 24A to Nov. 30, 2012			Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Feb. 24A to Nov. 30, 2012
						2012B			2011B			2010B			2009B
$	13.83		$	13.72		$	12.36		$	11.26		$	8.74		$	6.53		$	13.83		$	13.72		$	13.62		$	13.75		$	13.63		$	13.62
	(0.08	)		0.02			(0.14	)C		(0.11	)D		(0.10	)D		(0.07	)		(0.10	)		0.02			(0.05	)		(0.16	)		0.02			(0.04	)
	4.58			0.17			1.50			1.21			2.62			2.28			4.57			0.17			0.15			4.47			0.18			0.05
	4.50			0.19			1.36			1.10			2.52			2.21			4.47			0.19			0.10			4.31			0.20			0.01
	(0.01	)		—			—			—			—			—			(0.01	)		—			—			0.00			—			—
	(0.68	)		(0.08	)		—			—			—			—			(0.68	)		(0.08	)		—			(0.68	)		(0.08	)		—
	(0.00	)E		—			—			—			—			—			(0.00	)E		—			—			(0.00	)E		—			—
	(0.69	)		(0.08	)		—			—			—			—			(0.69	)		(0.08	)		—			(0.68	)		(0.08	)		—
	—			—			—			—			0.00	E		0.00	E		—			—			—			—			—			—
$	17.64		$	13.83		$	13.72		$	12.36		$	11.26		$	8.74		$	17.61		$	13.83		$	13.72		$	17.38		$	13.75		$	13.63
	32.71	%		1.37	%G		11.00	%		9.77	%		28.83	%		33.84	%		32.49	%		1.37	%G		0.73	%G		31.54	%		1.45	%G		0.07	%G
$	31,912		$	18,585		$	18,092		$	20,034		$	15,076		$	9,637		$	18,396		$	7,302		$	7,063		$	1,626		$	302		$	147
	1.38	%		1.68	%H		1.67	%		1.91	%		2.52	%		3.32	%		1.56	%		1.81	%H		1.83	%H		2.28	%		2.68	%H		14.54	%H
	1.37	%		1.37	%H		1.40	%		1.50	%		1.50	%		1.50	%		1.49	%		1.49	%H		1.49	%H		2.24	%		2.24	%H		2.24	%H
	(0.98	)%		0.94	%H		(1.04	)%		(1.35	)%		(2.06	)%		(2.75	)%		(1.15	)%		0.86	%H		(1.04	)%H		(1.87	)%		0.15	%H		(13.65	)%H
	(0.97	)%		1.26	%H		(0.76	)%		(0.94	)%		(1.04	)%		(0.93	)%		(1.09	)%		1.18	%H		(0.70	)%H		(1.84	)%		0.59	%H		(1.36	)%H
	25	%		1	%G		27	%		30	%		20	%		29	%		25	%		1	%G		27	%I		25	%		1	%G		27	%I

53

American Beacon Funds^SM

Privacy Policy & Federal Tax Information

December 31, 2013 (Unaudited)

Privacy Policy

The American Beacon Funds recognize and respect the privacy of our shareholders. We are providing this notice to you so you will understand how shareholder information may be collected and used.

We may collect nonpublic personal information about you from one or more of the following sources:

• information we receive from you on applications or other forms;

• information about your transactions with us or our service providers; and

• information we receive from third parties.

We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law.

We restrict access to your nonpublic personal information to those employees or service providers who need to know that information to provide products or services to you. To ensure the confidentiality of your nonpublic personal information, we maintain safeguards that comply with federal standards.

Federal Tax Information

Certain tax information regarding the Funds is required to be provided to shareholders based upon the Funds’ income and distribution for the taxable year ended December 31, 2013. The information and distributions reported herein may differ from information and distribution taxable to the shareholders for the calendar year ended December 31, 2013.

The Funds designated the following items with regard to distributions paid during the fiscal year ended December 31, 2013. All designations are based on financial information available as of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations there under.

	Bridgeway Large Cap Value			Holland Large Cap Growth			Stephens Small Cap Growth			Stephens Mid-Cap Growth
Corporate Dividends Received Deduction		95.20	%		93.40	%		64.00	%		89.20	%
Qualified Dividend Income		100.00	%		0.00	%		0.00	%		0.00	%

The Funds designated the following as short-term capital gain distributions for the year ended December 31, 2013:

Bridgeway Large Cap Value Fund	$	1,158,486
Holland Large Cap Growth Fund		75,642
Stephens Small Cap Growth Fund		1,519,141

The Funds designated the following as long-term capital gain distributions for the year ended December 31, 2013:

Bridgeway Large Cap Value Fund	$	5,031,505
Holland Large Cap Growth Fund		6,847,219
Stephens Small Cap Growth Fund		23,429,687
Stephens Mid-Cap Growth Fund		3,871,292

Shareholders will receive notification in January 2014 of the appropriate tax information necessary to prepare their 2013 income tax returns.

54

Trustees and Officers of the American Beacon Funds^SM

(Unaudited)

The Trustees and officers of the American Beacon Funds (the “Trust”) are listed below, together with their principal occupations during the past five years. Unless otherwise indicated, the address of each person listed below is 4151 Amon Carter Boulevard, MD 2450, Fort Worth, Texas 76155. Each Trustee oversees twenty-nine funds in the fund complex that includes the Trust and the American Beacon Select Funds. The Trust’s Statement of Additional Information contains additional information about the Trustees and is available without charge by calling 1-800-658-5811.

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
INTERESTED TRUSTEES	Term
	Lifetime of Trust until removal, resignation or retirement*
Gerard J. Arpey** (55)	Trustee since 2012	Partner, Emerald Creek Group (private equity firm) (2011-Present); Chairman and Chief Executive Officer, AMR Corp. and American Airlines, Inc. (2003-2011); Director, S. C. Johnson & Son, Inc. (privately held company) (2008-present); Trustee, American Beacon Select Funds (2012-Present).
Alan D. Feld*** (77)	Trustee since 1996	Sole Shareholder of a professional corporation which is a Partner in the law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (law firm) (1960-Present); Trustee, American Beacon Mileage Funds (1996-2012); Trustee, American Beacon Select Funds (1999-Present); Trustee, American Beacon Master Trust (1996-2012).
NON-INTERESTED TRUSTEES	Term
	Lifetime of Trust until removal, resignation or retirement*
W. Humphrey Bogart (69)	Trustee since 2004	Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Brenda A. Cline (53)	Trustee since 2004	Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Eugene J. Duffy (59)	Trustee since 2008	Principal and Executive Vice President, Paradigm Asset Management (1994-Present); Director, Sunrise Bank of Atlanta (2008-Present); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
Thomas M. Dunning (71)	Trustee since 2008	Chairman Emeritus (2008-Present) and Chairman (1998-2008), Lockton Dunning Benefits (consulting firm in employee benefits); Lead Director, Oncor Electric Delivery Company LLC (2007-Present); Board Member, BancTec (2010-Present); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
Richard A. Massman (70)	Trustee since 2004 Chairman since 2008	Consultant and General Counsel Emeritus (2009-Present) and Senior Vice President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding company engaged in oil and gas exploration and production, refining, real estate, farming, ranching and venture capital activities); Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).

55

Trustees and Officers of the American Beacon Funds^SM

(Unaudited)

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
Barbara J. McKenna, CFA (50)	Trustee since 2012	Managing Principal, Longfellow Investment Management Company (2005-Present); Trustee, American Beacon Select Funds (2012-Present).
R. Gerald Turner (68)	Trustee since 2001	President, Southern Methodist University (1995-Present); Director, J.C. Penney Company, Inc. (1996-Present); Director, Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Trustee, American Beacon Mileage Funds (2001-2012); Trustee, American Beacon Select Funds (2001-Present); Trustee, American Beacon Master Trust (2001-2012).
Paul J. Zucconi,CPA ****(73)	Trustee since 2008	Director, Affirmative Insurance Holdings, Inc. (producer of nonstandard automobile insurance) (2004-Present); Director, Titanium Metals Corporation (producer of titanium melted and mill products) (2002-2012); Director, Torchmark Corporation (life and health insurance products) (2002-Present); Director, Charter Bank (community bank services and products) (2010-2011); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
OFFICERS
	Term
	One Year
Gene L. Needles, Jr. (59)	President since 2009 Executive Vice President since 2009	President, CEO and Director (2009-Present), American Beacon Advisors, Inc.; President (2009-Present), President, CEO and Director (2009-Present), Lighthouse Holdings, Inc.; President and CEO (2009-Present), Lighthouse Holdings Parent, Inc.; President (2009-Present), American Beacon Select Funds; President (2009-Present), American Beacon Mileage Funds; President (2008-2012), Touchstone Investments; President (2003-2007), CEO (2004-2007), AIM Distributors.
Rosemary K. Behan (54)	VP, Secretary and Chief Legal Officer since 2006	Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006-Present); Secretary (2008-Present), Lighthouse Holdings, Inc.; Secretary (2008-Present), Lighthouse Holdings Parent, Inc.
Brian E. Brett (53)	VP since 2004	Vice President, Director of Sales, American Beacon Advisors, Inc. (2004-Present).
Wyatt L. Crumpler (47)	VP since 2007	Chief Investment Officer (2012-Present), Vice President, Asset Management (2009-2012), and Vice President, Trust Investments (2007-2009), American Beacon Advisors, Inc.
Erica Duncan (43)	VP Since 2011	Vice President, Marketing and Client Services (2011-Present), American Beacon Advisors, Inc.; Supervisor, Brand Marketing (2010-2011), Invesco; Supervisor, Marketing Communications (2009-2010) and Senior Financial Writer (2004-2009), Invesco AIM.
Michael W. Fields (59)	VP since 1989	Chief Fixed Income Officer (2011-Present) and Vice President, Fixed Income Investments, American Beacon Advisors, Inc. (1988-2011); Director, American Beacon Global Funds SPC (2002-2011); Director, American Beacon Global Funds plc (2007-2009).
Melinda G. Heika (52)	Treasurer since 2010	Treasurer (2010-Present), and Controller (2005-2009), American Beacon Advisors, Inc.; Treasurer (2010-Present), Lighthouse Holdings, Inc.; Treasurer (2010-Present), Lighthouse Holdings Parent, Inc.
Terri L. McKinney (50)	VP since 2010	Vice President, Enterprise Services (2009-Present) and Managing Director (2003-2009), American Beacon Advisors, Inc.
Jeffrey K. Ringdahl (38)	VP since 2010	Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present); Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010); Senior Director, Business Integration, Fidelity Investments (2005-2007).

56

Trustees and Officers of the American Beacon Funds^SM

(Unaudited)

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
Samuel J. Silver (50)	VP Since 2011	Vice President, Fixed Income Investments (2011-Present) and Senior Portfolio Manager, Fixed Income Investments (1999-2011), American Beacon Advisors, Inc.
Christina E. Sears (42)	Chief Compliance Officer since 2004 and Asst. Secretary since 1999	Chief Compliance Officer (2004-Present) and Senior Compliance Analyst (1998-2004), American Beacon Advisors, Inc.
John J. Okray (39)	Asst. Secretary since 2010	Deputy General Counsel (2012-Present) and Assistant General Counsel (2010-2012), American Beacon Advisors, Inc.; Asst. Secretary (2010-Present), Lighthouse Holdings, Inc.; Asst. Secretary (2010-Present), Lighthouse Holdings Parent, Inc.; Vice President, OppenheimerFunds, Inc. (2004-2010).
Sonia L. Bates (57)	Asst. Treasurer since 2011	Director, Tax and Financial Reporting (2011 - Present) and Manager, Tax and Financial Reporting (2005-2010), American Beacon Advisors, Inc.; Asst. Treasurer (2011-Present), Lighthouse Holdings, Inc.; Asst. Treasurer (2011-Present), Lighthouse Holdings Parent, Inc.

* The Board has adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in which they reach the age of 72, provided, however, that the Board may determine to grant one or more annual exemptions to this requirement.

** Mr. Arpey is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Arpey previously served as CEO of AMR Corp., which has a material relationship with the manager.

*** Mr. Feld is deemed to be an “interested person” of the Trusts, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s sub-advisors.

**** Mr. Zucconi retired as a Trustee of the Trust and the American Beacon Funds as of December 31, 2013.

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: Institutional, Y and Investor Call (800) 658-5811	By Mail: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121-9643
Availability of Quarterly Portfolio Schedules In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Section, 100 F Street, NE, Washington, D.C. 20549-1520. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (202) 551-8090. A complete schedule of the Fund’s portfolio holdings is also available on www.americanbeaconfunds.com, approximately twenty days after the end of each month.	Availability of Proxy Voting Policy and Records A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the www.americanbeaconfunds.com and by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009.

Fund Service Providers:

CUSTODIAN State Street Bank and Trust Boston, Massachusetts TRANSFER AGENT Boston Financial Data Services Kansas City, Missouri INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Dallas, Texas   DISTRIBUTOR Foreside Fund Services, LLC Portland, Maine

This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.

American Beacon Funds, American Beacon Bridgeway Large Cap Value Fund, American Beacon Holland Large Cap Growth Fund, American Beacon Stephens Small Cap Growth Fund, and American Beacon Stephens Mid-Cap Growth Fund are service marks of American Beacon Advisors, Inc.

AR 12/13

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	2-9
American Beacon Funds
Statements of Assets and Liabilities	12
Statements of Operations	13
Statements of Changes in Net Assets	14
Notes to Financial Statements	15
Financial Highlights	22
State Street Equity 500 Index Portfolio
Portfolio of Investments	31
Statement of Assets and Liabilities	37
Statement of Operations	38
Statements of Changes in Net Assets	39
Financial Highlights	40
Notes to Financial Statements	41
Quantitative Master Series LLC
Master International Index Series
Schedule of Investments	55
Master Small Cap Index Series
Schedule of Investments	66
Statements of Assets and Liabilities	85
Statements of Operations	86
Statements of Changes in Net Assets	87
Financial Highlights	88
Notes to Financial Statements	89
Additional Information	Back Cover

Investing in the securities of small capitalization companies involves additional risks such as limited liquidity and greater volatility than larger 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. The American Beacon International Equity Index and American Beacon Small Cap Index Funds may be exposed to security lending risk through its investment in its respective Master Portfolio. Please see the prospectus for a complete discussion of these Funds’ risks. There can be no assurances that the investment objectives of these Funds will be met.

Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and each Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.

American Beacon Funds December 31, 2013

Dear Shareholders TC, While American Beacon Advisors specializes in actively managed funds, we also provide our shareholders with the option to invest in index funds. These index funds are overseen by world-class financial institutions, so that we may bring shareholders the kind of exemplary service they have come to expect from American Beacon. For investors who are more comfortable with passive investments, these funds are an important vehicle to have in a year like 2013, when most equity asset classes performed very well. The year’s equity market gains were remarkably widespread, across market capitalizations as well as across geographies. The S&P 500 Index, which generally represents the large-cap U.S. market, returned 32.39% for the year. Small caps, as measured by the Russell 2000 Index, were even stronger, with a return of 38.82%. The

MSCI EAFE Index, which measures the world’s developed market, was up 22.78%.

Our three index funds were able to take advantage of these headwinds. For the 12 months ended December 31, 2013:

• American Beacon S&P 500 Index Fund (Investor Class) returned 31.56%.

• American Beacon Small Cap Index Fund (Institutional Class) returned 38.98%.

• American Beacon International Equity Index Fund (Institutional Class) returned 21.55%.

Thank you for your continued investment in the American Beacon Funds. For additional information about the Funds or to access your account information, please visit our website at www.americanbeaconfunds.com.

Best regards,

Gene L. Needles, Jr.

President

American Beacon Funds

1

American Beacon S&P 500 Index Fund^†

Performance Overview

December 31, 2013 (Unaudited)

For the twelve months ended December 31, 2013, the total return of the Investor Class of the American Beacon S&P 500 Index Fund (the “Fund”) was 31.56%, underperforming the S&P 500^® Index (the “Index”) return of 32.39%.

Comparison of Change in Value of a $10,000 Investment

For the Period from 12/31/03 through 12/31/13

Total Returns for the period ended 12/31/13
	1 Year			5 Years			10 Years			Value of $10,000 12/31/03- 12/31/13
Institutional Class (1,3)		32.15	%		17.85	%		7.30	%	$	20,229
Investor Class (1,3)		31.56	%		17.32	%		6.81	%		19,321
S&P 500 Index (2)		32.39	%		17.94	%		7.41	%		20,425

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 S&P 500 Index is a market capitalization weighted index of common stocks publicly traded in the U.S. One cannot invest directly in an index.

3. The total annual Fund operating expense ratios set forth in the most recent Fund prospectus for the Institutional and Investor Class shares were 0.15% and 0.63%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report.

Performance Summary provided by SSgA Funds Management, Inc.

The S&P 500 Index added value in every quarter of 2013, and the only months it lost ground during the year were June and August. For 2013 as a whole, more than 90% of the names in the Index posted positive returns, and the full S&P 500 achieved its best annual result since 1997.

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.

Although the second quarter of 2013 confronted investors with numerous new sources of volatility, 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 Index climbed briskly into May to achieve a new set of record highs. Even after the concept of tapered Federal Reserve asset purchases arrived on May 22 to knock rate-sensitive investment plays off their lofty perches, broader U.S. averages underwent only modest consolidation before deriving fresh inspiration from solid jobs figures in early June. While reiteration by Federal Reserve Chairman Ben Bernanke of the potential for reduced asset purchases later in 2013 sent the S&P to a June 20 loss of 2.5%, its largest daily decline since late 2011, U.S. share averages remained well above their April lows. Arguably, a key source of strength in U.S. markets was disenchantment with expanded risks in other parts of the world, a phenomenon that buoyed the dollar and drove money into the presumed stability of American assets. Although the Index suffered a mild 1.3% decline for June, it still appreciated by 2.9% for the full second quarter, and its year-to-date gain now stretched to an impressive 13.8%.

Firm employment trends and conciliatory rhetoric from the Federal Reserve helped U.S. stocks push higher in July, and major averages

2

American Beacon S&P 500 Index Fund^†

Performance Overview

December 31, 2013 (Unaudited)

eventually eclipsed their May peaks with ease. Even though corporate earnings reports included some notable disappointments, consistent strength in popular biotechnology and consumer names kept investor sentiment buoyant. After the Index pushed to records once more in early August, however, the rally began to dissipate. Downbeat guidance from a number of major technology and retailing firms sparked a late August correction that gathered pace when Secretary of State John Kerry indicated that the U.S. might take military action against Syria. A softer cast to U.S. home sales was also less than helpful, and the August employment figures that arrived on the first Friday in September were weaker than expected.

During both September and the third quarter as a whole, sector performance in the Index reflected a growing preference for themes that would benefit from healthier economic growth.

Investors in U.S. stocks were under-standably nervous as the fourth quarter got underway, since equities had already produced solidly positive returns for three consecutive quarters and the history of early autumn includes many volatile episodes. Moreover, the September postponement of a widely expected announcement of tapered Federal Reserve asset purchases had dented the dollar and diverted attention towards non-U.S. markets. When the U.S. Congress could not agree on a budget and the government underwent a partial shutdown in early October, U.S. share buyers remained on the defensive. But major averages did not breach their August lows, and investors began to anticipate a reopening of full government operations and a deal to circumvent the debt ceiling. When agreement actually came in mid-October, stocks had already built up enough momentum to drive volatility lower and lift share prices further through November. Jittery action returned in early December, when oil prices embarked on a sharp rebound. Worries about holiday spending and Chinese growth prospects contributed to the mild malaise. Even though the November employment figures reported on December 6 looked healthy, investors stayed nervous when Congress arrived almost too easily at a new budget agreement. After all, without political rancor, the Federal Reserve might have more incentive to remove accommodation. Sure enough, December 18 brought the formal

announcement that tapering of debt purchases would begin in January, but the accompanying guidance on maintaining interest rates at minimal levels was received very well by equity investors. The Index proceeded to set several new closing records, ending its extraordinary 2013 essentially on the highs.

All ten of the Index sectors achieved double-digit gains in 2013, participating hand-somely in the broad equity prosperity. Leading the way were Consumer Discretionary (up 43.1%), Health Care (up 41.4%) and Industrials (up 40.7%). These sectors even outpaced the averages consistently enough to post returns for the year that exceeded 40%.

Portfolio Strategy

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

3

American Beacon S&P 500 Index Fund^†

Performance Overview

December 31, 2013 (Unaudited)

Top Ten Holdings (% Net Assets)*
Apple, Inc.	3.1
Exxon Mobil Corp.	2.7
Google Inc.	1.9
Microsoft Corp.	1.7
General Electric Company	1.7
Johnson & Johnson	1.6
Chevron Corp.	1.5
JPMorgan Chase & Co.	1.3
Procter & Gamble Co.	1.3
Wells Fargo & Co.	1.3

* Percent of net assets of State Street Equity 500 Index Portfolio

Sector Allocation (% Equities)*
Information Technology	18.5
Financials	16.2
Health Care	13.0
Consumer Discretionary	12.6
Industrials	10.9
Energy	10.3
Consumer Staples	9.8
Materials	3.5
Utilities	2.9
Telecommunication Services	2.3

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

^†  “Standard & Poor’s^®,” “S&P,” “S&P 500,” “Standard & Poor’s 500” and “500” are trademarks of Standard & Poor’s Financial Services LLC, an affiliate of The McGraw-Hill Companies, Inc. (“S&P”) and have been licensed for use by the Equity 500 Index Portfolio. The Fund is not sponsored, endorsed, sold or promoted by S&P, and S&P makes no representation regarding the advisability of investing in the Fund.

4

American Beacon Small Cap Index Fund^SM

Performance Overview

December 31, 2013 (unaudited)

For the twelve months ended December 31, 2013, the total return of the Institutional Class of the American Beacon Small Cap Index Fund (the “Fund”) was 38.98%. The Fund’s performance was above the Russell 2000^® Index (the “Index”) return of 38.82%.

Comparison of Change in Value of a $250,000 Investment

For the Period from 12/31/03 through 12/31/13

Total Returns for the Period ended 12/31/13
	1 Year			5 Years			10 Years			Value of $250,000 12/31/03- 12/31/13
Institutional Class (1,3)		38.98	%		20.07	%		9.00	%	$	591,877
Russell 2000 Index (2)		38.82	%		20.08	%		9.07	%		595,678

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.

2. The Russell 2000 Index is an unmanaged index comprised of approximately 2,000 smaller-capitalization stocks from various industrial sectors. One cannot invest directly in an index.

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

Performance Summary provided by BlackRock Investment Management, LLC

U.S. small cap equities, as represented by the Index, posted an impressive gain of 38.82% for the 12-month period ended December 31, 2013 as the world’s largest central banks continued their stimulus measures and corporate profits benefited from the slow but positive growth environment.

U.S. equity markets began 2013 with a powerful relief rally after the United States averted the worst of its potential fiscal crisis with a last-minute tax deal. The rally softened in February, however, as economic momentum slowed. Later in the first quarter, a stalemate presidential election in Italy and a severe banking crisis in Cyprus reminded investors that political and financial instability in Europe continued to pose risks. The ascent of equities persevered as increased global liquidity kept interest rates low and investors turned to riskier asset classes in search of yield.

As the year progressed, the direction of stock markets became increasingly dominated by speculation around the future of monetary policy. Sluggish U.S. growth, ironically, was often conducive to positive stock market performance as weak economic data reinforced investors’ expectations that the U.S. Federal Reserve (the “Fed”) would maintain its accommodative stance. Additionally, the modest pace of economic growth boded well for corporate profit margins as the U.S. recovery was strong enough to support revenues while nearly stagnant wage growth kept costs low.

After peaking in late May, stock markets recoiled when Fed Chairman Bernanke mentioned the possibility of gradually reducing (or “tapering”) monetary stimulus before the end of 2013. Volatility picked up considerably as many investors misinterpreted the Fed’s remarks as signaling the end of low short-term interest rates. However, equities staged a swift mid-summer rebound when the Fed’s tone turned more dovish. Later in the third quarter, mixed economic data drove high volatility as it made investors increasingly anxious about when and how much the Fed would scale back on its monthly asset purchase program. Also concerning was the escalation of the revolution in Egypt and the civil war in Syria, events that fueled

5

American Beacon Small Cap Index Fund^SM

Performance Overview

December 31, 2013 (unaudited)

higher oil prices, an additional headwind for global growth.

September brought another sharp rally as the Fed defied market expectations with its decision to delay tapering its asset purchases. On the geopolitical front, the turmoil in Egypt and Syria subsided and the re-election of Angela Merkel as Chancellor of Germany was welcomed as a continuation of the status quo. The equity market advance was interrupted again in late September when the U.S. teetered on breaching the national debt ceiling and political brinksmanship led to a partial government shutdown. The rally quickly resumed in mid-October when politicians engineered a compromise to reopen the government and extend the debt ceiling until early 2014.

As economic indicators improved later in the fall, investors grappled with rising uncertainty around the timing of the anticipated Fed taper. This anxiety was ultimately relieved when the central bank announced the commencement of tapering in mid-December. Investors reacted positively to this policy move as it signaled the Fed’s perception of real improvement in U.S. growth. Sentiment was also buoyed by the extension of the Fed’s expected time horizon for maintaining low short-term interest rates.

From a sector perspective, all sectors in the Index generated positive returns. However, the consumer-driven areas were exceptionally strong performers in 2013. The Health Care sector generated stellar returns (up 51.66%), as did Consumer Staples (up 47.66%) and Consumer Discretionary (up 44.69%). Large gains also came from the Producer Durables (up 43.42%), Technology (up 41.32), Energy (up 35.05%) and Financial Services (up 31.38%) sectors. Even the more growth-sensitive Materials sector generated an impressive return (up 28.0%) in the tepid economic 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)*
athenahealth, Inc.	0.3
Acuity Brands, Inc.	0.3
Isis Pharmaceuticals, Inc.	0.3
Middleby Corp.	0.3
CoStar Group, Inc.	0.3
CNO Financial Group, Inc.	0.2
Ultimate Software Group, Inc.	0.2
Align Technology Inc.	0.2
Brunswick Corp.	0.2
PTC INC	0.2
Total Fund Holdings	2,015

* Percent of net assets of Master Small Cap Index Series

Sector Allocation (% Equities)*
Financials	21.9
Information Technology	17.1
Industrials	13.9
Consumer Discretionary	13.2
Health Care	12.7
Energy	5.3
Materials	4.7
Cash	3.9
Consumer Staples	3.7
Utilities	2.9
Telecommunications	0.7

* Percent of equity portion of Master Small Cap Index Series

6

American Beacon International Equity Index Fund^SM

Performance Overview

December 31, 2013 (Unaudited)

For the twelve months ended December 31, 2013, the Institutional Class of the American Beacon International Equity Index Fund (the “Fund”) posted a total return of 21.55%, underperforming the MSCI EAFE Index (the “Index”) return of 22.78%. 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.

Comparison of Change in Value of a $250,000 Investment

For the Period from 12/31/03 through 12/31/13

Total Returns for the Period ended 12/31/13
	1 Year			5 Years			10 Years			Value of $250,000 12/31/03- 12/31/13
Institutional Class (1,3)		21.55	%		11.82	%		6.86	%	$	485,536
MSCI EAFE Index (2)		22.78	%		12.44	%		6.91	%		487,787

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 MSCI EAFE Index is a market capitalization weighted index of international stock performance composed of equities from developed markets excluding the U.S. and Canada. One cannot invest directly in an index.

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

Performance Summary provided by BlackRock Investment Management, LLC

International equities, as represented by the Index, posted an impressive gain of 22.78% (in U.S. dollar terms) for the 12-month period ended December 31, 2013 as the world’s largest central banks continued their stimulus measures and corporate profits benefited from the slow but positive growth environment.

International equity markets began 2013 with a powerful relief rally after the United States averted the worst of its potential fiscal crises with a last-minute tax deal. The rally softened in February, however, as global economic momentum slowed. Later in the first quarter, a stalemate presidential election in Italy and a severe banking crisis in Cyprus reminded investors that political and financial instability in Europe continued to pose risks. The ascent of equities persevered as increased global liquidity kept interest rates low and investors turned to riskier asset classes in search of yield.

As the year progressed, the direction of equity markets became increasingly dominated by speculation around the future of monetary policy in response to signals from central banks, particularly the U.S. Federal Reserve (the “Fed”). Sluggish global growth, ironically, was often conducive to positive stock market performance as weak economic data reinforced investors’ expectations that major central banks would maintain their accommodative stance. Additionally, the modest pace of economic growth boded well for corporate profit margins as the global recovery was strong enough to support revenues while nearly stagnant wage growth kept costs low.

After peaking in late May, equity markets around the world recoiled when Fed Chairman Bernanke mentioned the possibility of gradually reducing (or “tapering”) monetary stimulus before the end of 2013. Volatility picked up considerably as many investors misinterpreted the Fed’s remarks as signaling the end of low short-term interest rates. However, equities staged a swift mid-summer rebound when the Fed’s tone turned more dovish. Later in the third quarter, mixed economic data drove high volatility as it made investors increasingly anxious about when and how much the Fed would scale back on its monthly asset purchase program. Also concerning was the escalation of the

7

American Beacon International Equity Index Fund^SM

Performance Overview

December 31, 2013 (Unaudited)

revolution in Egypt and the civil war in Syria, events that fueled higher oil prices, an additional headwind for global growth.

September brought another sharp rally as the Fed defied market expectations with its decision to delay tapering its asset purchase program. On the geopolitical front, the turmoil in Egypt and Syria subsided and the re-election of Angela Merkel as Chancellor of Germany was welcomed as a continuation of the status quo. The equity market advance was interrupted again in late September when the U.S. teetered on breaching the national debt ceiling and political brinksmanship led to a partial government shutdown. The rally quickly resumed in mid-October when politicians engineered a compromise to reopen the government and extend the debt ceiling until early 2014.

As economic indicators improved later in the fall, investors around the world grappled with rising uncertainty around the timing of the anticipated Fed taper. This anxiety was ultimately relieved when the central bank announced the commencement of tapering in mid-December. Investors reacted positively to this policy move as it signaled the Fed’s perception of real improvement in U.S. growth. Sentiment was also buoyed by the extension of the Fed’s expected time horizon for maintaining low short-term interest rates.

Equity markets in all of the developed countries represented in the Index moved higher for the year 2013 (in U.S. dollar terms). Markets in Finland (up 46.04%) and Ireland (up 41.15%) posted the largest gains in the Index, followed by Germany (up 31.37%), which has substantial representation in the Index composition. Japanese equities (up 27.16%) climbed higher as a weakening yen benefited the nation’s exporters, which comprise a large portion of the Japanese stock market. (In local currency terms, Japanese stocks soared 54.58%.) Japanese equities are among the heavier country weightings in the Index, as are Swiss (up 26.61%), French (up 26.33%) and U.K. equities (up 20.67%).

From a sector perspective, the consumer-driven areas of the Index were strong performers in 2013. Telecommunication Services generated stellar returns (up 46.21%), as did Consumer Discretionary stocks (up 35.06%), Health Care (up 28.15%), Information Technology (up 26.73%), Industrials (up 24.63%) and Financials (up 24.48%), which is the most heavily weighted sector in the Index. Large gains also came from Consumer Staples (up 16.90%), Utilities (up 13.84%) and Energy Companies (up 11.85%). The more growth-sensitive Materials sector generated a modest return (up 2.76%) in the tepid economic 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.

8

American Beacon International Equity Index Fund^SM

Performance Overview

December 31, 2013 (Unaudited)

Top Ten Holdings (% Net Assets)*
Nestle S.A.	1.8
Roche Holding Ltd.	1.5
HSBC Holdings PLC	1.5
Novartis AG	1.4
Vodafone Group plc	1.4
Toyota Motor Corp.	1.2
BP plc	1.1
Total S.A.	1.0
Royal Dutch Shell PLC	1.0
GlaxoSmithKline plc	1.0
Total Fund Holdings	943

* Percent of net assets of Master International Index Series

Sector Allocation (% Equities)
Financials	25.0
Industrials	12.7
Consumer Discretionary	11.7
Consumer Staples	10.7
Health Care	9.8
Materials	7.8
Energy	6.7
Telecommunications	5.6
Information Technology	4.4
Utilities	3.4
Other	2.2

* Percent of equity portion of Master International Index Series

Country Allocation (% of Equities)*
United Kingdom	22.2
Japan	20.9
France	10.1
Germany	9.5
Switzerland	8.7
Australia	7.6
Spain	3.4
Sweden	3.2
Hong Kong	2.8
Netherlands	2.7
Italy	2.2
Singapore	1.4
Belgium	1.2
Denmark	1.1
Finland	0.9
Norway	0.8
Israel	0.4
Austria	0.3
Ireland	0.3
Portugal	0.2
New Zealand	0.1

* Percent of equity portion of Master International Index Series

9

American Beacon Funds^SM

Fund Expenses

December 31, 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 July 1, 2013 through December 31, 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 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 7/1/13	$	1,000.00		$	1,000.00		$	1,000.00		Beginning Account Value 7/1/13	$	1,000.00
Ending Account Value 12/31/13	$	1,161.80		$	1,199.10		$	1,215.50		Ending Account Value 12/31/13	$	1,159.40
Expenses Paid During Period* 7/1/13 - 12/31/13	$	0.74		$	0.88		$	1.54		Expenses Paid During Period* 7/1/13 - 12/31/13	$	3.26
Annualized Expense Ratio		0.14	%		0.16	%		0.28	%	Annualized Expense Ratio		0.60	%

Hypothetical Example for Comparison Purposes

The following table provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in a particular Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders that invest in a Fund through an IRA 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 a Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Expenses Paid During Period” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.

Hypothetical

Institutional Class	S&P 500 Index			Small Cap Index			International Equity Index			Investor Class	S&P 500 Index
Beginning Account Value 7/1/13	$	1,000.00		$	1,000.00		$	1,000.00		Beginning Account Value 7/1/13	$	1,000.00
Ending Account Value 12/31/13	$	1,024.53		$	1,024.41		$	1,023.81		Ending Account Value 12/31/13	$	1,022.18
Expenses Paid During Period* 7/1/13 - 12/31/13	$	0.69		$	0.81		$	1.41		Expenses Paid During Period* 7/1/13 - 12/31/13	$	3.05
Annualized Expense Ratio		0.14	%		0.16	%		0.28	%	Annualized Expense Ratio		0.60	%

* Expenses are equal to each Fund’s annualized expense ratio for the six-month period multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (184) by days in the year (365) to reflect the half-year period.

10

American Beacon Funds^SM

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of

American Beacon S&P 500 Index Fund, American Beacon Small Cap Index Fund and American Beacon International Equity Index Fund:

We have audited the accompanying statements of assets and liabilities of the American Beacon International Equity Index Fund, the American Beacon S&P 500 Index Fund, and the American Beacon Small Cap Index Fund (three of the funds constituting the American Beacon Funds) (collectively, the “Funds”), as of December 31, 2013, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of each Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the American Beacon International Equity Index Fund, the American Beacon S&P 500 Index Fund, and the American Beacon Small Cap Index Fund at December 31, 2013, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Dallas, Texas

February 28, 2014

11

American Beacon Funds^SM

Statements of Assets and Liabilities

December 31, 2013 (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	$	991,613		$	279,996		$	628,255
Receivable for fund shares sold		1,309			5,598			1,677
Prepaid expenses		12			7			20
Total assets		992,934			285,601			629,952
Liabilities:
Payable for fund shares redeemed		22,584			—			33
Administrative service and service fees payable		49			10			25
Printing fees payable		29			15			17
Professional fees payable		17			7			9
Sub-administration fees payable		—			6			122
Transfer agent fees payable		14			4			7
Trustee fees payable		—			—			1
Other liabilities		2			4			1
Total liabilities		22,695			46			215
Net Assets	$	970,239		$	285,555		$	629,737
Analysis of Net Assets:
Paid-in-capital		697,218			231,387			589,163
Undistributed net investment income (distribution in excess)		551			(60	)		(1,307	)
Accumulated net realized loss		(52,118	)		(3,527	)		(84,731	)
Unrealized net appreciation of investments		324,846			57,755			126,181
Unrealized net appreciation or (depreciation) of foreign currency contracts		(258	)		—			114
Unrealized net appreciation of futures contracts		—			—			317
Net assets	$	970,239		$	285,555		$	629,737
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		37,524,498			15,378,226			55,099,546
Investor Class		1,137,195			—			—
Net assets (not in thousands):
Institutional Class	$	941,929,616		$	285,555,298		$	629,737,068
Investor Class	$	28,309,031		$	—		$	—
Net asset value, offering and redemption price per share:
Institutional Class	$	25.10		$	18 .57		$	11 .43
Investor Class	$	24.89		$	—		$	—

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios attached

12

American Beacon Funds^SM

Statements of Operations

For the year ended December 31, 2013 (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	$	17,199		$	3,001		$	16,698
Interest income		18			5			1
Securities lending income		—			345			7
Portfolio expenses (net of fees waived) B		(371	)		(138	)		(403	)
Other income		—			—			204
Net investment income allocated from Portfolio		16,846			3,213			16,507
Fund Expenses:
Administrative service fees (Note 2):
Institutional Class		399			111			276
Investor Class		60			—			—
Sub-administrative service fees: (note 2)
Institutional Class		—			20			446
Transfer agent fees:
Institutional Class		34			11			43
Investor Class		5			—			—
Custody and accounting fees		12			12			12
Professional fees		56			18			39
Registration fees		41			5			19
Service fees - Investor Class (Note 2)		60			—			—
Printing expense		102			40			88
Trustee fees		52			14			35
Insurance expense		12			2			10
Other expenses		28			11			46
Total fund expenses		861			244			1,014
Net investment income		15,985			2,969			15,493
Realized and unrealized gain (loss) allocated from master portfolio
Net realized gain (loss) from:
Investments		4,892			9,259			(6,354	)
Foreign currency transactions		—			—			(533	)
Futures contracts		4,257			2,407			1,326
Change in net unrealized appreciation or (depreciation) of:
Investments		201,514			56,278			96,100
Foreign currency transactions		—			—			69
Futures contracts		534			291			293
Net gain on investments		211,197			68,235			90,901
Net increase in net assets resulting from operations	$	227,182		$	71,204		$	106,394
A Foreign taxes	$	36		$	3		$	1,484
B Fees waived by Master Portfolio	$	—		$	6		$	1

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios attached

13

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
	Year Ended December 31,						Year Ended December 31,						Year Ended December 31,
	2013			2012			2013			2012			2013			2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	15,985		$	11,930		$	2,969		$	2,460		$	15,493		$	11,859
Net realized gain (loss) from investments, foreign currency contracts, and futures contracts		9,149			15,814			11,666			488			(5,561	)		(30,284	)
Change in net unrealized appreciation or (depreciation) of investments, foreign currency contracts and futures contracts		202,048			44,226			56,569			5,766			96,462			83,038
Net increase in net assets resulting from operations		227,182			71,970			71,204			8,714			106,394			64,613
Distributions to Shareholders:
Net investment income:
Institutional Class		(15,320	)		(11,794	)		(3,043	)		(3,779	)		(16,049	)		(11,845	)
Investor Class		(353	)		(187	)		—			—			—			—
Net realized gain:
Institutional Class		—			—			—			—			—			—
Investor Class		—			—			—			—			—			—
Net distributions to shareholders		(15,673	)		(11,981	)		(3,043	)		(3,779	)		(16,049	)		(11,845	)
Net increase in net assets from capital share transactions (Note 5)		91,099			169,151			30,734			138,568			58,492			106,540
Net increase in net assets		302,608			229,140			98,895			143,503			148,837			159,308
Net Assets:
Beginning of period		667,631			438,491			186,660			43,157			480,900			321,592
End of Period *	$	970,239		$	667,631		$	285,555		$	186,660		$	629,737		$	480,900
*Includes undistributed net investment income (loss) of	$	551		$	272		$	(60	)	$	(10	)	$	(1,307	)	$	(236	)

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios attached

14

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

1. Organization and Significant Accounting Policies

American Beacon Funds (the “Trust”) which is comprised of twenty-seven Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, (the “Act”) as a diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon S&P 500 Index Fund, the American Beacon Small Cap Index Fund (closed to new investors), and the American Beacon International Equity Index Fund (each a “Fund” and collectively, the “Funds”), each a series of the Trust.

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

Each Fund invests all of its investable assets in a corresponding portfolio. The State Street Equity 500 Index Portfolio, Master Small Cap Index Series and the Master International Index Series (each a “Portfolio” and collectively the “Portfolios”) are open-ended management investment companies registered under the Act. The value of such investment reflects each Fund’s proportionate interest in the net assets of the corresponding Portfolio.

American Beacon:	Portfolios:	% of Portfolio Held  by Fund at December 31, 2013
S&P 500 Index Fund	State Street Equity 500 Index Portfolio		36.24	%
Small Cap Index Fund	Master Small Cap Index Series		33.23	%
International Equity Index Fund	Master International Index Series		62.19	%

The financial statements of the Portfolios are included elsewhere in this report and should be read in conjunction with the Funds’ financial statements.

Class Disclosure

The S&P 500 Index Fund has two classes of shares designed to meet the needs of different groups of investors. The Small Cap Index and the International Equity Index Funds offer one class to investors. The following table sets forth the differences amongst the classes:

Class:	Offered to:
Institutional Class	Investors making an initial investment of $250,000
Investor Class	General public and investors investing through an intermediary

Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the respective Fund. Class specific expenses, where applicable, currently include administrative service fees, and service fees, and vary amongst the classes as described more fully in Note 2.

Recently Adopted Accounting Pronouncements

In December 2011, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2011-11, Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities. The amendments in the ASU enhance disclosures about offsetting of financial assets and liabilities to enable investors to understand the effect of these arrangements on a fund’s financial position. In January 2013, FASB issued ASU No. 2013-01, Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities. The amendments in ASU No. 2013-01 clarify the scope of disclosures required by ASU No. 2011-11. These ASUs are effective for annual periods beginning on or after January 1, 2013, and interim periods

15

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

within those annual periods. The Funds adopted ASU 2011-11 and 2013-01 effective January 1, 2013. The adoption did not have any impact on the Fund’s financial statements as the accounting standard affects only the disclosure requirements for offsetting financial instruments.

2. Transactions with Affiliates

Administrative Services Agreement

The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative services to each Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of 0.05% of the average daily net assets of the Institutional Class of the S&P 500 Index Fund, International Equity Index Fund and the Small Cap Index Fund and 0.25% of the average daily net assets of the Investor Class of the S&P 500 Index Fund.

Service Plans

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

Sub-administration Agreement

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

3. Security Valuation and Fair Value Measurements

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

Investment Income

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

Dividends to Shareholders

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

16

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

Allocation of Income, Expenses, Gains and Losses

Income, expenses (other than those attributable to a specific class), gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.

Valuation of Shares

The price per share is calculated on each day on which shares are offered for sale. Net asset value (“NAV”) per share is computed by dividing the value of each Fund’s total assets (which includes the value of the Fund’s investments in its Portfolio) less liabilities, by the number of Fund shares outstanding.

Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.

Other

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

4. Federal Income and Excise Taxes

It is the policy of each Fund to qualify as a regulated investment company (“RIC”), by complying with all applicable provisions of Subchapter M of the Internal Revenue Code, as amended, and to make distribution of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each Fund is treated as a single entity for the purpose of determining such qualification.

The Funds do not have any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2013 remains subject to examination by the Internal Revenue Service. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statements of Operations.

Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. GAAP. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.

The International Equity Index Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on returns of income earned or gains realized or repatriated. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation, as applicable, as the income is earned or capital gains are recorded.

17

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

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

	S&P 500 Index Fund				Small Cap Index Fund				International Equity Index Fund
	Year Ended December  31, 2013		Year Ended December  31, 2012		Year Ended December  31, 2013		Year Ended December  31, 2012		Year Ended December  31, 2013		Year Ended December  31, 2012
Distributions paid from:
Ordinary income
Institutional Class	$	15,320	$	11,794	$	3,043	$	3,779	$	16,049	$	11,845
Investor Class		353		187		—		—		—		—
Return of Capital
Institutional Class		—		—		—		—		—		—
Investor Class		—		—		—		—		—		—
Total paid distributions	$	15,673	$	11,981	$	3,043	$	3,779	$	16,049	$	11,845

As of December 31, 2013, the components of distributable earnings or (deficits) on a tax basis were as follows (in thousands):

	S&P 500 Index Fund			Small Cap Index Fund			Int’l Equity Index Fund
Cost basis of investments for federal income tax purposes	$	683,497		$	224,367		$	511,707
Unrealized appreciation		328,365			61,175			127,392
Unrealized depreciation		(20,249	)		(5,546	)		(10,844	)
Net unrealized appreciation or (depreciation)		308,116			55,629			116,548
Undistributed ordinary income		218			32			693
Accumulated long-term gain or (loss)		(35,202	)		(1,493	)		(76,084	)
Other temporary differences		(111	)		—			(583	)
Distributable earnings or (deficits)	$	273,021		$	54,168		$	40,574

Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The temporary differences between financial reporting and tax-basis reporting of unrealized appreciation or (depreciation) are attributable primarily to the tax deferral of wash sales, the realization for tax purposes of unrealized gains (losses) on certain derivative instruments, reclassifications of income from real estate investment securities, and the realization for tax purposes on unrealized gains (losses) on investments in passive foreign investment companies.

Due to the inherent differences in the recognition of income, expenses and realized gains (losses) under the U.S. GAAP and federal income tax regulations, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statements of Assets and Liabilities.

