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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-04984

AMERICAN BEACON FUNDS

(Exact name of registrant as specified in charter)

4151 Amon Carter Boulevard, MD 2450

Fort Worth, Texas 76155

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

Gene L. Needles, Jr., PRESIDENT

4151 Amon Carter Boulevard, MD 2450

Fort Worth, Texas 76155

(Name and address of agent for service)

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

Date of fiscal year end: December 31, 2014

Date of reporting period: June 30, 2014

ITEM 1. REPORTS TO STOCKHOLDERS.

About American Beacon Advisors

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

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

Contents

President’s Message	1
Performance Overviews	2
Schedules of Investments:
Bridgeway Large Cap Value Fund	12
Holland Large Cap Growth Fund	15
Stephens Small Cap Growth Fund	17
Stephens Mid-Cap Growth Fund	20
Financial Statements	22
Notes to the Financial Statements	26
Financial Highlights	44
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 participate in a securities lending program and may invest in futures contracts, which are a type of derivative investment. Investing in derivatives could result in losing more than the amount invested. Investing in foreign securities entails additional risk not associated with domestic securities, such as currency fluctuations, economic and political instability and differences in accounting standards. Investing in the securities of small and mid-capitalization companies involves greater risk and the possibility of greater price volatility than investing in larger capitalization and more established companies. Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales. Please see the prospectus for a complete discussion of each Fund’s risks. There can be no assurances that the investment objectives of these Funds will be met.

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

American Beacon Funds June 30, 2014

Dear Shareholders,

After a spectacular 2013, in which the S&P 500 Index increased by more than 32%, many investors expected the markets to come back to earth in 2014. Perhaps, some felt, we were even due for a correction. Instead, most stocks have been solidly positive throughout the first half of 2014, as the broad-market S&P 500 Index has risen 7.1%.

This rally has been remarkably broad-based. Of the 10 industry sectors that the S&P is divided into, only one – Consumer Discretionary – lost ground during the first six months of the year, and that was by the smallest possible margin, at a negative 0.1%.

But at the same time, not all issues have been rising in unison. Correlations (or how stocks behave relative to one another) have been falling in 2014. In May, the average correlation of the 10 S&P 500 large-cap sectors to the Index itself was just 70.6%, the second-lowest level since October 2009. That’s down from 85% toward the beginning of the year and closer to 95% as recently as 2011.

This presents an environment in which many investors can do well in the stock market, but active management may help them thrive. When stocks are not rising in unison, it’s important to have an experienced stock-picker to help lead the way through what can be a challenging landscape. We at American Beacon are fortunate to have several asset managers who have shown that kind of acumen over the course of many years and through varied market conditions.

For the six months ended June 30, 2014:

• The American Beacon Bridgeway Large Cap Value Fund (Investor Class) returned 8.46%.

• The American Beacon Holland Large Cap Growth Fund (Investor Class) returned 3.94%.

• The American Beacon Stephens Small Cap Growth Fund (Investor Class) returned -2.83%.

• The American Beacon Stephens Mid-Cap Growth Fund (Investor Class) returned 2.27%.

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

Best Regards,

Gene L. Needles, Jr.

President

American Beacon Funds

1

American Beacon Bridgeway Large Cap Value Fund^SM

Performance Overview

June 30, 2014 (Unaudited)

The Investor Class of the American Beacon Bridgeway Large Cap Value Fund (the “Fund”) returned 8.46% for the six months ended June 30, 2014, compared to the Russell 1000^® Value Index (the “Index”) return of 8.28% for the same period.

Total Returns for the Period ended 6/30/14

	6 Months*			1 Year			5 Years			10 Years
Institutional Class (1,7)		8.56	%		27.45	%		21.09	%		9.65	%
Y Class (1,2,7)		8.57	%		27.38	%		21.04	%		9.63	%
Investor Class(1,3,7)		8.46	%		27.11	%		20.90	%		9.57	%
A Class with sales charge (1,4,7)		2.13	%		19.51	%		19.38	%		8.87	%
A Class without sales charge (1,4,7)		8.34	%		26.82	%		20.80	%		9.52	%
C Class with sales charge (1,5,7)		6.95	%		24.97	%		20.42	%		9.35	%
C Class without sales charge (1,5,7)		7.95	%		25.97	%		20.42	%		9.35	%
Russell 1000 Value Index (6)		8.28	%		23.81	%		19.23	%		8.03	%

* Not annualized.

1. Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please call 1-800-967-9009 or visit www.americanbeaconfunds.com. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. A portion of the fees charged to the Institutional Class was waived from 2008 through 2013 and partially recouped in 2014. Performance prior to waiving fees was lower than the actual returns shown from 2008 through 2013.

2. Fund performance for the five-year and ten-year periods represent the returns achieved by the Institutional Class from 6/30/04 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 6/30/04. A portion of the fees charged to the Y Class was waived in 2012 and partially recouped in 2013 and 2014. Performance prior to waiving fees was lower than the actual returns shown in 2012.

3. Fund performance for the five-year and ten-year periods represent the returns achieved by the Institutional Class from 6/30/04 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 6/30/04. A portion of the fees charged to the Investor Class was waived in 2012 and partially recouped in 2013. Performance prior to waiving fees was lower than the actual returns shown in 2012.

4. Fund performance for the five-year and ten-year periods represent the returns achieved by the Institutional Class from 6/30/04 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 6/30/04. A portion of the fees charged to the A Class was waived in 2012 and 2013 and partially recouped in 2014. Performance prior to waiving fees was lower than the actual returns shown in 2012 and 2013. 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 6/30/04 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 6/30/04. A portion of the fees charged to the C Class was waived in 2012 and 2013 and partially recouped in 2014. Performance prior to waiving fees was lower than the actual returns shown in 2012 and 2013. 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 1.02%, 0.94%, 1.09% 1.35%, and 2.10%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report.

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

Investments in the Industrials and Telecommunication Services sectors contributed more than 105 (1.05%) and 35 (0.35%) basis points, respectively, to performance. In the Industrials sector, Southwest Airlines (up 42.8%) and Delta Air

2

American Beacon Bridgeway Large Cap Value Fund^SM

Performance Overview

June 30, 2014 (Unaudited)

Lines (up 42.3%) were the largest contributors. Not owning General Electric, which was down 4.6% in the Index, also positively impacted the Fund’s returns. Companies in the Telecommunication Services sectors which added relative value included Level 3 Communications (up 31.0%) and CenturyLink (up 18.6%). The aforementioned good performance was somewhat offset by poor stock selection in the Financials sector. Loews (down 8.6%) and AFLAC (down 5.4%) were the largest detractors in the Financials sector. The Fund’s smaller position in Wells Fargo (up 17.5%) versus the Index, also detracted relative value.

An underweight position in Health Care, one of the better performing sectors in the Index, detracted from the Fund’s returns through sector allocation. This underperformance was mostly offset by an underweight in Consumer Staples which added relative value.

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)

Skyworks Solutions Inc.	1.9
Southwest Airlines Co.	1.9
Level 3 Communications, Inc.	1.8
Pfizer, Inc.	1.8
Cardinal Health, Inc.	1.3
WellPoint, Inc.	1.3
Hess Corp.	1.1
L-3 Communications Holdings, Inc.	1.1
Delta Air Lines, Inc.	1.1
ConocoPhillips	1.1
Total Fund Holdings	117

Sector Allocation (% Equities)

Financials	27.0
Energy	14.8
Industrials	11.4
Information Technology	11.1
Health Care	9.6
Utilities	8.7
Consumer Discretionary	7.5
Telecommunication Services	5.1
Materials	4.1
Consumer Staples	0.7

3

American Beacon Holland Large Cap Growth Fund^SM

Performance Overview

June 30, 2014 (Unaudited)

The Investor Class of the American Beacon Holland Large Cap Growth Fund (the “Fund”) returned 3.94% for the six months ended June 30, 2014, compared to the Russell 1000^® Growth Index (the “Index”) return of 6.31% for the same period.

Total Returns for the Period ended 6/30/14

	6 Months*			1 Year			5 Years			10 Years
Institutional Class (1,2,7)		4.06	%		22.17	%		17.90	%		7.25	%
Y Class (1,3,7)		4.03	%		22.00	%		17.83	%		7.22	%
Investor Class (1,7)		3.94	%		21.75	%		17.63	%		7.13	%
A Class with sales charge (1,4,7)		-2.12	%		14.59	%		16.16	%		6.46	%
A Class without sales charge (1,4,7)		3.85	%		21.60	%		17.54	%		7.09	%
C Class with sales charge (1,5,7)		2.45	%		19.61	%		17.13	%		6.90	%
C Class without sales charge (1,5,7)		3.45	%		20.61	%		17.13	%		6.90	%
Russell 1000 Growth Index (6)		6.31	%		26.92	%		19.24	%		8.20	%

* Not annualized

1. Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please call 1-800-967-9009 or visit www.americanbeaconfunds.com. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. A portion of the fees charged to the Investor Class was waived from 2002 through 2012 and partially recouped in 2013 and 2014. Performance prior to waiving fees was lower than the actual returns shown from 2002 through 2012.

2. Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 6/30/04 up to 3/1/10, the inception date of the Institutional Class, and the returns of the Institutional Class since its inception. Expenses of the Institutional Class are lower than those of the Investor Class. As a result, total returns shown may be lower than they would have been had the Institutional Class been in existence since 6/30/04. A portion of the fees charged to the Institutional Class was waived from 2010 through 2012 and partially recouped in 2013. Performance prior to waiving fees was lower than the actual returns shown from 2010 through 2012.

3. Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 6/30/04 up to 3/1/10, the Institutional

Class from 3/1/10 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 and higher than those of the Institutional Class. As a result, total returns shown may be different than they would have been had the Y Class been in existence since 6/30/04. A portion of the fees charged to the Y Class was waived in 2012, partially recouped in 2013 and waived in 2014. Performance prior to waiving fees was lower than the actual returns shown in 2012 and 2014.

4. Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 6/30/04 through 2/1/10, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 6/30/04. A Class shares have a maximum sales charge of 5.75%. A portion of the fees charged to the A Class has been waived since 2010. Performance prior to waiving fees was lower than the actual returns shown since 2010.

5. Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 6/30/04 to 2/1/10 and the returns of the A Class from 2/1/10 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 and A 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. C Class has a maximum contingent deferred sales charge of 1.00% for shares redeemed within one year of the date of purchase. A portion of the fees charged to the C Class has been waived since 2012. Performance prior to waiving fees was lower than the actual returns shown since 2012.

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 0.86%, 0.97%, 1.26%, 1.40%, and 2.15% respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report.

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

Investments in the Energy sector detracted more than 100 basis points (1.00%) from

4

American Beacon Holland Large Cap Growth Fund^SM

Performance Overview

June 30, 2014 (Unaudited)

performance. Not owning Schlumberger and EOG Resources, which were up 32.0% and 39.6%, respectively, in the Index, detracted from the Fund’s returns in the Energy sector. Holdings in the Health Care, Consumer Discretionary and Financials sectors also detracted relative value. In the Health Care sector, Biomarin Pharmaceutical (down 12.0%), Cerner (down 7.5%) and Bristol Myers Squibb (down 8.1%) were the largest detractors. Companies in the Consumer Discretionary sector which negatively impacted performance included GNC Holdings (down 41.7%) and Amazon.com (down 18.6%). Greenhill (down 13.7%) hurt performance in the Financials sector.

A significant overweight in Energy, the best performing sector in the Index, contributed approximately 95 basis points (0.95%) to performance through sector allocation.

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.	4.6
Range Resources Corp.	4.0
Visa, Inc.	3.9
Google, Inc.	3.4
Priceline.com, Inc.	3.4
Adobe Systems, Inc.	3.4
Apple, Inc.	3.4
Citrix Systems, Inc.	3.3
Amazon.com, Inc.	3.3
Cisco Systems, Inc.	2.9
Total Fund Holdings	49

Sector Allocation (% Equities)

Information Technology	33.9
Consumer Discretionary	18.8
Health Care	13.7
Energy	10.5
Industrials	9.0
Consumer Staples	7.9
Financials	3.3
Materials	2.9

5

American Beacon Stephens Small Cap Growth Fund^SM

Performance Overview

June 30, 2014 (Unaudited)

The Investor Class of the American Beacon Stephens Small Cap Growth Fund (the “Fund”) returned -2.83% for the six months ended June 30, 2014, underperforming the Russell 2000^® Growth Index (the “Index”) return of 2.22% for the same period.

Total Returns for the Period ended 6/30/14

	6 Months*			1 Year			5 Years			Since Incep. 12/1/05
Institutional Class (1,2,7)		-2.75	%		18.27	%		19.97	%		9.99	%
Y Class (1,3,7)		-2.81	%		18.14	%		19.79	%		8.61	%
Investor Class (1,7)		-2.83	%		18.00	%		19.69	%		8.55	%
A Class with sales charge (1,4,7)		-8.58	%		10.89	%		18.15	%		7.73	%
A Class without sales charge (1,4,7)		-3.02	%		17.62	%		19.55	%		8.48	%
C Class with sales charge (1,5,7)		-4.30	%		15.82	%		19.15	%		8.26	%
C Class without sales charge (1,5,7)		-3.30	%		16.82	%		19.15	%		8.26	%
S&P 500 Index (6)		7.14	%		24.61	%		18.83	%		7.65	%
Russell 2000 Growth Index (6)		2.22	%		24.73	%		20.50	%		9.07	%

* Not annualized

1. Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please call 1-800-967-9009 or visit www.americanbeaconfunds.com. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. A portion of the fees charged to the Investor Class was waived from 2005 through 2013 and partially recouped in 2014. Performance prior to waiving fees was lower than the actual returns shown from 2005 through 2013.

2. Fund performance for the since inception period represents the returns achieved by the Institutional Class since its inception of 8/31/06. A portion of the fees charged to the Institutional Class was waived from 2006 through 2013 and partially recouped in 2014. Performance prior to waiving fees was lower than the actual returns shown from 2006 through 2013.

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. A portion of the fees charged to the Y Class was waived in 2012 and 2013 and partially recouped in 2014. Performance prior to waiving fees was lower than the actual returns shown in 2012 and 2013.

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 portion of the fees charged to the A Class was waived in 2012 and partially recouped in 2013 and 2014. Performance prior to waiving fees was lower than the actual returns shown in 2012. 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. A portion of the fees charged to the C Class was waived in 2012 and partially recouped in 2013 and 2014. Performance prior to waiving fees was lower than the actual returns shown in 2012. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase.

6. The S&P 500 Index is a market capitalization weighted index of common stocks publicly traded in the United States. The Russell 2000 Growth Index is an unmanaged index of those stocks in the Russell 2000 Index with higher price-to-book ratios and higher forecasted growth values. The Russell 2000 Index is an unmanaged index of approximately 2000 smaller-capitalization stocks from various industrial sectors. The Russell 2000 Growth Index and the Russell 2000 Index are registered trademarks of Frank Russell Company. One cannot directly invest in an index.

7. The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 1.12%, 1.20%, 1.40%, 1.58%, and 2.34% respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report.

The Fund underperformed the Index primarily due to stock selection as sector allocation detracted modest value relative to the Index.

Holdings in the Information Technology, Financials and Industrials sectors detracted the most value from the Fund’s returns. In the Information Technology sector, Pros Holdings (down

6

American Beacon Stephens Small Cap Growth Fund^SM

Performance Overview

June 30, 2014 (Unaudited)

33.5%), Infoblox (down 60.9%) and HealthStream (down 26.9%) detracted the most relative value. Companies in the Financials sector which negatively impacted performance included Bancorp (down 39.3%), Cardtronics (down 21.8%) and eHealth (down 27.4%). In the Industrials sector, WageWorks (down 18.9%), Trex (down 27.3%) and CoStar (down 14.2%) hurt performance. The aforementioned poor performance was somewhat offset by good stock selection in the Energy sector which contributed to the Fund’s returns. Pioneer Energy Services (up 118.2%), Athlon Energy (up 59.4%) and Carrizo Oil & Gas (up 54.2%) contributed the most relative value to performance in the Energy sector.

An overweight position in the Financials sector detracted from the Fund’s returns through sector allocation. The aforementioned performance was mostly offset by an overweight in Energy, the second best performing sector in the Index, which added relative value.

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)

Proto Labs, Inc.	1.8
Akorn, Inc.	1.7
Pacira Pharmaceuticals, Inc.	1.6
Cognex Corp.	1.6
National CineMedia, Inc.	1.6
Aspen Technology, Inc.	1.6
Encore Capital Group, Inc.	1.5
CoStar Group, Inc.	1.4
Portfolio Recovery Associates, Inc.	1.4
Neogen Corp.	1.4
Total Fund Holdings	119

Sector Allocation (% Equities)

Information Technology	24.2
Health Care	22.5
Consumer Discretionary	13.6
Industrials	13.1
Financials	11.0
Energy	9.7
Consumer Staples	4.0
Materials	1.4
Telecommunication Services	0.5

7

American Beacon Stephens Mid-Cap Growth Fund^SM

Performance Overview

June 30, 2014 (Unaudited)

The Investor Class of the American Beacon Stephens Mid-Cap Growth Fund (the “Fund”) returned 2.27% for the six months ended June 30, 2014. The Fund underperformed the Russell Midcap^® Growth Index (the “Index”) return of 6.51% for the same period.

Total Returns for the Period ended 6/30/14

	6 Months*			1 Year			5 Years			Since Incep. 2/1/06
Institutional Class (1,2,7)		2.48	%		20.73	%		20.71	%		10.00	%
Y Class (1,3,7)		2.38	%		20.60	%		20.52	%		7.94	%
Investor Class (1,7)		2.27	%		20.31	%		20.34	%		7.85	%
A Class with sales charge (1,4,7)		-3.64	%		13.18	%		18.86	%		7.06	%
A Class without sales charge (1,4,7)		2.21	%		20.11	%		20.28	%		7.82	%
C Class with sales charge (1,5,7)		0.84	%		18.29	%		19.89	%		7.61	%
C Class without sales charge (1,5,7)		1.84	%		19.29	%		19.89	%		7.61	%
S&P 500 Index (6)		7.14	%		24.61	%		18.83	%		7.47	%
Russell Midcap Growth Index (6)		6.51	%		26.04	%		21.16	%		8.41	%

* Not annualized

1. Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please call 1-800-967-9009 or visit www.americanbeaconfunds.com. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. A portion of the fees charged to the Investor Class was waived from 2006 through 2013 and partially recouped in 2014. Performance prior to waiving fees was lower than the actual returns shown from 2006 through 2013.

2. Fund performance for the since inception period represents the returns achieved by the Institutional Class since its inception of 8/31/06. A portion of the fees charged to the Institutional Class has been waived since 2006. Performance prior to waiving fees was lower than the actual returns shown since 2006.

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. A portion of the

fees charged to the Y Class has been waived since 2012. Performance prior to waiving fees was lower than the actual returns shown since 2012.

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 portion of the fees charged to the A Class has been waived since 2012. Performance prior to waiving fees was lower than the actual returns shown since 2012. 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. A portion of the fees charged to the C Class has been waived since 2012. Performance prior to waiving fees was lower than the actual returns shown since 2012. 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 1.11%, 1.14%, 1.38%, 1.56%, and 2.28%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report.

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

Investments in the Consumer Discretionary sector detracted more than 115 basis points (1.15%) from performance. Lululemon Athletica (down 38.7%), LKQ (down 19.0%) and Tractor Supply (down 21.9%) were the largest detractors in the Consumer Discretionary sector. The Fund’s Industrials, Consumer Staples and Financials sectors

8

American Beacon Stephens Mid-Cap Growth Fund^SM

Performance Overview

June 30, 2014 (Unaudited)

also negatively impacted performance. In the Industrials sector, companies detracting the most relative value included CoStar Group (down 14.1%), Verisk Analytics (down 8.7%) and HMS Holdings (down 10.8%). Whole Foods Market (down 33.2%) and United Natural Foods (down 13.0%) detracted from the Fund’s returns in the Consumer Staples sector. In the Financials sector, Towers Watson (down 18.9%), Intercontinental Exchange (down 15.6%) and Affiliated Managers Group (down 7.6%) hurt performance. Good stock selection in the Health Care sector contributed to the Fund’s returns. Illumina (up 62.7%), Shire (up 67.4%) and Salix Pharmaceuticals (up 36.6%) added relative value in the Health Care sector.

A significant overweight position in Energy, the second best performing sector in the Index, contributed to the Fund’s performance through sector allocation. Being underweight Materials and overweight the Information Technology sector detracted 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.	2.1
Stericycle, Inc.	1.5
Cerner Corp.	1.5
Fortinet, Inc.	1.4
Brown-Forman Corp.	1.4
Airgas, Inc.	1.3
Portfolio Recovery Associates, Inc.	1.3
LKQ Corp.	1.3
Verisk Analytics, Inc.	1.3
Core Laboratories NV	1.3
Total Fund Holdings	107

Sector Allocation (% Equities)

Information Technology	26.0
Consumer Discretionary	20.4
Health Care	19.9
Industrials	11.4
Energy	9.9
Financials	6.3
Consumer Staples	4.7
Materials	1.4

9

American Beacon Fund^SM

Fund Expenses

June 30, 2014 (Unaudited)

Fund Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including management fees, administrative service fees, distribution (12b-1) fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 invested at the beginning of the period in each Class and held for the entire period from January 1, 2014 through June 30, 2014.

Actual Expenses

The “Actual” lines of the table provide information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. Shareholders of the Investor and Institutional Classes that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.

Hypothetical Example for Comparison Purposes

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

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

10

American Beacon Fund^SM

Fund Expenses

June 30, 2014 (Unaudited)

Bridgeway Large Cap Value Fund

	Beginning Account Value 1/1/14		Ending Account Value 6/30/14		Expenses Paid During Period* 1/1/14 - 6/30/14
Institutional Class
Actual	$	1,000.00	$	1,085.56	$	4.34
Hypothetical **	$	1,000.00	$	1,020.63	$	4.21
Y Class
Actual	$	1,000.00	$	1,085.70	$	4.65
Hypothetical **	$	1,000.00	$	1,020.33	$	4.51
Investor Class
Actual	$	1,000.00	$	1,084.58	$	5.84
Hypothetical **	$	1,000.00	$	1,019.19	$	5.66
A Class
Actual	$	1,000.00	$	1,083.40	$	6.92
Hypothetical **	$	1,000.00	$	1,018.15	$	6.71
C Class
Actual	$	1,000.00	$	1,079.52	$	10.78
Hypothetical **	$	1,000.00	$	1,014.43	$	10.44

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.84%, 0.90%, 1.13%, 1.34%, and 2.09% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

Holland Large Cap Growth Fund

	Beginning Account Value 1/1/14		Ending Account Value 6/30/14		Expenses Paid During Period* 1/1/14 - 6/30/14
Institutional Class
Actual	$	1,000.00	$	1,040.64	$	4.50
Hypothetical **	$	1,000.00	$	1,020.38	$	4.46
Y Class
Actual	$	1,000.00	$	1,040.33	$	5.01
Hypothetical **	$	1,000.00	$	1,019.89	$	4.96
Investor Class
Actual	$	1,000.00	$	1,039.45	$	6.37
Hypothetical **	$	1,000.00	$	1,018.55	$	6.31
A Class
Actual	$	1,000.00	$	1,038.52	$	7.03
Hypothetical **	$	1,000.00	$	1,017.90	$	6.95
C Class
Actual	$	1,000.00	$	1,034.48	$	10.80
Hypothetical **	$	1,000.00	$	1,014.18	$	10.69

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.89%, 0.99%, 1.26%, 1.39%, and 2.14% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

Stephens Small Cap Growth Fund

	Beginning Account Value 1/1/14		Ending Account Value 6/30/14		Expenses Paid During Period* 1/1/14 - 6/30/14
Institutional Class
Actual	$	1,000.00	$	972.51	$	5.33
Hypothetical **	$	1,000.00	$	1,019.39	$	5.46
Y Class
Actual	$	1,000.00	$	971.92	$	5.72
Hypothetical **	$	1,000.00	$	1,018.99	$	5.86
Investor Class
Actual	$	1,000.00	$	971.73	$	6.60
Hypothetical **	$	1,000.00	$	1,018.10	$	6.76
A Class
Actual	$	1,000.00	$	969.85	$	7.77
Hypothetical **	$	1,000.00	$	1,016.91	$	7.95
C Class
Actual	$	1,000.00	$	966.99	$	11.41
Hypothetical **	$	1,000.00	$	1,013.19	$	11.68

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 1.09%, 1.17%, 1.35%, 1.59%, and 2.34% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

Stephens Mid-Cap Growth Fund

	Beginning Account Value 1/1/14		Ending Account Value 6/30/14		Expenses Paid During Period* 1/1/14 - 6/30/14
Institutional Class
Actual	$	1,000.00	$	1,024.80	$	4.97
Hypothetical **	$	1,000.00	$	1,019.89	$	4.96
Y Class
Actual	$	1,000.00	$	1,023.78	$	5.47
Hypothetical **	$	1,000.00	$	1,019.39	$	5.46
Investor Class
Actual	$	1,000.00	$	1,022.67	$	6.87
Hypothetical **	$	1,000.00	$	1,018.00	$	6.85
A Class
Actual	$	1,000.00	$	1,022.15	$	7.47
Hypothetical **	$	1,000.00	$	1,017.41	$	7.45
C Class
Actual	$	1,000.00	$	1,018.40	$	11.21
Hypothetical **	$	1,000.00	$	1,013.69	$	11.18

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.99%, 1.09%, 1.37%, 1.49%, and 2.24% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

11

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

June 30, 2014 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK – 97.37%
CONSUMER DISCRETIONARY – 7.28%
Auto Components – 1.33%
Lear Corp.		53,000	$	4,734
TRW Automotive Holdings Corp.A		56,000		5,013
				9,747
Automobiles – 1.47%
Ford Motor Co.		240,540		4,147
General Motors Co.		181,980		6,606
				10,753
Hotels, Restaurants & Leisure – 0.93%
MGM Resorts InternationalA		258,000		6,811
Household Durables – 1.55%
Garmin Ltd.		111,200		6,772
Snap-On, Inc.		39,500		4,682
				11,454
Media – 1.32%
Comcast Corp., Class A		84,000		4,509
Twenty-First Century Fox, Inc., Class A		147,280		5,177
				9,686
Multiline Retail – 0.68%
Macy’s, Inc.		85,400		4,955
Total Consumer Discretionary				53,406
CONSUMER STAPLES – 0.85%
Food Products – 0.85%
Tyson Foods, Inc., Class A		165,600		6,217
ENERGY – 14.39%
Energy Equipment & Services – 1.07%
Helmerich & Payne, Inc.		67,660		7,856
Oil & Gas – 13.32%
Chesapeake Energy Corp.		249,600		7,758
Chevron Corp.		25,024		3,267
Cimarex Energy Co.		53,500		7,675
ConocoPhillips		93,470		8,013
Devon Energy Corp.		86,000		6,828
Exxon Mobil Corp.		48,170		4,850
Hess Corp.		83,400		8,248
Holly Frontier Corp.		93,540		4,087
Kinder Morgan, Inc.		210,700		7,640
Marathon Petroleum Corp.		92,470		7,219
Murphy Oil Corp.		110,600		7,353
Noble Energy, Inc.		59,530		4,611
Phillips 66		70,900		5,702
Tesoro Corp.		47,050		2,760
Valero Energy Corp.		125,700		6,298
Whiting Petroleum Corp.A		68,250		5,477
				97,786
Total Energy				105,642
FINANCIALS – 26.33%
Banks – 5.32%
Fifth Third Bancorp		295,000		6,298
Huntington Bancshares, Inc.		406,300		3,876
KeyCorp		237,300		3,401
M&T Bank Corp.		56,320		6,986
PNC Financial Services Group, Inc.		76,000		6,768

	Shares		Fair Value
			(000’s)
Regions Financial Corp.		443,000	$	4,705
U.S. Bancorp		162,400		7,035
				39,069
Diversified Financials – 8.12%
Ameriprise Financial, Inc.		57,900		6,948
Bank of America Corp.		252,400		3,879
Capital One Financial Corp.		82,900		6,848
Citigroup, Inc.		143,900		6,778
Discover Financial Services		108,800		6,743
Goldman Sachs Group, Inc.		35,600		5,961
JPMorgan Chase & Co.		83,200		4,794
Morgan Stanley		127,500		4,122
TD Ameritrade Holding Corp.		194,300		6,091
Wells Fargo & Co.		141,300		7,427
				59,591
Insurance – 11.94%
ACE Ltd.		63,700		6,606
Aflac, Inc.		117,700		7,327
Allstate Corp.		59,000		3,464
American International Group, Inc.		119,800		6,539
Chubb Corp.		60,900		5,613
Everest Re Group Ltd.		45,900		7,367
Fidelity National Financial, Inc., Class A		105,600		3,459
Genworth Financial, Inc., Class AA		258,470		4,497
Lincoln National Corp.		145,800		7,501
Loews Corp.		134,400		5,915
Marsh & McLennan Cos., Inc.		91,400		4,736
Principal Financial Group, Inc.		66,900		3,377
Prudential Financial, Inc.		45,200		4,012
Torchmark Corp.		41,600		3,408
Travelers Cos., Inc.		69,600		6,547
Unum Group		100,900		3,507
WR Berkley Corp.		80,300		3,719
				87,594
Real Estate – 0.95%
Vornado Realty TrustB		65,280		6,967
Total Financials				193,221
HEALTH CARE – 9.32%
Health Care Equipment & Supplies – 1.20%
Boston Scientific Corp.A		259,200		3,310
The Cooper Companies, Inc.		40,500		5,489
				8,799
Health Care Providers & Services – 4.85%
Cardinal Health, Inc.		143,150		9,814
Cigna Corp.		44,500		4,093
HCA Holdings, Inc.A		89,500		5,046
Quest Diagnostics, Inc.		122,100		7,166
WellPoint, Inc.		87,910		9,460
				35,579
Pharmaceuticals – 3.27%
Eli Lilly & Co.		84,830		5,274
Merck & Co., Inc.		102,000		5,901
Pfizer, Inc.		433,020		12,852
				24,027
Total Health Care				68,405
INDUSTRIALS – 11.08%
Aerospace & Defense – 3.07%
L-3 Communications Holdings, Inc.		68,300		8,247

See accompanying notes

12

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

June 30, 2014 (Unaudited)

	Shares		Fair Value
			(000’s)
Northrop Grumman Corp.		64,500	$	7,716
Raytheon Co.		70,860		6,537
				22,500
Air Freight & Couriers – 0.92%
FedEx Corp.		44,700		6,767
Airlines – 3.98%
Alaska Air Group, Inc.		77,000		7,319
Delta Air Lines, Inc.		208,000		8,054
Southwest Airlines Co.		514,800		13,827
				29,200
Commercial Services & Supplies – 0.66%
Cintas Corp.		76,200		4,842
Electrical Equipment – 0.67%
First Solar, Inc.A		69,700		4,953
Machinery – 0.98%
Danaher Corp.		91,200		7,180
Road & Rail – 0.80%
Norfolk Southern Corp.		56,900		5,862
Total Industrials				81,304
INFORMATION TECHNOLOGY – 10.77%
Computers & Peripherals – 2.40%
Hewlett-Packard Co.		220,940		7,441
NVIDIA Corp.		265,000		4,913
Western Digital Corp.		57,000		5,261
				17,615
IT Consulting & Services – 0.47%
Computer Sciences Corp.		55,100		3,482
Office Electronics – 0.64%
Xerox Corp.		378,700		4,711
Semiconductor Equipment & Products – 3.45%
Marvell Technology Group Ltd.		268,100		3,842
Micron Technology, Inc.A		235,400		7,756
Skyworks Solutions, Inc.		292,900		13,755
				25,353
Software – 3.81%
Activision Blizzard, Inc.		312,400		6,967
Amdocs Ltd.		154,000		7,134
Electronic Arts, Inc.A		185,700		6,661
Navient Corp.		240,800		4,265
Synopsys, Inc.A		74,000		2,873
				27,900
Total Information Technology				79,061
MATERIALS – 3.95%
Chemicals – 2.29%
CF Industries Holdings, Inc.		28,500		6,855
Dow Chemical Co.		110,900		5,707
Sigma-Aldrich Corp.		42,100		4,272
				16,834
Metals & Mining – 1.66%
Alcoa, Inc.		524,400		7,809
Freeport-McMoRan Copper & Gold, Inc.		119,900		4,376
				12,185
Total Materials				29,019

	Shares		Fair Value
			(000’s)
TELECOMMUNICATION SERVICES – 4.92%
Diversified Telecommunication Services – 3.93%
AT&T, Inc.		225,749	$	7,983
CenturyLink, Inc.		206,000		7,457
Level 3 Communications, Inc.A		306,000		13,437
				28,877
Wireless Telecommunication Services – 0.99%
T-Mobile US, Inc.		215,300		7,238
Total Telecommunication Services				36,115
UTILITIES – 8.48%
Electric – 8.48%
AES Corp.		311,200		4,839
Ameren Corp.		138,900		5,678
American Electric Power Co., Inc.		134,100		7,480
Duke Energy Corp.		74,200		5,505
Edison International		90,800		5,276
Entergy Corp.		48,700		3,998
Exelon Corp.		168,500		6,147
Pinnacle West Capital Corp.		79,900		4,621
PPL Corp.		119,400		4,242
Public Service Enterprise Group, Inc.		174,900		7,134
Southern Co.		161,400		7,324
Total Utilities				62,244
Total Common Stock (Cost $626,480)				714,634
SHORT-TERM INVESTMENTS – 1.65% (Cost $12,108)
JPMorgan U.S. Government Money Market Fund, Capital Class		12,108,276		12,108
TOTAL INVESTMENTS – 99.02% (Cost $638,588)				726,742
OTHER ASSETS, NET OF LIABILITIES – 0.98%				7,202
TOTAL NET ASSETS – 100.00%			$	733,944

Percentages are stated as a percent of net assets.

^A Non-income producing security.

^B REIT - Real Estate Investment Trust.

13

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

June 30, 2014 (Unaudited)

Futures Contracts Open on June 30, 2014 (000’s):

Description	Type		Number of Contracts		Expiration Date		Contract Value		Unrealized Appreciation (Depreciation)
S&P 500 Mini E Index September Futures		Long		117		September, 2014	$	11,422	$	9
							$	11,422	$	9

See accompanying notes

14

American Beacon Holland Large Cap Growth Fund^SM

Schedule of Investments

June 30, 2014 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK – 97.40%
CONSUMER DISCRETIONARY – 18.29%
Hotels, Restaurants & Leisure – 2.54%
Yum! Brands, Inc.		29,900	$	2,428
Internet & Catalog Retail – 6.70%
Amazon.com, Inc.A		9,625		3,126
priceline.com, Inc.A		2,740		3,296
				6,422
Media – 1.97%
Twenty-First Century Fox, Inc., Class A		53,600		1,884
Specialty Retail – 3.57%
Advance Auto Parts, Inc.		16,050		2,165
GNC Holdings, Inc., Class A		36,950		1,260
				3,425
Textiles & Apparel – 3.51%
NIKE, Inc., Class B		19,350		1,501
Under Armour, Inc., Class AA		31,250		1,859
				3,360
Total Consumer Discretionary				17,519
CONSUMER STAPLES – 7.66%
Beverages – 2.61%
Monster Beverage Corp.A		20,250		1,438
PepsiCo, Inc.		11,850		1,059
				2,497
Food & Drug Retailing – 3.92%
Costco Wholesale Corp.		15,530		1,788
Mead Johnson Nutrition Co., Class A		21,050		1,961
				3,749
Household Products – 1.13%
Procter & Gamble Co.		13,800		1,085
Total Consumer Staples				7,331
ENERGY – 10.26%
Energy Equipment & Services – 4.62%
Cameron International Corp.A		26,700		1,808
Halliburton Co.		36,850		2,617
				4,425
Oil & Gas – 5.64%
Occidental Petroleum Corp.		15,600		1,601
Range Resources Corp.		43,675		3,797
				5,398
Total Energy				9,823
FINANCIALS – 3.26%
Diversified Financials – 3.26%
BlackRock, Inc., Class A		4,245		1,357
Greenhill & Co., Inc.		17,400		857
TD Ameritrade Holding Corp.		29,000		909
Total Financials				3,123
HEALTH CARE – 13.30%
Biotechnology – 5.18%
BioMarin Pharmaceutical, Inc.A		13,795		858
Gilead Sciences, Inc.A		33,050		2,741
Vertex Pharmaceuticals, Inc.A		14,400		1,363
				4,962

	Shares		Fair Value
			(000’s)
Health Care Equipment & Supplies – 2.54%
Covidien PLCB		26,980	$	2,433
Health Care Providers & Services – 3.86%
Cerner Corp.A		26,950		1,390
DaVita HealthCare Partners, Inc.A		31,840		2,303
				3,693
Pharmaceuticals – 1.72%
Bristol-Myers Squibb Co.		33,900		1,644
Total Health Care				12,732
INDUSTRIALS – 8.75%
Aerospace & Defense – 2.16%
Boeing Co.		6,800		865
United Technologies Corp.		10,450		1,207
				2,072
Airlines – 1.08%
Copa Holdings S.A., Class A		7,250		1,034
Electrical Equipment – 1.71%
Roper Industries, Inc.		11,240		1,641
Industrial Conglomerates – 2.29%
Honeywell International, Inc.		23,550		2,188
Machinery – 1.51%
WABCO Holdings, Inc.A		13,500		1,442
Total Industrials				8,377
INFORMATION TECHNOLOGY – 33.01%
Communications Equipment – 2.87%
Cisco Systems, Inc.		110,600		2,748
Computers & Peripherals – 5.28%
Apple, Inc.		34,755		3,229
International Business Machines Corp.		10,060		1,824
				5,053
Internet Software & Services – 3.45%
Google, Inc., Class AA		2,850		1,666
Google, Inc., Class CA		2,850		1,640
				3,306
IT Consulting & Services – 6.89%
Automatic Data Processing, Inc.		10,200		809
IHS, Inc., Class AA		14,990		2,034
Visa, Inc., Class A		17,835		3,758
				6,601
Semiconductor Equipment & Products – 4.57%
Qualcomm, Inc.		55,200		4,372
Software – 9.95%
Adobe Systems, Inc.A		45,350		3,282
Citrix Systems, Inc.A		50,700		3,171
Intuit, Inc.		14,850		1,196
MICROS Systems, Inc.A		14,150		961
Microsoft Corp.		22,150		924
				9,534
Total Information Technology				31,614

15

American Beacon Holland Large Cap Growth Fund^SM

Schedule of Investments

June 30, 2014 (Unaudited)

	Shares		Fair Value
			(000’s)
MATERIALS – 2.87%
Chemicals – 2.87%
Ecolab, Inc.		9,050	$	1,008
Praxair, Inc.		13,095		1,739
Total Materials				2,747
Total Common Stock (Cost $59,484)				93,266
SHORT-TERM INVESTMENTS – 2.61% (Cost $2,501)
JPMorgan U.S. Government Money Market Fund, Capital Class		2,500,991		2,501
TOTAL INVESTMENTS – 100.01% (Cost $61,985)				95,767
LIABILITIES, NET OF OTHER ASSETS – (0.01%)				(14	)
TOTAL NET ASSETS – 100.00%			$	95,753

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

^B  PLC – Public Limited Company.

Futures Contracts Open on June 30, 2014 (000’s):

Description	Type		Number of Contracts		Expiration Date		Contract Value		Unrealized Appreciation (Depreciation)
S&P 500 Mini E Index September Futures		Long		24		September, 2014	$	2,343	$	30
							$	2,343	$	30

See accompanying notes

16

American Beacon Stephens Small Cap Growth Fund^SM

Schedule of Investments

June 30, 2014 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK – 98.05%
CONSUMER DISCRETIONARY – 13.32%
Auto Components – 0.63%
Motorcar Parts of America, Inc.A		183,800	$	4,476
Distributors – 1.09%
Beacon Roofing Supply, Inc.A		113,000		3,743
DXP Enterprises, Inc.A		52,800		3,988
				7,731
Hotels, Restaurants & Leisure – 6.44%
Buffalo Wild Wings, Inc.A		33,800		5,601
Chuy’s Holdings, Inc.A		224,800		8,160
Del Frisco’s Restaurant Group, Inc.A		286,000		7,882
Krispy Kreme Doughnuts, Inc.A		495,266		7,914
National CineMedia, Inc.		645,600		11,304
Potbelly Corp.A		230,000		3,671
Zoe’s Kitchen, Inc.A B		39,000		1,341
				45,873
Media – 2.56%
IMAX Corp.A		332,578		9,473
Lions Gate Entertainment Corp.		71,112		2,032
Pandora Media, Inc.A		79,300		2,339
Shutterstock, Inc.A		53,243		4,418
				18,262
Movies & Entertainment – 0.42%
SFX Entertainment, Inc.A		366,800		2,971
Specialty Retail – 1.49%
Cabela’s, Inc.A		59,500		3,713
Monro Muffler Brake, Inc.		128,999		6,861
				10,574
Textiles & Apparel – 0.69%
Vince Holding Corp.A		135,009		4,944
Total Consumer Discretionary				94,831
CONSUMER STAPLES – 3.90%
Food & Drug Retailing – 2.17%
Annie’s, Inc.A B		176,862		5,981
United Natural Foods, Inc.A		145,640		9,482
				15,463
Food Products – 1.73%
Boulder Brands, Inc.A		272,559		3,865
TreeHouse Foods, Inc.A		105,400		8,439
				12,304
Total Consumer Staples				27,767
ENERGY – 9.50%
Energy Equipment & Services – 4.69%
C&J Energy Services, Inc.A		176,000		5,945
Dril-Quip, Inc.A		62,100		6,784
Flotek Industries, Inc.A		79,100		2,544
Forum Energy Technologies, Inc.A		198,600		7,235
Oil States International, Inc.A		53,100		3,403
RigNet, Inc.A		69,800		3,757
Tetra Technologies, Inc.A		316,500		3,728
				33,396
Oil & Gas – 4.81%
Athlon Energy, Inc.A		170,800		8,147
Carrizo Oil & Gas, Inc.A		120,600		8,353
Kodiak Oil & Gas Corp.A		411,800		5,992

	Shares		Fair Value
			(000’s)
Pioneer Energy Services Corp.A		452,000	$	7,928
Rosetta Resources, Inc.A		69,700		3,823
				34,243
Total Energy				67,639
FINANCIALS – 10.75%
Banks – 2.07%
East West Bancorp, Inc.		107,200		3,751
SVB Financial GroupA		37,400		4,362
ViewPoint Financial Group, Inc.		246,200		6,625
				14,738
Diversified Financials – 6.86%
Cardtronics, Inc.A		202,600		6,905
Demandware, Inc.A B		113,300		7,860
Encore Capital Group, Inc.A		229,932		10,443
Euronet Worldwide, Inc.A		195,800		9,445
Portfolio Recovery Associates, Inc.		162,700		9,685
Tristate Capital Holdings, Inc.A		313,800		4,434
				48,772
Insurance – 1.14%
Hilltop Holdings, Inc.A		382,300		8,128
Real Estate – 0.68%
Move, Inc.A		329,600		4,875
Total Financials				76,513
HEALTH CARE – 22.03%
Biotechnology – 4.97%
Cepheid, Inc.A B		185,600		8,898
Cubist Pharmaceuticals, Inc.A		71,400		4,985
MiMedx Group, Inc.A		391,351		2,775
Myriad Genetics, Inc.A B		123,029		4,788
Neogen Corp.A		239,050		9,674
Techne Corp.		45,800		4,240
				35,360
Health Care Equipment & Supplies – 3.04%
Anika Therapeutics, Inc.A		43,700		2,025
Medidata Solutions, Inc.A		195,942		8,388
NuVasive, Inc.A		180,080		6,405
Thoratec Corp.A		137,600		4,797
				21,615
Health Care Providers & Services – 5.97%
Acadia Healthcare Co., Inc.A		182,400		8,299
Advisory Board Co.A		156,125		8,087
IPC The Hospitalist Co., Inc.A		148,860		6,583
MAXIMUS, Inc.		108,500		4,668
PAREXEL International Corp.A		170,800		9,025
VCA Antech, Inc.A		166,755		5,851
				42,513
Pharmaceuticals – 8.05%
Akorn, Inc.A		355,600		11,824
ICON PLCA C		193,100		9,097
Ligand Pharmaceuticals, Inc.B		75,835		4,724
Pacira Pharmaceuticals, Inc.A		124,200		11,409
Proto Labs, Inc.A		153,840		12,603
Salix Pharmaceuticals Ltd.A		61,600		7,598
				57,255
Total Health Care				156,743

17

American Beacon Stephens Small Cap Growth Fund^SM

Schedule of Investments

June 30, 2014 (Unaudited)

	Shares		Fair Value
			(000’s)
INDUSTRIALS – 12.88%
Aerospace & Defense – 1.02%
Astronics Corp.		128,113	$	7,232
Air Freight & Couriers – 0.58%
Echo Global Logistics, Inc.A		214,400		4,110
Building Products – 0.60%
Trex Co., Inc.A		148,000		4,265
Commercial Services & Supplies – 5.65%
Corporate Executive Board Co.		100,600		6,863
CoStar Group, Inc.A		64,601		10,217
HMS Holdings Corp.A		340,169		6,943
Marlin Business Services Corp.		145,179		2,641
Tetra Tech, Inc.		148,200		4,076
WageWorks, Inc.A		197,358		9,515
				40,255
Diversified Manufacturing – 0.51%
Acuity Brands, Inc.		26,300		3,636
Electrical Equipment – 0.64%
Power Solutions International, Inc.A		62,920		4,528
Industrial Conglomerates – 0.50%
RPX Corp.A		201,300		3,573
Machinery – 2.74%
Chart Industries, Inc.A		45,346		3,752
ExOne Co.A		105,100		4,164
iRobot Corp.A		118,500		4,853
RBC Bearings, Inc.		105,600		6,763
				19,532
Trading Companies & Distributors – 0.64%
MSC Industrial Direct Co., Inc., Class A		47,645		4,557
Total Industrials				91,688
INFORMATION TECHNOLOGY – 23.76%
Banks – 0.33%
Materialise N.V., ADRA D		201,400		2,316
Communications Equipment – 1.08%
Aruba Networks, Inc.A		226,400		3,966
CalAmp Corp.A		171,600		3,717
Procera Networks, Inc.A B F		—		—
				7,683
Computers & Peripherals – 1.65%
Stratasys Ltd.A B		71,400		8,113
The KEYW Holding Corp.A		290,000		3,645
				11,758
Internet Software & Services – 5.34%
Athenahealth, Inc.A B		61,002		7,632
Cornerstone OnDemand, Inc.A		95,600		4,400
Fortinet, Inc.A		254,200		6,388
Global Eagle Entertainment, Inc.A B		354,900		4,401
HealthStream, Inc.A		231,314		5,621
Proofpoint, Inc.A		158,826		5,950
Shutterfly, Inc.A		83,872		3,612
				38,004

	Shares		Fair Value
			(000’s)
IT Consulting & Services – 0.98%
Tyler Technologies, Inc.		76,384	$	6,967
Office Electronics – 0.34%
Voxeljet AG, ADRA B D		115,000		2,408
Semiconductor Equipment & Products – 5.01%
8x8, Inc.A		493,900		3,991
Cavium, Inc.A		125,800		6,247
Fluidigm Corp.A		69,300		2,037
Microsemi Corp.		224,930		6,019
Power Integrations, Inc.		148,200		8,528
Rudolph Technologies, Inc.A		272,700		2,694
Semtech Corp.A		233,986		6,119
				35,635
Software – 9.03%
Aspen Technology, Inc.A		240,948		11,180
ChannelAdvisor Corp.A		123,800		3,263
Cognex Corp.		295,200		11,336
Envestnet, Inc.A		59,500		2,911
Guidewire Software, Inc.A		124,100		5,046
inContact, Inc.A		521,700		4,794
MICROS Systems, Inc.A		80,700		5,480
National Instruments Corp.		127,567		4,132
PROS Holdings, Inc.A		229,400		6,065
Qlik Technologies, Inc.A		146,900		3,323
Ultimate Software Group, Inc.A		48,800		6,743
				64,273
Total Information Technology				169,044
MATERIALS – 1.41%
Chemicals – 0.62%
Balchem Corp.		82,800		4,435
Metals & Mining – 0.79%
Mueller Water Products, Inc., Class A		649,800		5,614
Total Materials				10,049
TELECOMMUNICATION SERVICES – 0.50%
Diversified Telecommunication Services – 0.50%
Ruckus Wireless, Inc.A		299,300		3,565
Total Common Stock (Cost $597,886)				697,839
SHORT-TERM INVESTMENTS – 2.27% (Cost $16,150)
JPMorgan U.S. Government Money Market Fund, Capital Class		16,149,668		16,150
SECURITIES LENDING COLLATERAL – 13.36%
American Beacon U.S. Government Money Market Select Fund, Select ClassE		75,398,958		75,399
DWS Government and Agency Securities Portfolio, Institutional Class		19,691,367		19,691
Total Securities Lending Collateral (Cost $95,090)				95,090

See accompanying notes

18

American Beacon Stephens Small Cap Growth Fund^SM

Schedule of Investments

June 30, 2014 (Unaudited)

TOTAL INVESTMENTS – 113.68% (Cost $709,126)	$	809,079
LIABILITIES, NET OF OTHER ASSETS – (13.68%)		(97,332	)
TOTAL NET ASSETS – 100.00%	$	711,747

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

^B  All or a portion of this security is on loan at June 30, 2014.

^C  PLC – Public Limited Company.

^D  ADR – American Depositary Receipt.

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

^F  Amount less than $1,000.

19

American Beacon Stephens Mid-Cap Growth Fund^SM

Schedule of Investments

June 30, 2014 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK – 97.60%
CONSUMER DISCRETIONARY – 19.89%
Auto Components – 1.29%
LKQ Corp.A		58,050	$	1,549
Automobiles – 0.80%
Tesla Motors, Inc.A B		4,000		960
Hotels, Restaurants & Leisure – 1.78%
Buffalo Wild Wings, Inc.A		5,750		953
Chipotle Mexican Grill, Inc.A		2,000		1,185
				2,138
Internet & Catalog Retail – 1.08%
Homeaway, Inc.A		14,950		521
TripAdvisor, Inc.A		7,200		782
				1,303
Leisure Equipment & Products – 1.15%
Polaris Industries, Inc.		10,650		1,387
Media – 5.16%
Cinemark Holdings, Inc.		37,650		1,332
Discovery Communications, Inc., Class CA		14,950		1,085
IMAX Corp.A B		43,962		1,253
Lions Gate Entertainment Corp.		21,431		612
Netflix, Inc.A		2,300		1,013
Pandora Media, Inc.A		30,750		907
				6,202
Specialty Retail – 6.65%
Cabela’s, Inc.A B		22,150		1,382
CarMax, Inc.A		26,550		1,381
Copart, Inc.A		27,300		982
Ross Stores, Inc.		21,550		1,425
Tractor Supply Co.		19,850		1,199
Ulta Salon Cosmetics & Fragrance, Inc.		11,800		1,079
Urban Outfitters, Inc.A		16,400		555
				8,003
Textiles & Apparel – 1.98%
Ralph Lauren Corp.		5,450		876
Under Armour, Inc., Class AA		25,300		1,505
				2,381
Total Consumer Discretionary				23,923
CONSUMER STAPLES – 4.62%
Beverages – 2.61%
Brown-Forman Corp., Class B		18,130		1,707
Monster Beverage Corp.A		20,100		1,428
				3,135
Food & Drug Retailing – 2.01%
United Natural Foods, Inc.A		20,750		1,351
Whole Foods Market, Inc.		27,600		1,066
				2,417
Total Consumer Staples				5,552
ENERGY – 9.70%
Energy Equipment & Services – 5.57%
Core Laboratories N.V.		9,500		1,586
Dril-Quip, Inc.A		13,800		1,508
FMC Technologies, Inc.A		15,230		930
Oceaneering International, Inc.		17,250		1,348

	Shares		Fair Value
			(000’s)
Superior Energy Services, Inc.		36,800	$	1,330
				6,702
Oil & Gas – 4.13%
Oasis Petroleum, Inc.A		18,700		1,045
Pioneer Natural Resources Co.		4,300		988
Range Resources Corp.		11,200		974
Southwestern Energy Co.A		22,710		1,033
Whiting Petroleum Corp.A		11,500		923
				4,963
Total Energy			��	11,665
FINANCIALS – 6.14%
Banks – 2.32%
East West Bancorp, Inc.		36,500		1,277
SVB Financial GroupA		12,950		1,510
				2,787
Diversified Financials – 3.82%
Affiliated Managers Group, Inc.A		5,730		1,177
IntercontinentalExchange Group, Inc.		5,750		1,086
Portfolio Recovery Associates, Inc.B		26,050		1,551
Towers Watson & Co., Class A		7,450		777
				4,591
Total Financials				7,378
HEALTH CARE – 19.44%
Biotechnology – 3.24%
Alexion Pharmaceuticals, Inc.A		4,600		719
Cepheid, Inc.A		27,000		1,295
Cubist Pharmaceuticals, Inc.A		12,350		862
QIAGEN N.V.A		41,650		1,018
				3,894
Health Care Equipment & Supplies – 7.54%
Hologic, Inc.A		45,100		1,143
Idexx Laboratories, Inc.A		10,900		1,456
Illumina, Inc.A		13,950		2,490
Medidata Solutions, Inc.A		21,200		908
ResMed, Inc.B		27,000		1,367
Sirona Dental Systems, Inc.		10,050		829
Varian Medical Systems, Inc.A		10,600		881
				9,074
Health Care Providers & Services – 6.32%
Catamaran Corp.A		28,750		1,270
Cerner Corp.A		34,180		1,763
Covance, Inc.A		15,230		1,303
Henry Schein, Inc.A		10,045		1,192
PAREXEL International Corp.A		20,100		1,062
VCA Antech, Inc.A		28,730		1,008
				7,598
Pharmaceuticals – 2.34%
Salix Pharmaceuticals Ltd.A		11,800		1,456
Shire PLC, ADRC D		5,755		1,355
				2,811
Total Health Care				23,377
INDUSTRIALS – 11.16%
Aerospace & Defense – 1.04%
B/E Aerospace, Inc.A		13,500		1,249
Commercial Services & Supplies – 4.76%
CoStar Group, Inc.A		7,870		1,245

See accompanying notes

20

American Beacon Stephens Mid-Cap Growth Fund^SM

Schedule of Investments

June 30, 2014 (Unaudited)

	Shares		Fair Value
			(000’s)
HMS Holdings Corp.A		57,412	$	1,172
Stericycle, Inc.A		15,250		1,805
Verisk Analytics, Inc., Class AA		25,300		1,518
				5,740
Diversified Manufacturing – 0.86%
Acuity Brands, Inc.		7,450		1,030
Electrical Equipment – 0.79%
IPG Photonics Corp.B		4,600		316
Roper Industries, Inc.		4,300		628
				944
Machinery – 1.31%
3D Systems Corp.A B		12,050		721
Pall Corp.		10,050		858
				1,579
Road & Rail – 0.48%
J.B. Hunt Transport Services, Inc.		7,750		572
Trading Companies & Distributors – 1.92%
Fastenal Co.		22,710		1,124
MSC Industrial Direct Co., Inc., Class A		12,380		1,184
				2,308
Total Industrials				13,422
INFORMATION TECHNOLOGY – 25.35%
Communications Equipment – 1.31%
Aruba Networks, Inc.A		35,900		629
Palo Alto Networks, Inc.A		11,250		943
				1,572
Computers & Peripherals – 2.15%
SanDisk Corp.		13,200		1,379
Stratasys Ltd.A B		10,650		1,210
				2,589
Electronic Equipment & Instruments – 1.54%
FLIR Systems, Inc.		30,200		1,049
Trimble Navigation Ltd.A		21,820		806
				1,855
Internet Software & Services – 4.35%
Akamai Technologies, Inc.A		12,050		736
Athenahealth, Inc.A B		9,927		1,242
Fortinet, Inc.A		68,100		1,711
MercadoLibre, Inc.B		13,100		1,250
Twitter, Inc.A B		7,200		295
				5,234
IT Consulting & Services – 2.24%
Alliance Data Systems Corp.A		5,150		1,449
IHS, Inc., Class AA		9,200		1,248
				2,697
Semiconductor Equipment & Products – 3.89%
Cree, Inc.A		12,950		647
FEI Co.		6,537		593
Lam Research Corp.		18,668		1,262
Microchip Technology, Inc.B		28,730		1,402
Xilinx, Inc.		16,400		776
				4,680
Software – 9.87%
Ansys, Inc.A		6,600		500
Aspen Technology, Inc.A		27,600		1,281
Cadence Design Systems, Inc.A		70,400		1,231
Check Point Software Technologies Ltd.A B		15,250		1,022
Cognex Corp.		21,550		828

	Shares		Fair Value
			(000’s)
Concur Technologies, Inc.A B		6,050	$	565
FireEye, Inc.A B		17,819		723
MICROS Systems, Inc.A		18,700		1,270
National Instruments Corp.		28,705		930
Red Hat, Inc.A		13,790		762
Salesforce.com, Inc.A		9,770		567
Splunk, Inc.A		9,750		539
Tableau Software, Inc., Class AA		7,450		531
Ultimate Software Group, Inc.A		8,050		1,112
				11,861
Total Information Technology				30,488
MATERIALS – 1.30%
Chemicals – 1.30%
Airgas, Inc.		14,350		1,563
Total Common Stock (Cost $92,773)				117,368
SHORT-TERM INVESTMENTS – 2.42% (Cost $2,907)
JPMorgan U.S. Government Money Market Fund, Capital Class		2,906,753		2,907
SECURITIES LENDING COLLATERAL – 10.52%
American Beacon U.S. Government Money Market Select Fund, Select ClassE		10,919,553		10,919
DWS Government and Agency Securities Portfolio, Institutional Class		1,734,793		1,735
Total Securities Lending Collateral (Cost $12,654)				12,654
TOTAL INVESTMENTS – 110.54% (Cost $108,334)				132,929
LIABILITIES, NET OF OTHER ASSETS – (10.54%)				(12,680	)
TOTAL NET ASSETS – 100.00%			$	120,250

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

^B  All or a portion of this security is on loan at June 30, 2014.

^C  PLC – Public Limited Company.

^D  ADR – American Depositary Receipt.

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

21

American Beacon Funds^SM

Statement of Assets and Liabilities

June 30, 2014 (Unaudited) (in thousands, except share and per share amounts)

	Bridgeway Large Cap Value Fund			Holland Large Cap Growth Fund		Stephens Small Cap Growth Fund		Stephens Mid- Cap Growth Fund
Assets:
Investments in unaffiliated securities, at fair value A C	$	726,742		$	95,767	$	733,679	$	122,010
Investments in affiliated securities, at fair value B		—			—		75,399		10,919
Deposit with brokers for futures contracts		389			104		—		—
Dividends and interest receivable		695			32		3		15
Receivable for investments sold		9,523			—		2,346		222
Receivable for fund shares sold		5,885			5		1,284		126
Receivable for tax reclaims		11			—		1		—
Receivable for variation margin on open futures contracts		3			1		—		—
Prepaid expenses		82			40		61		47
Total assets		743,330			95,949		812,773		133,339
Liabilities:
Payable for investments purchased		8,311			—		4,578		271
Payable for fund shares redeemed		382			38		542		12
Payable under excess expense reimbursement plan		20			47		78		9
Payable upon return of securities loaned		—			—		95,090		12,654
Management and investment advisory fees payable		295			37		409		53
Administrative service and service fees payable		325			44		231		45
Transfer agent fees payable		15			3		21		2
Custody and fund accounting fees payable		4			1		8		2
Professional fees payable		23			20		31		21
Trustee fees payable		3			1		8		2
Payable for prospectus and shareholder reports		4			1		16		9
Other liabilities		4			4		14		9
Total liabilities		9,386			196		101,026		13,089
Net Assets	$	733,944		$	95,753	$	711,747	$	120,250
Analysis of Net Assets:
Paid-in-capital		644,954			58,935		602,715		89,999
Undistributed net investment income or (loss)		2,363			—		—		—
Accumulated net realized gain		(1,536	)		3,006		9,080		5,656
Unrealized appreciation of investments		88,154			33,782		99,952		24,595
Unrealized appreciation of futures contracts		9			30		—		—
Net assets	$	733,944		$	95,753	$	711,747	$	120,250
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		7,057,618			632,870		20,938,741		3,590,198
Y Class		1,850,755			2,962		9,975,170		150,118
Investor Class		20,251,232			2,784,599		9,844,652		1,222,689
A Class		2,141,149			41,474		647,652		1,122,828
C Class		467,798			29,047		188,844		127,104
Net assets (not in thousands):
Institutional Class	$	163,882,229		$	17,499,954	$	363,045,052	$	72,697,177
Y Class	$	42,890,372		$	81,749	$	172,683,957	$	3,037,209
Investor Class	$	467,347,993		$	76,265,904	$	162,354,927	$	22,049,767
A Class	$	49,221,943		$	1,129,125	$	10,621,741	$	20,215,467
C Class	$	10,601,248		$	775,907	$	3,041,573	$	2,249,979
Net asset value, offering and redemption price per share:
Institutional Class	$	23.22		$	27.65	$	17.34	$	20.25
Y Class	$	23.17		$	27.60	$	17.31	$	20.23
Investor Class	$	23.08		$	27.39	$	16.49	$	18.03
A Class	$	22.99		$	27.22	$	16.40	$	18.00
A Class (offering price)	$	24.39		$	28.88	$	17.40	$	19.10
C Class	$	22.66		$	26.71	$	16.11	$	17.70
A Cost of investments in unaffiliated securities	$	638,588		$	61,985	$	633,727	$	97,415
B Cost of investments in affiliated securities	$	—		$	—	$	75,399	$	10,919
C Fair value of securities on loan	$	—		$	—	$	93,051	$	12,392

See accompanying notes

22

American Beacon Funds^SM

Statement of Operations

For the Six Months Ended June 30, 2014 (Unaudited) (in thousands)

	Bridgeway Large Cap Value Fund			Holland Large Cap Growth Fund			Stephens Small Cap Growth Fund			Stephens Mid-Cap Growth Fund
Investment Income:
Dividend income from unaffiliated securities (net of foreign taxes) A	$	5,279		$	464		$	1,156		$	240
Interest income		—			—			65			—
Income derived from securities lending, net		—			—			523			35
Total investment income		5,279			464			1,744			275
Expenses:
Management and investment advisory fees (Note 2)		1,147			208			2,416			323
Administrative service fees (Note 2):
Institutional Class		164			25			508			96
Y Class		41			—			292			4
Investor Class		538			112			239			43
A Class		76			2			22			39
C Class		11			1			6			4
Transfer agent fees:
Institutional Class		31			1			64			15
Y Class		1			—			23			—
Investor Class		6			4			8			2
A Class		3			—			1			1
C Class		—			—			1			—
Custody and fund accounting fees		23			6			29			7
Professional fees		26			23			33			23
Registration fees and expenses		45			24			61			40
Service fees (Note 2):
Y Class		14			—			97			1
Investor Class		622			93			199			36
A Class		29			1			8			15
C Class		4			1			2			2
Distribution fees (Note 2):
A Class		47			1			14			24
C Class		28			4			14			10
Prospectus and shareholder report expenses		22			1			32			6
Trustee fees		9			3			18			3
Other expenses		13			3			18			11
Total expenses		2,900			513			4,105			705
Net fees waived and expenses (reimbursed) or recouped by Manager (Note 2)		19			46			78			(10	)
Net expenses		2,919			559			4,183			695
Net investment income		2,360			(95	)		(2,439	)		(420	)
Realized and unrealized gain (loss) from investments:
Net realized gain (loss) from:
Investments		(2,790	)		2,174			14,391			5,709
Commission recapture (Note 3)		—			1			—			—
Futures contracts		1,513			201			—			—
Change in net unrealized appreciation or (depreciation) of:
Investments		50,080			1,359			(36,578	)		(3,235	)
Futures contracts		(248	)		(37	)		—			—
Net gain (loss) from investments		48,555			3,698			(22,187	)		2,474
Net increase (decrease) in net assets resulting from operations	$	50,915		$	3,603		$	(24,626	)	$	2,054
A Foreign taxes		8			—			1			2

See accompanying notes

23

American Beacon Funds^SM

Statement of Changes in Net Assets (in thousands)

	Bridgeway Large Cap Value Fund						Holland Large Cap Growth Fund
	Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013			Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013
	(unaudited)						(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	2,360		$	1,601		$	(95	)	$	(124	)
Net realized gain (loss) from investments and futures contracts		(1,277	)		10,972			2,376			7,369
Change in net unrealized appreciation or (depreciation) from investments and futures contracts		49,832			33,594			1,322			15,055
Net increase in net assets resulting from operations		50,915			46,167			3,603			22,300
Distributions to Shareholders:
Net investment income:
Institutional Class		—			(390	)		—			(3	)
Y Class		—			(93	)		—			—
Investor Class		—			(1,089	)		—			(3	)
A Class		—			(90	)		—			—
C Class		—			(2	)		—			—
Net realized gain from investments:
Institutional Class		—			(1,182	)		—			(1,173	)
Y Class		—			(304	)		—			(6	)
Investor Class		—			(4,130	)		—			(5,613	)
A Class		—			(468	)		—			(78	)
C Class		—			(36	)		—			(53	)
Net distributions to shareholders		—			(7,784	)		—			(6,929	)
Capital Share Transactions:
Proceeds from sales of shares		324,585			357,638			1,285			17,319
Reinvestment of dividends and distributions		—			7,700			—			6,889
Cost of shares redeemed		(49,119	)		(23,683	)		(4,663	)		(13,019	)
Net increase (decrease) in net assets from capital share transactions		275,466			341,655			(3,378	)		11,199
Net increase in net assets		326,381			380,038			225			26,570
Net Assets:
Beginning of period		407,563			27,525			95,528			68,958
End of Period *	$	733,944		$	407,563		$	95,753		$	95,528
*Includes undistributed net investment income (loss) of	$	2,363		$	—		$	—		$	—

See accompanying notes

24

American Beacon Funds^SM

Statements of Changes in Net Assets (in thousands)

	Stephens Small Cap Growth Fund						Stephens Mid-Cap Growth Fund
	Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013			Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013
	(unaudited)						(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment (loss)	$	(2,439	)	$	(3,334	)	$	(420	)	$	(636	)
Net realized gain from investments and futures contracts		14,391			22,621			5,709			4,109
Change in net unrealized appreciation or (depreciation) from investments and futures contracts		(36,578	)		116,658			(3,235	)		18,914
Net increase (decrease) in net assets resulting from operations		(24,626	)		135,945			2,054			22,387
Distributions to Shareholders:
Net investment income:
Institutional Class		—			(56	)		—			(43	)
Y Class		—			(26	)		—			(1	)
Investor Class		—			(12	)		—			(18	)
A Class		—			—			—			(9	)
C Class		—			—			—			(1	)
Net realized gain from investments:
Institutional Class		—			(11,150	)		—			(2,006	)
Y Class		—			(6,930	)		—			(53	)
Investor Class		—			(6,374	)		—			(1,131	)
A Class		—			(404	)		—			(624	)
C Class		—			(91	)		—			(57	)
Tax Return of Capital:
Institutional Class		—			(666	)		—			(50	)
Y Class		—			(432	)		—			(1	)
Investor Class		—			(377	)		—			(28	)
A Class		—			(24	)		—			(16	)
C Class		—			(6	)		—			(1	)
Net distributions to shareholders		—			(26,548	)		—			(4,039	)
Capital Share Transactions:
Proceeds from sales of shares		160,348			437,144			25,287			51,249
Reinvestment of dividends and distributions		—			25,225			—			3,826
Cost of shares redeemed		(132,700	)		(71,212	)		(23,933	)		(14,149	)
Net increase in net assets from capital share transactions		27,648			391,157			1,354			40,926
Net increase in net assets		3,022			500,554			3,408			59,274
Net Assets:
Beginning of period		708,725			208,171			116,842			57,568
End of Period *	$	711,747		$	708,725		$	120,250		$	116,842
*Includes undistributed net investment income (loss) of	$	—		$	—		$	—		$	—

See accompanying notes

25

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

1. Organization and Significant Accounting Policies

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

2. Transactions with Affiliates

Management Agreement

The Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all investment advisory, fund management, and securities lending services. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Funds an annualized fee equal to 0.05% of the average daily net assets plus amounts paid by the Manager to the unaffiliated investment advisors hired by the Manager to direct investment activities of the Funds. Management fees paid by the Funds during the six months ended June 30, 2014 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		0.43	%	$	1,147	$	1,013	$	134
Holland Large Cap Growth		0.45	%		208		184		24
Stephens Small Cap Growth		0.68	%		2,416		2,174		242
Stephens Mid-Cap Growth		0.55	%		323		290		33

26

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

As compensation for services provided by the Manager in connection with securities lending activities conducted by the Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds, 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 six months ended June 30, 2014, securities lending fees paid to the Manager were $70,959 and $4,901 for the Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds, respectively.

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 Funds.

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 six months ended June 30, 2014, the Manager earned $26,031 and $29,044 from the Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds’ securities lending collateral invested in the Select Funds, respectively.

27

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

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 six months ended June 30, 2014, the Stephens Small Cap Growth Fund borrowed on average $1,307,476 for 5 days at an average rate of 0.70% with interest charges of $126 and the Stephens Mid-Cap Growth Fund borrowed on average $1,231,483 for eighteen days at an average rate of 0.70% with interest charges of $423. These amounts are 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 six months ended June 30, 2014, the Manager waived or reimbursed expenses as follows:

Fund	Class	Expense Cap			Reimbursed or (Recovered) Expenses			Expiration
Bridgeway Large Cap Value	Institutional		0.84	%	$	(4,894	)		2017
Bridgeway Large Cap Value	Y		—			(2,895	)		2017
Bridgeway Large Cap Value	Investor		—			—			2017
Bridgeway Large Cap Value	A		1.34	%		(8,955	)		2017
Bridgeway Large Cap Value	C		2.09	%		(1,840	)		2017
Holland Large Cap Growth	Institutional		0.89	%		(353	)		2017
Holland Large Cap Growth	Y		0.99	%		29			2017
Holland Large Cap Growth	Investor		1.27	%		(45,562	)		2017
Holland Large Cap Growth	A		1.39	%		56			2017
Holland Large Cap Growth	C		2.14	%		30			2017
Stephens Small Cap Growth	Institutional		1.09	%		(26,475	)		2017
Stephens Small Cap Growth	Y		1.19	%		(7,230	)		2017
Stephens Small Cap Growth	Investor		1.35	%		(42,467	)		2017
Stephens Small Cap Growth	A		1.59	%		(1,469	)		2017
Stephens Small Cap Growth	C		2.34	%		(277	)		2017
Stephens Mid-Cap Growth	Institutional		0.99	%		20,225			2017
Stephens Mid-Cap Growth	Y		1.09	%		329			2017
Stephens Mid-Cap Growth	Investor		1.37	%		(13,366	)		2017
Stephens Mid-Cap Growth	A		1.49	%		2,490			2017
Stephens Mid-Cap Growth	C		2.24	%		339			2017

Of these amounts, $19,583 $46,680, $77,919, and $9,363 was payable to the Manager at June 30, 2014 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:

Fund	Recovered Expenses		Excess Expense Carryover		Expiration of Reimbursed Expenses
Bridgeway Large Cap Value	$	14,016	$	180,288		2015
Bridgeway Large Cap Value		4,568		77,536		2016
Holland Large Cap Growth		45,915		7,302		2015
Holland Large Cap Growth		—		104		2016
Stephens Small Cap Growth		74,964		104,282		2015
Stephens Small Cap Growth		2,954		91,248		2016
Stephens Mid-Cap Growth		13,366		102,983		2015
Stephens Mid-Cap Growth		—		60,289		2016

28

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

The Manager recovered excess carryover expenses of $4,894, $2,895, $8,955, and $1,840 from the Institutional, Y, A, and C Classes, respectively of the Bridgeway Large Cap Value Fund expiring in 2015 and 2016; $353 and $45,562 from the Institutional and Investor Classes, respectively of the Holland Large Cap Growth Fund, expiring in 2015; $26,475, $7,230, $42,467, $1,469, and $277 from the Institutional, Y, Investor, A, and C Classes, respectively of the Stephens Small Cap Growth Fund, expiring in 2015 and 2016; and $13,366 from the Investor Class of the Stephens Mid-Cap Growth Fund, expiring in 2015.

Sales Commissions

The Funds’ distributor, Foreside Fund Services, LLC (“Foreside”), may receive a portion of A Class sales charges from broker dealers and it may be used to offset distribution related expenses. During the six months ended June 30, 2014, Foreside collected $23,416, $1,547, $5,645, and $14,524 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 six months ended June 30, 2014, 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 six months ended June 30, 2014, CDSC fees of $558, $492, and $762 were collected for the Bridgeway Large Cap Value, 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 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

29

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

determined in good faith by the Manager’s Valuation Committee, pursuant to procedures 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. 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 six months ended June 30, 2014, there were no transfers between levels. As of June 30, 2014, the investments were classified as described below (in thousands):

Bridgeway Large Cap Value Fund*	Level 1		Level 2		Level 3		Total
Common Stock	$	714,634	$	—	$	—	$	714,634
Short-Term Investments – Money Market Funds		12,108		—		—		12,108
Total Investments in Securities	$	726,742	$	—	$	—	$	726,742
Financial Derivative Instruments
Futures Contracts	$	9	$	—	$	—	$	9
Holland Large Cap Growth Fund*	Level 1		Level 2		Level 3		Total
Common Stock	$	93,266	$	—	$	—	$	93,266
Short-Term Investments – Money Market Funds		2,501		—		—		2,501
Total Investments in Securities	$	95,767	$	—	$	—	$	95,767
Financial Derivative Instruments
Futures Contracts	$	30	$	—	$	—	$	30

30

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

Stephens Small Cap Growth Fund*	Level 1		Level 2		Level 3		Total
Common Stock	$	697,839	$	—	$	—	$	697,839
Short-Term Investments – Money Market Funds		16,150		—		—		16,150
Securities Lending Collateral invested in Money Market Funds		95,090		—		—		95,090
Total Investments in Securities	$	809,079	$	—	$	—	$	809,079

Stephens Mid-Cap Growth Fund*	Level 1		Level 2		Level 3		Total
Common Stock	$	117,368	$	—	$	—	$	117,368
Short-Term Investments – Money Market Funds	$	2,907	$	—	$	—	$	2,907
Securities Lending Collateral invested in Money Market Funds		12,654		—		—		12,654
Total Investments in Securities	$	132,929	$	—	$	—	$	132,929

* 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, if applicable.

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.

31

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

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. In addition, such companies may use different accounting and financial standards (and certain currencies may become unavailable for transfer from a foreign currency), resulting in the Fund’s possible inability to convert immediately into U.S. currency proceeds realized upon the sale of portfolio securities of the affected foreign companies. In addition, the Fund may invest in unsponsored depositary receipts, the issuers of which are not obligated to disclose material information about the underlying securities to investors in the United States. Ownership of unsponsored depositary receipts may not entitle the Fund to the same benefits and rights as ownership of a sponsored depositary receipt or the underlying security.

Real Estate Investment Trusts

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

Other Investment Company Securities and Other Exchange Traded Products

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

32

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

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 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 six months ended June 30, 2014, the Funds entered into future contracts primarily for 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	December 31, 2013		June 30, 2014
Bridgeway Large Cap Value		20		39
Holland Large Cap Growth		10		12

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

Fair Values of financial derivative instruments on the Statement of Assets and Liabilities as of June 30, 2014:

Assets	Derivative		Bridgeway Large Cap Value		Holland Large Cap Growth
Unrealized appreciation of futures contracts		Equity Contracts	$	9	$	30

The effect of financial derivative instruments on the Statement of Operations for the six months ended June 30, 2014:

Statements of Operations
Net realized gain from futures contracts	Equity Contracts	$	1,513		$	201
Change in net unrealized (depreciation) of futures contracts	Equity Contracts		(248	)		(37	)

⁽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

33

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

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.

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

34

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

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.

Offsetting Assets and Liabilities

The Funds are parties to enforceable master netting agreements between brokers and counterparties such as International Swaps and Derivatives Association (“ISDA”) agreements, 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 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, June 30, 2014 (in thousands).

Bridgeway Large Cap Value Fund

Offsetting of Financial Assets and Derivative Assets as of June 30, 2014:

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	$	3	$	—	$	3

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of June 30, 2014:

	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.	$	3	$	—	$	—	$	3

Holland Large Cap Growth Fund

Offsetting of Financial Assets and Derivative Assets as of June 30, 2014:

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	$	1	$	—	$	1

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of June 30, 2014:

	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.	$	1	$	—	$	—	$	1

Stephens Small Cap Growth

Offsetting of Financial Assets and Derivative Assets as of June 30, 2014:

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	$	93,051	$	—	$	93,051

35

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of June 30, 2014:

	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.	$	18,251	$	—	$	(18,251	)	$	—
BNP Paribas Prime Brokerage		22,468		—		(22,468	)		—
Citigroup Global Markets, Inc.		14,684		—		(14,684	)		—
Credit Suisse Securities LLC		10,607		—		(10,607	)		—
Deutsche Bank Securities, Inc.		11,285		—		(11,285	)		—
Goldman, Sachs & Co.		9,065		—		(9,065	)		—
JPMorgan Clearing Corp.		6,155		—		(6,155	)		—
SG Anerucas Securites LLC		82		—		(82	)		—
UBS Securities LLC		454		—		(454	)		—
Total:	$	93,051	$	—	$	(93,051	)	$	—

¹  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. Collateral with a value of $95,090 has been received in connection with securities lending transactions.

Stephens Mid-Cap Growth

Offsetting of Financial Assets and Derivative Assets as of June 30, 2014:

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	$	12,392	$	—	$	12,392

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of June 30, 2014:

	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.	$	3,444	$	—	$	(3,444	)	$	—
BNP Paribas Prime Brokerage		4,658		—		(4,658	)		—
Citigroup Global Markets, Inc.		922		—		(922	)		—
Credit Suisse Securities LLC		669		—		(669	)		—
Deutsche Bank Securities, Inc.		979		—		(979	)		—
Goldman, Sachs & Co.		734		—		(734	)		—
UBS Securities LLC		986		—		(986	)		—
Total:	$	12,392	$	—	$	(12,392	)	$	—

¹  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. Collateral with a value of $12,654 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.

36

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

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

	Bridgeway Large Cap Value				Holland Large Cap Growth
	Six months ended June 30, 2014		Year Ended December 31, 2013		Six months ended June 30, 2014		Year Ended December 31, 2013
	(unaudited)				(unaudited)
Distributions paid from:
Ordinary income*
Institutional Class	$	—	$	601	$	—	$	17
Y Class		—		146		—		—
Investor Class		—		1,823		—		63
A Class		—		173		—		1
C Class		—		9		—		1
Long-Term Capital Gain
Institutional Class		—		972		—		1,160
Y Class		—		250		—		6
Investor Class		—		3,396		—		5,552
A Class		—		385		—		77
C Class		—		29		—		52
Total distributions paid	$	—	$	7,784	$	—	$	6,929
	Stephens Small Cap Growth				Stephens Mid-Cap Growth
	Six months ended June 30, 2014		Year Ended December 31, 2013		Six months ended June 30, 2014		Year Ended December 31, 2013
	(unaudited)				(unaudited)
Distributions paid from:
Ordinary income*
Institutional Class	$	—	$	728	$	—	$	43
Y Class		—		462		—		1
Investor Class		—		393		—		18
A Class		—		24		—		9
C Class		—		6		—		1
Long-Term Capital Gain
Institutional Class		—		10,478		—		2,006
Y Class		—		6,494		—		53
Investor Class		—		5,993		—		1,131
A Class		—		379		—		624
C Class		—		86		—		57
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	$	—	$	4,039

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

As of June 30, 2014 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	$	638,588		$	62,199		$	710,895		$	108,489
Unrealized appreciation		89,830			34,197			117,491			25,979
Unrealized depreciation		(1,676	)		(629	)		(19,307	)		(1,539	)
Net unrealized appreciation or (depreciation)		88,154			33,568			98,184			24,440
Undistributed ordinary income		2,363			—			—			—
Accumulated long-term gain or (loss)		(1,527	)		3,250			10,848			5,811
Other temporary differences		—			—			—			—
Distributable earnings or (deficits)	$	88,990		$	36,818		$	109,032		$	30,251

37

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

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

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

Accordingly, the following amounts represent current year permanent differences derived from the 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	$	5,430		$	(32	)	$	(2,439	)	$	(420	)
Undistributed net investment income		3			95			2,439			420
Accumulated net realized gain (loss)		(5,433	)		(63	)		—			—
Unrealized appreciation or (depreciation) of investments and futures 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 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 six month period ending June 30, 2014 Bridgeway Large Cap Value Fund has $1,527 short-term post enactment capital loss carryforward (in thousands).

8. Investment Transactions

The aggregate cost of purchases and proceeds from sales of investments, other than short-term obligations, for the six months ended June 30, 2014 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)	$	340,319	$	3,548	$	204,468	$	23,274
Sales and maturities (excluding U.S. government securities)		62,985		7,581		172,981		23,489

A summary of the Funds’ security lending collateral transactions in the Select Funds for the six months ended June 30, 2014 is set forth below (in thousands):

Fund	Affiliate	December 31, 2013 Shares/Fair Value		Purchases		Sales		June 30, 2014 Shares/Fair Value		Dividend Income
Stephens Small Cap Growth	USG Select Fund	$	48,607	$	161,996	$	135,204	$	75,399	$	1
Stephens Mid-Cap Growth	USG Select Fund		—		44,110		33,190		10,919		—

9. Securities Lending

The Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds may lend their 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

38

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

securities loaned, initially in an amount at least equal to 102% of the fair value of domestic securities loaned and 105% of the fair value of international securities loaned. Collateral is monitored and marked to market daily. Daily mark to market amounts are required to be paid to the borrower or received from the borrower by the end of the following business day. This one day settlement for mark to market amounts may result in the collateral being temporarily less than the value of the securities on loan or temporarily more than the required minimum collateral.