Accordingly, the following amounts represent current year permanent differences derived from reclassifications of income from real estate investment securities, foreign currency, sales of investments in passive foreign investment companies, partnership transactions, and return of capital distributions that have been reclassified as of December 31, 2013 (in thousands):

	S&P 500 Index Fund			Small Cap Index Fund			Int’l Equity Index Fund
Paid-in-capital	$	3,853		$	1,599		$	101
Undistributed net investment income		(33	)		24			(515	)
Accumulated net realized gain(loss)		(3,820	)		(1,623	)		414
Unrealized appreciation or (depreciation) of investments, futures contracts, and foreign currency contracts		—			—			—

Under the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”), net capital losses recognized by Funds in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses. Prior to RIC MOD, net capital losses incurred

18

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

by the Funds were carried forward for eight years and treated as short-term losses. RIC MOD requires that post-enactment net capital losses be used before pre-enactment net capital losses.

Losses incurred for the year ended December 31, 2013 that will be carried forward under the provisions of RIC MOD are as follows:

	Loss Carryforward Character
Fund	Short term		Long term		Total
S&P 500 Index Fund	$	—	$	—	$	—
Small Cap Index Fund		—		—		—
International Equity Index Fund		1,357		45,539		46,896

Capital losses prior to the provisions of RIC MOD which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, which ever occurs first (in thousands) are as follows:

Fund	2016		2017		2018		Total
S&P 500 Index Fund	$	1,749		28,055	$	4,955	$	34,759
Small Cap Index Fund		—		—		1,060		1,060
International Equity Index Fund		9,746		13,890		5,259		28,895

The S&P 500 Index and Small Cap Index Funds utilized $1,545 and $1,560, respectively, of net capital loss carryforwards for the year ended December 31, 2013 (in thousands).

Net capital and late year losses incurred after October 31, 2013 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the period ended December 31, 2013, the S&P 500 Index Fund deferred $111 of long-term capital loss and the International Equity Index Fund deferred $433 of late year losses and $583 of short-term capital losses to January 1, 2014 (in thousands).

5. Capital Share Transactions

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

For the Year ended December 31, 2013

	Institutional Class						Investor Class						Total
S&P 500 Index Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		7,589		$	168,981			639		$	14,015			8,228		$	182,996
Reinvestment of dividends		668			15,185			15			338			683			15,523
Shares redeemed		(4,301	)		(97,139	)		(464	)		(10,281	)		(4,765	)		(107,420	)
Net increase in shares outstanding		3,956		$	87,027			190		$	4,072			4,146		$	91,099

	Institutional Class
Small Cap Index Fund	Shares			Amount
Shares sold		6,352		$	103,919
Reinvestment of dividends		166			3,043
Shares redeemed		(4,942	)		(76,228	)
Net increase in shares outstanding		1,576		$	30,734

19

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2013

	Institutional Class
International Equity Index Fund	Shares			Amount
Shares sold		17,486		$	182,715
Reinvestment of dividends		1,413			15,707
Shares redeemed		(13,620	)		(139,930	)
Net increase in shares outstanding		5,279		$	58,492

For the Year ended December 31, 2012

	Institutional Class						Investor Class						Total
S&P 500 Index Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		13,072		$	247,772			404		$	7,440			13,476		$	255,212
Reinvestment of dividends		606			11,707			10			180			616			11,887
Shares redeemed		(4,882	)		(90,024	)		(428	)		(7,924	)		(5,310	)		(97,948	)
Net increase (decrease) in shares outstanding		8,796		$	169,455			(14	)	$	(304	)		8,782		$	169,151

	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

20

This page intentionally left blank.

21

American Beacon S&P 500 Index Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Year Ended December 31,
	2013			2012			2011			2010			2009
Net asset value, beginning of period	$	19.35		$	17.05		$	17.07		$	15.15		$	12.21
Income from investment operations:
Net investment income:A		0.43			0.39			0.34			0.29			0.30
Net gain from investments (both realized and unrealized)		5.74			2.31			(0.02	)		1.95			2.91
Total income from investment operations		6.17			2.70			0.32			2.24			3.21
Less distributions:
Dividends from net investment income		(0.42	)		(0.40	)		(0.34	)		(0.32	)		(0.27	)
Tax return of capital		—			—			(0.00	)B		—			—
Total distributions		(0.42	)		(0.40	)		(0.34	)		(0.32	)		(0.27	)
Net asset value, end of period	$	25.10		$	19.35		$	17.05		$	17.07		$	15.15
Total return C		32.15	%		15.87	%		1.92	%		14.96	%		26.70	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	941,930		$	649,457		$	422,337		$	381,592		$	316,975
Ratios to average net assets (annualized):A
Net investment income		1.95	%		2.19	%		1.95	%		1.90	%		2.39	%
Expenses, including expenses allocated from the master portfolio		0.14	%		0.15	%		0.16	%		0.13	%		0.15	%

^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.

22

American Beacon S&P 500 Index Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Investor Class
Year Ended December 31,
2013			2012			2011			2010			2009
$	19.19		$	16.82		$	16.88		$	15.00		$	12.06
	0.37			0.31			0.22			0.15			0.33
	5.65			2.25			0.02			1.99			2.80
	6.02			2.56			0.24			2.14			3.13
	(0.32	)		(0.19	)		(0.30	)		(0.26	)		(0.19	)
	—			—			(0.00	)B		—			—
	(0.32	)		(0.19	)		(0.30	)		(0.26	)		(0.19	)
$	24.89		$	19.19		$	16.82		$	16.88		$	15.00
	31.56	%		15.25	%		1.44	%		14.43	%		26.26	%
$	28,309		$	18,174		$	16,154		$	17,707		$	22,261
	1.48	%		1.67	%		1.44	%		1.42	%		2.01	%
	0.60	%		0.63	%		0.64	%		0.60	%		0.60	%

23

American Beacon Small Cap Index Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Year Ended December 31,
	2013			2012			2011			2010			2009
Net asset value, beginning of period	$	13.52		$	11.86		$	12.64		$	10.06		$	8.00
Income from investment operations:
Net investment incomeA		0.22			0.21			0.19			0.13			0.10
Net gain (loss) on investments and futures transactions (both realized and unrealized)		5.05			1.73			(0.76	)		2.59			2.08
Total income (loss) from investment operations		5.27			1.94			(0.57	)		2.72			2.18
Less distributions:
Dividends from net investment income		(0.22	)		(0.18	)		(0.21	)		(0.13	)		(0.11	)
Tax return of capital		—			(0.10	)B		(0.00	BD)		(0.01	)B		(0.01	)B
Total distributions		(0.22	)		(0.28	)		(0.21	)		(0.14	)		(0.12	)
Net asset value, end of period	$	18.57		$	13.52		$	11.86		$	12.64		$	10.06
Total return C		38.98	%		16.36	%		(4.54	)%		27.05	%		27.21	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	285,555		$	186,660		$	43,157		$	93,138		$	39,958
Ratios to average net assets (annualized):A
Net investment income		1.34	%		2.23	%		1.04	%		1.21	%		1.18	%
Expenses, including expenses allocated from the master portfolio		0.17	%		0.21	%		0.26	%		0.18	%		0.23	%

^A  The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of the income and expenses of the Master Small Cap Index Series.

^B  The tax return of capital is calculated based upon outstanding shares at the time of distribution.

^C  May include adjustments with accounting principles generally accepted in the United States of America and as such, the net assets for financial reporting purposes and the returns based upon those net asset value may differ from the net asset value and returns for shareholder transactions.

^D  Amount is less than $0.01 per share.

24

American Beacon International Equity Index Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Year Ended December 31,
	2013			2012			2011			2010			2009
Net asset value, beginning of period	$	9.65		$	8.36		$	9.87		$	9.38		$	7.46
Income from investment operations:
Net investment incomeA		0.29			0.25			0.29			0.22			0.21
Net gain (loss) on investments, foreign currency and futures transactions (both realized and unrealized)		1.79			1.29			(1.51	)		0.49			1.93
Total income (loss) from investment operations		2.08			1.54			(1.22	)		0.71			2.14
Less distributions:
Dividends from net investment income		(0.30	)		(0.25	)		(0.29	)		(0.22	)		(0.22	)
Tax return of capital		—			—			—			—			—
Total distributions		(0.30	)		(0.25	)		(0.29	)		(0.22	)		(0.22	)
Net asset value, end of period	$	11.43		$	9.65		$	8.36		$	9.87		$	9.38
Total return B		21.66	%		18.42	%		(12.29	)%		7.57	%		28.72	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	629,737		$	480,900		$	321,592		$	326,055		$	280,110
Ratios to average net assets (annualized):A
Net investment income		2.80	%		3.28	%		3.26	%		2.66	%		2.66	%
Expenses, including expenses allocated from the master portfolio		0.26	%		0.19	%		0.24	%		0.21	%		0.23	%

^A  The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of the income and expenses of the Master International Index Series.

^B  May include adjustments with accounting principles generally accepted in the United States of America and as such, the net assets for financial reporting purposes and the returns based upon those net asset value may differ from the net asset value and returns for shareholder transactions.

25

American Beacon Funds^SM

Privacy Policy and Federal Tax Information

December 31, 2013 (Unaudited)

Privacy Policy

The American Beacon Funds recognize and respect the privacy of our shareholders. We are providing this notice to you so you will understand how shareholder information may be collected and used.

We may collect nonpublic personal information about you from one or more of the following sources:

• information we receive from you on applications or other forms;

• information about your transactions with us or our service providers; and

• information we receive from third parties.

We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law.

We restrict access to your nonpublic personal information to those employees or service providers who need to know that information to provide products or services to you. To ensure the confidentiality of your nonpublic personal information, we maintain safeguards that comply with federal standards.

Federal Tax Information

Certain tax information regarding the Funds is required to be provided to shareholders upon the distribution of the Funds’ income for the taxable year ended December 31, 2013. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2013.

The Funds designated the following items with regard to distributions paid during the year ended December 31, 2013. All designations are based on financial information available as of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations there under.

	S&P 500 Index Fund			Small Cap Index Fund			International Equity Index Fund
Corporate Dividends Received Deduction		94.10	%		80.70	%		0.00	%
Qualified Dividend Income		100.00	%		68.10	%		100.00	%

Shareholders will receive notification in January 2014 of the applicable tax information necessary to prepare their 2013 income tax returns.

26

Trustees and Officers of the American Beacon Funds^SM

(Unaudited)

The Trustees and officers of the American Beacon Funds (the “Trust”) are listed below, together with their principal occupations during the past five years. Unless otherwise indicated, the address of each person listed below is 4151 Amon Carter Boulevard, MD 2450, Fort Worth, Texas 76155. Each Trustee oversees twenty-nine funds in the fund complex that includes the Trust and the American Beacon Select Funds. The Trust’s Statement of Additional Information contains additional information about the Trustees and is available without charge by calling 1-800-658-5811.

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
INTERESTED TRUSTEES
	Term Lifetime of Trust until removal, resignation or retirement*
Gerard J. Arpey** (55)	Trustee since 2012	Partner, Emerald Creek Group (private equity firm) (2011-Present); Chairman and Chief Executive Officer, AMR Corp. and American Airlines; Inc. (2003-2011); Director, S. C. Johnson & Son, Inc. (privately held company) (2008-present); Trustee, American Beacon Select Funds (2012-Present).
Alan D. Feld*** (77)	Trustee since 1996	Sole Shareholder of a professional corporation which is a Partner in the law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (law firm) (1960-Present); Trustee, American Beacon Mileage Funds (1996-2012); Trustee, American Beacon Select Funds (1999-Present); Trustee, American Beacon Master Trust (1996-2012).
NON-INTERESTED TRUSTEES	Term
	Lifetime of Trust until removal, resignation or retirement*
W. Humphrey Bogart (69)	Trustee since 2004	Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Brenda A. Cline (53)	Trustee since 2004	Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Eugene J. Duffy (59)	Trustee since 2008	Principal and Executive Vice President, Paradigm Asset Management (1994-Present); Director, Sunrise Bank of Atlanta (2008-Present); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
Thomas M. Dunning (71)	Trustee since 2008	Chairman Emeritus (2008-Present) and Chairman (1998-2008)), Lockton Dunning Benefits (consulting firm in employee benefits); Lead Director, Oncor Electric Delivery Company LLC (2007-Present); Board Member, BancTec (2010-Present); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
Richard A. Massman (70)	Trustee since 2004 Chairman since 2008	Consultant and General Counsel Emeritus (2009-Present) and Senior Vice President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding company engaged in oil and gas exploration and production, refining, real estate, farming, ranching and venture capital activities); Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).

27

Trustees and Officers of the American Beacon Funds^SM

(Unaudited)

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
Barbara J. McKenna, CFA (509)	Trustee since 2012	Managing Principal, Longfellow Investment Management Company (2005-Present); Trustee, American Beacon Select Funds (2012-Present).
R. Gerald Turner (68)	Trustee since 2001	President, Southern Methodist University (1995-Present); Director, J.C. Penney Company, Inc. (1996-Present); Director, Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Trustee, American Beacon Mileage Funds (2001-2012); Trustee, American Beacon Select Funds (2001-Present); Trustee, American Beacon Master Trust (2001-2012).
Paul J. Zucconi,CPA ****(73)	Trustee since 2008	Director, Affirmative Insurance Holdings, Inc. (producer of nonstandard automobile insurance) (2004-Present); Director, Titanium Metals Corporation (producer of titanium melted and mill products) (2002-2012); Director, Torchmark Corporation (life and health insurance products) (2002-Present); Director, Charter Bank (community bank services and products) (2010-2011); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
OFFICERS
	Term
	One Year
Gene L. Needles, Jr. (59)	President since 2009 Executive Vice President 2009	President, CEO and Director (2009-Present), American Beacon Advisors, Inc.; President (2009-Present), President, CEO and Director (2009-Present), Lighthouse Holdings, Inc.; President and CEO (2009-Present), Lighthouse Holdings Parent, Inc.; President (2009-Present), American Beacon Select Funds; President (2009-Present), American Beacon Mileage Funds; President (2008-2012), Touchstone Investments; President (2003-2007), CEO (2004-2007), AIM Distributors.
Rosemary K. Behan (54)	VP, Secretary and Chief Legal Officer since 2006	Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006-Present); Secretary (2008-Present), Lighthouse Holdings, Inc.; Secretary (2008-Present), Lighthouse Holdings Parent, Inc.
Brian E. Brett (53)	VP since 2004	Vice President, Director of Sales, American Beacon Advisors, Inc. (2004-Present).
Wyatt L. Crumpler (47)	VP since 2007	Chief Investment Officer (2012-Present), Vice President, Asset Management (2009-2012), and Vice President, Trust Investments (2007-2009), American Beacon Advisors, Inc.
Erica Duncan (43)	VP Since 2011	Vice President, Marketing and Client Services (2011-Present), American Beacon Advisors, Inc.; Supervisor, Brand Marketing (2010-2011), Invesco; Supervisor, Marketing Communications (2009-2010) and Senior Financial Writer (2004-2009), Invesco AIM.
Michael W. Fields (59)	VP since 1989	Chief Fixed Income Officer (2011-Present) and Vice President, Fixed Income Investments, American Beacon Advisors, Inc. (1988-2011); Director, American Beacon Global Funds SPC (2002-2011); Director, American Beacon Global Funds plc (2007-2009).
Melinda G. Heika (52)	Treasurer since 2010	Treasurer (2010-Present), and Controller (2005-2009), American Beacon Advisors, Inc.; Treasurer (2010-Present), Lighthouse Holdings, Inc.; Treasurer (2010-Present), Lighthouse Holdings Parent, Inc.
Terri L. McKinney (50)	VP since 2010	Vice President, Enterprise Services (2009-Present) and Managing Director (2003-2009), American Beacon Advisors, Inc.
Jeffrey K. Ringdahl (37)	VP since 2010	Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present); Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010); Senior Director, Business Integration, Fidelity Investments (2005-2007).

28

Trustees and Officers of the American Beacon Funds^SM

(Unaudited)

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
Samuel J. Silver (50)	VP Since 2011	Vice President, Fixed Income Investments (2011-Present) and Senior Portfolio Manager, Fixed Income Investments (1999-2011), American Beacon Advisors, Inc.
Christina E. Sears (42)	Chief Compliance Officer since 2004 and Asst. Secretary since 1999	Chief Compliance Officer (2004-Present) and Senior Compliance Analyst (1998-2004), American Beacon Advisors, Inc.
John J. Okray (39)	Asst. Secretary since 2010	Deputy General Counsel (2012-Present) and Assistant General Counsel (2010-2012), American Beacon Advisors, Inc.; Asst. Secretary (2010-Present), Lighthouse Holdings, Inc.; Asst. Secretary (2010-Present), Lighthouse Holdings Parent, Inc.; Vice President, OppenheimerFunds, Inc. (2004-2010).
Sonia L. Bates (57)	Asst. Treasurer since 2011	Director, Tax and Financial Reporting (2011 - Present) and Manager, Tax and Financial Reporting (2005-2010), American Beacon Advisors, Inc.; Asst. Treasurer (2011-Present), Lighthouse Holdings, Inc.; Asst. Treasurer (2011-Present), Lighthouse Holdings Parent, Inc.

* The Board has adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in which they reach the age of 72, provided, however, that the Board may determine to grant one or more annual exemptions to this requirement.

** Mr. Arpey is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Arpey previously served as CEO of AMR Corp., which has a material relationship with the Manager.

*** Mr. Feld is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s sub-advisors.

**** Mr. Zucconi retired as a Trustee of the Trust and the American Beacon Funds as of December 31, 2013.

29

State Street Equity 500 Index Portfolio

Annual Report

December 31, 2013

30

State Street Equity 500 Index Portfolio

Portfolio of Investments

December 31, 2013

	Shares		Market Value
COMMON STOCKS – 98.2%
Consumer Discretionary – 13.0%
Amazon.com, Inc.(a)		60,492	$	24,123,605
AutoNation, Inc.(a)		10,363		514,937
AutoZone, Inc.(a)		5,764		2,754,846
Bed Bath & Beyond, Inc.(a)		36,545		2,934,564
Best Buy Co., Inc.		42,119		1,679,706
BorgWarner, Inc.		37,000		2,068,670
Cablevision Systems Corp.		35,600		638,308
CarMax, Inc.(a)		37,200		1,749,144
Carnival Corp.		70,650		2,838,011
CBS Corp. Class B		91,203		5,813,279
Chipotle Mexican Grill, Inc.(a)		5,100		2,717,178
Coach, Inc.		44,828		2,516,196
Comcast Corp. Class A		427,348		22,207,139
D.R. Horton, Inc.(a)		46,076		1,028,416
Darden Restaurants, Inc.		20,588		1,119,370
Delphi Automotive PLC		45,500		2,735,915
DIRECTV(a)		82,277		5,684,518
Discovery Communications, Inc. Class A(a)		37,200		3,363,624
Dollar General Corp.(a)		48,200		2,907,424
Dollar Tree, Inc.(a)		36,600		2,064,972
eBay, Inc.(a)		191,503		10,511,600
Expedia, Inc.		17,357		1,209,089
Family Dollar Stores, Inc.		15,558		1,010,803
Ford Motor Co.		644,398		9,943,061
Fossil Group, Inc.(a)		8,800		1,055,472
GameStop Corp. Class A		19,500		960,570
Gannett Co., Inc.		39,574		1,170,599
Gap, Inc.		48,098		1,879,670
Garmin Ltd.		22,600		1,044,572
General Motors Co.(a)		182,300		7,450,601
Genuine Parts Co.		25,209		2,097,137
Goodyear Tire & Rubber Co.		39,357		938,664
Graham Holdings Co. Class B(a)		660		437,791
H&R Block, Inc.		43,615		1,266,580
Harley-Davidson, Inc.		35,801		2,478,861
Harman International Industries, Inc.		12,021		983,919
Hasbro, Inc.		17,825		980,553
Home Depot, Inc.		227,812		18,758,040
Host Hotels & Resorts, Inc.		118,721		2,307,936
International Game Technology		39,819		723,113
Interpublic Group of Cos., Inc.		71,894		1,272,524
Johnson Controls, Inc.		114,586		5,878,262
Kohl’s Corp.		34,533		1,959,748
L Brands, Inc.		39,567		2,447,219
Lennar Corp. Class A		25,931		1,025,830
Lowe’s Cos., Inc.		171,762		8,510,807
Macy’s, Inc.		61,423		3,279,988
Marriott International, Inc. Class A		39,050		1,927,508
Mattel, Inc.		55,276		2,630,032
McDonald’s Corp.		163,625		15,876,534
McGraw-Hill Cos., Inc.		45,766		3,578,901
Michael Kors Holdings, Ltd.(a)		29,100		2,362,629
Mohawk Industries, Inc.(a)		9,900		1,474,110
NetFlix, Inc.(a)		9,500		3,497,615
Newell Rubbermaid, Inc.		47,893		1,552,212
News Corp. Class A(a)		80,202		1,445,240
NIKE, Inc. Class B		121,604		9,562,939
Nordstrom, Inc.		23,633		1,460,519

	Shares		Market Value
O’Reilly Automotive, Inc.(a)		17,700	$	2,278,167
Omnicom Group, Inc.		41,741		3,104,278
PetSmart, Inc.		17,300		1,258,575
Priceline.com, Inc.(a)		8,390		9,752,536
PulteGroup, Inc.		54,705		1,114,341
PVH Corp.		13,000		1,768,260
Ralph Lauren Corp.		9,515		1,680,064
Ross Stores, Inc.		35,900		2,689,987
Scripps Networks Interactive, Inc. Class A		17,635		1,523,840
Snap-on, Inc.		9,212		1,008,898
Stanley Black & Decker, Inc.		25,707		2,074,298
Staples, Inc.		110,033		1,748,424
Starbucks Corp.		123,161		9,654,591
Starwood Hotels & Resorts Worldwide, Inc.		31,247		2,482,574
Target Corp.		102,816		6,505,168
Tiffany & Co.		19,880		1,844,466
Time Warner Cable, Inc.		46,071		6,242,621
Time Warner, Inc.		150,191		10,471,317
TJX Cos., Inc.		118,912		7,578,262
TripAdvisor, Inc.(a)		18,157		1,503,944
Twenty-First Century Fox, Inc.		315,909		11,113,679
Urban Outfitters, Inc.(a)		18,300		678,930
V.F. Corp.		57,572		3,589,038
Viacom, Inc. Class B		64,522		5,635,351
Walt Disney Co.		264,445		20,203,598
Whirlpool Corp.		12,661		1,986,004
Wyndham Worldwide Corp.		22,699		1,672,689
Wynn Resorts, Ltd.		12,700		2,466,467
Yum! Brands, Inc.		72,292		5,465,998
				357,507,435
Consumer Staples – 9.5%
Altria Group, Inc.		328,999		12,630,272
Archer-Daniels-Midland Co.		107,024		4,644,842
Avon Products, Inc.		67,660		1,165,105
Beam, Inc.		26,245		1,786,235
Brown-Forman Corp. Class B		26,182		1,978,574
Campbell Soup Co.		28,865		1,249,277
Clorox Co.		20,543		1,905,569
Coca-Cola Co.		622,322		25,708,122
Coca-Cola Enterprises, Inc.		40,801		1,800,548
Colgate-Palmolive Co.		144,602		9,429,496
ConAgra Foods, Inc.		68,575		2,310,978
Constellation Brands, Inc. Class A(a)		26,926		1,895,052
Costco Wholesale Corp.		71,989		8,567,411
CVS Caremark Corp.		192,032		13,743,730
Dr Pepper Snapple Group, Inc.		32,700		1,593,144
Estee Lauder Cos., Inc. Class A		41,204		3,103,485
General Mills, Inc.		103,664		5,173,870
Hormel Foods Corp.		21,200		957,604
Kellogg Co.		41,835		2,554,863
Kimberly-Clark Corp.		61,800		6,455,628
Kraft Foods Group, Inc.		96,669		5,212,393
Kroger Co.		84,176		3,327,477
Lorillard, Inc.		61,383		3,110,890
McCormick & Co., Inc.		20,753		1,430,297
Molson Coors Brewing Co. Class B		25,162		1,412,846
Mondelez International, Inc. Class A		281,909		9,951,388
Monster Beverage Corp.(a)		24,300		1,646,811

See Notes to Financial Statements.

31

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2013

	Shares		Market Value
COMMON STOCKS – (continued)
Consumer Staples – (continued)
PepsiCo, Inc.		251,954	$	20,897,065
Philip Morris International, Inc.		259,499		22,610,148
Procter & Gamble Co.		441,319		35,927,780
Reynolds American, Inc.		52,074		2,603,179
Safeway, Inc.		37,164		1,210,431
Sysco Corp.		95,709		3,455,095
The Hershey Co.		24,282		2,360,939
The J.M. Smucker Co.		17,160		1,778,119
Tyson Foods, Inc. Class A		44,235		1,480,103
Wal-Mart Stores, Inc.		264,702		20,829,400
Walgreen Co.		141,018		8,100,074
Whole Foods Market, Inc.		60,066		3,473,617
				259,471,857
Energy – 10.1%
Anadarko Petroleum Corp.		81,626		6,474,574
Apache Corp.		65,125		5,596,843
Baker Hughes, Inc.		71,973		3,977,228
Cabot Oil & Gas Corp.		67,500		2,616,300
Cameron International Corp.(a)		39,700		2,363,341
Chesapeake Energy Corp.		83,182		2,257,560
Chevron Corp.(b)		314,746		39,314,923
ConocoPhillips		198,530		14,026,145
Consol Energy, Inc.		37,173		1,414,061
Denbury Resources, Inc.(a)		61,500		1,010,445
Devon Energy Corp.		63,951		3,956,648
Diamond Offshore Drilling, Inc.		11,500		654,580
Ensco PLC Class A		38,000		2,172,840
EOG Resources, Inc.		44,917		7,538,869
EQT Corp.		24,100		2,163,698
ExxonMobil Corp.(b)		710,447		71,897,236
FMC Technologies, Inc.(a)		38,600		2,015,306
Halliburton Co.		138,434		7,025,526
Helmerich & Payne, Inc.		17,300		1,454,584
Hess Corp.		47,801		3,967,483
Kinder Morgan, Inc.		108,526		3,906,936
Marathon Oil Corp.		118,777		4,192,828
Marathon Petroleum Corp.		47,488		4,356,074
Murphy Oil Corp.		28,841		1,871,204
Nabors Industries, Ltd.		48,204		818,986
National Oilwell Varco, Inc.		70,757		5,627,304
Newfield Exploration Co.(a)		20,600		507,378
Noble Corp. PLC		39,400		1,476,318
Noble Energy, Inc.		57,920		3,944,931
Occidental Petroleum Corp.		132,944		12,642,974
Peabody Energy Corp.		44,124		861,742
Phillips 66		99,165		7,648,596
Pioneer Natural Resources Co.		22,300		4,104,761
QEP Resources, Inc.		27,068		829,634
Range Resources Corp.		26,600		2,242,646
Rowan Cos. PLC Class A(a)		19,620		693,763
Schlumberger, Ltd.		213,058		19,198,656
Southwestern Energy Co.(a)		56,300		2,214,279
Spectra Energy Corp.		107,798		3,839,765
Tesoro Corp.		23,165		1,355,153
Transocean, Ltd.		55,100		2,723,042
Valero Energy Corp.		87,909		4,430,614
Williams Cos., Inc.		110,968		4,280,036
WPX Energy, Inc.(a)		30,856		628,845
				276,294,655

	Shares			Market Value
Financials – 16.9%
ACE, Ltd.		56,500		$	5,849,445
AFLAC, Inc.		75,490			5,042,732
Allstate Corp.		76,406			4,167,183
American Express Co.		150,664			13,669,745
American International Group, Inc.		243,533			12,432,360
American Tower Corp. REIT		64,100			5,116,462
Ameriprise Financial, Inc.		32,307			3,716,920
Aon PLC		49,547			4,156,498
Apartment Investment & Management Co. Class A		22,952			594,686
Assurant, Inc.		14,131			937,874
AvalonBay Communities, Inc.		19,298			2,281,603
Bank of America Corp.		1,729,471			26,927,863
BB&T Corp.		114,470			4,272,020
Berkshire Hathaway, Inc. Class B(a)		292,203			34,643,588
BlackRock, Inc.		20,434			6,466,748
Boston Properties, Inc.		24,767			2,485,864
Capital One Financial Corp.		96,463			7,390,030
CBRE Group, Inc.(a)		49,575			1,303,823
Charles Schwab Corp.		186,393			4,846,218
Chubb Corp.		41,475			4,007,729
Cincinnati Financial Corp.		23,114			1,210,480
Citigroup, Inc.		491,620			25,618,318
CME Group, Inc.		50,655			3,974,391
Comerica, Inc.		29,944			1,423,538
DDR Corp. REIT		1,532			23,547
Discover Financial Services		79,005			4,420,330
E*Trade Financial Corp.(a)		44,931			882,445
Equity Residential		54,057			2,803,937
Fifth Third Bancorp		141,716			2,980,288
Franklin Resources, Inc.		68,940			3,979,906
General Growth Properties, Inc. REIT		90,400			1,814,328
Genworth Financial, Inc. Class A(a)		82,251			1,277,358
Goldman Sachs Group, Inc.		67,934			12,041,981
Hartford Financial Services Group, Inc.		74,097			2,684,534
HCP, Inc.		73,400			2,665,888
Health Care REIT, Inc.		46,100	��		2,469,577
Hudson City Bancorp, Inc.		76,692			723,206
Huntington Bancshares, Inc.		141,956			1,369,875
IntercontinentalExchange Group, Inc.		18,862			4,242,441
Invesco Ltd.		72,200			2,628,080
J.P. Morgan Chase & Co.		610,215			35,685,373
KeyCorp		148,675			1,995,219
Kimco Realty Corp.		66,569			1,314,738
Legg Mason, Inc.		18,042			784,466
Leucadia National Corp.		55,236			1,565,388
Lincoln National Corp.		42,992			2,219,247
Loews Corp.		49,231			2,374,903
M&T Bank Corp.		20,937			2,437,486
Marsh & McLennan Cos., Inc.		88,553			4,282,423
Mastercard, Inc. Class A		16,900			14,119,274
MetLife, Inc.		183,696			9,904,888
Moody’s Corp.		31,466			2,469,137
Morgan Stanley		224,130			7,028,717
NASDAQ OMX Group, Inc.		18,400			732,320
Northern Trust Corp.		36,406			2,253,167
Paychex, Inc.		52,838			2,405,714

See Notes to Financial Statements.

32

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2013

	Shares		Market Value
COMMON STOCKS – (continued)
Financials – (continued)
People’s United Financial, Inc.		57,000	$	861,840
PNC Financial Services Group, Inc.		85,717		6,649,925
Principal Financial Group, Inc.		43,391		2,139,610
Progressive Corp.		88,101		2,402,514
ProLogis, Inc.		81,099		2,996,608
Prudential Financial, Inc.		75,539		6,966,207
Public Storage, Inc.		23,087		3,475,055
Regions Financial Corp.		226,389		2,238,987
Simon Property Group, Inc.		50,815		7,732,010
SLM Corp.		69,254		1,819,995
State Street Corp.(c)		72,725		5,337,288
SunTrust Banks, Inc.		86,518		3,184,728
T. Rowe Price Group, Inc.		42,275		3,541,377
The Bank of New York Mellon Corp.		187,085		6,536,750
The Macerich Co. REIT		21,800		1,283,802
Torchmark Corp.		14,931		1,166,858
Total System Services, Inc.		26,575		884,416
Travelers Cos., Inc.		60,504		5,478,032
U.S. Bancorp		299,052		12,081,701
Unum Group		40,929		1,435,789
Ventas, Inc.		46,600		2,669,248
Visa, Inc. Class A		82,400		18,348,832
Vornado Realty Trust		28,014		2,487,363
Wells Fargo & Co.		778,149		35,327,965
Western Union Co.		86,585		1,493,591
XL Group PLC		44,968		1,431,781
Zions Bancorp.		30,453		912,372
				462,000,943
Health Care – 12.4%
Abbott Laboratories		252,406		9,674,722
AbbVie, Inc.		257,506		13,598,892
Actavis PLC(a)		27,946		4,694,928
Aetna, Inc.		60,559		4,153,742
Alexion Pharmaceuticals, Inc.(a)		32,400		4,311,144
Allergan, Inc.		49,192		5,464,247
AmerisourceBergen Corp.		36,686		2,579,393
Amgen, Inc.		122,345		13,966,905
Baxter International, Inc.		88,461		6,152,463
Becton Dickinson and Co.		31,397		3,469,054
Biogen Idec, Inc.(a)		39,131		10,946,897
Boston Scientific Corp.(a)		219,034		2,632,789
Bristol-Myers Squibb Co.		267,316		14,207,845
C.R. Bard, Inc.		12,897		1,727,424
Cardinal Health, Inc.		53,957		3,604,867
CareFusion Corp.(a)		33,878		1,349,022
Celgene Corp.(a)		66,818		11,289,569
Cerner Corp.(a)		50,100		2,792,574
CIGNA Corp.		45,996		4,023,730
Covidien PLC		77,100		5,250,510
DaVita, Inc.(a)		30,700		1,945,459
Dentsply International, Inc.		23,300		1,129,584
Edwards Lifesciences Corp.(a)		19,000		1,249,440
Eli Lilly & Co.		160,675		8,194,425
Express Scripts Holding Co.(a)		133,214		9,356,951
Forest Laboratories, Inc.(a)		37,402		2,245,242
Gilead Sciences, Inc.(a)		250,498		18,824,925
Hospira, Inc.(a)		25,303		1,044,508

	Shares		Market Value
Humana, Inc.		25,207	$	2,601,867
Intuitive Surgical, Inc.(a)		6,300		2,419,704
Johnson & Johnson		461,549		42,273,273
Laboratory Corp. of America Holdings(a)		15,422		1,409,108
Life Technologies Corp.(a)		27,887		2,113,835
McKesson Corp.		37,255		6,012,957
Mead Johnson Nutrition Co.		32,618		2,732,084
Medtronic, Inc.		163,778		9,399,219
Merck & Co., Inc.		477,870		23,917,393
Mylan, Inc.(a)		63,209		2,743,271
Patterson Cos., Inc.		12,894		531,233
Perrigo Co. PLC		20,800		3,191,968
Pfizer, Inc.		1,051,681		32,212,989
Quest Diagnostics, Inc.		25,600		1,370,624
Regeneron Pharmaceuticals, Inc.(a)		12,600		3,468,024
St. Jude Medical, Inc.		46,626		2,888,481
Stryker Corp.		49,689		3,733,631
Tenet Healthcare Corp.(a)		15,542		654,629
UnitedHealth Group, Inc.		165,096		12,431,729
Varian Medical Systems, Inc.(a)		18,060		1,403,081
Vertex Pharmaceuticals, Inc.(a)		37,500		2,786,250
WellPoint, Inc.		50,338		4,650,728
Zimmer Holdings, Inc.		26,952		2,511,657
Zoetis, Inc.		79,448		2,597,155
				339,936,141
Industrials – 11.0%
3M Co.		105,472		14,792,448
ADT Corp.		36,250		1,467,037
Allegion PLC(a)		14,833		655,470
AMETEK, Inc.		39,400		2,075,198
Amphenol Corp. Class A		26,100		2,327,598
Avery Dennison Corp.		15,388		772,324
Boeing Co.		112,688		15,380,785
Caterpillar, Inc.		105,379		9,569,467
CH Robinson Worldwide, Inc.		25,861		1,508,731
Cintas Corp.		17,588		1,048,069
CSX Corp.		171,214		4,925,827
Cummins, Inc.		28,358		3,997,627
Danaher Corp.		99,472		7,679,238
Deere & Co.		62,337		5,693,238
Delta Air Lines, Inc.		139,300		3,826,571
Dover Corp.		27,895		2,692,983
Eaton Corp. PLC		78,824		6,000,083
Emerson Electric Co.		112,748		7,912,655
Equifax, Inc.		19,983		1,380,625
Expeditors International of Washington, Inc.		34,020		1,505,385
Fastenal Co.		44,300		2,104,693
FedEx Corp.		47,900		6,886,583
First Solar, Inc.(a)		10,570		577,545
Flir Systems, Inc.		23,500		707,350
Flowserve Corp.		21,900		1,726,377
Fluor Corp.		26,060		2,092,357
Fortune Brands Home & Security, Inc.		1,145		52,326
General Dynamics Corp.		54,061		5,165,529
General Electric Co.		1,643,633		46,071,033
Honeywell International, Inc.		128,881		11,775,857
Illinois Tool Works, Inc.		66,271		5,572,066

See Notes to Financial Statements.

33

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2013

	Shares		Market Value
COMMON STOCKS –(continued)
Industrials – (continued)
Ingersoll-Rand PLC		44,500	$	2,741,200
Iron Mountain, Inc.		26,910		816,718
Jacobs Engineering Group, Inc.(a)		20,400		1,284,996
Joy Global, Inc.		17,200		1,006,028
Kansas City Southern		17,500		2,167,025
L-3 Communications Holdings, Inc.		14,403		1,539,105
Leggett & Platt, Inc.		24,198		748,686
Lockheed Martin Corp.		43,552		6,474,440
Masco Corp.		57,123		1,300,691
Nielsen Holdings NV		41,200		1,890,668
Norfolk Southern Corp.		50,055		4,646,606
Northrop Grumman Corp.		35,011		4,012,611
PACCAR, Inc.		56,774		3,359,318
Pall Corp.		18,609		1,588,278
Parker Hannifin Corp.		23,903		3,074,882
Pentair, Ltd.		33,495		2,601,557
Pitney Bowes, Inc.		29,727		692,639
Precision Castparts Corp.		24,007		6,465,085
Quanta Services, Inc.(a)		35,000		1,104,600
Raytheon Co.		52,382		4,751,047
Republic Services, Inc.		47,503		1,577,100
Robert Half International, Inc.		23,540		988,445
Rockwell Automation, Inc.		22,505		2,659,191
Rockwell Collins, Inc.		22,531		1,665,492
Roper Industries, Inc.		16,100		2,232,748
Ryder System, Inc.		7,921		584,411
Southwest Airlines Co.		114,186		2,151,264
Stericycle, Inc.(a)		14,100		1,637,997
Textron, Inc.		44,839		1,648,282
Thermo Fisher Scientific, Inc.		59,624		6,639,132
Tyco International Ltd.		74,300		3,049,272
Union Pacific Corp.		75,368		12,661,824
United Parcel Service, Inc. Class B		118,146		12,414,782
United Technologies Corp.		137,678		15,667,756
W.W. Grainger, Inc.		10,069		2,571,824
Waste Management, Inc.		73,139		3,281,747
Xylem, Inc.		28,692		992,743
				302,633,265
Information Technology – 16.6%
Accenture PLC Class A		101,900		8,378,218
Adobe Systems, Inc.(a)		75,257		4,506,389
Agilent Technologies, Inc.		54,968		3,143,620
Akamai Technologies, Inc.(a)		28,924		1,364,634
Alliance Data Systems Corp.(a)		7,900		2,077,147
Altera Corp.		50,554		1,644,522
Analog Devices, Inc.		50,069		2,550,014
AOL, Inc.(a)		1		47
Apple, Inc.		146,384		82,137,526
Applied Materials, Inc.		194,207		3,435,522
Autodesk, Inc.(a)		36,476		1,835,837
Automatic Data Processing, Inc.		78,417		6,336,878
Broadcom Corp. Class A		88,659		2,628,739
CA, Inc.		53,099		1,786,781
Cisco Systems, Inc.		875,919		19,664,382
Citrix Systems, Inc.(a)		29,667		1,876,438
Cognizant Technology Solutions Corp. Class A(a)		48,984		4,946,404
Computer Sciences Corp.		23,144		1,293,287

	Shares		Market Value
Corning, Inc.		234,476	$	4,178,362
Dun & Bradstreet Corp.		7,100		871,525
Electronic Arts, Inc.(a)		50,400		1,156,176
EMC Corp.		342,684		8,618,503
F5 Networks, Inc.(a)		12,200		1,108,492
Facebook, Inc. Class A(a)		267,300		14,610,618
Fidelity National Information Services, Inc.		46,777		2,510,989
Fiserv, Inc.(a)		42,104		2,486,241
Google, Inc. Class A(a)		45,790		51,317,311
Harris Corp.		18,600		1,298,466
Hewlett-Packard Co.		313,416		8,769,380
Intel Corp.		811,156		21,057,610
International Business Machines Corp.		165,542		31,050,713
Intuit, Inc.		47,863		3,652,904
Jabil Circuit, Inc.		27,551		480,490
Juniper Networks, Inc.(a)		84,393		1,904,750
KLA-Tencor Corp.		27,005		1,740,742
Lam Research Corp.(a)		25,858		1,407,968
Linear Technology Corp.		37,363		1,701,885
LSI Corp.		89,162		982,565
Microchip Technology, Inc.		32,589		1,458,358
Micron Technology, Inc.(a)		174,862		3,804,997
Microsoft Corp.(b)		1,241,335		46,463,169
Motorola Solutions, Inc.		38,152		2,575,260
NetApp, Inc.		57,357		2,359,667
NVIDIA Corp.		99,956		1,601,295
Oracle Corp.		568,162		21,737,878
PerkinElmer, Inc.		19,218		792,358
QUALCOMM, Inc.		273,411		20,300,767
Red Hat, Inc.(a)		29,800		1,669,992
Salesforce.com, Inc.(a)		89,700		4,950,543
SanDisk Corp.		38,367		2,706,408
Seagate Technology PLC		51,800		2,909,088
Symantec Corp.		113,463		2,675,458
TE Connectivity, Ltd.		67,300		3,708,903
Teradata Corp.(a)		25,320		1,151,807
Texas Instruments, Inc.		181,499		7,969,621
VeriSign, Inc.(a)		18,721		1,119,141
Waters Corp.(a)		13,765		1,376,500
Western Digital Corp.		36,200		3,037,180
Xerox Corp.		186,701		2,272,151
Xilinx, Inc.		42,502		1,951,692
Yahoo!, Inc.(a)		154,519		6,248,748
				455,353,056
Materials – 3.6%
Air Products & Chemicals, Inc.		34,009		3,801,526
Airgas, Inc.		11,600		1,297,460
Alcoa, Inc.		169,749		1,804,432
Allegheny Technologies, Inc.		17,228		613,834
Ball Corp.		25,024		1,292,740
Bemis Co., Inc.		17,462		715,243
CF Industries Holdings, Inc.		9,250		2,155,620
Cliffs Natural Resources, Inc.		22,200		581,862
Dow Chemical Co.		197,728		8,779,123
E.I. du Pont de Nemours & Co.		152,112		9,882,717
Eastman Chemical Co.		24,808		2,002,006
Ecolab, Inc.		43,766		4,563,481

See Notes to Financial Statements.

34

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2013

	Shares		Market Value
COMMON STOCKS – (continued)
Materials – (continued)
FMC Corp.		21,400	$	1,614,844
Freeport-McMoRan Copper & Gold, Inc. Class B		172,104		6,495,205
International Flavors & Fragrances, Inc.		13,031		1,120,405
International Paper Co.		71,411		3,501,281
LyondellBasell Industries NV		72,200		5,796,216
MeadWestvaco Corp.		28,820		1,064,323
Monsanto Co.		84,555		9,854,885
Mosaic Co.		54,900		2,595,123
Newmont Mining Corp.		78,406		1,805,690
Nucor Corp.		51,654		2,757,290
Owens-Illinois, Inc.(a)		26,300		941,014
Plum Creek Timber Co., Inc.		31,411		1,460,926
PPG Industries, Inc.		23,271		4,413,578
Praxair, Inc.		48,411		6,294,882
Sealed Air Corp.		31,392		1,068,898
Sherwin-Williams Co.		14,196		2,604,966
Sigma-Aldrich Corp.		19,134		1,798,787
United States Steel Corp.		21,478		633,601
Vulcan Materials Co.		21,361		1,269,271
Weyerhaeuser Co.		94,874		2,995,172
				97,576,401
Telecommunication Services – 2.3%
AT&T, Inc.		854,550		30,045,978
CenturyLink, Inc.		99,565		3,171,145
Crown Castle International Corp.(a)		53,500		3,928,505
Frontier Communications Corp.		165,844		771,175
Verizon Communications, Inc.		469,766		23,084,301
Windstream Holdings, Inc.		99,213		791,720
				61,792,824
Utilities – 2.8%
AES Corp.		103,195		1,497,359
AGL Resources, Inc.		18,100		854,863
Ameren Corp.		37,560		1,358,170
American Electric Power Co., Inc.		81,852		3,825,762
CenterPoint Energy, Inc.		69,711		1,615,901
CMS Energy Corp.		42,056		1,125,839
Consolidated Edison, Inc.		47,252		2,612,091
Dominion Resources, Inc.		94,562		6,117,216
DTE Energy Co.		27,484		1,824,663
Duke Energy Corp.		115,383		7,962,581
Edison International		52,219		2,417,740
Entergy Corp.		28,998		1,834,703
Exelon Corp.		144,343		3,953,555
FirstEnergy Corp.		67,022		2,210,386
Integrys Energy Group, Inc.		12,916		702,760
NextEra Energy, Inc.		68,921		5,901,016
NiSource, Inc.		50,582		1,663,136
Northeast Utilities		50,060		2,122,043
NRG Energy, Inc.		51,700		1,484,824
Oneok, Inc.		32,200		2,002,196
Pepco Holdings, Inc.		41,200		788,156
PG&E Corp.		70,826		2,852,871
Pinnacle West Capital Corp.		17,860		945,151
PPL Corp.		100,475		3,023,293

	Shares		Market Value
Public Service Enterprise Group, Inc.		80,924	$	2,592,805
SCANA Corp.		22,300		1,046,539
Sempra Energy		36,886		3,310,887
Southern Co.		144,343		5,933,941
TECO Energy, Inc.		34,951		602,555
Wisconsin Energy Corp.		38,100		1,575,054
Xcel Energy, Inc.		79,051		2,208,685
				77,966,741
TOTAL COMMON STOCKS (Cost: $1,261,323,597)				2,690,533,318
	Par Amount
U.S. GOVERNMENT SECURITIES – 0.2%
U.S. Treasury Bill(b)(d)(e) 0.01% due 01/16/2014	$	400,000		400,000
U.S. Treasury Bill(b)(d)(e) 0.01% due 02/20/2014		2,150,000		2,149,970
U.S. Treasury Bill(b)(d)(e) 0.05% due 02/20/2014		1,610,000		1,609,889
TOTAL U.S. GOVERNMENT SECURITIES (Cost: $4,159,859)				4,159,859
	Shares
MONEY MARKET FUND – 1.5%
State Street Institutional Liquid Reserves Fund 0.05%(c)(f)		41,178,491		41,178,491
TOTAL MONEY MARKET FUND (Cost: $41,178,491)				41,178,491
TOTAL INVESTMENTS(g) – 99.9% (Cost $1,306,661,947)				2,735,871,668
Other Assets in Excess of Liabilities – 0.1%				3,722,410
NET ASSETS – 100.0%			$	2,739,594,078

^(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.