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

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

While securities are on loan, the Funds continue 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 Funds would be subject to on the dividend.

Securities lending transactions pose certain risks to the Funds, 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 Funds could also experience delays and costs in gaining access to the collateral. The Funds bear 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 June 30, 2014, the value of outstanding securities on loan and the value of collateral was as follows (in thousands):

Fund	Fair Value of Securities on Loan		Non-Cash Collateral		Cash Collateral Posted by Borrower
Stephens Small Cap Growth	$	93,051	$	—	$	95,090
Stephens Mid-Cap Growth		12,392		—		12,654

Cash collateral is listed on the Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds’ Schedules 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 Funds 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):

39

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

For the Six Months Ended June 30, 2014

	Institutional Class						Y Class						Investor Class
Bridgeway Large Cap Value Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		3,796		$	83,361			1,030		$	22,702			8,810		$	191,248
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(474	)		(10,287	)		(112	)		(2,426	)		(1,437	)		(31,330	)
Net increase in shares outstanding		3,322		$	73,074			918		$	20,276			7,373		$	159,918

	A Class						C Class
Bridgeway Large Cap Value Fund	Shares			Amount			Shares			Amount
Shares sold		892		$	19,429			363		$	7,845
Reinvestment of dividends		—			—			—			—
Shares redeemed		(226	)		(4,923	)		(7	)		(153	)
Net increase in shares outstanding		666		$	14,506			356		$	7,692

	Institutional Class						Y Class				Investor Class
Holland Large Cap Growth Fund	Shares			Amount			Shares		Amount		Shares			Amount
Shares sold		24		$	634			—	$	—		12		$	324
Reinvestment of dividends		—			—			—		—		—			—
Shares redeemed		(4	)		(123	)		—		—		(165	)		(4,317	)
Net increase (decrease) in shares outstanding		20		$	511			—	$	—		(153	)	$	(3,993	)

	A Class						C Class
Holland Large Cap Growth Fund	Shares			Amount			Shares		Amount
Shares sold		11		$	280			2	$	47
Reinvestment of dividends		—			—			—		—
Shares redeemed		(9	)		(223	)		—		—
Net increase in shares outstanding		2		$	57			2	$	47

	Institutional Class						Y Class						Investor Class
Stephens Small Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		5,420		$	93,806			2,179		$	37,718			1,608		$	26,162
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(2,281	)		(38,649	)		(3,895	)		(63,769	)		(1,763	)		(28,371	)
Net increase (decrease) in shares outstanding		3,139		$	55,157			(1,716	)	$	(26,051	)		(155	)	$	(2,209	)

	A Class						C Class
Stephens Small Cap Growth Fund	Shares			Amount			Shares			Amount
Shares sold		112		$	1,841			52		$	821
Reinvestment of dividends		—			—			—			—
Shares redeemed		(112	)		(1,767	)		(10	)		(144	)
Net increase in shares outstanding		—		$	74			42		$	677

	Institutional Class						Y Class						Investor Class
Stephens Mid-Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		805		$	15,973			96		$	1,900			164		$	2,921
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(415	)		(8,196	)		(31	)		(583	)		(751	)		(12,674	)
Net increase (decrease) in shares outstanding		390		$	7,777			65		$	1,317			(587	)	$	(9,753	)

40

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

	A Class						C Class
Stephens Mid-Cap Growth Fund	Shares			Amount			Shares			Amount
Shares sold		217		$	3,826			39		$	667
Reinvestment of dividends		—			—			—			—
Shares redeemed		(139	)		(2,401	)		(5	)		(79	)
Net increase in shares outstanding		78		$	1,425			34		$	588

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
Bridgeway Large Cap Value Fund	Shares			Amount			Shares			Amount
Shares sold		1,504		$	28,959			109		$	2,120
Reinvestment of dividends		25			511			2			36
Shares redeemed		(74	)		(1,465	)		(1	)		(10	)
Net increase in shares outstanding		1,455		$	28,005			110		$	2,146

	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
Holland Large Cap Growth Fund	Shares			Amount			Shares			Amount
Shares sold		19		$	493			17		$	411
Reinvestment of dividends		2			57			1			38
Shares redeemed		(4	)		(93	)		(4	)		(105	)
Net increase in shares outstanding		17		$	457			14		$	344

	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
Stephens Small Cap Growth Fund	Shares			Amount			Shares			Amount
Shares sold		460		$	6,830			121		$	1,786
Reinvestment of dividends		24			400			6			89
Shares redeemed		(89	)		(1,386	)		(8	)		(121	)
Net increase in shares outstanding		395		$	5,844			119		$	1,754

	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

41

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

	A Class						C Class
Stephens Mid-Cap Growth Fund	Shares			Amount			Shares		Amount
Shares sold		574		$	9,470			70	$	1,132
Reinvestment of dividends		33			567			2		35
Shares redeemed		(91	)		(1,453	)		—		(12	)
Net increase in shares outstanding		516		$	8,584			72	$	1,155

42

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43

American Beacon Bridgeway Large Cap Value Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Six Months Ended June 30,			Year Ended Dec. 31,			Six Months Ended Dec. 31,			Year Ended June 30,
	2014			2013			2012			2012			2011			2010			2009
	(unaudited)
Net asset value, beginning of period	$	21.39		$	15.85		$	14.80		$	14.62		$	11.44		$	9.74		$	13.63
Income from investment operations:
Net investment income (loss)		0.06			0.11			0.20			0.24			0.20	B		0.19	B		0.23	B
Net gains (losses) from investments (both realized and unrealized)		1.77			5.87			1.14			0.12			3.21			1.73			(3.89	)
Total income (loss) from investment operations		1.83			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	$	23.22		$	21.39		$	15.85		$	14.80		$	14.62		$	11.44		$	9.74
Total return C		8.56	%D		37.77	%		9.04	%D		2.60	%		30.02	%		19.65	%		(26.88	)%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	163,882		$	79,889		$	26,669		$	26,950		$	29,647		$	25,534		$	27,996
Ratios to average net assets:
Expenses, before reimbursements or recoupments		0.83	%E		1.01	%		1.73	%E		1.30	%		1.17	%		1.11	%		0.98	%
Expenses, net of reimbursements or recoupments		0.84	%E		0.84	%		0.84	%E		0.82	%		0.84	%		0.84	%		0.84	%
Net investment income (loss), before reimbursements or recoupments		1.14	%E		0.98	%		1.38	%E		1.17	%		1.17	%		1.32	%		2.06	%
Net investment income (loss), net of reimbursements or recoupments		1.13	%E		1.16	%		2.27	%E		1.66	%		1.50	%		1.58	%		2.20	%
Portfolio turnover rate		12	%D		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.

44

American Beacon Bridgeway Large Cap Value Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class												Investor Class												A Class
Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013			Six Months Ended Dec. 31, 2012			Feb. 3A to June 30, 2012			Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013			Six Months Ended Dec. 31, 2012			Feb. 3A to June 30, 2012			Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013			Six Months Ended Dec. 31, 2012			Feb. 3A to June 30, 2012
(unaudited)												(unaudited)												(unaudited)
$	21.35		$	15.84		$	14.80		$	14.46		$	21.28		$	15.81		$	14.78		$	14.46		$	21.22		$	15.78		$	14.77		$	14.46
	0.09			0.22			0.07			0.09			0.08			0.21			0.12			0.03			0.06			0.19			0.15			0.01
	1.73			5.72			1.26			0.25			1.72			5.68			1.19			0.29			1.71			5.64			1.15			0.30
	1.82			5.94			1.33			0.34			1.80			5.89			1.31			0.32			1.77			5.83			1.30			0.31
	—			(0.10	)		(0.29	)		—			—			(0.09	)		(0.28	)		—			—			(0.06	)		(0.29	)		—
	—			(0.33	)		—			—			—			(0.33	)		—			—			—			(0.33	)		—			—
	—			(0.43	)		(0.29	)		—			—			(0.42	)		(0.28	)		—			—			(0.39	)		(0.29	)		—
$	23.17		$	21.35		$	15.84		$	14.80		$	23.08		$	21.28		$	15.81		$	14.78		$	22.99		$	21.22		$	15.78		$	14.77
	8.52	%D		37.55	%		8.98	%D		2.35	%D		8.46	%D		37.28	%		8.84	%D		2.21	%D		8.34	%D		37.01	%		8.78	%D		2.14	%D
$	42,891		$	19,914		$	36		$	5		$	467,348		$	274,113		$	489		$	215		$	49,222		$	31,300		$	311		$	276
	0.88	%E		0.93	%		3.75	%E		144.39	%E		1.13	%E		1.08	%		2.26	%E		18.30	%E		1.29	%E		1.38	%		2.21	%E		15.39	%E
	0.90	%E		0.94	%		0.93	%E		0.94	%E		1.13	%E		1.09	%		1.21	%E		1.22	%E		1.34	%E		1.34	%		1.33	%E		1.34	%E
	1.10	%E		1.07	%		(0.51	)%E		(141.90	)%E		0.82	%E		0.95	%		1.00	%E		(15.48	)%E		0.66	%E		0.61	%		0.90	%E		(13.13	)%E
	1.08	%E		1.06	%		2.31	%E		1.54	%E		0.82	%E		0.94	%		2.05	%E		1.59	%E		0.61	%E		0.66	%		1.78	%E		0.92	%E
	12	%D		38	%		21	%D		36	%F		12	%D		38	%		21	%D		36	%F		12	%D		38	%		21	%D		36	%F

45

American Beacon Bridgeway Large Cap Value Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	C Class
	Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013			Six Months Ended Dec. 31, 2012			Feb. 3A to June 30, 2012
	(unaudited)
Net asset value, beginning of period	$	21.00		$	15.70		$	14.73		$	14.46
Income from investment operations:
Net investment income		0.01			0.18			0.09			0.02
Net gains (losses) on investments (both realized and unrealized)		1.65			5.47			1.17			0.25
Total income (loss) from investment operations		1.66			5.65			1.26			0.27
Less distributions:
Dividends from net investment income		—			(0.02	)		(0.29	)		—
Distributions from net realized gains		—			(0.33	)		—			—
Total distributions		—			(0.35	)		(0.29	)		—
Net asset value, end of period	$	22.66		$	21.00		$	15.70		$	14.73
Total return C		7.90	%D		36.02	%		8.54	%D		1.87	%D
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	10,601		$	2,346		$	20		$	14
Ratios to average net assets:
Expenses, before reimbursements or recoupments		2.02	%E		2.13	%		6.81	%E		64.88	%E
Expenses, net of reimbursements or recoupments		2.09	%E		2.09	%		1.77	%E		2.09	%E
Net investment (loss), before reimbursements or recoupments		(0.05	)%E		(0.13	)%		(3.55	)%E		(62.47	)%E
Net investment income, net of reimbursements or recoupments		(0.11	)%E		0.08	%		1.49	%E		0.32	%E
Portfolio turnover rate		12	%D		38	%		21	%D		36	%F

^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

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47

American Beacon Holland Large Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Six Months Ended June 30,			Year Ended December 31,									March 1A to Dec. 31,
	2014			2013			2012			2011			2010
	(unaudited)
Net asset value, beginning of period	$	26.57		$	21.60		$	20.30		$	20.00		$	17.88
Income from investment operations:
Net investment income (loss)		0.01			0.02			0.09	B		(0.02	)C		(0.01	)C
Net gains (losses) on securities (both realized and unrealized)		1.07			7.02			2.47			0.71			2.61
Total income (loss) from investment operations		1.08			7.04			2.56			0.69			2.60
Less distributions:
Dividends from net investment income		—			(0.01	)		(0.08	)		—			—
Distributions from net realized gains		—			(2.06	)		(1.18	)		(0.39	)		(0.48	)
Total distributions		—			(2.07	)		(1.26	)		(0.39	)		(0.48	)
Net asset value, end of period	$	27.65		$	26.57		$	21.60		$	20.30		$	20.00
Total return D		4.06	%E		32.73	%		12.57	%		3.47	%		14.58	%E
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	17,500		$	16,292		$	1,619		$	1,193		$	1,126
Ratios to average net assets (annualized):
Expenses, before reimbursements or recoupments		0.89	%F		0.86	%		1.32	%		1.49	%		1.91	%F
Expenses, net of reimbursements or recoupments		0.89	%F		0.89	%		0.96	%		1.20	%		1.20	%F
Net investment income (loss), before expense reimbursements or recoupments		0.11	%F		0.24	%		0.07	%		(0.38	)%		(0.77	)%F
Net investment income (loss), net of reimbursements or recoupments		0.11	%F		0.21	%		0.43	%		(0.09	)%		0.06	%F
Portfolio turnover rate		4	%E		29	%		18	%		12	%		18	%E

^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)

Y Class									Investor Class																		A Class
Six Months Ended June 30,			Year Ended Dec. 31,			Mar. 23A to Dec. 31,			Six Months Ended June 30,			Year Ended December 31,															Six Months Ended June 30,			Year Ended December 31,									Feb. 1A to Dec. 31,
2014			2013			2012			2014			2013			2012			2011			2010			2009			2014			2013			2012			2011			2010
(unaudited)									(unaudited)																		(unaudited)
$	26.53		$	21.59		$	23.00		$	26 .36		$	21 .52		$	20 .24		$	19 .97		$	17 .94		$	12 .90		$	26.22		$	21.43		$	20.23		$	19.96		$	17.40
	0 .00			0 .02			0 .09	B		(0 .04	)		(0 .05	)		0 .02	B		(0 .05	)C		(0 .04	)C		(0.02	)C		(0.05	)		(0.03	)B		0 .03			(0.05	)C		(0.04	)C
	1 .07			6.98			(0.26	)		1 .07			6 .95			2 .45			0 .71			2 .55			5 .06			1 .05			6 .88			2 .41			0 .71			3 .08
	1 .07			7.00			(0.17	)		1 .03			6 .90			2 .47			0 .66			2 .51			5 .04			1 .00			6 .85			2 .44			0 .66			3 .04
	—			0.00			(0.06	)		—			0 .00			(0 .01	)		—			—			—			—			0 .00			(0 .06	)		—			—
	—			(2.06	)		(1.18	)		—			(2 .06	)		(1 .18	)		(0 .39	)		(0 .48	)		—			—			(2 .06	)		(1 .18	)		(0.39	)		(0.48	)
	—			(2.06	)		(1.24	)		—			(2 .06	)		(1 .19	)		(0 .39	)		(0 .48	)		—			—			(2 .06	)		(1 .24	)		(0.39	)		(0.48	)
$	27.60		$	26.53		$	21.59		$	27 .39		$	26 .36		$	21 .52		$	20 .24		$	19 .97		$	17 .94		$	27.22		$	26.22		$	21.43		$	20.23		$	19.96
	4.03	%E		32.59	%		(0.79	)%E		3.91	%E		32.21	%		12.18	%		3 .33	%		14.03	%		39.07	%		3.81	%E		32.11	%		11.99	%		3.33	%		17.51	%E
$	82		$	79		$	23		$	76,266		$	77,426		$	66,568		$	58,682		$	54,128		$	50,341		$	1,129		$	1,028		$	4,670		$	13		$	12
	1.06	%F		0.97	%		10.18	%F		1 .14	%F		1 .26	%		1 .44	%		1 .64	%		1 .77	%		1 .69	%		1.40	%F		1 .40	%		2 .73	%		10.06	%		42.81	%F
	0.99	%F		0.99	%		0.98	%F		1 .26	%F		1 .27	%		1 .29	%		1 .35	%		1 .35	%		1 .35	%		1.39	%F		1 .39	%		1 .38	%		1.40	%		1.40	%F
	(0.06	)%F		0.15	%		(8.77	)%F		(0.14	)%F		(0.17	)%		(0.08	)%		(0.53	)%		(0.64	)%		(0.45	)%		(0.39	)%F		(0.28	)%		(0.97	)%		(8.94	)%		(41.83	)%F
	0.01	%F		0.12	%		0.43	%F		(0.26	)%F		(0.18	)%		0 .07	%		(0.24	)%		(0.22	)%		(0.11	)%		(0.38	)%F		(0.27	)%		0 .37	%		(0.28	)%		(0.22	)%F
	4	%E		29	%		18	%G		4	%E		29	%		18	%		12	%		18	%		11	%		4	%E		29	%		18	%		12	%		18	%E

49

American Beacon Holland Large Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	C Class
	Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013			March 23A to Dec. 31, 2012
	(unaudited)
Net asset value, beginning of period	$	25.82		$	21.29		$	22.90
Income from investment operations:
Net investment income (loss)		(0.13	)		(0.17	)		0.01	B
Net gains (losses) on securities (both realized and unrealized)		1.02			6.76			(0.38	)
Total income (loss) from investment operations		0.89			6.59			(0.37	)
Less distributions:
Dividends from net investment income		—			0.00			(0.06	)
Distributions from net realized gains		—			(2.06	)		(1.18	)
Total distributions		—			(2.06	)		(1.24	)
Net asset value, end of period	$	26.71		$	25.82		$	21.29
Total return D		3.45	%E		31.10	%		(1.65	)%E
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	776		$	703		$	281
Ratios to average net assets (annualized):
Expenses, before reimbursements or recoupments		2.15	%F		2.15	%		6.17	%F
Expenses, net of reimbursements or recoupments		2.14	%F		2.14	%		2.12	%F
Net investment (loss), before expense reimbursements or recoupments		(1.15	)%F		(1.04	)%		(3.85	)%F
Net investment income (loss), net of reimbursements or recoupments		(1.14	)%F		(1.03	)%		0.20	%F
Portfolio turnover rate		4	%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.

50

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51

American Beacon Stephens Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Six Months Ended June 30,			Year Ended Dec. 31,			One Month Ended Dec. 31,			Year Ended November 30,
	2014			2013			2012			2012A			2011A			2010A			2009A
	(unaudited)
Net asset value, beginning of period	$	17.83		$	12.99		$	13.54		$	13.14		$	12.03		$	9.37		$	7.09
Income from investment operations:
Net investment income (loss)		(0.03	)		(0.05	)		0.06			(0.04	)H		(0.11	)B		(0.09	)B		(0.06	)
Net gains (losses) from investments (both realized and unrealized)		(0.46	)		5.60			0.23			1.43			1.37			2.75			2.34
Total income (loss) from investment operations		(0.49	)		5.55			0.29			1.39			1.26			2.66			2.28
Less distributions:
Dividends from net investment income		—			0.00			—			—			—			—			—
Distributions from net realized gains		—			(0.67	)		(0.84	)		(0.99	)		(0.15	)		—			—
Tax return of capital		—			(0.04	)		—			—			—			—			—
Total distributions		—			(0.71	)		(0.84	)		(0.99	)		(0.15	)		—			—
Redemption fees added to beneficial interests		—			—			—			—			—			—			—
Net asset value, end of period	$	17.34		$	17.83		$	12.99		$	13.54		$	13.14		$	12.03		$	9.37
Total return D		(2.75	)%E		42.93	%		2.15	%E		11.74	%		10.49	%		28.39	%		32.16	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	363,045		$	317,341		$	130,342		$	88,815		$	52,336		$	39,169		$	34,356
Ratios to average net assets:
Expenses, before reimbursements or recoupments		1.07	%F		1.11	%		1.20	%F		1.20	%		1.15	%		1.35	%		1.65	%
Expenses, net of reimbursements or recoupments		1.09	%F		1.09	%		1.06	%F		1.10	%		1.10	%		1.10	%		1.25	%
Net investment income (loss), before reimbursements or recoupments		(0.58	)%F		(0.73	)%		0.54	%F		(0.84	)%		(0.91	)%		(1.09	)%		(1.33	)%
Net investment income (loss), net of reimbursements or recoupments		(0.59	)%F		(0.71	)%		0.68	%F		(0.74	)%		(0.86	)%		(0.84	)%		(0.93	)%
Portfolio turnover rate		25	%E		39	%		6	%E		45	%		36	%		66	%		35	%

^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 was derived by dividing the change in undistributed net investment income by shares outstanding at November 30, 2012.

^I  Commencement of operations.

52

American Beacon Stephens Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class												Investor Class
Six Months Ended June 30,			Year Ended Dec. 31,			One Month Ended Dec. 31,			Feb. 24I to Nov. 30,			Six Months Ended June 30,			Year Ended Dec. 31,			One Month Ended Dec. 31,			Year Ended November 30,
2014			2013			2012			2012			2014			2013			2012			2012A			2011A			2010A			2009A
(unaudited)												(unaudited)
$	17.81		$	12.98		$	13.54		$	13.59		$	16.98		$	12.42		$	12.99		$	12.67		$	11.64		$	9.09		$	6.90
	(0.07	)		(0.04	)		0.01			(0.02	)		(0.07	)		(0.04	)		0.02			(6.00	)		(0.14	)B		(0.11	)B		(0.09	)
	(0.43	)		5.58			0.27			0.03			(0.42	)		5.31			0.25			1.37			1.32			2.66			2.28
	(0.50	)		5.54			0.28			(0.05	)		(0.49	)		5.27			0.27			1.31			1.18			2.55			2.19
	—			0.00			—			—			—			0.00			—			—			—			—			—
	—			(0.68	)		(0.84	)		—			—			(0.69	)		(0.84	)		(0.99	)		(0.15	)		—			—
	—			(0.03	)		—			—			—			(0.02	)		—			—			—			—			—
	—			(0.71	)		(0.84	)		—			—			(0.71	)		(0.84	)		(0.99	)		(0.15	)		—			—
	—			—			—			—			—			—			—			—			0.00	C		0.00	C		0.00	C
$	17.31		$	17.81		$	12.98		$	13.54		$	16.49		$	16.98		$	12.42		$	12.99		$	12.67		$	11.64		$	9.09
	(2.81	)%E		42.88	%		2.07	%E		(0.37	)%E		(2.89	)%E		42.62	%		2.08	%E		11.44	%		10.15	%		28.05	%		31.74	%
$	172,684		$	208,196		$	4,563		$	2,699		$	162,355		$	169,799		$	69,786		$	67,506		$	47,101		$	45,911		$	22,058
	1.16	%F		1.19	%		1.36	%F		2.05	%F		1.30	%F		1.39	%		1.62	%F		1.56	%		1.40	%		1.60	%		1.91	%
	1.17	%F		1.19	%		1.16	%F		1.21	%F		1.35	%F		1.35	%		1.34	%F		1.36	%		1.35	%		1.35	%		1.50	%
	(0.68	)%F		(0.79	)%		0.19	%F		(1.57	)%F		(0.80	)%F		(1.01	)%		0.23	%F		(1.20	)%		(1.16	)%		(1.33	)%		(1.59	)%
	(0.69	)%F		(0.78	)%		0.38	%F		(0.73	)%F		(0.86	)%F		(0.96	)%		0.50	F		(1.00	)%		(1.11	)%		(1.08	)%		(1.18	)%
	25	%E		39	%		6	%E		45	%G		25	%E		39	%		6	%E		45	%		36	%		66	%		35	%

53

American Beacon Stephens Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	A Class													C Class
	Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Feb. 24I to Nov. 30, 2012				Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Feb. 24I to Nov. 30, 2012
	(unaudited)													(unaudited)
Net asset value, beginning of period	$	16.91		$	12.40		$	12.98		$	13.07			$	16.66		$	12.32		$	12.91		$	13.07
Income from investment operations:
Net investment income (loss)		(0.09	)		(0.10	)		0.01			(0.07	)	��		(0.09	)		(0.13	)		0.00			(0.06	)
Net gains (losses) from investments (both realized and unrealized)		(0.42	)		5.32			0.25			(0.02	)			(0.46	)		5.18			0.25			(0.10	)
Total income (loss) from investment operations		(0.51	)		5.22			0.26			(0.09	)			(0.55	)		5.05			0.25			(0.16	)
Less distributions:
Dividends from net investment income		—			0.00			—			—				—			0.00			—			—
Distributions from net realized gains		—			(0.71	)		(0.84	)		—				—			(0.71	)		(0.84	)		—
Tax return of capital		—			(0.00	)C		—			—				—			(0.00	)C		—			—
Total distributions		—			(0.71	)		(0.84	)		—				—			(0.71	)		(0.84	)		—
Redemption fees added to beneficial interests		—			—			—			—				—			—			—			—
Net asset value, end of period	$	16.40		$	16.91		$	12.40		$	12.98			$	16.11		$	16.66		$	12.32		$	12.91
Total return D		(3.02	)%E		42.28	%		2.01	%E		(0.69	)%E			(3.30	)%E		41.17	%		1.94	%E		(1.22	)%E
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	10,622		$	10,942		$	3,131		$	2,941			$	3,041		$	2,447		$	349		$	343
Ratios to average net assets:
Expenses, before reimbursements or recoupments		1.56	%F		1.57	%		1.79	%F		2.08	%F			2.32	%F		2.33	%		3.21	%F		6.15	%F
Expenses, net of reimbursements or recoupments		1.59	%F		1.59	%		1.58	%F		1.61	%F			2.34	%F		2.34	%		2.33	%F		2.35	%F
Net investment income (loss), before reimbursements or recoupments		(1.07	)%F		(1.18	)%		0.04	%F		(1.68	)%F			(1.81	)%F		(1.93	)%		(1.36	)%F		5.71	%F
Net investment income (loss), net of reimbursements or recoupments		(1.09	)%F		(1.20	)%		0.25	%F		(1.21	)%F			(1.83	)%F		(1.95	)%		(0.48	)%F		(1.91	)%F
Portfolio turnover rate		25	%E		39	%		6	%E		45	%G			25	%E		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 was derived by dividing the change in undistributed net investment income by shares outstanding at November 30, 2012.

^I Commencement of operations.

54

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55

American Beacon Stephens Mid-Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Six Months Ended June 30,			Year Ended Dec. 31,			One Month Ended Dec. 31,			Year Ended November 30,
	2014			2013			2012			2012B			2011B			2010B			2009B
	(unaudited)
Net asset value, beginning of period	$	19.76		$	15.38		$	15.24		$	13.69		$	12.44		$	9.63		$	7.18
Income from investment operations:
Net investment income (loss)		(0.03	)		(0.05	)		0.02			—	C		(0.10	)D		(0.09	)D		(0.07	)
Net gains from investments (both realized and unrealized)		0.52			5.12			0.20			1.55			1.35			2.90			2.52
Total income from investment operations		0.49			5.07			0.22			1.55			1.25			2.81			2.45
Less distributions:
Dividends from net investment income		—			(0.01	)		—			—			—			—			—
Distributions from net realized gains		—			(0.66	)		(0.08	)		—			—			—			—
Tax return of capital		—			(0.02	)		—			—			—			—			—
Total distributions		—			(0.69	)		(0.08	)		—			—			—			—
Redemption fees added to beneficial interests		—			—			—			—			—			—			—
Net asset value, end of period	$	20.25		$	19.76		$	15.38		$	15.24		$	13.69		$	12.44		$	9.63
Total return F		2.48	%G		33.14	%		1.43	%G		11.32	%		10.05	%		29.18	%		34.12	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	72,697		$	63,236		$	31,005		$	30,503		$	13,208		$	7,124		$	4,552
Ratios to average net assets:
Expenses, before reimbursements or recoupments		1.05	%H		1.11	%		1.31	%H		1.28	%		1.65	%		2.27	%		3.03	%
Expenses, net of reimbursements or recoupments		0.99	%H		0.99	%		0.99	%H		1.03	%		1.25	%		1.25	%		1.25	%
Net investment income (loss), before reimbursements or recoupments		(0.58	)%H		(0.70	)%		1.37	%H		(0.62	)%		(1.12	)%		(1.81	)%		(2.46	)%
Net investment income (loss), net of reimbursements or recoupments		(0.52	)%H		(0.58	)%		1.69	%H		(0.37	)%		(0.72	)%		(0.79	)%		(0.69	)%
Portfolio turnover rate		20	%G		25	%		1	%G		27	%		30	%		20	%		29	%

^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.

56

American Beacon Stephens Mid-Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class												Investor Class
Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Feb. 24A to Nov. 30, 2012			Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Year Ended November 30,
																					2012B			2011B			2010B			2009B
(unaudited)												(unaudited)
$	19.76		$	15.38		$	15.23		$	15.09		$	17.64		$	13.83		$	13.72		$	12.36		$	11.26		$	8.74		$	6.53
	(0.01	)		(0.08	)		0.02			(0.03	)		(0.26	)		(0.08	)		0.02			(0.14	)C		(0.11	)D		(0.10	)D		(0.07	)
	0.48			5.15			0.21			0.17			0.65			4.58			0.17			1.50			1.21			2.62			2.28
	0.47			5.07			0.23			0.14			0.39			4.50			0.19			1.36			1.10			2.52			2.21
	—			(0.01	)		—			—			—			(0.01	)		—			—			—			—			—
	—			(0.68	)		(0.08	)		—			—			(0.68	)		(0.08	)		—			—			—			—
	—			(0.00	)E		—			—			—			(0.00	)E		—			—			—			—			—
	—			(0.69	)		(0.08	)		—			—			(0.69	)		(0.08	)		—			—			—			—
	—			—			—			—			—			—			—			—			—			0.00	E		0.00	E
$	20.23		$	19.76		$	15.38		$	15.23		$	18.03		$	17.64		$	13.83		$	13.72		$	12.36		$	11.26		$	8.74
	2.38	%G		33.14	%		1.50	%G		0.93	%G		2.21	%G		32.71	%		1.37	%G		11.00	%		9.77	%		28.83	%		33.84	%
$	3,037		$	1,672		$	374		$	222		$	22,050		$	31,912		$	18,585		$	18,092		$	20,034		$	15,076		$	9,637
	1.11	%H		1.14	%		1.53	%H		3.85	%H		1.28	%H		1.38	%		1.68	%H		1.67	%		1.91	%		2.52	%		3.32	%
	1.09	%H		1.09	%		1.09	%H		1.09	%H		1.37	%H		1.37	%		1.37	%H		1.40	%		1.50	%		1.50	%		1.50	%
	(0.63	)%H		(0.73	)%		0.69	%H		(3.09	)%H		(0.82	)%H		(0.98	)%		0.94	%H		(1.04	)%		(1.35	)%		(2.06	)%		(2.75	)%
	(0.60	)%H		(0.68	)%		1.13	%H		(0.33	)%H		(0.91	)%H		(0.97	)%		1.26	%H		(0.76	)%		(0.94	)%		(1.04	)%		(0.93	)%
	20	%G		25	%		1	%G		27	%I		20	%G		25	%		1	%G		27	%		30	%		20	%		29	%

57

American Beacon Stephens Mid-Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	A Class												C Class
	Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Feb. 24A to Nov. 30, 2012			Six Months Ended June 30, 2014			Year Ended Dec. 31, 2013			One Month Ended Dec. 31, 2012			Feb. 24A to Nov. 30, 2012
	(unaudited)												(unaudited)
Net asset value, beginning of period	$	17.61		$	13.83		$	13.72		$	13.62		$	17.38		$	13.75		$	13.63		$	13.62
Income from investment operations:
Net investment income (loss)		(0.08	)		(0.10	)		0.02			(0.05	)		(0.09	)		(0.16	)		0.02			(0.04	)
Net gains from investments (both realized and unrealized)		0.47			4.57			0.17			0.15			0.41			4.47			0.18			0.05
Total income from investment operations		0.39			4.47			0.19			0.10			0.32			4.31			0.20			0.01
Less distributions:
Dividends from net investment income		—			(0.01	)		—			—			—			0.00			—			—
Distributions from net realized gains		—			(0.68	)		(0.08	)		—			—			(0.68	)		(0.08	)		—
Return of capital		—			(0.00	)E		—			—			—			(0.00	)E		—			—
Total distributions		—			(0.69	)		(0.08	)		—			—			(0.68	)		(0.08	)		—
Redemption fees added to beneficial interests		—			—			—			—			—			—			—			—
Net asset value, end of period	$	18.00		$	17.61		$	13.83		$	13.72		$	17.70		$	17.38		$	13.75		$	13.63
Total return F		2.21	%G		32.49	%		1.37	%G		0.73	%G		1.84	%G		31.54	%		1.45	%G		0.07	%G
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	20,216		$	18,396		$	7,302		$	7,063		$	2,250		$	1,626		$	302		$	147
Ratios to average net assets:
Expenses, before reimbursements or recoupments		1.52	%H		1.56	%		1.81	%H		1.83	%H		2.27	%H		2.28	%		2.68	%H		14.54	%H
Expenses, net of reimbursements or recoupments		1.49	%H		1.49	%		1.49	%H		1.49	%H		2.24	%H		2.24	%		2.24	%H		2.24	%H
Net investment income (loss), before reimbursements or recoupments		(1.04	)%H		(1.15	)%		0.86	%H		(1.04	)%H		(1.79	)%H		(1.87	)%		0.15	%H		(13.65	)%H
Net investment income (loss), net of reimbursements or recoupments		(1.02	)%H		(1.09	)%		1.18	%H		(0.70	)%H		(1.75	)%H		(1.84	)%		0.59	%H		(1.36	)%H
Portfolio turnover rate		20	%G		25	%		1	%G		27	%I		20	%G		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.

58

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

At in-person meetings held on May 15, 2014 and June 5, 2014 (collectively, the “Meetings”), the Board of Trustees (“Board”) considered and then, at its June 5, meeting, approved: (1) the renewal of the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Beacon Trust”) and American Beacon Select Funds (“Select Trust”) on behalf of each of their series that had been operational for at least one year (collectively, the “Funds”); and (2) the renewal of the investment advisory agreements (each an “Investment Advisory Agreement”) among the Manager, each subadvisor and, as applicable, the Beacon Trust, other than the Investment Advisory Agreements with subadvisors with respect to which the Board approved a new Investment Advisory Agreement within the past year (each a “subadvisor”). The Management Agreement and the Investment Advisory Agreements are collectively referred to herein as the “Agreements.” In preparation for the Board to consider the renewal of these Agreements, the Board undertook steps to gather and consider information furnished by the Manager, the subadvisors, Lipper, Inc. (“Lipper”), Morningstar, Inc. (“Morningstar”), Bobroff Consulting, Inc. and Callan Associates, Inc. (“Callan”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and each subadvisor.

In advance of the Meetings, the Board’s Investment Committee coordinated the production of information from Lipper and Morningstar regarding the performance, fees and expenses of the Funds as well as information from the Manager and the subadvisors. At the Meetings, the Board considered the information provided. Further, the Board took into consideration information furnished for the Board’s review and consideration throughout the year at regular meetings of the Board and its committees, as well as information specifically prepared in connection with the renewal process.

In connection with the Board’s consideration of the Management Agreement and each Investment Advisory Agreement, the Trustees received and evaluated such information as they deemed necessary. The information requested on behalf of the Board included, among other information, the following materials. References herein to the “firm” refer to the Manager and/or each applicable subadvisor.

• comparisons of the performance of an appropriate share class of each Fund to comparable investment companies and appropriate benchmark indices, including peer group averages and performance analyses provided by Lipper and Morningstar, and to the performance of any similar accounts managed by the firm;

• for Funds having multiple firms managing assets, information regarding the performance of the individual firms with respect to their allocated portions of a Fund’s portfolio, and the performance of certain relevant benchmarks and other similar accounts managed by the firm;

• comparisons of each Fund’s management and subadvisory fee rates and expense ratio with those of comparable mutual funds, including peer group averages and fee and expense analyses provided by Lipper and Morningstar, and the advisory fee rates charged to other clients for which similar services are provided;

• a description of any applicable fee waivers and/or expense reimbursements in place for each Fund during the past year, and any proposed changes to the expense caps;

• the Manager’s profitability with respect to the services that it provided to each Fund;

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

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

• information regarding the securities lending, cash management, administrative and accounting-related services that the Manager provides to certain Funds and the fees that the Manager receives for such services, including Callan’s review of the Funds’ securities lending program; and

• information regarding a firm’s financial condition, the personnel who are or will be assigned primary responsibility for managing the Funds, staffing levels, portfolio managers’ compensation, disaster recovery plans, insurance coverage, material pending litigation, code of ethics, compliance matters, trading activities, and actual or potential conflicts of interest that the firm experiences, or anticipates that it will experience, in providing services to the Funds.

The Board considered that the Manager provides management and administrative services to the Funds pursuant to separate agreements. The Board noted, in this regard, that many mutual funds have a single contract governing both types of services, and observed that the actual management fee rates provided by Lipper for peer group funds reflect the combined advisory and administrative expenses, reduced by any fee waivers and/or reimbursements.

Certain firms may not have been able to, or opted not to, provide information in response to certain information requests, in which case the Board conducted its evaluation of those firms based on information that was provided. For each Fund with more than one class of shares, the class of shares used for comparative performance purposes was the share class with the lowest expenses available for purchase by the general public, which, in most cases, was the Institutional Class. For the American Beacon Holland Large Cap Growth Fund, the comparison was made using the Investor Class of shares due to the short period of time that its Institutional Class of shares has been in existence. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.

Provided below is an overview of certain factors the Board considered in connection with its renewal and approval of the Management Agreement and Investment Advisory Agreements. The Board did not identify any particular information that was most relevant to its consideration to renew or approve each Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal and approval of each Agreement. The memorandum explained the regulatory requirements surrounding the Trustees’ process for

59

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

evaluating investment advisors and the terms of the contracts. Based on its evaluation, the Board unanimously concluded that the terms of each Agreement were reasonable and fair and that the renewal and approval of each Agreement was in the best interests of the Funds and their shareholders.

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

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

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

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

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

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

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

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

In analyzing the fee rates charged by each subadvisor in connection with its investment advisory services to the Fund, the Board considered that, in many cases, the Manager has negotiated the lowest fee rate a subadvisor charges for any comparable client accounts. The Board did not request profitability data from the subadvisors because the Board did not view this data as imperative to its deliberations given the arm’s-length nature of the relationship between the Manager and the subadvisors with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that subadvisors may not account for their profits on an account-by-account basis and those that do likely employ different methodologies in connection with these calculations.

60

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

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

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

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

Benefits Derived from the Relationship with the Funds. The Board considered the “fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisors as a result of the advisory relationships with the Funds, including greater exposure in the marketplace with respect to the Manager’s or subadvisor’s investment process and expanding the level of assets under management by the Manager and the subadvisors. In addition, the Board noted that certain subadvisors benefit from soft dollar arrangements for third party and proprietary research.

In addition, the Manager noted that the Funds also derive benefits from their association with the Manager. Specifically, the Board noted the Manager’s representation that it provides services to most Funds at a lower than industry average cost. The Board considered that certain subadvisors reimburse the Manager for certain costs relating to distribution activities for the Funds, as well as representations by all such subadvisors that they would not reduce their fee rates in lieu of providing such reimbursements. Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisors by virtue of their relationships with the Funds appear to be fair and reasonable

Additional Considerations and Conclusions with Respect to Each Fund

The performance comparisons below were made versus each Fund’s Lipper performance universe and Lipper performance group, with the 1^st Quintile representing the top twenty percent of the universe or group based on performance and the 5^th Quintile representing the bottom twenty percent of the universe or group based on performance. References below to each Fund’s Lipper performance group and Lipper performance universe are to the respective group or universe of comparable mutual funds included in the analysis provided by Lipper. A Lipper performance group consists of the Fund and a representative sample of funds with similar investment classifications and objectives as the Fund, as selected by Lipper. A Lipper performance universe is an expansion of the performance group, providing a broader view of performance across the Fund’s investment classification/objective and allowing for a more extensive comparison. In reviewing the performance, the Trustees viewed longer-term performance over a full market cycle, typically five years or longer, as the most important consideration, because relative performance over shorter periods may be significantly impacted by market or economic events that do not reflect manager skill.

The expense comparisons below were made versus each Fund’s Lipper expense universe and Lipper expense group, with the 1^st Quintile representing the top twenty percent of the universe or group based on lowest total expense and the 5th Quintile representing the bottom twenty percent of the universe or group based on highest total expense. References below to each Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Lipper. A Lipper expense group consists of the Fund and a representative sample of funds with similar operating structures, as selected by Lipper. A Lipper expense universe includes all funds in the investment classification/objective with a similar load type to the share class of the Fund included in the Lipper comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. For all Funds in the Beacon Trust, the Trustees also considered a Fund’s Morningstar fee level category. In reviewing expenses, the Trustees considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the use of soft dollars was requested from the Manager and all subadvisors and was considered by the Trustees.