^(e)  Value determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures.

^(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 established by provisions surrounding fair value measurements and disclosures.

PLC = Public Limited Company

REIT = Real Estate Investment Trust

See Notes to Financial Statements.

35

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Schedule of Futures Contracts	Number of Contracts		Notional Value		Unrealized Appreciation
S&P 500 Financial Futures Contracts (long) Expiration Date 03/2014		535	$	49,249,425	$	1,717,967
Total unrealized appreciation on open futures contracts purchased					$	1,717,967

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 December 31, 2013 were as follows:

Security Description	Number of shares held at 12/31/12		Shares purchased for the year ended 12/31/13		Shares sold for the year ended 12/31/13		Number of shares held at 12/31/13		Value at 12/31/13		Income earned for the year ended 12/31/13		Realized gain on shares sold for the year ended 12/31/2013
State Street Corp.		72,725		–		–		72,725	$	5,337,288	$	75,634	$	–
State Street Institutional Liquid Reserves Fund		25,053,183		301,321,856		285,196,548		41,178,491		41,178,491		49,890		–

See Notes to Financial Statements.

36

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities

December 31, 2013

Assets
Investments in unaffiliated issuers at market value (identified cost $1,263,093,682)	$	2,689,355,889
Investments in non-controlled affiliates at market value (identified cost $43,568,265) (Note 4)		46,515,779
Total investments at market value (identified cost $1,306,661,947)		2,735,871,668
Cash		151,331
Daily variation margin on futures contracts		140
Dividends and interest receivable		3,608,531
Dividend receivable from non-controlled affiliates (Note 4)		18,909
Total assets		2,739,650,579
Liabilities
Management fees payable (Note 4)		56,501
Total liabilities		56,501
Net Assets	$	2,739,594,078

See Notes to Financial Statements.

37

State Street Equity 500 Index Portfolio

Statement of Operations

Year Ended December 31, 2013

Investment Income
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $105,783)	$	49,999,179
Dividend income – non-controlled affiliated issuer		125,524
Interest		51,366
Total investment income		50,176,069
Expenses
Management fees (Note 3)		1,079,996
Total expenses		1,079,996
Net Investment Income		49,096,073
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments – unaffiliated issuers		14,279,841
Futures contracts		12,331,162
		26,611,003
Net change in net unrealized appreciation (depreciation) on:
Investments		588,884,187
Futures contracts		1,648,798
		590,532,985
Net realized and unrealized gain		617,143,988
Net Increase in Net Assets Resulting from Operations	$	666,240,061

See Notes to Financial Statements.

38

State Street Equity 500 Index Portfolio

Statements of Changes in Net Assets

	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets From Operations:
Net investment income	$	49,096,073		$	44,258,364
Net realized gain on investments and futures contracts		26,611,003			59,782,429
Net change in net unrealized appreciation on investments and futures contracts		590,532,985			177,710,661
Net increase in net assets from operations		666,240,061			281,751,454
Capital Transactions:
Contributions		235,748,437			262,981,954
Withdrawals		(217,635,806	)		(315,020,063	)
Net increase (decrease) in net assets from capital transactions		18,112,631			(52,038,109	)
Net Increase in Net Assets		684,352,692			229,713,345
Net Assets
Beginning of year		2,055,241,386			1,825,528,041
End of year	$	2,739,594,078		$	2,055,241,386

See Notes to Financial Statements.

39

State Street Equity 500 Index Portfolio

Financial Highlights

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

	Year Ended 12/31/13			Year Ended 12/31/12			Year Ended 12/31/11			Year Ended 12/31/10			Year Ended 12/31/09
Supplemental Data and Ratios:
Net Assets, End of Year (in thousands)	$	2,739,594		$	2,055,241		$	1,825,528		$	2,098,137		$	1,893,386
Ratios to average net assets:
Operating expenses		0.045	%		0.045	%		0.045	%		0.045	%		0.045	%
Net investment income		2.05	%		2.26	%		2.04	%		1.99	%		2.28	%
Portfolio turnover rate(a)		4	%		9	%		15	%		12	%		19	%
Total return(b)		32.30	%		15.97	%		2.03	%		15.08	%		26.50	%

^(a)  The portfolio turnover rate excludes in-kind security transactions.

^(b)  Results represent past performance and are not indicative of future results.

See Notes to Financial Statements.

40

State Street Equity 500 Index Portfolio

Notes to Financial Statements

December 31, 2013

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 December 31, 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 non-transferable beneficial interests.

The Portfolio’s investment objective is to replicate, as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “S&P 500^® Index”). The Portfolio uses a passive management strategy designed to track the performance of the S&P 500^® Index. The S&P 500^® Index is a well-known, unmanaged, stock index that includes common stocks of 500 companies from several industrial sectors representing a significant portion of the market value of all stocks publicly traded in the United States. There is no assurance that the Portfolio will achieve its objective.

2. Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Portfolio in the preparation of its financial statements.

Security valuation – The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.

The Portfolio adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and apply broadly to securities and other types of assets and liabilities. In

41

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

December 31, 2013

accordance with these provisions, fair value is defined as the price that the Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.

The three tier hierarchy of inputs is summarized below:

• Level 1 – quoted prices in active markets for identical securities

• Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of December 31, 2013, in valuing the Portfolio’s assets carried at fair value:

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
ASSETS: INVESTMENTS:
Common Stocks	$	2,690,533,318	$	–	$	–	$	2,690,533,318
U.S. Government Securities		–		4,159,859		–		4,159,859
Money Market Fund		41,178,491		–		–		41,178,491
TOTAL INVESTMENTS		2,731,711,809		4,159,859		–		2,735,871,668
OTHER ASSETS:
Futures contracts*		1,717,967		–		–		1,717,967
TOTAL ASSETS	$	2,733,429,776	$	4,159,859	$	–	$	2,737,589,635

* Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

The type of inputs used to value each security under the provisions surrounding fair value measurements and disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.

For the year ended December 31, 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.

42

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

December 31, 2013

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, 2013, and determined it did not have a liability for any unrecognized tax expenses. The Portfolio recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2013, tax years 2010 through 2013 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

At December 31, 2013, the tax cost of investments was $1,306,661,947 on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $1,442,890,581 and $13,680,860, respectively, resulting in net appreciation of $1,429,209,721 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

43

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

December 31, 2013

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

The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at December 31, 2013:

Asset Derivatives⁽¹⁾

	Equity Contracts Risk	Total
Futures Contracts	$1,717,967	$	1,717,967

Transactions in derivative instruments during the year ended December 31, 2013, were as follows:

Realized Gain (Loss)⁽²⁾

	Equity Contracts Risk	Total
Futures Contracts	$12,331,162	$	12,331,162

Change in Appreciation (Depreciation)⁽³⁾

	Equity Contracts Risk	Total
Futures Contracts	$1,648,798	$	1,648,798

⁽¹⁾  Portfolio of Investments: Unrealized appreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

⁽²⁾  Statement of Operations location: Net realized gain (loss) on: Futures contracts

⁽³⁾  Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts

The average notional value of futures contracts outstanding during the year ended December 31, 2013 was $53,978,780.

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.

3. Securities Transactions

For the year ended December 31, 2013, purchases and sales of investment securities, excluding short-term investments and futures contracts, aggregated to $151,884,186 and $88,744,722, respectively.

44

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

December 31, 2013

4. Related Party Fees and Transactions

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

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corporation, the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The market value of this investment at December 31, 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.

45

State Street Equity 500 Index Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of State Street Master Funds and

Owners of Beneficial Interest of State Street Equity 500 Index Portfolio:

We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of State Street Equity 500 Index Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds) as of December 31, 2013, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Equity 500 Index Portfolio, one of the portfolios constituting State Street Master Funds, at December 31, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

February 26, 2014

46

State Street Equity 500 Index Portfolio

General Information

December 31, 2013 (Unaudited)

Proxy Voting Policies and Procedures and Record

Information regarding how a Fund voted proxies relating to its portfolio securities during the 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.

Quarterly Portfolio Schedule

The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).

Interestholder Meeting Results

Rule 30e-1 under the Investment Company Act of 1940, as amended, requires registered management companies to report on all subject matters put to the vote of interestholders and provide final results. Accordingly, the Board of Trustees of the Trust solicited a vote by the interestholders for the following items:

Shareholders were asked to participate in a special meeting of shareholders on December 19, 2013. The meeting was subsequently adjourned and the final results will be reported in the next semi-annual report to shareholders.

Advisory Agreement Renewal

The Board of Trustees of the Trust met on November 12, 2013 (the “November Meeting” or “Meeting”) to consider the renewal of the investment advisory agreement for the Portfolio (the “Advisory Agreement”). In preparation for considering renewal of the Advisory Agreement at the November Meeting, the Independent Trustees convened a special telephonic meeting on October 10, 2013 (the “Preliminary Meeting”), at which they reviewed renewal materials provided by the Adviser, which they had requested through independent counsel, and discussed the materials with counsel and representatives of the Adviser. In the course of the Preliminary Meeting they requested additional materials from the Adviser and State Street, which were subsequently provided in advance of the November Meeting along with updates of certain of the original materials. At the November Meeting, in deciding whether to renew the Advisory Agreement, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the Adviser under the Advisory Agreement, (ii) the investment performance of the Portfolio and the Adviser, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreement reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.

In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided in advance of the November Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory

47

State Street Equity 500 Index Portfolio

General Information — (continued)

December 31, 2013 (Unaudited)

Advisory Agreement Renewal — (continued)

Agreement and noted the experience and expertise that would be appropriate to expect of an adviser to the Portfolio, which is an index fund. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Portfolio, and the responsibilities of the latter with respect to the Portfolio. They also considered the resources, operational structures and practices of the Adviser in managing the Portfolio’s investments, in monitoring and securing the Portfolio’s compliance with its investment objective and investment policies and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $2.17 trillion in assets under management at August 31, 2013, including over $304 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials provided and their general knowledge of the business of the Adviser, the Trustees noted the significant experience, resources and strength of the Adviser in the management of a variety of index products. As discussed more fully below, they also determined that the advisory fee paid by the Portfolio was fair and reasonable and that the Portfolio’s performance and expense ratio were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Portfolio were appropriate and had been of good quality.

The Trustees determined, in view of the investment objective of the Portfolio and after review and discussion of the available data and of a memorandum discussing the recent performance of the Portfolio supplied by the Adviser at the Independent Trustees’ request, that the investment performance was acceptable. The Trustees noted that the performance of the Portfolio in absolute terms was not of the importance that normally attaches to that of actively-managed funds. Of more importance to the Trustees was the extent to which the Portfolio achieved its objective of replicating, before expenses, the total return of the S&P 500 Index. Drawing upon information provided at the Meeting and upon reports provided to the Trustees by the Adviser throughout the preceding year, they determined that the Portfolio had in fact tracked the index within an acceptable range of tracking error. They concluded that performance of the Portfolio was satisfactory.

The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships with the Trust. (They noted at the outset that the issue of profitability would not arise with respect to SSGM, also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the feeder fund and, by implication, the Portfolio.) The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Portfolio individually, and on an aggregate basis with the other feeder funds and master portfolios overseen by the Trustees (together, the “Funds and Portfolios”), for the year ended December 31, 2012, and for the four prior years. Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, they concluded that these methodologies appeared reasonable and turned to the data provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both of those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fee excessive, especially in light of the competitive levels of the fees paid to the Adviser and State Street by the Trust.

48

State Street Equity 500 Index Portfolio

General Information — (continued)

December 31, 2013 (Unaudited)

Advisory Agreement Renewal — (continued)

In order better to evaluate the Portfolio’s advisory fee, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that the Portfolio’s advisory fee and total expense ratio were lower than the average for its Lipper peer group; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fee.

In addition, the Trustees considered other advisory fees paid to the Adviser and its affiliate, State Street Global Advisors (“SSgA”). They noted that, as a general matter, fees paid to the Adviser by other, similar mutual funds sponsored by State Street tended to be higher than the fees paid by the Portfolio, with some exceptions, whereas fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by SSgA tended to be lower than those paid by the Portfolio, again with some exceptions; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the Portfolio by the Adviser and those provided to sub-advised funds and other types of institutional clients. The Trustees determined that, in light of these significant differences, the fees paid by sub-advised funds and other types of clients were of limited utility for purposes of comparison with those of the Portfolio, but that to the extent that meaningful comparison was practicable, the differences in services satisfactorily accounted for differences in the fees. The Trustees determined that the Adviser’s fee was fair and reasonable.

In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator, custodian and transfer agent and with SSGM, a wholly-owned subsidiary of State Street, as principal underwriter for the Trust. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements in connection with the Portfolio’s brokerage transactions to obtain third-party (non-proprietary research) services. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fee excessive.

The Trustees also considered the extent to which economies of scale may be realized by the Portfolio as assets grow and whether the Portfolio’s fee levels reflect such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent that economies of scale were in fact being realized, such economies of scale were shared with the Portfolio by virtue of an advisory fee of a comparatively low level that subsumed economies of scale in the fee itself. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.

On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees decided to approve the continuance of the Advisory Agreement.

49

Trustees and Officers Information

As of January 24, 2014

Name, Address, and Age	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund  Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees
Michael F. Holland Holland & Company, LLC 375 Park Avenue New York, NY 10152 YOB: 1944	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 7/99	Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present).	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loan Funds.
Patrick J. Riley State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 1/14	2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc); January 2009 to Present, Independent Director, SSgA Fixed Income plc; and January 2009 to Present, Independent Director, SSgA Qualified Funds PLC.	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present).
William L. Boyan State Street Institutional Investment Trust P.O. Box 5049 Boston, MA 02206 YOB: 1937	Trustee	Term: Indefinite Elected: 7/99	President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society.	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA.

50

Name, Address, and Age	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund  Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
William L. Marshall State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942	Trustee	Term: Indefinite Elected: 1/14	April 2011 to Present, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association; Director, SPCA of Bucks County, PA; and the Ann Silverman Community Clinic of Doylestown, PA.	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Director, Marshall Financial Group, Inc.
Richard D. Shirk State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945	Trustee	Term: Indefinite Elected: 1/14	March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College.	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – Present).
Rina K. Spence State Street Institutional Investment Trust P.O. Box 5049 Boston, MA 02206 YOB: 1948	Trustee	Term: Indefinite Elected: 7/99	President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000).	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Director, Berkshire Life Insurance Company of America (1993 – 2009); Director, IEmily.com, Inc. (2000 – 2010); and Trustee, National Osteoporosis Foundation (2005 – 2008).

51

Name, Address, and Age	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund  Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
Bruce D. Taber State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee	Term: Indefinite Elected: 1/14	1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSgA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds.
Douglas T. Williams State Street Institutional Investment Trust P.O. Box 5049 Boston, MA 02206 YOB: 1940	Trustee; Audit Committee Chair	Term: Indefinite Elected: 7/99	President, Oakmonst Homeowners Association; President, Mariner Sands Chapel; Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982.	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; and Treasurer, Nantucket Educational Trust, (2002 – 2007).
Interested Trustees(1)
Scott F. Powers State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1959	Trustee	Term: Indefinite Elected Trustee: 1/14	May 2008 to Present, President and Chief Executive Officer of State Street Global Advisors; 2001 – 2008, Chief Executive Officer of Old Mutual Asset Management; Board of Directors, United Way of Massachusetts Bay; Board of Directors of Middlesex School; Incorporator, Cardigan Mountain School	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds.
James E. Ross SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Elected Trustee: 2/07	Chairman and Director, SSgA Funds Management, Inc. (2012 – present); President, SSgA Funds Management, Inc. (2005 – 2012); Senior Managing Director, State Street Global Advisors (2006 – present); and Principal, State Street Global Advisors (2006 – present).	217	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Trustee, SPDR Series Trust; Trustee, SPDR Index Shares Funds; Trustee, Select Sector SPDR Trust; Trustee, SSgA Active ETF Trust; and Trustee, SSgA Master Trust.
Officers:
Ellen M. Needham SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967	President	Term: Indefinite Elected: 10/12	President and Director, SSgA Funds Management, Inc. (June 2012 – present); Chief Operating Officer, SSgA Funds Management, Inc. (May 2010 – June 2012); Senior Managing Director, SSgA Funds Management, Inc. (1992 – 2012) and Senior Managing Director, State Street Global Advisors (1992 – present).*	—	—

* Served in various capacities and/or with various affiliated entities during noted time period.

⁽¹⁾  Mr. Powers and Mr. Ross are Interested Trustees because of their employment by SSgA Funds Management, Inc., an affiliate of the Trust.

52

Name, Address, and Age	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund  Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Officers: (continued)
Ann M. Carpenter SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President	Term: Indefinite Elected: 10/12	Vice President, SSgA Funds Management, Inc. (2008 –present); Principal, State Street Global Advisors (2005 – 2008 – present).*	—	—
Laura F. Dell State Street Bank and Trust Company 4 Copley Place, 5th floor Boston, MA 02116 YOB: 1964	Treasurer	Term: Indefinite Elected: 11/10	Vice President, State Street Bank and Trust Company (2002 – present).*	—	—
Chad C. Hallett State Street Bank and Trust Company 4 Copley Place, 5th floor Boston, MA 02116 YOB: 1969	Assistant Treasurer	Term: Indefinite Elected: 09/11	Vice President, State Street Bank and Trust Company (2001 – present).*	—	—
Caroline Connolly State Street Bank and Trust Company 4 Copley Place, 5th floor Boston, MA 02116 YOB: 1975	Assistant Treasurer	Term: Indefinite Elected: 09/11	Assistant Vice President, State Street Bank and Trust Company (2007 – present).	—	—
Brian Harris State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1973	Chief Compliance Officer	Term: Indefinite Elected: 11/13	Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (June 2013 – Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010).	—	—
David K. James State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, MA 02116 YOB: 1970	Secretary	Term: Indefinite Elected: 4/13	Vice President and Managing Counsel, State Street Bank and Trust Company (2009 –present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 – 2009).	—	—
Kristin Schantz State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, MA 02116 YOB: 1979	Assistant Secretary	Term: Indefinite Elected: 2/14	Vice President and Counsel, State Street Bank and Trust Company (2013 – present); Vice President, Citi Fund Services Ohio, Inc. (2008 –2013).	—	—

* Served in various capacities and/or with various affiliated entities during noted time period.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.

53

  Series Portfolio Information as of December 31, 2013   Quantitative Master Series LLC

Master International Index Series

Ten Largest Holdings	Percent of Long-Term Investments
Nestlé SA, Registered Shares		2	%
HSBC Holdings PLC		2
Roche Holding AG		1
Vodafone Group PLC		1
Novartis AG, Registered Shares		1
Toyota Motor Corp		1
BP PLC		1
Royal Dutch Shell PLC, Class A		1
Total SA		1
GlaxoSmithKline PLC		1
Geographic Allocation	Percent of Long-Term Investments
United Kingdom		21	%
Japan		21
France		10
Switzerland		9
Germany		9
Australia		7
Spain		3
Sweden		3
Netherlands		3
Hong Kong		3
Italy		2
Other1		9

¹  Includes holdings within countries that are 1% or less of long-term investments. Please refer to the Schedule of Investments for such countries.

Master Small Cap Index Series

Ten Largest Holdings	Percent of Long-Term Investments
CoStar Group, Inc.		0.3	%
athenahealth, Inc.		0.3
Acuity Brands, Inc.		0.3
Middleby Corp.		0.3
Isis Pharmaceuticals, Inc.		0.3
PTC, Inc.		0.3
Ultimate Software Group, Inc.		0.3
Align Technology, Inc.		0.3
Brunswick Corp.		0.2
CNO Financial Group, Inc.		0.2
Sector Allocation	Percent of Long-Term Investments
Financials		23	%
Information Technology		18
Industrials		14
Consumer Discretionary		14
Health Care		13
Energy		5
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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub- classifications for reporting ease. Derivative Financial Instruments

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.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 54

  Schedule of Investments December 31, 2013   Master International Index Series (Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Australia — 7.2%
AGL Energy Ltd.		41,328	$	555,562
ALS Ltd.		26,610		209,938
Alumina Ltd. (a)		173,063		171,819
Amcor Ltd.		90,897		858,593
AMP Ltd.		215,016		845,105
APA Group		64,828		347,943
Asciano Ltd.		75,530		389,391
ASX Ltd.		14,765		485,548
Aurizon Holdings Ltd.		147,901		645,963
Australia & New Zealand Banking Group Ltd.		204,016		5,889,579
Bank of Queensland Ltd.		25,559		278,263
Bendigo and Adelaide Bank Ltd.		29,133		306,250
BGP Holdings PLC (a)		783,183		11
BHP Billiton Ltd.		238,832		8,142,480
Boral Ltd.		54,919		234,870
Brambles Ltd.		116,802		956,952
Caltex Australia Ltd.		9,654		173,491
CFS Retail Property Trust		156,155		271,816
Coca-Cola Amatil Ltd.		43,897		472,226
Cochlear Ltd.		4,105		216,281
Commonwealth Bank of Australia		119,868		8,352,052
Computershare Ltd.		34,173		348,236
Crown Resorts Ltd.		28,521		430,318
CSL Ltd.		36,213		2,232,418
Dexus Property Group		370,923		333,602
Echo Entertainment Group Ltd.		52,974		116,691
Federation Centres Ltd.		98,111		205,662
Flight Centre Ltd.		3,947		168,098
Fortescue Metals Group Ltd.		118,642		619,765
Goodman Group		129,181		547,309
GPT Group		126,543		384,836
Harvey Norman Holdings Ltd.		38,809		109,826
Iluka Resources Ltd.		29,539		228,899
Incitec Pivot Ltd.		114,484		274,639
Insurance Australia Group Ltd.		156,985		817,364
Leighton Holdings Ltd.		12,216		176,421
Lend Lease Group		39,211		391,314
Macquarie Group Ltd.		21,677		1,063,976
Metcash Ltd.		63,088		178,163
Mirvac Group		261,343		392,985
National Australia Bank Ltd.		174,663		5,451,589
Newcrest Mining Ltd.		54,223		380,770
Orica Ltd.		27,720		592,757
Origin Energy Ltd.		81,421		1,026,117
Qantas Airways Ltd. (a)		77,541		76,061
QBE Insurance Group Ltd.		92,534		954,554
Ramsay Health Care Ltd.		9,937		384,576
REA Group Ltd.		4,134		139,637
Rio Tinto Ltd.		32,394		1,982,745
Santos Ltd.		73,137		958,525
Seek Ltd.		23,033		276,913
Sonic Healthcare Ltd.		30,221		448,494
SP AusNet		124,539		138,683
Stockland		167,237		540,696
Suncorp Group Ltd.		96,939		1,137,855
Sydney Airport		93,887		319,088
Tabcorp Holdings Ltd.		52,333		169,916
Tatts Group Ltd.		100,334		278,170
Telstra Corp. Ltd.		321,971		1,511,204
Toll Holdings Ltd.		49,469		251,607

Common Stocks	Shares		Value
Australia (concluded)
Transurban Group		102,134	$	624,590
Treasury Wine Estates Ltd.		46,594		200,960
Wesfarmers Ltd.		73,491		2,893,557
Westfield Group		153,583		1,386,443
Westfield Retail Trust		223,839		594,659
Westpac Banking Corp.		230,799		6,690,555
Woodside Petroleum Ltd.		48,996		1,706,457
Woolworths Ltd.		92,542		2,802,296
WorleyParsons Ltd.		14,832		220,634
				72,964,763
Austria — 0.3%
Andritz AG		5,118		320,740
Erste Group Bank AG		18,712		652,308
Immoeast AG NPV (a)		30,711		1
IMMOFINANZ AG		67,515		312,849
OMV AG		11,146		533,454
Raiffeisen Bank International AG		3,624		127,965
Telekom Austria AG		15,806		119,681
Vienna Insurance Group AG		2,602		130,042
Voestalpine AG		8,606		413,555
				2,610,595
Belgium — 1.2%
Ageas		17,242		735,259
Anheuser-Busch InBev NV		59,757		6,354,331
Belgacom SA		10,971		324,657
Colruyt SA		5,476		305,962
Delhaize Group		7,869		468,142
Groupe Bruxelles Lambert SA		6,236		572,846
KBC Groep NV		18,430		1,047,846
Solvay SA		4,431		701,291
Telenet Group Holding NV		3,551		211,892
UCB SA		8,283		617,097
Umicore SA		8,156		381,087
				11,720,410
Denmark — 1.1%
A.P. Moeller - Maersk A/S, Class A		40		412,042
A.P. Moeller - Maersk A/S, Class B		97		1,049,729
Carlsberg A/S, Class B		7,904		874,607
Coloplast A/S, Class B		8,258		547,469
Danske Bank A/S (a)		49,080		1,127,449
DSV A/S		13,109		430,401
Novo Nordisk A/S, Class B		29,614		5,428,300
Novozymes A/S, Class B		16,408		693,078
TDC A/S		64,238		623,101
Tryg A/S		1,678		162,262
William Demant Holding A/S (a)		1,914		186,009
				11,534,447
Finland — 0.9%
Elisa OYJ		10,481		277,704
Fortum OYJ		33,149		758,379
Kone OYJ, Class B		23,104		1,041,958
Metso OYJ		9,209		393,795
Neste Oil OYJ		8,875		175,516
Nokia OYJ (a)		276,182		2,231,550
Nokian Renkaat OYJ		8,076		387,280
Orion OYJ, Class B		6,857		192,730
Pohjola Bank PLC, Class A		10,148		203,474

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
EUR American Depositary Receipts Euro FKA
USD Formerly Known As US Dollar

See Notes to Financial Statements.

56     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

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

Common Stocks	Shares		Value
Finland (concluded)
Sampo OYJ, Class A		30,834	$	1,515,572
Stora Enso OYJ, Class R		40,003		401,980
UPM-Kymmene OYJ		39,871		676,215
Wartsila OYJ		13,016		641,702
				8,897,855
France — 9.7%
Accor SA		11,513		543,757
Aeroports de Paris		2,172		246,631
Air Liquide SA		23,179		3,280,608
Alcatel-Lucent (a)		205,236		910,780
Alstom SA		16,336		595,717
ArcelorMittal		75,327		1,345,502
Arkema		4,755		555,185
AtoS		5,307		480,833
AXA SA		133,406		3,715,036
BNP Paribas SA		74,030		5,774,877
Bouygues SA		14,603		552,224
Bureau Veritas SA		17,032		497,245
Cap Gemini SA		10,725		725,926
Carrefour SA		45,287		1,797,591
Casino Guichard-Perrachon SA		4,285		494,429
CGG (a)		11,523		199,980
Christian Dior SA		4,052		766,966
Cie Generale des Etablissements Michelin		13,743		1,462,264
CNP Assurances		13,219		271,070
Compagnie de Saint-Gobain		30,657		1,688,803
Credit Agricole SA (a)		73,749		945,382
Danone SA		42,226		3,046,262
Dassault Systemes SA		4,678		580,677
Edenred		15,541		520,350
EDF SA		17,482		618,463
Essilor International SA		15,045		1,600,897
Eurazeo		2,296		180,073
European Aeronautic Defence and Space Co. NV		43,903		3,370,441
Eutelsat Communications SA		10,266		320,323
Fonciere Des Regions		1,928		166,433
GDF Suez		98,659		2,320,402
Gecina SA		1,582		209,468
Groupe Eurotunnel SA, Registered Shares		40,758		428,500
ICADE		2,822		262,702
Iliad SA		1,913		391,956
Imerys SA		2,500		217,620
JCDecaux SA		4,659		192,338
Kering		5,577		1,178,869
Klepierre		7,190		333,273
L’Oreal SA		17,979		3,157,344
Lafarge SA		13,957		1,047,610
Lagardere S.C.A.		8,620		320,436
Legrand SA		19,798		1,091,116
LVMH Moet Hennessy Louis Vuitton SA		18,878		3,448,896
Natixis		70,781		416,421
Orange SA		139,104		1,726,993
Pernod- Ricard SA		15,778		1,797,605
Publicis Groupe SA		13,455		1,232,817
Remy Cointreau SA		2,081		174,805
Renault SA		14,234		1,145,501
Rexel SA		16,321		428,322
Safran SA		19,916		1,384,728
Sanofi		88,797		9,483,057
Schneider Electric SA		39,580		3,453,018
SCOR SE		11,602		424,360
SES SA		22,818		739,221
Societe BIC SA		2,281		279,546
Societe Generale SA		53,442		3,107,676
Sodexo		7,024		712,289
Suez Environnement Co.		21,425		384,216
Technip SA		7,474		719,452

Common Stocks	Shares		Value
France (concluded)
Thales SA		6,976	$	449,558
Total SA		159,070		9,763,623
Unibail-Rodamco SE		7,243		1,856,085
Valeo SA		5,500		609,517
Vallourec SA		8,109		442,396
Veolia Environnement SA		27,102		442,640
Vinci SA		35,407		2,327,345
Vivendi SA		89,757		2,367,556
Wendel SA		2,277		331,900
Zodiac Aerospace		2,576		456,493
				98,512,395
Germany — 9.1%
Adidas AG		15,586		1,987,493
Allianz SE, Registered Shares		33,904		6,100,199
Axel Springer AG		3,376		217,349
BASF SE		68,300		7,289,922
Bayer AG, Registered Shares		61,495		8,634,542
Bayerische Motoren Werke AG		24,484		2,875,221
Bayerische Motoren Werke AG, Preference Shares		3,839		328,282
Beiersdorf AG		7,550		765,454
Brenntag AG		3,750		695,984
Celesio AG		5,979		189,576
Commerzbank AG (a)		71,938		1,161,323
Continental AG		8,112		1,782,120
Daimler AG, Registered Shares		71,575		6,211,595
Deutsche Bank AG, Registered Shares		75,870		3,644,901
Deutsche Boerse AG		14,416		1,194,710
Deutsche Lufthansa AG, Registered Shares (a)		17,906		379,545
Deutsche Post AG, Registered Shares		67,884		2,479,461
Deutsche Telekom AG, Registered Shares		215,126		3,706,659
Deutsche Wohnen AG		21,639		417,833
E.ON SE		133,466		2,467,505
Fraport AG Frankfurt Airport Services Worldwide		2,725		204,199
Fresenius Medical Care AG & Co. KGaA		15,782		1,125,663
Fresenius SE & Co. KGaA		9,252		1,422,721
GEA Group AG		13,592		648,141
Hannover Rueck SE		4,279		367,869
HeidelbergCement AG		10,667		810,000
Henkel AG & Co. KGaA		9,574		998,175
Henkel AG & Co. KGaA, Preference Shares		13,157		1,529,297
Hochtief AG		2,160		184,857
Hugo Boss AG		2,272		323,592
Infineon Technologies AG		79,909		853,549
K+S AG, Registered Shares		13,591		418,774
Kabel Deutschland Holding AG		1,518		196,761
Lanxess AG		6,435		429,982
Linde AG		13,803		2,890,154
MAN SE		2,519		309,286
Merck KGaA		4,798		860,895
Metro AG		9,325		452,074
Muenchener Rueckversicherungs AG, Registered Shares		13,334		2,941,079
Osram Licht AG (a)		6,414		361,773
Porsche Automobil Holding SE, Preference Shares		11,345		1,184,321
ProSiebenSat.1 Media AG, Registered Shares		13,947		692,550
RWE AG		36,393		1,333,403
SAP AG		68,514		5,941,640
Siemens AG, Registered Shares		58,962		8,084,783
Sky Deutschland AG (a)		32,556		359,842
Suedzucker AG		5,905		159,523
Telefonica Deutschland Holding AG		20,099		166,109
ThyssenKrupp AG (a)		33,638		820,265
United Internet AG, Registered Shares		7,797		332,386
Volkswagen AG		2,234		606,571
Volkswagen AG, Preference Shares		10,752		3,025,813
				92,565,721

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 56

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

Common Stocks	Shares		Value
Hong Kong — 2.8%
AIA Group Ltd.		894,600	$	4,502,958
ASM Pacific Technology Ltd.		17,304		144,827
Bank of East Asia Ltd.		94,532		401,292
BOC Hong Kong Holdings Ltd.		277,400		890,914
Cathay Pacific Airways Ltd.		87,263		184,898
Cheung Kong Holdings Ltd.		102,835		1,626,928
Cheung Kong Infrastructure Holdings Ltd.		44,500		281,291
CLP Holdings Ltd.		133,187		1,053,423
First Pacific Co., Ltd.		173,250		197,538
Galaxy Entertainment Group Ltd. (a)		156,000		1,404,508
Hang Lung Properties Ltd.		169,000		535,711
Hang Seng Bank Ltd.		57,153		928,253
Henderson Land Development Co., Ltd.		81,240		464,445
HKT Trust/HKT Ltd.		156,000		154,356
Hong Kong & China Gas Co., Ltd.		428,324		983,425
Hong Kong Exchanges & Clearing Ltd.		76,627		1,280,845
Hopewell Holdings Ltd.		41,349		140,207
Hutchison Whampoa Ltd.		158,176		2,155,268
Hysan Development Co., Ltd.		45,791		197,668
Kerry Properties Ltd.		52,500		182,801
Li & Fung Ltd.		437,980		566,140
The Link REIT		169,414		821,668
MGM China Holdings Ltd.		68,000		291,031
MTR Corp.		103,500		392,287
New World Development Co., Ltd.		293,226		371,298
NWS Holdings Ltd.		102,837		156,964
PCCW Ltd.		276,000		123,508
Power Assets Holdings Ltd.		102,500		815,947
Sands China Ltd.		181,000		1,483,355
Shangri-La Asia Ltd.		123,905		241,927
Sino Land Co., Ltd.		211,263		289,724
SJM Holdings Ltd.		148,000		497,497
Sun Hung Kai Properties Ltd.		120,324		1,529,241
Swire Pacific Ltd., Class A		51,077		600,137
Swire Properties Ltd.		83,000		210,186
Wharf Holdings Ltd.		114,357		875,992
Wheelock & Co., Ltd.		72,000		331,695
Wynn Macau Ltd.		119,600		543,658
Yue Yuen Industrial Holdings Ltd.		54,285		181,514
				28,035,325
Ireland — 0.5%
Bank of Ireland (a)		1,682,693		586,461
CRH PLC		54,145		1,372,136
James Hardie Industries SE		34,310		398,194
Kerry Group PLC, Class A		10,853		753,988
Perrigo Co. PLC		1		89
Prothena Corp. PLC (a)		35		928
Ryanair Holdings PLC (a)		10,891		93,723
Shire PLC		40,788		1,922,224
				5,127,743
Israel—0.4%
Bank Hapoalim BM		80,579		451,491
Bank Leumi Le-Israel (a)		97,082		396,444
Bezeq The Israeli Telecommunication Corp. Ltd.		133,123		225,758
Delek Group Ltd.		372		142,099
Israel Chemicals Ltd.		31,321		261,253
The Israel Corp. Ltd. (a)		206		108,477
Mizrahi Tefahot Bank Ltd.		8,935		116,952
NICE Systems Ltd.		4,090		167,252
Teva Pharmaceutical Industries Ltd.		63,187		2,528,199
				4,397,925
Italy — 2.1%
Assicurazioni Generali SpA		87,259		2,050,085
Atlantia SpA		27,601		618,258
Banca Monte dei Paschi di Siena SpA (a)		447,785		107,773

Common Stocks	Shares		Value
Italy (concluded)
Enel Green Power SpA		137,956	$	347,073
Enel SpA		490,782		2,141,476
ENI SpA		189,160		4,570,796
Exor SpA		7,730		307,236
Fiat SpA (a)		64,470		527,682
Finmeccanica SpA (a)		29,559		224,368
Intesa Sanpaolo SpA		864,312		2,125,948
Luxottica Group SpA		12,469		668,231
Mediobanca SpA (a)		37,921		331,612
Pirelli & C SpA		16,831		291,178
Prysmian SpA		14,595		375,778
Saipem SpA		20,287		435,067
Snam SpA		153,099		855,724
Telecom Italia SpA		730,841		728,762
Telecom Italia SpA, Non-Convertible Savings Shares		434,224		340,708
Tenaris SA		34,984		762,317
Terna - Rete Elettrica Nazionale SpA		110,801		553,349
UniCredit SpA		324,324		2,392,423
Unione di Banche Italiane ScpA		62,528		423,895
				21,179,739
Japan — 20.4%
ABC-Mart, Inc.		2,000		87,377
Acom Co., Ltd. (a)		29,800		101,536
Advantest Corp.		10,200		127,097
Aeon Co., Ltd.		45,800		620,896
AEON Financial Service Co., Ltd.		4,500		120,669
Aeon Mall Co., Ltd.		8,250		231,110
Air Water, Inc.		10,000		135,531
Aisin Seiki Co., Ltd.		14,500		589,513
Ajinomoto Co., Inc.		46,000		665,927
Alfresa Holdings Corp.		2,900		143,941
Amada Co., Ltd.		29,000		256,108
ANA Holdings, Inc. FKA All Nippon Airways Co., Ltd. (b)		81,000		161,827
Aozora Bank Ltd.		77,000		218,209
Asahi Glass Co., Ltd.		77,100		480,085
Asahi Group Holdings Ltd.		28,200		795,795
Asahi Kasei Corp.		93,000		729,475
Asics Corp.		11,000		188,015
Astellas Pharma, Inc.		32,400		1,920,893
The Bank of Kyoto Ltd.		23,000		192,274
The Bank of Yokohama Ltd.		88,000		490,972
Benesse Holdings, Inc.		5,800		233,011
Bridgestone Corp.		48,500		1,837,513
Brother Industries Ltd.		17,100		233,902
Calbee, Inc.		5,600		135,997
Canon, Inc.		84,300		2,689,878
Casio Computer Co., Ltd.		15,800		193,611
Central Japan Railway Co.		10,700		1,261,017
The Chiba Bank Ltd.		53,000		357,679
Chiyoda Corp.		13,000		188,715
Chubu Electric Power Co., Inc.		48,500		626,999
Chugai Pharmaceutical Co., Ltd.		15,900		351,947
The Chugoku Bank Ltd.		12,900		163,961
The Chugoku Electric Power Co., Inc.		22,300		347,217
Citizen Holdings Co., Ltd.		19,000		160,304
Coca-Cola West Co., Ltd.		3,900		82,601
Credit Saison Co., Ltd.		12,500		329,525
Dai Nippon Printing Co., Ltd.		40,000		424,886
The Dai-ichi Life Insurance Co., Ltd.		63,700		1,065,893
Daicel Corp.		21,000		171,146
Daido Steel Co., Ltd.		21,000		104,508
Daihatsu Motor Co., Ltd.		15,100		256,138
Daiichi Sankyo Co., Ltd.		51,000		932,533
Daikin Industries Ltd.		17,600		1,098,287
Dainippon Sumitomo Pharma Co., Ltd.		11,000		172,293

See Notes to Financial Statements.

57     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

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

Common Stocks	Shares		Value
Japan (continued)
Daito Trust Construction Co., Ltd.		5,500	$	514,184
Daiwa House Industry Co., Ltd.		44,000		852,508
Daiwa Securities Group, Inc.		122,000		1,221,896
Dena Co., Ltd. (b)		7,400		155,995
Denso Corp.		36,600		1,933,529
Dentsu, Inc.		16,013		654,910
Don Quijote Co., Ltd.		4,300		260,666
East Japan Railway Co.		24,949		1,987,381
Eisai Co., Ltd.		18,800		728,633
Electric Power Development Co., Ltd.		8,400		244,917
FamilyMart Co., Ltd.		4,000		182,746
FANUC Corp.		14,400		2,638,664
Fast Retailing Co., Ltd.		3,900		1,610,789
Fuji Electric Co., Ltd.		40,800		191,165
Fuji Heavy Industries Ltd.		43,800		1,258,766
FUJIFILM Holdings Corp.		34,300		973,607
Fujitsu Ltd. (a)		139,000		720,392
Fukuoka Financial Group, Inc.		54,000		237,030
Gree, Inc. (b)		6,400		63,143
GungHo Online Entertainment, Inc. (a)(b)		24,000		172,871
The Gunma Bank Ltd.		27,000		150,859
The Hachijuni Bank Ltd.		28,000		163,456
Hakuhodo DY Holdings, Inc.		16,400		127,145
Hamamatsu Photonics KK		4,900		196,074
Hankyu Hanshin Holdings, Inc.		88,000		475,505
Hino Motors Ltd.		18,000		283,549
Hirose Electric Co., Ltd.		2,400		342,123
The Hiroshima Bank Ltd.		35,000		145,031
Hisamitsu Pharmaceutical Co., Inc.		4,400		221,726
Hitachi Chemical Co., Ltd.		7,400		118,018
Hitachi Construction Machinery Co., Ltd.		7,300		156,208
Hitachi High-Technologies Corp.		4,400		110,779
Hitachi Ltd.		359,000		2,721,992
Hitachi Metals Ltd.		15,000		212,239
Hokkaido Electric Power Co., Inc. (a)		12,900		148,449
Hokuhoku Financial Group, Inc.		85,000		169,944
Hokuriku Electric Power Co.		11,700		158,891
Honda Motor Co., Ltd.		121,600		5,019,295
Hoya Corp.		32,300		898,324
Hulic Co., Ltd.		20,600		304,865
Ibiden Co., Ltd.		8,400		157,289
Idemitsu Kosan Co., Ltd.		6,000		136,594
IHI Corp.		94,000		406,516
Iida Group Holdings Co., Ltd. (a)		10,400		207,585
Inpex Corp.		65,100		834,983
Isetan Mitsukoshi Holdings Ltd.		25,205		358,810
Isuzu Motors Ltd.		89,000		555,088
ITOCHU Corp.		114,600		1,416,757
Itochu Techno-Solutions Corp.		1,700		68,907
The Iyo Bank Ltd.		19,000		186,409
J. Front Retailing Co., Ltd.		34,600		262,485
Japan Airlines Co., Ltd.		4,340		214,098
Japan Exchange Group, Inc.		18,800		534,369
Japan Petroleum Exploration Co.		2,000		75,853
Japan Prime Realty Investment Corp.		53		169,619
Japan Real Estate Investment Corp.		92		492,206
Japan Retail Fund Investment Corp.		167		339,794
The Japan Steel Works Ltd.		24,000		134,485
Japan Tobacco, Inc.		81,700		2,658,416
JFE Holdings, Inc.		36,100		860,264
JGC Corp.		16,000		627,901
The Joyo Bank Ltd.		53,000		270,998
JSR Corp.		12,500		242,286
JTEKT Corp.		15,100		257,650
JX Holdings, Inc.		165,860		854,087
Kajima Corp.		57,800		217,386
Kakaku.com, Inc.		11,800		207,284

Common Stocks	Shares		Value
Japan (continued)
Kamigumi Co., Ltd.		17,000	$	155,983
Kaneka Corp.		20,000		131,323
The Kansai Electric Power Co., Inc. (a)		51,600		593,881
Kansai Paint Co., Ltd.		18,000		266,183
Kao Corp.		37,800		1,190,012
Kawasaki Heavy Industries Ltd.		108,000		453,576
KDDI Corp.		39,900		2,458,447
Keikyu Corp.		36,000		296,824
Keio Corp.		41,000		273,222
Keisei Electric Railway Co., Ltd.		20,000		184,027
Keyence Corp.		3,292		1,409,585
Kikkoman Corp.		12,000		226,900
Kinden Corp.		10,000		104,696
Kintetsu Corp.		129,000		452,643
Kirin Holdings Co., Ltd.		66,000		950,496
Kobe Steel Ltd. (a)		179,000		306,875
Koito Manufacturing Co., Ltd.		7,000		133,753
Komatsu Ltd.		70,200		1,441,295
Konami Corp.		6,800		157,242
Konica Minolta Holdings, Inc.		37,000		369,752
Kubota Corp.		81,000		1,343,566
Kuraray Co., Ltd.		24,400		291,258
Kurita Water Industries Ltd.		8,200		170,110
Kyocera Corp.		24,600		1,229,792
Kyowa Hakko Kirin Co., Ltd.		19,000		209,666
Kyushu Electric Power Co., Inc. (a)		32,700		417,637
Lawson, Inc.		4,700		351,729
LIXIL Group Corp.		20,300		557,283
M3, Inc.		56		140,244
Mabuchi Motor Co., Ltd.		1,800		107,112
Makita Corp.		8,000		420,741
Marubeni Corp.		125,000		899,884
Marui Group Co., Ltd.		15,700		159,690
Maruichi Steel Tube Ltd.		3,400		85,882
Mazda Motor Corp. (a)		197,400		1,022,939
McDonald’s Holdings Co. Japan Ltd.		4,500		114,914
Medipal Holdings Corp.		10,100		133,335
Meiji Holdings Co., Ltd.		4,393		282,370
Miraca Holdings, Inc.		4,100		193,423
Mitsubishi Chemical Holdings Corp.		101,000		467,401
Mitsubishi Corp.		104,400		2,004,262
Mitsubishi Electric Corp.		144,000		1,810,722
Mitsubishi Estate Co., Ltd.		94,000		2,813,047
Mitsubishi Gas Chemical Co., Inc.		27,000		199,037
Mitsubishi Heavy Industries Ltd.		230,200		1,425,759
Mitsubishi Logistics Corp.		9,000		142,473
Mitsubishi Materials Corp.		87,000		321,591
Mitsubishi Motors Corp. (a)		33,300		358,251
Mitsubishi Tanabe Pharma Corp.		16,000		223,152
Mitsubishi UFJ Financial Group, Inc.		948,274		6,295,965
Mitsubishi UFJ Lease & Finance Co., Ltd.		41,900		257,594
Mitsui & Co., Ltd.		129,700		1,808,165
Mitsui Chemicals, Inc.		64,000		154,753
Mitsui Fudosan Co., Ltd.		63,000		2,272,451
Mitsui OSK Lines Ltd.		85,000		383,622
Mizuho Financial Group, Inc.		1,708,264		3,708,695
MS&AD Insurance Group Holdings, Inc.		37,970		1,020,594
Murata Manufacturing Co., Ltd.		15,300		1,360,679
Nabtesco Corp.		8,900		205,401
Namco Bandai Holdings, Inc.		13,000		288,632
NEC Corp.		157,000		354,381
Nexon Co., Ltd.		7,300		67,452
NGK Insulators Ltd.		21,000		399,648
NGK Spark Plug Co., Ltd.		13,000		308,108
NHK Spring Co., Ltd.		10,700		120,895
Nidec Corp.		7,500		738,859
Nikon Corp.		26,100		498,790

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 58

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

Common Stocks	Shares		Value
Japan (continued)
Nintendo Co., Ltd.		7,800	$	1,044,058
Nippon Building Fund, Inc.		102		592,642
Nippon Electric Glass Co., Ltd.		26,500		139,209
Nippon Express Co., Ltd.		61,000		295,277
Nippon Meat Packers, Inc.		14,000		240,626
Nippon Paint Co., Ltd.		15,000		249,571
Nippon Prologis REIT, Inc.		18		172,421
Nippon Steel & Sumitomo Metal		569,265		1,909,203
Nippon Telegraph & Telephone Corp.		27,576		1,485,254
Nippon Yusen KK		124,000		396,481
The Nishi-Nippon City Bank Ltd.		48,000		129,309
Nissan Motor Co., Ltd.		185,300		1,552,814
Nisshin Seifun Group, Inc.		15,400		159,270
Nissin Foods Holdings Co., Ltd.		4,300		181,466
Nitori Holdings Co., Ltd.		2,750		260,362
Nitto Denko Corp.		12,010		507,838
NKSJ Holdings, Inc.		24,175		672,878
NOK Corp.		7,100		116,291
Nomura Holdings, Inc.		269,600		2,083,418
Nomura Real Estate Holdings, Inc.		8,800		198,289
Nomura Real Estate Office Fund, Inc.		27		125,486
Nomura Research Institute Ltd.		8,100		255,983
NSK Ltd.		36,000		448,644
NTT Data Corp.		9,100		336,186
NTT DoCoMo, Inc.		114,000		1,877,155
NTT Urban Development Corp.		8,400		96,827
Obayashi Corp.		46,000		262,373
Odakyu Electric Railway Co., Ltd.		49,000		443,148
Oji Holdings Corp.		57,000		292,376
Olympus Corp. (a)		17,800		564,558
Omron Corp.		15,500		684,996
Ono Pharmaceutical Co., Ltd.		6,300		552,230
Oracle Corp. Japan		2,600		95,041
Oriental Land Co., Ltd.		3,700		533,592
ORIX Corp.		94,300		1,657,026
Osaka Gas Co., Ltd.		138,000		542,012
Otsuka Corp.		1,100		140,529
Otsuka Holdings Co., Ltd.		27,000		779,596
Panasonic Corp.		164,400		1,916,445
Park24 Co., Ltd.		7,000		132,012
Rakuten, Inc.		53,400		796,911
Resona Holdings, Inc.		137,656		702,385
Ricoh Co., Ltd.		52,000		553,010
Rinnai Corp.		2,900		225,934
Rohm Co., Ltd.		6,900		336,562
Sankyo Co., Ltd.		3,600		166,036
Sanrio Co., Ltd.		4,100		172,640
Santen Pharmaceutical Co., Ltd.		5,200		242,280
SBI Holdings, Inc.		16,140		245,075
Secom Co., Ltd.		16,000		965,359
Sega Sammy Holdings, Inc.		14,432		367,802
Sekisui Chemical Co., Ltd.		34,000		417,231
Sekisui House Ltd.		41,000		573,721
Seven & I Holdings Co., Ltd.		56,000		2,229,719
Seven Bank Ltd.		39,600		154,878
Sharp Corp. (a)		111,000		353,413
Shikoku Electric Power Co., Inc. (a)		12,200		182,956
Shimadzu Corp.		16,000		139,297
Shimamura Co., Ltd.		1,600		149,979
Shimano, Inc.		6,100		523,680
Shimizu Corp.		41,000		207,176
Shin-Etsu Chemical Co., Ltd.		30,700		1,795,621
Shinsei Bank Ltd.		127,000		310,884
Shionogi & Co., Ltd.		22,600		490,638
Shiseido Co., Ltd.		26,500		426,156
The Shizuoka Bank Ltd.		41,000		437,936
Showa Denko KK		101,000		143,249

Common Stocks	Shares		Value
Japan (continued)
Showa Shell Sekiyu KK		13,200	$	134,176
SMC Corp.		3,900		984,315
Softbank Corp.		71,400		6,265,404
Sojitz Corp.		87,100		155,074
Sony Corp.		74,500		1,284,253
Sony Financial Holdings, Inc.		12,300		224,053
Stanley Electric Co., Ltd.		11,400		261,352
Sumco Corp.		8,600		75,868
Sumitomo Chemical Co., Ltd.		115,000		451,356
Sumitomo Corp.		84,100		1,056,980
Sumitomo Electric Industries Ltd.		56,800		949,471
Sumitomo Heavy Industries Ltd.		38,000		175,099
Sumitomo Metal Mining Co., Ltd.		38,000		497,925
Sumitomo Mitsui Financial Group, Inc.		95,050		4,942,922
Sumitomo Mitsui Trust Holdings, Inc.		248,820		1,316,560
Sumitomo Realty & Development Co., Ltd.		26,000		1,295,513
Sumitomo Rubber Industries Ltd.		11,800		167,970
Suntory Beverage & Food Ltd.		9,700		309,450
Suruga Bank Ltd.		13,000		233,444
Suzuken Co., Ltd.		4,900		158,726
Suzuki Motor Corp.		27,300		735,643
Sysmex Corp.		5,100		301,232
T&D Holdings, Inc.		43,800		613,050
Taiheiyo Cement Corp.		92,000		353,809
Taisei Corp.		74,000		336,767
Taisho Pharmaceutical Holdings Co., Ltd.		2,400		164,973
Taiyo Nippon Sanso Corp.		18,000		128,170
Takashimaya Co., Ltd.		19,000		189,576
Takeda Pharmaceutical Co., Ltd.		59,200		2,715,210
TDK Corp.		8,800		422,171
Teijin Ltd.		63,000		140,329
Terumo Corp.		11,000		531,076
THK Co., Ltd.		8,200		204,799
Tobu Railway Co., Ltd.		80,000		387,914
Toho Co., Ltd.		9,700		213,397
Toho Gas Co., Ltd.		30,000		146,036
Tohoku Electric Power Co., Inc. (a)		32,300		363,865
Tokio Marine Holdings, Inc.		51,700		1,730,382
The Tokyo Electric Power Co., Inc. (a)		105,300		518,822
Tokyo Electron Ltd.		12,900		710,825
Tokyo Gas Co., Ltd.		178,000		877,309
Tokyo Tatemono Co., Ltd.		29,000		322,479
Tokyu Corp.		87,000		563,682
Tokyu Fudosan Holdings Corp. (a)		38,000		357,231
TonenGeneral Sekiyu KK		23,000		211,049
Toppan Printing Co., Ltd.		44,000		352,202
Toray Industries, Inc.		109,700		759,892
Toshiba Corp.		297,000		1,250,314
Toto Ltd.		23,000		364,806
Toyo Seikan Kaisha Ltd.		12,600		271,255
Toyo Suisan Kaisha Ltd.		6,000		180,245
Toyoda Gosei Co., Ltd.		4,900		114,148
Toyota Boshoku Corp.		5,000		62,516
Toyota Industries Corp.		12,100		546,975
Toyota Motor Corp.		205,100		12,505,986
Toyota Tsusho Corp.		16,400		406,702
Trend Micro, Inc.		7,500		262,823
Tsumura & Co.		4,100		108,649
Ube Industries Ltd.		87,000		186,339
Unicharm Corp.		8,600		490,703
United Urban Investment Corp.		164		235,722
USS Co., Ltd.		16,100		220,836
West Japan Railway Co.		12,600		545,938
Yahoo! Japan Corp.		108,400		604,482
Yakult Honsha Co., Ltd.		6,700		338,539
Yamada Denki Co., Ltd.		74,500		243,688
Yamaguchi Financial Group, Inc.		14,000		129,825

See Notes to Financial Statements.

59     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

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

Common Stocks	Shares		Value
Japan (concluded)
Yamaha Corp.		10,800	$	171,703
Yamaha Motor Co., Ltd.		19,800		297,681
Yamato Holdings Co., Ltd.		26,900		544,006
Yamato Kogyo Co., Ltd.		2,900		92,746
Yamazaki Baking Co., Ltd.		8,000		82,065
Yaskawa Electric Corp.		15,000		237,684
Yokogawa Electric Corp.		16,800		258,297
The Yokohama Rubber Co., Ltd.		14,000		137,669
				206,469,426
Luxembourg — 0.0%
RTL Group SA (a)		2,814		364,225
Netherlands — 2.8%
Aegon NV		133,204		1,262,311
Akzo Nobel NV		17,652		1,368,840
ASML Holding NV		26,575		2,489,058
CNH Industrial NV (a)		71,413		813,942
Corio NV		4,942		221,783
Delta Lloyd NV		14,714		365,405
Fugro NV CVA		5,429		323,848
Gemalto NV		5,974		657,551
Heineken Holding NV		7,459		472,153
Heineken NV		17,241		1,165,260
ING Groep NV CVA (a)		285,391		3,986,491
Koninklijke Ahold NV		74,228		1,333,961
Koninklijke Boskalis Westminster NV		5,964		315,457
Koninklijke DSM NV		11,409		897,870
Koninklijke KPN NV (a)		242,044		782,066
Koninklijke Philips Electronics NV		72,804		2,680,727
Koninklijke Vopak NV		4,966		290,721
OCI NV (a)		6,327		284,927
QIAGEN NV (a)		18,191		424,689
Randstad Holding NV		9,181		595,783
Reed Elsevier NV		51,965		1,104,451
STMicroelectronics NV		49,663		398,678
TNT Express NV		26,340		245,000
Unilever NV CVA		121,129		4,870,022
Wolters Kluwer NV		22,541		643,644
Ziggo NV		11,447		523,449
				28,518,087
New Zealand — 0.1%
Auckland International Airport Ltd.		82,228		238,807
Contact Energy Ltd.		25,128		106,095
Fletcher Building Ltd.		50,810		356,056
Ryman Healthcare Ltd.		29,262		189,045
Telecom Corp. of New Zealand Ltd.		133,496		253,401
				1,143,404
Norway — 0.8%
Aker Solutions ASA		12,065		216,007
DnB NOR ASA		72,188		1,295,640
Gjensidige Forsikring ASA		14,091		269,502
Norsk Hydro ASA		104,548		467,698
Orkla ASA		57,263		447,589
Seadrill Ltd.		27,803		1,139,491
Statoil ASA		82,435		2,004,531
Subsea 7 SA		19,830		380,159
Telenor ASA		50,305		1,201,967
Yara International ASA		13,077		563,987
				7,986,571
Portugal — 0.2%
Banco Espirito Santo SA, Registered Shares (a)		140,243		200,285
EDP - Energias de Portugal SA		147,157		540,521
Galp Energia SGPS SA		26,379		432,332
Jeronimo Martins SGPS SA		18,024		352,436

Common Stocks	Shares		Value
Portugal (concluded)
Portugal Telecom SGPS SA, Registered Shares		44,559	$	193,984
				1,719,558
Singapore — 1.4%
Ascendas Real Estate Investment Trust		159,962		279,956
CapitaCommercial Trust		138,000		158,927
CapitaLand Ltd.		195,749		471,835
CapitaMall Trust		190,700		288,591
CapitaMalls Asia Ltd.		100,000		155,861
City Developments Ltd.		29,535		225,677
ComfortDelGro Corp. Ltd.		158,816		253,945
DBS Group Holdings Ltd.		127,407		1,731,432
Genting Singapore PLC		464,227		552,053
Global Logistic Properties Ltd.		227,000		520,723
Golden Agri-Resources Ltd.		511,251		221,321
Hutchison Port Holdings Trust		371,000		250,730
Jardine Cycle & Carriage Ltd.		7,721		220,594
Keppel Corp. Ltd.		106,577		946,686
Keppel Land Ltd.		59,000		156,610
Noble Group Ltd.		331,840		282,607
Olam International Ltd. (b)		108,900		132,840
Oversea-Chinese Banking Corp.		191,914		1,555,507
SembCorp Industries Ltd.		70,590		307,962
SembCorp Marine Ltd.		59,197		209,302
Singapore Airlines Ltd.		43,009		355,242
Singapore Exchange Ltd.		67,000		386,361
Singapore Press Holdings Ltd.		99,985		326,726
Singapore Technologies Engineering Ltd.		119,213		375,199
Singapore Telecommunications Ltd.		600,132		1,745,253
StarHub Ltd.		44,157		150,523
United Overseas Bank Ltd.		94,572		1,597,041
UOL Group Ltd.		32,457		159,750
Wilmar International Ltd.		145,670		395,681
Yangzijiang Shipbuilding Holdings Ltd.		135,183		127,230
				14,542,165
Spain — 3.3%
Abertis Infraestructuras SA		28,895		642,707
ACS Actividades de Construccion y Servicios SA		11,543		397,904
Amadeus IT Holding SA, Class A		28,367		1,215,109
Banco Bilbao Vizcaya Argentaria SA		430,847		5,329,806
Banco de Sabadell SA		245,347		640,653
Banco Popular Espanol SA (a)		97,815		590,817
Banco Santander SA		844,958		7,598,278
Bankia SA (a)		289,400		491,289
CaixaBank SA		128,850		671,151
Distribuidora Internacional de Alimentacion SA		44,071		394,608
Enagas SA		13,781		359,985
Ferrovial SA		30,218		585,377
Gas Natural SDG SA		26,119		672,285
Grifols SA		11,062		529,354
Iberdrola SA		350,557		2,237,168
Inditex SA		16,222		2,678,431
International Consolidated Airlines Group SA (a)		72,525		483,107
Mapfre SA		82,254		352,818
Red Electrica Corp. SA		7,322		488,814
Repsol SA		62,584		1,579,189
Telefonica SA		304,567		4,979,902
Zardoya Otis SA		11,808		213,781
				33,132,533
Sweden — 3.2%
Alfa Laval AB		23,818		611,961
Assa Abloy AB, Class B		25,280		1,338,427
Atlas Copco AB, Class A		49,911		1,385,831
Atlas Copco AB, Class B		29,050		738,489
Boliden AB		19,708		302,154

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 60

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

Common Stocks	Shares		Value
Sweden (concluded)
Electrolux AB, Class B		17,162	$	448,487
Elekta AB, B Shares		27,383		419,045
Getinge AB, Class B		15,355		526,338
Hennes & Mauritz AB, Class B		70,793		3,260,474
Hexagon AB, Class B		17,051		539,361
Husqvarna AB, Class B		29,922		180,173
Industrivarden AB, Class C		10,166		193,433
Investment AB Kinnevik, Class B		16,724		775,343
Investor AB, Class B		33,852		1,166,659
Lundin Petroleum AB (a)		15,784		307,164
Millicom International Cellular SA		4,886		486,869
Nordea Bank AB		225,836		3,044,901
Sandvik AB		81,442		1,149,447
Scania AB, Class B		24,670		483,516
Securitas AB, Class B		22,513		239,547
Skandinaviska Enskilda Banken AB, Class A		112,821		1,490,509
Skanska AB, Class B		27,293		558,364
SKF AB, Class B		29,096		763,054
Svenska Cellulosa AB, B Shares		43,168		1,329,913
Svenska Handelsbanken AB, Class A		37,337		1,835,741
Swedbank AB, Class A		67,675		1,906,357
Swedish Match AB		14,574		468,570
Tele2 AB, Class B		22,260		252,822
Telefonaktiebolaget LM Ericsson, Class B		226,266		2,762,592
TeliaSonera AB		175,688		1,465,310
Volvo AB, Class B		113,612		1,494,950
				31,925,801
Switzerland — 9.2%
ABB Ltd., Registered Shares		163,900		4,333,516
Actelion Ltd., Registered Shares (a)		8,074		684,843
Adecco SA, Registered Shares (a)		9,897		785,690
Aryzta AG		6,602		507,290
Baloise Holding AG, Registered Shares		3,672		468,232
Barry Callebaut AG, Registered Shares		174		218,653
Cie Financiere Richemont SA, Registered Shares		38,813		3,877,317
Coca-Cola HBC AG (a)		1,391		40,711
Coca-Cola HBC AG ADR		13,591		396,449
Credit Suisse Group AG, Registered Shares		113,057		3,489,318
EMS-Chemie Holding AG, Registered Shares		575		205,030
Geberit AG, Registered Shares		2,806		851,287
Givaudan SA, Registered Shares		607		868,353
Glencore Xstrata PLC (a)		788,975		4,104,685
Holcim Ltd., Registered Shares (a)		17,017		1,272,270
Julius Baer Group Ltd.		17,092		821,373
Kuehne & Nagel International AG, Registered Shares		4,111		540,347
Lindt & Spruengli AG		62		279,471
Lindt & Spruengli AG, Registered Shares		8		431,366
Lonza Group AG, Registered Shares (a)		3,900		370,629
Nestle SA, Registered Shares		239,820		17,576,412
Novartis AG, Registered Shares		171,062		13,710,501
Pargesa Holding SA, Bearer Shares		2,037		164,068
Partners Group Holding AG		1,231		328,294
Roche Holding AG		52,247		14,635,752
Schindler Holding AG, Participation Certificates		3,448		507,593
Schindler Holding AG, Registered Shares		1,514		223,351
SGS SA, Registered Shares		402		925,505
Sika AG		161		573,715
Sonova Holding AG, Registered Shares		3,804		512,949
Sulzer AG, Registered Shares		1,732		279,859
The Swatch Group AG, Bearer Shares		2,298		1,523,122
The Swatch Group AG, Registered Shares		3,248		366,124
Swiss Life Holding AG, Registered Shares (a)		2,392		497,296
Swiss Prime Site AG, Registered Shares		3,972		307,587
Swiss Re AG (a)		26,189		2,414,322
Swisscom AG, Registered Shares		1,727		912,709
Syngenta AG, Registered Shares		6,916		2,757,387

Common Stocks	Shares		Value
Switzerland (concluded)
Transocean Ltd.		27,057	$	1,324,159
UBS AG, Registered Shares (a)		271,218		5,193,103
Wolseley PLC		19,731		1,121,769
Zurich Insurance Group AG (a)		11,049		3,204,916
				93,607,323
United Kingdom — 20.7%
3i Group PLC		70,067		447,724
Aberdeen Asset Management PLC		73,333		609,812
Admiral Group PLC		14,967		325,340
Aggreko PLC		20,368		577,649
AMEC PLC		21,725		392,240
Anglo American PLC		103,856		2,272,921
Antofagasta PLC		30,354		416,138
ARM Holdings PLC		103,058		1,873,891
Associated British Foods PLC		26,231		1,063,816
AstraZeneca PLC		93,138		5,525,593
Aviva PLC		221,118		1,654,283
Babcock International Group PLC		27,208		611,365
BAE Systems PLC		240,586		1,735,778
Barclays PLC		1,136,310		5,138,260
BG Group PLC		253,167		5,447,736
BHP Billiton PLC		157,050		4,873,245
BP PLC		1,401,752		11,359,956
British American Tobacco PLC		141,502		7,594,990
British Land Co. PLC		72,069		751,354
British Sky Broadcasting Group PLC		75,937		1,061,312
BT Group PLC		588,023		3,708,037
Bunzl PLC		24,510		589,001
Burberry Group PLC		32,570		820,611
The Capita Group PLC		49,602		853,809
Capital Shopping Centres Group PLC		47,929		246,036
Carnival PLC		13,871		574,232
Centrica PLC		382,925		2,208,184
Cobham PLC		76,587		348,634
Compass Group PLC		134,429		2,158,241
Croda International PLC		10,030		408,852
Diageo PLC		186,717		6,187,535
Direct Line Insurance Group PLC		88,616		366,272
easyJet PLC		11,381		290,068
Experian PLC		74,703		1,379,940
Fresnillo PLC		14,993		186,422
G4S PLC		112,138		487,929
GKN PLC		124,794		773,314
GlaxoSmithKline PLC		364,295		9,733,040
Hammerson PLC		54,580		454,388
Hargreaves Lansdown PLC		16,465		369,833
HSBC Holdings PLC		1,387,381		15,225,321
ICAP PLC		39,581		296,458
IMI PLC		23,461		594,125
Imperial Tobacco Group PLC		72,350		2,804,872
Inmarsat PLC		34,560		433,322
InterContinental Hotels Group PLC		19,592		653,518
Intertek Group PLC		12,142		633,707
Invensys PLC		47,023		397,468
Investec PLC		44,955		326,498
ITV PLC		280,940		904,105
J. Sainsbury PLC		92,923		562,391
Johnson Matthey PLC		15,552		846,229
Kingfisher PLC		177,342		1,132,158
Land Securities Group PLC		57,628		920,579
Legal & General Group PLC		439,732		1,625,451
Lloyds Banking Group PLC (a)		3,714,728		4,874,415
London Stock Exchange Group PLC		12,540		360,731
Marks & Spencer Group PLC		118,310		849,571
Meggitt PLC		57,779		505,880
Melrose Industries PLC		95,208		483,021

See Notes to Financial Statements.

61     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

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

Common Stocks	Shares	Value
United Kingdom (continued)
National Grid PLC	276,142	$	3,611,719
Next PLC	11,551		1,044,112
Old Mutual PLC	364,246		1,142,860
Pearson PLC	60,830		1,356,255
Persimmon PLC (a)	23,691		487,068
Petrofac Ltd.	18,345		371,832
Prudential PLC	190,300		4,252,061
Randgold Resources Ltd.	6,652	��	418,295
Reckitt Benckiser Group PLC	48,087		3,819,833
Reed Elsevier PLC	88,205		1,315,455
Resolution Ltd.	103,825		609,429
Rexam PLC	60,750		534,490
Rio Tinto PLC	94,538		5,342,308
Rolls-Royce Holdings PLC (a)	139,797		2,956,897
Royal Bank of Scotland Group PLC (a)	159,698		899,389
Royal Dutch Shell PLC, Class A	284,193		10,184,981
Royal Dutch Shell PLC, Class B	186,875		7,048,956
RSA Insurance Group PLC	270,691		409,701
SABMiller PLC	71,528		3,681,909
The Sage Group PLC	83,955		562,009
Schroders PLC	7,851		338,608
Segro PLC	52,071		288,223
Serco Group PLC	38,098		314,937
Severn Trent PLC	18,244		515,811
Smith & Nephew PLC	66,782		953,826
Smiths Group PLC	29,585		726,478
SSE PLC	71,075		1,615,122
Standard Chartered PLC	180,208		4,070,349
Standard Life PLC	176,596		1,054,613
Tate & Lyle PLC	35,338		474,038
Tesco PLC	600,883		3,336,903
Travis Perkins PLC	18,654		579,468
Tui Travel PLC	31,441		215,510
Tullow Oil PLC	67,721		961,137
Unilever PLC	95,432		3,926,626
United Utilities Group PLC	51,724		575,872
Vodafone Group PLC	3,603,092		14,186,057

Common Stocks	Shares	Value
United Kingdom (concluded)
The Weir Group PLC	16,177	$	572,765
Whitbread PLC	13,356		831,202
William Hill PLC	61,664		411,073
WM Morrison Supermarkets PLC	168,238		728,271
WPP PLC	98,943		2,266,184
			209,300,233
Total Common Stocks — 97.4%			986,256,244
Preferred Stocks — 0.0%
Germany — 0.0%
Fuchs Petrolub SE, Preference Shares	2,547		249,519
Rights — 0.0%
Spain — 0.0%
Repsol SA, (Expires 01/09/14) (a)	62,584		42,704
Total Long-Term Investments (Cost — $684,439,924) — 97.4%			986,548,467
Short-Term Securities
BlackRock Liquidity Funds, TempCash, Institutional Class, 0.15% (c)(d)	587,542		587,542
	Beneficial Interest (000)
BlackRock Liquidity Series, LLC, Money Market Series, 0.19% (c)(d)(e)	$       529		528,856
Total Short-Term Securities (Cost — $1,116,398) — 0.1%			1,116,398
Total Investments (Cost — $685,556,322*) — 97.5%			987,664,865
Other Assets Less Liabilities — 2.5%			25,149,144
Net Assets — 100.0%		$	1,012,814,009

Notes to Schedule of Investments

* As of December 31, 2013, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	730,680,270
Gross unrealized appreciation	$	319,181,483
Gross unrealized depreciation		(62,196,888	)
Net unrealized appreciation	$	256,984,595

(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 year ended December 31, 2013, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/Beneficial Interest  Held at December 31, 2012		Net Activity			Shares/Beneficial Interest  Held at December 31, 2013		Income
BlackRock Liquidity Funds, TempCash, Institutional Class		—		587,542	1		587,542	$	2,127
BlackRock Liquidity Series, LLC, Money Market Series		—	$	528,856	1	$	528,856	$	11,250

¹  Represents net shares/beneficial interest purchased.

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

(e) 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.

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 62

  Schedule of Investments (continued)   Master International Index Series

• Financial futures contracts outstanding as of December 31, 2013 were as follows:

Contracts Purchased	Issue	Exchange	Expiration	Notional Value		Unrealized Appreciation
64	Nikkei 225 Index	Singapore Exchange	March 2014	$	4,939,322	$	154,671
28	SPI 200 Index	Australian Securities Exchange	March 2014	$	3,323,910		113,554
173	Euro Stoxx 50 Index	Eurex Mercantile	March 2014	$	7,396,916		264,515
70	FTSE 100 Index	Euronext Liffe	March 2014	$	7,763,507		225,975
Total						$	758,715

• Foreign currency exchange contracts outstanding as of December 31, 2013 were as follows:

Currency Purchased	Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation
USD        110,231	EUR	80,000	Deutsche Bank Securities, Inc.	1/02/14	$	175

• 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 assump- tions 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 December 31, 2013:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Common Stocks:
Australia	$	1,063,976	$	71,900,776	$	11	$	72,964,763
Austria		653,135		1,957,459		1		2,610,595
Belgium		211,892		11,508,518		—		11,720,410
Denmark		6,237,410		5,297,037		—		11,534,447
Finland		1,036,083		7,861,772		—		8,897,855
France		580,677		97,931,718		—		98,512,395
Germany		867,820		91,697,901		—		92,565,721
Hong Kong		268,335		27,766,990		—		28,035,325
Ireland		755,005		4,372,738		—		5,127,743
Israel		—		4,397,925		—		4,397,925
Italy		—		21,179,739		—		21,179,739
Japan		627,959		205,841,467		—		206,469,426
Luxembourg		—		364,225		—		364,225
Netherlands		1,098,868		27,419,219		—		28,518,087
New Zealand		—		1,143,404		—		1,143,404
Norway		—		7,986,571		—		7,986,571
Portugal		—		1,719,558		—		1,719,558
Singapore		—		14,542,165		—		14,542,165
Spain		491,289		32,641,244		—		33,132,533
Sweden		—		31,925,801		—		31,925,801
Switzerland		1,435,580		92,171,743		—		93,607,323
United Kingdom		2,524,054		206,776,179		—		209,300,233
Preferred Stocks		—		249,519		—		249,519
Rights		42,704		—		—		42,704
Short-Term Securities		587,542		528,856		—		1,116,398
Total	$	18,482,329	$	969,182,524	$	12	$	987,664,865

See Notes to Financial Statements.

63     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

  Schedule of Investments (continued)   Master International Index Series

	Level 1		Level 2		Level 3		Total
Derivative Financial Instruments 1
Assets:
Equity contracts	$	758,715		—		—	$	758,715
Foreign currency exchange contracts		175		—		—		175
Total	$	758,890		—		—	$	758,890

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.

The carrying amount for certain of the Series’ assets and/or liabilities approximates fair value for financial statement purposes. As of December 31, 2013, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash pledged for financial futures contracts	$	1,604,000		—			—	$	1,604,000
Foreign currency at value		19,997,903		—			—		19,997,903
Liabilities:
Bank overdraft		—	$	(1,018,673	)		—		(1,018,673	)
Collateral on securities loaned at value				(528,856	)				(528,856	)
Total	$	21,601,903	$	(1,547,529	)		—	$	20,054,374

Certain foreign securities are fair valued utilizing an external pricing service to reflect any significant market movements between the time the Series values such foreign securities and the earlier closing of foreign markets. Such fair valuations are categorized as Level 2 in the disclosure hierarchy. As of December 31, 2012, securities with a value of $11,767,681 were systematically fair valued due to significant market movements, but were not valued using systematic fair values as of December 31, 2013. Therefore, these securities were transferred from Level 2 to Level 1 during the year ended December 31, 2013.

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 64

  Schedule of Investments December 31, 2013   Master Small Cap Index Series (Percentages shown are based on Net Assets)

Common Stocks	Shares			Value
Advertising Agencies — 0.5%
Constant Contact, Inc. (a)		15,206		$	472,450
Digital Generation, Inc. (a)		12,141			154,798
Harte-Hanks, Inc.		21,119			165,151
Marchex, Inc., Class B (a)		10,966			94,856
Marin Software, Inc. (a)		4,389			44,943
Marketo, Inc. (a)		3,389			125,630
MDC Partners, Inc., Class A		18,726			477,688
National CineMedia, Inc.		29,912			597,044
QuinStreet, Inc. (a)		15,113			131,332
ReachLocal, Inc. (a)		5,016			63,753
Valassis Communications, Inc.		19,244			659,107
ValueClick, Inc. (a)		33,035			772,028
Viad Corp.		10,139			281,661
					4,040,441
Aerospace — 1.4%
AAR Corp.		19,683			551,321
Aerovironment, Inc. (a)		9,191			267,734
API Technologies Corp. (a)		15,396			52,500
Astronics Corp. (a)		7,443			379,593
Cubic Corp.		9,839			518,122
Curtiss-Wright Corp.		23,144			1,440,251
Ducommun, Inc. (a)		5,313			158,380
Erickson Air-Crane, Inc. (a)(b)		1,802			37,464
Esterline Technologies Corp. (a)		15,460			1,576,302
GenCorp, Inc. (a)		29,928			539,303
HEICO Corp.		32,789			1,900,123
Kaman Corp.		13,417			533,057
Kratos Defense & Security Solutions, Inc. (a)		21,993			168,906
LMI Aerospace, Inc. (a)		5,034			74,201
Moog, Inc., Class A (a)		22,380			1,520,497
Orbital Sciences Corp. (a)		29,675			691,427
Teledyne Technologies, Inc. (a)		18,457			1,695,460
					12,104,641
Agriculture, Fishing & Ranching — 0.5%
Alico, Inc.		1,389			53,991
The Andersons, Inc.		9,247			824,555
Cal-Maine Foods, Inc.		7,379			444,437
Calavo Growers, Inc.		6,105			184,737
Fresh Del Monte Produce, Inc.		18,772			531,248
Limoneira Co.		4,843			128,775
Pilgrim’s Pride Corp. (a)		29,956			486,785
Sanderson Farms, Inc.		11,388			823,694
Seaboard Corp. (a)		144			402,476
					3,880,698
Air Transport — 0.8%
Air Transport Services Group, Inc. (a)		25,781			208,568
Allegiant Travel Co.		7,416			781,943
Atlas Air Worldwide Holdings, Inc. (a)		12,803			526,843
Bristow Group, Inc.		17,849			1,339,746
Era Group, Inc. (a)		9,979			307,952
Hawaiian Holdings, Inc. (a)		25,811			248,560
JetBlue Airways Corp. (a)		114,969			982,985
PHI, Inc. (a)		6,241			270,859
Republic Airways Holdings, Inc. (a)		24,369	��		260,505
SkyWest, Inc.		25,739			381,709
Spirit Airlines, Inc. (a)		29,794			1,352,946
					6,662,616
Alternative Energy — 0.1%
Ameresco, Inc., Class A (a)		9,514			91,905
Amyris, Inc. (a)(b)		12,802			67,723
EnerNOC, Inc. (a)		13,041			224,436
Green Plains Renewable Energy, Inc.		12,525			242,860
REX American Resources Corp. (a)		2,643			118,168

Common Stocks	Shares		Value
Alternative Energy (concluded)
Solazyme, Inc. (a)(b)		24,022	$	261,599
				1,006,691
Aluminum — 0.1%
Century Aluminum Co. (a)		25,577		267,535
Kaiser Aluminum Corp.		9,350		656,744
Noranda Aluminum Holding Corp.		16,676		54,864
				979,143
Asset Management & Custodian — 1.2%
Apollo Investment Corp.		111,476		945,316
Arlington Asset Investment Corp.		6,742		177,921
Calamos Asset Management, Inc., Class A		9,690		114,730
Capital Southwest Corp.		6,776		236,279
CIFC Corp.		3,260		25,363
Cohen & Steers, Inc.		9,323		373,479
Cowen Group, Inc., Class A (a)		48,559		189,866
Diamond Hill Investment Group, Inc.		1,405		166,268
Fifth Street Finance Corp.		67,934		628,389
Financial Engines, Inc.		24,171		1,679,401
GAMCO Investors, Inc., Class A		2,983		259,432
Golub Capital BDC, Inc.		18,607		355,580
GSV Capital Corp. (a)(b)		9,389		113,513
Horizon Technology Finance Corp.		4,080		57,977
JMP Group, Inc.		7,472		55,293
KCAP Financial, Inc.		13,867		111,907
KCG Holdings, Inc., Class A (a)		35,142		420,298
Manning & Napier, Inc.		6,578		116,102
MCG Capital Corp.		36,063		158,677
Medley Capital Corp.		20,140		278,939
MVC Capital, Inc.		10,938		147,663
New Mountain Finance Corp.		22,629		340,340
NGP Capital Resources Co.		10,231		76,426
Oppenheimer Holdings, Inc., Class A		4,788		118,647
Pzena Investment Management, Inc., Class A		5,547		65,233
RCS Capital Corp., Class A		902		16,552
Resource America, Inc., Class A		5,795		54,241
Silvercrest Asset Management Group, Inc., Class A		2,664		45,421
Solar Capital Ltd.		22,506		507,510
Solar Senior Capital Ltd.		5,624		102,469
TCP Capital Corp.		17,803		298,734
THL Credit, Inc.		17,037		280,940
TICC Capital Corp.		26,213		271,042
Virtus Investment Partners, Inc. (a)		3,336		667,367
Westwood Holdings Group, Inc.		3,472		214,952
WhiteHorse Finance, Inc.		3,247		49,062
WisdomTree Investments, Inc. (a)		49,689		879,992
				10,601,321
Auto Parts — 0.8%
American Axle & Manufacturing Holdings, Inc. (a)		33,250		679,963
Dana Holding Corp.		72,618		1,424,765
Dorman Products, Inc. (a)		12,463		698,800
Federal-Mogul Corp. (a)		9,843		193,710
Fox Factory Holding Corp. (a)		4,779		84,206
Fuel Systems Solutions, Inc. (a)		6,784		94,094
Gentherm, Inc. (a)		16,532		443,223
Meritor, Inc. (a)		48,250		503,248
Remy International, Inc.		6,773		157,946
Standard Motor Products, Inc.		9,800		360,640
Stoneridge, Inc. (a)		14,193		180,961
Superior Industries International, Inc.		11,596		239,225
Tenneco, Inc. (a)		30,068		1,700,947
Tower International, Inc. (a)		2,943		62,980
				6,824,708
Auto Services — 0.1%
Cooper Tire & Rubber Co.		31,353		753,726

See Notes to Financial Statements.

65     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

  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)		17,541	$	1,116,835
Angie’s List, Inc. (a)(b)		20,960		317,544
Barrett Business Services, Inc.		3,492		323,848
CBIZ, Inc. (a)(b)		17,287		157,657
CDI Corp.		7,190		133,231
Convergys Corp.		51,934		1,093,211
The Corporate Executive Board Co.		16,613		1,286,345
CoStar Group, Inc. (a)		14,097		2,602,024
CRA International, Inc. (a)		4,865		96,327
Dice Holdings, Inc. (a)		19,375		140,469
ExlService Holdings, Inc. (a)		16,171		446,643
Forrester Research, Inc.		6,236		238,589
FTI Consulting, Inc. (a)		19,935		820,126
GP Strategies Corp. (a)		7,306		217,646
The Hackett Group, Inc.		12,500		77,625
Heidrick & Struggles International, Inc.		9,051		182,287
Huron Consulting Group, Inc. (a)		11,516		722,284
ICF International, Inc. (a)		9,758		338,700
Innovative Solutions & Support, Inc. (a)		6,095		44,433
Insperity, Inc.		11,170		403,572
Kelly Services, Inc., Class A		13,425		334,819
Kforce, Inc.		13,569		277,622
Korn/Ferry International (a)		24,121		630,041
Liquidity Services, Inc. (a)(b)		12,341		279,647
MAXIMUS, Inc.		33,752		1,484,750
Monster Worldwide, Inc. (a)(b)		52,078		371,316
Navigant Consulting, Inc. (a)		24,935		478,752
On Assignment, Inc. (a)		22,650		790,938
PRGX Global, Inc. (a)		13,940		93,677
Resources Connection, Inc.		20,287		290,713
RPX Corp. (a)		16,069		271,566
ServiceSource International, Inc. (a)		30,279		253,738
Sykes Enterprises, Inc. (a)		19,450		424,204
TeleTech Holdings, Inc. (a)		9,867		236,216
TrueBlue, Inc. (a)		20,167		519,905
WageWorks, Inc. (a)		12,338		733,371
				18,230,671
Banks: Diversified — 7.3%
1st Source Corp.		7,583		242,201
1st United Bancorp, Inc.		14,548		110,710
Access National Corp.		3,636		54,358
Ambac Financial Group, Inc. (a)		20,755		509,743
American National Bankshares, Inc.		3,902		102,427
Ameris Bancorp (a)		11,937		251,990
Ames National Corp.		4,575		102,434
Arrow Financial Corp.		5,540		147,142
Bancfirst Corp.		3,592		201,368
Banco Latinoamericano de Comercio Exterior SA		14,702		411,950
The Bancorp, Inc. (a)		16,355		292,918
BancorpSouth, Inc.		47,142		1,198,350
Bank of Kentucky Financial Corp.		3,031		111,844
Bank of Marin Bancorp		3,048		132,253
Bank of the Ozarks, Inc.		15,436		873,523
Banner Corp.		9,716		435,471
Bar Harbor Bankshares		1,958		78,300
BBCN Bancorp, Inc.		39,201		650,345
BBX Capital Corp. (a)		3,493		54,491
BNC Bancorp		9,263		158,768
Boston Private Financial Holdings, Inc.		39,679		500,749
Bridge Bancorp, Inc.		5,742		149,292
Bridge Capital Holdings (a)		4,700		96,538
Bryn Mawr Bank Corp.		6,844		206,552
C&F Financial Corp.		1,600		73,072
Camden National Corp.		3,915		165,291
Capital City Bank Group, Inc. (a)		6,067		71,409
Capitol Federal Financial, Inc.		73,946		895,486

Common Stocks	Shares		Value
Banks: Diversified (continued)
Cardinal Financial Corp.		15,181	$	273,258
Cascade Bancorp (a)		3,048		15,941
Cathay General Bancorp		39,084		1,044,715
Center Bancorp, Inc.		5,783		108,489
Centerstate Banks, Inc.		14,779		150,007
Central Pacific Financial Corp.		10,999		220,860
Century Bancorp, Inc., Class A		1,631		54,231
Charter Financial Corp.		10,947		117,899
Chemical Financial Corp.		14,721		466,214
Chemung Financial Corp.		1,799		61,472
Citizens & Northern Corp.		6,429		132,630
City Holding Co.		7,855		363,922
CNB Financial Corp.		7,128		135,432
CoBiz Financial, Inc.		17,763		212,445
Columbia Banking System, Inc.		25,366		697,819
Community Bank System, Inc.		19,907		789,910
Community Trust Bancorp, Inc.		7,060		318,830
CommunityOne Bancorp (a)		5,236		66,759
CU Bancorp (a)		4,598		80,373
Customers Bancorp, Inc. (a)		10,043		205,480
CVB Financial Corp.		45,648		779,211
Eagle Bancorp, Inc. (a)		11,079		339,350
Enterprise Bancorp, Inc.		3,579		75,767
Enterprise Financial Services Corp.		9,721		198,503
EverBank Financial Corp.		39,786		729,675
Farmers Capital Bank Corp. (a)		3,635		79,061
Fidelity Southern Corp.		7,124		118,330
Financial Institutions, Inc.		6,979		172,451
First Bancorp, Inc.		4,751		82,762
First Bancorp, North Carolina		9,676		160,815
First BanCorp, Puerto Rico (a)		36,101		223,465
First Busey Corp.		36,699		212,854
First Commonwealth Financial Corp.		48,770		430,151
First Community Bancshares, Inc.		8,706		145,390
First Connecticut Bancorp, Inc.		8,247		132,942
First Financial Bancorp		29,055		506,429
First Financial Bankshares, Inc.		15,648		1,037,775
First Financial Corp.		5,724		209,269
First Financial Holdings, Inc.		11,938		793,996
First Interstate Bancsystem, Inc.		8,825		250,365
First Merchants Corp.		17,413		396,320
First Midwest Bancorp, Inc.		37,306		653,974
First NBC Bank Holding Co. (a)		2,082		67,249
The First of Long Island Corp.		4,022		172,423
First Security Group, Inc. (a)		31,778		73,089
FirstMerit Corp.		82,062		1,824,238
Flagstar Bancorp, Inc. (a)		9,986		195,925
FNB Corp.		74,645		942,020
German American Bancorp, Inc.		6,387		182,029
Glacier Bancorp, Inc.		35,701		1,063,533
Guaranty Bancorp		7,158		100,570
Hampton Roads Bankshares, Inc. (a)		17,184		30,072
Hancock Holding Co.		41,955		1,538,909
Hanmi Financial Corp.		15,749		344,746
Heartland Financial USA, Inc.		7,484		215,464
Heritage Commerce Corp.		10,154		83,669
Heritage Oaks Bancorp (a)		9,840		73,800
Home BancShares, Inc.		22,407		836,901
Horizon Bancorp		4,269		108,134
Hudson Valley Holding Corp.		8,325		169,414
Iberiabank Corp.		14,751		927,100
Independent Bank Corp.		11,855		464,597
Independent Bank Group, Inc.		1,891		93,907
International Bancshares Corp.		26,583		701,525
Intervest Bancshares Corp. (a)		8,775		65,900
Investors Bancorp, Inc.		24,998		639,459
Janus Capital Group, Inc.		73,868		913,747

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 66

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

Common Stocks	Shares		Value
Banks: Diversified (continued)
Lakeland Bancorp, Inc.		18,004	$	222,709
Lakeland Financial Corp.		8,231		321,009
LCNB Corp.		3,650		65,225
Macatawa Bank Corp. (a)		11,650		58,250
MainSource Financial Group, Inc.		10,259		184,970
MB Financial, Inc.		27,206		873,041
Mercantile Bank Corp.		4,249		91,693
Merchants Bancshares, Inc.		2,817		94,369
Meridian Interstate Bancorp, Inc. (a)		4,034		91,088
Metro Bancorp, Inc. (a)		6,904		148,712
MetroCorp Bancshares, Inc.		7,804		117,606
Middleburg Financial Corp.		2,600		46,904
MidSouth Bancorp, Inc.		4,076		72,797
NASB Financial, Inc.		2,024		61,125
National Bank Holdings Corp., Class A		22,642		484,539
National Bankshares, Inc.		3,441		126,938
National Penn Bancshares, Inc.		58,427		661,978
NBT Bancorp, Inc.		21,898		567,158
NewBridge Bancorp (a)		12,256		91,920
Northrim BanCorp, Inc.		3,211		84,257
OFG Bancorp		22,703		393,670
Old National Bancorp		50,421		774,971
Pacific Continental Corp.		8,778		139,921
Pacific Premier Bancorp, Inc. (a)		7,994		125,826
PacWest Bancorp		18,871		796,734
Palmetto Bancshares, Inc. (a)		2,200		28,512
Park National Corp.		5,779		491,620
Park Sterling Corp.		22,514		160,750
Peapack Gladstone Financial Corp.		4,436		84,728
Penns Woods Bancorp, Inc.		2,391		121,941
Peoples Bancorp, Inc.		5,327		119,911
Pinnacle Financial Partners, Inc.		17,420		566,673
Preferred Bank (a)		5,701		114,305
PrivateBancorp, Inc.		32,189		931,228
Prosperity Bancshares, Inc.		29,827		1,890,734
Provident Financial Services, Inc.		29,670		573,224
Renasant Corp.		15,223		478,916
Republic Bancorp, Inc., Class A		4,865		119,387
Rockville Financial, Inc.		13,098		186,123
S&T Bancorp, Inc.		14,831		375,373
Sandy Spring Bancorp, Inc.		12,463		351,332
Seacoast Banking Corp. of Florida (a)		8,957		109,280
Sierra Bancorp		5,953		95,784
Simmons First National Corp., Class A		8,275		307,416
Southside Bancshares, Inc.		9,012		246,388
Southwest Bancorp, Inc. (a)		9,942		158,277
State Bank Financial Corp.		16,015		291,313
StellarOne Corp.		11,348		273,146
Stellus Capital Investment Corp.		5,764		86,172
Sterling Financial Corp.		16,794		572,340
Suffolk Bancorp (a)		5,661		117,749
Sun Bancorp, Inc. (a)		19,879		69,974
Susquehanna Bancshares, Inc.		92,458		1,187,161
SY Bancorp, Inc.		7,062		225,419
Taylor Capital Group, Inc. (a)		8,654		230,023
Texas Capital Bancshares, Inc. (a)(b)		20,207		1,256,875
Tompkins Financial Corp.		7,242		372,166
TowneBank		13,312		204,872
Trico Bancshares		8,032		227,868
Tristate Capital Holdings, Inc. (a)		3,203		37,988
TrustCo Bank Corp. NY		47,087		338,085
Trustmark Corp.		33,425		897,127
UMB Financial Corp.		17,678		1,136,342
Umpqua Holdings Corp.		55,556		1,063,342
Union First Market Bankshares Corp.		10,171		252,343
United Bankshares, Inc.		10,792		339,408

Common Stocks	Shares		Value
Banks: Diversified (concluded)
United Community Banks, Inc. (a)		20,740	$	368,135
United Community Financial Corp. (a)		23,858		85,173
Univest Corp. of Pennsylvania		8,567		177,166
VantageSouth Bancshares, Inc. (a)		5,886		31,019
Virginia Commerce Bancorp, Inc. (a)		13,441		228,363
Washington Banking Co.		7,920		140,422
Washington Trust Bancorp, Inc.		7,283		271,073
Webster Financial Corp.		44,726		1,394,557
WesBanco, Inc.		12,935		413,920
West BanCorp., Inc.		7,044		111,436
Westamerica BanCorp.		13,465		760,234
Western Alliance Bancorp (a)		36,699		875,638
Wilshire Bancorp, Inc. (b)		33,671		368,024
Wintrust Financial Corp.		18,396		848,424
Yadkin Financial Corp. (a)		7,017		119,570
				62,935,115
Banks: Savings, Thrift & Mortgage Lending — 1.0%
Apollo Residential Mortgage, Inc.		15,550		229,829
Astoria Financial Corp.		43,819		606,017
Banc of California, Inc.		8,473		113,623
Bank Mutual Corp.		22,798		159,814
BankFinancial Corp.		10,098		92,498
Beneficial Mutual Bancorp, Inc. (a)		15,591		170,254
Berkshire Hills Bancorp, Inc.		12,585		343,193
BofI Holding, Inc. (a)		5,988		469,639
Brookline Bancorp, Inc.		35,068		335,601
Clifton Savings Bancorp, Inc.		4,201		53,773
Dime Community Bancshares, Inc.		15,948		269,840
Doral Financial Corp. (a)		3,224		50,488
ESB Financial Corp.		6,202		88,068
ESSA Bancorp, Inc.		4,202		48,575
First Defiance Financial Corp.		4,747		123,280
First Federal Bancshares of Arkansas, Inc. (a)		1,552		13,502
First Financial Northwest, Inc.		7,377		76,499
Flushing Financial Corp.		15,391		318,594
Fox Chase Bancorp, Inc.		5,936		103,168
Franklin Financial Corp. (a)		5,138		101,630
Great Southern Bancorp, Inc.		5,246		159,531
Heritage Financial Corp.		7,858		134,450
Hingham Institution for Savings		593		46,545
Home Bancorp, Inc. (a)		3,121		58,831
Home Federal Bancorp, Inc.		7,055		105,120
Home Loan Servicing Solutions Ltd.		35,287		810,542
HomeStreet, Inc.		6,263		125,260
Kearny Financial Corp. (a)		6,957		80,910
Northfield Bancorp, Inc.		29,067		383,684
Northwest Bancshares, Inc.		46,590		688,600
OceanFirst Financial Corp.		6,773		116,021
OmniAmerican Bancorp, Inc. (a)		5,579		119,279
Oritani Financial Corp.		22,744		365,041
Provident Financial Holdings, Inc.		4,463		66,945
Sterling Bancorp		41,547		555,483
Territorial Bancorp, Inc.		5,142		119,294
United Financial Bancorp, Inc.		9,919		187,370
ViewPoint Financial Group, Inc.		19,878		545,651
Waterstone Financial, Inc. (a)		3,518		39,050
Westfield Financial, Inc.		8,785		65,536
WSFS Financial Corp.		3,909		303,065
				8,844,093
Beverage: Brewers & Distillers — 0.1%
The Boston Beer Co., Inc., Class A (a)		4,069		983,843
Craft Brew Alliance, Inc. (a)		5,092		83,611
				1,067,454

See Notes to Financial Statements.