Additional Considerations and Conclusions with Respect to the American Beacon Bridgeway Large Cap Value Fund

In considering the renewal of the Management Agreement and Investment Advisory Agreement with Bridgeway Capital Management Inc. (“Bridgeway”) for the American Beacon Bridgeway Large Cap Value Fund, the Trustees considered the following additional factors:

Lipper Total Expense Analysis and Morningstar Fee Level Ranking

Compared to Lipper Expense Universe	2nd Quintile
Compared to Lipper Expense Group	1st Quintile
Morningstar Fee Level Ranking – Institutional Class	Average Expense Ratio

Lipper Fund Performance Analysis (five-year period ended March 31, 2014)

Compared to Lipper Performance Universe	2nd Quintile
Compared to Lipper Performance Group	1st Quintile

61

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

(1) The American Beacon Bridgeway Large Cap Value Fund acquired all of the assets of the Bridgeway Large Cap Value Fund, a series of Bridgeway Funds, Inc. (“Acquired Fund”), on February 3, 2012, and that the Fund’s performance prior to that date is that of the Acquired Fund; (2) representations by Bridgeway that, for fee rate comparison purposes, it does not manage other accounts in the same strategy as the subadvisor manages the Fund; and (3) the Manager’s recommendation to continue to retain the subadvisor.

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

Additional Considerations and Conclusions with Respect to the American Beacon Holland Large Cap Growth Fund

In considering the renewal of the Management Agreement and Investment Advisory Agreement with Holland Capital Management LLC (“Holland”) for the American Beacon Holland Large Cap Growth Fund, the Trustees considered the following additional factors:

Lipper Total Expense Analysis and Morningstar Fee Level Ranking

Compared to Lipper Expense Universe	3rd Quintile
Compared to Lipper Expense Group	2nd Quintile
Morningstar Fee Level Ranking – Institutional Class	Average Expense Ratio

Lipper Fund Performance Analysis (three-year period ended March 31, 2014)

Compared to Lipper Performance Universe	3rd Quintile
Compared to Lipper Performance Group	2nd Quintile

(1) The American Beacon Holland Large Cap Growth Fund acquired all of the assets of the Lou Holland Growth Fund, a series of the Forum Funds (“Acquired Fund”), on March 23, 2012, and that the Fund’s performance prior to that date is that of the Acquired Fund; (2) information provided by Holland regarding fee rates charged for managing accounts in the same strategy as the subadvisor manages the Fund; and (3) the Manager’s recommendation to continue to retain the subadvisor.

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

Additional Considerations and Conclusions with Respect to the American Beacon Stephens Mid-Cap Growth Fund

In considering the renewal of the Management Agreement and the Investment Advisory Agreement with Stephens Investment Management Group, LLC (“Stephens”) for the American Beacon Stephens Mid-Cap Growth Fund, the Trustees considered the following additional factors:

Lipper Total Expense Analysis and Morningstar Fee Level Ranking

Compared to Lipper Expense Universe	3rd Quintile
Compared to Lipper Expense Group	2nd Quintile
Morningstar Fee Level Ranking – Institutional Class	Average Expense Ratio

Lipper Fund Performance Analysis (five-year period ended March 31, 2014)

Compared to Lipper Performance Universe	2nd Quintile
Compared to Lipper Performance Group	3rd Quintile

(1) The American Beacon Stephens Mid-Cap Growth Fund acquired all of the assets of the Stephens Mid-Cap Growth Fund, a series of Professionally Managed Portfolios (“Acquired Fund”), on February 24, 2012, and that the Fund’s performance prior to that date is that of the Acquired Fund; (2) information provided by Stephens regarding fee rates charged for managing accounts in the same strategy as the subadvisor manages the Fund; and (3) the Manager’s recommendation to continue to retain the subadvisor.

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

62

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

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

In considering the renewal of the Management Agreement and the Investment Advisory Agreement with Stephens Investment Management Group, LLC (“Stephens”) for the American Beacon Stephens Small Cap Growth Fund, the Trustees considered the following additional factors:

Lipper Total Expense Analysis and Morningstar Fee Level Ranking

Compared to Lipper Expense Universe	3rd Quintile
Compared to Lipper Expense Group	3rd Quintile
Morningstar Fee Level Ranking – Institutional Class	Average Expense Ratio

Lipper Fund Performance Analysis (five- year period ended March 31, 2014)

Compared to Lipper Performance Universe	2nd Quintile
Compared to Lipper Performance Group	4th Quintile

(1) The American Beacon Stephens Small Cap Growth Fund acquired all of the assets of Stephens Small Cap Growth Fund, a series of Professionally Managed Portfolios (“Acquired Fund”), on February 24, 2012, and that the Fund’s performance prior to that date is that of the Acquired Fund; (2) information provided by Stephens regarding fee rates charged for managing accounts in the same strategy as the subadvisor manages the Fund; and (3) the Manager’s recommendation to continue to retain the subadvisor.

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

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If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Prospectus, Annual Report and Semi-Annual Report, by e-mail. If you are interested in this option, please go to www.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.

To obtain more information about the Fund:

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

Fund Service Providers:

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

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

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

SAR 6/14

About American Beacon Advisors

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

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

Contents

President’s Message	1
Performance Overviews	2
American Beacon Funds
Statements of Assets and Liabilities	9
Statements of Operations	10
Statements of Changes in Net Assets	11
Notes to Financial Statements	12
Financial Highlights	18
State Street Equity 500 Index Portfolio
Portfolio of Investments	27
Statement of Assets and Liabilities	33
Statement of Operations	34
Statement of Changes in Net Assets	35
Financial Highlights	36
Notes to Financial Statements	37
Quantitative Master Series LLC
Master International Index Series
Schedule of Investments	52
Master Small Cap Index Series
Schedule of Investments	62
Statement of Assets and Liabilities	82
Statement of Operations	83
Statement of Changes in Net Assets	84
Financial Highlights	85
Notes to Financial Statements	86
Additional Information	Back Cover

Investing in the securities of small capitalization companies involves greater risk and the possibility of greater price volatility than investing in larger capitalization and more established companies. Investing in foreign equities entails additional risk not associated with domestic equities, such as currency fluctuations, economic and political instability, and differences in accounting standards. Investing in derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management and the risk that a position could not be closed when more advantageous. Investing in derivatives could result in losing more than the amount invested. The American Beacon International Equity Index and American Beacon Small Cap Index Funds may be exposed to security lending risk through their investment in their 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 June 30, 2014

Dear Shareholders, The advance of the stock market during the first half of this year has been marked by remarkable consistency. While the S&P 500 Index has risen by a more-than respectable 7.1% through the first six months of 2014, that increase has happened with almost no day-to-day volatility. The S&P 500 ended the first half of the year on a string of 50 trading days where the index hadn’t moved by more than 1% in either direction. During this same time period, the Russell 2000 Index, which represents small-cap stocks, and the MSCI EAFE Index, representing international stocks, also enjoyed positive returns. The Russell 2000 Index gained 3.2%, and the MSCI EAFE Index gained 4.8%. After the more than 32% gain the S&P 500 Index posted in 2013, many investors were expecting some sort of correction

this year. But we haven’t had that correction, which is technically defined as a drop in the market of 10%.

In fact, we haven’t seen a correction since the summer of 2011. We are now in the midst of the third-longest streak without such a correction in the history of the S&P 500 Index. That is one more sign of this market’s stability.

American Beacon is known for its innovative actively managed funds, but we offer our shareholders a range of index funds as well. In an environment like the current one, where stocks have been making slow but steady progress, we know that index funds are a viable alternative for many investors.

For the six months ended June 30, 2014:

• The American Beacon S&P 500 Index Fund (Investor Class) returned 6.85%.

• The American Beacon Small Cap Index Fund (Institutional Class) returned 3.12%.

• The American Beacon International Equity Index Fund (Institutional Class) returned 4.73%.

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

Sincerely,

Gene L. Needles, Jr.

President

American Beacon Funds

1

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

Performance Overview

June 30, 2014 (Unaudited)

For the six months ended June 30, 2014, the return of the Investor Class of the American Beacon S&P 500 Index Fund (the “Fund”) was 6.85%, underperforming the S&P 500^® Index (the “Index”) return of 7.14%.

Total Returns for the Period ended 6/30/14

	6 Months*			1 Year			5 Years			10 Years
Institutional Class(1,3)		7.05	%		24.36	%		18.71	%		7.67	%
Investor Class(1,3)		6.85	%		23.87	%		18.19	%		7.19	%
S&P 500 Index (2)		7.14	%		24.61	%		18.83	%		7.78	%

* Not annualized

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

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

3. The total annual Fund operating expense ratios set forth in the most recent prospectus for the Institutional and Investor Class shares were 0.14% and 0.60%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report which are based on expenses incurred during the period covered by this report.

Performance Summary provided by SSgA Funds Management, Inc.

A disappointing January brought a number of chillier reports on global economic activity, and the first month of 2014 ended with U.S. stocks hesitating near two-month lows. A weak manufacturing reading in early February served to unnerve investors further, driving averages of larger U.S. equities to the worst levels since late October. But Janet Yellen, newly installed head of the U.S. Federal Reserve (the “Fed”), came across as thoroughgoing and confident in her first opportunity to provide formal testimony before Congress. With policy continuity assured, investors used the remainder of February to lift the S&P 500 back up and over the record levels at which it had

traded near the end of 2013. The decision of social media leader Facebook to spend $19 billion on messaging firm WhatsApp seemed to validate the expansive valuations that investors were assigning to the healthcare and technology firms with the best growth prospects. Equities rebounded quickly from a sharp selloff on March 4, when Russian troops asserted control of the Crimean Peninsula. The latest manufacturing surveys in the U.S. and Europe looked reasonably solid, as did the U.S. payroll report for February. Despite a steep decline in copper prices related to Chinese credit concerns, Janet Yellen appeared comfortable enough with the growth outlook that on March 19 she hazarded a rough guess that interest rates might rise as soon as six months after asset purchases were over. Her inadvertent specificity proved more disruptive to bond investors than to equity holders, but the sense of a broadening growth picture had already started to capture the attention of stock traders, who were looking to energy and financial stocks as cheaper beneficiaries of a building economic recovery.

On a more positive note, the second half of April brought a vigorous rebound in equities. Varied economic outlooks led Janet Yellen to espouse dovish flexibility in a New York City speech, while her European Central Bank (“ECB”) counterpart Mario Draghi admitted that concern with the resilient euro might prompt him to pursue additional stimulus. The supportive rhetoric dovetailed nicely with the arrival of first-quarter earnings reports, which tended to show solid outperformance of expectations, particularly in the U.S. At the same time, continued erosion of bond yields made the relative valuation proposition for equities all the more attractive. Equity markets were generally calm in the early part of May as investors looked past mixed economic news and focused on the M&A deals being announced across a variety of industries. Bond yields traded in a tight range until the middle of the month. About the same time, Draghi announced that he had had enough of the growth wilting combination of low inflation and a strong currency and that the ECB was ready to act. Markets believed him when in July of 2012 he made the now famous “Whatever it takes” comment as evidenced in falling interest rates on weaker sovereign borrowers, and they believe him now. Equities rallied through the end of May and bonds sold off slightly. Later in June, equities began to move lower on news that a previously little known group called the Islamic State of Iraq and Syria, ISIS, threatened to take

2

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

Performance Overview

June 30, 2014 (Unaudited)

over Baghdad. While the oil production in southern Iraq is not at risk, the headline alone does create concern. Janet Yellen and the Federal Open Market Committee announced no change to rates and the continuation of tapering on June 18th. Markets in the U.S. generally took it in stride and traded up slightly on the news.

On an individual stock level, the top contributors for the reporting period were Apple Inc., Johnson & Johnson, and Wells Fargo Co. Apple has done well this year primarily from continued growth in the iPhone and iPad lines, with more of that growth now coming from overseas. It also enjoyed strong revenue growth from its App Store. Johnson & Johnson experienced continued strength in its pharmaceuticals business and particularly with its hepatitis C drugs over the first half of 2014, while Wells Fargo has steadily climbed by sticking to its straight forward brand of banking, including providing quality lending and mortgage services. The bottom individual security contributors were Amazon.com Inc., Citigroup Inc., and General Electric Co. Amazon had disappointing earnings in the first half of 2014 with investors also seemingly becoming impatient with the company’s strategy of investing in new projects and technologies without clear payoffs. Citigroup shares were down in 2014 as the bank failed the Fed’s stress test in March, and also had its capital plans rejected by the Fed for the second time in four tries. General Electric shares were dragged down by the expensive and prolonged acquisition of French power company Alstom, as well as continuing efforts to streamline its business by divesting unprofitable units.

Portfolio Strategy

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

Top Ten Holdings (% Net Assets)*

Apple, Inc.	3.2
Exxon Mobil Corporation	2.5
Microsoft Corporation	1.8
Johnson & Johnson	1.7
General Electric Company	1.5
Wells Fargo & Company	1.5
Chevron Corporation	1.4
Berkshire Hathaway Inc. Class B	1.3
JPMorgan Chase & Co.	1.3
Procter & Gamble Company	1.2

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

Sector Allocation (% Equities)*

Information Technology	18.8
Financials	16.1
Health Care	13.3
Consumer Discretionary	11.9
Industrials	10.9
Energy	10.5
Consumer Staples	9.5
Materials	3.5
Utilities	3.1
Telecommunication Services	2.4

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

^†  S&P is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use. “Standard & Poor’s^®,” “S&P^®,” “Standard & Poor’s 500,” “S&P 500^®” and “500” are all trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by State Street Bank and Trust Company. The American Beacon S&P 500 Index Fund is not sponsored, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in this Fund.

3

American Beacon Small Cap Index Fund^SM

Performance Overview

June 30, 2014 (Unaudited)

For the six months ended June 30, 2014, the Institutional Class of the American Beacon Small Cap Index Fund (the “Fund”) posted a return of 3.12%, underperforming the Russell 2000^® Index (the “Index”) return of 3.19%.

Total Returns for the Period ended 6/30/14

	6 Months*			1 Year			5 Years			10 Years
Institutional Class(1,3)		3.12	%		23.66	%		20.18	%		8.65	%
Russell 2000 Index(2)		3.19	%		23.64	%		20.21	%		8.70	%

* Not annualized

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

2. The Russell 2000 Index is an unmanaged index comprising approximately 2,000 smaller-capitalization stocks from various industrial sectors. Russell 2000^® Index is a registered trademark of Frank Russell Company. 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 0.17%. The expense ratio above may vary from the expense ratio presented in other sections of this report which is based on expenses incurred during the period covered by this report.

Performance Summary provided by BlackRock Investment Management, LLC

U.S. equities, as represented by the Russell 2000 Index, moved higher by 3.19% in the first half of 2014 as investors looked past geopolitical risks to focus on improving economic data and the continuation of easy monetary policy from the U.S. Federal Reserve (the “Fed”).

Despite high valuations resulting from last year’s strong rally, investors continued to favor equities in the first half of 2014, pushing major equity indices to record highs during the period. However, not all segments of the market advanced as many of last year’s winners struggled, including

many biotechnology and internet-related companies as well as retailers. Broadly speaking, the new year brought a swift reversal away from the prevailing momentum stocks of 2013 and a rotation from growth to value stocks. Additionally, market volatility remained well below historical norms, a trend that has continued for several quarters, suggesting that investors have become complacent in an environment where easy monetary conditions and low default rates have served to counteract growing geopolitical risk.

The year got off to a rocky start, however, as heightened risks in emerging markets compelled investors to pull back from risk assets generally. A number of emerging economies struggled with currency weakness, debt problems and uneven growth rates while facing the broader headwind of diminishing global liquidity as the Fed began tapering its stimulus program. Signs of further deceleration in Chinese economic growth were particularly worrisome. Meanwhile, disappointing corporate earnings reports and softer economic data in the United States, also contributed to the sell-off in equities.

U.S. equities were back on the rise in February due in part to positive developments in Washington, D.C. Fiscal uncertainty abated with the extension of the U.S. debt ceiling. Additionally, investors were encouraged by market-friendly comments from the new Fed Chairwoman, Janet Yellen. Although U.S. economic data had weakened, most investors viewed this recent trend as temporary and continued to take on U.S. equity risk given expectations that growth would pick up later in the year.

Market volatility increased in March due to rising tensions between Russia and Ukraine over the disputed region of Crimea. Investors feared the impact of potential international sanctions and the threat of rising oil prices. More evidence of decelerating growth in China added to the air of uncertainty. Yet, markets were resilient as investors turned their focus to improving U.S. economic data, positive corporate earnings surprises and increased merger and acquisition activity. Dovish comments from the Fed also helped push U.S. stocks higher.

Escalating violence in Iraq pushed oil prices sharply higher in June, causing stock prices to fall as investors were reminded of the broader risk that instability in the Middle East and Africa poses to

4

American Beacon Small Cap Index Fund^SM

Performance Overview

June 30, 2014 (Unaudited)

global oil production. However, a steady stream of mergers and acquisitions again took center stage and, against the backdrop of ongoing Fed stimulus, U.S. equities quickly resumed their upward course.

As the global economy continued its slow recovery, improving U.S. data garnered a good deal of investors’ attention during the period. Following a first quarter of disappointing economic reports, better data in the second quarter ultimately confirmed that the recent weakness had been temporary and largely weather-related. In June, revised gross domestic product (“GDP”) numbers revealed that the U.S. economy had contracted much more than expected in the first quarter. While this news came as a surprise, it was no longer important as compared to more recent data showing improvements in the labor market and manufacturing. Nonetheless, a low labor participation rate, anemic wage growth and lackluster consumption continued to weigh on U.S. growth. While the global recovery has remained generally on track, mixed economic reports in the first half of the year resulted in the World Bank lowering its 2014 global growth forecast to 2.8% in June from its January forecast of 3.2%.

During the first half of the year Energy (up 16.74%), Utilities (up 14.75%) and Healthcare (up 4.76%) were the largest contributors from a total return perspective with Consumer Discretionary (down 2.12%) and Telecommunications Services (down 1.46%) being the largest distractors from a total return perspective.

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)*

Prosperity Bancshares, Inc.	0.2
Aspen Technology, Inc.	0.2
InterMune, Inc.	0.2
WEX, Inc.	0.2
Isis Pharmaceuticals, Inc.	0.2
Brunswick Corp.	0.2
Tenneco, Inc.	0.2
Ultimate Software Group, Inc.	0.2
PolyOne Corp.	0.2
Investors Bancorp, Inc.	0.2
Total Fund Holdings	1,985

* Percent of Net Assets of Master Small Cap Index Series

Sector Allocation (% Equities)*

Financials	22.6
Information Technology	17.6
Industrials	13.8
Health Care	13.1
Consumer Discretionary	13.0
Energy	6.2
Materials	5.0
Utilities	3.3
Consumer Staples	3.1
Cash	1.5
Telecommunications	0.8

* Percent of equity portion of Master Small Cap Index Series

5

American Beacon International Equity Index Fund^SM

Performance Overview

June 30, 2014 (Unaudited)

For the six months ended June 30, 2014, the Institutional Class of the American Beacon International Equity Index Fund (the “Fund”) posted a return of 4.73%, underperforming the MSCI EAFE Index (the “Index”) return of 4.78%.

Total Returns for the Period ended 6/30/14

	6 Months*			1 Year			5 Years			10 Years
Institutional Class(1,3)		4.73	%		23.21	%		11.57	%		6.87	%
MSCI EAFE Index(2)		4.78	%		23.57	%		11.77	%		6.93	%

* Not annualized

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

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

3. The total annual Fund operating expense ratio set forth in the most recent prospectus for the Fund was 0.26%. The expense ratio above may vary from the expense ratio presented in other sections of this report, which is based on expenses incurred during the period covered by this report.

Performance Summary provided by BlackRock Investment Management, LLC

International equities, as measured by the Index in U.S. dollar terms, advanced 4.78% in the first half of 2014 as investors looked past geopolitical risks to focus on signs of a strengthening recovery in developed economies, while ongoing stimulus from the world’s largest central banks continued to provide support to financial markets broadly.

Despite high valuations resulting from last year’s strong rally, investors continued to favor equities in the first half of 2014, pushing major equity indices to record highs during the period. However, not all segments of the market advanced as many of last year’s winners struggled, including many biotechnology and internet-related companies. Broadly speaking, the new year brought

a swift reversal away from the prevailing momentum stocks of 2013 and a rotation from growth to value stocks. Additionally, market volatility remained well below historical norms, a trend that has continued for several quarters, suggesting that investors have become complacent in an environment where easy monetary conditions and low default rates have served to counteract growing geopolitical risk.

The year got off to a rocky start, however, as heightened risks in emerging markets compelled investors to pull back from risk assets generally. A number of emerging economies struggled with currency weakness, debt problems and uneven growth rates while facing the broader headwind of diminishing global liquidity as the U.S. Federal Reserve (the “Fed”) began tapering its stimulus program. Signs of further deceleration in Chinese economic growth were particularly worrisome. Meanwhile, disappointing corporate earnings reports and softer economic data in the United States dampened sentiment for the broader global economy.

International equities were back on the rise in February, with a significant surge in European stocks as fourth-quarter European gross domestic product (“GDP”) growth came in slightly higher than expected, driven largely by stronger growth in France and Germany. Signs of a strengthening economic recovery combined with hopes that the European Central Bank (“ECB”) would soon take measures to combat the uncomfortably low level of inflation in the eurozone fueled a rally in Europe’s stock markets.

Market volatility increased in March due to rising tensions between Russia and Ukraine over the disputed region of Crimea. Investors feared the impact of potential international sanctions and the threat of rising oil prices. More evidence of decelerating growth in China added to the air of uncertainty. Yet, markets were resilient amid heightened expectations for policy action from the ECB given rising deflationary risk. At the same time, improvements in U.S. economic data and corporate earnings lifted investor sentiment broadly, while dovish comments from the Fed helped push the world’s stock markets higher.

The ECB ultimately took policy action in early June, including the implementation of a negative deposit rate, a move that has never before been attempted by a major central bank. In contrast, the Bank of Japan disappointed with its

6

American Beacon International Equity Index Fund^SM

Performance Overview

June 30, 2014 (Unaudited)

decision to refrain from expanding its asset purchase program even as the nation continued to struggle with slowing economic momentum, causing Japanese equities to lag other developed world markets.

Escalating violence in Iraq pushed oil prices sharply higher in June, resulting in small declines across stock markets globally as investors were reminded of the broader risk that instability in the Middle East and Africa poses to global oil production. However, a steady stream of mergers and acquisitions took center stage and, against the backdrop of ongoing stimulus from the Fed and ECB, equity markets soon resumed their upward course.

As the global economy continued its slow recovery, improving data, mainly from the United States, garnered a good deal of investors’ attention during the period. More consistently positive data in the U.S. eventually confirmed that the economy’s recent weakness had been temporary and largely weather-related. China’s decelerating economy began to show signs of stabilization toward the end of the period, as did other emerging countries where central banks took measures to improve financial conditions. In Europe, local economic data and credit conditions continued to show signs of improvement, although weaker purchasing managers’ index (“PMI”) numbers and business climate indicators in the core countries, particularly in France, pointed to the continued fragility of the region’s recovery. A thriving U.K. economy, however, was a bright spot in Europe, as the nation’s unemployment rate ticked lower and the housing market boomed.

U.K. and Japanese stocks, which represent the largest weightings in the Index composition, gained 5.17% and 0.68% (in U.S. dollar terms), respectively, for the six-month period. Other markets with notable weightings in the Index include Switzerland (up 6.93%), France (up 4.65%) and Germany (up 1.31%). Of the 21 developed markets represented in the Index, the strongest performers were Israel (up 21.09%), Denmark (up 19.72%), New Zealand (up 14.98%), Italy (up 14.45%), Spain (up 12.29%), Norway (up 12.26%) and Australia (up 8.82%). Austria was the only market in the Index to produce negative results for the period (down 3.36%).

Portfolio Strategy

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

Top Ten Holdings (% Net Assets)*

Nestle S.A.	1.8
Roche Holding Ltd.	1.5
Novartis AG	1.5
HSBC Holdings PLC	1.4
Toyota Motor Corp.	1.2
BP PLC	1.2
Royal Dutch Shell PLC	1.2
Total S.A.	1.1
GlaxoSmithKline PLC	0.9
Sanofi S.A.	0.9
Total Fund Holdings	944

* Percent of Net Assets of the Master International Index Series

Sector Allocation (% Long-Term Investments)*

Financials	24.7
Industrials	12.4
Consumer Discretionary	11.6
Consumer Staples	10.8
Health Care	10.3
Materials	7.8
Energy	7.1
Telecommunications	4.8
Information Technology	4.3
Utilities	3.8
Other	2.4

* Percent of equity portion of Master International Index Series

All Country Weightings (% of Long-Term Investments)*

Japan	20.2
United Kingdom	18.6
France	10.1
Switzerland	9.6
Germany	9.2
Australia	7.7
Netherlands	4.7
Spain	3.7
Sweden	3.0
Hong Kong	2.8
Italy	2.5
Denmark	1.5
Singapore	1.4
Belgium	1.2
Norway	0.9
Finland	0.9
Ireland	0.8
Israel	0.5
Austria	0.3
Portugal	0.2
New Zealand	0.1

* Percent of equity portion of Master International Index Series

7

American Beacon Funds^SM

Fund Expenses

June 30, 2014 (Unaudited)

Fund Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in a particular Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2014 through June 30, 2014.

Actual Expenses

The following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the “Expenses Paid During Period” row to estimate the expenses you paid on your account during this period. Shareholders of the Institutional and Investor Classes that invest in a Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.

Actual

Institutional Class	S&P 500 Index			Small Cap Index			International Equity Index			Investor Class	S&P 500 Index
Beginning Account Value 1/1/14	$	1,000.00		$	1,000.00		$	1,000.00		Beginning Account Value 1/1/14	$	1,000.00
Ending Account Value 6/30/14	$	1,070.51		$	1,031.23		$	1,047.29		Ending Account Value 6/30/14	$	1,068.45
Expenses Paid During Period* 1/1/14 - 6/30/14	$	0.67		$	0.91		$	1.07		Expenses Paid During Period* 1/1/14 - 6/30/14	$	3.03
Annualized Expense Ratio		0.13	%		0.18	%		0.21	%	Annualized Expense Ratio		0.59	%

Hypothetical Example for Comparison Purposes

The following table provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in a particular Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders of the Institutional and Investor Classes that invest in a Fund through an IRA 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 1/1/14	$	1,000.00		$	1,000.00		$	1,000.00		Beginning Account Value 1/1/14	$	1,000.00
Ending Account Value 6/30/14	$	1,024.15		$	1,023.90		$	1,023.75		Ending Account Value 6/30/14	$	1,021.87
Expenses Paid During Period* 1/1/14 - 6/30/14	$	0.65		$	0.90		$	1.05		Expenses Paid During Period* 1/1/14 - 6/30/14	$	2.96
Annualized Expense Ratio		0.13	%		0.18	%		0.21	%	Annualized Expense Ratio		0.59	%

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

8

American Beacon Funds^SM

Statements of Assets and Liabilities

June 30, 2014 (Unaudited) (in thousands, except share and per share amounts)

	S&P 500 Index Fund			Small Cap Index Fund		International Equity Index Fund
Assets:
Investment in Portfolio, at fair value	$	1,105,816		$	160,160	$	693,419
Receivable for fund shares sold		18,484			52		1,491
Prepaid expenses		22			9		15
Total assets		1,124,322			160,221		694,925
Liabilities:
Payable for fund shares redeemed		488			1,090		132
Administrative service and service fees payable (Note 2)		55			6		27
Printing fees payable		43			23		33
Professional fees payable		34			15		23
Sub-administration fees payable		—			2		187
Transfer agent fees payable		13			3		6
Trustee fees payable		14			3		10
Other liabilities		7			6		9
Total liabilities		654			1,148		427
Net Assets	$	1,123,668		$	159,073	$	694,498
Analysis of Net Assets:
Paid-in-capital		783,690			101,871		623,459
Undistributed net investment income		5,496			1,335		15,386
Accumulated net realized gain (loss)		(48,128	)		3,830		(85,326	)
Unrealized net appreciation of investments		383,141			51,998		140,904
Unrealized net appreciation foreign currency contracts		—			—		121
Unrealized net appreciation (depreciation) of futures contracts		(531	)		39		(46	)
Net assets	$	1,123,668		$	159,073	$	694,498
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		40,760,964			8,308,740		58,066,706
Investor Class		1,250,243			N/A		N/A
Net assets (not in thousands):
Institutional Class	$	1,090,541,215		$	159,072,954	$	694,497,973
Investor Class	$	33,126,327		$	N/A	$	N/A
Net asset value, offering and redemption price per share:
Institutional Class	$	26.75		$	19.15	$	11.96
Investor Class	$	26.50		$	N/A	$	N/A

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios

9

American Beacon Funds^SM

Statements of Operations

For the Six Months ended June 30, 2014 (Unaudited) (in thousands)

	S&P 500 Index Fund			Small Cap Index Fund				International Equity Index Fund
Investment Income (expense) Allocated From Portfolio:
Dividend income (net of foreign taxes)A	$	10,143		$1,441				$	16,840
Interest income		7		1					—
Securities lending income		—		197					16
Portfolio expenses (net of fees waived)B		(226	)	(97)					(189	)
Net investment income allocated from Portfolio		9,924		1,542					16,667
Fund Expenses:
Administrative service fees (Note 2):
Institutional Class		243		68					160
Investor Class		38		—					—
Sub-administrative service fees:
Institutional Class		—		12					177
Transfer agent fees:
Institutional Class		17		5					21
Investor Class		2		—					—
Custody and accounting fees		6		6					6
Professional fees		29		16					25
Registration fees		17		4					13
Service fees - Investor Class (Note 2)		38		—					—
Printing expense		49		22					41
Trustee fees		27		7					17
Insurance expense		7		2					5
Other expenses		17		5					24
Total fund expenses		490		147					489
Net investment income		9,434		1,395					16,178
Realized and unrealized gain (loss) allocated from master portfolio
Net realized gain (loss) from:
Investments		2,047				6,824			(914	)
Foreign currency transactions		—				—			33
Futures contracts		1,943				533			699
Change in net unrealized appreciation or (depreciation) of:
Investments		58,295				(5,462	)		14,739
Foreign currency transactions		—				—			7
Futures contracts		(273	)			(256	)		(363	)
Net gain on investments		62,012				1,639			14,201
Net increase in net assets resulting from operations	$	71,446			$	3,034		$	30,379
A Foreign taxes	$	25			$	2		$	1,551
B Fees waived by Master Portfolio	$	—			$	1		$	3

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios

10

American Beacon Funds^SM

Statements of Changes in Net Assets (in thousands)

	S&P 500 Index Fund						Small Cap Index Fund						International Equity Index Fund
	Six Months ended June 30, 2014			Year ended December 31, 2013			Six Months ended June 30, 2014			Year ended December 31, 2013			Six Months ended June 30, 2014			Year ended December 31, 2013
	(unaudited)						(unaudited)						(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	9,434		$	15,985		$	1,395		$	2,969		$	16,178		$	15,493
Net realized gain (loss) from investments, foreign currency, and futures contracts		3,990			9,149			7,357			11,666			(182	)		(5,561	)
Change in net unrealized appreciation or (depreciation) of investments and futures contracts		58,022			202,048			(5,718	)		56,569			14,383			96,462
Net increase in net assets resulting from operations		71,446			227,182			3,034			71,204			30,379			106,394
Distributions to Shareholders:
Net investment income:
Institutional Class		(4,369	)		(15,320	)		—			(3,043	)		—			(16,049	)
Investor Class		(120	)		(353	)		—			—			—			—
Total distributions to shareholders		(4,489	)		(15,673	)		—			(3,043	)		—			(16,049	)
Proceeds from sales of shares		118,960			182,996			36,005			103,919			72,900			182,715
Reinvestment of dividends and distributions		4,441			15,523			—			3,043			—			15,707
Cost of shares redeemed		(36,929	)		(107,420	)		(165,521	)		(76,228	)		(38,518	)		(139,930	)
Net increase (decrease) in net assets from capital share transactions		86,472			91,099			(129,516	)		30,734			34,382			58,492
Net increase (decrease) in net assets		153,429			302,608			(126,482	)		98,895			64,761			148,837
Net Assets:
Beginning of period		970,239			667,631			285,555			186,660			629,737			480,900
End of Period *	$	1,123,668		$	970,239		$	159,073		$	285,555		$	694,498		$	629,737
*Includes undistributed net investment income (loss) of	$	5,496		$	551		$	1,335		$	(60	)	$	15,386		$	(1,307	)

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios

11

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

1. Organization and Significant Accounting Policies

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

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

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

American Beacon:	Portfolios:	% of Portfolio Held by Fund  at June 30, 2014
S&P 500 Index Fund	State Street Equity 500 Index Portfolio	36.68%
Small Cap Index Fund	Master Small Cap Index Series	21.25%
International Equity Index Fund	Master International Index Series	62.02%

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 following table sets forth the differences amongst the classes:

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

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

2. Transactions with Affiliates

Administrative Services Agreement

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

12

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

Service Plans

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

Sub-administration Agreement

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

3. Security Valuation and Fair Value Measurements

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

Investment Income

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

Dividends to Shareholders

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

Allocation of Income, Expenses, Gains and Losses

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

Valuation of Shares

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

13

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

Use of Estimates

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

Other

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

4. Federal Income and Excise Taxes

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

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

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

	S&P 500 Index				Small Cap Index				International Equity Index
	Six Months Ended June 30, 2014		Year Ended December  31, 2013		Six Months Ended June 30, 2014		Year Ended December  31, 2013		Six Months Ended June 30, 2014		Year Ended December  31, 2013
	(unaudited)				(unaudited)				(unaudited)
Distributions paid from:
Ordinary income
Institutional Class	$	4,369	$	15,320	$	—	$	3,043	$	—	$	16,049
Investor Class		120		353		—		—		—		—
Total distributions paid	$	4,489	$	15,673	$	—	$	3,043	$	—	$	16,049

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.

14

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

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

5. Capital Share Transactions

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

For the Six Months ended June 30, 2014

	Institutional Class						Investor Class
S&P 500 Index Fund	Shares			Amount			Shares			Amount
Shares sold		4,185		$	107,474			456		$	11,486
Reinvestment of dividends		169			4,325			5			116
Shares redeemed		(1,118	)		(28,190	)		(348	)		(8,739	)
Net increase in shares outstanding		3,236		$	83,609			113		$	2,863

	Institutional Class
Small Cap Index Fund	Shares			Amount
Shares sold		1,948		$	36,005
Reinvestment of dividends		—			—
Shares redeemed		(9,017	)		(165,521	)
Net (decrease) in shares outstanding		(7,069	)	$	(129,516	)
	Institutional Class
International Equity Index Fund	Shares			Amount
Shares sold		6,339		$	72,900
Reinvestment of dividends		—			—
Shares redeemed		(3,372	)		(38,518	)
Net increase in shares outstanding		2,967		$	34,382

For the Year ended December 31, 2013

	Institutional Class						Investor Class
S&P 500 Index Fund	Shares			Amount			Shares			Amount
Shares sold		7,589		$	168,981			639		$	14,015
Reinvestment of dividends		668			15,185			15			338
Shares redeemed		(4,301	)		(97,139	)		(464	)		(10,281	)
Net increase in shares outstanding		3,956		$	87,027			190		$	4,072

15

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

	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
	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

16

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17

American Beacon S&P 500 Index Fund

Financial Highlights

(For a share outstanding throughout each period)

	Institutional Class
	Six Months ended June 30,			Year Ended December 31,
	2014			2013			2012			2011			2010			2009
	(unaudited)
Net asset value, beginning of period	$	25.10		$	19.35		$	17.05		$	17.07		$	15.15		$	12.21
Income from investment operations:
Net investment income:A		0.23			0.43			0.39			0.34			0.29			0.30
Net gain (loss) from investments (both realized and unrealized)		1.53			5.74			2.31			(0.02	)		1.95			2.91
Total income from investment operations		1.76			6.17			2.70			0.32			2.24			3.21
Less distributions:
Dividends from net investment income		(0.11	)		(0.42	)		(0.40	)		(0.34	)		(0.32	)		(0.27	)
Tax return of capital		—			—			—			(0.00	)B		—			—
Total distributions		(0.11	)		(0.42	)		(0.40	)		(0.34	)		(0.32	)		(0.27	)
Net asset value, end of period	$	26.75		$	25.10		$	19.35		$	17.05		$	17.07		$	15.15
Total return C		7.05	%D		32.15	%		15.87	%		1.92	%		14.96	%		26.70	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	1,090,541		$	941,930		$	649,457		$	422,337		$	381,592		$	316,975
Ratios to average net assets:A
Expenses, including expenses allocated from the master portfolio		0.13	%E		0.14	%		0.15	%		0.16	%		0.13	%		0.15	%
Net investment income		1.89	%E		1.95	%		2.19	%		1.95	%		1.90	%		2.39	%

^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. Amount is less than $0.01 per share.

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

^D Not annualized.

^E Annualized.

18

American Beacon S&P 500 Index Fund

Financial Highlights

(For a share outstanding throughout each period)

Investor Class
Six Months ended June 30,			Year Ended December 31,
2014			2013			2012			2011			2010			2009
(unaudited)
$	24.89		$	19.19		$	16.82		$	16.88		$	15.00		$	12.06
	0.19			0.37			0.31			0.22			0.15			0.33
	1.51			5.65			2.25			0.02			1.99			2.80
	1.70			6.02			2.56			0.24			2.14			3.13
	(0.09	)		(0.32	)		(0.19	)		(0.30	)		(0.26	)		(0.19	)
	—			—			—			(0.00	)B		—			—
	(0.09	)		(0.32	)		(0.19	)		(0.30	)		(0.26	)		(0.19	)
$	26.50		$	24.89		$	19.19		$	16.82		$	16.88		$	15.00
	6.85	%D		31.56	%		15.25	%		1.44	%		14.43	%		26.26	%
$	33,127		$	28,309		$	18,174		$	16,154		$	17,707		$	22,261
	0.59	%E		0.60	%		0.63	%		0.64	%		0.60	%		0.60	%
	1.41	%E		1.48	%		1.67	%		1.44	%		1.42	%		2.01	%

19

American Beacon Small Cap Index Fund^SM

Financial Highlights

(For a share outstanding throughout each period)

	Institutional Class
	Six Months ended June 30,			Year Ended December 31,
	2014			2013			2012			2011			2010			2009
	(unaudited)
Net asset value, beginning of period	$	18.57		$	13.52		$	11.86		$	12.64		$	10.06		$	8.00
Income from investment operations:
Net investment income A		0.08			0.22			0.21			0.19			0.13			0.10
Net gain (loss) on investments and futures transactions (both realized and unrealized)		0.50			5.05			1.73			(0.76	)		2.59			2.08
Total income (loss) from investment operations		0.58			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	BC		(0.01	)B		(0.01	)B
Total distributions		—			(0.22	)		(0.28	)		(0.21	)		(0.14	)		(0.12	)
Net asset value, end of period	$	19.15		$	18.57		$	13.52		$	11.86		$	12.64		$	10.06
Total return D		3.12	%E		38.98	%		16.36	%		(4.54	)%		27.05	%		27.21	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	159,073		$	285,555		$	186,660		$	43,157		$	93,138		$	39,958
Ratios to average net assets:A
Expenses, including expenses allocated from the master portfolio		0.18	%F		0.17	%		0.21	%		0.26	%		0.18	%		0.23	%
Net investment income		1.03	%F		1.34	%		2.23	%		1.04	%		1.21	%		1.18	%

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

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

^C Amount is less than $0.01 per share

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

^E Not annualized.

^F Annualized.

20

American Beacon International Equity Index Fund^SM

Financial Highlights

(For a share outstanding throughout each period)

	Institutional Class
	Six Months ended June 30,			Year Ended December 31,
	2014			2013			2012			2011			2010			2009
	(unaudited)
Net asset value, beginning of period	$	11.43		$	9.65		$	8.36		$	9.87		$	9.38		$	7.46
Income from investment operations:
Net investment income A		0.28			0.29			0.25			0.29			0.22			0.21
Net gain (loss) from investments, foreign currency and futures transactions (both realized and unrealized)		0.25			1.79			1.29			(1.51	)		0.49			1.93
Total income (loss) from investment operations		0.53			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	)
Total distributions		—			(0.30	)		(0.25	)		(0.29	)		(0.22	)		(0.22	)
Net asset value, end of period	$	11.96		$	11.43		$	9.65		$	8.36		$	9.87		$	9.38
Total return B		4.64	%C		21.66	%		18.42	%		(12.29	)%		7.57	%		28.72	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	694,498		$	629,737		$	480,900		$	321,592		$	326,055		$	280,110
Ratios to average net assets: A
Expenses, including expenses allocated from the master portfolio		0.21	%D		0.26	%		0.19	%		0.24	%		0.21	%		0.23	%
Net investment income		5.04	%D		2.80	%		3.28	%		3.26	%		2.66	%		2.66	%

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

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

^C Not annualized.

^D Annualized.