67     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

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

Common Stocks	Shares		Value
Beverage: Soft Drinks — 0.0%
Coca-Cola Bottling Co. Consolidated		2,340	$	171,264
Farmer Bros Co. (a)		2,849		66,268
National Beverage Corp. (a)		5,448		109,832
				347,364
Biotechnology — 4.1%
Acceleron Pharma, Inc. (a)		3,118		123,473
Accelrys, Inc. (a)		27,702		264,277
Acorda Therapeutics, Inc. (a)		20,106		587,095
Aegerion Pharmaceuticals, Inc. (a)		14,255		1,011,535
Albany Molecular Research, Inc. (a)		11,255		113,450
Alimera Sciences, Inc. (a)		8,369		39,418
Alnylam Pharmaceuticals, Inc. (a)		28,730		1,848,201
AMAG Pharmaceuticals, Inc. (a)		10,697		259,616
Amicus Therapeutics, Inc. (a)		14,954		35,142
Arena Pharmaceuticals, Inc. (a)(b)		107,844		630,887
Arqule, Inc. (a)		28,755		61,823
Array BioPharma, Inc. (a)		61,436		307,794
AVEO Pharmaceuticals, Inc. (a)		24,861		45,744
BIND Therapeutics, Inc. (a)		2,576		38,872
BioDelivery Sciences International, Inc. (a)		14,514		85,488
Biotime, Inc. (a)(b)		17,902		64,447
Bluebird Bio, Inc. (a)		3,302		69,276
Cell Therapeutics, Inc. (a)		63,186		121,317
Celldex Therapeutics, Inc. (a)		44,106		1,067,806
Cellular Dynamics International, Inc. (a)		1,821		30,065
Cepheid, Inc. (a)		33,178		1,550,076
Chelsea Therapeutics International Ltd. (a)		39,248		173,869
ChemoCentryx, Inc. (a)		12,012		69,550
Clovis Oncology, Inc. (a)		8,882		535,318
Cornerstone Therapeutics, Inc. (a)		4,237		40,209
Coronado Biosciences, Inc. (a)(b)		12,937		34,024
Curis, Inc. (a)		41,675		117,524
Cytokinetics, Inc. (a)		12,884		83,746
Cytori Therapeutics, Inc. (a)		30,640		78,745
Dendreon Corp. (a)(b)		78,577		234,945
Durata Therapeutics, Inc. (a)		6,324		80,884
Dyax Corp. (a)		59,894		451,002
Dynavax Technologies Corp. (a)		130,692		256,156
Emergent Biosolutions, Inc. (a)		13,611		312,917
Enzon Pharmaceuticals, Inc.		18,630		21,611
Epizyme, Inc. (a)(b)		2,864		59,571
Exact Sciences Corp. (a)		34,864		407,560
Exelixis, Inc. (a)(b)		91,157		558,792
Fibrocell Science, Inc. (a)		10,720		43,523
Five Prime Therapeutics, Inc. (a)		2,724		45,736
Foundation Medicine, Inc. (a)		3,345		79,678
Furiex Pharmaceuticals, Inc. (a)		3,338		140,229
Galena Biopharma, Inc. (a)(b)		50,839		252,161
GenMark Diagnostics, Inc. (a)		17,754		236,306
Genomic Health, Inc. (a)		8,319		243,497
Geron Corp. (a)		64,669		306,531
GTx, Inc. (a)		12,898		21,282
Halozyme Therapeutics, Inc. (a)		43,999		659,545
Harvard Apparatus Regenerative Technology, Inc. (a)		3,028		14,383
Harvard Bioscience, Inc. (a)		12,112		56,926
Horizon Pharma, Inc. (a)		25,715		195,948
Hyperion Therapeutics, Inc. (a)		4,072		82,336
Idenix Pharmaceuticals, Inc. (a)(b)		49,542		296,261
Immunogen, Inc. (a)		41,889		614,512
Immunomedics, Inc. (a)		36,847		169,496
Insmed, Inc. (a)		17,108		291,007
Insys Therapeutics, Inc. (a)		2,460		95,227
Intercept Pharmaceuticals, Inc. (a)		3,556		242,804
InterMune, Inc. (a)		44,307		652,642
Intrexon Corp. (a)		5,824		138,611
KaloBios Pharmaceuticals, Inc. (a)		5,689		25,145

Common Stocks	Shares		Value
Biotechnology (concluded)
Karyopharm Therapeutics, Inc. (a)		3,788	$	86,821
Keryx Biopharmaceuticals, Inc. (a)		40,472		524,112
Lexicon Pharmaceuticals, Inc. (a)(b)		113,162		203,692
Ligand Pharmaceuticals, Inc., Class B (a)		8,821		463,985
MacroGenics, Inc. (a)		2,792		76,585
MannKind Corp. (a)(b)		73,759		384,284
Merrimack Pharmaceuticals, Inc. (a)(b)		48,143		257,084
Momenta Pharmaceuticals, Inc. (a)		23,400		413,712
Nanosphere, Inc. (a)		26,758		61,276
Nektar Therapeutics (a)		57,171		648,891
Neurocrine Biosciences, Inc. (a)		33,104		309,191
NewLink Genetics Corp. (a)		8,398		184,840
Novavax, Inc. (a)		92,264		472,392
NPS Pharmaceuticals, Inc. (a)(b)		49,619		1,506,433
Omeros Corp. (a)(b)		14,948		168,763
OncoGenex Pharmaceutical, Inc. (a)		7,155		59,673
OncoMed Pharmaceuticals, Inc. (a)(b)		2,281		67,335
Onconova Therapeutics, Inc. (a)		2,938		33,728
Ophthotech Corp. (a)		4,462		144,346
Opko Health, Inc. (a)(b)		93,333		787,731
Orexigen Therapeutics, Inc. (a)		50,340		283,414
Osiris Therapeutics, Inc. (a)		8,353		134,316
Pacific Biosciences of California, Inc. (a)		23,278		121,744
PDL BioPharma, Inc.		69,496		586,546
Peregrine Pharmaceuticals, Inc. (a)(b)		77,741		108,060
Peregrine Semiconductor Corp. (a)		12,813		94,944
Progenics Pharmaceuticals, Inc. (a)		29,804		158,855
Prothena Corp. PLC (a)		7,082		187,815
PTC Therapeutics, Inc. (a)		4,900		83,153
Puma Biotechnology, Inc. (a)		10,956		1,134,275
Raptor Pharmaceutical Corp. (a)		29,530		384,481
Regulus Therapeutics, Inc. (a)		4,939		36,499
Repligen Corp. (a)		15,619		213,043
Repros Therapeutics, Inc. (a)		11,437		209,297
Rigel Pharmaceuticals, Inc. (a)		42,423		120,906
Rockwell Medical, Inc. (a)(b)		19,548		204,081
RTI Surgical, Inc. (a)		27,404		97,010
Sangamo Biosciences, Inc. (a)		30,240		420,034
Sarepta Therapeutics, Inc. (a)(b)		18,649		379,880
Sequenom, Inc. (a)(b)		56,165		131,426
Stemline Therapeutics, Inc. (a)		4,666		91,454
Sucampo Pharmaceuticals, Inc., Class A (a)		6,668		62,679
Sunesis Pharmaceuticals, Inc. (a)		15,670		74,276
Symmetry Medical, Inc. (a)		18,574		187,226
Synageva BioPharma Corp. (a)(b)		9,521		616,199
Synergy Pharmaceuticals, Inc. (a)		40,222		226,450
Synta Pharmaceuticals Corp. (a)(b)		24,389		127,798
Targacept, Inc. (a)		13,530		56,150
TESARO, Inc. (a)		6,643		187,598
Threshold Pharmaceuticals, Inc. (a)		22,755		106,266
Vanda Pharmaceuticals, Inc. (a)		16,506		204,840
Veracyte, Inc. (a)		2,424		35,148
Verastem, Inc. (a)		8,373		95,452
ViroPharma, Inc. (a)		31,622		1,576,357
West Pharmaceutical Services, Inc.		34,150		1,675,399
Wright Medical Group, Inc. (a)		19,978		613,524
XOMA Corp. (a)		38,392		258,378
ZIOPHARM Oncology, Inc. (a)(b)		40,256		174,711
				35,090,569
Building Materials — 1.1%
Acuity Brands, Inc.		21,173		2,314,632
BlueLinx Holdings, Inc. (a)		16,389		31,959
Builders FirstSource, Inc. (a)		22,425		160,115
Gibraltar Industries, Inc. (a)		15,233		283,182
Griffon Corp.		22,141		292,483
Headwaters, Inc. (a)		36,345		355,818

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 68

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

Common Stocks	Shares		Value
Building Materials (concluded)
Louisiana-Pacific Corp. (a)		68,930	$	1,275,894
LSI Industries, Inc.		10,405		90,211
NCI Building Systems, Inc. (a)		10,405		182,504
Patrick Industries, Inc. (a)		3,237		93,646
PGT, Inc. (a)		16,609		168,083
Quanex Building Products Corp.		18,482		368,161
Revolution Lighting Technologies, Inc. (a)(b)		14,600		50,005
Simpson Manufacturing Co., Inc.		20,080		737,538
Stock Building Supply Holdings, Inc. (a)		3,917		71,368
Texas Industries, Inc. (a)		10,785		741,792
Trex Co., Inc. (a)		8,517		677,357
Watsco, Inc.		12,684		1,218,425
				9,113,173
Building: Climate Control — 0.1%
AAON, Inc.		13,888		443,721
Comfort Systems USA, Inc.		18,459		357,920
Nortek, Inc. (a)		4,458		332,567
				1,134,208
Building: Roofing, Wallboard & Plumbing — 0.2%
Beacon Roofing Supply, Inc. (a)		24,091		970,386
USG Corp. (a)		34,661		983,679
				1,954,065
Casinos & Gambling — 0.3%
Boyd Gaming Corp. (a)		34,592		389,506
Caesars Entertainment Corp. (a)		20,052		431,920
Isle of Capri Casinos, Inc. (a)		10,978		98,802
Monarch Casino & Resort, Inc. (a)		4,268		85,701
Multimedia Games Holding Co., Inc. (a)		14,268		447,444
Pinnacle Entertainment, Inc. (a)		26,441		687,202
Scientific Games Corp., Class A (a)		23,649		400,378
				2,540,953
Cement — 0.0%
US Concrete, Inc. (a)		7,077		160,153
Chemicals: Diversified — 1.2%
Aceto Corp.		13,575		339,511
American Vanguard Corp.		14,176		344,335
Axiall Corp.		34,532		1,638,198
Chemtura Corp. (a)		48,603		1,356,996
Hawkins, Inc.		4,709		175,128
Innophos Holdings, Inc.		10,887		529,108
KMG Chemicals, Inc.		3,932		66,411
Landec Corp. (a)		12,952		156,978
LSB Industries, Inc. (a)		9,475		388,665
Marrone Bio Innovations, Inc. (a)		2,654		47,188
Olin Corp.		39,725		1,146,066
OM Group, Inc. (a)		15,814		575,788
OMNOVA Solutions, Inc. (a)		23,335		212,582
Penford Corp. (a)		4,618		59,341
PolyOne Corp.		49,091		1,735,367
Sensient Technologies Corp.		24,756		1,201,161
Taminco Corp. (a)		7,921		160,083
				10,132,906
Chemicals: Specialty — 0.6%
Advanced Emissions Solutions, Inc. (a)		5,324		288,721
Balchem Corp.		14,656		860,307
Calgon Carbon Corp. (a)		26,726		549,754
FutureFuel Corp.		10,874		171,809
GSE Holding, Inc. (a)		4,000		8,280
Innospec, Inc.		11,643		538,140
Kraton Performance Polymers, Inc. (a)		16,123		371,635
Polypore International, Inc. (a)(b)		23,078		897,734
Quaker Chemical Corp.		6,498		500,801
Stepan Co.		9,318		611,540

Common Stocks	Shares		Value
Chemicals: Specialty (concluded)
Zep, Inc.		11,234	$	204,009
				5,002,730
Coal — 0.2%
Arch Coal, Inc.		105,412		469,083
Cloud Peak Energy, Inc. (a)		30,136		542,448
Hallador Energy Co.		4,280		34,497
KiOR, Inc., Class A (a)		21,114		35,471
L&L Energy, Inc. (a)(b)		15,160		25,469
Walter Energy, Inc. (b)		31,073		516,744
Westmoreland Coal Co. (a)		5,657		109,124
				1,732,836
CommercialBanks —0.0%
HomeTrust Bancshares, Inc. (a)		10,082		161,211
Commercial Finance & Mortgage Companies — 0.2%
Capital Bank Financial Corp., Class A (a)		11,708		266,357
Federal Agricultural Mortgage Corp., Class C		5,159		176,696
Garrison Capital, Inc.		2,850		39,558
Medallion Financial Corp.		10,807		155,080
Meta Financial Group, Inc.		2,888		116,473
NewStar Financial, Inc. (a)		13,056		232,005
PennantPark Floating Rate Capital Ltd.		7,085		97,277
PennyMac Financial Services, Inc. (a)(c)		5,912		103,756
RE/MAX Holdings, Inc., Class A (a)		5,821		186,679
Stonegate Mortgage Corp. (a)		3,990		65,955
Walker & Dunlop, Inc. (a)		8,043		130,055
				1,569,891
CommercialServices&Supplies —0.1%
ARC Document Solutions, Inc. (a)		18,908		155,424
Costa, Inc. (a)		4,609		100,153
LifeLock, Inc. (a)		29,965		491,726
National Research Corp. (a)		4,135		77,821
National Research Corp., Class B		588		20,409
Performant Financial Corp. (a)		10,921		112,486
				958,019
Commercial Services: Rental & Leasing — 0.5%
Aircastle Ltd.		33,959		650,654
CAI International, Inc. (a)		8,536		201,193
Electro Rent Corp.		9,473		175,440
H&E Equipment Services, Inc. (a)		14,732		436,509
Marlin Business Services Corp.		4,003		100,876
McGrath RentCorp		12,532		498,774
Mobile Mini, Inc. (a)		18,982		781,679
PHH Corp. (a)		28,297		689,032
TAL International Group, Inc. (a)		16,769		961,702
				4,495,859
Commercial Vehicles & Parts — 0.2%
Accuride Corp. (a)		19,340		72,138
Commercial Vehicle Group, Inc. (a)		11,547		83,947
Miller Industries, Inc.		5,397		100,546
Modine Manufacturing Co. (a)		23,402		300,013
Rush Enterprises, Inc., Class A (a)(b)		17,141		508,231
Spartan Motors, Inc.		16,529		110,744
Wabash National Corp. (a)		33,922		418,937
				1,594,556
Communications Equipment — 0.0%
Ruckus Wireless, Inc. (a)		22,951		325,904
Communications Technology — 2.0%
ADTRAN, Inc.		29,344		792,581
Alliance Fiber Optic Products, Inc.		5,592		84,160
Anaren, Inc. (a)		5,796		162,230
Anixter International, Inc.		13,386		1,202,598
Aruba Networks, Inc. (a)		56,413		1,009,793

See Notes to Financial Statements.

69     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

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

Common Stocks	Shares		Value
Communications Technology (concluded)
Aviat Networks, Inc. (a)		29,848	$	67,456
Bel Fuse, Inc., Class B		4,778		101,819
Black Box Corp.		8,058		240,128
Calix, Inc. (a)		19,970		192,511
Ciena Corp. (a)		50,224		1,201,860
Comtech Telecommunications Corp.		8,380		264,138
Cyan, Inc. (a)		4,039		21,366
Datalink Corp. (a)		9,261		100,945
Digi International, Inc. (a)		12,568		152,324
DigitalGlobe, Inc. (a)		36,821		1,515,184
Emulex Corp. (a)		40,030		286,615
Extreme Networks, Inc. (a)		46,124		322,868
Finisar Corp. (a)(b)		46,223		1,105,654
General Cable Corp.		24,631		724,398
GSI Technology, Inc. (a)		9,841		65,344
Harmonic, Inc. (a)		50,126		369,930
Infinera Corp. (a)		57,370		561,079
InterDigital, Inc.		20,421		602,215
Ixia (a)		27,984		372,467
KVH Industries, Inc. (a)		7,456		97,152
Loral Space & Communications, Inc. (a)		6,477		524,507
NeoPhotonics Corp. (a)		9,801		69,195
Net Element International, Inc. (a)		900		3,933
NETGEAR, Inc. (a)		19,106		629,352
Numerex Corp., Class A (a)		6,739		87,270
Oplink Communications, Inc. (a)		9,496		176,626
Parkervision, Inc. (a)(b)		44,121		200,751
PC-Tel, Inc.		8,840		84,599
Plantronics, Inc.		21,412		994,587
Procera Networks, Inc. (a)		10,331		155,172
QLogic Corp. (a)		44,133		522,093
RingCentral, Inc., Class A (a)		4,183		76,842
Seachange International, Inc. (a)		16,300		198,208
ShoreTel, Inc. (a)		29,200		270,976
Sonus Networks, Inc. (a)(b)		106,733		336,209
TeleNav, Inc. (a)		8,613		56,760
ViaSat, Inc. (a)(b)		19,556		1,225,183
Westell Technologies, Inc., Class A (a)		21,572		87,367
				17,316,445
Computer Services Software & Systems — 6.2%
ACI Worldwide, Inc. (a)(d)		19,698		1,280,370
Actuate Corp. (a)		23,546		181,540
Acxiom Corp. (a)		36,530		1,350,879
American Software, Inc., Class A		11,588		114,374
Aspen Technology, Inc. (a)		46,308		1,935,674
AVG Technologies NV (a)		11,934		205,384
Avid Technology, Inc. (a)		15,631		127,393
Bankrate, Inc. (a)(b)		22,912		411,041
Barracuda Networks, Inc. (a)		2,032		80,630
Bazaarvoice, Inc. (a)		24,011		190,167
Benefitfocus, Inc. (a)		2,561		147,872
Blackbaud, Inc.		22,594		850,664
Blucora, Inc. (a)		20,290		591,656
Bottomline Technologies, Inc. (a)		18,722		676,988
Brightcove, Inc. (a)		14,037		198,483
BroadSoft, Inc. (a)		13,913		380,381
CACI International, Inc., Class A (a)(b)		11,402		834,854
Callidus Software, Inc. (a)		20,029		274,998
CIBER, Inc. (a)		37,341		154,592
CommVault Systems, Inc. (a)		22,972		1,720,143
Computer Task Group, Inc.		7,509		141,920
ComScore, Inc. (a)		17,671		505,567
Cornerstone OnDemand, Inc. (a)		19,965		1,064,933
Covisint Corp. (a)		3,564		44,728
CSG Systems International, Inc.		16,767		492,950
Cvent, Inc. (a)		3,131		113,937

Common Stocks	Shares			Value
Computer Services Software & Systems (continued)
DealerTrack Holdings, Inc. (a)		21,509		$	1,034,153
Demand Media, Inc. (a)		17,580			101,437
Demandware, Inc. (a)		9,130			585,416
Digimarc Corp.		3,050			58,743
Digital River, Inc. (a)		16,628			307,618
EarthLink, Inc.		51,479			260,999
Ebix, Inc.		15,485			227,939
Endurance International Group Holdings, Inc. (a)		10,944			155,186
Envestnet, Inc. (a)		11,195			451,159
EPAM Systems, Inc. (a)		10,826			378,260
EPIQ Systems, Inc.		15,613			253,087
ePlus, Inc. (a)		1,817			103,278
Guidance Software, Inc. (a)		8,095			81,760
Guidewire Software, Inc. (a)		24,128			1,183,961
ICG Group, Inc. (a)		18,825			350,710
iGATE Corp. (a)		17,222			691,636
Imperva, Inc. (a)		10,014			481,974
Infoblox, Inc. (a)(b)		26,221			865,817
Interactive Intelligence Group, Inc. (a)		7,668			516,517
Internap Network Services Corp. (a)		26,618			200,167
IntraLinks Holdings, Inc. (a)		19,080			231,059
Jive Software, Inc. (a)		19,732			221,985
The KEYW Holding Corp. (a)		15,881			213,441
Limelight Networks, Inc. (a)		25,253			50,001
Lionbridge Technologies, Inc. (a)		29,093			173,394
LivePerson, Inc. (a)		27,322			404,912
LogMeIn, Inc. (a)		12,051			404,311
Luxoft Holding, Inc. (a)		2,270			86,215
Manhattan Associates, Inc. (a)		9,617			1,129,805
Mantech International Corp., Class A		11,848			354,611
Mavenir Systems, Inc. (a)		2,721			30,366
Mentor Graphics Corp.		47,143			1,134,732
Mercury Systems, Inc. (a)		16,162			176,974
MicroStrategy, Inc., Class A (a)		4,481			556,719
Millennial Media, Inc. (a)(b)		17,255			125,444
Mitek Systems, Inc. (a)		12,114			71,957
ModusLink Global Solutions, Inc. (a)		17,803			102,011
Monotype Imaging Holdings, Inc.		18,911			602,505
Netscout Systems, Inc. (a)		17,922			530,312
NIC, Inc.		32,055			797,208
OpenTable, Inc. (a)(b)		11,273			894,738
PDF Solutions, Inc. (a)		12,462			319,276
Pegasystems, Inc.		8,614	��		423,637
Perficient, Inc. (a)		16,586			388,444
Progress Software Corp. (a)		25,694			663,676
Proofpoint, Inc. (a)		11,388			377,740
PROS Holdings, Inc. (a)		11,134			444,247
PTC, Inc. (a)		59,125			2,092,434
QAD, Inc., Class A		2,825			49,890
QLIK Technologies, Inc. (a)		43,063			1,146,768
RealNetworks, Inc. (a)		10,744			81,117
RealPage, Inc. (a)		23,079			539,587
Reis, Inc. (a)		4,012			77,151
Responsys, Inc. (a)		18,242			500,013
Rocket Fuel, Inc. (a)		2,488			152,987
Sapiens International Corp. NV		9,467			72,991
Sapient Corp. (a)		54,547			946,936
SciQuest, Inc. (a)		11,296			321,710
Shutterstock, Inc. (a)		3,666			306,588
Spark Networks, Inc. (a)		8,520			52,483
SPS Commerce, Inc. (a)		7,937			518,286
SS&C Technologies Holdings, Inc. (a)		28,789			1,274,201
Support.com, Inc. (a)		25,618			97,092
Synchronoss Technologies, Inc. (a)		14,428			448,278
SYNNEX Corp. (a)		13,041			878,963
Syntel, Inc. (a)		7,624			693,403
Tangoe, Inc. (a)(b)		15,381			277,012

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 70

  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)
TechTarget, Inc. (a)		5,669	$	38,889
TeleCommunication Systems, Inc., Class A (a)		23,065		53,511
Textura Corp. (a)		2,682		80,299
Travelzoo, Inc. (a)		3,848		82,039
Tremor Video, Inc. (a)		3,698		21,448
Tyler Technologies, Inc. (a)		15,565		1,589,653
Ultimate Software Group, Inc. (a)		13,656		2,092,372
Unisys Corp. (a)		21,874		734,310
United Online, Inc.		6,553		90,169
Unwired Planet, Inc. (a)		31,168		43,012
VASCO Data Security International, Inc. (a)		14,020		108,375
Verint Systems, Inc. (a)		26,062		1,119,102
VirnetX Holding Corp. (a)(b)		20,942		406,484
Virtusa Corp. (a)		10,110		385,090
Web.com Group, Inc. (a)		20,743		659,420
Wix.com Ltd. (a)		4,041		108,501
Yelp, Inc. (a)		16,058		1,107,199
YuMe, Inc. (a)		2,681		19,973
Zillow, Inc. Class A (a)(b)		11,523		941,775
Zix Corp. (a)		29,988		136,745
				53,617,911
Computer Technology — 0.4%
Cray, Inc. (a)(b)		19,615		538,628
Imation Corp. (a)		16,356		76,546
Immersion Corp. (a)		13,547		140,618
Insight Enterprises, Inc. (a)(b)		21,531		488,969
PC Connection, Inc.		4,484		111,427
Quantum Corp. (a)		103,326		123,991
Radisys Corp. (a)		10,925		25,018
Safeguard Scientifics, Inc. (a)		10,430		209,539
Silicon Graphics International Corp. (a)(b)		16,819		225,543
Super Micro Computer, Inc. (a)		15,817		271,420
Synaptics, Inc. (a)		16,080		833,105
Violin Memory, Inc. (a)		9,218		36,503
				3,081,307
Construction — 0.5%
Aegion Corp. (a)		19,417		425,038
EMCOR Group, Inc.		33,205		1,409,220
Granite Construction, Inc.		19,290		674,764
Great Lakes Dredge & Dock Corp. (a)		29,547		271,833
Orion Marine Group, Inc. (a)		13,673		164,486
Primoris Services Corp.		17,474		543,966
Sterling Construction Co., Inc. (a)		8,035		94,251
Tutor Perini Corp. (a)		18,404		484,025
				4,067,583
Consumer Electronics — 0.2%
RealD, Inc. (a)		20,297		173,336
Skullcandy, Inc. (a)		8,838		63,722
TiVo, Inc. (a)		62,642		821,863
Universal Electronics, Inc. (a)		7,414		282,548
VOXX International Corp. (a)		9,350		156,145
XO Group, Inc. (a)		13,283		197,385
Zagg, Inc. (a)		14,919		64,898
				1,759,897
Consumer Lending — 0.9%
Cash America International, Inc.		14,165		542,519
Credit Acceptance Corp. (a)		3,543		460,555
Encore Capital Group, Inc. (a)		12,387		622,571
Ezcorp, Inc., Class A (a)		25,443		297,429
First Cash Financial Services, Inc. (a)		14,448		893,464
The First Marblehead Corp. (a)		4,544		33,582
Imperial Holdings, Inc. (a)		8,273		54,105
JGWPT Holdings, Inc., Class A, Class A (a)		4,744		82,498

Common Stocks	Shares		Value
Consumer Lending (concluded)
Marcus & Millichap, Inc. (a)		3,302	$	49,200
MGIC Investment Corp. (a)(b)		160,370		1,353,523
MoneyGram International, Inc. (a)		10,672		221,764
Nelnet, Inc., Class A		11,320		477,025
Nicholas Financial, Inc.		5,119		80,573
Portfolio Recovery Associates, Inc. (a)		25,075		1,324,963
Regional Management Corp. (a)		2,617		88,795
Springleaf Holdings, Inc. (a)		12,037		304,295
Tree.com, Inc. (a)		3,103		101,903
World Acceptance Corp. (a)		4,297		376,116
				7,364,880
Consumer Services: Miscellaneous — 0.6%
Chuy’s Holdings, Inc. (a)		8,021		288,916
Core-Mark Holding Co., Inc.		5,687		431,814
Del Frisco’s Restaurant Group, Inc. (a)		5,366		126,477
Move, Inc. (a)		19,772		316,154
Nutrisystem, Inc.		14,205		233,530
Sotheby’s		33,743		1,795,128
Steiner Leisure Ltd. (a)		7,253		356,775
WEX, Inc. (a)		19,161		1,897,514
				5,446,308
Containers & Packaging — 0.2%
AEP Industries, Inc. (a)		2,119		111,947
Berry Plastics Group, Inc. (a)		27,306		649,610
Graphic Packaging Holding Co. (a)		96,893		930,173
Myers Industries, Inc.		13,997		295,616
UFP Technologies, Inc. (a)		2,650		66,833
				2,054,179
Cosmetics — 0.1%
Elizabeth Arden, Inc. (a)		12,706		450,428
Inter Parfums, Inc.		8,125		290,956
Revlon, Inc., Class A (a)		5,736		143,171
				884,555
Diversified Financial Services — 0.8%
Blackhawk Network Holdings, Inc. (a)		5,787		146,180
California First National Bancorp		1,296		19,570
ConnectOne Bancorp, Inc. (a)		874		34,637
DFC Global Corp. (a)		20,210		231,404
Evercore Partners, Inc., Class A		15,630		934,361
FBR & Co. (a)		4,207		110,981
Fidus Investment Corp.		6,942		150,919
Greenhill & Co., Inc.		13,981		810,059
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		7,161		99,967
Intersections, Inc.		4,604		35,865
JTH Holding, Inc., Class A (a)		2,247		54,602
Main Street Capital Corp.		19,361		632,911
MidWestOne Financial Group, Inc.		3,319		90,277
Outerwall, Inc. (a)(b)		13,906		935,457
Piper Jaffray Cos. (a)		8,009		316,756
Planet Payment, Inc. (a)		20,448		56,845
Stifel Financial Corp. (a)		31,401		1,504,736
Triangle Capital Corp.		13,700		378,805
				6,544,332
Diversified Manufacturing Operations — 0.5%
AM Castle & Co. (a)		8,451		124,821
Barnes Group, Inc.		26,580		1,018,280
Federal Signal Corp. (a)		30,813		451,411
Lydall, Inc. (a)		8,228		144,977
OSI Systems, Inc. (a)		9,849		523,081
Raven Industries, Inc.		17,988		740,026
Standex International Corp.		6,292		395,641

See Notes to Financial Statements.

71     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

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

Common Stocks	Shares		Value
Diversified Manufacturing Operations (concluded)
Trimas Corp. (a)		22,208	$	885,877
				4,284,114
Diversified Materials & Processing — 0.6%
Belden, Inc.		21,751		1,532,358
Cabot Microelectronics Corp. (a)		11,524		526,647
CLARCOR, Inc.		24,534		1,578,763
Encore Wire Corp.		10,213		553,545
Harbinger Group, Inc. (a)		16,470		195,170
Insteel Industries, Inc.		8,962		203,706
Koppers Holdings, Inc.		10,259		469,349
NL Industries, Inc.		3,378		37,766
Tredegar Corp.		12,167		350,531
Uranium Energy Corp. (a)(b)		41,466		82,932
				5,530,767
Diversified Media — 0.0%
EW Scripps Co. (a)		15,505		336,769
Hemisphere Media Group, Inc. (a)		4,143		49,177
				385,946
Diversified Retail — 0.4%
The Bon-Ton Stores, Inc.		6,580		107,122
Fred’s, Inc., Class A		18,204		337,138
Gordmans Stores, Inc.		4,263		32,697
HSN, Inc.		16,728		1,042,155
Overstock.com, Inc. (a)		5,597		172,332
Pricesmart, Inc.		9,328		1,077,757
Tuesday Morning Corp. (a)		21,218		338,639
Valuevision Media, Inc., Class A (a)		19,037		133,069
Winmark Corp.		1,076		99,659
				3,340,568
Drug & Grocery Store Chains — 0.8%
Arden Group, Inc., Class A		562		71,099
Casey’s General Stores, Inc.		18,933		1,330,043
Harris Teeter Supermarkets, Inc.		24,441		1,206,163
Ingles Markets, Inc., Class A		5,946		161,137
The Pantry, Inc. (a)		11,755		197,249
PetMed Express, Inc.		10,169		169,110
Rite Aid Corp. (a)		360,867		1,825,987
Spartan Stores, Inc.		18,161		440,949
Supervalu, Inc. (a)		100,449		732,273
Susser Holdings Corp. (a)		8,927		584,629
Village Super Market, Inc., Class A		3,048		94,519
Weis Markets, Inc.		5,469		287,451
				7,100,609
Education Services — 0.5%
American Public Education, Inc. (a)		8,746		380,189
Bridgepoint Education, Inc. (a)		8,481		150,198
Bright Horizons Family Solutions, Inc. (a)		5,924		217,648
Capella Education Co.		5,482		364,224
Career Education Corp. (a)(b)		27,741		158,124
Chegg, Inc. (a)		7,301		62,131
Corinthian Colleges, Inc. (a)		38,574		68,662
Education Management Corp. (a)		11,775		118,810
Franklin Covey Co. (a)		4,431		88,088
Grand Canyon Education, Inc. (a)		22,462		979,343
HealthStream, Inc. (a)		9,978		326,979
Houghton Mifflin Harcourt Co. (a)		10,547		178,877
ITT Educational Services, Inc. (a)		11,583		388,957
K12, Inc. (a)		13,495		293,516
Lincoln Educational Services Corp.		11,733		58,430
Rosetta Stone, Inc. (a)		5,608		68,530
Strayer Education, Inc. (a)		5,453		187,965
Universal Technical Institute, Inc.		10,727		149,213
				4,239,884

Common Stocks	Shares		Value
Electronic Components — 0.7%
Acacia Research Corp.		24,422	$	355,096
Checkpoint Systems, Inc. (a)		20,374		321,298
InvenSense, Inc. (a)(b)		28,136		584,666
Kemet Corp. (a)		21,792		122,907
Methode Electronics, Inc.		18,345		627,215
Multi-Fineline Electronix, Inc. (a)		4,174		57,977
Neonode, Inc. (a)		13,197		83,405
NVE Corp. (a)		2,346		136,725
Park Electrochemical Corp.		10,347		297,166
Rogers Corp. (a)		8,446		519,429
Sanmina Corp. (a)		40,988		684,500
ScanSource, Inc. (a)		13,819		586,340
Sparton Corp. (a)		4,947		138,269
Speed Commerce, Inc. (a)		21,633		101,026
TTM Technologies, Inc. (a)		26,311		225,748
Universal Display Corp. (a)		19,910		684,108
Viasystems Group, Inc. (a)		1,775		24,282
				5,550,157
Electronic Entertainment — 0.1%
DTS, Inc. (a)		9,073		217,570
Glu Mobile, Inc. (a)		31,189		121,325
Take-Two Interactive Software, Inc. (a)		40,099		696,520
				1,035,415
Electronics — 0.4%
Agilysys, Inc. (a)		6,818		94,907
American Science & Engineering, Inc.		4,062		292,099
Coherent, Inc. (a)		12,030		894,912
Control4 Corp. (a)(b)		2,252		39,860
Daktronics, Inc.		18,219		285,674
II-VI, Inc. (a)		25,304		445,350
iRobot Corp. (a)(b)		13,994		486,571
Newport Corp. (a)		19,394		350,450
Richardson Electronics Ltd.		5,364		60,935
Rofin-Sinar Technologies, Inc. (a)		14,015		378,685
				3,329,443
Energy Equipment — 0.4%
C&J Energy Services, Inc. (a)		22,313		515,430
Capstone Turbine Corp. (a)		152,004		196,085
Dynegy, Inc. (a)		49,454		1,064,250
Enphase Energy, Inc. (a)(b)		7,781		49,332
FuelCell Energy, Inc. (a)(b)		77,218		108,878
Matador Resources Co. (a)		28,775		536,366
PowerSecure International, Inc. (a)		10,755		184,663
Silver Spring Networks, Inc. (a)		2,854		59,934
SunPower Corp. (a)		20,385		607,677
Uni-Pixel, Inc. (a)(b)		4,912		49,169
				3,371,784
Energy Equipment & Services — 0.1%
Geospace Technologies Corp. (a)		6,393		606,248
Pioneer Energy Services Corp. (a)		30,930		247,749
				853,997
Engineering & Contracting Services — 0.5%
Argan, Inc.		6,981		192,396
Dycom Industries, Inc. (a)		16,385		455,339
Engility Holdings, Inc. (a)		8,522		284,635
Exponent, Inc.		6,531		505,761
Furmanite Corp. (a)		18,637		197,925
Layne Christensen Co. (a)		9,979		170,441
MasTec, Inc. (a)		29,381		961,346
Mistras Group, Inc. (a)		7,989		166,810
MYR Group, Inc. (a)		10,426		261,484
Power Solutions International, Inc. (a)		1,050		78,855
Tetra Tech, Inc. (a)		32,117		898,634

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 72

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

Common Stocks	Shares		Value
Engineering & Contracting Services (concluded)
VSE Corp.		1,988	$	95,444
				4,269,070
Entertainment — 0.3%
Ascent Capital Group, Inc., Class A (a)		6,999		598,834
Carmike Cinemas, Inc. (a)		11,425		318,072
Live Nation Entertainment, Inc. (a)		69,583		1,374,960
Reading International, Inc., Class A (a)		8,224		61,598
Rentrak Corp. (a)(b)		5,195		196,839
Trans World Entertainment Corp. (a)		4,758		21,030
World Wrestling Entertainment, Inc.		14,321		237,442
				2,808,775
Environmental, Maintenance, & Security Service — 0.5%
ABM Industries, Inc.		27,105		774,932
The Brink’s Co.		23,782		811,917
G&K Services, Inc., Class A		9,698		603,506
Healthcare Services Group, Inc.		33,898		961,686
Mac-Gray Corp.		6,146		130,480
SP Plus Corp. (a)(b)		7,689		200,222
Swisher Hygiene, Inc. (a)		53,444		27,476
UniFirst Corp.		7,245		775,215
				4,285,434
Fertilizers — 0.1%
Intrepid Potash, Inc. (a)		27,139		429,882
Rentech, Inc. (a)		68,542		119,948
				549,830
Financial Data & Systems — 0.8%
Advent Software, Inc.		16,139		564,704
Cardtronics, Inc. (a)		22,153		962,548
Cass Information Systems, Inc.		5,098		343,350
Consumer Portfolio Services, Inc. (a)		8,783		82,472
Euronet Worldwide, Inc. (a)		24,643		1,179,167
EVERTEC, Inc.		14,651		361,294
Fair Isaac Corp.		17,734		1,114,405
Global Cash Access Holdings, Inc. (a)		32,864		328,311
Green Dot Corp., Class A (a)		12,817		322,347
Heartland Payment Systems, Inc.		17,982		896,223
Higher One Holdings, Inc. (a)		15,772		153,935
Xoom Corp. (a)		3,978		108,878
				6,417,634
Food & Staples Retailing — 0.0%
Fairway Group Holdings Corp. (a)		7,889		142,949
Natural Grocers by Vitamin Cottage, Inc. (a)		4,419		187,586
				330,535
Foods — 1.3%
Annie’s, Inc. (a)		6,799		292,629
B&G Foods, Inc.		26,174		887,560
Boulder Brands, Inc. (a)		29,489		467,696
The Chefs’ Warehouse, Inc. (a)		8,220		239,695
Chiquita Brands International, Inc. (a)		23,134		270,668
Diamond Foods, Inc. (a)		11,055		285,661
The Hain Celestial Group, Inc. (a)		18,977		1,722,732
Inventure Foods, Inc. (a)		6,754		89,558
J&J Snack Foods Corp.		7,398		655,389
John B Sanfilippo & Son, Inc.		3,893		96,079
Lancaster Colony Corp.		9,152		806,749
Lifeway Foods, Inc.		2,232		35,667
Medifast, Inc. (a)		6,915		180,689
Nature’s Sunshine Products, Inc.		5,268		91,242
Nutraceutical International Corp. (a)		4,114		110,173
Omega Protein Corp. (a)		9,684		119,016
Post Holdings, Inc. (a)(b)		16,170		796,696
Roundy’s, Inc.		12,789		126,100

Common Stocks	Shares		Value
Foods (concluded)
Seneca Foods Corp., Class A (a)		3,920	$	125,009
Snyders-Lance, Inc.		23,543		676,155
Synutra International, Inc. (a)		8,533		75,773
Tootsie Roll Industries, Inc.		9,718		316,224
TreeHouse Foods, Inc. (a)		17,903		1,233,875
United Natural Foods, Inc. (a)		24,373		1,837,480
				11,538,515
Forest Products — 0.1%
Boise Cascade Co. (a)		6,155		181,449
Deltic Timber Corp.		5,517		374,825
Universal Forest Products, Inc.		9,834		512,745
				1,069,019
Forms & Bulk Printing Services — 0.3%
Consolidated Graphics, Inc. (a)		3,586		241,840
Deluxe Corp.		25,143		1,312,213
Ennis, Inc.		13,047		230,932
InnerWorkings, Inc. (a)(b)		22,254		173,359
Multi-Color Corp.		6,065		228,893
Quad/Graphics, Inc.		12,417		338,115
Schawk, Inc.		6,483		96,402
				2,621,754
Funeral Parlors & Cemeteries — 0.2%
Carriage Services, Inc.		7,852		153,349
Hillenbrand, Inc.		27,183		799,724
Matthews International Corp., Class A		13,644		581,371
				1,534,444
Gas Pipeline — 0.3%
Crosstex Energy, Inc.		23,662		855,618
SemGroup Corp., Class A		20,895		1,362,981
				2,218,599
Glass — 0.1%
Apogee Enterprises, Inc.		14,249		511,682
Gold — 0.1%
Allied Nevada Gold Corp. (a)(b)		52,020		184,671
Coeur Mining, Inc. (a)		50,357		546,373
Gold Resource Corp.		16,268		73,694
Midway Gold Corp. (a)		51,812		41,968
				846,706
Health Care Facilities — 0.7%
Amsurg Corp. (a)		15,795		725,307
Capital Senior Living Corp. (a)(b)		14,180		340,178
Emeritus Corp. (a)		19,985		432,276
The Ensign Group, Inc.		9,593		424,682
Five Star Quality Care, Inc. (a)		20,704		113,665
Hanger, Inc. (a)		17,127		673,776
HealthSouth Corp.		43,178		1,438,691
Kindred Healthcare, Inc.		26,769		528,420
National Healthcare Corp.		5,332		287,448
Select Medical Holdings Corp.		24,390		283,168
Skilled Healthcare Group, Inc., Class A (a)		9,672		46,522
Surgical Care Affiliates, Inc. (a)		5,610		195,453
US Physical Therapy, Inc.		6,009		211,877
USMD Holdings, Inc. (a)		509		10,236
				5,711,699
Health Care Management Services — 0.6%
BioScrip, Inc. (a)		29,048		214,955
Centene Corp. (a)		26,894		1,585,401
Computer Programs & Systems, Inc.		5,514		340,821
Magellan Health Services, Inc. (a)		13,356		800,158
Molina Healthcare, Inc. (a)		14,019		487,160
Triple-S Management Corp. (a)		11,723		227,895

See Notes to Financial Statements.

73     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

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

Common Stocks	Shares		Value
Health Care Management Services (concluded)
Universal American Corp.		18,922	$	138,131
WellCare Health Plans, Inc. (a)		21,474		1,512,199
				5,306,720
Health Care Services — 2.0%
Acadia Healthcare Co., Inc. (a)		17,487		827,660
Accelerate Diagnostics, Inc. (a)(b)		5,392		65,782
Accretive Health, Inc. (a)		29,253		267,957
Addus HomeCare Corp. (a)		2,640		59,268
Air Methods Corp. (a)		19,213		1,120,694
Alliance HealthCare Services, Inc. (a)		2,415		59,747
Almost Family, Inc. (a)		4,018		129,902
Amedisys, Inc. (a)		15,649		228,945
AMN Healthcare Services, Inc. (a)		22,884		336,395
athenahealth, Inc. (a)(b)		18,158		2,442,251
Chemed Corp. (b)		8,729		668,816
Chindex International, Inc. (a)		6,067		105,748
Corvel Corp. (a)		5,660		264,322
Cross Country Healthcare, Inc. (a)		13,166		131,397
ExamWorks Group, Inc. (a)		14,979		447,423
Gentiva Health Services, Inc. (a)		15,589		193,459
Globus Medical, Inc., Class A (a)		27,022		545,304
Healthways, Inc. (a)		16,967		260,443
HMS Holdings Corp. (a)(b)		43,388		986,209
IPC The Hospitalist Co., Inc. (a)		8,287		492,165
LHC Group, Inc. (a)		5,846		140,538
Medidata Solutions, Inc. (a)(b)		26,280		1,591,780
MiMedx Group, Inc. (a)		44,943		392,802
MWI Veterinary Supply, Inc. (a)		6,323		1,078,641
NeoGenomics, Inc. (a)		16,029		58,025
Omnicell, Inc. (a)		17,016		434,418
OvaScience, Inc. (a)		4,281		39,128
PharMerica Corp. (a)		14,719		316,459
Quality Systems, Inc.		19,794		416,862
Ryman Hospitality Properties		21,967		917,781
Team Health Holdings, Inc. (a)		33,949		1,546,377
TearLab Corp. (a)(b)		14,093		131,629
Tetraphase Pharmaceuticals, Inc. (a)		6,804		91,990
WebMD Health Corp. (a)		14,062		555,449
				17,345,766
Health Care: Miscellaneous — 0.1%
MedAssets, Inc. (a)		30,155		597,974
The Providence Service Corp. (a)		5,118		131,635
				729,609
Home Building — 0.7%
Beazer Homes USA, Inc. (a)		12,494		305,104
Hovnanian Enterprises, Inc., Class A (a)(b)		56,057		371,097
KB Home		41,422		757,194
LGI Homes, Inc. (a)		4,403		78,329
M/I Homes, Inc. (a)		12,050		306,673
MDC Holdings, Inc. (a)		19,438		626,681
Meritage Homes Corp. (a)		17,908		859,405
The Ryland Group, Inc.		22,843		991,615
Standard Pacific Corp. (a)(b)		73,436		664,596
Tile Shop Holdings, Inc. (a)(b)		9,272		167,545
TRI Pointe Homes, Inc. (a)		7,486		149,196
UCP, Inc., Class A (a)		3,824		55,983
WCI Communities, Inc. (a)		3,372		64,371
William Lyon Homes, Class A (a)		6,941		153,674
				5,551,463
Hotel/Motel — 0.2%
Bloomin’ Brands, Inc. (a)		27,325		656,073
Marcus Corp.		9,690		130,234
Morgans Hotel Group Co. (a)		13,151		106,918

Common Stocks	Shares		Value
Hotel/Motel (concluded)
Orient-Express Hotels Ltd., Class A (a)		47,748	$	721,472
				1,614,697
Household Appliances — 0.0%
National Presto Industries, Inc. (a)		2,401		193,281
Household Equipment & Products — 0.2%
Blyth, Inc. (b)		4,563		49,646
Central Garden and Pet Co., Class A (a)		21,025		141,919
CSS Industries, Inc.		4,099		117,559
Helen of Troy Ltd. (a)		15,761		780,327
Libbey, Inc. (a)		10,427		218,967
Sears Hometown and Outlet Stores, Inc. (a)		4,236		108,018
				1,416,436
Household Furnishings — 0.3%
American Woodmark Corp. (a)		4,974		196,622
Bassett Furniture Industries, Inc.		5,225		79,838
Ethan Allen Interiors, Inc.		12,316		374,653
EveryWare Global, Inc. (a)		4,774		39,529
Flexsteel Industries, Inc.		2,312		71,048
Hooker Furniture Corp.		5,206		86,836
Kirkland’s, Inc. (a)		6,969		164,956
La-Z-Boy, Inc.		25,904		803,024
Lifetime Brands, Inc.		4,906		77,171
Norcraft Cos., Inc. (a)		3,604		70,711
Select Comfort Corp. (a)(b)		27,548		580,987
				2,545,375
Insurance: Life — 0.7%
American Equity Investment Life Holding Co.		31,644		834,769
Citizens, Inc. (a)(b)		21,677		189,674
CNO Financial Group, Inc.		109,796		1,942,291
FBL Financial Group, Inc., Class A		4,429		198,375
Health Insurance Innovations, Inc. (a)		2,129		21,524
Independence Holding Co.		3,721		50,196
Kansas City Life Insurance Co.		1,906		90,992
National Western Life Insurance Co., Class A		1,078		240,987
The Phoenix Cos., Inc. (a)		2,909		178,613
Primerica, Inc.		28,140		1,207,487
Symetra Financial Corp.		40,272		763,557
Third Point Reinsurance Ltd. (a)		12,664		234,664
				5,953,129
Insurance: Multi-Line — 0.3%
Crawford & Co., Class B		12,705		117,394
Eastern Insurance Holdings, Inc.		3,105		76,041
eHealth, Inc. (a)(b)		9,137		424,779
Fortegra Financial Corp. (a)		3,075		25,430
Horace Mann Educators Corp.		19,679		620,676
Maiden Holdings Ltd.		24,764		270,671
PICO Holdings, Inc. (a)		11,362		262,576
Platinum Underwriters Holdings Ltd.		14,497		888,376
				2,685,943
Insurance: Property-Casualty — 1.5%
Amerisafe, Inc.		9,131		385,693
Amtrust Financial Services, Inc. (b)		15,360		502,118
Argo Group International Holdings Ltd.		13,502		627,708
Baldwin & Lyons, Inc., Class B		4,537		123,951
Blue Capital Reinsurance Holdings Ltd. (a)		3,021		55,496
Donegal Group, Inc., Class A		3,599		57,224
EMC Insurance Group, Inc.		2,187		66,966
Employers Holdings, Inc.		15,357		486,049
Enstar Group Ltd. (a)(b)		4,700		652,877
Essent Group Ltd. (a)		11,294		271,734
First American Financial Corp.		53,579		1,510,928
Global Indemnity PLC (a)		4,019		101,681
Greenlight Capital Re Ltd. (a)		14,004		472,075

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 74

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

Common Stocks	Shares		Value
Insurance: Property-Casualty (concluded)
Hallmark Financial Services, Inc. (a)		6,764	$	60,098
HCI Group, Inc.		4,750		254,125
Hilltop Holdings, Inc. (a)		30,725		710,669
Infinity Property & Casualty Corp.		5,695		408,616
Investors Title Co.		632		51,179
Meadowbrook Insurance Group, Inc.		24,210		168,502
Montpelier Re Holdings Ltd.		21,839		635,515
National Interstate Corp.		3,229		74,267
The Navigators Group, Inc. (a)		5,156		325,653
OneBeacon Insurance Group Ltd.		11,461		181,313
Radian Group, Inc.		85,525		1,207,613
RLI Corp.		10,544		1,026,775
Safety Insurance Group, Inc.		6,457		363,529
Selective Insurance Group, Inc.		27,447		742,716
State Auto Financial Corp.		7,318		155,434
Stewart Information Services Corp.		10,609		342,352
Tower Group International Ltd.		28,732		97,114
United Fire Group, Inc.		10,230		293,192
Universal Insurance Holdings, Inc.		12,619		182,723
				12,595,885
International Trade & Diversified Logistic — 0.0%
Global Sources Ltd. (a)		9,154		74,422
Internet & Catalog Retail — 0.0%
Vitacost.com, Inc. (a)		10,795		62,503
Internet Software & Services — 0.1%
ChannelAdvisor Corp. (a)		3,093		129,009
E2open, Inc. (a)		7,360		175,978
eGain Corp. (a)		6,313		64,645
Global Eagle Entertainment, Inc. (a)		11,319		168,313
Gogo, Inc. (a)		5,563		138,018
				675,963
Leisure Time — 1.0%
Black Diamond, Inc. (a)		10,980		146,363
Callaway Golf Co.		35,370		298,169
Churchill Downs, Inc.		6,798		609,441
ClubCorp Holdings, Inc.		10,341		183,449
International Speedway Corp., Class A		13,753		488,094
Interval Leisure Group, Inc.		19,488		602,179
Johnson Outdoors, Inc.		2,321		62,551
Life Time Fitness, Inc. (a)		21,296		1,000,912
Marriott Vacations Worldwide Corp. (a)		14,541		767,183
Nautilus, Inc. (a)		15,061		126,964
Orbitz Worldwide, Inc. (a)		11,621		83,439
Pool Corp.		23,032		1,339,081
SFX Entertainment, Inc. (a)		9,718		116,616
Smith & Wesson Holding Corp. (a)(b)		27,602		372,351
Speedway Motorsports, Inc.		5,669		112,530
Sturm Ruger & Co., Inc. (b)		9,580		700,202
Town Sports International Holdings, Inc.		11,975		176,751
Vail Resorts, Inc.		17,782		1,337,740
West Marine, Inc. (a)		8,173		116,302
				8,640,317
Luxury Items — 0.0%
Movado Group, Inc.		8,759		385,484
Machinery: Agricultural — 0.2%
Alamo Group, Inc.		3,527		214,053
Lindsay Corp.		6,376		527,614
Titan International, Inc.		26,499		476,452
Titan Machinery, Inc. (a)(b)		8,651		154,161
				1,372,280
Machinery: Construction & Handling — 0.1%
Astec Industries, Inc.		10,079		389,352
Douglas Dynamics, Inc.		11,149		187,526

Common Stocks	Shares		Value
Machinery: Construction & Handling (concluded)
NACCO Industries, Inc., Class A		2,386	$	148,385
				725,263
Machinery: Engines — 0.1%
Briggs & Stratton Corp.		23,902		520,108
Machinery: Industrial — 1.5%
Actuant Corp., Class A		36,152		1,324,609
Altra Holdings, Inc.		13,359		457,145
Applied Industrial Technologies, Inc.		20,840		1,023,036
Chart Industries, Inc. (a)		14,989		1,433,548
Columbus McKinnon Corp. (a)		9,658		262,118
DXP Enterprises, Inc. (a)		4,680		539,136
EnPro Industries, Inc. (a)		10,327		595,352
The ExOne Co. (a)(b)		3,297		199,337
Flow International Corp. (a)		23,426		94,641
Graham Corp.		4,986		180,942
Hardinge, Inc.		5,649		81,741
Hyster-Yale Materials Handling, Inc.		5,200		484,432
John Bean Technologies Corp.		14,277		418,744
Kadant, Inc.		5,566		225,534
Manitex International, Inc. (a)		6,673		105,967
Middleby Corp. (a)(b)		9,281		2,227,162
MTS Systems Corp.		7,833		558,101
Omega Flex, Inc.		1,265		25,882
Proto Labs, Inc. (a)		8,430		600,047
Tecumseh Products Co., Class A (a)		8,921		80,735
Tennant Co.		9,091		616,461
Twin Disc, Inc.		4,023		104,156
Woodward, Inc.		33,989		1,550,238
				13,189,064
Machinery: Specialty — 0.1%
Albany International Corp., Class A		13,856		497,846
Hurco Cos., Inc.		3,095		77,406
Xerium Technologies, Inc. (a)		5,263		86,787
				662,039
Manufactured Housing — 0.0%
Cavco Industries, Inc. (a)(b)		3,472		238,526
Medical & Dental Instruments & Supplies — 2.1%
ABIOMED, Inc. (a)		19,183		512,953
Align Technology, Inc. (a)		36,147		2,065,801
Alphatec Holdings, Inc. (a)		30,132		60,565
AngioDynamics, Inc. (a)		12,218		210,027
Anika Therapeutics, Inc. (a)		5,961		227,472
Antares Pharma, Inc. (a)(b)		55,897		250,419
AtriCure, Inc. (a)		10,399		194,253
Atrion Corp.		771		228,409
Biolase, Inc. (a)		17,107		48,413
Cantel Medical Corp.		16,192		549,071
Cardiovascular Systems, Inc. (a)		12,158		416,898
Cerus Corp. (a)		34,636		223,402
CONMED Corp.		13,729		583,483
CryoLife, Inc.		13,340		147,941
Cutera, Inc. (a)		7,137		72,655
Derma Sciences, Inc. (a)		6,615		71,574
Endologix, Inc. (a)		31,078		542,000
Exactech, Inc. (a)		4,529		107,609
HeartWare International, Inc. (a)		8,089		760,042
ICU Medical, Inc. (a)		6,403		407,935
Insulet Corp. (a)		26,432		980,627
Integra LifeSciences Holdings Corp. (a)(b)		11,326		540,363
Invacare Corp.		15,836		367,554
Landauer, Inc.		4,768		250,845
LDR Holding Corp. (a)		2,783		65,679
Medical Action Industries, Inc. (a)		6,966		59,629
Meridian Bioscience, Inc.		20,581		546,014

See Notes to Financial Statements.

75     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

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

Common Stocks	Shares		Value
Medical & Dental Instruments & Supplies (concluded)
Merit Medical Systems, Inc. (a)		21,076	$	331,736
Navidea Biopharmaceuticals, Inc. (a)(b)		58,230		120,536
Neogen Corp. (a)		17,743		810,855
NuVasive, Inc. (a)		21,877		707,283
OraSure Technologies, Inc. (a)		27,840		175,114
Orthofix International NV (a)		9,709		221,559
Owens & Minor, Inc.		31,301		1,144,365
Quidel Corp. (a)		13,881		428,784
Staar Surgical Co. (a)		18,179		294,318
STERIS Corp.		29,111		1,398,784
SurModics, Inc. (a)		6,867		167,486
Tornier NV (a)		12,920		242,767
Unilife Corp. (a)(b)		48,407		212,991
Utah Medical Products, Inc.		1,581		90,370
Vascular Solutions, Inc. (a)		8,191		189,622
Volcano Corp. (a)		27,017		590,321
				17,618,524
Medical Equipment — 1.2%
Abaxis, Inc. (a)		10,949		438,179
Accuray, Inc. (a)		36,779		320,345
Affymetrix, Inc. (a)		35,235		301,964
Analogic Corp.		6,049		535,699
ArthroCare Corp. (a)		13,968		562,072
Cyberonics, Inc. (a)		13,663		895,063
Cynosure, Inc., Class A (a)		9,520		253,994
DexCom, Inc. (a)		34,943		1,237,332
Fluidigm Corp. (a)		12,585		482,257
Greatbatch, Inc. (a)		11,824		523,094
Haemonetics Corp. (a)		25,235		1,063,151
Luminex Corp. (a)		18,504		358,978
Masimo Corp. (a)		24,137		705,524
Merge Healthcare, Inc. (a)		31,669		73,472
Natus Medical, Inc. (a)		15,054		338,715
NxStage Medical, Inc. (a)		29,637		296,370
Oxford Immunotec Global PLC (a)		2,958		57,326
Solta Medical, Inc. (a)		34,592		102,046
Spectranetics Corp. (a)		19,986		499,650
Tandem Diabetes Care, Inc. (a)		4,462		114,986
Thoratec Corp. (a)		28,351		1,037,647
Zeltiq Aesthetics, Inc. (a)		8,853		167,410
				10,365,274
Medical Services — 0.2%
Bio-Reference Laboratories, Inc. (a)(b)		12,116		309,443
PAREXEL International Corp. (a)		28,109		1,269,964
				1,579,407
Metal Fabricating — 0.7%
Ampco-Pittsburgh Corp.		4,092		79,589
Compx International, Inc.		465		6,547
Dynamic Materials Corp.		6,620		143,919
Global Brass & Copper Holdings, Inc.		3,885		64,297
Haynes International, Inc.		6,110		337,516
LB Foster Co., Class A		5,059		239,240
Mueller Industries, Inc.		13,879		874,516
Mueller Water Products, Inc., Series A		78,181		732,556
NN, Inc.		8,546		172,544
Northwest Pipe Co. (a)		4,687		176,981
RBC Bearings, Inc. (a)		11,355		803,366
Rexnord Corp. (a)		15,001		405,177
RTI International Metals, Inc. (a)		15,491		529,947
Worthington Industries, Inc.		26,119		1,099,088
				5,665,283
Metals & Minerals: Diversified — 0.8%
Alpha Natural Resources, Inc. (a)(b)		109,375		780,938
AMCOL International Corp.		13,811		469,298

Common Stocks	Shares		Value
Metals & Minerals: Diversified (concluded)
Commercial Metals Co.		57,780	$	1,174,667
General Moly, Inc. (a)		28,738		38,509
Globe Specialty Metals, Inc.		31,947		575,365
Hecla Mining Co.		165,314		509,167
Materion Corp.		10,176		313,930
Minerals Technologies, Inc.		17,208		1,033,685
Molycorp, Inc. (a)(b)		73,902		415,329
Oil-Dri Corp. of America		2,320		87,789
Paramount Gold and Silver Corp. (a)(b)		66,768		62,214
SunCoke Energy, Inc. (a)		34,612		789,500
United States Lime & Minerals, Inc. (a)		913		55,848
Ur-Energy, Inc. (a)		58,932		81,326
US Silica Holdings, Inc.		10,622		362,316
				6,749,881
Miscellaneous Consumer Staples — 0.1%
Spectrum Brands Holdings, Inc.		10,622		749,382
Office Supplies & Equipment — 0.6%
ACCO Brands Corp. (a)		56,323		378,491
Electronics for Imaging, Inc. (a)		22,962		889,318
Herman Miller, Inc.		28,990		855,785
HNI Corp.		22,497		873,558
Kimball International, Inc., Class B		16,153		242,780
Knoll, Inc.		23,863		436,932
Steelcase, Inc., Class A		41,716		661,616
United Stationers, Inc.		20,050		920,094
				5,258,574
Offshore Drilling & Other Services — 0.1%
Hercules Offshore, Inc. (a)(b)		79,088		516,445
Vantage Drilling Co. (a)(b)		100,262		184,482
				700,927
Oil Well Equipment & Services — 1.1%
Basic Energy Services, Inc. (a)		14,885		234,885
Bolt Technology Corp.		4,124		90,769
Cal Dive International, Inc. (a)(b)		47,051		94,573
Dawson Geophysical Co. (a)		3,893		131,661
Exterran Holdings, Inc. (a)		28,477		973,913
Flotek Industries, Inc. (a)		23,630		474,254
Forum Energy Technologies, Inc. (a)		19,453		549,742
Global Geophysical Services, Inc. (a)		11,304		18,199
Gulf Island Fabrication, Inc.		7,000		162,540
Helix Energy Solutions Group, Inc. (a)		52,399		1,214,609
Hornbeck Offshore Services, Inc. (a)		17,700		871,371
ION Geophysical Corp. (a)		66,452		219,292
Key Energy Services, Inc. (a)		75,439		595,968
Matrix Service Co. (a)		12,935		316,520
Mitcham Industries, Inc. (a)		6,228		110,298
Natural Gas Services Group, Inc. (a)		6,144		169,390
Newpark Resources, Inc. (a)		42,608		523,652
Nuverra Environmental Solutions, Inc. (a)(b)		6,972		117,053
Parker Drilling Co. (a)		58,908		478,922
RigNet, Inc. (a)		5,849		280,343
SEACOR Holdings, Inc. (a)		9,929		905,525
Tesco Corp. (a)		14,952		295,751
TETRA Technologies, Inc. (a)		38,695		478,270
TGC Industries, Inc. (a)		7,698		56,195
Willbros Group, Inc. (a)		19,932		187,759
				9,551,454
Oil, Gas & Consumable Fuels — 0.3%
CARBO Ceramics, Inc.		9,787		1,140,479
Emerald Oil, Inc. (a)		28,172		215,797
EPL Oil & Gas, Inc. (a)		14,818		422,313
Equal Energy Ltd.		17,158		91,624
EXCO Resources, Inc. (a)(b)		65,329		10,453

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 76

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

Common Stocks	Shares		Value
Oil, Gas & Consumable Fuels (concluded)
EXCO Resources, Inc. (b)		84,324	$	447,760
				2,328,426
Oil: Crude Producers — 1.9%
Abraxas Petroleum Corp. (a)		39,854		130,721
Apco Oil and Gas International, Inc. (a)		4,389		68,425
Approach Resources, Inc. (a)		17,308		333,871
Athlon Energy, Inc. (a)		9,009		272,522
Bill Barrett Corp. (a)		24,127		646,121
Bonanza Creek Energy, Inc. (a)		14,561		632,967
BPZ Resources, Inc. (a)		57,134		103,984
Callon Petroleum Co. (a)		19,355		126,388
Carrizo Oil & Gas, Inc. (a)		22,470		1,005,982
Clayton Williams Energy, Inc. (a)		2,922		239,458
Comstock Resources, Inc.		23,976		438,521
Contango Oil & Gas Co. (a)		7,343		347,030
Diamondback Energy, Inc. (a)		9,647		509,940
Endeavour International Corp. (a)		22,946		120,466
Energy XXI Bermuda Ltd.		39,288		1,063,133
Evolution Petroleum Corp.		8,144		100,497
Forest Oil Corp. (a)		59,488		214,752
FX Energy, Inc. (a)		25,819		94,498
Gastar Exploration Ltd. (a)		27,702		191,698
Goodrich Petroleum Corp. (a)		15,555		264,746
Halcon Resources Corp. (a)(b)		114,815		443,186
Isramco, Inc. (a)		441		56,029
Jones Energy, Inc., Class A (a)		5,375		77,830
Kodiak Oil & Gas Corp. (a)		131,241		1,471,212
Magnum Hunter Resources Corp. (a)		85,066		621,832
Midstates Petroleum Co., Inc. (a)(b)		16,182		107,125
Northern Oil and Gas, Inc. (a)		31,570		475,760
Panhandle Oil and Gas, Inc.		3,343		111,690
PDC Energy, Inc. (a)		17,617		937,577
Penn Virginia Corp. (a)		27,423		258,599
PetroQuest Energy, Inc. (a)(b)		27,744		119,854
Quicksilver Resources, Inc. (a)(b)		62,357		191,436
Resolute Energy Corp. (a)(b)		33,609		303,489
Rex Energy Corp. (a)		22,396		441,425
Rosetta Resources, Inc. (a)		30,211		1,451,336
Sanchez Energy Corp. (a)		18,870		462,504
Stone Energy Corp. (a)		24,731		855,445
Swift Energy Co. (a)(b)		21,565		291,127
Synergy Resources Corp. (a)		25,108		232,500
Triangle Petroleum Corp. (a)		33,696		280,351
Vaalco Energy, Inc. (a)		28,910		199,190
W&T Offshore, Inc.		17,319		277,104
Warren Resources, Inc. (a)		35,323		110,914
ZaZa Energy Corp. (a)		17,618		16,836
				16,700,071
Oil: Integrated — 0.2%
Targa Resources Corp.		16,250		1,432,763
Oil: Refining & Marketing — 0.3%
Adams Resources & Energy, Inc.		1,039		71,172
Alon USA Energy, Inc.		11,783		194,891
Arabian American Development Co. (a)		9,774		122,664
Clean Energy Fuels Corp. (a)(b)		34,115		439,401
Delek US Holdings, Inc.		18,456		635,071
Miller Energy Resources, Inc. (a)		14,831		104,410
Renewable Energy Group, Inc. (a)		10,494		120,261
Western Refining, Inc.		26,908		1,141,168
				2,829,038
Paints & Coatings — 0.2%
Chase Corp.		3,104		109,571
Ferro Corp. (a)		35,824		459,622

Common Stocks	Shares		Value
Paints & Coatings (concluded)
HB Fuller Co.		24,846	$	1,292,986
				1,862,179
Paper — 0.5%
Clearwater Paper Corp. (a)		10,401		546,053
KapStone Paper and Packaging Corp. (a)		20,166		1,126,473
Neenah Paper, Inc.		7,907		338,182
PH Glatfelter Co.		21,217		586,438
Resolute Forest Products (a)		34,567		553,763
Schweitzer-Mauduit International, Inc.		15,518		798,711
Wausau Paper Corp.		24,482		310,432
				4,260,052
Personal Care — 0.1%
The Female Health Co.		10,474		89,029
Orchids Paper Products Co.		2,900		95,236
PhotoMedex, Inc. (a)(b)		6,351		82,245
USANA Health Sciences, Inc. (a)		2,984		225,531
WD-40 Co.		7,646		571,003
				1,063,044
Pharmaceuticals — 1.9%
ACADIA Pharmaceuticals, Inc. (a)		34,666		866,303
AcelRx Pharmaceuticals, Inc. (a)(b)		11,334		128,188
Achillion Pharmaceuticals, Inc. (a)		48,523		161,096
Aerie Pharmaceuticals, Inc. (a)		3,739		67,152
Agios Pharmaceuticals, Inc. (a)		3,309		79,251
Akorn, Inc. (a)		28,774		708,704
American Pacific Corp. (a)		2,860		106,564
Ampio Pharmaceuticals, Inc. (a)(b)		15,079		107,513
Anacor Pharmaceuticals, Inc. (a)		12,596		211,361
Aratana Therapeutics, Inc. (a)		3,219		61,483
Auxilium Pharmaceuticals, Inc. (a)		24,476		507,632
AVANIR Pharmaceuticals, Inc. (a)		72,066		242,142
Cadence Pharmaceuticals, Inc. (a)		30,629		277,192
Cambrex Corp. (a)		14,874		265,203
Cempra, Inc. (a)		9,568		118,548
Chimerix, Inc. (a)		4,110		62,102
Conatus Pharmaceuticals, Inc. (a)		2,902		18,718
Corcept Therapeutics, Inc. (a)		25,578		82,361
Depomed, Inc. (a)		28,051		296,780
Enanta Pharmaceuticals, Inc. (a)		1,791		48,858
Endocyte, Inc. (a)		15,279		163,333
Esperion Therapeutics, Inc. (a)		2,241		30,791
Hi-Tech Pharmacal Co., Inc. (a)		5,511		239,122
Impax Laboratories, Inc. (a)		33,900		852,246
Infinity Pharmaceuticals, Inc. (a)		23,796		328,623
Ironwood Pharmaceuticals, Inc. (a)(b)		46,161		535,929
Isis Pharmaceuticals, Inc. (a)(b)		55,517		2,211,797
Lannett Co., Inc. (a)		9,252		306,241
Lifevantage Corp. (a)		49,992		82,487
The Medicines Co. (a)		31,273		1,207,763
MEI Pharma, Inc. (a)		5,876		47,067
Pacira Pharmaceuticals, Inc. (a)		13,631		783,646
Pernix Therapeutics Holdings (a)		8,814		22,211
Portola Pharmaceuticals, Inc. (a)		5,510		141,883
Pozen, Inc. (a)		13,140		105,646
Prestige Brands Holdings, Inc. (a)		25,280		905,024
Questcor Pharmaceuticals, Inc.		25,653		1,396,806
Receptos, Inc. (a)		2,795		81,027
Relypsa, Inc. (a)		2,957		73,925
Sagent Pharmaceuticals, Inc. (a)		9,331		236,821
Santarus, Inc. (a)		26,913		860,139
Sciclone Pharmaceuticals, Inc. (a)		27,173		136,952
SIGA Technologies, Inc. (a)(b)		17,939		58,661
Spectrum Pharmaceuticals, Inc. (a)		31,474		278,545
Supernus Pharmaceuticals, Inc. (a)(b)		7,909		59,634
T.G. Therapeutics, Inc. (a)		7,510		29,289

See Notes to Financial Statements.

77     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

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

Common Stocks	Shares		Value
Pharmaceuticals (concluded)
TherapeuticsMD, Inc. (a)		42,900	$	223,509
Vical, Inc. (a)		37,258		43,964
Vivus, Inc. (a)(b)		49,925		453,319
XenoPort, Inc. (a)		21,075		121,181
Zogenix, Inc. (a)		49,418		169,998
				16,604,730
Plastics — 0.1%
A. Schulman, Inc.		14,570		513,738
Ply Gem Holdings, Inc. (a)		7,999		144,222
				657,960
Power Transmission Equipment — 0.3%
Advanced Energy Industries, Inc. (a)		19,434		444,261
Generac Holdings, Inc.		25,462		1,442,168
Global Power Equipment Group, Inc.		8,472		165,797
Maxwell Technologies, Inc. (a)		14,163		110,047
Powell Industries, Inc.		4,539		304,068
Vicor Corp. (a)		8,532		114,499
				2,580,840
Precious Metals & Minerals — 0.1%
Horsehead Holding Corp. (a)		24,956		404,537
Stillwater Mining Co. (a)		58,442		721,174
				1,125,711
Printing & Copying Services — 0.1%
Casella Waste Systems, Inc. (a)		18,624		108,019
Cenveo, Inc. (a)		26,099		89,781
VistaPrint NV (a)		16,125		916,706
				1,114,506
Producer Durables: Miscellaneous — 0.1%
Blount International, Inc. (a)		24,396		353,010
Park-Ohio Holdings Corp. (a)		4,308		225,739
				578,749
Production Technology Equipment — 1.0%
ATMI, Inc. (a)		15,790		477,016
Axcelis Technologies, Inc. (a)		52,483		128,058
Brooks Automation, Inc.		33,015		346,327
Cognex Corp. (a)		42,960		1,640,213
Cohu, Inc.		12,407		130,273
Electro Scientific Industries, Inc.		12,002		125,541
Entegris, Inc. (a)		68,951		799,832
FEI Co.		20,620		1,842,603
GSI Group, Inc. (a)		15,118		169,926
LTX-Credence Corp. (a)		23,743		189,707
MKS Instruments, Inc.		26,247		785,835
Nanometrics, Inc. (a)		11,471		218,523
Photronics, Inc. (a)		30,109		271,884
Rudolph Technologies, Inc. (a)		16,270		191,010
Tessera Technologies, Inc.		26,198		516,363
Ultra Clean Holdings, Inc. (a)		11,566		116,007
Ultratech, Inc. (a)		13,760		399,040
Veeco Instruments, Inc. (a)		19,386		637,993
				8,986,151
Publishing — 0.4%
AH Belo Corp.		9,103		67,999
Courier Corp.		5,551		100,418
Daily Journal Corp. (a)		428		79,176
Dex Media, Inc. (a)(b)		8,408		57,006
Journal Communications, Inc., Class A (a)		21,967		204,513
Martha Stewart Living Omnimedia, Class A (a)		11,716		49,207
The McClatchy Co., Class A (a)		29,524		100,382
Media General, Inc., Class A (a)(b)		9,740		220,124
Meredith Corp.		17,663		914,943

Common Stocks	Shares		Value
Publishing (concluded)
The New York Times Co., Class A		63,755	$	1,011,792
Scholastic Corp.		13,122		446,279
				3,251,839
Radio & TV Broadcasters — 0.4%
Beasley Broadcasting Group, Inc., Class A		2,018		17,617
Central European Media Enterprises Ltd. (a)		38,685		148,550
Crown Media Holdings, Inc., Class A (a)		17,005		60,028
Cumulus Media, Inc., Class A (a)		42,854		331,261
Entercom Communications Corp., Class A (a)		11,651		122,452
Entravision Communications Corp., Class A		27,631		168,273
Gray Television, Inc. (a)		24,916		370,750
Nexstar Broadcasting Group, Inc., Class A		14,518		809,088
Saga Communications, Inc., Class A		2,354		118,406
Salem Communications Corp., Class A		5,038		43,831
Sinclair Broadcast Group, Inc., Class A		33,849		1,209,425
				3,399,681
Railroad Equipment — 0.1%
American Railcar Industries, Inc.		4,747		217,176
FreightCar America, Inc.		6,081		161,876
Greenbrier Cos., Inc. (a)(b)		12,124		398,152
				777,204
Real Estate — 0.2%
AV Homes, Inc. (a)		4,569		83,019
Consolidated-Tomoka Land Co.		2,836		102,918
Forestar Group, Inc. (a)		17,185		365,525
Griffin Land & Nurseries, Inc.		1,248		41,658
HFF, Inc., Class A (a)		16,396		440,233
Kennedy-Wilson Holdings, Inc.		28,070		624,558
Tejon Ranch Co. (a)		6,845		251,622
				1,909,533
Real Estate Investment Trusts (REITs) — 6.9%
Acadia Realty Trust		27,437		681,261
AG Mortgage Investment Trust, Inc.		14,422		225,560
Agree Realty Corp.		7,570		219,681
Alexander & Baldwin, Inc.		21,312		889,350
Alexander’s, Inc.		1,054		347,820
Altisource Residential Corp.		20,964		631,226
American Assets Trust, Inc.		15,430		484,965
American Capital Mortgage Investment Corp.		26,585		464,174
American Realty Capital Properties, Inc.		76,586		984,896
American Residential Properties, Inc. (a)		6,993		120,000
AmREIT, Inc., Class B		10,095		169,596
Anworth Mortgage Asset Corp.		73,405		309,035
Apollo Commercial Real Estate Finance, Inc.		18,954		308,003
Ares Commercial Real Estate Corp.		10,932		143,209
Armada Hoffler Properties, Inc.		9,299		86,295
ARMOUR Residential REIT, Inc.		186,915		749,529
Ashford Hospitality Prime, Inc.		5,980		108,836
Ashford Hospitality Trust, Inc.		30,835		255,314
Associated Estates Realty Corp.		28,778		461,887
Aviv REIT, Inc.		5,843		138,479
Campus Crest Communities, Inc.		32,391		304,799
Capstead Mortgage Corp.		44,425		536,654
Cedar Realty Trust, Inc.		36,416		227,964
Chambers Street Properties		117,399		898,102
Chatham Lodging Trust		13,205		270,042
Chesapeake Lodging Trust		24,223		612,600
Colony Financial, Inc.		38,240		775,890
Coresite Realty Corp.		10,253		330,044
Cousins Properties, Inc.		83,421		859,236
CubeSmart		66,043		1,052,725
CyrusOne, Inc.		9,307		207,825
CYS Investments, Inc.		87,281		646,752
DCT Industrial Trust, Inc.		144,200		1,028,146

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 78

  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) (continued)
DiamondRock Hospitality Co.		96,846	$	1,118,571
DuPont Fabros Technology, Inc.		30,885		763,168
Dynex Capital, Inc.		27,992		223,936
EastGroup Properties, Inc.		15,046		871,615
Education Realty Trust, Inc.		56,356		497,060
Ellington Residential Mortgage REIT		3,161		48,616
Empire State Realty Trust, Inc., Class A		40,889		625,602
EPR Properties		25,623		1,259,627
Equity One, Inc.		30,009		673,402
Excel Trust, Inc.		24,272		276,458
FelCor Lodging Trust, Inc. (a)		61,577		502,468
First Industrial Realty Trust, Inc.		53,309		930,242
First Potomac Realty Trust		29,034		337,665
Franklin Street Properties Corp.		45,132		539,327
The Geo Group, Inc.		32,441		1,045,249
Getty Realty Corp.		12,943		237,763
Gladstone Commercial Corp.		8,334		149,762
Glimcher Realty Trust		71,420		668,491
Government Properties Income Trust		24,755		615,162
Gramercy Property Trust, Inc. (a)		29,839		171,574
Healthcare Realty Trust, Inc.		47,873		1,020,174
Hersha Hospitality Trust (b)		101,050		562,849
Highwoods Properties, Inc.		44,532		1,610,722
Hudson Pacific Properties, Inc.		21,666		473,835
Inland Real Estate Corp.		42,713		449,341
Invesco Mortgage Capital, Inc.		67,547		991,590
Investors Real Estate Trust		50,543		433,659
iStar Financial, Inc. (a)		42,193		602,094
JAVELIN Mortgage Investment Corp.		7,395		103,012
Kite Realty Group Trust		64,578		424,278
KYTHERA Biopharmaceuticals, Inc. (a)		5,859		218,248
LaSalle Hotel Properties (b)		51,385		1,585,741
Lexington Realty Trust		76,664		782,739
LTC Properties, Inc.		17,348		613,946
Medical Properties Trust, Inc.		80,224		980,337
Monmouth Real Estate Investment Corp., Class A		23,247		211,315
National Health Investors, Inc.		14,532		815,245
New Residential Investment Corp.		125,473		838,160
New York Mortgage Trust, Inc.		32,220		225,218
NorthStar Realty Finance Corp.		143,488		1,929,914
One Liberty Properties, Inc.		6,105		122,894
Parkway Properties, Inc.		27,536		531,164
Pebblebrook Hotel Trust		30,469		937,226
Pennsylvania Real Estate Investment Trust		33,873		642,910
PennyMac Mortgage Investment Trust (c)		28,588		656,381
Physicians Realty Trust		10,315		131,413
Potlatch Corp.		20,120		839,809
PS Business Parks, Inc.		9,600		733,632
QTS Realty Trust, Inc., Class A		7,100		175,938
RAIT Financial Trust		34,578		310,165
Ramco-Gershenson Properties Trust		33,249		523,339
Redwood Trust, Inc.		40,821		790,703
Resource Capital Corp.		63,665		377,533
Retail Opportunity Investments Corp.		35,763		526,431
Rexford Industrial Realty, Inc.		8,276		109,243
RLJ Lodging Trust		61,127		1,486,609
Rouse Properties, Inc.		11,235		249,305
Sabra Health Care REIT, Inc.		18,635		487,119
Saul Centers, Inc.		3,996		190,729
Select Income REIT		11,116		297,242
Silver Bay Realty Trust Corp.		7,780		124,402
Sovran Self Storage, Inc.		15,577		1,015,153
STAG Industrial, Inc.		20,955		427,272
Strategic Hotels & Resorts, Inc. (a)		89,789		848,506
Summit Hotel Properties, Inc.		40,422		363,798
Sun Communities, Inc.		17,887		762,702
Sunstone Hotel Investors, Inc.		90,570		1,213,638

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (concluded)
Terreno Realty Corp.		12,627	$	223,498
UMH Properties, Inc.		8,491		79,985
Universal Health Realty Income Trust		5,453		218,447
Urstadt Biddle Properties, Inc., Class A		11,450		211,253
Walter Investment Management Corp. (a)		18,254		645,461
Washington Real Estate Investment Trust		33,241		776,510
Western Asset Mortgage Capital Corp. (b)		12,616		187,726
Whitestone REIT		11,391		152,298
Winthrop Realty Trust		16,255		179,618
ZAIS Financial Corp.		2,791		44,740
				59,552,862
Recreational Vehicles & Boats — 0.4%
Arctic Cat, Inc.		6,534		372,307
Brunswick Corp.		44,717		2,059,665
Drew Industries, Inc.		11,345		580,864
Marine Products Corp.		5,212		52,381
Winnebago Industries, Inc. (a)		13,890		381,280
				3,446,497
Rental & Leasing Services: Consumer — 0.1%
Rent-A-Center, Inc.		26,394		879,976
Restaurants — 1.6%
AFC Enterprises, Inc. (a)		11,810		454,685
Biglari Holdings, Inc. (a)		716		362,754
BJ’s Restaurants, Inc. (a)(b)		12,234		379,988
Bob Evans Farms, Inc.		13,801		698,193
Bravo Brio Restaurant Group, Inc. (a)		9,812		159,641
Buffalo Wild Wings, Inc. (a)		9,264		1,363,661
Carrols Restaurant Group, Inc. (a)		11,423		75,506
CEC Entertainment, Inc.		8,813		390,240
The Cheesecake Factory, Inc.		26,365		1,272,639
Cracker Barrel Old Country Store, Inc.		9,707		1,068,449
Denny’s Corp. (a)		45,469		326,922
Diamond Resorts International, Inc. (a)		9,092		167,838
DineEquity, Inc.		8,196		684,776
Diversified Restaurant Holdings, Inc. (a)		5,300		25,281
Einstein Noah Restaurant Group, Inc.		3,214		46,603
Ellie Mae, Inc. (a)		13,035		350,250
Fiesta Restaurant Group, Inc. (a)		11,080		578,819
Ignite Restaurant Group, Inc. (a)		3,527		44,087
Jack in the Box, Inc. (a)		21,982		1,099,540
Jamba, Inc. (a)		8,090		100,559
Krispy Kreme Doughnuts, Inc. (a)		32,393		624,861
Luby’s, Inc. (a)		9,547		73,703
Nathan’s Famous, Inc. (a)		1,304		65,735
Noodles & Co. (a)		2,996		107,616
Papa John’s International, Inc.		15,834		718,864
Potbelly Corp. (a)		4,198		101,927
Red Robin Gourmet Burgers, Inc. (a)		7,004		515,074
Ruby Tuesday, Inc. (a)		30,360		210,395
Ruth’s Hospitality Group, Inc.		17,802		252,966
Sonic Corp. (a)(b)		27,793		561,141
Texas Roadhouse, Inc.		30,862		857,964
				13,740,677
Scientific Instruments: Control & Filter — 0.6%
Brady Corp., Class A		22,877		707,586
CIRCOR International, Inc.		8,679		701,090
Energy Recovery, Inc. (a)		21,459		119,312
ESCO Technologies, Inc.		13,109		449,114
The Gorman-Rupp Co.		9,331		311,927
Mine Safety Appliances Co.		14,003		717,094
PMFG, Inc. (a)		10,067		91,106
Sun Hydraulics Corp.		10,653		434,962
Thermon Group Holdings, Inc. (a)		13,411		366,523
Watts Water Technologies, Inc., Class A		14,096		872,119
				4,770,833

See Notes to Financial Statements.