21

American Beacon Funds^SM

Disclosure Regarding the Board of Trustees’ Approval of the

Management Agreements of the Funds (Unaudited)

At in-person meetings held on May 15, 2014 and June 5, 2014 (collectively, the “Meetings”), the Board of Trustees (“Board”) considered and then, at its June 5 meeting, approved: (1) the renewal of the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Beacon Trust”) and American Beacon Select Funds (“Select Trust”) on behalf of each of their series that had been operational for at least one year (collectively, the “Funds”); and (2) the renewal of the investment advisory agreements (each an “Investment Advisory Agreement”) among the Manager, each subadvisor and, as applicable, the Beacon Trust, other than the Investment Advisory Agreements with subadvisors with respect to which the Board approved a new Investment Advisory Agreement within the past year (each a “subadvisor”). The Management Agreement and the Investment Advisory Agreements are collectively referred to herein as the “Agreements.” In preparation for the Board to consider the renewal of these Agreements, the Board undertook steps to gather and consider information furnished by the Manager, the subadvisors, Lipper, Inc. (“Lipper”), Morningstar, Inc. (“Morningstar”), Bobroff Consulting, Inc. and Callan Associates, Inc. (“Callan”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and each subadvisor.

In advance of the Meetings, the Board’s Investment Committee coordinated the production of information from Lipper and Morningstar regarding the performance, fees and expenses of the Funds as well as information from the Manager and the subadvisors. At the Meetings, the Board considered the information provided. Further, the Board took into consideration information furnished for the Board’s review and consideration throughout the year at regular meetings of the Board and its committees, as well as information specifically prepared in connection with the renewal process.

In connection with the Board’s consideration of the Management Agreement and each Investment Advisory Agreement, the Trustees received and evaluated such information as they deemed necessary. The information requested on behalf of the Board included, among other information, the following materials. References herein to the “firm” refer to the Manager and/or each applicable subadvisor.

• comparisons of the performance of an appropriate share class of each Fund to comparable investment companies and appropriate benchmark indices, including peer group averages and performance analyses provided by Lipper and Morningstar, and to the performance of any similar accounts managed by the firm;

• for Funds having multiple firms managing assets, information regarding the performance of the individual firms with respect to their allocated portions of a Fund’s portfolio, and the performance of certain relevant benchmarks and other similar accounts managed by the firm;

• comparisons of each Fund’s management and subadvisory fee rates and expense ratio with those of comparable mutual funds, including peer group averages and fee and expense analyses provided by Lipper and Morningstar, and the advisory fee rates charged to other clients for which similar services are provided;

• a description of any applicable fee waivers and/or expense reimbursements in place for each Fund during the past year, and any proposed changes to the expense caps;

• the Manager’s profitability with respect to the services that it provided to each Fund;

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

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

• information regarding the securities lending, cash management, administrative and accounting-related services that the Manager provides to certain Funds and the fees that the Manager receives for such services, including Callan’s review of the Funds’ securities lending program; and

• information regarding a firm’s financial condition, the personnel who are or will be assigned primary responsibility for managing the Funds, staffing levels, portfolio managers’ compensation, disaster recovery plans, insurance coverage, material pending litigation, code of ethics, compliance matters, trading activities, and actual or potential conflicts of interest that the firm experiences, or anticipates that it will experience, in providing services to the Funds.

The Board considered that the Manager provides management and administrative services to the Funds pursuant to separate agreements. The Board noted, in this regard, that many mutual funds have a single contract governing both types of services, and observed that the actual management fee rates provided by Lipper for peer group funds reflect the combined advisory and administrative expenses, reduced by any fee waivers and/or reimbursements.

Certain firms may not have been able to, or opted not to, provide information in response to certain information requests, in which case the Board conducted its evaluation of those firms based on information that was provided. For each Fund with more than one class of shares, the class of shares used for comparative performance purposes was the share class with the lowest expenses available for purchase by the general public, which, in most cases, was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.

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

22

American Beacon Funds^SM

Disclosure Regarding the Board of Trustees’ Approval of the

Management Agreements of the Funds (Unaudited)

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

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

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

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

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

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

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

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

In analyzing the fee rates charged by each subadvisor in connection with its investment advisory services to the Fund, the Board considered that, in many cases, the Manager has negotiated the lowest fee rate a subadvisor charges for any comparable client accounts. The Board did not request profitability data from the subadvisors because the Board did not view this data as imperative to its deliberations given the arm’s-length nature of the relationship between the Manager and the subadvisors with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that subadvisors may not account for their profits on an account-by-account basis and those that do likely employ different methodologies in connection with these calculations.

23

American Beacon Funds^SM

Disclosure Regarding the Board of Trustees’ Approval of the

Management Agreements of the Funds (Unaudited)

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

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

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

Benefits Derived from the Relationship with the Funds. The Board considered the “fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisors as a result of the advisory relationships with the Funds, including greater exposure in the marketplace with respect to the Manager’s or subadvisor’s investment process and expanding the level of assets under management by the Manager and the subadvisors. In addition, the Board noted that certain subadvisors benefit from soft dollar arrangements for third party and proprietary research.

In addition, the Manager noted that the Funds also derive benefits from their association with the Manager. Specifically, the Board noted the Manager’s representation that it provides services to most Funds at a lower than industry average cost. The Board considered that certain subadvisors reimburse the Manager for certain costs relating to distribution activities for the Funds, as well as representations by all such subadvisors that they would not reduce their fee rates in lieu of providing such reimbursements. Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisors by virtue of their relationships with the Funds appear to be fair and reasonable.

Additional Considerations and Conclusions with Respect to Each Fund

The performance comparisons below were made versus each Fund’s Lipper performance universe and Lipper performance group, with the 1^st Quintile representing the top twenty percent of the universe or group based on performance and the 5^th Quintile representing the bottom twenty percent of the universe or group based on performance. References below to each Fund’s Lipper performance group and Lipper performance universe are to the respective group or universe of comparable mutual funds included in the analysis provided by Lipper. A Lipper performance group consists of the Fund and a representative sample of funds with similar investment classifications and objectives as the Fund, as selected by Lipper. A Lipper performance universe is an expansion of the performance group, providing a broader view of performance across the Fund’s investment classification/objective and allowing for a more extensive comparison. In reviewing the performance, the Trustees viewed longer-term performance over a full market cycle, typically five years or longer, as the most important consideration, because relative performance over shorter periods may be significantly impacted by market or economic events that do not reflect manager skill.

The expense comparisons below were made versus each Fund’s Lipper expense universe and Lipper expense group, with the 1^st Quintile representing the top twenty percent of the universe or group based on lowest total expense and the 5th Quintile representing the bottom twenty percent of the universe or group based on highest total expense. References below to each Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Lipper. A Lipper expense group consists of the Fund and a representative sample of funds with similar operating structures, as selected by Lipper. A Lipper expense universe includes all funds in the investment classification/objective with a similar load type to the share class of the Fund included in the Lipper comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. For all Funds, the Trustees also considered a Fund’s Morningstar fee level category. In reviewing expenses, the Trustees considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the use of soft dollars was requested from the Manager and all subadvisors and was considered by the Trustees.

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

In considering the renewal of the Management Agreement for the American Beacon International Equity Index Fund, the Trustees considered the following additional factors:

Lipper Total Expense Analysis and Morningstar Fee Level Ranking

Compared to Lipper Expense Universe	1st Quintile
Compared to Lipper Expense Group	1st Quintile
Morningstar Fee Level Ranking – Institutional Class	Low Expense Ratio

24

American Beacon Funds^SM

Disclosure Regarding the Board of Trustees’ Approval of the

Management Agreements of the Funds (Unaudited)

Lipper Fund Performance Analysis (five-year period ended March 31, 2014)

Compared to Lipper Performance Universe	2nd Quintile
Compared to Lipper Performance Group	1st Quintile

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

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

In considering the renewal of the Management Agreement for the American Beacon S&P 500 Index Fund, the Trustees considered the following additional factors:

Lipper Total Expense Analysis and Morningstar Fee Level Ranking

Compared to Lipper Expense Universe	1st Quintile
Compared to Lipper Expense Group	1st Quintile
Morningstar Fee Level Ranking - Institutional Class	Low Expense Ratio

Lipper Fund Performance Analysis (five-year period ended March 31, 2014)

Compared to Lipper Performance Universe	1st Quintile
Compared to Lipper Performance Group	1st Quintile

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

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

In considering the renewal of the Management Agreement for the American Beacon Small Cap Index Fund, the Trustees considered the following additional factors:

Lipper Total Expense Analysis and Morningstar Fee Level Ranking

Compared to Lipper Expense Universe	1st Quintile
Compared to Lipper Expense Group	1st Quintile
Morningstar Fee Level Ranking - Institutional Class	Low Expense Ratio

Lipper Fund Performance Analysis (five-year period ended March 31, 2014)

Compared to Lipper Performance Universe	3rd Quintile
Compared to Lipper Performance Group	1st Quintile

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

25

State Street Equity 500 Index Portfolio

Semi-Annual Report

June 30, 2014

26

State Street Equity 500 Index Portfolio

Portfolio of Investments

June 30, 2014 (Unaudited)

	Shares		Market Value
COMMON STOCKS – 97.2%
Consumer Discretionary – 12.2%
Amazon.com, Inc.(a)		61,692	$	20,036,328
AutoNation, Inc.(a)		10,363		618,464
AutoZone, Inc.(a)		5,764		3,090,887
Bed Bath & Beyond, Inc.(a)		36,545		2,096,952
Best Buy Co., Inc.		42,119		1,306,110
BorgWarner, Inc.		37,000		2,412,030
Cablevision Systems Corp.		35,600		628,340
CarMax, Inc.(a)		37,200		1,934,772
Carnival Corp.		70,650		2,659,973
CBS Corp. Class B		86,903		5,400,152
Chipotle Mexican Grill, Inc.(a)		5,100		3,021,801
Coach, Inc.		44,828		1,532,669
Comcast Corp. Class A		431,648		23,170,865
D.R. Horton, Inc.		46,076		1,132,548
Darden Restaurants, Inc.		20,588		952,607
Delphi Automotive PLC		45,500		3,127,670
DIRECTV(a)		79,577		6,764,841
Discovery Communications, Inc. Class A(a)		37,200		2,763,216
Dollar General Corp.(a)		48,200		2,764,752
Dollar Tree, Inc.(a)		35,000		1,906,100
eBay, Inc.(a)		188,903		9,456,484
Expedia, Inc.		17,357		1,367,037
Family Dollar Stores, Inc.		15,558		1,029,006
Ford Motor Co.		644,398		11,109,422
Fossil Group, Inc.(a)		8,800		919,776
GameStop Corp. Class A		19,500		789,165
Gannett Co., Inc.		39,574		1,239,062
Gap, Inc.		44,098		1,833,154
Garmin Ltd.		22,600		1,376,340
General Motors Co.		216,300		7,851,690
Genuine Parts Co.		25,209		2,213,350
Goodyear Tire & Rubber Co.		47,157		1,310,021
Graham Holdings Co. Class B		660		473,953
H&R Block, Inc.		43,615		1,461,975
Harley-Davidson, Inc.		35,801		2,500,700
Harman International Industries, Inc.		12,021		1,291,416
Hasbro, Inc.		17,825		945,616
Home Depot, Inc.		226,812		18,362,700
Host Hotels & Resorts, Inc.		131,321		2,890,375
Interpublic Group of Cos., Inc.		71,894		1,402,652
Johnson Controls, Inc.		107,886		5,386,748
Kohl’s Corp.		34,533		1,819,198
L Brands, Inc.		39,567		2,321,000
Lennar Corp. Class A		25,931		1,088,583
Lowe’s Cos., Inc.		164,062		7,873,335
Macy’s, Inc.		61,423		3,563,763
Marriott International, Inc. Class A		39,050		2,503,105
Mattel, Inc.		55,276		2,154,106
McDonald’s Corp.		164,525		16,574,249
McGraw Hill Financial, Inc.		44,366		3,683,709
Michael Kors Holdings, Ltd.(a)		29,100		2,579,715
Mohawk Industries, Inc.(a)		9,900		1,369,566
Netflix, Inc.(a)		10,200		4,494,120
Newell Rubbermaid, Inc.		47,893		1,484,204
News Corp. Class A(a)		80,202		1,438,824
NIKE, Inc. Class B		121,604		9,430,390
Nordstrom, Inc.		23,633		1,605,390

	Shares		Market Value
O’Reilly Automotive, Inc.(a)		17,700	$	2,665,620
Omnicom Group, Inc.		41,741		2,972,794
PetSmart, Inc.		17,300		1,034,540
PulteGroup, Inc.		54,705		1,102,853
PVH Corp.		13,000		1,515,800
Ralph Lauren Corp.		9,515		1,528,965
Ross Stores, Inc.		35,900		2,374,067
Scripps Networks Interactive, Inc. Class A		17,635		1,430,904
Snap-on, Inc.		9,212		1,091,806
Stanley Black & Decker, Inc.		25,707		2,257,589
Staples, Inc.		110,033		1,192,758
Starbucks Corp.		123,161		9,530,198
Starwood Hotels & Resorts Worldwide, Inc.		31,247		2,525,383
Target Corp.		102,816		5,958,187
The Priceline Group, Inc.(a)		8,590		10,333,770
Tiffany & Co.		18,580		1,862,645
Time Warner Cable, Inc.		46,071		6,786,258
Time Warner, Inc.		144,091		10,122,393
TJX Cos., Inc.		117,012		6,219,188
Tractor Supply Co.		22,500		1,359,000
TripAdvisor, Inc.(a)		18,157		1,972,940
Twenty-First Century Fox, Inc.		315,909		11,104,201
Under Armour, Inc. Class A(a)		26,200		1,558,638
Urban Outfitters, Inc.(a)		18,300		619,638
V.F. Corp.		57,572		3,627,036
Viacom, Inc. Class B		64,522		5,595,993
Walt Disney Co.		264,445		22,673,514
Whirlpool Corp.		12,661		1,762,664
Wyndham Worldwide Corp.		22,699		1,718,768
Wynn Resorts, Ltd.		12,700		2,636,012
Yum! Brands, Inc.		72,292		5,870,110
				359,519,208
Consumer Staples – 9.1%
Altria Group, Inc.		326,499		13,693,368
Archer-Daniels-Midland Co.		107,024		4,720,829
Avon Products, Inc.		67,660		988,513
Brown-Forman Corp. Class B		26,182		2,465,559
Campbell Soup Co.		28,865		1,322,306
Clorox Co.		20,543		1,877,630
Coca-Cola Co.		625,122		26,480,168
Coca-Cola Enterprises, Inc.		40,801		1,949,472
Colgate-Palmolive Co.		143,202		9,763,512
ConAgra Foods, Inc.		68,575		2,035,306
Constellation Brands, Inc. Class A(a)		26,926		2,372,988
Costco Wholesale Corp.		71,489		8,232,673
CVS Caremark Corp.		192,032		14,473,452
Dr Pepper Snapple Group, Inc.		32,700		1,915,566
Estee Lauder Cos., Inc. Class A		41,204		3,059,809
General Mills, Inc.		103,664		5,446,507
Hormel Foods Corp.		21,200		1,046,220
Kellogg Co.		41,835		2,748,559
Keurig Green Mountain, Inc.		20,900		2,604,349
Kimberly-Clark Corp.		61,800		6,873,396
Kraft Foods Group, Inc.		96,669		5,795,307
Kroger Co.		84,176		4,160,820
Lorillard, Inc.		61,383		3,742,522
McCormick & Co., Inc.		20,753		1,485,707

See Notes to Financial Statements.

27

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2014 (Unaudited)

	Shares		Market Value
COMMON STOCKS – (continued)
Consumer Staples – (continued)
Molson Coors Brewing Co. Class B		25,162	$	1,866,014
Mondelez International, Inc. Class A		281,909		10,602,597
Monster Beverage Corp.(a)		22,700		1,612,381
PepsiCo, Inc.		249,054		22,250,484
Philip Morris International, Inc.		259,499		21,878,361
Procter & Gamble Co.		445,019		34,974,043
Reynolds American, Inc.		52,074		3,142,666
Safeway, Inc.		37,164		1,276,212
Sysco Corp.		95,709		3,584,302
The Hershey Co.		24,282		2,364,338
The J.M. Smucker Co.		17,160		1,828,741
Tyson Foods, Inc. Class A		44,235		1,660,582
Wal-Mart Stores, Inc.		265,102		19,901,207
Walgreen Co.		143,318		10,624,163
Whole Foods Market, Inc.		60,066		2,320,350
				269,140,979
Energy – 10.5%
Anadarko Petroleum Corp.		84,626		9,264,008
Apache Corp.		65,125		6,552,878
Baker Hughes, Inc.		71,973		5,358,390
Cabot Oil & Gas Corp.		67,500		2,304,450
Cameron International Corp.(a)		35,200		2,383,392
Chesapeake Energy Corp.		83,182		2,585,297
Chevron Corp.(b)		313,046		40,868,155
Cimarex Energy Co.		15,300		2,194,938
ConocoPhillips		204,230		17,508,638
Consol Energy, Inc.		37,173		1,712,560
Denbury Resources, Inc.		61,500		1,135,290
Devon Energy Corp.		63,951		5,077,709
Diamond Offshore Drilling, Inc.		11,500		570,745
Ensco PLC Class A		38,000		2,111,660
EOG Resources, Inc.		89,834		10,498,001
EQT Corp.		24,100		2,576,290
ExxonMobil Corp.(b)		709,847		71,467,396
FMC Technologies, Inc.(a)		38,600		2,357,302
Halliburton Co.		138,434		9,830,198
Helmerich & Payne, Inc.		17,300		2,008,703
Hess Corp.		44,301		4,380,926
Kinder Morgan, Inc.		108,526		3,935,153
Marathon Oil Corp.		115,177		4,597,866
Marathon Petroleum Corp.		47,488		3,707,388
Murphy Oil Corp.		28,841		1,917,350
Nabors Industries, Ltd.		48,204		1,415,751
National Oilwell Varco, Inc.		70,757		5,826,839
Newfield Exploration Co.(a)		20,600		910,520
Noble Corp. PLC		39,400		1,322,264
Noble Energy, Inc.		57,920		4,486,483
Occidental Petroleum Corp.		128,644		13,202,734
Peabody Energy Corp.		44,124		721,427
Phillips 66		94,965		7,638,035
Pioneer Natural Resources Co.		23,600		5,423,516
QEP Resources, Inc.		27,068		933,846
Range Resources Corp.		26,600		2,312,870
Rowan Cos. PLC Class A		19,620		626,467
Schlumberger, Ltd.		216,158		25,495,836
Southwestern Energy Co.(a)		56,300		2,561,087

	Shares		Market Value
Spectra Energy Corp.		107,798	$	4,579,259
Tesoro Corp.		23,165		1,359,091
Transocean, Ltd.		55,100		2,481,153
Valero Energy Corp.		87,909		4,404,241
Williams Cos., Inc. (The)		121,868		7,093,936
				309,700,038
Financials – 16.3%
ACE, Ltd.		55,500		5,755,350
Affiliated Managers Group, Inc.(a)		9,100		1,869,120
AFLAC, Inc.		75,490		4,699,253
Allstate Corp.		73,906		4,339,760
American Express Co.		149,664		14,198,624
American International Group, Inc.		239,833		13,090,085
American Tower Corp. REIT		64,100		5,767,718
Ameriprise Financial, Inc.		32,307		3,876,840
Aon PLC		49,547		4,463,689
Apartment Investment & Management Co. Class A		22,952		740,661
Assurant, Inc.		12,531		821,407
AvalonBay Communities, Inc.		19,298		2,743,983
Bank of America Corp.		1,729,471		26,581,969
BB&T Corp.		122,170		4,817,163
Berkshire Hathaway, Inc. Class B(a)		297,303		37,626,668
BlackRock, Inc.		20,434		6,530,706
Boston Properties, Inc.		24,767		2,926,964
Capital One Financial Corp.		94,163		7,777,864
CBRE Group, Inc.(a)		49,575		1,588,383
Charles Schwab Corp.		192,593		5,186,529
Chubb Corp.		41,475		3,822,751
Cincinnati Financial Corp.		23,114		1,110,397
Citigroup, Inc.		504,220		23,748,762
CME Group, Inc.		50,655		3,593,972
Comerica, Inc.		29,944		1,501,991
Discover Financial Services		79,005		4,896,730
E*TRADE Financial Corp.(a)		44,931		955,233
Equity Residential		54,057		3,405,591
Essex Property Trust, Inc.		10,000		1,849,100
Fifth Third Bancorp		141,716		3,025,637
Franklin Resources, Inc.		66,840		3,866,026
General Growth Properties, Inc. REIT		90,400		2,129,824
Genworth Financial, Inc. Class A(a)		82,251		1,431,167
Goldman Sachs Group, Inc.		69,034		11,559,053
Hartford Financial Services Group, Inc.		74,097		2,653,414
HCP, Inc.		73,400		3,037,292
Health Care REIT, Inc.		50,700		3,177,369
Hudson City Bancorp, Inc.		76,692		753,882
Huntington Bancshares, Inc.		141,956		1,354,260
Intercontinental Exchange , Inc.		18,862		3,563,032
Invesco Ltd.		72,200		2,725,550
J.P. Morgan Chase & Co.		622,415		35,863,552
KeyCorp		148,675		2,130,513
Kimco Realty Corp.		66,569		1,529,756
Legg Mason, Inc.		18,042		925,735
Leucadia National Corp.		55,236		1,448,288
Lincoln National Corp.		42,992		2,211,508

See Notes to Financial Statements.

28

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2014 (Unaudited)

	Shares		Market Value
COMMON STOCKS – (continued)
Financials – (continued)
Loews Corp.		49,231	$	2,166,656
M&T Bank Corp.		20,937		2,597,235
Marsh & McLennan Cos., Inc.		88,553		4,588,816
Mastercard, Inc. Class A		167,700		12,320,919
MetLife, Inc.		183,696		10,206,150
Moody’s Corp.		31,466		2,758,310
Morgan Stanley		230,630		7,456,268
NASDAQ OMX Group, Inc.		18,400		710,608
Navient Corp.		69,254		1,226,488
Northern Trust Corp.		36,406		2,337,629
Paychex, Inc.		52,838		2,195,947
People’s United Financial, Inc.		57,000		864,690
PNC Financial Services Group, Inc.		87,717		7,811,199
Principal Financial Group, Inc.		43,391		2,190,378
Progressive Corp.		88,101		2,234,241
ProLogis, Inc.		81,099		3,332,358
Prudential Financial, Inc.		75,539		6,705,597
Public Storage, Inc.		24,787		4,247,252
Regions Financial Corp.		226,389		2,404,251
Simon Property Group, Inc.		50,815		8,449,518
State Street Corp.(c)		72,725		4,891,483
SunTrust Banks, Inc.		86,518		3,465,911
T. Rowe Price Group, Inc.		42,275		3,568,433
The Bank of New York Mellon Corp.		187,085		7,011,946
The Macerich Co. REIT		21,800		1,455,150
Torchmark Corp.		14,931		1,223,148
Total System Services, Inc.		26,575		834,721
Travelers Cos., Inc.		57,304		5,390,587
U.S. Bancorp		302,752		13,115,217
Unum Group		40,929		1,422,692
Ventas, Inc.		46,600		2,987,060
Visa, Inc. Class A		82,400		17,362,504
Vornado Realty Trust		28,014		2,989,934
Wells Fargo & Co.		791,049		41,577,535
Western Union Co.		86,585		1,501,384
XL Group PLC		44,968		1,471,803
Zions Bancorp.		30,453		897,450
				481,644,589
Health Care – 12.6%
Abbott Laboratories		252,406		10,323,405
AbbVie, Inc.		261,506		14,759,399
Actavis PLC(a)		28,646		6,389,490
Aetna, Inc.		60,559		4,910,124
Alexion Pharmaceuticals, Inc.(a)		32,400		5,062,500
Allergan, Inc.		49,192		8,324,270
AmerisourceBergen Corp.		36,686		2,665,605
Amgen, Inc.		125,745		14,884,436
Baxter International, Inc.		88,461		6,395,730
Becton Dickinson and Co.		31,397		3,714,265
Biogen Idec, Inc.(a)		39,431		12,432,989
Boston Scientific Corp.(a)		219,034		2,797,064
Bristol-Myers Squibb Co.		275,516		13,365,281
C.R. Bard, Inc.		12,897		1,844,400
Cardinal Health, Inc.		56,757		3,891,260
CareFusion Corp.(a)		33,878		1,502,489
Celgene Corp.(a)		133,636		11,476,660

	Shares		Market Value
Cerner Corp.(a)		50,100	$	2,584,158
CIGNA Corp.		45,996		4,230,252
Covidien PLC		75,000		6,763,500
DaVita HealthCare Partners, Inc.(a)		30,700		2,220,224
Dentsply International, Inc.		23,300		1,103,255
Edwards Lifesciences Corp.(a)		19,000		1,630,960
Eli Lilly & Co.		160,675		9,989,165
Express Scripts Holding Co.(a)		126,114		8,743,484
Forest Laboratories, Inc.(a)		39,502		3,910,698
Gilead Sciences, Inc.(a)		255,098		21,150,175
Hospira, Inc.(a)		25,303		1,299,815
Humana, Inc.		25,207		3,219,438
Intuitive Surgical, Inc.(a)		6,300		2,594,340
Johnson & Johnson		466,649		48,820,818
Laboratory Corp. of America Holdings(a)		15,422		1,579,213
McKesson Corp.		38,855		7,235,190
Mead Johnson Nutrition Co.		32,618		3,039,019
Medtronic, Inc.		167,078		10,652,893
Merck & Co., Inc.		480,670		27,806,760
Mylan, Inc.(a)		63,209		3,259,056
Patterson Cos., Inc.		12,894		509,442
Perrigo Co. PLC		22,200		3,235,872
Pfizer, Inc.		1,049,081		31,136,724
Quest Diagnostics, Inc.		25,600		1,502,464
Regeneron Pharmaceuticals, Inc.(a)		13,700		3,869,839
St. Jude Medical, Inc.		46,626		3,228,851
Stryker Corp.		48,289		4,071,728
Tenet Healthcare Corp.(a)		15,542		729,541
UnitedHealth Group, Inc.		160,696		13,136,898
Varian Medical Systems, Inc.(a)		18,060		1,501,508
Vertex Pharmaceuticals, Inc.(a)		37,500		3,550,500
WellPoint, Inc.		46,238		4,975,671
Zimmer Holdings, Inc.		26,952		2,799,235
Zoetis, Inc.		79,448		2,563,787
				373,383,840
Industrials – 10.5%
3M Co.		102,272		14,649,441
ADT Corp.		28,950		1,011,513
Allegion PLC		14,833		840,734
AMETEK, Inc.		39,400		2,059,832
Amphenol Corp. Class A		26,100		2,514,474
Avery Dennison Corp.		15,388		788,635
Boeing Co.		111,988		14,248,233
Caterpillar, Inc.		103,179		11,212,462
CH Robinson Worldwide, Inc.		25,861		1,649,673
Cintas Corp.		17,588		1,117,542
CSX Corp.		166,214		5,121,053
Cummins, Inc.		28,358		4,375,356
Danaher Corp.		101,072		7,957,399
Deere & Co.		62,337		5,644,615
Delta Air Lines, Inc.		139,300		5,393,696
Dover Corp.		27,895		2,537,050
Eaton Corp. PLC		78,324		6,045,046
Emerson Electric Co.		115,548		7,667,765
Equifax, Inc.		19,983		1,449,567
Expeditors International of Washington, Inc.		34,020		1,502,323
Fastenal Co.		44,300		2,192,407
FedEx Corp.		45,200		6,842,376

See Notes to Financial Statements.

29

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2014 (Unaudited)

	Shares		Market Value
COMMON STOCKS – (continued)
Industrials – (continued)
First Solar, Inc.(a)		10,570	$	751,104
Flir Systems, Inc.		23,500		816,155
Flowserve Corp.		21,900		1,628,265
Fluor Corp.		26,060		2,004,014
General Dynamics Corp.		54,061		6,300,810
General Electric Co.		1,654,633		43,483,755
Honeywell International, Inc.		130,681		12,146,799
Illinois Tool Works, Inc.		62,471		5,469,961
Ingersoll-Rand PLC		44,500		2,781,695
Iron Mountain, Inc.		26,910		953,960
Jacobs Engineering Group, Inc.(a)		20,400		1,086,912
Joy Global, Inc.		17,200		1,059,176
Kansas City Southern		17,500		1,881,425
L-3 Communications Holdings, Inc.		14,403		1,739,162
Leggett & Platt, Inc.		24,198		829,507
Lockheed Martin Corp.		43,552		7,000,113
Masco Corp.		57,123		1,268,131
Nielsen NV		47,500		2,299,475
Norfolk Southern Corp.		50,055		5,157,167
Northrop Grumman Corp.		35,011		4,188,366
PACCAR, Inc.		56,774		3,567,110
Pall Corp.		18,609		1,589,023
Parker Hannifin Corp.		23,903		3,005,324
Pentair PLC		33,495		2,415,659
Pitney Bowes, Inc.		29,727		821,060
Precision Castparts Corp.		24,007		6,059,367
Quanta Services, Inc.(a)		35,000		1,210,300
Raytheon Co.		52,382		4,832,240
Republic Services, Inc.		47,503		1,803,689
Robert Half International, Inc.		23,540		1,123,800
Rockwell Automation, Inc.		22,505		2,816,726
Rockwell Collins, Inc.		22,531		1,760,572
Roper Industries, Inc.		16,100		2,350,761
Ryder System, Inc.		7,921		697,761
Southwest Airlines Co.		114,186		3,067,036
Stericycle, Inc.(a)		14,100		1,669,722
Textron, Inc.		44,839		1,716,885
Thermo Fisher Scientific, Inc.		65,624		7,743,632
Tyco International, Ltd.		74,300		3,388,080
Union Pacific Corp.		149,136		14,876,316
United Parcel Service, Inc. Class B		116,446		11,954,346
United Technologies Corp.		139,978		16,160,460
W.W. Grainger, Inc.		10,069		2,560,245
Waste Management, Inc.		73,139		3,271,508
Xylem, Inc.		28,692		1,121,283
				311,250,049
Information Technology – 16.9%
Accenture PLC Class A		104,600		8,455,864
Adobe Systems, Inc.(a)		75,257		5,445,597
Agilent Technologies, Inc.		54,968		3,157,362
Akamai Technologies, Inc.(a)		28,924		1,766,099
Alliance Data Systems Corp.(a)		8,900		2,503,125
Altera Corp.		50,554		1,757,257
Analog Devices, Inc.		50,069		2,707,231
Apple, Inc.		993,288		92,306,254
Applied Materials, Inc.		207,107		4,670,263

	Shares		Market Value
Autodesk, Inc.(a)		36,476	$	2,056,517
Automatic Data Processing, Inc.		78,417		6,216,900
Avago Technologies, Ltd.		41,500		2,990,905
Broadcom Corp. Class A		88,659		3,291,022
CA, Inc.		53,099		1,526,065
Cisco Systems, Inc.		851,019		21,147,822
Citrix Systems, Inc.(a)		29,667		1,855,671
Cognizant Technology Solutions Corp. Class A(a)		97,968		4,791,615
Computer Sciences Corp.		23,144		1,462,701
Corning, Inc.		221,776		4,867,983
Dun & Bradstreet Corp.		7,100		782,420
Electronic Arts, Inc.(a)		50,400		1,807,848
EMC Corp.		334,084		8,799,773
F5 Networks, Inc.(a)		12,200		1,359,568
Facebook, Inc. Class A(a)		285,000		19,177,650
Fidelity National Information Services, Inc.		46,777		2,560,573
Fiserv, Inc.(a)		42,104		2,539,713
Google, Inc. Class A(a)		46,890		27,415,176
Google, Inc. Class C(a)		46,890		26,974,879
Harris Corp.		18,600		1,408,950
Hewlett-Packard Co.		313,416		10,555,851
Intel Corp.		823,456		25,444,790
International Business Machines Corp.		157,242		28,503,257
Intuit, Inc.		47,863		3,854,407
Jabil Circuit, Inc.		27,551		575,816
Juniper Networks, Inc.(a)		84,393		2,071,004
KLA-Tencor Corp.		27,005		1,961,643
Lam Research Corp.		25,858		1,747,484
Linear Technology Corp.		37,363		1,758,676
Microchip Technology, Inc.		32,589		1,590,669
Micron Technology, Inc.(a)		174,862		5,761,703
Microsoft Corp.(b)		1,243,635		51,859,580
Motorola Solutions, Inc.		38,152		2,539,779
NetApp, Inc.		57,357		2,094,678
NVIDIA Corp.		99,956		1,853,184
Oracle Corp.		568,162		23,027,606
PerkinElmer, Inc.		19,218		900,171
QUALCOMM, Inc.		280,311		22,200,631
Red Hat, Inc.(a)		29,800		1,647,046
Salesforce.com, Inc.(a)		92,900		5,395,632
SanDisk Corp.		38,367		4,006,666
Seagate Technology PLC		51,800		2,943,276
Symantec Corp.		113,463		2,598,303
TE Connectivity, Ltd.		67,300		4,161,832
Teradata Corp.(a)		25,320		1,017,864
Texas Instruments, Inc.		177,999		8,506,572
VeriSign, Inc.(a)		18,721		913,772
Waters Corp.(a)		13,765		1,437,617
Western Digital Corp.		34,600		3,193,580
Xerox Corp.		186,701		2,322,560
Xilinx, Inc.		42,502		2,010,770
Yahoo!, Inc.(a)		154,519		5,428,252
				499,687,474
Materials – 3.5%
Air Products & Chemicals, Inc.		34,009		4,374,238
Airgas, Inc.		11,600		1,263,356
Alcoa, Inc.		195,249		2,907,258

See Notes to Financial Statements.

30

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2014 (Unaudited)

	Shares		Market Value
COMMON STOCKS – (continued)
Materials – (continued)
Allegheny Technologies, Inc.		17,228	$	776,983
Ball Corp.		25,024		1,568,504
Bemis Co., Inc.		17,462		710,005
CF Industries Holdings, Inc.		9,250		2,224,902
Dow Chemical Co.		197,728		10,175,083
E.I. du Pont de Nemours & Co.		150,612		9,856,049
Eastman Chemical Co.		24,808		2,166,979
Ecolab, Inc.		43,766		4,872,906
FMC Corp.		21,400		1,523,466
Freeport-McMoRan Copper & Gold, Inc. Class B		171,004		6,241,646
International Flavors & Fragrances, Inc.		13,031		1,358,873
International Paper Co.		71,411		3,604,113
LyondellBasell Industries NV		68,500		6,689,025
MeadWestvaco Corp.		28,820		1,275,573
Monsanto Co.		86,055		10,734,501
Mosaic Co.		54,900		2,714,805
Newmont Mining Corp.		78,406		1,994,649
Nucor Corp.		51,654		2,543,959
Owens-Illinois, Inc.(a)		26,300		911,032
Plum Creek Timber Co., Inc.		31,411		1,416,636
PPG Industries, Inc.		23,271		4,890,401
Praxair, Inc.		48,411		6,430,917
Sealed Air Corp.		31,392		1,072,665
Sherwin-Williams Co.		14,196		2,937,294
Sigma-Aldrich Corp.		19,134		1,941,718
United States Steel Corp.		21,478		559,287
Vulcan Materials Co.		21,361		1,361,764
Weyerhaeuser Co.		94,874		3,139,381
				104,237,968
Telecommunication Services – 2.5%
AT&T, Inc.		860,350		30,421,976
CenturyLink, Inc.		99,565		3,604,253
Crown Castle International Corp.		53,500		3,972,910
Frontier Communications Corp.		165,844		968,529
Verizon Communications, Inc.		681,066		33,324,559
Windstream Holdings, Inc.		99,213		988,162
				73,280,389
Utilities – 3.1%
AES Corp.		103,195		1,604,682
AGL Resources, Inc.		18,100		996,043
Ameren Corp.		37,560		1,535,453
American Electric Power Co., Inc.		81,852		4,564,886
CenterPoint Energy, Inc.		69,711		1,780,419
CMS Energy Corp.		42,056		1,310,044
Consolidated Edison, Inc.		47,252		2,728,331
Dominion Resources, Inc.		94,562		6,763,074
DTE Energy Co.		27,484		2,140,179
Duke Energy Corp.		115,383		8,560,265
Edison International		52,219		3,034,446
Entergy Corp.		28,998		2,380,446
Exelon Corp.		140,043		5,108,769
FirstEnergy Corp.		67,022		2,327,004
Integrys Energy Group, Inc.		12,916		918,715
NextEra Energy, Inc.		71,621		7,339,720
NiSource, Inc.		50,582		1,989,896
Northeast Utilities		50,060		2,366,336

	Shares		Market Value
NRG Energy, Inc.		59,500	$	2,213,400
Oneok, Inc.		36,400		2,478,112
Pepco Holdings, Inc.		41,200		1,132,176
PG&E Corp.		75,926		3,645,967
Pinnacle West Capital Corp.		17,860		1,033,022
PPL Corp.		100,475		3,569,877
Public Service Enterprise Group, Inc.		80,924		3,300,890
SCANA Corp.		22,300		1,199,963
Sempra Energy		36,886		3,862,333
Southern Co.		144,343		6,550,285
TECO Energy, Inc.		34,951		645,894
Wisconsin Energy Corp.		38,100		1,787,652
Xcel Energy, Inc.		79,051		2,547,814
				91,416,093
TOTAL COMMON STOCKS (Cost: $1,286,945,598)				2,873,260,627
	Par Amount
U.S. GOVERNMENT SECURITIES – 0.1%
U.S. Treasury Bill(b)(d)(e) 0.03% due 07/17/2014	$	400,000		399,996
U.S. Treasury Bill(b)(d)(e) 0.01% due 08/07/2014		3,760,000		3,759,961
TOTAL U.S. GOVERNMENT SECURITIES (Cost: $4,159,957)				4,159,957
	Shares
MONEY MARKET FUND – 2.7%
State Street Institutional Liquid Reserves Fund 0.06%(c)(f)		78,496,726		78,496,726
TOTAL MONEY MARKET FUND (Cost: $78,496,726)				78,496,726
TOTAL INVESTMENTS(g)† – 100.0% (Cost $1,369,602,281)				2,955,917,310
Other Assets in Excess of Liabilities – 0.0%				502,378
NET ASSETS – 100.0%			$	2,956,419,688

^(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)  Securities are valued at fair value as determined in good faith by the Trust’s Oversight Committee in accordance with procedures approved by the Board of Trustees. Securities’ values are determined based on Level 2 inputs.

^(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.

31

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2014 (Unaudited)

Schedule of Futures Contracts	Number of Contracts		Notional Value		Unrealized Appreciation
S&P 500 Financial Futures Contracts (long) Expiration Date 09/2014		809	$	78,974,580	$	973,828
Total unrealized appreciation on open futures contracts purchased					$	973,828

Affiliates Table

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The Portfolio also invested in the State Street Institutional Liquid Reserves Fund. Transactions in all affiliates for the period ending June 30, 2014 were as follows:

Security Description	Number of shares held at 12/31/13		Shares purchased for the six months ended 06/30/14		Shares sold for the six months ended 06/30/14		Number of shares held at 06/30/14		Value at 06/30/14		Income earned for the six months ended 06/30/14		Realized gain/loss on shares sold for the six months ended 06/30/14
State Street Corp.		72,725		—		—		72,725	$	4,891,483	$	40,725	$	—
State Street Institutional Liquid Reserves Fund		41,178,491		183,056,963		145,738,728		78,496,726		78,496,726		17,893		—

See Notes to Financial Statements.

32

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities

June 30, 2014 (Unaudited)

Assets
Investments in unaffiliated issuers at market value (identified cost $1,288,715,781)	$	2,872,529,101
Investments in non-controlled affiliates at market value (identified cost $80,886,500) (Note 4)		83,388,209
Total investments at market value (identified cost $1,369,602,281)		2,955,917,310
Cash		5,756
Daily variation margin on futures contracts		15,958
Dividends and interest receivable		3,017,829
Dividend receivable from non-controlled affiliates (Note 4)		21,818
Total assets		2,958,978,671
Liabilities
Investment securities purchased		2,505,094
Management fees payable (Note 4)		53,889
Total liabilities		2,558,983
Net Assets	$	2,956,419,688

See Notes to Financial Statements.

33

State Street Equity 500 Index Portfolio

Statement of Operations

Six Months Ended June 30, 2014 (Unaudited)

Investment Income
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $67,446)	$	27,661,125
Dividend income – non-controlled affiliated issuer		58,618
Interest		18,460
Total investment income		27,738,203
Expenses
Management fees (Note 3)		616,984
Total expenses		616,984
Net Investment Income		27,121,219
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments – unaffiliated issuers	$	5,557,485
Futures contracts		5,254,052
		10,811,537
Net change in net unrealized appreciation (depreciation) on:
Investments		157,105,308
Futures contracts		(744,139	)
		156,361,169
Net realized and unrealized gain		167,172,706
Net Increase in Net Assets Resulting From Operations	$	194,293,925

See Notes to Financial Statements.