79     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

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

Common Stocks	Shares		Value
Scientific Instruments: Electrical — 0.7%
American Superconductor Corp. (a)		24,270	$	39,803
AZZ, Inc.		12,597		615,489
Coleman Cable, Inc.		4,401		115,394
EnerSys, Inc.		23,761		1,665,409
Franklin Electric Co., Inc.		23,421		1,045,513
GrafTech International Ltd. (a)		57,816		649,274
Houston Wire & Cable Co.		8,656		115,817
Littelfuse, Inc.		10,929		1,015,632
Preformed Line Products Co.		1,248		91,304
Taser International, Inc. (a)		25,341		402,415
				5,756,050
Scientific Instruments: Gauges & Meters — 0.3%
Badger Meter, Inc.		7,123		388,204
FARO Technologies, Inc. (a)		8,468		493,685
Itron, Inc. (a)		19,579		811,158
Measurement Specialties, Inc. (a)		7,631		463,125
Mesa Laboratories, Inc.		1,273		100,032
Vishay Precision Group, Inc. (a)		5,947		88,551
Zygo Corp. (a)		8,036		118,772
				2,463,527
Scientific Instruments: Pollution Control — 0.3%
Ceco Environmental Corp.		8,528		137,898
Darling International, Inc. (a)		78,246		1,633,776
Heritage-Crystal Clean, Inc. (a)		4,246		87,001
Team, Inc. (a)		10,230		433,138
TRC Cos., Inc. (a)		7,864		56,149
US Ecology, Inc.		10,665		396,631
				2,744,593
Securities Brokerage & Services — 0.3%
BGC Partners, Inc., Class A		63,141		382,634
FXCM, Inc.		18,081		322,565
Gain Capital Holdings, Inc.		5,398		40,539
GFI Group, Inc.		33,860		132,393
Gladstone Investment Corp.		12,913		104,079
INTL. FCStone, Inc. (a)		6,732		124,811
Investment Technology Group, Inc. (a)		18,421		378,736
Ladenburg Thalmann Financial Services, Inc. (a)		51,518		161,251
MarketAxess Holdings, Inc.		18,516		1,238,165
SWS Group, Inc. (a)		13,948		84,804
				2,969,977
Semiconductors & Components — 2.2%
Aeroflex Holding Corp. (a)		9,451		61,432
Alpha & Omega Semiconductor Ltd. (a)		8,391		64,695
Amkor Technology, Inc. (a)		34,936		214,158
ANADIGICS, Inc. (a)		39,976		73,556
Applied Micro Circuits Corp. (a)(b)		36,192		484,249
Audience, Inc. (a)		4,700		54,708
Cavium, Inc. (a)		25,413		877,003
Ceva, Inc. (a)		11,073		168,531
Cirrus Logic, Inc. (a)		31,389		641,277
Cypress Semiconductor Corp. (a)		72,882		765,261
Diodes, Inc. (a)		17,776		418,803
DSP Group, Inc. (a)		9,471		91,963
Entropic Communications, Inc. (a)		44,638		210,245
Exar Corp. (a)		18,962		223,562
FormFactor, Inc. (a)(b)		26,985		162,450
GT Advanced Technologies, Inc. (a)		66,385		578,877
Hittite Microwave Corp. (a)		15,587		962,186
Inphi Corp. (a)		13,062		168,500
Integrated Device Technology, Inc. (a)		65,223		664,622
Integrated Silicon Solution, Inc. (a)		14,028		169,599
Intermolecular, Inc. (a)		8,231		40,497
International Rectifier Corp. (a)		34,366		895,922
Intersil Corp., Class A		63,000		722,610

Common Stocks	Shares		Value
Semiconductors & Components (concluded)
IXYS Corp.		11,708	$	151,853
Kopin Corp. (a)		33,170		139,977
Lattice Semiconductor Corp. (a)		57,282		315,624
M/A-COM Technology Solutions Holdings, Inc. (a)		5,099		86,632
MaxLinear, Inc., Class A (a)		11,746		122,511
Micrel, Inc.		23,167		228,658
Microsemi Corp. (a)		45,927		1,145,879
Monolithic Power Systems, Inc. (a)		18,217		631,401
MoSys, Inc. (a)		22,743		125,541
OmniVision Technologies, Inc. (a)		26,737		459,876
Pericom Semiconductor Corp. (a)		11,001		97,469
PLX Technology, Inc. (a)		22,057		145,135
PMC-Sierra, Inc. (a)		101,019		649,552
Power Integrations, Inc.		14,331		799,956
Rambus, Inc. (a)		55,279		523,492
RF Micro Devices, Inc. (a)		139,176		718,148
Rubicon Technology, Inc. (a)(b)		8,597		85,540
Semtech Corp. (a)(b)		33,305		841,950
Sigma Designs, Inc. (a)		14,774		69,733
Silicon Image, Inc. (a)		38,409		236,215
Spansion, Inc., Class A (a)		23,449		325,707
SunEdison, Inc. (a)		131,723		1,718,985
Supertex, Inc. (a)		4,749		118,962
TriQuint Semiconductor, Inc. (a)		80,791		673,797
				19,127,299
Semiconductors & Semiconductor Equipment — 0.0%
Ambarella, Inc. (a)		9,168		311,070
Shipping — 0.5%
Frontline Ltd. (a)		25,184		94,188
GasLog Ltd.		13,143		224,614
Gulfmark Offshore, Inc., Class A		13,226		623,341
International Shipholding Corp.		2,703		79,739
Knightsbridge Tankers Ltd.		15,387		141,407
Matson, Inc.		21,158		552,435
Nordic American Tankers Ltd.		37,492		363,672
Scorpio Tankers, Inc.		91,283		1,076,227
Ship Finance International Ltd.		27,833		455,905
Teekay Tankers Ltd., Class A		30,357		119,303
Ultrapetrol Bahamas Ltd. (a)		10,218		38,215
UTI Worldwide, Inc.		44,875		788,005
				4,557,051
Software — 0.3%
Comverse, Inc. (a)		11,013		427,304
FleetMatics Group PLC (a)		8,602		372,037
Fusion-io, Inc. (a)		40,554		361,336
Gigamon, Inc. (a)		3,775		106,002
Model N, Inc. (a)		3,970		46,806
Qualys, Inc. (a)		7,415		171,361
Rally Software Development Corp. (a)		3,345		65,060
Trulia, Inc. (a)		13,729		484,222
Vringo, Inc. (a)(b)		32,568		96,401
				2,130,529
Specialty Retail — 3.2%
1-800-Flowers.com, Inc., Class A (a)		12,435		67,273
America’s Car-Mart, Inc. (a)(b)		4,013		169,469
ANN, Inc. (a)		23,347		853,566
Asbury Automotive Group, Inc. (a)		15,420		828,671
Aéropostale, Inc. (a)(b)		38,965		354,192
Barnes & Noble, Inc. (a)		20,026		299,389
bebe Stores, Inc.		16,724		88,972
Big 5 Sporting Goods Corp.		8,428		167,043
Blue Nile, Inc. (a)		6,153		289,745
Body Central Corp. (a)		7,986		31,465
Brown Shoe Co., Inc.		21,422		602,815

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 80

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

Common Stocks	Shares		Value
Specialty Retail (concluded)
The Buckle, Inc.		13,830	$	726,905
Burlington Stores, Inc. (a)		7,625		244,000
The Cato Corp., Class A		13,681		435,056
The Children’s Place Retail Stores, Inc. (a)		11,440		651,737
Christopher & Banks Corp. (a)		18,172		155,189
Citi Trends, Inc. (a)		7,764		131,988
Conn’s, Inc. (a)		11,092		873,939
The Container Store Group, Inc. (a)		7,124		332,050
Destination Maternity Corp.		6,748		201,630
Destination XL Group, Inc. (a)		21,126		138,798
Express, Inc. (a)		42,226		788,359
The Finish Line, Inc., Class A		24,391		687,094
Five Below, Inc. (a)		16,261		702,475
Francesca’s Holdings Corp. (a)		21,876		402,737
FTD Cos., Inc. (a)		9,189		299,378
Genesco, Inc. (a)		11,879		867,880
Group 1 Automotive, Inc.		10,762		764,317
Haverty Furniture Cos., Inc.		9,777		306,020
hhgregg, Inc. (a)		6,216		86,837
Hibbett Sports, Inc. (a)(b)		12,849		863,581
Jos A. Bank Clothiers, Inc. (a)		13,840		757,463
Lithia Motors, Inc., Class A		10,982		762,370
Lumber Liquidators Holdings, Inc. (a)		13,577		1,396,938
MarineMax, Inc. (a)		11,640		187,171
Mattress Firm Holding Corp. (a)		6,665		286,862
The Men’s Wearhouse, Inc.		23,054		1,177,598
Monro Muffler Brake, Inc.		15,479		872,396
New York & Co., Inc. (a)		13,936		60,900
Office Depot, Inc. (a)		237,459		1,256,158
Pacific Sunwear of California, Inc. (a)		22,503		75,160
Penske Automotive Group, Inc.		20,879		984,654
The Pep Boys-Manny Moe & Jack (a)		26,321		319,537
Pier 1 Imports, Inc.		46,887		1,082,152
RadioShack Corp. (a)(b)		48,417		125,884
Regis Corp.		23,649		343,147
Restoration Hardware Holdings, Inc. (a)		8,727		587,327
RetailMeNot, Inc. (a)		4,747		136,666
Shoe Carnival, Inc.		7,489		217,256
Shutterfly, Inc. (a)		18,778		956,364
Sonic Automotive, Inc., Class A		19,297		472,391
Stage Stores, Inc.		16,257		361,231
Stamps.com, Inc. (a)		6,468		272,303
Stein Mart, Inc.		13,834		186,067
Systemax, Inc. (a)		5,221		58,736
Tilly’s, Inc., Class A (a)		4,755		54,445
Vitamin Shoppe, Inc. (a)		15,025		781,450
The Wet Seal, Inc., Class A (a)		43,082		117,614
Zale Corp. (a)		16,100		253,897
Zumiez, Inc. (a)		10,470		272,220
				27,828,927
Steel — 0.2%
AK Steel Holding Corp. (a)		67,594		554,271
Carbonite, Inc. (a)		5,837		69,052
Handy & Harman Ltd. (a)		2,641		63,938
Olympic Steel, Inc.		4,364		126,469
Schnitzer Steel Industries, Inc., Class A		12,802		418,241
Shiloh Industries, Inc. (a)		2,966		57,837
Universal Stainless & Alloy Products, Inc. (a)		3,347		120,693
				1,410,501
Synthetic Fibers & Chemicals — 0.0%
Zoltek Cos., Inc. (a)		13,627		228,252
Technology: Miscellaneous — 0.3%
Acorn Energy, Inc.		10,767		43,822
Benchmark Electronics, Inc. (a)		26,897		620,783
CTS Corp.		16,598		330,466
Fabrinet (a)		14,035		288,560

Common Stocks	Shares		Value
Technology: Miscellaneous (concluded)
Hutchinson Technology, Inc. (a)		11,080	$	35,456
Pendrell Corp. (a)		78,535		157,855
Plexus Corp. (a)		16,870		730,302
Vocus, Inc. (a)		9,166		104,401
				2,311,645
Telecommunications Equipment — 0.3%
Applied Optoelectronics, Inc. (a)		2,009		30,155
ARRIS Group, Inc. (a)		57,602		1,403,473
CalAmp Corp. (a)(b)		17,341		485,028
Inteliquent, Inc.		16,217		185,198
Tessco Technologies, Inc.		2,655		107,050
Ubiquiti Networks, Inc. (a)		6,236		286,606
Vocera Communications, Inc. (a)		10,566		164,935
				2,662,445
Textile Products — 0.1%
Culp, Inc.		3,901		79,776
Interface, Inc.		29,365		644,855
Unifi, Inc. (a)		7,420		202,121
				926,752
Textiles Apparel & Shoes — 1.3%
American Apparel, Inc. (a)(b)		28,431		34,970
Columbia Sportswear Co.		6,387		502,976
Crocs, Inc. (a)		43,584		693,857
Fifth & Pacific Cos., Inc. (a)		59,301		1,901,783
G-III Apparel Group Ltd. (a)		8,307		612,974
Iconix Brand Group, Inc. (a)		25,477		1,011,437
The Jones Group, Inc.		39,722		594,241
Oxford Industries, Inc.		6,668		537,908
Perry Ellis International, Inc. (a)		5,983		94,472
Quiksilver, Inc. (a)(b)		65,575		575,093
RG Barry Corp.		4,759		91,849
Skechers U.S.A., Inc., Class A (a)		19,128		633,711
Steven Madden Ltd. (a)		29,727		1,087,711
Tumi Holdings, Inc. (a)		23,737		535,269
Vera Bradley, Inc. (a)		10,763		258,742
Vince Holding Corp. (a)		5,754		176,475
Weyco Group, Inc.		3,116		91,704
Wolverine World Wide, Inc.		49,592		1,684,144
				11,119,316
Tobacco — 0.2%
Alliance One International, Inc. (a)		42,204		128,722
Star Scientific, Inc. (a)(b)		81,103		94,080
Universal Corp.		11,535		629,811
Vector Group Ltd.		31,509		515,802
				1,368,415
Toys — 0.0%
JAKKS Pacific, Inc.		9,464		63,693
LeapFrog Enterprises, Inc. (a)		31,647		251,277
				314,970
Transportation Miscellaneous — 0.3%
Echo Global Logistics, Inc. (a)		8,868		190,485
Hub Group, Inc., Class A (a)(b)		18,293		729,525
Odyssey Marine Exploration, Inc. (a)		40,678		82,170
Pacer International, Inc. (a)		17,067		140,973
Textainer Group Holdings Ltd.		10,598		426,251
Wesco Aircraft Holdings, Inc. (a)(b)		20,349		446,050
XPO Logistics, Inc. (a)(b)		14,549		382,493
				2,397,947
Truckers — 0.6%
Arkansas Best Corp.		12,725		428,578
Celadon Group, Inc.		10,000		194,800
Forward Air Corp.		14,927		655,445
Heartland Express, Inc.		22,767		446,689

See Notes to Financial Statements.

81     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

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

Common Stocks	Shares		Value
Truckers (concluded)
Knight Transportation, Inc.		29,058	$	532,924
Marten Transport Ltd.		11,607		234,345
Patriot Transportation Holding, Inc. (a)		3,142		130,424
Quality Distribution, Inc. (a)		10,191		130,751
Roadrunner Transportation Systems, Inc. (a)		9,235		248,883
Saia, Inc. (a)		11,992		384,344
Swift Transportation Co. (a)		41,445		920,493
Universal Truckload Services, Inc.		2,644		80,668
Werner Enterprises, Inc.		22,588		558,601
YRC Worldwide, Inc. (a)		5,301		92,078
				5,039,023
Utilities: Electrical — 1.7%
ALLETE, Inc.		19,735		984,382
Atlantic Power Corp.		60,180		209,426
Avista Corp.		29,696		837,130
Black Hills Corp.		21,958		1,153,015
Cleco Corp.		29,829		1,390,628
El Paso Electric Co.		19,888		698,268
Empire District Electric Co.		21,142		479,712
Genie Energy Ltd. (a)		6,278		64,098
IDACORP, Inc.		24,792		1,285,217
MGE Energy, Inc.		11,419		661,160
NorthWestern Corp.		18,730		811,384
NRG Yield, Inc., Class A		11,153		446,231
Otter Tail Corp.		17,995		526,714
Pattern Energy Group, Inc.		9,150		277,336
Pike Electric Corp. (a)		12,902		136,374
PNM Resources, Inc.		39,440		951,293
Portland General Electric Co.		37,391		1,129,208
UIL Holdings Corp.		27,960		1,083,450
Unitil Corp.		6,938		211,540
UNS Energy Corp.		20,509		1,227,464
				14,564,030
Utilities: Gas Distributors — 0.8%
Chesapeake Utilities Corp.		4,770		286,295
Delta Natural Gas Co., Inc.		3,287		73,563
The Laclede Group, Inc.		16,184		737,019
New Jersey Resources Corp.		20,666		955,596
Northwest Natural Gas Co.		13,320		570,362
Piedmont Natural Gas Co., Inc.		37,318		1,237,465
South Jersey Industries, Inc.		15,810		884,728
Southwest Gas Corp.		22,857		1,277,935
WGL Holdings, Inc.		25,598		1,025,456
				7,048,419
Utilities: Miscellaneous — 0.0%
Ormat Technologies, Inc.		8,771		238,659
Utilities: Telecommunications — 0.9%
8x8, Inc. (a)		43,316		440,091
Atlantic Tele-Network, Inc.		4,548		257,280
Boingo Wireless, Inc. (a)		8,983		57,581
Cbeyond, Inc. (a)		12,902		89,024
Cincinnati Bell, Inc. (a)		103,109		367,068
Cogent Communications Group, Inc.		23,354		943,735
Consolidated Communications Holdings, Inc.		19,907		390,775
Fairpoint Communications, Inc. (a)		9,987		112,953
General Communication, Inc., Class A (a)		15,661		174,620
Hawaiian Telcom Holdco, Inc. (a)(b)		5,146		151,138
HickoryTech Corp.		6,583		84,460
IDT Corp., Class B		7,746		138,421
inContact, Inc. (a)		26,457		206,629
Iridium Communications, Inc. (a)(b)		31,970		200,132
j2 Global, Inc.		22,718		1,136,127
Leap Wireless International, Inc. (a)		26,734		465,172
Lumos Networks Corp.		7,715		162,015
magicJack VocalTec Ltd. (a)(b)		9,001		107,292

Common Stocks	Shares		Value
Utilities: Telecommunications (concluded)
NII Holdings, Inc. (a)(b)		85,752	$	235,818
NTELOS Holdings Corp.		7,747		156,722
ORBCOMM, Inc. (a)		17,457		110,678
Premiere Global Services, Inc. (a)		23,854		276,468
Shenandoah Telecommunications Co.		11,890		305,216
Straight Path Communications, Inc., Class B (a)		3,754		30,745
Towerstream Corp. (a)		32,095		95,001
USA Mobility, Inc.		10,543		150,554
Vonage Holdings Corp. (a)		76,937		256,200
West Corp.		10,631		273,323
				7,375,238
Utilities: Water — 0.2%
American States Water Co.		19,093		548,542
Artesian Resources Corp., Class A		3,618		83,033
California Water Service Group		23,643		545,444
Connecticut Water Service, Inc.		5,419		192,429
Consolidated Water Co. Ltd.		7,173		101,139
Middlesex Water Co.		7,938		166,222
Pure Cycle Corp. (a)		8,135		51,494
SJW Corp.		7,704		229,502
York Water Co.		6,201		129,787
				2,047,592
Total Common Stocks — 95.6%				821,638,020
Investment Companies
BlackRock Kelso Capital Corp. (c)		37,065		345,817
Firsthand Technology Value Fund, Inc. (a)		4,400		101,948
Gladstone Capital Corp.		10,292		98,803
Hercules Technology Growth Capital, Inc.		30,536		500,791
PennantPark Investment Corp.		33,124		384,238
Prospect Capital Corp.		138,323		1,551,984
Total Investment Companies — 0.4%				2,983,581
Other Interests (e) — 0.0%	Beneficial Interest (000)
Gerber Scientific, Inc.	$	12,866		—
Warrants (f) — 0.0%	Shares
Oil: Crude Producers — 0.0%
Magnum Hunter Resources Corp., (Issued 9/12/13, 1 Share for 1 Warrant, Expires 4/15/16, Strike Price $8.50)		7,791		—
Total Long-Term Investments (Cost — $530,741,513) — 96.0%				824,621,601
Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.05% (c)(g)		48,629,247		48,629,247
	Beneficial Interest (000)
BlackRock Liquidity Series, LLC, Money Market Series, 0.19% (c)(g)(h)	$	45,115		45,115,062
Total Short-Term Securities (Cost — $93,744,309) — 10.9%				93,744,309
Total Investments (Cost — $624,485,822*) — 106.9%				918,365,910
Liabilities in Excess of Other Assets — (6.9)%				(58,967,630	)
Net Assets — 100.0%			$	859,398,280

See Notes to Financial Statements.

��
QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2013	82

  Schedule of Investments (continued)   Master Small Cap Index Series

Notes to Schedule of investments

* As of December 31, 2013, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	642,535,415
Gross unrealized appreciation	$	310,595,629
Gross unrealized depreciation		(34,765,134	)
Net unrealized appreciation	$	275,830,495

(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 year ended December 31, 2013, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/Beneficial Interest Held at December 31, 2012		Shares/ Beneficial Interest Purchased			Shares/Beneficial Interest Sold			Shares/Beneficial Interest Held at December 31, 2013		Value at December 31,2013		Income		Realized Gain (Loss)
BlackRock Kelso Capital Corp		24,999		14,246			(2,180	)		37,065	$	345,817	$	33,643	$	(1,280	)
BlackRock Liquidity Funds, TempFund, Institutional Class		20,512,415		28,116,832	1		—			48,629,247	$	48,629,247	$	15,390		—
BlackRock Liquidity Series, LLC, Money Market Series	$	36,877,998	$	8,237,064	1		—		$	45,115,062	$	45,115,062	$	1,093,478		—
PennyMac Financial Services, Inc		—		5,912	1		—			5,912	$	103,755		—		—
PennyMac Mortgage Investment Trust		27,689		899	1		—			28,588	$	656,381	$	65,181		—

¹  Represents net shares/beneficial interest purchased.

(d) All or a portion of security has been pledged in connection with outstanding 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 outstanding as of December 31, 2013 were as follows:

Contracts Purchased	Issue	Exchange	Expiration		Notional Value		Unrealized Appreciation
291	Russell 2000 Mini Index	ICE Futures US Indicies		March 2014	$	33,796,740	$	1,511,477

• 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 December 31, 2013:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments1
Common Stocks	$	821,612,551	$	25,469		—	$	821,638,020
Investment Companies		2,983,581		—		—		2,983,581
Short-Term Securities		48,629,247		45,115,062		—		93,744,309
Total	$	873,225,379	$	45,140,531		—	$	918,365,910

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

See Notes to Financial Statements.

83     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

  Schedule of Investments (concluded)   Master Small Cap Index Series

	Level 1		Level 2		Level 3		Total
Derivative Financial Instruments1
Assets:
Equity contracts	$	1,511,477		—		—	$	1,511,477

¹  Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

The carrying amount for certain of the Series’ assets and/or liabilities approximates fair value for financial statement purposes. As of December 31, 2013, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	131,990		—			—	$	131,990
Cash pledged for financial futures contracts		898,000		—			—		898,000
Liabilities:
Collateral on securities loaned at value		—	$	(45,115,062	)		—		(45,115,062	)
Total	$	1,029,990	$	(45,115,062	)		—	$	(44,085,072	)

There were no transfers between levels during the year ended December 31, 2013.

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 84

Statements of Assets and Liabilities

December 31, 2013	Master International Index Series		Master Small Cap Index Series
Assets
Investments at value – unaffiliated1,2	$	986,548,467	$	823,515,648
Investments at value – affiliated3		1,116,398		94,850,262
Cash		—		131,990
Cash pledged for financial futures contracts		1,604,000		898,000
Foreign currency at value4		19,997,903		—
Dividends receivable – unaffiliated		3,244,451		956,305
Contributions receivable from investors		1,330,370		—
Investments sold receivable		1,133,292		—
Securities lending income receivable – affiliated		5,748		108,962
Variation margin receivable on financial futures contracts		—		142,620
Dividends receivable – affiliated		—		9,380
Unrealized appreciation on foreign currency exchange contracts		175		—
Other income receivable – affiliated		18,899		155,381
Other assets		14,412		—
Prepaid expenses		8,140		5,755
Total assets		1,015,022,255		920,774,303
Liabilities
Collateral on securities loaned at value		528,856		45,115,062
Investments purchased payable		485,619		14,938,787
Bank overdraft		1,018,673		—
Investment advisory fees payable		8,128		4,977
Directors’ fees payable		7,866		5,064
Variation margin payable on financial futures contracts		4,652		—
Other affiliates payable		2,162		1,766
Withdrawals payable to investors		—		1,175,211
Other payable		—		6,586
Other accrued expenses payable		152,290		128,570
Total liabilities		2,208,246		61,376,023
Net Assets	$	1,012,814,009	$	859,398,280
Net Assets Consist of
Investors’ capital	$	709,673,655	$	564,006,707
Net unrealized appreciation/depreciation		303,140,354		295,391,573
Net Assets	$	1,012,814,009	$	859,398,280
1 Investments at cost – unaffiliated	$	684,439,924	$	529,714,500
2 Securities loaned at value	$	503,223	$	43,907,066
3 Investments at cost – affiliated	$	1,116,398	$	94,771,322
4 Foreign currency at cost	$	19,997,162		—

See Notes to Financial Statements.

85     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

Statements of Operations

Year Ended December 31, 2013	Master International Index Series			Master Small Cap Index Series
Investment Income
Dividends – unaffiliated	$	28,689,334		$	9,350,038
Foreign taxes withheld		(2,404,483	)		(10,841	)
Securities lending – affiliated – net		11,250			1,093,478
Other income – affiliated		315,399			155,381
Dividends – affiliated		2,127			114,214
Total income		26,613,627			10,702,270
Expenses
Investment advisory		87,757			70,287
Accounting services		134,254			131,710
Custodian		151,118			113,135
Professional		71,314			68,008
Directors		30,215			24,718
Printing		21,308			23,974
Miscellaneous		87,063			38,472
Total expenses		583,029			470,304
Less fees waived and/or reimbursed by Manager		(1,880	)		(30,330	)
Total expenses after fees waived and/or reimbursed		581,149			439,974
Net investment income		26,032,478			10,262,296
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments – unaffiliated		(10,140,808	)		30,264,603
Investments – affiliated		—			1,280
Financial futures contracts		2,104,626			7,529,321
Foreign currency transactions		(826,614	)		(132	)
		(8,862,796	)		37,795,072
Net change in unrealized appreciation/depreciation on:
Investments		154,717,985			180,052,993
Financial futures contracts		639,613			1,093,430
Foreign currency translations		84,313			14
		155,441,911			181,146,437
Total realized and unrealized gain		146,579,115			218,941,509
Net Increase in Net Assets Resulting from Operations	$	172,611,593		$	229,203,805

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC ��   DECEMBER 31, 2013 86

Statements of Changes in Net Assets

	Master International Index Series						Master Small Cap Index Series
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2013			2012			2013			2012
Operations
Net investment income	$	26,032,478		$	22,971,640		$	10,262,296		$	10,865,791
Net realized gain (loss)		(8,862,796	)		(61,304,658	)		37,795,072			7,464,862
Net change in unrealized appreciation/depreciation		155,441,911			182,573,315			181,146,437			65,437,618
Net increase in net assets resulting from operations		172,611,593			144,240,297			229,203,805			83,768,271
Capital Transactions
Proceeds from contributions		274,848,943			279,030,661			223,976,607			389,096,894
Value of withdrawals		(192,790,156	)		(520,908,247	)		(175,553,424	)		(420,147,450	)
Net increase (decrease) in net assets derived from capital transactions		82,058,787			(241,877,586	)		48,423,183			(31,050,556	)
Net Assets
Total increase (decrease) in net assets		254,670,380			(97,637,289	)		277,626,988			52,717,715
Beginning of year		758,143,629			855,780,918			581,771,292			529,053,577
End of year	$	1,012,814,009		$	758,143,629		$	859,398,280		$	581,771,292

See Notes to Financial Statements.

87     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

  Financial Highlights   Master International Index Series

	Year Ended December 31,
	2013			2012			2011			2010			2009
Total Investment Return
Total investment return		21.94	%		19.01	%		(12.34	)%		7.66	%		28.99	%
Ratios to Average Net Assets
Total expenses		0.07	%		0.06	%		0.08	%		0.11	%		0.09	%
Total expenses after fees waived and paid indirectly		0.07	%		0.06	%		0.08	%		0.10	%		0.09	%
Net investment income		2.97	%		3.36	%		3.38	%		2.73	%		2.98	%
Supplemental Data
Net assets, end of year (000)	$	1,012,814		$	758,144		$	855,781		$	922,700		$	749,280
Portfolio turnover		8	%		21	%		6	%		8	%		30	%

Master Small Cap Index Series

	Year Ended December 31,
	2013			2012			2011			2010			2009
Total Investment Return
Total investment return		39.11	%		16.52	%		(4.30	)%		27.19	%		27.37	%
Ratios to Average Net Assets
Total expenses		0.07	%		0.14	%		0.09	%		0.12	%		0.09	%
Total expenses after fees waived and/or reimbursed		0.06	%		0.08	%		0.07	%		0.08	%		0.07	%
Net investment income		1.46	%		2.13	%		1.46	%		1.27	%		1.27	%
Supplemental Data
Net assets, end of year (000)	$	859,398		$	581,771		$	529,054		$	338,172		$	229,637
Portfolio turnover		22	%		68	%		31	%		42	%		43	%

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 88

  Notes to Financial Statements   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 a series of Quantitative Master Series LLC (the “Master LLC”), which is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”), and is organized as a Delaware limited liability company. Each Series is classified as diversified. 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 BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Series for all financial instruments.

Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. 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.

The Series values its investments in BlackRock Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments will follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act. The Series may withdraw up to 25% of its investment daily, although the manager of the Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

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 Global Valuation Committee or its delegate, deem relevant consistent with the principles of fair value measurement which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. 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 is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Series’ pricing vendors, a regular review of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Series’ net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to affect the value of such instruments materially, those instruments may be Fair Value Assets and valued at their fair value, as determined in good faith by the Global Valuation Committee, or its delegate, using a pricing service and/or policies

89     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

  Notes to Financial Statements (continued)   Quantitative Master Series LLC

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 may be treated as ordinary income for federal income tax purposes.

Segregation and Collateralization: In cases where a Series enters into certain investments (e.g., financial futures contracts and foreign currency exchange contracts) that would be “senior securities” for 1940 Act purposes, the Series may segregate or designate on its books and records cash or liquid securities having a market value at least equal to the amount of the Series’ future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior security”. Furthermore, if required by an exchange or counterparty agreement, the Series may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Series is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.

Income Taxes: The Series 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, 2013. The statutes of limitations on the Series’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Series’ facts and circumstances and 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: The Series may lend securities to approved borrowers, such as banks, brokers and other financial institutions. The borrower pledges cash, securities issued or guaranteed by the US government or irrevocable letters of credit issued by a bank as collateral. The initial collateral received by the Series 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 the Series and any additional required collateral is delivered to the Series 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, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the securities lending agent. During the term of the loan, the Series earns dividend or interest income on the securities loaned but does not receive interest income on the securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The 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 Schedules of Investments.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 90

  Notes to Financial Statements (continued)   Quantitative Master Series LLC

Securities lending transactions are entered into by the 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, the Series, 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, the borrower can resell or re-pledge the loaned securities, and the Series can reinvest cash collateral, or, upon an event of default, resell or re-pledge the collateral.

The following tables are a summary of the Series’ securities lending agreements by counterparty which are subject to offset under a MSLA as of December 31, 2013:

Master International Index

Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
Deutsche Bank Securities, Inc.	$	377,580	$	(377,580	)		—
Morgan Stanley		125,643		(125,643	)		—
Total	$	503,223	$	(503,223	)		—

¹  Collateral with a value of $528,856 has been received in connection with securities lending agreements. Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

Master Small Cap Index

Counterparty	Securities Loaned at Value		Cash Collateral Received2			Net Amount
Barclays Capital, Inc.	$	925,328	$	(925,328	)		—
BNP Paribas S.A		112,110		(112,110	)		—
Citigroup Global Markets, Inc.		230,064		(230,064	)		—
Credit Suisse Securities (USA) LLC		2,484,874		(2,484,874	)		—
Deutsche Bank Securities, Inc.		2,405,655		(2,405,655	)		—
Goldman Sachs & Co.		8,068,035		(8,068,035	)		—
JP Morgan Securities LLC		3,817,787		(3,817,787	)		—
Merrill Lynch, Pierce, Fenner & Smith Inc.		5,094,247		(5,094,247	)		—
Morgan Stanley		19,616,198		(19,616,198	)		—
Nomura Securites International, Inc.		54,918		(54,918	)		—
UBS Securities LLC		1,097,850		(1,097,850	)		—
Total	$	43,907,066	$	(43,907,066	)		—

²  Collateral with a value of $45,115,062 has been received in connection with securities lending agreements. Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

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 Series benefit from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities lent. The Series also could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. During the year ended December 31, 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 Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. Pursuant to the contract, the Series agree 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. Variation margin is recorded by the Series as unrealized appreciation or depreciation, and if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

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

91     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

  Notes to Financial Statements (continued)   Quantitative Master Series LLC

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

Fair Values of Derivative Financial Instruments as of December 31, 2013
	Derivative Assets
	Statements of Assets and Liabilities Location	Value
		Master International Index		Master Small Cap Index
Equity contracts	Net unrealized appreciation/ depreciation1	$	758,715	$	1,511,477
Foreign currency exchange contracts	Unrealized appreciation on foreign currency exchange contracts		175		—
Total		$	758,890	$	1,511,477

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 Year Ended December 31, 2013
	Net Realized Gain (Loss) From
	Master International Index			Master Small Cap Index
Equity contracts:
Financial futures contracts	$	2,104,626		$	7,529,321
Foreign currency exchange contracts:
Foreign currency transactions		(143,049	)		(2	)
Total	$	1,961,577		$	7,529,319

	Net Change in Unrealized Appreciation/Depreciation on
	Master International Index			Master Small Cap Index
Equity contracts:
Financial futures contracts	$	639,613		$	1,093,430
Foreign currency exchange contracts:
Foreign currency translations		(610	)		—
Total	$	639,003		$	1,093,430

For the year ended December 31, 2013, the average quarterly balances of outstanding derivative financial instruments were as follows:

	Master International Index		Master Small Cap Index
Financial futures contracts:
Average number of contracts purchased		285		202
Average notional value of contracts purchased	$	18,173,784	$	21,314,603
Foreign currency exchange contracts:
Average number of contracts – US dollars purchased		1		—
Average number of contracts – US dollars sold		1		—
Average US dollar amounts purchased	$	105,175		—
Average US dollar amounts sold	$	525,000		—

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.

The Series’ risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Series. For OTC options purchased, the Series bear the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Series should the counterparty fail to perform under the contracts. Options written by the Series do not typically give rise to counterparty credit risk, as options written generally obligate the Series, and not the counterparty, to perform.

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, credit risk is limited to failure of the clearinghouse. Credit risk still 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 certain OTC derivatives 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 payment in the event of default including the bankruptcy or insolvency of the counterparty. However, that 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 the Series’ net assets decline by a stated percentage or the Series fails to meet the terms of their ISDA Master Agreements, which would cause the Series to accelerate payment of any net liability owed to the counterparty.

Collateral Requirements: 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

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 92

  Notes to Financial Statements (continued)   Quantitative Master Series LLC

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. Typically, the Series and counter-parties are permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Series from its counterparties are not

fully collateralized, contractually or otherwise, the Series bear the risk of loss from counterparty non-performance. The Series attempts to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

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 December 31, 2013, the Series’ derivative assets and liabilities (by type) are as follows:

	Master International Index					Master Small Cap Index
	Assets		Liabilities			Assets			Liabilities
Derivative Financial Instruments:
Financial futures contracts		—	$	4,652		$	142,620			—
Foreign currency exchange contracts	$	175		—			—			—
Total derivative assets and liabilities in the Statements of Assets and Liabilities		175		4,652			142,620			—
Derivatives not subject to a master netting agreement or similar agreement (“MNA”)		—		(4,652	)		(142,620	)		—
Total assets and liabilities subject to a MNA	$	175		—			—			—

The following table presents the Series’ derivative assets by counterparty net of amounts available for offset under a MNA and net of the related collateral received by the Series as of December 31, 2013:

Master International Index

Counterparty	Derivative Assets Subject to a MNA by Counterparty		Derivatives Available for Offset		Non-Cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets1
Deutsche Bank Securities, Inc	$	175		—		—		—	$	175

¹  Net amount represents the net amount receivable from the counterparty in the event of default.

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. 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 in order to limit 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. 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.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Series’ investment in other affiliated investment companies, if any. These amounts are included in fees waived by Manager in the Statements of Operations. For the year ended December 31, 2013, the amounts waived for Master International Index and Master Small Cap Index, were $1,880 and $30,330, respectively.

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

For the year ended December 31, 2013, Master International Index and Master Small Cap Index, reimbursed the Manager, $6,119 and $5,021, respectively, for certain accounting services, which are included in accounting services in the Statements of Operations.

The Master LLC, on behalf of the Series, received an exemptive order from the SEC permitting it, among other things, to pay an affiliated securities lending agent a fee based on a share of the income derived from the securities lending activities and has retained BIM as the securities lending agent. BIM may, on behalf of the Series, invest cash collateral received by

93     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

  Notes to Financial Statements (continued)   Quantitative Master Series LLC

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 retains 65% of securities lending income and pays 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 year ended December 31, 2013, BIM received $6,062 and $588,039 in securities lending agent fees related to securities lending activities for Master International Index and Master Small Cap Index, respectively.

Master International Index and Master Small Cap Index recorded a payment from an affiliate to compensate for foregone securities lending revenue, which is shown as Other income - affiliated in the Statements of Operations.

Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.

The Series may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is solely due to having a common investment adviser, common officers, or common directors. For the year ended December 31, 2013, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

	Purchases		Sales
Master International Index		—		—
Master Small Cap Index	$	20,873,303	$	40,607,415

6. Purchases and Sales:

Purchases and sales of investments, excluding short-term securities, for the year ended December 31, 2013 were as follows:

	Purchases		Sales
Master International Index	$	179,349,421	$	71,433,871
Master Small Cap Index	$	209,028,210	$	152,670,827

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 Partic- ipating Funds. The Series did not borrow under the credit agreement during the year ended December 31, 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 fluctua- tions. 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 it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from 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 United States. 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. These events may spread to other countries in Europe and may affect the value and liquidity of certain of Master International Index’s investments.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 94

  Notes to Financial Statements (concluded)   Quantitative Master Series LLC

As of December 31, 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 Master Small Cap Index and could affect the value, income and/or liquidity of positions in such securities.

As of December 31, 2013, the Series had the following industry classifications:

Master International Index

Industry	Percent of Long-Term Investments
Commercial Banks		13	%
Pharmaceuticals		8	%
Oil, Gas & Consumable Fuels		6	%
Insurance		5	%
Other1		68	%

Master Small Cap Index

Industry	Percent of Long-Term Investments
Real Estate Investment Trusts		7	%
Banks: Diversified		7	%
Computer Services Software & Systems		6	%
Other1		80	%

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.

95     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

  Report of Independent Registered Public Accounting Firm   Quantitative Master Series LLC

To the Investors of Master International Index Series and Master Small Cap Index Series and Board of Directors of Quantitative Master Series LLC:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Master International Index Series and Master Small Cap Index Series, each one of the series constituting Quantitative Master Series LLC, (the “Series”) as of December 31, 2013, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Series’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Series is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of

the Series’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master International Index Series and Master Small Cap Index Series, of Quantitative Master Series LLC, as of December 31, 2013, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Boston, Massachusetts

February 18, 2014

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 96

  Officers and Directors   Quantitative Master Series LLC

Name, Address and Year of Birth	Position(s) Held with Master LLC	Length of Time Served as aDirector2	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Directors1
Ronald W. Forbes 55 East 52nd Street New York, NY 10055 1940	Co-Chairman of the Board and Director	Since 2007	Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000.	33 RICs consisting of 107 Portfolios	None
Rodney D. Johnson 55 East 52nd Street New York, NY 10055 1941	Co-Chairman of the Board and Director	Since 2007	President, Fairmount Capital Advisors, Inc. from 1987 to 2013; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia from 2004 to 2012; Director, The Committee of Seventy (civic) from 2006 to 2012; Director, Fox Chase Cancer Center from 2004 to 2011.	33 RICs consisting of 107 Portfolios	None
David O. Beim 55 East 52nd Street New York, NY 10055 1940	Director	Since 2007	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy from 2002 to 2012; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	33 RICs consisting of 107 Portfolios	None
Dr. Matina S. Horner 55 East 52nd Street New York, NY 10055 1939	Director	Since 2007	Executive Vice President, Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 107 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 55 East 52nd Street New York, NY 10055 1939	Director	Since 2007	Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President Emeritus, Hudson Institute (policy research organization) from 2011 to 2012, President thereof from 1997 to 2011 and Trustee from 1980 to 2012; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (global internet services) since 2005; Director, Cerego, LLC (educational software) since 2005; Director, Cybersettle (online adjudication) since 2009; Director, AIMS Worldwide, Inc. (marketing) from 2007 to 2012.	33 RICs consisting of 107 Portfolios	None
Ian A. MacKinnon 55 East 52nd Street New York, NY 10055 1948	Director	Since 2012	Director, Kennett Capital, Inc. (investments) since 2006; Director, Free Library of Philadelphia from 1998 to 2008.	33 RICs consisting of 107 Portfolios	None
Cynthia A. Montgomery 55 East 52nd Street New York, NY 10055 1952	Director	Since 2007	Professor, Harvard Business School since 1989; Director, McLean Hospital from 2005 to 2012; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 107 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 55 East 52nd Street New York, NY 10055 1947	Director	Since 2007	Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Director, The West Penn Allegheny Health System (a not-for-profit health system) from 2008 to 2013; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 107 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 55 East 52nd Street New York, NY 10055 1945	Director	Since 2007	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 107 Portfolios	None

97     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

  Officers and Directors (continued)   Quantitative Master Series LLC

Name, Address and Year of Birth	Position(s) Held with Master LLC	Length of Time Served as a Director2	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Directors1 (concluded)
Toby Rosenblatt 55 East 52nd Street New York, NY 10055 1938	Director	Since 2007	President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC since 2007; Director, College Access Foundation of California (philanthropic foundation) since 2009; Director, A.P. Pharma, Inc. (specialty pharmaceuticals) from 1983 to 2011; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	33 RICs consisting of 107 Portfolios	None
Kenneth L. Urish 55 East 52nd Street New York, NY 10055 1951	Director	Since 2007	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Immediate past-Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007.	33 RICs consisting of 107 Portfolios	None
Frederick W. Winter 55 East 52nd Street New York, NY 10055 1945	Director	Since 2007	Director, Alkon Corporation (pneumatics) since 1992; Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh from 2005 to 2013 and Dean thereof from 1997 to 2005; Director, Tippman Sports (recreation) from 2005 to 2013; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 107 Portfolios	None
1         Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved one-year extensions in terms of Directors who turn 72 prior to December 31, 2013. 2         Date shown is the earliest date a person has served for the Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Directors as joining the Master LLC’s board in 2007, those Directors first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999.
Interested Directors3
Paul L. Audet 55 East 52nd Street New York, NY 10055 1953	Director	Since 2011	Senior Managing Director of BlackRock and Head of U.S. Mutual Funds since 2011; Chair of the U.S. Mutual Funds Committee reporting to the Global Executive Committee since 2011; Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds business since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005.	144 RICs consisting of 278 Portfolios	None
Henry Gabbay 55 East 52nd Street New York, NY 10055 1947	Director	Since 2007	Consultant, BlackRock from 2007 to 2008; Managing Director, BlackRock from 1989 to 2007; Chief Administrative Officer BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Allocation Target Shares (formerly BlackRock Bond Allocation Target Shares) from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.	144 RICs consisting of 278 Portfolios	None
3         Mr. Audet is an “interested person,” as defined in the 1940 Act, of the Master LLC based on his position with BlackRock and its affiliates. Mr. Gabbay is an “interested person” of the Master LLC based on his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of the BlackRock registered closed-end funds and Directorsof other BlackRock registered open-end funds. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013 98

  Officers and Directors (concluded)   Quantitative Master Series LLC

Name, Address and Year of Birth	Position(s) Held with Master LLC	Length of Time Served	Principal Occupation(s) During Past Five Years
Officers1
John M. Perlowski 55 East 52nd Street New York, NY 10055 1964	President and Chief Executive Officer	Since 2010	Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Brendan Kyne 55 East 52nd Street New York, NY 10055 1977	Vice President	Since 2009	Managing Director of BlackRock since 2010; Director of BlackRock from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock from 2005 to 2008.
Neal Andrews 55 East 52nd Street New York, NY 10055 1966	Chief Financial Officer	Since 2007	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 55 East 52nd Street New York, NY 10055 1970	Treasurer	Since 2007	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Brian Kindelan 55 East 52nd Street New York, NY 10055 1959	Chief Compliance Officer and Anti- Money Laundering Officer	Since 2007	Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock since 2005.
Benjamin Archibald 55 East 52nd Street New York, NY 10055 1975	Secretary	Since 2012	Managing Director of BlackRock since 2014; Director of BlackRock from 2010 to 2013; Assistant Secretary of the BlackRock- advised funds from 2010 to 2012; General Counsel and Chief Operating Officer of Uhuru Capital Management from 2009 to 2010; Executive Director and Counsel of Goldman Sachs Asset Management from 2005 to 2009.
1         Officers of the Master LLC serve at the pleasure of the Board.
Further information about the Officers and Directors is available in the Master LLC’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

Investment Advisor BlackRock Advisors, LLC Wilmington, DE 19809	Custodians JPMorgan Chase Bank, N.A.2 Brooklyn, NY 11245	Accounting Agent State Street Bank and Trust Company Boston, MA 02110	Legal Counsel Sidley Austin LLP New York, NY 10019
Sub-Advisor BlackRock Investment Management, LLC Princeton, NJ 08540	State Street Bank and Trust Company3 Boston, MA 02110	Independent Registered Public Accounting Firm Deloitte & Touche LLP Boston, MA 02116

²  For Master International Index Series.

³  For Master Small Cap Index Series.

99     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2013

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 Funds 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: Institutional and Investor Classes Call (800) 658-5811	By Mail: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121
Availability of Quarterly Portfolio Schedules In addition to the Schedule of Investments provided in each semi-annual and annual report, each Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Section, 100 F Street, NE, Washington, DC 20549-1520. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (202) 551-8090. A complete schedule of the Fund’s portfolio holdings is also available on www.americanbeaconfunds.com approximately twenty days after the end of each month.	Availability of Proxy Voting Policy and Records A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available in each Fund’s Statement of Additional Information, which may be obtained free of charge on www.americanbeaconfunds.com and by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. Each Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009.

Fund Service Providers:

CUSTODIAN State Street Bank and Trust Boston, Massachusetts TRANSFER AGENT Boston Financial Data Services Kansas City, Missouri INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Dallas, Texas DISTRIBUTOR Foreside Fund Services, LLC Portland, Maine

This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.

American Beacon Funds, American Beacon Small Cap Index Fund and American Beacon International Equity Index Fund are service marks of American Beacon Advisors, Inc.

AR 12/13

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
Market and Performance Overview	2
Schedule of Investments	7
Financial Statements	8
Notes to the Financial Statements	11
Financial Highlights	20
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 December 31, 2013

Dear Shareholders,

When the Federal Reserve (the “Fed”) first embarked on its quantitative easing (QE) program in November of 2008, many investors expected inflation to be the natural result of pumping so much money into the economy. But inflation never took off the way some anticipated and remained at subdued levels over the next few years. In 2009, the first full year of the QE program, the Consumer Price Index for Urban Consumers (CPI-U) was 2.7% for the year, or just slightly above the annual average for the previous decade. CPI-U is the benchmark used to determine the compensation level for Treasury Inflation-Protected Securities, or TIPS.

So the immediate effects of QE on the inflation rate were modest at best. From there, CPI-U dropped to 1.5% in 2010, moved up to 3.0% in 2011, then fell back to 1.7% in 2012. All figures are well within historic norms.

With the Fed announcing the tapering of its QE program in 2013, the same people who feared runaway inflation back in 2008 might have expected inflation to drop sharply on the news. Instead CPI-U increased at a 1.5% pace for the year, marginally slower than 2012’s pace of 1.7%.

The economy is a highly complex machine, and there are many factors that weigh on the inflation rate. The past five years may have taught us something about the Fed’s role in all of that.

For the year ended December 31, 2013, the American Beacon Treasury Inflation Protected Securites Fund (Investor Class) returned -6.06%.