34

State Street Equity 500 Index Portfolio

Statements of Changes in Net Assets

	Six Months Ended June 30, 2014 (Unaudited)			Year Ended December 31, 2013
Increase (Decrease) in Net Assets From Operations:
Net investment income	$	27,121,219		$	49,096,073
Net realized gain on investments and futures contracts		10,811,537			26,611,003
Net change in net unrealized appreciation on investments and futures contracts		156,361,169			590,532,985
Net increase in net assets from operations		194,293,925			666,240,061
Capital Transactions:
Contributions		133,288,038			235,748,437
Withdrawals		(110,756,353	)		(217,635,806	)
Net increase (decrease) in net assets from capital transactions		22,531,685			18,112,631
Net Increase in Net Assets		216,825,610			684,352,692
Net Assets
Beginning of period		2,739,594,078			2,055,241,386
End of period	$	2,956,419,688		$	2,739,594,078

See Notes to Financial Statements.

35

State Street Equity 500 Index Portfolio

Financial Highlights

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

	Six Months Ended 6/30/14 (Unaudited)			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 period (in thousands)	$	2,956,420		$	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	%		0.045	%
Net investment income		1.98	%*		2.05	%		2.26	%		2.04	%		1.99	%		2.28	%
Portfolio turnover rate(a)		2	%		4	%		9	%		15	%		12	%		19	%
Total return(b)		7.09	%		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.

 * Annualized

See Notes to Financial Statements.

36

State Street Equity 500 Index Portfolio

Notes to Financial Statements

June 30, 2014 (Unaudited)

1. Organization

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

At June 30, 2014, the following Portfolios were operational: the Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street U.S. Government Money Market Portfolio, the State Street Treasury Money Market Portfolio and the State Street Treasury Plus Money Market Portfolio. The Portfolio is authorized to issue an unlimited number of nontransferable beneficial interests.

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

2. Significant Accounting Policies

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

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

The Portfolio adopted provisions surrounding fair value measurements and disclosures that 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

37

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2014 (Unaudited)

those measurements and apply broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that the Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.

The three tier hierarchy of inputs is summarized below:

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

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

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

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

The following is a summary of the inputs used, as of June 30, 2014, 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	$	2,873,260,627	$	—	$	—	$	2,873,260,627
U.S. Government Securities		—		4,159,957		—		4,159,957
Money Market Fund		78,496,726		—		—		78,496,726
TOTAL INVESTMENTS		2,951,757,353		4,159,957		—		2,955,917,310
OTHER ASSETS:
Futures contracts*		973,828		—		—		973,828
TOTAL ASSETS	$	2,952,731,181	$	4,159,957	$	—	$	2,956,891,138

* 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 June 30, 2014, there were no transfers between levels.

Securities transactions, investment income and expenses – Securities transactions are recorded on a trade date basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis and includes amortization of premium and accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily based on average daily net assets. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments and foreign currency transactions on the Statement of Operations.

38

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2014 (Unaudited)

All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio on a daily basis based on each partner’s daily ownership percentage.

Federal income taxes – The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

The Portfolio has reviewed the tax positions for open years as of and during the year ended December 31, 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 June 30, 2014, 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 June 30, 2014, the tax cost of investments was $1,369,602,281 on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $1,595,478,977 and $9,163,948, respectively, resulting in net appreciation of $1,586,315,029 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

39

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2014 (Unaudited)

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

The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at June 30, 2014:

Asset Derivatives⁽¹⁾

	Equity Contracts Risk	Total
Futures Contracts	$973,828	$	973,828

Transactions in derivative instruments during the six months ended June 30, 2014, were as follows:

Realized Gain (Loss)⁽²⁾

	Equity Contracts Risk	Total
Futures Contracts	$5,254,052	$	5,254,052

Change in Appreciation (Depreciation)⁽³⁾

	Equity Contracts Risk	Total
Futures Contracts	$(744,139)	$	(744,139	)

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

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

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

The average notional of futures outstanding during the six months ended June 30, 2014 was $56,966,472.

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 six months ended June 30, 2014, purchases and sales of investment securities, excluding short-term investments, and futures contracts, aggregated to $66,824,862 and $46,744,176, respectively.

40

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2014 (Unaudited)

4. Related Party Fees and Transactions

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

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corporation, the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The market value of this investment at June 30, 2014 is listed in the Portfolio of Investments.

5. Trustees’ Fees

Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Funds does not receive compensation from the Funds for his or her service as a Trustee.

As of January 24, 2014, each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSgA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Trust will bear a pro rata allocation based on the Trust’s average monthly assets. The Co-Chairmen receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance. As of the date of this Statement, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.

The Trust’s officers are compensated by the Adviser and its affiliates.

6. Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.

41

State Street Equity 500 Index Portfolio

General Information

June 30, 2014 (Unaudited)

Proxy Voting Policies and Procedures

Information regarding how a Portfolio 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 Portfolio 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 Portfolio’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. Interestholders were asked to participate in a special meeting of shareholders on December 19, 2013 which was adjourned to January 24, 2014, February 19, 2014 and February 27, 2014 (the “Shareholder Meeting”). The final results of the Shareholder Meeting are reported in the following tables.

All Portfolios

Proposal 1: To elect the following as Trustees of the Trust:

Proposed Trustee	Shares For	Shares Withheld
William L. Marshall	63,998,349,280.973	515,987,991.600
Patrick J. Riley	63,998,239,806.049	516,097,466.524
Richard D. Shirk	63,939,883,356.105	574,453,916.468
Bruce D. Taber	63,998,340,365.432	515,996,907.141
Scott F. Powers	63,998,338,158.836	515,999,113.737
Michael F. Holland	48,295,171,711.119	16,219,165,561.454
William L. Boyan	56,072,188,279.781	8,442,148,992.792
Rina K. Spence	56,072,118,146.029	8,442,219,126.544
Douglas T. Williams	56,072,132,766.923	8,442,204,505.650
James E. Ross	61,492,256,811.138	3,022,080,461.435

Proposal 3: To approve an Amended and Restated Agreement and Declaration of Trust for the State Street Master Funds:

For	Against	Abstentions	Broker Non-Votes
52,300,332,703.204	8,917,011,968.752	3,296,992,600.617	N/A

42

State Street Equity 500 Index Portfolio

General Information — (continued)

June 30, 2014 (Unaudited)

Interestholder Meeting Results — (continued)

State Street Equity 500 Index Portfolio

Proposal 4.A-4.F: To approve an amendment to the Fund’s fundamental investment restriction with respect to:

Proposal 4.A – Concentrating investments in an industry:

For	Against	Abstentions	Broker Non-Votes
105,093,700.452	1,402,997.816	4,085,947.202	N/A

Proposal 4.B – Borrowing money and issuing senior securities:

For	Against	Abstentions	Broker Non-Votes
104,676,501.556	1,702,348.915	4,203,794.998	N/A

Proposal 4.C – Making loans:

For	Against	Abstentions	Broker Non-Votes
105,308,380.918	1,801,125.431	3,473,139.121	N/A

Proposal 4.D – Investment in commodities and commodity contracts:

For	Against	Abstentions	Broker Non-Votes
104,864,809.525	1,667,835.833	4,050.000.112	N/A

Proposal 4.E – Investment in real estate:

For	Against	Abstentions	Broker Non-Votes
105,690,965.328	1,426,846.336	3,464,833.806	N/A

Proposal 4.F – Participation in the underwriting of securities:

For	Against	Abstentions	Broker Non-Votes
105,630,262.322	1,615,582.000	3,336,801.148	N/A

Proposal 4.H – To approve the elimination of the Fund’s fundamental investment restriction with respect to diversification of investments:

For	Against	Abstentions	Broker Non-Votes
104,877,291.492	1,636,054.733	4,069,299.245	N/A

Proposal 5 – To make the fundamental investment objective of certain Funds non-fundamental:

For	Against	Abstentions	Broker Non-Votes
37,925,552.405	68,324,679.120	4,332,413.945	N/A

43

State Street Equity 500 Index Portfolio

General Information — (continued)

June 30, 2014 (Unaudited)

Advisory Agreement Renewal

TRUSTEE CONSIDERATIONS IN APPROVING CONTINUATION OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS¹

Overview of the Contract Review Process

Under the Investment Company Act of 1940, an investment advisory agreement between a mutual fund and its investment adviser or sub-adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees, including by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.

Consistent with these requirements, the Independent Trustees on the Board of Trustees (the “Board”) of the State Street Master Funds and State Street Institutional Investment Trust (each a “Trust” and together, the “Trusts”), met in Executive Sessions on March 20, 2014, April 14, 2014 and June 19, 2014 to consider a proposal to approve, with respect to each portfolio series of the each Trust (each, a “Fund” and collectively, the “Funds”), the initial approval an investment agreement and sub-advisory agreement for certain Funds and, for certain funds, the continuation of the investment advisory agreement and sub-advisory agreements, as applicable, with SSgA Funds Management, Inc. (the “Adviser”), and, for certain funds, CBRE Clarion Securities, LLC (the “Sub-Adviser”) (the “Advisory Agreements”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and Sub-Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. Such information included, among other things, the following:

Information about Performance, Expenses and Fees

• A report prepared by an independent provider of investment company data, which includes for each Fund:

^¡   Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended March 31, 2014, as applicable, to the performance of an appropriate benchmark for the Fund and a universe of other mutual funds with similar investment objectives and policies;

¹  Over the course of more than 15 years, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory and sub-advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting���). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustee before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans.

44

State Street Equity 500 Index Portfolio

General Information — (continued)

June 30, 2014 (Unaudited)

Advisory Agreement Renewal — (continued)

^¡   Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent data provider;

^¡   A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five years, as applicable; and

^¡   Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels.

• Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds; and

• Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”).

Information about Portfolio Management

• Descriptions of the investment management services provided by the Adviser and Sub-Adviser, as applicable, including their investment strategies and processes;

• Information concerning the allocation of brokerage and the benefits received by the Adviser and Sub-Adviser, as applicable, as a result of brokerage allocation, including information concerning the acquisition of any research through “soft dollar” benefits received in connection with the Funds’ brokerage; and

• Information regarding the procedures and processes used to value the assets of the Funds and the assistance provided to the administrator of the Funds by the Adviser in monitoring the effectiveness of such procedures and processes.

Information about the Adviser

• Reports detailing the financial results and condition of the Sub-Adviser, and Adviser and its affiliates;

• Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds;

• A copy of each Code of Ethics adopted by the Adviser and Sub-Adviser, together with information relating to compliance with and the administration of such Codes;

• A copy of the Adviser’s and Sub-Adviser’s proxy voting policies and procedures;

• Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds; and

• A description of the business continuity and disaster recovery plans of the Adviser and Sub-Adviser.

45

State Street Equity 500 Index Portfolio

General Information — (continued)

June 30, 2014 (Unaudited)

Advisory Agreement Renewal — (continued)

Other Relevant Information

• Information concerning the nature, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, administrator, fund accountant, transfer agent and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers;

• Copies of the Advisory Agreements, Sub-Advisory Agreements and agreements with other service providers of the Funds;

• Draft responses to letter dated February 23, 2014 from Joseph P. Barri, LLC (counsel to the Independent Trustees reviewed prior to such date by Independent Counsel, requesting specific information, from each of:

^¡   The Adviser, with respect to its operations relating to the Funds and its approximate profit margins before taxes from such operations for the Funds’ last fiscal year; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit margins from such relevant operations for the Funds’ last fiscal year;

^¡   State Street Bank and Trust Company (“State Street”), the administrator, custodian, transfer agent, securities lending agent, and shareholder services for the Funds, with respect to its operations relating to the Funds; and

^¡   State Street Global Markets, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under SEC Rule 12b-1;

• Information from the Adviser, State Street and the Distributor with respect to State Street Master Funds and State Street Institutional Investment Trust providing any material changes to the previous information supplied in response to the letter dated February 23, 2014 from Joseph P. Barri, LLC prior to the Executive Session of the Board on June 19, 2014.

• Excerpts from the Funds’ most recent prospectuses, statements of additional information and respective annual reports for the fiscal year ended December 31, 2013, including (i) the latest prospectus descriptions of each Fund’s investment objectives, strategies and authorized investment techniques and investments; and (ii) the latest Annual Shareholder Report for each Fund, including Portfolio Management Discussion of Performance, as prepared by its portfolio management team, together with a graphic comparison of the performance of each Fund with its benchmark index, for its fiscal year December 31, 2013;

• Lipper materials dated March 2014, obtained by an Independent Trustee and circulated to the other Independent Trustees and to Independent Counsel, with respect to the Funds for which such materials were then available; and

• A summary of the foregoing materials prepared by Independent Counsel.

In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Funds throughout the year at meetings of the

46

State Street Equity 500 Index Portfolio

General Information — (continued)

June 30, 2014 (Unaudited)

Advisory Agreement Renewal — (continued)

Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Funds and the investment strategies used in pursuing each Fund’s investment objective.

The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to each Fund.

Results of the Process

Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on June 19, 2014 the Board, including a majority of the Independent Trustees, voted to approve the adoption of, as applicable, and the continuation of, as applicable, the Advisory Agreements and Sub-Advisory Agreements effective July 1, 2014, for an additional year with respect to all Funds.

Nature, Extent and Quality of Services

In considering whether to approve the Advisory Agreements and Sub-Advisory Agreements, the Board evaluated the nature, extent and quality of services provided to each Fund by the Adviser and Sub-Adviser, as applicable.

The Board considered the Adviser’s and Sub-Adviser’s, as applicable, management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser and Sub-Adviser, as applicable, in developing and applying proprietary quantitative models for managing various Funds that invest primarily in equity securities. With respect to those Funds that invest primarily in fixed-income securities, the Board considered the extensive experience and resources committed by the Adviser to the evaluation of credit, interest-rate and currency risks. With respect to those Funds that operate as money market mutual funds, the Board considered the Adviser’s success in maintaining the constant dollar value of each Fund through extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.

The Board reviewed the compliance programs of the Adviser, Sub-Adviser and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s securities lending activities.

47

State Street Equity 500 Index Portfolio

General Information — (continued)

June 30, 2014 (Unaudited)

Advisory Agreement Renewal — (continued)

On the basis of the foregoing and other relevant information, the Board concluded that the Adviser and Sub-Adviser, as applicable, can be expected to continue to provide, high quality investment management and related services for the Funds.

Fund Performance

The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended March 31, 2014.

On the basis of the foregoing and other relevant information, the Board concluded that the performance of each operational Fund is satisfactory or better (a) by comparison to the performance of its peer group funds or (b) after considering steps taken by management to improve the performance of certain Funds.

Management Fees and Expenses

The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review, the Board considered each Fund’s management fee and total expense ratio (both before and after giving effect to any expense caps), as compared to a group of similarly managed funds selected by an independent data provider. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of various Funds to limit the total expenses borne by shareholders of such Funds. The Board also considered the fees that Adviser pays to the Sub-Adviser for its services to the applicable Funds.

On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of similar mutual funds and are reasonable in relation to the services provided.

Profitability

The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and to all Funds as a group. The Board considered other direct and indirect benefits received by the Adviser and the Affiliated Service Providers in connection with their relationships with the Funds, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Funds and other investment advisory clients, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds.

The Board concluded that the profitability of the Adviser with respect to each of the Funds, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds, were reasonable in relation to the services provided.

48

State Street Equity 500 Index Portfolio

General Information — (continued)

June 30, 2014 (Unaudited)

Advisory Agreement Renewal — (continued)

Economies of Scale

In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and all Funds as a group, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific Fund or the Funds taken as a whole. The Board concluded that, in light of the current size of each Fund and all Funds as a group, the level of profitability of the Adviser and its affiliates with respect to each Fund and all Funds as a group over various time periods, and the comparatively low management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time.

49

June 30, 2014

Quantitative Master Series LLC

• Master International Index Series

• Master Small Cap Index Series

Not FDIC Insured • May Lose Value • No Bank Guarantee

50

Series Portfolio Information as of June 30, 2014 Quantitative Master Series LLC

Master International Index Series

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

Geographic Allocation	Percent of Long-Term Investments
Japan		20	%
United Kingdom		19
France		10
Switzerland		10
Germany		9
Australia		8
Netherlands		5
Spain		4
Sweden		3
Hong Kong		3
Italy		2
Other1		7

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
Prosperity Bancshares, Inc.		0.2	%
InterMune, Inc.		0.2
Aspen Technology, Inc.		0.2
WEX, Inc.		0.2
Isis Pharmaceuticals, Inc.		0.2
Tenneco, Inc.		0.2
PolyOne Corp.		0.2
Investor Bancorp, Inc.		0.2
Ultimate Software Group, Inc.		0.2
Brunswick Corp.		0.2

Sector Allocation	Percent of Long-Term Investments
Financials		23	%
Information Technology		18
Industrials		14
Health Care		13
Consumer Discretionary		13
Energy		7
Materials		5
Utilities		3
Consumer Staples		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.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2014 51

Schedule of Investments June 30, 2014 (Unaudited) Master International Index Series (Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Australia – 7.5%
AGL Energy Ltd.		44,909	$	655,985
ALS Ltd.		31,254		261,067
Alumina Ltd. (a)		203,696		260,133
Amcor Ltd.		96,147		945,658
AMP Ltd.		235,358		1,176,519
APA Group		64,828		421,630
Asciano Ltd.		75,530		401,324
ASX Ltd.		14,765		496,391
Aurizon Holdings Ltd.		168,772		792,516
Australia & New Zealand Banking Group Ltd.		216,461		6,806,504
Bank of Queensland Ltd.		28,508		327,618
Bendigo and Adelaide Bank Ltd.		32,618		375,267
BGP Holdings PLC (a)		783,183		11
BHP Billiton Ltd.		253,338		8,639,999
Boral Ltd.		61,931		306,395
Brambles Ltd.		122,532		1,061,601
Caltex Australia Ltd.		11,572		235,458
CFS Retail Property Trust		176,953		340,285
Coca-Cola Amatil Ltd.		43,897		391,954
Cochlear Ltd.		4,833		281,358
Commonwealth Bank of Australia		127,147		9,697,255
Computershare Ltd.		38,598		454,304
Crown Resorts Ltd.		27,186		387,495
CSL Ltd.		38,223		2,399,370
Dexus Property Group		455,868		477,121
Federation Centres Ltd.		114,385		268,438
Flight Centre Ltd.		4,803		201,264
Fortescue Metals Group Ltd.		118,642		490,009
Goodman Group		137,614		655,178
GPT Group		137,636		498,459
Harvey Norman Holdings Ltd.		38,809		113,441
Iluka Resources Ltd.		33,664		258,671
Incitec Pivot Ltd.		137,369		375,560
Insurance Australia Group Ltd.		181,206		998,073
Leighton Holdings Ltd.		7,635		141,763
Lend Lease Group		44,067		544,777
Macquarie Group Ltd.		22,621		1,272,516
Metcash Ltd.		63,088		157,050
Mirvac Group		297,877		501,273
National Australia Bank Ltd.		185,675		5,738,981
Newcrest Mining Ltd. (a)		62,155		624,262
Orica Ltd.		29,863		548,475
Origin Energy Ltd.		86,941		1,198,356
Qantas Airways Ltd. (a)		77,541		92,240
QBE Insurance Group Ltd.		96,809		991,545
Ramsay Health Care Ltd.		9,937		426,805
REA Group Ltd.		4,134		166,559
Rio Tinto Ltd.		34,728		1,948,239
Santos Ltd.		77,079		1,036,912
Scentre Group (a)		403,454		1,217,397
Seek Ltd.		25,351		379,101
Sonic Healthcare Ltd.		31,000		507,103
SP AusNet		124,539		155,683
Stockland		186,281		681,315
Suncorp Group Ltd.		101,087		1,290,867
Sydney Airport		82,654		328,866
Tabcorp Holdings Ltd.		64,836		205,349
Tatts Group Ltd.		113,710		350,581
Telstra Corp. Ltd.		342,186		1,681,078
Toll Holdings Ltd.		57,647		277,431
TPG Telecom, Ltd.		21,913		113,855
Transurban Group		138,582		965,700
Treasury Wine Estates Ltd.		54,914		259,330

Common Stocks	Shares		Value
Australia (concluded)
Wesfarmers Ltd.		90,194	$	3,559,179
Westfield Corp.		155,797		1,050,397
Westpac Banking Corp.		245,245		7,844,433
Woodside Petroleum Ltd.		52,010		2,016,499
Woolworths Ltd.		99,186		3,293,620
WorleyParsons Ltd.		17,519		287,352
				83,307,200
Austria – 0.3%
Andritz AG		6,080		351,310
Erste Group Bank AG		22,061		713,295
Immofinanz AG (a)		71,433		252,358
OMV AG		12,119		547,476
Raiffeisen Bank International AG		9,645		307,481
Strabag SE		30,711		—
Telekom Austria AG		15,806		154,602
Vienna Insurance Group AG		3,358		179,782
Voestalpine AG		8,606		410,275
				2,916,579
Belgium – 1.2%
Ageas		17,580		701,111
Anheuser-Busch InBev NV		63,416		7,286,515
Belgacom SA		11,349		376,749
Colruyt SA		5,685		288,748
Delhaize Group		7,869		532,473
Groupe Bruxelles Lambert SA		6,236		648,129
KBC Groep NV (a)		19,856		1,080,189
Solvay SA		4,759		819,073
Telenet Group Holding NV (a)		4,118		234,692
UCB SA		8,933		755,751
Umicore SA		8,046		374,397
				13,097,827
Denmark – 1.4%
A.P. Moeller – Maersk A/S, Class A		220		517,785
A.P. Moeller – Maersk A/S, Class B		505		1,255,573
Carlsberg A/S, Class B		8,515		917,098
Coloplast A/S, Class B		8,875		803,055
Danske Bank A/S		50,941		1,440,025
DSV A/S		14,726		480,191
Novo Nordisk A/S, Class B		154,883		7,148,308
Novozymes A/S, Class B		17,918		898,704
Pandora A/S		8,085		620,473
TDC A/S		66,094		683,703
Tryg A/S		1,678		169,540
Vestas Wind Systems A/S (a)		17,406		878,283
William Demant Holding A/S (a)		1,914		173,808
				15,986,546
Finland – 0.8%
Elisa OYJ		11,811		361,300
Fortum OYJ		35,380		950,023
Kone OYJ, Class B		24,895		1,038,023
Metso OYJ		8,819		333,873
Neste Oil OYJ		9,344		182,325
Nokia OYJ		295,490		2,235,903
Nokian Renkaat OYJ		9,359		364,879
Orion OYJ, Class B		7,935		295,759
Sampo OYJ, Class A		35,574		1,798,351
Stora Enso OYJ, Class R		43,104		419,062
UPM-Kymmene OYJ		42,114		719,373
Wartsila OYJ		11,612		575,513
				9,274,384

Portfolio Abbreviation

ADR    American Depositary Receipts

See Notes to Financial Statements.
52	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

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

Common Stocks	Shares		Value
France – 9.8%
Accor SA		13,507	$	702,033
Aeroports de Paris		2,493		328,669
Air Liquide SA		27,152		3,669,018
Airbus Group NV		46,546		3,120,816
Alcatel-Lucent (a)		223,201		802,425
Alstom SA		17,361		630,506
ArcelorMittal		78,368		1,168,323
Arkema		4,361		423,742
AtoS		6,204		516,736
AXA SA		143,063		3,418,250
BNP Paribas SA		83,489		5,673,807
Bollore SA		430		278,956
Bouygues SA		15,473		643,835
Bureau Veritas SA		17,032		473,037
Cap Gemini SA		11,429		815,616
Carrefour SA		48,799		1,799,424
Casino Guichard-Perrachon SA		4,598		609,604
Christian Dior SA		4,316		859,310
Cie Generale des Etablissements Michelin		14,516		1,733,243
CNP Assurances		13,219		274,359
Compagnie de Saint-Gobain		35,046		1,977,372
Credit Agricole SA		82,299		1,161,968
Danone SA		44,793		3,330,736
Dassault Systemes SA		4,794		616,417
Edenred		15,541		471,264
EDF		19,582		616,596
Essilor International SA		16,084		1,704,517
Eurazeo		3,099		257,880
Eutelsat Communications SA		12,524		435,205
Fonciere Des Regions		2,308		250,355
GDF Suez		114,215		3,146,801
Gecina SA		1,869		272,321
Groupe Eurotunnel SA, Registered Shares		36,648		495,815
ICADE		2,822		302,498
Iliad SA		2,087		630,844
Imerys SA		2,500		210,836
JCDecaux SA		5,660		211,393
Kering		6,000		1,316,226
Klepierre		7,443		379,247
L’Oreal SA		18,876		3,250,053
Lafarge SA		14,608		1,270,299
Lagardere SCA		9,740		317,344
Legrand SA		21,220		1,299,525
LVMH Moet Hennessy Louis Vuitton SA		22,027		4,250,525
Natixis		70,781		454,265
Orange SA		145,995		2,309,978
Pernod Ricard SA		16,754		2,012,499
Peugeot SA (a)		30,443		450,424
Publicis Groupe SA		14,305		1,212,441
Remy Cointreau SA		2,081		191,459
Renault SA		15,124		1,367,129
Rexel SA		21,270		497,455
Safran SA		21,273		1,392,631
Sanofi		94,015		9,992,806
Schneider Electric SA		41,080		3,873,573
SCOR SE		11,602		399,491
SES SA		24,156		916,228
Societe BIC SA		2,281		312,127
Societe Generale SA		56,913		2,984,669
Sodexo		7,501		807,102
Suez Environnement Co.		21,425		409,864
Technip SA		8,198		895,725
Thales SA		7,640		461,948
Total SA		168,791		12,211,970
Unibail-Rodamco SE		7,727		2,248,636
Valeo SA		6,064		813,635
Vallourec SA		8,857		397,025

Common Stocks	Shares		Value
France (concluded)
Veolia Environnement SA		32,516	$	619,453
Vinci SA		38,113		2,849,282
Vivendi SA (a)		95,126		2,327,881
Wendel SA		2,515		360,312
Zodiac Aerospace		14,692		497,433
				109,385,187
Germany – 8.9%
Adidas AG		16,356		1,653,856
Allianz SE, Registered Shares		36,005		6,009,732
Axel Springer AG		2,870		176,381
BASF SE		72,450		8,427,641
Bayer AG, Registered Shares		65,229		9,202,059
Bayerische Motoren Werke AG		26,231		3,321,623
Bayerische Motoren Werke AG, Preference Shares		4,427		423,851
Beiersdorf AG		8,067		779,634
Brenntag AG		4,151		741,596
Celesio AG		3,574		127,091
Commerzbank AG (a)		76,614		1,200,779
Continental AG		8,680		2,006,908
Daimler AG, Registered Shares		75,947		7,094,556
Deutsche Bank AG, Registered Shares		108,878		3,826,515
Deutsche Boerse AG		15,051		1,166,974
Deutsche Lufthansa AG, Registered Shares		17,906		384,389
Deutsche Post AG, Registered Shares		76,309		2,754,366
Deutsche Telekom AG, Registered Shares		245,805		4,311,177
Deutsche Wohnen AG		21,875		471,201
E.ON SE		157,869		3,254,557
Fraport AG Frankfurt Airport Services Worldwide		2,725		192,268
Fresenius Medical Care AG & Co. KGaA		16,848		1,133,555
Fresenius SE & Co. KGaA		9,946		1,483,303
GEA Group AG		14,715		695,639
Hannover Rueck SE		4,939		444,764
HeidelbergCement AG		11,241		957,822
Henkel AG & Co. KGaA		9,192		924,400
Henkel AG & Co. KGaA, Preference Shares		14,058		1,624,154
Hochtief AG		1,718		148,690
Hugo Boss AG		2,371		354,036
Infineon Technologies AG		89,001		1,111,012
K+S AG, Registered Shares		12,982		426,308
Kabel Deutschland Holding AG		1,772		259,265
Lanxess AG		7,231		487,724
Linde AG		14,702		3,124,117
MAN SE		2,794		345,301
Merck KGaA		10,190		883,643
Metro AG (a)		12,803		557,167
Muenchener Rueckversicherungs AG, Registered Shares		14,215		3,147,887
Osram Licht AG (a)		7,148		359,969
Porsche Automobil Holding SE, Preference Shares		12,151		1,263,370
ProSiebenSat.1 Media AG, Registered Shares		17,432		775,881
RWE AG		38,604		1,655,652
SAP AG		72,682		5,600,489
Siemens AG, Registered Shares		62,544		8,257,944
Sky Deutschland AG (a)		36,810		339,183
Telefonica Deutschland Holding AG		20,099		166,144
ThyssenKrupp AG (a)		35,558		1,034,615
United Internet AG, Registered Shares		9,200		404,176
Volkswagen AG		2,386		615,370
Volkswagen AG, Preference Shares		12,862		3,368,772
				99,477,506
Hong Kong – 2.7%
AIA Group Ltd.		950,000		4,773,382
ASM Pacific Technology Ltd.		17,304		189,106
Bank of East Asia Ltd.		104,332		432,563
BOC Hong Kong Holdings Ltd.		294,400		852,895
Cathay Pacific Airways Ltd.		87,263		163,079
Cheung Kong Holdings Ltd.		108,835		1,930,912

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	53

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

Common Stocks	Shares		Value
Hong Kong (concluded)
Cheung Kong Infrastructure Holdings Ltd.		46,500	$	321,228
CLP Holdings Ltd.		149,187		1,225,559
First Pacific Co. Ltd.		173,250		193,394
Galaxy Entertainment Group Ltd.		183,000		1,462,623
Hang Lung Properties Ltd.		183,000		564,341
Hang Seng Bank Ltd.		60,353		985,533
Henderson Land Development Co. Ltd.		80,564		471,507
HKT Trust and HKT Ltd.		192,000		226,245
Hong Kong & China Gas Co. Ltd.		497,556		1,088,789
Hong Kong Exchanges & Clearing Ltd.		87,027		1,622,364
Hutchison Whampoa Ltd.		169,176		2,313,746
Hysan Development Co. Ltd.		54,791		256,621
Kerry Properties Ltd.		52,500		183,508
Li & Fung Ltd.		471,980		699,096
The Link REIT		185,414		998,226
MGM China Holdings Ltd.		69,600		241,381
MTR Corp.		113,500		437,100
New World Development Co. Ltd.		390,968		445,076
NWS Holdings Ltd.		127,824		237,163
PCCW Ltd.		348,000		207,442
Power Assets Holdings Ltd.		112,000		980,329
Sands China Ltd.		193,400		1,459,723
Shangri-La Asia Ltd.		97,905		153,406
Sino Land Co. Ltd.		237,263		390,563
SJM Holdings Ltd.		148,000		370,762
Sun Hung Kai Properties Ltd.		129,324		1,774,585
Swire Pacific Ltd., Class A		51,077		628,673
Swire Properties Ltd.		87,000		254,253
Techtronic Industries Co.		108,500		347,818
Wharf Holdings Ltd.		121,357		873,870
Wheelock & Co. Ltd.		72,000		300,572
Wynn Macau Ltd.		119,600		468,433
Yue Yuen Industrial Holdings Ltd.		54,285		181,634
				30,707,500
Ireland – 0.8%
Bank of Ireland (a)		1,916,805		646,826
CRH PLC		57,232		1,466,129
Experian PLC		77,514		1,309,611
James Hardie Industries SE		34,310		447,603
Kerry Group PLC, Class A		12,485		937,700
Ryanair Holdings PLC (a)		10,891		103,403
Ryanair Holdings PLC – ADR (a)		636		35,489
Shire PLC		46,379		3,638,109
				8,584,870
Israel – 0.5%
Bank Hapoalim BM		80,579		465,423
Bank Leumi Le-Israel BM (a)		107,117		417,495
Bezeq The Israeli Telecommunication Corp. Ltd.		139,679		261,421
Delek Group Ltd.		372		153,878
Israel Chemicals Ltd.		32,604		279,353
The Israel Corp. Ltd. (a)		206		117,224
Mizrahi Tefahot Bank Ltd.		11,916		154,056
NICE Systems Ltd.		5,103		208,841
Teva Pharmaceutical Industries Ltd.		67,383		3,539,827
				5,597,518
Italy – 2.5%
Assicurazioni Generali SpA		92,841		2,033,265
Atlantia SpA		32,599		928,679
Banca Monte dei Paschi di Siena SpA (a)(b)		336,194		651,396
Banco Popolare SC (a)		28,615		470,695
Enel Green Power SpA		137,956		390,448
Enel SpA		516,536		3,004,503
Eni SpA		200,679		5,488,505
Exor SpA		7,730		317,104
Fiat SpA (a)		67,779		668,267
Finmeccanica SpA (a)		29,559		280,691
Intesa Sanpaolo SpA		994,496		3,036,642
Luxottica Group SpA		13,350		773,041

Common Stocks	Shares		Value
Italy (concluded)
Mediobanca SpA (a)		47,636	$	474,342
Pirelli & C SpA		18,856		302,258
Prysmian SpA		15,947		360,124
Saipem SpA (a)		20,287		547,001
Snam SpA		161,729		974,082
Telecom Italia SpA (a)		804,131		1,017,789
Telecom Italia SpA, Non-Convertible Savings Shares		473,382		468,261
Tenaris SA		37,282		878,444
Terna – Rete Elettrica Nazionale SpA		120,321		633,960
UniCredit SpA		353,939		2,959,416
Unione di Banche Italiane SCpA		66,689		576,264
UnipolSai SpA		77,124		247,754
				27,482,931
Japan – 19.6%
ABC-Mart, Inc.		2,000		107,023
Acom Co. Ltd. (a)		29,800		141,929
Advantest Corp.		13,900		171,991
Aeon Co. Ltd.		48,700		599,294
AEON Financial Service Co. Ltd.		8,500		222,309
Aeon Mall Co. Ltd.		8,250		217,527
Air Water, Inc.		10,000		160,070
Aisin Seiki Co. Ltd.		15,700		624,954
Ajinomoto Co. Inc.		47,000		736,646
Alfresa Holdings Corp.		3,600		232,102
Amada Co. Ltd.		29,000		295,391
ANA Holdings, Inc.		100,000		235,999
Aozora Bank Ltd.		91,000		299,190
Asahi Glass Co. Ltd.		77,100		454,557
Asahi Group Holdings Ltd.		30,700		964,069
Asahi Kasei Corp.		98,000		750,241
Asics Corp.		12,800		298,902
Astellas Pharma, Inc.		169,700		2,231,651
The Bank of Kyoto Ltd.		28,000		254,808
The Bank of Yokohama Ltd.		96,000		552,864
Benesse Holdings, Inc.		4,800		208,201
Bridgestone Corp.		51,400		1,800,204
Brother Industries Ltd.		19,700		341,550
Calbee, Inc.		5,600		154,334
Canon, Inc.		89,500		2,925,038
Casio Computer Co. Ltd.		15,800		229,497
Central Japan Railway Co.		11,500		1,641,603
The Chiba Bank Ltd.		59,000		416,712
Chiyoda Corp.		13,000		157,556
Chubu Electric Power Co., Inc. (a)		51,900		644,570
Chugai Pharmaceutical Co. Ltd.		17,400		490,621
The Chugoku Bank Ltd.		12,900		198,418
The Chugoku Electric Power Co., Inc.		22,300		303,870
Citizen Holdings Co. Ltd.		19,000		149,203
Credit Saison Co. Ltd.		12,500		260,254
Dai Nippon Printing Co. Ltd.		44,000		459,710
The Dai-ichi Life Insurance Co. Ltd.		67,300		1,002,947
Daicel Corp.		21,000		200,787
Daido Steel Co. Ltd.		21,000		107,452
Daihatsu Motor Co. Ltd.		15,100		268,724
Daiichi Sankyo Co. Ltd.		50,100		936,456
Daikin Industries Ltd.		18,600		1,173,897
Daito Trust Construction Co. Ltd.		5,900		693,775
Daiwa House Industry Co. Ltd.		46,000		953,609
Daiwa Securities Group, Inc.		130,000		1,126,355
Dena Co. Ltd.		7,400		100,128
Denso Corp.		38,600		1,843,945
Dentsu, Inc.		17,413		709,141
Don Quijote Co. Ltd.		4,300		239,903
East Japan Railway Co.		26,449		2,083,972
Eisai Co. Ltd.		20,100		843,503
Electric Power Development Co. Ltd.		9,900		321,262

See Notes to Financial Statements.
54	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

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

Common Stocks	Shares		Value
Japan (continued)
FamilyMart Co. Ltd.		4,800	$	206,941
FANUC Corp.		15,300		2,642,124
Fast Retailing Co. Ltd.		4,200		1,383,604
Fuji Electric Co. Ltd.		40,800		193,599
Fuji Heavy Industries Ltd.		45,800		1,269,977
FUJIFILM Holdings Corp.		37,200		1,038,274
Fujitsu Ltd.		148,000		1,108,940
Fukuoka Financial Group, Inc.		63,000		304,294
Gree, Inc.		9,600		84,182
GungHo Online Entertainment, Inc.		31,900		206,128
The Gunma Bank Ltd.		27,000		159,750
The Hachijuni Bank Ltd.		35,000		216,726
Hakuhodo DY Holdings, Inc.		16,400		162,988
Hamamatsu Photonics KK		5,800		284,657
Hankyu Hanshin Holdings, Inc.		88,000		502,448
Hikari Tsushin, Inc.		1,300		98,177
Hino Motors Ltd.		20,400		281,445
Hirose Electric Co. Ltd.		2,200		327,056
The Hiroshima Bank Ltd.		45,000		215,082
Hisamitsu Pharmaceutical Co., Inc.		4,400		196,755
Hitachi Chemical Co. Ltd.		7,400		122,517
Hitachi Construction Machinery Co. Ltd.		9,500		189,622
Hitachi High-Technologies Corp.		4,400		104,767
Hitachi Ltd.		381,000		2,792,375
Hitachi Metals Ltd.		18,000		274,439
Hokuhoku Financial Group, Inc.		106,000		226,095
Hokuriku Electric Power Co.		14,900		197,531
Honda Motor Co. Ltd.		128,600		4,487,464
Hoya Corp.		34,000		1,130,425
Hulic Co. Ltd.		17,600		232,138
Ibiden Co. Ltd.		10,700		215,868
Idemitsu Kosan Co. Ltd.		6,000		130,288
IHI Corp.		108,000		503,433
Iida Group Holdings Co. Ltd.		13,100		199,101
Inpex Corp.		69,100		1,051,163
Isetan Mitsukoshi Holdings Ltd.		25,005		325,812
Isuzu Motors Ltd.		96,000		635,709
ITOCHU Corp.		119,100		1,528,980
Itochu Techno-Solutions Corp.		1,700		73,898
The Iyo Bank Ltd.		19,000		192,180
J. Front Retailing Co. Ltd.		40,600		285,053
Japan Airlines Co. Ltd.		5,140		284,188
Japan Display, Inc. (a)		28,600		175,782
Japan Exchange Group, Inc.		20,600		507,712
Japan Prime Realty Investment Corp.		64		229,711
Japan Real Estate Investment Corp.		92		535,875
Japan Retail Fund Investment Corp.		173		389,201
Japan Tobacco, Inc.		87,400		3,186,788
JFE Holdings, Inc.		39,300		812,889
JGC Corp.		16,000		486,712
The Joyo Bank Ltd.		53,000		282,725
JSR Corp.		12,900		221,467
JTEKT Corp.		15,100		254,780
JX Holdings, Inc.		180,260		964,612
Kajima Corp.		71,800		317,591
Kakaku.com, Inc.		11,800		206,925
Kamigumi Co. Ltd.		17,000		156,488
Kaneka Corp.		20,000		125,223
The Kansai Electric Power Co., Inc. (a)		54,700		515,609
Kansai Paint Co. Ltd.		18,000		300,857
Kao Corp.		41,200		1,622,611
Kawasaki Heavy Industries Ltd.		108,000		411,716
KDDI Corp.		46,000		2,806,623
Keikyu Corp.		36,000		323,609
Keio Corp.		46,000		361,717
Keisei Electric Railway Co. Ltd.		20,000		199,321
Keyence Corp.		3,592		1,570,738