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

Market Overview

December 31, 2013 (Unaudited)

The environment for U.S. Treasury Inflation Protected Securities (TIPS) in 2013 was dominated by shifting perceptions of the path of monetary policy and the likelihood for changes to the U.S. Federal Reserve’s (the “Fed’s”) quantitative easing (QE) program. The year began in the wake of a presidential election and the avoidance of the so-called “fiscal cliff” in favor of a less significant round of fiscal tightening, commonly called sequestration. Early economic data surprised to the upside, and real yields rose in response in the early months of 2013. Rising global risks, including Italian elections and the Cyprus banking crisis in March, then caused the market to pause, as the fiscal tightening began to take hold and the early strength in the labor market moderated. Real yields drifted lower during this period, reaching their lows for the year in April.

In May, the Fed indicated that it would begin the process of winding down additional asset purchases, in what came to be known as tapering. At the time, the consensus market expectations were for continued bond buying in an environment of benign inflation pressures and high unemploy-ment. U.S. fixed-income markets reacted violently to the changed expectations, as real yields rose and yield spreads on most fixed-income sectors widened during the period.

In September, the Fed once again surprised markets by not reducing asset purchases, reportedly in response to a series of marginally disappointing employment reports in the U.S., with the ongoing fiscal headwinds of budget deadlines and debt ceilings complicating the outlook. The Fed was also responding to the tightening of financial conditions that had occurred since late April. The U.S. interest rate market then became more responsive to economic fundamentals, with yields initially falling during the fiscal impasse and subsequent government shutdown, and rising in response to improved employment statistics, again raising the prospects of a taper.

Inflation, as measured by the Consumer Price Index for Urban Consumers (CPI-U), increased at a 1.5% pace for the year, slower than 2012’s 1.7% pace, and few observers were concerned about sustainable inflationary pressures. Market-based measures of inflation expectations also declined in 2013. For example, one commonly followed measure of expectations, the break-even inflation between TIPS and nominal Treasuries of five- and 10-year maturities, fell over the course of the year.

For 2013, TIPS experienced their worst annual performance (and only second negative return) on record in response to rising real yields, benign inflation and massive outflows from the asset class. The Barclays Capital U. S. TIPS Index returned -8.61% in 2013, while the Barclays Capital 1-10 Year U.S. TIPS Index returned -5.58%. The TIPS yield curve steepened in 2013, with yields on longer dated TIPS maturities rising more significantly than shorter maturity TIPS over the period.

The Treasury Department remains committed to the TIPS program, and in 2014 auctions are anticipated at the five-, 10- and 30-year maturities, with auctions scheduled for one of these maturities each month throughout the year. At the end of 2013, the total outstanding market value of the Barclays U.S. TIPS Index was approximately $844 billion.

2

American Beacon Treasury Inflation Protected Securities Fund^SM

Performance Overview

December 31, 2013 (Unaudited)

The Investor Class of the Treasury Inflation Protected Securities Fund (the “Fund”) returned -6.06% for the twelve months ended December 31, 2013, underperforming the Barclays Capital 1-10 Year U.S. TIPS Index (the “Index”) return of -5.58%.

Comparison of Change in Value of a $10,000 Investment

For the Period From 6/30/04 through 12/31/13

Total Returns for the Period ended 12/31/13

	1 Year			5 Years			Since Inception 6/30/04			Value of $10,000 6/30/04- 12/31/13
Institutional   Class (1,7,8)		-5.74	%		4.68	%		4.10	%	$	14,644
Y Class (1,2,7,8)		-5.98	%		4.41	%		3.96	%		14,458
Investor Class   (1,3,7,8)		-6.06	%		4.28	%		3.88	%		14,364
A Class without sales charge (1,4,7,8)		-6.40	%		4.02	%		3.75	%		14,186
A Class with   sales charge   (1,4,7,8)		-10.89	%		3.01	%		3.22	%		13,511
C Class without   sales charge   (1,5,7,8)		-7.15	%		3.50	%		3.47	%		13,835
C Class with sales   charge (1,5,7,8)		-8.15	%		3.50	%		3.47	%		13,835
Barclays Capital   1-10 Yr. U.S.   TIPS Index (6)		-5.58	%		4.95	%		4.39	%		15,038
Barclays Capital   U.S. TIPS   Index (6)		-8.61	%		5.63	%		4.85	%		15,756

1. Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares.

2. Fund performance for the five-year and since inception periods represent the total returns achieved by the Institutional Class up to 3/1/10, the inception date of the Y Class, and the returns of the Y Class since its inception.

Expenses of the Y Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Y Class been in existence since 6/30/04.

3. Fund performance for the five-year and since inception periods represent the total returns achieved by the Institutional Class up to 3/2/09, the inception date of the Investor Class, and the returns of the Investor Class since its inception. Expenses of the Investor Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Investor Class been in existence since 6/30/04.

4. Fund performance for the five-year and since inception periods represent the total returns achieved by the Institutional Class from 6/30/04 through 3/1/09, and the Investor Class from 3/2/09 up to 5/17/10, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Institutional and Investor Classes. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 6/30/04. The maximum sales charge for A Class is 4.75%.

5. Fund performance for the five-year and since inception periods represent the total returns achieved by the Institutional Class from 6/30/04 through 3/1/09, and the Investor Class from 3/2/09 up to 9/1/10, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Institutional and Investor Classes. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 6/30/04. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase.

6. The Barclays Capital 1-10 Yr. U.S. TIPS Index is an unmanaged market index comprising U.S. Treasury inflation-indexed securities with maturities between one and ten years while the Barclays Capital U.S. TIPS Index includes all maturities. One cannot directly invest in an index.

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

8. The total annual Fund operating expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 0.37%, 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 twelve-month time period, affected by announcements related to Federal Reserve’s quantitative easing program, lowered inflation expectations, and general outflows from the TIPS asset class.

3

American Beacon Treasury Inflation Protected Securities Fund^SM

Performance Overview

December 31, 2013 (Unaudited)

From a yield curve positioning standpoint, the Fund’s relative underperformance stemmed from individual security selections within the 4-5 year maturity range and from overweighting the 8-9 year maturity range. Underweighting the 6-7 year maturity range benefited the Fund’s relative performance during the year.

From a duration perspective, a tactical short duration position implemented by one of the Fund’s investment managers during the second and third quarters added value to the Fund’s performance relative to the Index.

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 Index Security,          0.125%, Due 1/15/2022		13.3
U.S. Treasury Inflation Index Security,          0.125%, Due 4/15/2016		12.8
U.S. Treasury Inflation Index Security,          0.125%, Due 7/15/2022		11.6
U.S. Treasury Inflation Index Security,          0.125%, Due 4/15/2017		11.1
U.S. Treasury Inflation Index Security,          1.375%, Due 1/15/2020		5.8
U.S. Treasury Inflation Index Security,          2.125%, Due 1/15/2019		5.3
U.S. Treasury Inflation Index Security,          2.375%, Due 1/15/2017		3.7
U.S. Treasury Inflation Index Security,          0.125%, Due 4/15/2018		3.6
U.S. Treasury Inflation Index Security,          0.375%, Due 7/15/2023		3.6
U.S. Treasury Inflation Index Security,          2.00%, Due 1/15/2016		3.6
Total Fund Holdings	21

Portfolio Statistics

Effective Maturity (years)	5.2
Effective Duration (years)	5.1
3-Year Standard Deviation	3.8

Security Type (% of Total Investments)

TIPS	99.0
Short-Term Investments	1.0

4

American Beacon Treasury Inflation Protected Securities Fund^SM

Fund Expenses

December 31, 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 July 1, 2013 through December 31, 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 your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.

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

	Beginning Account Value 7/1/13		Ending Account Value 12/31/13		Expenses Paid During Period* 7/1/13-12/31/13
Institutional Class
Actual	$	1,000.00	$	995.18	$	1.56
Hypothetical **	$	1,000.00	$	1,023.64	$	1.58
Y Class
Actual	$	1,000.00	$	993.29	$	3.06
Hypothetical **	$	1,000.00	$	1,022.13	$	3.11
Investor Class
Actual	$	1,000.00	$	993.21	$	3.47
Hypothetical **	$	1,000.00	$	1,021.73	$	3.52
A Class
Actual	$	1,000.00	$	991.28	$	5.02
Hypothetical **	$	1,000.00	$	1,020.16	$	5.09
C Class
Actual	$	1,000.00	$	987.17	$	8.92
Hypothetical **	$	1,000.00	$	1,016.23	$	9.05

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.31%, 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 (184) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

5

American Beacon Treasury Inflation Protected Securities Fund^SM

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of

American Beacon Treasury Inflation Protected Securities Fund:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the American Beacon Treasury Inflation Protected Securities Fund (one of the funds constituting the American Beacon Funds) (the “Fund”), as of December 31, 2013, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of each Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the American Beacon Treasury Inflation Protected Securities Fund at December 31, 2013, the results of its operations for the year then ended, the changes in its net assets for the two years in the period then ended, and the financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Dallas, Texas

February 28, 2014

6

American Beacon Treasury Inflation Protected Securities Fund^SM

Schedule of Investments

December 31, 2013

Schedule of Investments

	Par Amount		Fair Value
	(000’s)		(000’s)
U.S. TREASURY OBLIGATIONS - 99.22%
1.625%, Due 1/15/2015A	$	3,032	$	3,124
0.50%, Due 4/15/2015A		6,838		6,989
1.875%, Due 7/15/2015A		5,161		5,440
2.00%, Due 1/15/2016A		6,961		7,418
0.125%, Due 4/15/2016A		24,337		24,989
2.50%, Due 7/15/2016A		2,868		3,146
2.375%, Due 1/15/2017A		6,577		7,238
0.125%, Due 4/15/2017A		22,382		23,004
2.625%, Due 7/15/2017A		4,316		4,855
0.125%, Due 4/15/2018A		7,315		7,461
1.375%, Due 7/15/2018A		3,087		3,346
2.125%, Due 1/15/2019A		9,769		10,909
1.875%, Due 7/15/2019A		6,345		7,050
1.375%, Due 1/15/2020A		11,265		12,097
1.25%, Due 7/15/2020A		4,214		4,509
1.125%, Due 1/15/2021A		2,579		2,711
0.625%, Due 7/15/2021A		6,555		6,653
0.125%, Due 1/15/2022A		28,631		27,517
0.125%, Due 7/15/2022A		25,189		24,128
0.125%, Due 1/15/2023A		6,319		5,968
0.375%, Due 7/15/2023A		7,698		7,424
Total U.S. Treasury Obligations (Cost $211,228)				205,976
	Shares
SHORT-TERM INVESTMENTS - 1.01% (Cost $2,106)
JPMorgan U.S. Government Money Market Fund, Capital Class		2,105,929		2,106
TOTAL INVESTMENTS - 100.23% (Cost $213,334)				208,082
LIABILITIES, NET OF OTHER ASSETS - (0.23%)				(490	)
TOTAL NET ASSETS - 100.00%			$	207,592

Percentages are stated as a percent of net assets.

^A  Inflation-Indexed Note.

See accompanying notes

7

American Beacon Treasury Inflation Protected Securities Fund^SM

Statement of Assets and Liabilities

December 31, 2013 (in thousands, except share and per share amounts)

Assets:
Investments in unaffiliated securities, at fair value A	$	208,082
Receivable for investments sold		11,004
Dividends and interest receivable		658
Receivable for fund shares sold		523
Receivable for expense reimbursement (Note 2)		18
Prepaid expenses		41
Total assets		220,326
Liabilities:
Payable for investments purchased		11,683
Payable for fund shares redeemed		939
Management and investment advisory fees payable		42
Administrative service and service fees payable		28
Transfer agent fees payable		10
Custody and fund accounting fees payable		3
Professional fees payable		12
Prospectus and shareholder reports fees payable		11
Trustee fees payable		2
Other liabilities		4
Total liabilities		12,734
Net assets	$	207,592
Analysis of Net Assets:
Paid-in-capital		218,287
Undistributed net investment income		—
Accumulated net realized loss		(5,443	)
Unrealized depreciation of investments		(5,252	)
Net assets	$	207,592
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		19,472,812
Y Class		60,463
Investor Class		429,319
A Class		77,465
C Class		39,607
Net assets (not in thousands):
Institutional Class	$	201,381,003
Y Class	$	626,968
Investor Class	$	4,395,053
A Class	$	792,840
C Class	$	396,129
Net asset value, offering and redemption price per share:
Institutional Class	$	10.34
Y Class	$	10.37
Investor Class	$	10.24
A Class (offering price $10.74)	$	10.23
C Class	$	10.00
A Cost of investments in unaffiliated securities	$	213,334

See accompanying notes

8

American Beacon Treasury Inflation Protected Securities Fund^SM

Statement of Operations

For the year ended December 31, 2013 (in thousands)

Investment Income:
Interest income		202
Total investment income		202
Expenses:
Management and investment advisory fees (Note 2)		237
Administrative service fees (Note 2):
Institutional Class		303
Y Class		3
Investor Class		45
A Class		3
C Class		2
Transfer agent fees:
Institutional Class		42
Investor Class		3
Custody and fund accounting fees		38
Professional fees		49
Registration fees and expenses		76
Service fees (Note 2):
Y Class		1
Investor Class		38
A Class		1
C Class		1
Distribution fees (Note 2):
A Class		2
C Class		4
Prospectus and shareholder report expenses		40
Insurance fees		8
Trustee fees		15
Other expenses		27
Total expenses		938
Net fees waived and expenses (reimbursed) by Manager (Note 2)		(208	)
Net expenses		730
Net investment income		(528	)
Realized and unrealized gain (loss):
Net realized gain (loss) from:
Investments		(5,176	)
Change in net unrealized depreciation of:
Investments		(7,869	)
Net loss on investments		(13,045	)
Net decrease in net assets resulting from operations	$	(13,573	)

See accompanying notes

9

American Beacon Treasury Inflation Protected Securities Fund^SM

Statement of Changes in Net Assets(in thousands)

	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(528	)	$	1,804
Net realized gain (loss) from investments		(5,176	)		11,031
Change in net unrealized depreciation of investments		(7,869	)		(1,096	)
Net increase (decrease) in net assets resulting from operations		(13,573	)		11,739
Distributions to Shareholders:
Net investment income:
Institutional Class		—			(1,723	)
Y Class		—			(4	)
Investor Class		—			(76	)
A Class		—			(1	)
C Class		—			—
Net realized 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	)
Net distributions to shareholders		—			(15,035	)
Net (decrease) in net assets from capital share transactions (Note 8)		(2,646	)		(1,299	)
Net (decrease) in net assets		(16,219	)		(4,595	)
Net Assets:
Beginning of period		223,811			228,406
End of Period *	$	207,592		$	223,811
*Includes undistributed net investment (loss) of	$	—		$	—

See accompanying notes

10

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2013

1. Organization and Significant Accounting Policies

American Beacon Funds (the “Trust”) which is comprised of twenty-seven Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, (the “Act”), as a diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon Treasury Inflation Protected Securities Fund (the “Fund”), a series of the Trust.

American Beacon Advisors, Inc. (the “Manager”) is a wholly-owned subsidiary of Lighthouse Holdings, Inc., and was organized in 1986 to provide business management, 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, which may include a front-end sales charge and a contingent deferred sales charge (“CDSC”)
C Class	General public and investors investing through an intermediary with applicable sales charges, which may include a CDSC

Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the Fund. Class specific expenses, where applicable, currently include administrative service fees, service fees, and distribution fees and vary amongst the classes as described more fully in Note 2.

Recently Adopted Accounting Pronouncements

In December 2011, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2011-11, Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities. The amendments in the ASU enhance disclosures about offsetting of financial assets and liabilities to enable investors to understand the effect of these arrangements on a fund’s financial position. In January 2013, FASB issued ASU No. 2013-01, Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities. The amendments in ASU No. 2013-01 clarify the scope of disclosures required by ASU No. 2011-11. These ASUs are effective for annual periods beginning on or after January 1, 2013 and interim periods within those annual periods. The Fund adopted ASU 2011-11 and 2013-01 effective January 1, 2013. The adoption did not have any impact on the Fund’s financial statements as the accounting standard affects only the disclosure requirements for offsetting financial instruments.

2. Transactions with Affiliates

Management Agreement

The Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all investment advisory and portfolio management services. Investment assets of the Fund may be managed by multiple investment advisors which have entered into separate investment advisory agreements with the Manager. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Fund an annualized fee equal to 0.05% of the

11

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2013

average daily net assets plus amounts paid by the Manager to the investment advisors hired by the Manager to direct investment activities of the Fund. Management fees paid during the year ended December 31, 2013 were as follows (dollars in thousands):

Management Fee Rate	Management Fee	Amount paid to Investment Sub-Advisor	Net Amount Retained by Manager
0.11%	$237	$127	$110

Administrative Services Agreement

The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative services to the Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of 0.15% of the average daily net assets of the Institutional Class, 0.30% of the average daily net assets of the Y and Investor Classes, and 0.40% of the average daily net assets of the A and C Classes of the Fund.

Distribution Plans

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

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

Service Plan

The Manager and the Trust entered into Service Plans that obligate the Manager to oversee additional shareholder servicing of the Y, Investor, A, and C Classes of the Fund. As compensation for performing the duties required under the Service Plans, the Manager receives an annualized fee of 0.10% of the average daily net assets of the Y Class, 0.15% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Fund.

Interfund Lending Program

Pursuant to an exemptive order by the Securities and Exchange Commission (the “SEC”), the Fund, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program as a borrower. This program provides an alternative credit facility allowing the Fund to borrow from other participating Funds. During the year ended December 31, 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 $18,107 was

12

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2013

receivable from the Manager at December 31, 2013. During the year ended December 31, 2013, the Manager reimbursed expenses as follows:

	Expense Cap and Limits
Class	1/1/13 to 12/31/13	Reimbursed Expenses		Expiration of Reimbursements
Institutional	0.10%*	$	191,578	2016
Y	0.61%		169	2016
Investor	0.69%		15,274	2016
A	1.00%		495	2016
C	1.78%		58	2016

* The Manager has agreed to reduce the Administrative Service Fee of the Institutional Class in an amount equal to 0.10% of the average daily net assets of the class.

The Fund has adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of fees waived or expenses reimbursed for a period of up to three years. However, reimbursement will occur only if the Class’s average net assets have grown or expenses have declined sufficiently to allow reimbursement without causing its expense ratio to exceed the previously agreed upon contractual expense limit. The carryover of excess expenses potentially reimbursable to the Manager, but not recorded as a liability is $238,084 and $246,503 will expire in 2014 and 2015, respectively. The Fund did not record a liability for these potential reimbursements due to the current assessment that reimbursements are unlikely.

Sales Commissions

The Fund’s distributor, Foreside Fund Services, LLC (“Foreside”) may receive a portion of A Class sales charges from broker dealers and it may be used to offset distribution related expenses. For the year ended December 31, 2013, Foreside collected $3,185 from the sale of Class A Shares.

A CDSC of 0.50% will be deducted with respect to Class A Shares on certain purchases of $1,000,000 or more that are redeemed in whole or part within 18 months of purchase, unless waived as discussed in the Prospectus. Any applicable CDSC will be 0.50% of the lesser of the original purchase price or the value of the redemption of the Class A Shares redeemed. During the year ended December 31, 2013, there were no CDSC fees collected for Class A Shares.

A CDSC of 1.00% will be deducted with respect to Class C Shares redeemed within 12 months of purchase, unless waived as discussed in the Prospectus. Any applicable CDSC will be 1.00% of the lesser of the original purchase price or the value of the redemption of the Class C Shares redeemed. During the year ended December 31, 2013, there were no CDSC fees for the Fund.

3. Security Valuation and Fair Value Measurements

Investments are valued at the close of the New York Stock Exchange (the “Exchange”), normally 4 p.m. ET, each day that the Exchange is open for business.

Debt securities (other than short-term securities) normally are valued on the basis of prices provided by an independent pricing service and may take into account appropriate factors such as institution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. The prices of debt securities may be determined using quotes obtained from brokers.

Investments in mutual funds are valued at the closing net asset value (“NAV”) per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method, which approximates fair value.

13

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2013

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

Level 1 –	Quoted prices in active markets for identical securities.
Level 2 –	Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. Level 2 securities are fixed-income securities that are valued using observable inputs as stated above.
Level 3 –	Prices determined using other significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Level 1 and Level 2 trading assets and trading liabilities, at fair value

Fixed income securities including corporate, U.S. government agencies, and U.S. treasury obligations, are normally valued by pricing service providers that use broker dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates, and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date are categorized as Level 2 of the fair value hierarchy.

Investments in registered open-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair value. These investments are categorized as Level 2 of the fair value hierarchy.

The Fund’s investments are summarized by level based on the inputs used to determine their values. U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) also requires all significant transfers between any levels to be disclosed. The end of period timing recognition has been adopted for the transfer between levels of the Fund’s assets and liabilities. During the year ended December 31, 2013, there were no transfers between levels. As of December 31, 2013, the investments were classified as described below (in thousands):

	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	205,976	$	—	$	205,976
Short-term Investments - Money Market Funds		2,106		—		—		2,106
Total Investments in Securities	$	2,106	$	205,976	$	—	$	208,082

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

14

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2013

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 annually. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date.

Allocation of Income, Expenses, Gains, and Losses

Income, expenses (other than those attributable to a specific class), gains, and losses are allocated daily to each class of shares based up on the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.

Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.

Other

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

4. Securities and Other Investments

U.S. Treasury Inflation Protected Securities

Treasury Inflation Protected securities (“TIPs”) are inflation-indexed bonds issued by the U.S. Treasury. The principal amount is adjusted daily to the rate of inflation. Interest is accrued based on the adjusted principal amount. The adjustments to the principal due to inflation are reflected as increases or decreases to interest income in the accompanying Statement of Operations, even though principal is not received until maturity. Such adjustments may have a significant impact on the Fund’s distributions.

Other Investment Company Securities and Other Exchange Traded Products

The Fund 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 Fund 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

15

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2013

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. Principal Risks

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists. Security values fluctuate (market risk) and may decline due to factors affecting securities markets in general, particular industries represented in the securities markets or conditions specifically related to a particular company. Failure of the other party to a transaction to perform (credit and counterparty risk), for example by not making principal and interest payments when due, reduces the value of the issuer’s debt and could reduce the Funds’ income. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an institution or other entity with which the Funds have unsettled or open transactions will fail to make required payments or otherwise comply with the terms of the instrument, transaction or contract. The potential loss could exceed the value of the financial assets recorded in the financial statements. Some of the Funds’ investments may be illiquid and the Funds may not be able to vary the portfolio investments in response to changes in economic and other conditions. If a Fund is required to liquidate all or a portion of its investments quickly, the Fund may realize significantly less than the value at which it previously recorded those investments.

Offsetting Assets and Liabilities

The Fund is party to enforceable master netting agreements between brokers and counterparties, such as Master Repo Agreements which provide for the right to offset under certain circumstances. The Funds employ multiple counterparties and have elected not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities, as such all financial and derivative instruments are presented on a gross basis. There was no offsetting activity on the Statement of Assets and Liabilities as of December 31, 2013.

6. 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, 2013 remains subject to examination by the Internal Revenue Service. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expense” on the Statement of Operations.

Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. GAAP. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.

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

16

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2013

	Year Ended December 31, 2013		Year Ended December 31, 2012
Distributions paid from:
Ordinary income*
Institutional Class	$	—	$	6,344
Y Class		—		28
Investor Class		—		522
A Class		—		20
C Class		—		7
Long-Term Capital Gains
Institutional Class		—		4,515
Y Class		—		21
Investor Class		—		407
A Class		—		16
C Class		—		6
Tax return of Capital
Institutional Class		—		2,844
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 December 31, 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	$	215,932
Unrealized appreciation		55
Unrealized depreciation		(7,905	)
Net unrealized appreciation or (depreciation)		(7,850	)
Undistributed ordinary income		—
Accumulated long-term gain or (loss)		(2,845	)
Other temporary differences		—
Distributable earnings or (deficits)	$	(10,695	)

Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The temporary differences between financial reporting and tax-basis reporting of unrealized appreciation or depreciation are attributable primarily to the tax deferral of losses from wash sales.

Due to inherent differences in the recognition of income, expenses, and realized gains (losses) under U.S. GAAP and federal income tax regulations, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statement of Assets and Liabilities.

Accordingly, the following amounts represent current year permanent differences derived from net operating losses as of December 31, 2013 (in thousands):

Paid-in-capital	$	(527	)
Undistributed net investment income		528
Accumulated net realized gain (loss)		—
Unrealized appreciation or (depreciation) of investments		(1	)

Under the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”), net capital losses recognized by Funds in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses. Prior to RIC MOD, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. RIC MOD requires that post-enactment net capital losses be used before pre-enactment net capital losses.

17

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2013

As of December 31, 2013, the Fund has $2,702 of short-term and $143 of long-term post enactment capital loss carryforwards (in thousands).

7. Investment Transactions

The aggregate cost of purchases and proceeds from sales of investments, other than short-term obligations, for the year ended December 31, 2013 were $548,512,321 and $552,972,818, respectively. These amounts also represent purchases and sales of U.S. Government securities.

8. Capital Share Transactions

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

For the Year Ended December 31, 2013

	Institutional Class						Y Class						Investor Class
	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		10,712		$	114,681			34		$	373			311		$	3,303
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(9,674	)		(103,003	)		(69	)		(733	)		(1,665	)		(17,492	)
Net increase (decrease) in shares outstanding		1,038		$	11,678			(35	)	$	(360	)		(1,354	)	$	(14,189	)
	A Class						C Class						Total
	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		53		$	563			12		$	132			11,122		$	119,052
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(43	)		(458	)		(1	)		(12	)		(11,452	)		(121,698	)
Net increase (decrease) in shares outstanding		10		$	105			11		$	120			(330	)	$	(2,646	)

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						Total
	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		28		$	326			3		$	32			22,405		$	256,535
Reinvestment of dividends		3			32			1			17			1,248			13,770
Shares redeemed		(40	)		(452	)		—			—			(23,722	)		(271,604	)
Net increase (decrease) in shares outstanding		(9	)	$	(94	)		4		$	49			(69	)	$	(1,299	)

18

This page intentionally left blank.

19

American Beacon Treasury Inflation Protected Securities Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class															Y Class
	Year Ended December 31,															Year Ended December 31,									March 1 to Dec. 31, 2010
	2013			2012			2011			2010			2009A			2013			2012			2011
Net asset value, beginning of period	$	10.97		$	11.16		$	10.51		$	10.16		$	9.20		$	11.03		$	11.24		$	10.60		$	10.25
Income from investment operations:
Net investment income (loss)		(0.02	)		0.04			0.28			0.16			0.06			(0.07	)		0.09			0.26			0.05
Net gains (losses) from investments (both realized and unrealized)		(0.61	)		0.49			0.67			0.35			0.95			(0.59	)		0.41			0.65			0.35
Total income (loss) from investment operations		(0.63	)		0.53			0.95			0.51			1.01			(0.66	)		0.50			0.91			0.40
Less distributions:
Dividends from net investment income		—			(0.07	)		(0.29	)		(0.16	)		(0.05	)		—			(0.06	)		(0.26	)		(0.05	)
Distributions from net realized gains		—			(0.49	)		—			—			—			—			(0.49	)		—			—
Tax return of capital		—			(0.16	)B		(0.01	)B		—			—			—			(0.16	)B		(0.01	)B		—
Total distributions		—			(0.72	)		(0.30	)		(0.16	)		(0.05	)		—			(0.71	)		(0.27	)		(0.05	)
Net asset value, end of period	$	10.34		$	10.97		$	11.16		$	10.51		$	10.16		$	10.37		$	11.03		$	11.24		$	10.60
Total return C		(5.74	)%		4.80	%		9.14	%		5.03	%		11.00	%		(5.98	)%		4.42	%		8.66	%		3.89	%D
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	201,381		$	202,274		$	206,864		$	157,195		$	155,833		$	627		$	1,051		$	501		$	365
Ratios to average net assets (annualized):
Expenses, before reimbursements		0.39	%		0.37	%		0.36	%		0.35	%		0.36	%		0.63	%		0.62	%		1.04	%		0.60	%E
Expenses, net of reimbursements		0.30	%		0.27	%		0.26	%		0.25	%		0.26	%		0.61	%		0.61	%		0.63	%		0.60	%E
Net investment income (loss), before reimbursements		(0.31	)%		0.64	%		2.24	%		1.40	%		0.59	%		(0.59	)%		0.81	%		1.80	%		0.85	%E
Net investment income (loss), net of reimbursements		(0.21	)%		0.74	%		2.34	%		1.50	%		0.69	%		(0.57	)%		0.82	%		2.21	%		0.85	%E
Portfolio turnover rate		252	%		286	%		381	%		214	%		180	%		252	%		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.

^H Amounts are less than $0.01 per share.

20

American Beacon Treasury Inflation Protected Securities Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Investor Class															A Class												C Class
Year Ended December 31,												March 2 to Dec. 31, 2009A			Year Ended December 31,									May 17 to Dec. 31, 2010			Year Ended December 31,									Sept. 1 to Dec. 31, 2010
2013			2012			2011			2010						2013			2012			2011						2013			2012			2011
	$10.90		$	11.12		$	10.48		$	10.13		$	9.25		$	10.93		$	11.15		$	10.54		$	10.35		$	10.77		$	11.06		$	10.46		$	10.38
	(0.13	)		0.06			0.24			0.06			0.14			(0.07	)		0.00	H		0.10			0.04			(0.15	)		(0.05	)		0.13			0.00	H
	(0.53	)		0.42			0.66			0.41			0.79			(0.63	)		0.45			0.76			0.19			(0.62	)		0.41			0.65			0.08
	(0.66	)		0.48			0.90			0.47			0.93			(0.70	)		0.45			0.86			0.23			(0.77	)		0.36			0.78			0.08
	—			(0.05	)		(0.25	)		(0.12	)		(0.05	)		—			(0.02	)		(0.24	)		(0.04	)		—			—			(0.17	)		—
	—			(0.49	)		—			—			—			—			(0.49	)		—			—			—			(0.49	)		—			—
	—			(0.16	)B		(0.01	)B		—			—			—			(0.16	)B		(0.01	)B		—			—			(0.16	)B		(0.01	)B		—
	—			(0.70	)		(0.26	)		(0.12	)		(0.05	)		—			(0.67	)		(0.25	)		(0.04	)		—			(0.65	)		(0.18	)		—
	$10.24		$	10.90		$	11.12		$	10.48		$	10.13		$	10.23		$	10.93		$	11.15		$	10.54		$	10.00		$	10.77		$	11.06		$	10.46
	(6.06	)%		4.32	%		8.67	%		4.62	%		10.05	%D		(6.40	)%		4.07	%		8.17	%		2.23	%D		(7.15	)%		3.26	%		7.47	%		0.77	%D
	$4,395		$	19,438		$	19,920		$	15,262		$	5,868		$	793		$	741		$	855		$	155		$	396		$	307		$	266		$	153
	0.79	%		0.77	%		0.77	%		0.75	%		0.81	%E		1.06	%		1.07	%		1.32	%		0.99	%E		1.79	%		1.79	%		2.62	%		1.77	%E
	0.69	%		0.69	%		0.68	%		0.64	%		0.65	%E		1.00	%		1.01	%		1.03	%		0.99	%E		1.78	%		1.77	%		1.79	%		1.77	%E
	(0.66	)%		0.44	%		2.24	%		1.06	%		3.04	%E		(0.93	)%		0.07	%		0.88	%		0.55	%E		(1.71	)%		(0.61	)%		0.25	%		(0.05	)%E
	(0.56	)%		0.53	%		2.32	%		1.17	%		3.20	%E		(0.86	)%		0.13	%		1.17	%		0.55	%E		(1.69	)%		(0.59	)%		1.08	%		(0.05	)%E
	252	%		286	%		381	%		214	%		180	%G		252	%		286	%		381	%		214	%F		252	%		286	%		381	%		214	%F

21

American Beacon Treasury Inflation Protected Securities Fund^SM

Privacy Policy and Federal Tax Information

December 31, 2013 (Unaudited)

Privacy Policy

The American Beacon Funds recognize and respect the privacy of our shareholders. We are providing this notice to you so you will understand how shareholder information may be collected and used.

We may collect nonpublic personal information about you from one or more of the following sources:

• information we receive from you on applications or other forms;

• information about your transactions with us or our service providers; and

• information we receive from third parties.

We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law.

We restrict access to your nonpublic personal information to those employees or service providers who need to know that information to provide products or services to you. To ensure the confidentiality of your nonpublic personal information, we maintain safeguards that comply with federal standards.

Federal Tax Information

Certain tax information regarding the Fund is required to be provided to shareholders relating to the Fund’s income and distributions for the taxable year ended December 31, 2013. The information and distributions reported herein may differ from information and distributions taxable to the shareholder for the calendar year ended December 31, 2013.

Shareholders will receive notification in January 2014 of the applicable tax information necessary to prepare their 2013 income tax returns.

22

Trustees and Officers of the American Beacon Funds^SM

(Unaudited)

The Trustees and officers of the American Beacon Funds (the “Trust”) are listed below, together with their principal occupations during the past five years. Unless otherwise indicated, the address of each person listed below is 4151 Amon Carter Boulevard, MD 2450, Fort Worth, Texas 76155. Each Trustee oversees twenty-nine funds in the fund complex that includes the Trust and the American Beacon Select Funds. The Trust’s Statement of Additional Information contains additional information about the Trustees and is available without charge by calling 1-800-658-5811.

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
INTERESTED TRUSTEES	Term
	Lifetime of Trust until removal, resignation or retirement*
Gerard J. Arpey** (55)	Trustee since 2012	Partner, Emerald Creek Group (private equity firm) (2011-Present); Chairman and Chief Executive Officer, AMR Corp. and American Airlines; Inc. (2003-2011); Director, S. C. Johnson & Son, Inc. (privately held company) (2008-present); Trustee, American Beacon Select Funds (2012-Present).
Alan D. Feld*** (77)	Trustee since 1996	Sole Shareholder of a professional corporation which is a Partner in the law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (law firm) (1960-Present); Trustee, American Beacon Mileage Funds (1996-2012); Trustee, American Beacon Select Funds (1999-Present); Trustee, American Beacon Master Trust (1996-2012).
NON-INTERESTED TRUSTEES	Term
	Lifetime of Trust until removal, resignation or retirement*
W. Humphrey Bogart (69)	Trustee since 2004	Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Brenda A. Cline (53)	Trustee since 2004	Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Eugene J. Duffy (59)	Trustee since 2008	Principal and Executive Vice President, Paradigm Asset Management (1994-Present); Director, Sunrise Bank of Atlanta (2008-Present); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
Thomas M. Dunning (71)	Trustee since 2008	Chairman Emeritus (2008-Present) and Chairman (1998-2008)), Lockton Dunning Benefits (consulting firm in employee benefits); Lead Director, Oncor Electric Delivery Company LLC (2007-Present); Board Member, BancTec (2010-Present); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
Richard A. Massman (70)	Trustee since 2004     Chairman since 2008	Consultant and General Counsel Emeritus (2009-Present) and Senior Vice President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding company engaged in oil and gas exploration and production, refining, real estate, farming, ranching and venture capital activities); Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).

23

Trustees and Officers of the American Beacon Funds^SM

(Unaudited)

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
Barbara J. McKenna, CFA (50)	Trustee since 2012	Managing Principal, Longfellow Investment Management Company (2005-Present); Trustee, American Beacon Select Funds (2012-Present).
R. Gerald Turner (68)	Trustee since 2001	President, Southern Methodist University (1995-Present); Director, J.C. Penney Company, Inc. (1996-Present); Director, Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Trustee, American Beacon Mileage Funds (2001-2012); Trustee, American Beacon Select Funds (2001-Present); Trustee, American Beacon Master Trust (2001-2012).
Paul J. Zucconi,CPA ****(73)	Trustee since 2008	Director, Affirmative Insurance Holdings, Inc. (producer of nonstandard automobile insurance) (2004-Present); Director, Titanium Metals Corporation (producer of titanium melted and mill products) (2002-2012); Director, Torchmark Corporation (life and health insurance products) (2002-Present); Director, Charter Bank (community bank services and products) (2010-2011); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
OFFICERS	Term
	One Year
Gene L. Needles, Jr. (59)	President since 2009 Executive Vice President since 2009	President, CEO and Director (2009-Present), American Beacon Advisors, Inc.; President (2009-Present), President, CEO and Director (2009-Present), Lighthouse Holdings, Inc.; President and CEO (2009-Present), Lighthouse Holdings Parent, Inc.; President (2009-Present), American Beacon Select Funds; President (2009-Present), American Beacon Mileage Funds; President (2008-2012), Touchstone Investments; President (2003-2007), CEO (2004-2007), AIM Distributors.
Rosemary K. Behan (54)	VP, Secretary and Chief Legal Officer since 2006	Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006-Present); Secretary (2008-Present), Lighthouse Holdings, Inc.; Secretary (2008-Present), Lighthouse Holdings Parent, Inc.
Brian E. Brett (53)	VP since 2004	Vice President, Director of Sales, American Beacon Advisors, Inc. (2004-Present).
Wyatt L. Crumpler (47)	VP since 2007	Chief Investment Officer (2012-Present), Vice President, Asset Management (2009-2012), and Vice President, Trust Investments (2007-2009), American Beacon Advisors, Inc.
Erica Duncan (43)	VP Since 2011	Vice President, Marketing and Client Services (2011-Present), American Beacon Advisors, Inc.; Supervisor, Brand Marketing (2010-2011), Invesco; Supervisor, Marketing Communications (2009-2010) and Senior Financial Writer (2004-2009), Invesco AIM.
Michael W. Fields (59)	VP since 1989	Chief Fixed Income Officer (2011-Present) and Vice President, Fixed Income Investments, American Beacon Advisors, Inc. (1988-2011); Director, American Beacon Global Funds SPC (2002-2011); Director, American Beacon Global Funds plc (2007-2009).
Melinda G. Heika (52)	Treasurer since 2010	Treasurer (2010-Present), and Controller (2005-2009), American Beacon Advisors, Inc.; Treasurer (2010-Present), Lighthouse Holdings, Inc.; Treasurer (2010-Present), Lighthouse Holdings Parent, Inc.
Terri L. McKinney (50)	VP since 2010	Vice President, Enterprise Services (2009-Present) and Managing Director (2003-2009), American Beacon Advisors, Inc.
Jeffrey K. Ringdahl (38)	VP since 2010	Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present); Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010); Senior Director, Business Integration, Fidelity Investments (2005-2007).

24

Trustees and Officers of the American Beacon Funds^SM

(Unaudited)

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
Samuel J. Silver (50)	VP Since 2011	Vice President, Fixed Income Investments (2011-Present) and Senior Portfolio Manager, Fixed Income Investments (1999-2011), American Beacon Advisors, Inc.
Christina E. Sears (42)	Chief Compliance Officer since 2004 and Asst. Secretary since 1999	Chief Compliance Officer (2004-Present) and Senior Compliance Analyst (1998-2004), American Beacon Advisors, Inc.
John J. Okray (39)	Asst. Secretary since 2010	Deputy General Counsel (2012-Present) and Assistant General Counsel (2010-2012), American Beacon Advisors, Inc.; Asst. Secretary (2010-Present), Lighthouse Holdings, Inc.; Asst. Secretary (2010-Present), Lighthouse Holdings Parent, Inc.; Vice President, OppenheimerFunds, Inc. (2004-2010).
Sonia L. Bates (57)	Asst. Treasurer since 2011	Director, Tax and Financial Reporting (2011 - Present) and Manager, Tax and Financial Reporting (2005-2010), American Beacon Advisors, Inc.; Asst. Treasurer (2011-Present), Lighthouse Holdings, Inc.; Asst. Treasurer (2011-Present), Lighthouse Holdings Parent, Inc.

* The Board has adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in they reach the age of 72, provided, however, that the board may determine to grant one or more annual exemptions to this requirement.

** Mr. Arpey is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Arpey previously served as CEO of AMR Corp., which has a material relationship with the Manager.

*** Mr. Feld is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s sub-advisors.

**** Mr. Zucconi retired as a Trustee of the Trust and the American Beacon Funds as of December 31, 2013.

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: Institutional, Y and Investor Classes Call (800) 658-5811	By Mail: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121-9643
Availability of Quarterly Portfolio Schedules In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Section, 100 F Street, NE, Washington, DC 20549-1520. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (202) 551-8090. A complete schedule of the Fund’s portfolio holdings is also available on www.americanbeaconfunds.com approximately twenty days after the end of each month.	Availability of Proxy Voting Policy and Records A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s website www.americanbeaconfunds.com and by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009.

Fund Service Providers:

CUSTODIAN State Street Bank and Trust Boston, Massachusetts TRANSFER AGENT Boston Financial Data Services Kansas City, Missouri INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Dallas, Texas DISTRIBUTOR Foreside Fund Services, LLC Portland, Maine

This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.

American Beacon Funds and the American Beacon Treasury Inflation Protected Securities Fund are service marks of American Beacon Advisors, Inc.

AR 12/13

ITEM 2. CODE OF ETHICS.

The Trust has adopted a code of ethics that applies to its principal executive and financial officers (the “Code”). The Trust amended its code November 12, 2013 to disclose the removal of terminated Investment Companies. The Trust did not grant any waivers to the provisions of the Code during the period covered by the shareholder report presented in Item 1. The Code is filed herewith as Exhibit 99.CODE ETH.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The Trust’s Board of Trustees has determined that Mr. Paul Zucconi, a member of the Trust’s Audit and Compliance Committee, is an “audit committee financial expert” as defined in Form N-CSR. Mr. Paul Zucconi is “independent” as defined in Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a)

Audit Fees	Fiscal Year Ended
$27,203		6/30/2012	*
$203,016		8/31/2012	*
$372,284		10/31/2012	*
$54,406		11/30/2012	*
$163,393		12/31/2012	*
$209,783		8/31/2013
$384,699		10/31/2013
$168,847		12/31/2013
$105,556		1/31/2014

(b)

Audit-Related Fees	Fiscal Year Ended
$0		6/30/2012
$0		8/31/2012
$0		10/31/2012
$0		11/30/2012
$0		12/31/2012
$0		8/31/2013
$0		10/31/2013
$0		12/31/2013

* Change from previous reporting.

(c)

Tax Fees	Fiscal Year Ended
$8,250		6/30/2012	*
$34,250		8/31/2012	*
$69,963		10/31/2012	*
$15,000		11/30/2012	*
$22,250		12/31/2012	*
$36,250		8/31/2013
$70,713		10/31/2013
$20,000		12/31/2013
$10,500		1/31/2014

* Change from previous reporting.

(d)

All Other Fees	Fiscal Year Ended
$0		6/30/2012
$0		8/31/2012
$0		10/31/2012
$0		11/30/2012
$0		12/31/2012
$0		8/31/2013
$0		10/31/2013
$0		12/31/2013

(e)(1) Pursuant to its charter, the Trust’s Audit and Compliance Committee shall have the following duties and powers pertaining to pre-approval of audit and non-audit services provided by the Trust’s principal accountant:

• to approve, prior to appointment, the engagement of auditors to annually audit and provide their opinion on the Trusts’ financial statements, and, in connection therewith, reviewing and evaluating matters potentially affecting the independence and capabilities of the auditors;

• to approve, prior to appointment, the engagement of the auditors to provide non-audit services to the Trusts, an investment adviser to any series of the Trusts or any entity controlling, controlled by, or under common control with an investment adviser (“adviser affiliate”) that provides ongoing services to the Trusts, if the engagement relates directly to the operations and financial reporting of the Trusts;

• to consider whether the non-audit services provided by a Trust’s auditor to an investment adviser or any adviser affiliate that provides ongoing services to a series of the Trusts, which services were not pre-approved by the Committee, are compatible with maintaining the auditor’s independence;

• to review the arrangements for and scope of the annual audit and any special audits; and

• to review and approving the fees proposed to be charged to the Trusts by the auditors for each audit and non-audit service.

The Audit and Compliance Committee may delegate any portion of its authority, including the authority to grant pre-approvals of audit and permitted non-audit services, to a subcommittee of one or more members. Any decisions of the subcommittee to grant pre-approvals shall be presented to the full audit committee at its next regularly scheduled meeting.

(e)(2) None of the fees disclosed in paragraphs (b) through (d) above were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g)

Aggregate Non-Audit Fees for Services Rendered to the:

Registrant	Adviser		Adviser’s Affiliates Providing Ongoing Services to Registrant	Fiscal Year Ended
$8,250	$	0	N/A		6/30/2012	*
$34,250	$	0	N/A		8/31/2012	*
$69,963	$	0	N/A		10/31/2012	*
$15,000	$	0	N/A		11/30/2012	*
$22,500	$	0	N/A		12/31/2012	*
$36,250	$	0	N/A		8/31/2013
$70,713	$	0	N/A		10/31/2013
$20,000	$	0	N/A		12/31/2013
$10,500	$	0	N/A		1/31/2014

* Change from previous reporting.

(h) Not applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

The schedules of investments for each series of the Trust are included in the shareholder report presented in Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT                 INVESTMENT COMPANIES.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND                 AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

The Trust has made no material changes to the procedures by which shareholders may recommend nominees to the Trust’s Board of Trustees since the Trust last disclosed such procedures in Schedule 14A.

ITEM 11. CONTROLS AND PROCEDURES.

(a) Based upon an evaluation within 90 days of the filing date of this report, the principal executive and financial officers concluded that the disclosure controls and procedures of the Trust are effective.

(b) There were no changes in the Trust’s internal control over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Filed herewith as EX-99.CODE ETH.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the Investment Company Act of 1940 is attached hereto as EX-99.CERT.

(a)(3) Not applicable.

(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant): American Beacon Funds
By	/s/ Gene L. Needles, Jr.
	Gene L. Needles, Jr. President
Date: March 7, 2014

By	/s/ Melinda G. Heika
	Melinda G. Heika Treasurer
Date: March 7, 2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By	/s/ Gene L. Needles, Jr.
	Gene L. Needles, Jr. President
Date: March 7, 2014

By	/s/ Melinda G. Heika
	Melinda G. Heika Treasurer
Date: March 7, 2014