Common Stocks	Shares		Value
Japan (continued)
Kikkoman Corp.		12,000	$	250,109
Kintetsu Corp.		139,000		506,496
Kirin Holdings Co. Ltd.		63,100		911,090
Kobe Steel Ltd.		230,000		345,910
Koito Manufacturing Co. Ltd.		7,000		179,379
Komatsu Ltd.		74,600		1,731,711
Konami Corp.		8,200		181,416
Konica Minolta, Inc.		37,000		365,711
Kubota Corp.		89,000		1,262,935
Kuraray Co. Ltd.		27,600		350,056
Kurita Water Industries Ltd.		8,200		189,919
Kyocera Corp.		24,900		1,182,347
Kyowa Hakko Kirin Co. Ltd.		19,000		257,420
Kyushu Electric Power Co., Inc. (a)		32,700		368,135
Lawson, Inc.		4,900		367,781
LIXIL Group Corp.		20,300		549,438
M3, Inc.		15,300		243,593
Mabuchi Motor Co. Ltd.		1,800		136,490
Makita Corp.		9,500		587,137
Marubeni Corp.		131,000		958,785
Marui Group Co. Ltd.		20,000		192,154
Maruichi Steel Tube Ltd.		3,400		91,317
Mazda Motor Corp.		217,400		1,020,240
McDonald’s Holdings Co. Japan Ltd.		6,000		168,530
Medipal Holdings Corp.		10,100		143,196
Meiji Holdings Co. Ltd.		5,093		337,652
Miraca Holdings, Inc.		4,100		198,703
Mitsubishi Chemical Holdings Corp.		110,700		490,959
Mitsubishi Corp.		110,800		2,306,236
Mitsubishi Electric Corp.		153,000		1,889,968
Mitsubishi Estate Co. Ltd.		99,000		2,445,845
Mitsubishi Gas Chemical Co., Inc.		34,000		217,724
Mitsubishi Heavy Industries Ltd.		240,200		1,500,265
Mitsubishi Logistics Corp.		9,000		134,881
Mitsubishi Materials Corp.		87,000		305,216
Mitsubishi Motors Corp. (b)		51,300		566,886
Mitsubishi Tanabe Pharma Corp.		18,800		281,418
Mitsubishi UFJ Financial Group, Inc.		1,005,474		6,172,318
Mitsubishi UFJ Lease & Finance Co. Ltd.		41,900		240,854
Mitsui & Co. Ltd.		137,100		2,197,937
Mitsui Chemicals, Inc.		64,000		175,111
Mitsui Fudosan Co. Ltd.		67,000		2,261,200
Mitsui OSK Lines Ltd.		85,000		316,666
Mizuho Financial Group, Inc.		1,816,164		3,733,131
MS&AD Insurance Group Holdings, Inc.		40,270		973,279
Murata Manufacturing Co. Ltd.		15,900		1,491,112
Nabtesco Corp.		8,900		196,966
Nagoya Railroad Co. Ltd.		66,000		263,217
Namco Bandai Holdings, Inc.		14,900		349,340
NEC Corp.		205,000		654,259
Nexon Co. Ltd.		11,900		113,734
NGK Insulators Ltd.		20,000		454,016
NGK Spark Plug Co. Ltd.		15,000		423,511
NHK Spring Co. Ltd.		10,700		100,415
Nidec Corp.		16,300		1,002,455
Nikon Corp.		26,100		411,181
Nintendo Co. Ltd.		8,400		1,008,733
Nippon Building Fund, Inc.		112		654,852
Nippon Electric Glass Co. Ltd.		34,500		201,062
Nippon Express Co. Ltd.		70,000		339,518
Nippon Meat Packers, Inc.		14,000		273,338
Nippon Paint Co. Ltd.		15,000		317,600
Nippon Prologis REIT, Inc.		107		249,539
Nippon Steel & Sumitomo Metal		604,265		1,935,770
Nippon Telegraph & Telephone Corp.		29,776		1,855,873
Nippon Yusen KK		124,000		357,688
Nissan Motor Co. Ltd.		195,400		1,850,331

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	55

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

Common Stocks	Shares		Value
Japan (continued)
Nisshin Seifun Group, Inc.		15,400	$	183,978
Nissin Foods Holdings Co. Ltd.		4,300		221,077
Nitori Holdings Co. Ltd.		5,500		300,915
Nitto Denko Corp.		11,910		557,881
NKSJ Holdings, Inc.		26,775		721,455
NOK Corp.		7,100		142,761
Nomura Holdings, Inc.		284,700		2,016,617
Nomura Real Estate Holdings, Inc.		8,800		166,678
Nomura Research Institute Ltd.		9,300		293,002
NSK Ltd.		36,000		468,480
NTT Data Corp.		10,000		384,565
NTT DoCoMo, Inc.		119,600		2,041,667
NTT Urban Development Corp.		8,400		94,598
Obayashi Corp.		52,000		371,387
Odakyu Electric Railway Co. Ltd.		49,000		471,876
Oji Holdings Corp.		67,000		275,706
Olympus Corp. (a)		18,300		629,636
Omron Corp.		16,600		700,015
Ono Pharmaceutical Co. Ltd.		6,300		553,513
Oracle Corp. Japan		2,600		113,731
Oriental Land Co. Ltd.		3,800		651,269
ORIX Corp.		103,500		1,716,112
Osaka Gas Co. Ltd.		152,000		638,676
Otsuka Corp.		4,500		218,225
Otsuka Holdings Co. Ltd.		30,800		955,111
Panasonic Corp.		175,600		2,128,631
Park24 Co. Ltd.		7,000		127,311
Rakuten, Inc.		62,700		810,654
Resona Holdings, Inc.		169,756		989,225
Ricoh Co. Ltd.		55,800		665,060
Rinnai Corp.		2,900		279,966
Rohm Co. Ltd.		7,600		435,897
Sankyo Co. Ltd.		3,400		130,788
Sanrio Co. Ltd. (b)		4,100		119,136
Santen Pharmaceutical Co. Ltd.		6,000		338,010
SBI Holdings, Inc.		16,140		197,805
Secom Co. Ltd.		16,700		1,019,459
Sega Sammy Holdings, Inc.		14,432		284,203
Seiko Epson Corp.		9,800		416,933
Sekisui Chemical Co. Ltd.		35,000		405,776
Sekisui House Ltd.		44,100		605,161
Seven & I Holdings Co. Ltd.		59,800		2,520,558
Seven Bank Ltd.		49,100		200,778
Sharp Corp. (a)		113,000		362,810
Shikoku Electric Power Co., Inc. (a)		14,500		202,186
Shimadzu Corp.		21,000		192,681
Shimamura Co. Ltd.		1,600		157,494
Shimano, Inc.		6,100		676,892
Shimizu Corp.		48,000		340,156
Shin-Etsu Chemical Co. Ltd.		32,300		1,964,105
Shinsei Bank Ltd.		127,000		286,050
Shionogi & Co. Ltd.		22,600		472,037
Shiseido Co. Ltd.		27,000		492,453
The Shizuoka Bank Ltd.		41,000		443,502
Showa Shell Sekiyu KK		13,200		150,044
SMC Corp.		4,400		1,179,031
Softbank Corp.		75,700		5,641,387
Sony Corp.		82,100		1,371,932
Sony Financial Holdings, Inc.		14,800		252,667
Stanley Electric Co. Ltd.		11,400		297,430
Sumitomo Chemical Co. Ltd.		115,000		434,722
Sumitomo Corp.		88,100		1,188,746
Sumitomo Dainippon Pharma Co. Ltd.		13,000		149,611
Sumitomo Electric Industries Ltd.		60,500		851,686
Sumitomo Heavy Industries Ltd.		46,000		218,958
Sumitomo Metal Mining Co. Ltd.		41,000		669,200
Sumitomo Mitsui Financial Group, Inc.		100,350		4,210,374

Common Stocks	Shares		Value
Japan (concluded)
Sumitomo Mitsui Trust Holdings, Inc.		260,820	$	1,192,076
Sumitomo Realty & Development Co. Ltd.		28,000		1,202,783
Sumitomo Rubber Industries Ltd.		14,600		211,021
Suntory Beverage & Food Ltd.		10,800		423,327
Suruga Bank Ltd.		16,000		310,785
Suzuken Co. Ltd.		6,100		227,231
Suzuki Motor Corp.		29,300		919,187
Sysmex Corp.		11,400		428,655
T&D Holdings, Inc.		46,900		637,913
Taiheiyo Cement Corp.		92,000		370,947
Taisei Corp.		83,000		459,999
Taisho Pharmaceutical Holdings Co. Ltd.		2,400		175,068
Taiyo Nippon Sanso Corp.		18,000		159,460
Takashimaya Co. Ltd.		19,000		184,538
Takeda Pharmaceutical Co. Ltd.		62,300		2,891,514
TDK Corp.		9,100		427,251
Teijin Ltd.		78,000		195,762
Terumo Corp.		22,800		510,785
THK Co. Ltd.		8,200		193,319
Tobu Railway Co. Ltd.		80,000		418,960
Toho Co. Ltd.		9,800		229,839
Toho Gas Co. Ltd.		30,000		164,769
Tohoku Electric Power Co., Inc.		35,400		414,292
Tokio Marine Holdings, Inc.		54,700		1,800,381
The Tokyo Electric Power Co., Inc. (a)		113,000		469,695
Tokyo Electron Ltd.		13,800		940,530
Tokyo Gas Co. Ltd.		189,000		1,104,007
Tokyo Tatemono Co. Ltd.		33,000		305,658
Tokyu Corp.		87,000		617,081
Tokyu Fudosan Holdings Corp.		38,000		299,935
TonenGeneral Sekiyu KK		23,000		218,446
Toppan Printing Co. Ltd.		44,000		340,220
Toray Industries, Inc.		117,700		774,470
Toshiba Corp.		323,000		1,509,842
Toto Ltd.		20,000		269,721
Toyo Seikan Kaisha Ltd.		12,600		193,701
Toyo Suisan Kaisha Ltd.		6,000		184,948
Toyoda Gosei Co. Ltd.		4,900		101,857
Toyota Industries Corp.		12,400		640,712
Toyota Motor Corp.		217,500		13,022,293
Toyota Tsusho Corp.		16,400		471,934
Trend Micro, Inc.		8,800		289,976
Unicharm Corp.		9,800		584,289
United Urban Investment Corp.		188		303,514
USS Co. Ltd.		18,600		317,470
West Japan Railway Co.		12,600		555,036
Yahoo! Japan Corp.		117,400		542,148
Yakult Honsha Co. Ltd.		6,700		339,346
Yamada Denki Co. Ltd.		63,600		226,718
Yamaguchi Financial Group, Inc.		18,000		189,828
Yamaha Corp.		13,400		211,862
Yamaha Motor Co. Ltd.		19,600		337,520
Yamato Holdings Co. Ltd.		28,700		594,924
Yamato Kogyo Co. Ltd.		2,900		85,132
Yamazaki Baking Co. Ltd.		8,000		99,923
Yaskawa Electric Corp.		18,000		218,204
Yokogawa Electric Corp.		16,800		212,786
The Yokohama Rubber Co. Ltd.		19,000		164,476
				219,022,743
Luxembourg – 0.1%
Altice SA (a)		4,811		335,183
RTL Group SA		3,164		351,190
				686,373
Netherlands – 4.5%
Aegon NV		142,820		1,245,883
Akzo Nobel NV		19,220		1,441,101

See Notes to Financial Statements.
56	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

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

Common Stocks	Shares		Value
Netherlands (concluded)
ASML Holding NV		28,204	$	2,630,343
CNH Industrial NV		75,095		770,542
Corio NV		5,756		293,782
Delta Lloyd NV		15,222		386,479
Fugro NV CVA		5,622		321,488
Gemalto NV (b)		6,342		658,332
Heineken Holding NV		7,610		500,092
Heineken NV		17,995		1,291,664
ING Groep NV CVA (a)		302,971		4,251,436
Koninklijke Ahold NV		72,516		1,359,754
Koninklijke Boskalis Westminster NV		6,140		352,113
Koninklijke DSM NV		13,871		1,009,425
Koninklijke KPN NV (a)		256,830		936,419
Koninklijke Philips Electronics NV		74,995		2,380,213
Koninklijke Vopak NV		5,570		271,960
OCI NV (a)		6,125		239,045
QIAGEN NV (a)		18,191		439,952
Randstad Holding NV		9,574		518,998
Reed Elsevier NV		54,269		1,246,192
Royal Dutch Shell PLC, A Shares		307,466		12,705,337
Royal Dutch Shell PLC, B Shares		192,830		8,380,407
TNT Express NV		33,068		299,177
Unilever NV CVA		128,502		5,624,925
Wolters Kluwer NV		24,340		720,986
Ziggo NV		11,447		529,384
				50,805,429
New Zealand – 0.1%
Auckland International Airport Ltd.		74,005		252,677
Contact Energy Ltd.		25,128		116,708
Fletcher Building Ltd.		51,612		397,874
Ryman Healthcare Ltd.		29,262		219,057
Telecom Corp. of New Zealand Ltd.		151,215		354,822
Xero Ltd. (a)		5,032		114,392
				1,455,530
Norway – 0.8%
Aker Solutions ASA		12,065		209,401
DnB NOR ASA		77,165		1,409,904
Gjensidige Forsikring ASA		14,922		267,600
Norsk Hydro ASA		104,548		559,812
Orkla ASA		64,395		573,048
Seadrill Ltd.		29,851		1,183,013
Statoil ASA		87,523		2,690,357
Subsea 7 SA		22,243		414,598
Telenor ASA		59,847		1,362,623
Yara International ASA		13,967		699,733
				9,370,089
Portugal – 0.2%
Banco Espirito Santo SA, Registered Shares (a)		196,340		161,538
EDP – Energias de Portugal SA		182,848		917,460
Galp Energia SGPS SA		30,463		558,375
Jeronimo Martins SGPS SA		18,634		306,371
				1,943,744
Singapore – 1.4%
Ascendas Real Estate Investment Trust		159,962		295,596
CapitaCommercial Trust		147,000		200,776
CapitaLand Ltd.		195,749		502,693
CapitaMall Trust		190,700		302,272
City Developments Ltd.		34,535		283,720
ComfortDelGro Corp. Ltd.		158,816		318,482
DBS Group Holdings Ltd.		134,407		1,807,732
Genting Singapore PLC		502,227		536,214
Global Logistic Properties Ltd.		233,000		504,967
Golden Agri-Resources Ltd.		599,251		267,259
Hutchison Port Holdings Trust		447,000		321,918

Common Stocks	Shares		Value
Singapore (concluded)
Jardine Cycle & Carriage Ltd.		9,721	$	345,484
Keppel Corp. Ltd.		116,577		1,009,145
Keppel Land Ltd.		59,000		160,039
Noble Group Ltd.		331,840		365,254
Oversea-Chinese Banking Corp. Ltd.		203,914		1,564,045
SembCorp Industries Ltd.		72,590		312,795
SembCorp Marine Ltd.		72,197		237,549
Singapore Airlines Ltd.		43,009		357,920
Singapore Exchange Ltd.		59,000		329,083
Singapore Press Holdings Ltd. (b)		99,985		334,347
Singapore Technologies Engineering Ltd.		119,213		363,673
Singapore Telecommunications Ltd.		631,132		1,950,635
StarHub Ltd.		44,157		147,793
United Overseas Bank Ltd.		101,147		1,829,014
UOL Group Ltd.		33,499		175,348
Wilmar International Ltd.		145,670		372,894
Yangzijiang Shipbuilding Holdings Ltd.		135,183		117,114
				15,313,761
Spain – 3.5%
Abertis Infraestructuras SA		30,877		710,365
ACS Actividades de Construccion y Servicios SA		14,218		650,761
Amadeus IT Holding SA, Class A		29,629		1,221,405
Banco Bilbao Vizcaya Argentaria SA		465,368		5,931,308
Banco de Sabadell SA		264,616		903,198
Banco Popular Espanol SA		138,196		923,200
Banco Santander SA		931,333		9,731,736
Bankia SA (a)		363,812		705,311
CaixaBank SA		139,964		863,448
Distribuidora Internacional de Alimentacion SA		48,882		449,921
Enagas SA		13,781		443,595
Ferrovial SA		32,559		725,445
Gas Natural SDG SA		27,922		882,146
Grifols SA		11,964		653,712
Iberdrola SA		402,278		3,077,239
Inditex SA		17,124		2,635,467
International Consolidated Airlines Group SA (a)		83,203		527,967
Mapfre SA		72,151		287,485
Red Electrica Corp. SA		7,322		669,320
Repsol SA		67,316		1,774,900
Telefonica SA		323,107		5,547,051
Zardoya Otis SA		14,019		249,615
				39,564,595
Sweden – 2.9%
Alfa Laval AB		25,343		652,583
Assa Abloy AB, Class B		26,254		1,335,433
Atlas Copco AB, Class A		52,879		1,526,677
Atlas Copco AB, Class B		30,955		826,047
Boliden AB		20,325		294,869
Electrolux AB, Class B		18,628		470,109
Elekta AB, B Shares		30,251		384,215
Getinge AB, Class B		15,355		402,077
Hennes & Mauritz AB, Class B		75,044		3,276,408
Hexagon AB, Class B		20,097		647,503
Husqvarna AB, Class B		29,922		232,542
Industrivarden AB, Class C		10,166		200,680
Investment AB Kinnevik, Class B		18,172		774,280
Investor AB, Class B		35,948		1,347,014
Lundin Petroleum AB (a)		17,569		355,119
Millicom International Cellular SA		4,973		455,219
Nordea Bank AB		239,632		3,378,317
Sandvik AB		84,190		1,149,797
Securitas AB, Class B		25,946		307,648
Skandinaviska Enskilda Banken AB, Class A		119,262		1,591,879
Skanska AB, Class B		30,660		699,914
SKF AB, Class B		31,977		815,338

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	57

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

Common Stocks	Shares		Value
Sweden (concluded)
Svenska Cellulosa AB, B Shares		46,247	$	1,204,451
Svenska Handelsbanken AB, Class A		39,043		1,909,185
Swedbank AB, Class A		70,879		1,877,380
Swedish Match AB		15,851		550,386
Tele2 AB, Class B		25,133		295,778
Telefonaktiebolaget LM Ericsson, Class B		240,679		2,907,582
TeliaSonera AB		187,577		1,369,683
Volvo AB, Class B		121,873		1,677,779
				32,915,892
Switzerland – 9.2%
ABB Ltd., Registered Shares		173,477		3,991,764
Actelion Ltd., Registered Shares (a)		8,135		1,029,644
Adecco SA, Registered Shares (a)		13,445		1,106,442
Aryzta AG (a)		7,044		667,096
Baloise Holding AG, Registered Shares		3,672		432,367
Barry Callebaut AG, Registered Shares (a)		174		236,334
Cie Financiere Richemont SA, Registered Shares		41,179		4,315,115
Coca-Cola HBC AG (a)		1,391		31,932
Coca-Cola HBC AG – ADR		13,591		309,195
Credit Suisse Group AG, Registered Shares		119,624		3,402,042
EMS-Chemie Holding AG, Registered Shares		601		239,826
Geberit AG, Registered Shares		2,960		1,038,349
Givaudan SA, Registered Shares (a)		729		1,214,460
Glencore PLC (a)		837,999		4,669,929
Holcim Ltd., Registered Shares (a)		18,280		1,605,667
Julius Baer Group Ltd.		17,970		740,351
Kuehne & Nagel International AG, Registered Shares		4,407		585,998
Lindt & Spruengli AG		73		371,586
Lindt & Spruengli AG, Registered Shares		8		494,181
Lonza Group AG, Registered Shares (a)		4,268		464,138
Nestle SA, Registered Shares		254,357		19,709,337
Novartis AG, Registered Shares		181,436		16,430,545
Pargesa Holding SA, Bearer Shares		2,489		223,406
Partners Group Holding AG		1,370		374,277
Roche Holding AG		55,415		16,511,276
Schindler Holding AG, Participation Certificates		3,711		563,684
Schindler Holding AG, Registered Shares		1,781		268,358
SGS SA, Registered Shares		431		1,031,350
Sika AG – Bearer Shares		164		670,039
Sonova Holding AG, Registered Shares		4,244		647,051
STMicroelectronics NV		49,663		444,933
Sulzer AG, Registered Shares		1,996		279,702
The Swatch Group AG, Bearer Shares		2,431		1,465,813
The Swatch Group AG, Registered Shares		3,921		434,999
Swiss Life Holding AG, Registered Shares (a)		2,592		614,412
Swiss Prime Site AG, Registered Shares		4,544		376,388
Swiss Re AG (a)		27,587		2,452,957
Swisscom AG, Registered Shares		1,854		1,076,945
Syngenta AG, Registered Shares		7,388		2,729,491
Transocean Ltd.		28,282		1,270,659
UBS AG, Registered Shares (a)		287,951		5,279,437
Zurich Insurance Group AG (a)		11,750		3,538,936
				103,340,411
United Kingdom – 18.0%
3i Group PLC		75,144		516,427
Aberdeen Asset Management PLC		73,333		569,123
Admiral Group PLC		14,967		396,576
Aggreko PLC		20,755		585,979
AMEC PLC		24,232		503,174
Anglo American PLC		109,405		2,681,337
Antofagasta PLC		30,354		396,543
ARM Holdings PLC		111,689		1,679,453
ASOS PLC (a)		4,098		207,539
Associated British Foods PLC		28,072		1,464,025
AstraZeneca PLC		99,467		7,400,109

Common Stocks	Shares		Value
United Kingdom (continued)
Aviva PLC		232,535	$	2,028,816
Babcock International Group PLC		39,621		787,543
BAE Systems PLC		253,221		1,875,539
Barclays PLC		1,289,850		4,698,635
BG Group PLC		268,951		5,675,231
BHP Billiton PLC		166,610		5,416,324
BP PLC		1,456,658		12,827,209
British American Tobacco PLC		148,812		8,854,648
British Land Co. PLC		75,627		908,705
British Sky Broadcasting Group PLC		81,145		1,255,399
BT Group PLC		624,064		4,100,761
Bunzl PLC		25,854		717,745
Burberry Group PLC		35,501		901,052
Capita PLC		52,351		1,025,623
Capital Shopping Centres Group PLC		71,868		383,350
Carnival PLC		14,856		560,384
Centrica PLC		402,937		2,153,144
Cobham PLC		91,467		488,673
Compass Group PLC		139,958		2,433,370
Croda International PLC		10,271		386,817
Diageo PLC		198,099		6,309,269
Direct Line Insurance Group PLC		118,529		546,994
easyJet PLC		13,133		306,691
Fresnillo PLC		17,890		268,843
Friends Life Group Ltd.		109,434		590,092
G4S PLC		121,071		528,574
GKN PLC		130,846		812,289
GlaxoSmithKline PLC		383,253		10,204,180
Hammerson PLC		54,580		541,585
Hargreaves Lansdown PLC		18,750		396,964
HSBC Holdings PLC		1,485,392		15,069,409
ICAP PLC		45,521		295,747
IMI PLC		22,068		561,131
Imperial Tobacco Group PLC		75,951		3,416,886
Inmarsat PLC		34,560		441,731
InterContinental Hotels Group PLC		20,627		853,366
Intertek Group PLC		12,965		609,582
Investec PLC		44,955		414,179
ITV PLC		304,483		927,897
J. Sainsbury PLC		99,946		539,504
Johnson Matthey PLC		16,265		862,459
Kingfisher PLC		190,060		1,166,759
Land Securities Group PLC		61,827		1,095,542
Legal & General Group PLC		462,659		1,782,391
Lloyds Banking Group PLC (a)		4,503,969		5,724,869
London Stock Exchange Group PLC		13,586		466,443
Marks & Spencer Group PLC		129,160		939,549
Meggitt PLC		63,165		546,886
Melrose Industries PLC		80,560		358,484
National Grid PLC		294,280		4,236,691
Next PLC		12,234		1,354,342
Old Mutual PLC		387,242		1,308,671
Pearson PLC		64,836		1,280,482
Persimmon PLC (a)		23,691		515,982
Petrofac Ltd.		21,409		440,379
Prudential PLC		201,998		4,628,067
Randgold Resources Ltd.		7,190		605,454
Reckitt Benckiser Group PLC		51,128		4,458,114
Reed Elsevier PLC		91,451		1,469,608
Rexam PLC		54,000		494,255
Rio Tinto PLC		100,345		5,418,052
Rolls-Royce Holdings PLC (a)		148,358		2,710,609
Royal Bank of Scotland Group PLC (a)		195,908		1,101,045
Royal Mail PLC (a)		49,125		419,229
RSA Insurance Group PLC		81,316		660,752
SABMiller PLC		76,021		4,405,795
The Sage Group PLC		83,955		551,415

See Notes to Financial Statements.
58	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

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

Common Stocks	Shares		Value
United Kingdom (concluded)
Schroders PLC		9,825	$	421,021
Segro PLC		58,006		342,429
Severn Trent PLC		19,498		644,560
Smith & Nephew PLC		70,092		1,240,487
Smiths Group PLC		31,406		695,950
Sports Direct International PLC (a)		21,241		256,675
SSE PLC		76,926		2,060,774
Standard Chartered PLC		191,493		3,914,132
Standard Life PLC		188,025		1,202,887
Tate & Lyle PLC		35,338		413,453
Tesco PLC		640,569		3,113,283
Travis Perkins PLC		20,035		561,087
Tui Travel PLC		41,965		285,675
Tullow Oil PLC		71,606		1,044,641
Unilever PLC		101,249		4,589,563
United Utilities Group PLC		54,497		822,367
Vodafone Group PLC		2,085,496		6,970,308
The Weir Group PLC		17,092		765,849
Whitbread PLC		14,426		1,088,305
William Hill PLC		67,289		377,797
WM Morrison Supermarkets PLC		168,238		527,638
Wolseley PLC		21,056		1,153,470
WPP PLC		106,278		2,315,997
				201,324,838
Total Common Stocks – 96.7%				1,081,561,453
Preferred Stocks
Germany – 0.0%
Fuchs Petrolub SE, Preference Shares		5,942		268,111
Total Preferred Stocks – 0.0%				268,111

Rights – 0.0%	Shares		Value
Hong Kong – 0.0%
HKT Trust and HKT Ltd. (a)		34,560	$	10,212
Spain – 0.0%
Repsol SA (a)		67,316		45,811
Total Rights – 0.0%				56,023
Total Long-Term Investments (Cost – $755,875,418) – 96.7%				1,081,885,587
Short-Term Securities
BlackRock Liquidity Funds, TempCash, Institutional Class, 0.05% (c)(d)		1,756,169		1,756,169
	Beneficial Interest (000)
BlackRock Liquidity Series, LLC, Money Market Series, 0.18% (c)(d)(e)	$	913		912,766
Total Short-Term Securities (Cost – $2,668,935) – 0.3%				2,668,935
Total Investments (Cost – $758,544,353*) – 97.0%				1,084,554,522
Other Assets Less Liabilities – 3.0%				33,556,336
Net Assets – 100.0%			$	1,118,110,858

Notes to Schedule of Investments

* As of June 30, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	803,668,301
Gross unrealized appreciation	$	344,982,994
Gross unrealized depreciation		(64,096,773	)
Net unrealized appreciation	$	280,886,221

(a) Non-income producing security.

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

(c) Investments in issuers considered to be an affiliate of the Series during the six months ended June 30, 2014, 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, 2013		Net Activity		Shares/Beneficial Interest Held at June 30, 2014		Income
BlackRock Liquidity Funds, TempCash, Institutional Class		587,542		1,168,627		1,756,169	$	411
BlackRock Liquidity Series, LLC, Money Market Series	$	528,856	$	383,910	$	912,766	$	26,054

(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	JUNE 30, 2014	59

Schedule of Investments (continued) Master International Index Series

• Financial futures contracts outstanding as of June 30, 2014 were as follows:

Contracts Purchased		Issue	Exchange	Expiration	Notional Value		Unrealized Depreciation
	196	Euro Stoxx 50 Index	Eurex Mercantile	September 2014	$	8,674,134	$	(83,712	)
	80	FTSE 100 Index	Euronext Liffe	September 2014	$	9,188,163		(12,485	)
	75	Nikkei 225 Index	Singapore Exchange	September 2014	$	5,604,363		(1,274	)
	29	SPI 200 Index	Australian Securities Exchange	September 2014	$	3,660,201		(9,167	)
	Total						$	(106,638	)

• Fair Value Measurements – Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 – unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Series has the ability to access

• Level 2 – other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

• Level 3 – unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Series’ own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Series’ policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Series’ policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements.

The following tables summarize the Series’ investments and derivative financial instruments categorized in the disclosure hierarchy as of June 30, 2014:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Common Stocks:
Australia	$	2,424,844	$	80,882,345	$	11	$	83,307,200
Austria		252,358		2,664,221		—		2,916,579
Belgium		—		13,097,827		—		13,097,827
Denmark		—		15,986,546		—		15,986,546
Finland		1,493,648		7,780,736		—		9,274,384
France		2,235,986		107,149,201		—		109,385,187
Germany		—		99,477,506		—		99,477,506
Hong Kong		1,722,500		28,985,000		—		30,707,500
Ireland		973,189		7,611,681		—		8,584,870
Israel		—		5,597,518		—		5,597,518
Italy		651,396		26,831,535		—		27,482,931
Japan		—		219,022,743		—		219,022,743
Luxembourg		335,183		351,190		—		686,373
Netherlands		—		50,805,429		—		50,805,429
New Zealand		354,822		1,100,708		—		1,455,530
Norway		967,333		8,402,756		—		9,370,089
Portugal		—		1,943,744		—		1,943,744
Singapore		—		15,313,761		—		15,313,761
Spain		—		39,564,595		—		39,564,595
Sweden		550,386		32,365,506		—		32,915,892
Switzerland		1,174,962		102,165,449		—		103,340,411
United Kingdom		3,196,633		198,128,205		—		201,324,838
Preferred Stocks		—		268,111		—		268,111
Rights		45,811		10,212		—		56,023
Short-Term Securities		1,756,169		912,766		—		2,668,935
Total	$	18,135,220	$	1,066,419,291	$	11	$	1,084,554,522

See Notes to Financial Statements.
60	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

Schedule of Investments (concluded) Master International Index Series

	Level 1			Level 2		Level 3		Total
Derivative Financial Instruments1
Liabilities:
Equity contracts	$	(106,638	)		—		—	$	(106,638	)

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

The Series may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of June 30, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	10,799		—			—	$	10,799
Cash pledged for financial futures contracts		1,376,000		—			—		1,376,000
Foreign currency at value		22,024,440							22,024,440
Liabilities:
Collateral on securities loaned at value		—	$	(912,766	)		—		(912,766	)
Total	$	23,411,239	$	(912,766	)		—	$	22,498,473

There were no transfers between levels during the six months ended June 30, 2014.

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	61

Schedule of Investments June 30, 2014 (Unaudited) Master Small Cap Index Series (Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Advertising Agencies – 0.4%
Constant Contact, Inc. (a)		13,311	$	427,416
Conversant, Inc. (a)		28,412		721,665
Harte-Hanks, Inc.		20,889		150,192
Marchex, Inc., Class B		14,098		169,458
Marin Software, Inc. (a)		11,270		132,648
Marketo, Inc. (a)		10,866		315,983
MDC Partners, Inc., Class A		18,072		388,367
National CineMedia, Inc.		26,083		456,713
QuinStreet, Inc. (a)		14,582		80,347
ReachLocal, Inc. (a)		5,647		39,699
Sizmek, Inc. (a)		9,542		90,935
Viad Corp.		8,869		211,437
				3,184,860
Aerospace – 1.5%
AAR Corp.		16,811		463,311
Aerovironment, Inc. (a)		8,084		257,071
Astronics Corp. (a)		6,638		374,715
Cubic Corp.		8,740		389,017
Curtiss-Wright Corp.		20,416		1,338,473
Ducommun, Inc. (a)		4,611		120,485
Erickson Air-Crane, Inc. (a)(b)		2,434		39,553
Esterline Technologies Corp. (a)		13,479		1,551,703
GenCorp, Inc. (a)		25,389		484,930
HEICO Corp.		28,181		1,463,721
Kaman Corp.		11,590		495,241
Kratos Defense & Security Solutions, Inc. (a)		18,898		147,404
LMI Aerospace, Inc. (a)		4,557		59,606
Moog, Inc., Class A (a)		18,842		1,373,393
Orbital Sciences Corp. (a)		25,707		759,642
SIFCO Industries, Inc.		989		30,857
Teledyne Technologies, Inc. (a)		15,924		1,547,335
				10,896,457
Agriculture, Fishing & Ranching – 0.4%
Alico, Inc.		1,242		46,563
The Andersons, Inc.		11,943		616,020
Cal-Maine Foods, Inc.		6,561		487,614
Calavo Growers, Inc.		5,675		191,985
Fresh Del Monte Produce, Inc.		15,216		466,370
Limoneira Co.		4,764		104,665
Sanderson Farms, Inc.		9,767		949,353
Seaboard Corp. (a)		120		362,432
				3,225,002
Air Transport – 0.7%
Air Transport Services Group, Inc. (a)		22,221		185,990
Allegiant Travel Co.		5,844		688,248
Atlas Air Worldwide Holdings, Inc. (a)		10,731		395,437
Bristow Group, Inc.		15,047		1,213,089
Era Group, Inc. (a)		8,623		247,308
Hawaiian Holdings, Inc. (a)		19,132		262,300
JetBlue Airways Corp. (a)		105,440		1,144,024
PHI, Inc. (a)		5,314		236,845
Republic Airways Holdings, Inc. (a)		21,217		229,992
SkyWest, Inc.		21,736		265,614
				4,868,847
Alternative Energy – 0.2%
Ameresco, Inc., Class A (a)		8,485		59,649
Amyris, Inc. (a)(b)		11,591		43,234
EnerNOC, Inc. (a)		11,463		217,224
Green Plains Renewable Energy, Inc.		15,840		520,661
REX American Resources Corp. (a)		2,655		194,638
Solazyme, Inc. (a)(b)		32,311		380,624
				1,416,030

Common Stocks	Shares		Value
Aluminum – 0.1%
Century Aluminum Co. (a)		21,772	$	341,385
Kaiser Aluminum Corp.		7,604		554,103
Noranda Aluminum Holding Corp.		18,735		66,135
				961,623
Asset Management & Custodian – 0.6%
Arlington Asset Investment Corp.		8,027		219,378
Calamos Asset Management, Inc., Class A		7,239		96,930
CIFC Corp.		2,412		21,732
Cohen & Steers, Inc.		8,216		356,410
Cowen Group, Inc., Class A (a)		48,838		206,096
Diamond Hill Investment Group, Inc.		1,192		152,242
Financial Engines, Inc.		21,820		988,010
GAMCO Investors, Inc., Class A		2,715		225,481
KCG Holdings, Inc., Class A (a)		22,433		266,504
Manning & Napier, Inc.		5,755		99,331
Oppenheimer Holdings, Inc., Class A		4,296		103,061
Pzena Investment Management, Inc., Class A		4,759		53,110
RCS Capital Corp., Class A		1,803		38,278
Resource America, Inc., Class A		5,735		53,622
Silvercrest Asset Management Group, Inc., Class A		2,420		41,648
Virtus Investment Partners, Inc. (a)		2,998		634,827
Westwood Holdings Group, Inc.		3,088		185,404
WisdomTree Investments, Inc. (a)		45,775		565,779
				4,307,843
Auto Parts – 1.0%
American Axle & Manufacturing Holdings, Inc. (a)		28,709		542,313
Dana Holding Corp.		66,441		1,622,489
Dorman Products, Inc. (a)		11,438		564,122
Federal-Mogul Corp. (a)		12,188		246,563
Fox Factory Holding Corp. (a)		4,761		83,746
Fuel Systems Solutions, Inc. (a)		6,093		67,876
Gentherm, Inc. (a)		14,932		663,728
Meritor, Inc. (a)		41,497		541,121
Remy International, Inc.		6,036		140,941
Standard Motor Products, Inc.		8,393		374,915
Stoneridge, Inc. (a)		12,178		130,548
Superior Industries International, Inc.		9,957		205,313
Tenneco, Inc. (a)		25,791		1,694,469
Tower International, Inc. (a)		8,707		320,766
				7,198,910
Auto Services – 0.1%
Cooper Tire & Rubber Co.		26,963		808,890
Back Office Support, HR & Consulting – 1.8%
The Advisory Board Co. (a)		15,599		808,028
Angie’s List, Inc. (a)		18,559		221,594
Arrowhead Research Corp. (a)		21,967		314,348
Barrett Business Services, Inc.		3,033		142,551
CBIZ, Inc. (a)		17,612		159,036
CDI Corp.		5,959		85,869
Convergys Corp.		43,319		928,759
The Corporate Executive Board Co.		14,415		983,391
Corporate Resource Services, Inc. (a)		6,542		19,495
CRA International, Inc. (a)		4,401		101,443
Dice Holdings, Inc. (a)		16,926		128,807
ExlService Holdings, Inc. (a)		14,028		413,125
Forrester Research, Inc.		4,796		181,673
FTI Consulting, Inc. (a)		17,416		658,673
GP Strategies Corp. (a)		6,359		164,571
The Hackett Group, Inc.		11,412		68,130
Heidrick & Struggles International, Inc.		7,683		142,136
Huron Consulting Group, Inc. (a)		10,033		710,537
ICF International, Inc. (a)		8,576		303,247
Insperity, Inc.		9,608		317,064
Kelly Services, Inc., Class A		11,572		198,691

See Notes to Financial Statements.
62	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

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 (concluded)
Kforce, Inc.		11,576		$	250,620
Korn/Ferry International (a)		21,087			619,325
Liquidity Services, Inc. (a)		11,313			178,293
MAXIMUS, Inc.		28,823			1,239,966
Monster Worldwide, Inc. (a)		38,748			253,412
Navigant Consulting, Inc. (a)		21,121			368,561
On Assignment, Inc. (a)		23,024			818,964
Paylocity Holding Corp. (a)		3,595			77,760
PRGX Global, Inc. (a)		12,925			82,591
Resources Connection, Inc.		16,921			221,834
RPX Corp. (a)		22,782			404,381
ServiceSource International, Inc. (a)		29,605			171,709
Sykes Enterprises, Inc. (a)		16,934			367,976
TeleTech Holdings, Inc. (a)		7,658			222,005
TriNet Group, Inc. (a)		6,759			162,689
TrueBlue, Inc. (a)		17,556			484,019
WageWorks, Inc. (a)		14,877			717,220
					13,692,493
Banks: Diversified – 7.3%
1st Source Corp.		6,362			194,804
1st United Bancorp, Inc.		12,627			108,845
Ambac Financial Group, Inc. (a)		19,197			524,270
American National Bankshares, Inc.		3,346			72,709
Ameris Bancorp (a)		10,676			230,175
Ames National Corp.		3,531			81,707
Arrow Financial Corp.		4,538			117,716
Bancfirst Corp.		2,994			185,329
Banco Latinoamericano de Comercio Exterior SA		12,528			371,706
The Bancorp, Inc. (a)		14,098			167,907
BancorpSouth, Inc.		40,779			1,001,940
The Bank of Kentucky Financial Corp.		2,598			90,384
Bank of Marin Bancorp		2,492			113,610
Bank of the Ozarks, Inc.		33,745			1,128,770
Banner Corp.		8,299			328,889
BBCN Bancorp, Inc.		33,744			538,217
BBX Capital Corp. (a)		3,643			65,574
BNC Bancorp		8,299			141,664
Boston Private Financial Holdings, Inc.		33,899			455,603
Bridge Bancorp, Inc.		4,913			117,863
Bridge Capital Holdings (a)		4,123			99,818
Bryn Mawr Bank Corp.		5,804			169,012
Camden National Corp.		3,157			122,365
Capital City Bank Group, Inc.		4,534			65,879
Capitol Federal Financial, Inc.		60,622			737,164
Cardinal Financial Corp.		13,615			251,333
Cascade Bancorp (a)		13,134			68,428
Cathay General Bancorp		33,774			863,263
Centerstate Banks, Inc.		15,168			169,882
Central Pacific Financial Corp.		7,281			144,528
Century Bancorp, Inc., Class A		1,441			50,925
Charter Financial Corp.		9,379			104,107
Chemical Financial Corp.		12,671			355,802
Citizens & Northern Corp.		5,290			103,102
City Holding Co.		6,667			300,815
CNB Financial Corp.		6,189			103,975
CoBiz Financial, Inc.		15,314			164,932
Columbia Banking System, Inc.		22,307			586,897
Community Bank System, Inc.		17,223			623,473
Community Trust Bancorp, Inc.		6,633			226,981
CommunityOne Bancorp (a)		4,620			44,814
ConnectOne Bancorp, Inc.		4,949			95,169
CU Bancorp (a)		4,208			80,247
Customers Bancorp, Inc. (a)		10,847			217,040
CVB Financial Corp.		44,960			720,709
Eagle Bancorp, Inc. (a)		9,656	��		325,890
Enterprise Bancorp, Inc.		3,122			64,407

Common Stocks	Shares		Value
Banks: Diversified (continued)
Enterprise Financial Services Corp.		8,388	$	151,487
EverBank Financial Corp.		38,562		777,410
Fidelity Southern Corp.		7,130		92,619
Financial Institutions, Inc.		5,872		137,522
First Bancorp, Inc.		4,038		70,503
First Bancorp, North Carolina		8,401		154,158
First Bancorp, Puerto Rico (a)		44,684		243,081
First Busey Corp.		30,809		179,000
First Business Financial Services, Inc.		1,599		75,201
First Citizens BancShares, Inc., Class A		3,199		783,755
First Commonwealth Financial Corp.		40,025		369,030
First Community Bancshares, Inc.		6,988		100,138
First Connecticut Bancorp, Inc.		6,783		108,867
First Financial Bancorp		24,444		420,681
First Financial Bankshares, Inc.		27,190		852,950
First Financial Corp.		4,851		156,154
First Interstate Bancsystem, Inc.		7,638		207,601
First Merchants Corp.		15,291		323,252
First Midwest Bancorp, Inc.		31,965		544,364
First NBC Bank Holding Co. (a)		6,352		212,856
The First of Long Island Corp.		3,395		132,677
FirstMerit Corp.		70,184		1,386,134
Flagstar Bancorp, Inc. (a)		8,573		155,171
FNB Corp.		70,647		905,695
German American Bancorp, Inc.		5,665		153,408
Glacier Bancorp, Inc.		31,583		896,326
Guaranty Bancorp		6,198		86,152
Hampton Roads Bankshares, Inc. (a)		14,153		24,485
Hancock Holding Co.		34,874		1,231,750
Hanmi Financial Corp.		13,453		283,589
Heartland Financial USA, Inc.		6,630		163,960
Heritage Commerce Corp.		8,939		73,032
Heritage Oaks Bancorp (a)		9,568		73,004
Home BancShares, Inc.		22,937		752,792
Horizon Bancorp		3,926		85,744
Hudson Valley Holding Corp.		6,337		114,383
Iberiabank Corp.		13,298		920,089
Independent Bank Corp./MA		10,130		388,789
Independent Bank Corp./MI		8,253		106,216
Independent Bank Group, Inc.		3,851		214,385
International Bancshares Corp.		23,097		623,619
Janus Capital Group, Inc.		63,462		792,006
Lakeland Bancorp, Inc.		16,234		175,325
Lakeland Financial Corp.		6,997		267,006
Macatawa Bank Corp.		11,349		57,539
MainSource Financial Group, Inc.		8,697		150,023
MB Financial, Inc.		23,403		633,051
Mercantile Bank Corp.		7,057		161,464
Merchants Bancshares, Inc.		2,177		69,620
Meridian Interstate Bancorp, Inc. (a)		3,497		89,803
Metro Bancorp, Inc. (a)		6,060		140,107
MidSouth Bancorp, Inc.		3,630		72,201
NASB Financial, Inc.		1,585		37,485
National Bank Holdings Corp., Class A		17,397		346,896
National Bankshares, Inc.		2,975		91,898
National Penn Bancshares, Inc.		49,828		527,180
NBT Bancorp, Inc.		18,507		444,538
NewBridge Bancorp (a)		14,135		113,928
Northrim BanCorp, Inc.		2,851		72,900
OFG Bancorp		19,215		353,748
Old Line Bancshares, Inc.		3,195		50,353
Old National Bancorp		44,962		642,057
Opus Bank (a)		1,996		58,004
Pacific Continental Corp.		7,681		105,460
Pacific Premier Bancorp, Inc. (a)		7,279		102,561
Palmetto Bancshares, Inc. (a)		1,830		26,334
Park National Corp.		5,401		416,957

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	63

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

Common Stocks	Shares		Value
Banks: Diversified (concluded)
Park Sterling Corp.		19,121	$	126,007
Peapack Gladstone Financial Corp.		5,131		108,829
Penns Woods Bancorp, Inc.		2,018		95,048
Peoples Bancorp, Inc.		4,616		122,093
Peoples Financial Services Corp.		3,085		158,538
Pinnacle Financial Partners, Inc.		15,080		595,358
Preferred Bank (a)		4,920		116,309
PrivateBancorp, Inc.		30,389		883,104
Prosperity Bancshares, Inc.		29,565		1,850,769
Provident Financial Services, Inc.		25,528		442,145
Renasant Corp.		13,332		387,561
Republic Bancorp, Inc., Class A		4,218		100,051
Republic First Bancorp, Inc. (a)		12,795		64,487
S&T Bancorp, Inc.		12,614		313,458
Sandy Spring Bancorp, Inc.		10,641		265,067
Seacoast Banking Corp. of Florida (a)		8,112		88,177
ServisFirst Bancshares, Inc. (a)		244		21,089
Sierra Bancorp		5,212		82,350
Simmons First National Corp., Class A		6,897		271,673
South State Corp.		10,211		622,871
Southside Bancshares, Inc. (b)		7,987		231,304
Southwest Bancorp, Inc.		8,433		143,867
Square 1 Financial, Inc. (a)		2,366		44,978
State Bank Financial Corp.		13,649		230,805
Stock Yards Bancorp, Inc.		6,241		186,606
Stonegate Bank		4,000		100,800
Suffolk Bancorp (a)		4,937		110,144
Sun Bancorp, Inc. (a)		18,214		73,038
Susquehanna Bancshares, Inc.		79,742		842,076
Talmer Bancorp, Inc., Class A (a)		7,692		106,073
Taylor Capital Group, Inc. (a)		7,443		159,131
Texas Capital Bancshares, Inc. (a)		18,270		985,666
Tompkins Financial Corp.		6,273		302,233
TowneBank		12,434		195,338
Trico Bancshares		6,877		159,134
Tristate Capital Holdings, Inc. (a)		9,023		127,495
TrustCo Bank Corp. NY		40,346		269,511
Trustmark Corp.		28,653		707,443
UMB Financial Corp.		16,013		1,015,064
Umpqua Holdings Corp.		70,664		1,266,299
Union Bankshares Corp.		19,621		503,279
United Bankshares, Inc.		29,264		946,105
United Community Banks, Inc.		21,215		347,290
United Community Financial Corp. (a)		21,451		88,593
Univest Corp. of Pennsylvania		6,873		142,271
Valley National Bancorp		85,094		843,282
VantageSouth Bancshares, Inc. (a)(b)		8,534		50,777
Washington Trust Bancorp, Inc.		6,217		228,599
Webster Financial Corp.		38,266		1,206,910
WesBanco, Inc.		11,128		345,413
West BanCorp., Inc.		6,627		100,929
Westamerica BanCorp		11,168		583,863
Western Alliance Bancorp (a)		31,999		761,576
Wilshire Bancorp, Inc.		29,883		306,898
Wintrust Financial Corp.		19,736		907,856
Yadkin Financial Corp. (a)		5,824		109,724
				55,074,466
Banks: Savings, Thrift & Mortgage Lending – 1.4%
Apollo Residential Mortgage, Inc.		13,427		224,500
Astoria Financial Corp.		36,745		494,220
Banc of California, Inc.		12,688		138,299
Bank Mutual Corp.		19,996		115,977
BankFinancial Corp.		7,945		88,666
Beneficial Mutual Bancorp, Inc. (a)		12,379		167,859
Berkshire Hills Bancorp, Inc.		10,665		247,641
BofI Holding, Inc. (a)		6,019		442,216

Common Stocks	Shares		Value
Banks: Savings, Thrift & Mortgage Lending (concluded)
Brookline Bancorp, Inc.		29,968	$	280,800
Clifton Bancorp, Inc.		10,872		137,748
Dime Community Bancshares, Inc.		13,908		219,607
ESB Financial Corp.		5,515		71,364
First Defiance Financial Corp.		4,072		116,866
First Financial Northwest, Inc.		6,168		67,046
Flushing Financial Corp.		12,795		262,937
Fox Chase Bancorp, Inc.		5,072		85,514
Franklin Financial Corp. (a)		4,014		87,104
Great Southern Bancorp, Inc.		4,395		140,860
Heritage Financial Corp.		12,754		205,212
Home Loan Servicing Solutions Ltd.		29,964		681,082
HomeStreet, Inc.		6,261		115,015
Investors Bancorp, Inc.		151,825		1,677,666
Kearny Financial Corp. (a)		5,918		89,599
Ladder Capital Corp., Class A (a)		6,547		118,304
Northfield Bancorp, Inc.		22,489		294,831
Northwest Bancshares, Inc.		39,932		541,877
OceanFirst Financial Corp.		5,667		93,846
OmniAmerican Bancorp, Inc.		4,866		121,650
Oritani Financial Corp.		19,321		297,350
Sterling Bancorp		35,554		426,648
Territorial Bancorp, Inc.		3,664		76,504
United Financial Bancorp, Inc.		22,365		303,046
ViewPoint Financial Group, Inc.		16,908		454,994
Washington Federal, Inc.		42,955		963,481
Waterstone Financial, Inc.		14,632		166,951
WSFS Financial Corp.		3,750		276,263
				10,293,543
Beverage: Brewers & Distillers – 0.1%
The Boston Beer Co., Inc., Class A (a)		3,524		787,684
Craft Brew Alliance, Inc. (a)		4,610		50,987
				838,671
Beverage: Soft Drinks – 0.0%
Coca-Cola Bottling Co. Consolidated		1,958		144,246
Farmer Bros Co. (a)		3,115		67,315
National Beverage Corp. (a)		4,822		91,232
				302,793
Biotechnology – 4.9%
Acceleron Pharma, Inc. (a)		6,962		236,499
Acorda Therapeutics, Inc. (a)		17,661		595,352
Actinium Pharmaceuticals, Inc. (a)		8,313		60,020
Aegerion Pharmaceuticals, Inc. (a)		12,540		402,409
Agenus, Inc. (a)		25,804		83,089
Akebia Therapeutics, Inc. (a)		3,364		93,486
Albany Molecular Research, Inc. (a)		9,985		200,898
Alder Biopharmaceuticals, Inc. (a)		3,433		68,900
Alimera Sciences, Inc. (a)		10,857		64,925
AMAG Pharmaceuticals, Inc. (a)		9,281		192,302
ANI Pharmaceuticals, Inc. (a)		2,876		99,049
Applied Genetic Technologies Corp. (a)		2,067		47,748
Arena Pharmaceuticals, Inc. (a)		93,053		545,291
Ariad Pharmaceuticals, Inc. (a)		70,070		446,346
Array BioPharma, Inc. (a)		53,532		244,106
Bio Path Holdings, Inc. (a)		31,100		94,855
BioCryst Pharmaceuticals, Inc. (a)		29,670		378,292
BioDelivery Sciences International, Inc. (a)		17,718		213,856
BioTelemetry, Inc. (a)		11,169		80,082
Biotime, Inc. (a)(b)		22,183		67,658
Bluebird Bio, Inc. (a)		8,089		311,993
Celldex Therapeutics, Inc. (a)		37,915		618,773
Cellular Dynamics International, Inc. (a)(b)		4,032		58,746
Cepheid, Inc. (a)		29,524		1,415,381
ChemoCentryx, Inc. (a)(b)		11,665		68,240

See Notes to Financial Statements.
64	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

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

Common Stocks	Shares		��	Value
Biotechnology (continued)
Clovis Oncology, Inc. (a)		10,451		$	432,776
CTI BioPharma Corp. (a)		56,809			159,633
Cytokinetics, Inc. (a)		14,800			70,744
Cytori Therapeutics, Inc. (a)(b)		29,158			69,688
CytRx Corp. (a)		24,104			100,755
Dendreon Corp. (a)(b)		68,391			157,299
Durata Therapeutics, Inc. (a)(b)		6,544			111,444
Dyax Corp. (a)		57,505			552,048
Dynavax Technologies Corp. (a)		112,090			179,344
Eleven Biotherapeutics, Inc. (a)		1,919			25,292
Emergent Biosolutions, Inc. (a)		12,399			278,482
Enzo Biochem, Inc. (a)		14,557			76,424
Epizyme, Inc. (a)		5,416			168,546
Exact Sciences Corp. (a)(b)		35,090			597,583
Exelixis, Inc. (a)(b)		82,717			280,411
Five Prime Therapeutics, Inc. (a)		7,371			114,619
Foundation Medicine, Inc. (a)		5,913			159,414
Furiex Pharmaceuticals, Inc. (a)		3,003			318,859
Galena Biopharma, Inc. (a)(b)		50,126			153,386
GenMark Diagnostics, Inc. (a)		17,604			238,182
Genocea Biosciences, Inc. (a)		1,630			30,563
Genomic Health, Inc. (a)		7,091			194,293
Geron Corp. (a)		66,698			214,101
Halozyme Therapeutics, Inc. (a)		43,887			433,604
Heron Therapeutics, Inc. (a)		8,149			100,396
Horizon Pharma, Inc. (a)		27,490			434,892
Hyperion Therapeutics, Inc. (a)		5,750			150,075
Idenix Pharmaceuticals, Inc. (a)		49,760			1,199,216
Idera Pharmaceuticals, Inc. (a)		25,943			75,235
IGI Laboratories, Inc. (a)		12,168			64,612
Immunogen, Inc. (a)		36,496			432,478
Immunomedics, Inc. (a)		35,374			129,115
Inovio Pharmaceuticals, Inc. (a)		25,519			275,860
Insmed, Inc. (a)		16,657			332,807
Insys Therapeutics, Inc. (a)(b)		4,233			132,197
InterMune, Inc. (a)		41,872			1,848,649
Intrexon Corp. (a)(b)		15,122			380,016
Karyopharm Therapeutics, Inc. (a)(b)		5,235			243,689
Keryx Biopharmaceuticals, Inc. (a)(b)		38,745			595,898
Kindred Biosciences, Inc. (a)		4,468			83,284
Lexicon Pharmaceuticals, Inc. (a)		97,672			157,252
Liberator Medical Holdings, Inc.		13,178			49,417
Ligand Pharmaceuticals, Inc., Class B (a)		8,755			545,349
MacroGenics, Inc. (a)		8,472			184,097
MannKind Corp. (a)(b)		96,655			1,062,238
Merrimack Pharmaceuticals, Inc. (a)(b)		41,636			303,526
Mirati Therapeutics, Inc. (a)		2,975			59,500
Momenta Pharmaceuticals, Inc. (a)		20,422			246,698
Nektar Therapeutics (a)		53,802			689,742
Neuralstem, Inc. (a)		28,817			121,608
Neurocrine Biosciences, Inc. (a)		32,122			476,690
NewLink Genetics Corp. (a)		8,377			222,409
Northwest Biotherapeutics, Inc. (a)		14,989			100,576
Novavax, Inc. (a)		88,603			409,346
NPS Pharmaceuticals, Inc. (a)		45,025			1,488,076
Omeros Corp. (a)(b)		14,326			249,272
OncoMed Pharmaceuticals, Inc. (a)(b)		5,421			126,309
Oncothyreon, Inc. (a)		29,753			96,400
Ophthotech Corp. (a)		5,863			248,064
Opko Health, Inc. (a)(b)		83,437			737,583
Orexigen Therapeutics, Inc. (a)		49,436			305,514
Organovo Holdings, Inc. (a)		26,557			221,751
Osiris Therapeutics, Inc. (a)		7,973			124,538
Pacific Biosciences of California, Inc. (a)		24,403			150,811
PDL BioPharma, Inc.		68,236			660,524
Peregrine Pharmaceuticals, Inc. (a)(b)		74,995			140,991
Peregrine Semiconductor Corp. (a)		11,797			80,927

Common Stocks	Shares		Value
Biotechnology (concluded)
Progenics Pharmaceuticals, Inc. (a)		29,396	$	126,697
Prothena Corp. PLC (a)		9,235		208,249
PTC Therapeutics, Inc. (a)		9,395		245,585
Puma Biotechnology, Inc. (a)		9,827		648,582
RadNet, Inc. (a)		13,985		92,721
Raptor Pharmaceutical Corp. (a)(b)		26,424		305,197
Regado Biosciences, Inc. (a)		6,473		43,952
Regulus Therapeutics, Inc. (a)		5,836		46,921
Repligen Corp. (a)		13,549		308,782
Repros Therapeutics, Inc. (a)		9,777		169,142
Retrophin, Inc. (a)		8,964		105,237
Rigel Pharmaceuticals, Inc. (a)		37,244		135,196
Rockwell Medical, Inc. (a)(b)		17,266		207,019
RTI Surgical, Inc. (a)		23,911		104,013
Sangamo Biosciences, Inc. (a)		28,805		439,852
Sarepta Therapeutics, Inc. (a)		17,243		513,669
Sequenom, Inc. (a)(b)		49,491		191,530
Stemline Therapeutics, Inc. (a)		4,800		70,416
Sucampo Pharmaceuticals, Inc., Class A (a)		7,493		51,702
Sunesis Pharmaceuticals, Inc. (a)		20,959		136,653
Symmetry Medical, Inc. (a)		15,916		141,016
Synageva BioPharma Corp. (a)		9,036		946,973
Synergy Pharmaceuticals, Inc. (a)(b)		39,786		161,929
Synta Pharmaceuticals Corp. (a)(b)		25,069		102,532
TESARO, Inc. (a)		8,170		254,169
Theravance, Inc. (a)		34,905		1,039,471
Threshold Pharmaceuticals, Inc. (a)		21,866		86,589
Vanda Pharmaceuticals, Inc. (a)		14,406		233,089
Veracyte, Inc. (a)		2,754		47,148
Verastem, Inc. (a)		8,990		81,449
Versartis, Inc. (a)		2,948		82,662
Vital Therapies, Inc. (a)		2,226		60,636
West Pharmaceutical Services, Inc.		29,924		1,262,194
Wright Medical Group, Inc. (a)		21,060		661,284
Xencor Inc. (a)		6,336		73,624
XOMA Corp. (a)		35,658		163,670
ZIOPHARM Oncology, Inc. (a)(b)		34,359		138,467
				37,231,430
Building Materials – 0.9%
Builders FirstSource, Inc. (a)		19,498		145,845
Continental Building Products, Inc. (a)		5,110		78,694
Gibraltar Industries, Inc. (a)		13,095		203,103
Griffon Corp.		16,926		209,882
Headwaters, Inc. (a)		31,241		433,938
Louisiana-Pacific Corp. (a)		60,073		902,296
LSI Industries, Inc.		9,121		72,786
Masonite International Corp. (a)		12,516		704,150
NCI Building Systems, Inc. (a)		11,957		232,325
Patrick Industries, Inc. (a)		3,459		161,155
PGT, Inc. (a)		20,333		172,221
Quanex Building Products Corp.		16,066		287,099
Revolution Lighting Technologies, Inc. (a)(b)		14,116		32,467
Simpson Manufacturing Co., Inc.		17,550		638,118
Stock Building Supply Holdings, Inc. (a)		6,195		122,227
Texas Industries, Inc. (a)		9,436		871,509
Trex Co., Inc. (a)		14,329		412,962
Watsco, Inc.		10,945		1,124,708
				6,805,485
Building: Climate Control – 0.1%
AAON, Inc.		11,949		400,531
Comfort Systems USA, Inc.		16,118		254,664
Nortek, Inc. (a)		3,843		344,948
				1,000,143
Building: Roofing, Wallboard & Plumbing – 0.1%
Beacon Roofing Supply, Inc. (a)		21,039		696,812

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	65

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

Common Stocks	Shares		Value
Casinos & Gambling – 0.4%
Boyd Gaming Corp. (a)		32,984	$	400,096
Caesars Acquisition Co., Class A (a)		19,432		240,374
Caesars Entertainment Corp. (a)		21,679		391,956
Empire Resorts, Inc. (a)		6,185		44,285
Isle of Capri Casinos, Inc. (a)		9,210		78,838
Monarch Casino & Resort, Inc. (a)		3,965		60,030
Multimedia Games Holding Co., Inc. (a)		12,558		372,219
Penn National Gaming, Inc. (a)		33,159		402,550
Pinnacle Entertainment, Inc. (a)		25,287		636,727
Scientific Games Corp., Class A (a)		21,555		239,691
				2,866,766
Cement – 0.0%
U.S. Concrete, Inc. (a)		6,038		149,440
Chemicals: Diversified – 1.3%
Aceto Corp.		12,203		221,362
American Vanguard Corp.		12,426		164,272
Axiall Corp.		29,633		1,400,752
Chemtura Corp. (a)		40,742		1,064,589
Hawkins, Inc.		4,465		165,830
Innophos Holdings, Inc.		9,277		534,077
KMG Chemicals, Inc.		3,940		70,841
Landec Corp. (a)		11,330		141,512
LSB Industries, Inc. (a)		8,219		342,486
Marrone Bio Innovations, Inc. (a)(b)		4,828		56,101
Olin Corp.		33,522		902,412
OM Group, Inc.		13,598		440,983
OMNOVA Solutions, Inc. (a)		20,168		183,327
PolyOne Corp.		39,853		1,679,405
Sensient Technologies Corp.		20,953		1,167,501
Taminco Corp. (a)		12,076		280,888
Tronox Ltd., Class A		26,040		700,476
				9,516,814
Chemicals: Specialty – 0.6%
Advanced Emissions Solutions, Inc. (a)		9,206		211,094
Balchem Corp.		12,886		690,174
Calgon Carbon Corp. (a)		22,603		504,725
FutureFuel Corp.		9,216		152,894
Innospec, Inc.		10,335		446,162
Kraton Performance Polymers, Inc. (a)		13,908		311,400
Polypore International, Inc. (a)		19,099		911,595
Quaker Chemical Corp.		5,604		430,331
Stepan Co.		8,138		430,175
Zep, Inc.		9,755		172,273
				4,260,823
Coal – 0.2%
Arch Coal, Inc. (b)		89,947		328,306
Cloud Peak Energy, Inc. (a)		25,916		477,373
Hallador Energy Co.		3,731		35,407
Walter Energy, Inc. (b)		27,776		151,379
Westmoreland Coal Co. (a)		5,627		204,148
				1,196,613
Commercial Banks – 0.0%
HomeTrust Bancshares, Inc. (a)		8,305		130,970
Commercial Finance & Mortgage Companies – 0.1%
Capital Bank Financial Corp., Class A (a)		10,114		238,792
Federal Agricultural Mortgage Corp., Class C		4,442		138,057
Meta Financial Group, Inc.		2,585		103,400
NewStar Financial, Inc. (a)		11,373		159,904
PennyMac Financial Services, Inc. (a)(c)		5,912		89,803
RE/MAX Holdings, Inc., Class A		4,592		135,877
Stonegate Mortgage Corp. (a)		6,044		84,314
Walker & Dunlop, Inc. (a)		7,853		110,806
				1,060,953

Common Stocks	Shares		Value
Commercial Services & Supplies – 0.3%
ARC Document Solutions, Inc. (a)		17,584	$	103,042
Civeo Corp. (a)		39,781		995,718
Collectors Universe		2,815		55,146
Hill International, Inc. (a)		10,133		63,129
Information Services Group, Inc. (a)		13,519		65,026
LifeLock, Inc. (a)		34,140		476,594
National Research Corp. (a)		4,056		56,743
National Research Corp., Class B (a)		262		10,229
Performant Financial Corp. (a)		12,646		127,725
Quest Resource Holding Corp. (a)		4,700		24,487
Weight Watchers International, Inc.		11,944		240,911
				2,218,750
Commercial Services: Rental & Leasing – 0.5%
Aircastle Ltd.		27,386		486,649
CAI International, Inc. (a)		7,376		162,346
Electro Rent Corp.		6,947		116,223
H&E Equipment Services, Inc. (a)		13,263		481,977
Marlin Business Services Corp.		3,563		64,811
McGrath RentCorp		10,985		403,699
Mobile Mini, Inc.		19,793		947,887
PHH Corp. (a)		24,367		559,954
TAL International Group, Inc. (a)		14,429		640,070
				3,863,616
Commercial Vehicles & Parts – 0.3%
Accuride Corp. (a)		16,429		80,338
Commercial Vehicle Group, Inc. (a)		11,134		111,785
Cooper-Standard Holding, Inc. (a)		5,766		381,479
Miller Industries, Inc.		4,704		96,808
Modine Manufacturing Co. (a)		20,197		317,901
Motorcar Parts of America, Inc. (a)		6,304		153,502
Rush Enterprises, Inc., Class A (a)		14,535		503,928
Spartan Motors, Inc.		14,520		65,921
Strattec Security Corp.		1,439		92,801
Wabash National Corp. (a)		29,219		416,371
				2,220,834
Communications Equipment – 0.1%
Aerohive Networks, Inc. (a)		3,939		32,379
Polycom, Inc. (a)		58,561		733,769
Ruckus Wireless, Inc. (a)		27,628		329,049
				1,095,197
Communications Technology – 1.8%
ADTRAN, Inc.		23,936		539,996
Alliance Fiber Optic Products, Inc.		5,285		95,658
Anixter International, Inc.		11,486		1,149,404
Aruba Networks, Inc. (a)		45,250		792,780
Bel Fuse, Inc., Class B		4,230		108,584
Black Box Corp.		6,534		153,157
Calix, Inc. (a)		17,744		145,146
Ciena Corp. (a)		44,560		965,170
Comtech Telecommunications Corp.		6,430		240,032
Cyan, Inc. (a)		11,482		46,272
Datalink Corp. (a)		8,617		86,170
Digi International, Inc. (a)		10,792		101,661
DigitalGlobe, Inc. (a)		32,012		889,934
Emulex Corp. (a)		33,900		193,230
Enventis Corp.		5,768		91,365
Extreme Networks, Inc. (a)		40,879		181,503
Finisar Corp. (a)		40,993		809,612
General Cable Corp.		20,623		529,186
Harmonic, Inc. (a)		40,240		300,190
Infinera Corp. (a)		52,003		478,428
Intelsat SA (a)		11,694		220,315
InterDigital, Inc.		17,157		820,105
Ixia (a)		24,542		280,515

See Notes to Financial Statements.
66	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

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

Common Stocks	Shares		Value
Communications Technology (concluded)
KVH Industries, Inc. (a)		6,756	$	88,031
Loral Space & Communications, Inc. (a)		5,537		402,484
NETGEAR, Inc. (a)		15,477		538,135
Numerex Corp., Class A (a)		6,348		72,938
Oplink Communications, Inc. (a)		7,855		133,299
Parkervision, Inc. (a)(b)		41,777		61,830
Plantronics, Inc.		18,037		866,678
Procera Networks, Inc. (a)		8,853		89,327
QLogic Corp. (a)		37,083		374,167
RingCentral, Inc., Class A (a)		11,906		180,138
Seachange International, Inc. (a)		14,046		112,508
ShoreTel, Inc. (a)		26,507		172,826
Sonus Networks, Inc. (a)		103,910		373,037
TeleNav, Inc. (a)		11,386		64,786
ViaSat, Inc. (a)		17,534		1,016,271
				13,764,868
Computer Services Software & Systems – 5.9%
A10 Networks, Inc. (a)		5,452		72,512
ACI Worldwide, Inc. (a)(d)		16,514		921,977
Actuate Corp. (a)		19,614		93,559
Acxiom Corp. (a)		32,742		710,174
American Software, Inc., Class A		10,307		101,833
Aspen Technology, Inc. (a)		38,986		1,808,950
AVG Technologies NV (a)		14,819		298,306
Bankrate, Inc. (a)		28,423		498,539
Barracuda Networks, Inc. (a)(b)		3,332		103,359
Bazaarvoice, Inc. (a)		21,215		167,386
Benefitfocus, Inc. (a)		2,063		95,352
Blackbaud, Inc.		19,607		700,754
Blucora, Inc. (a)		17,898		337,735
Bottomline Technologies, Inc. (a)		16,684		499,185
Brightcove, Inc. (a)		13,620		143,555
BroadSoft, Inc. (a)		12,147		320,559
CACI International, Inc., Class A (a)		10,057		706,102
Callidus Software, Inc. (a)		19,473		232,508
CIBER, Inc. (a)		33,362		164,808
CommVault Systems, Inc. (a)		20,024		984,580
Computer Task Group, Inc.		6,625		109,047
ComScore, Inc. (a)		14,640		519,427
Cornerstone OnDemand, Inc. (a)		22,511		1,035,956
Covisint Corp. (a)		3,297		16,023
CSG Systems International, Inc.		14,653		382,590
Cvent, Inc. (a)		7,615		221,520
DealerTrack Holdings, Inc. (a)		22,705		1,029,445
Demand Media, Inc. (a)		18,641		89,850
Demandware, Inc. (a)		12,717		882,178
Digimarc Corp.		2,721		88,705
Digital River, Inc. (a)		13,838		213,520
Dot Hill Systems Corp. (a)		25,468		119,700
EarthLink Holdings Corp.		42,931		159,703
Ebix, Inc. (b)		13,118		187,719
Endurance International Group Holdings, Inc. (a)(b)		12,769		195,238
Envestnet, Inc. (a)		14,415		705,182
EPAM Systems, Inc. (a)		15,087		660,056
EPIQ Systems, Inc.		13,172		185,067
ePlus, Inc. (a)		2,194		127,691
Guidance Software, Inc. (a)		7,561		68,956
Guidewire Software, Inc. (a)		28,814		1,171,577
ICG Group, Inc. (a)		17,374		362,769
iGATE Corp. (a)		15,649		569,467
Imperva, Inc. (a)		9,451		247,427
Infoblox, Inc. (a)		22,993		302,358
Interactive Intelligence Group, Inc. (a)		7,113		399,253
Internap Network Services Corp. (a)		23,454		165,351
IntraLinks Holdings, Inc. (a)		16,692		148,392
Jive Software, Inc. (a)		18,092		153,963

Common Stocks	Shares		Value
Computer Services Software & Systems (concluded)
The KEYW Holding Corp. (a)(b)		13,875	$	174,409
Limelight Networks, Inc. (a)		25,852		79,107
Lionbridge Technologies, Inc. (a)		27,828		165,298
LivePerson, Inc. (a)		22,972		233,166
LogMeIn, Inc. (a)		10,280		479,254
Luxoft Holding, Inc. (a)		3,324		119,863
Manhattan Associates, Inc. (a)		32,089		1,104,824
Mantech International Corp., Class A		10,295		303,908
Mavenir Systems, Inc. (a)		4,150		62,873
Mentor Graphics Corp.		41,048		885,405
Mercury Systems, Inc. (a)		14,072		159,576
MicroStrategy, Inc., Class A (a)		3,843		540,403
Millennial Media, Inc. (a)		32,576		162,554
ModusLink Global Solutions, Inc. (a)		15,414		57,648
Monotype Imaging Holdings, Inc.		16,739		471,538
Netscout Systems, Inc. (a)		15,434		684,344
NIC, Inc.		27,633		437,983
Nimble Storage, Inc. (a)		3,904		119,931
OpenTable, Inc. (a)		9,967		1,032,581
PDF Solutions, Inc. (a)		12,932		274,417
Pegasystems, Inc.		15,063		318,131
Perficient, Inc. (a)		14,620		284,651
Progress Software Corp. (a)		21,817		524,481
Proofpoint, Inc. (a)		15,667		586,886
PROS Holdings, Inc. (a)		10,017		264,849
Q2 Holdings, Inc. (a)		4,208		60,006
QAD, Inc., Class A		2,480		52,874
QLIK Technologies, Inc. (a)		38,065		861,030
RealNetworks, Inc. (a)		9,370		71,493
RealPage, Inc. (a)		21,988		494,290
Reis, Inc.		3,718		78,375
Rocket Fuel, Inc. (a)(b)		7,796		242,378
Sapiens International Corp. NV (a)		10,472		83,776
Sapient Corp. (a)		48,568		789,230
Science Applications International Corp.		17,905		790,685
SciQuest, Inc. (a)		11,698		206,938
Shutterstock, Inc. (a)		6,456		535,719
SPS Commerce, Inc. (a)		6,927		437,717
SS&C Technologies Holdings, Inc. (a)		28,848		1,275,659
Synchronoss Technologies, Inc. (a)		14,975		523,526
SYNNEX Corp. (a)		12,053		878,061
Syntel, Inc. (a)		6,651		571,720
Tangoe, Inc. (a)(b)		16,447		247,692
TechTarget, Inc. (a)		7,018		61,899
TeleCommunication Systems, Inc., Class A (a)		20,223		66,534
Textura Corp. (a)(b)		7,932		187,512
Travelzoo, Inc. (a)		3,192		61,765
Tremor Video, Inc. (a)		15,127		71,399
Turtle Beach Corp. (a)		2,916		26,944
Tyler Technologies, Inc. (a)		13,983		1,275,389
The Ultimate Software Group, Inc. (a)		12,008		1,659,145
Unisys Corp. (a)		21,831		540,099
Unwired Planet, Inc. (a)		31,168		69,505
Varonis Systems, Inc. (a)		2,270		65,853
VASCO Data Security International, Inc. (a)		12,533		145,383
Verint Systems, Inc. (a)		22,876		1,122,068
VirnetX Holding Corp. (a)(b)		18,181		320,167
Virtusa Corp. (a)		11,127		398,347
Web.com Group, Inc. (a)		21,880		631,676
Wix.com Ltd. (a)(b)		5,839		115,846
YuMe, Inc. (a)(b)		7,674		45,277
Zix Corp. (a)		25,591		87,521
				44,161,441
Computer Technology – 0.5%
Cray, Inc. (a)		17,226		458,211
Immersion Corp. (a)		12,108		154,014

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	67

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

Common Stocks	Shares			Value
Computer Technology (concluded)
Insight Enterprises, Inc. (a)		17,311		$	532,140
PC Connection, Inc.		3,991			82,534
Quantum Corp. (a)		93,880			114,534
Safeguard Scientifics, Inc. (a)		8,752			181,954
Silicon Graphics International Corp. (a)(b)		14,632			140,760
Super Micro Computer, Inc. (a)		14,597			368,866
Synaptics, Inc. (a)		15,267			1,383,801
Violin Memory, Inc. (a)(b)		33,745			149,490
					3,566,304
Construction – 0.5%
Aegion Corp. (a)		16,234			377,765
EMCOR Group, Inc.		28,612			1,274,092
Granite Construction, Inc.		16,653			599,175
Great Lakes Dredge & Dock Corp. (a)		25,542			204,081
Orion Marine Group, Inc. (a)		11,883			128,693
Primoris Services Corp.		16,187			466,833
Sterling Construction Co., Inc. (a)		7,976			74,815
Tutor Perini Corp. (a)		15,856			503,269
					3,628,723
Consumer Electronics – 0.2%
RealD, Inc. (a)		17,193			219,383
Skullcandy, Inc. (a)		8,579			62,198
TiVo, Inc. (a)		48,819			630,253
Universal Electronics, Inc. (a)		6,738			329,354
VOXX International Corp. (a)		8,174			76,917
XO Group, Inc. (a)		11,441			139,809
					1,457,914
Consumer Lending – 0.9%
Cash America International, Inc.		11,959			531,338
Credit Acceptance Corp. (a)		2,970			365,607
Encore Capital Group, Inc. (a)		10,900			495,078
Ezcorp, Inc., Class A (a)		21,999			254,088
First Cash Financial Services, Inc. (a)		12,280			707,205
JGWPT Holdings, Inc., Class A (a)		5,018			56,503
Marcus & Millichap, Inc. (a)		3,428			87,448
MGIC Investment Corp. (a)(b)		143,608			1,326,938
MoneyGram International, Inc. (a)		12,534			184,626
Nelnet, Inc., Class A		8,832			365,910
Nicholas Financial, Inc.		4,262			61,202
Portfolio Recovery Associates, Inc. (a)		21,223			1,263,405
Regional Management Corp. (a)		4,538			70,203
Springleaf Holdings, Inc. (a)		10,388			269,569
Tree.com, Inc. (a)		2,686			78,270
World Acceptance Corp. (a)		3,579			271,861
					6,389,251
Consumer Services: Miscellaneous – 0.6%
Chuy’s Holdings, Inc. (a)		6,985			253,556
Core-Mark Holding Co., Inc.		9,681			441,744
Del Frisco’s Restaurant Group, Inc. (a)		9,975			274,911
Move, Inc. (a)		16,814			248,679
Nutrisystem, Inc.		12,165			208,143
Sotheby’s		25,866			1,086,113
Steiner Leisure Ltd. (a)		6,261			271,039
WEX, Inc. (a)		16,475			1,729,381
					4,513,566
			��
Containers & Packaging – 0.4%
AEP Industries, Inc. (a)		1,906			66,462
Berry Plastics Group, Inc. (a)		38,100			982,980
Graphic Packaging Holding Co. (a)		138,946			1,625,668
Myers Industries, Inc.		11,709			235,234
UFP Technologies, Inc. (a)		2,494			60,081
					2,970,425

Common Stocks	Shares		Value
Cosmetics – 0.1%
Elizabeth Arden, Inc. (a)		11,051	$	236,712
Inter Parfums, Inc.		7,062		208,682
Revlon, Inc., Class A (a)		4,831		147,346
				592,740
Diversified Financial Services – 0.8%
Altisource Asset Management Corp. (a)		612		442,513
Altisource Portfolio Solutions SA (a)		6,182		708,333
Blackhawk Network Holdings, Inc. (a)		22,292		629,080
ConnectOne Bancorp, Inc. (a)		1,685		84,065
Evercore Partners, Inc., Class A		14,023		808,286
FBR & Co. (a)		3,945		107,028
Greenhill & Co., Inc.		12,031		592,527
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		9,116		130,723
JTH Holding, Inc., Class A (a)		1,576		52,497
MidWestOne Financial Group, Inc.		2,953		70,842
Moelis & Co. (a)		3,153		105,972
Outerwall, Inc. (a)		8,665		514,268
Piper Jaffray Cos. (a)		6,899		357,161
Stifel Financial Corp. (a)		27,760		1,314,436
Tiptree Financial, Inc., Class A		2,551		22,194
				5,939,925
Diversified Manufacturing Operations – 0.6%
AM Castle & Co. (a)		7,912		87,348
ARC Group Worldwide, Inc. (a)		1,293		19,654
Barnes Group, Inc.		22,991		886,073
Federal Signal Corp.		26,712		391,331
Harsco Corp.		34,255		912,211
Lydall, Inc. (a)		7,169		196,215
OSI Systems, Inc. (a)		8,442		563,503
Raven Industries, Inc.		15,433		511,450
Standex International Corp.		5,416		403,384
Trimas Corp. (a)		19,171		730,990
				4,702,159
Diversified Materials & Processing – 0.6%
Belden, Inc.		18,459		1,442,755
Cabot Microelectronics Corp. (a)		10,196		455,251
CLARCOR, Inc.		21,373		1,321,920
Encore Wire Corp.		8,758		429,492
Harbinger Group, Inc. (a)		35,198		447,015
Insteel Industries, Inc.		7,790		153,074
Koppers Holdings, Inc.		8,727		333,808
NL Industries, Inc.		2,756		25,603
Tredegar Corp.		10,575		247,561
				4,856,479
Diversified Media – 0.0%
EW Scripps Co. (a)		13,227		279,883
Hemisphere Media Group, Inc. (a)		3,703		46,510
				326,393
Diversified Retail – 0.3%
The Bon-Ton Stores, Inc. (b)		6,362		65,592
Fred’s, Inc., Class A		15,623		238,876
Gaiam, Inc., Class A (a)		6,086		46,741
HSN, Inc.		14,046		832,085
Overstock.com, Inc. (a)		4,912		77,462
Pricesmart, Inc.		7,899		687,529
Tuesday Morning Corp. (a)		18,391		327,728
Valuevision Media, Inc., Class A (a)		18,098		90,309
Winmark Corp.		988		68,794
				2,435,116
Drug & Grocery Store Chains – 0.4%
Casey’s General Stores, Inc.		16,293		1,145,235
Ingles Markets, Inc., Class A		5,513		145,267

See Notes to Financial Statements.
68	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

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

Common Stocks	Shares		Value
Drug & Grocery Store Chains (concluded)
The Pantry, Inc. (a)		9,933	$	160,915
PetMed Express, Inc.		8,583		115,699
Supervalu, Inc. (a)		86,135		708,030
Susser Holdings Corp. (a)		7,815		630,827
Village Super Market, Inc., Class A		2,748		64,935
Weis Markets, Inc.		4,629		211,684
				3,182,592
Education Services – 0.6%
2U, Inc. (a)		4,379		73,611
American Public Education, Inc. (a)		7,462		256,544
Bridgepoint Education, Inc. (a)		7,101		94,301
Bright Horizons Family Solutions, Inc. (a)		12,993		557,919
Capella Education Co.		4,661		253,512
Career Education Corp. (a)		28,369		132,767
Chegg, Inc. (a)		31,077		218,782
Education Management Corp. (a)(b)		8,426		14,240
Franklin Covey Co. (a)		4,655		93,705
Grand Canyon Education, Inc. (a)		19,765		908,597
HealthStream, Inc. (a)		9,031		219,453
Houghton Mifflin Harcourt Co. (a)		46,182		884,847
ITT Educational Services, Inc. (a)		10,154		169,470
K12, Inc. (a)		14,660		352,866
Rosetta Stone, Inc. (a)		9,079		88,248
Strayer Education, Inc. (a)		4,635		243,384
Universal Technical Institute, Inc.		9,176		111,397
				4,673,643
Electronic Components – 0.7%
Acacia Research Corp.		21,249		377,170
Checkpoint Systems, Inc. (a)		17,710		247,763
InvenSense, Inc. (a)(b)		30,176		684,693
Kemet Corp. (a)		19,035		109,451
Methode Electronics, Inc.		16,045		613,080
Multi-Fineline Electronix, Inc. (a)		3,703		40,881
NVE Corp. (a)		2,059		114,460
Park Electrochemical Corp.		8,834		249,207
Rogers Corp. (a)		7,664		508,506
Sanmina Corp. (a)		34,832		793,473
ScanSource, Inc. (a)		12,048		458,788
Sparton Corp. (a)		4,276		118,616
Speed Commerce, Inc. (a)		20,346		76,094
TTM Technologies, Inc. (a)		23,002		188,616
Universal Display Corp. (a)		17,206		552,313
Viasystems Group, Inc. (a)		2,203		23,991
				5,157,102
Electronic Entertainment – 0.2%
DTS, Inc. (a)		7,184		132,257
Glu Mobile, Inc. (a)		38,206		191,030
Take-Two Interactive Software, Inc. (a)		42,004		934,169
				1,257,456
Electronics – 0.4%
Agilysys, Inc. (a)		6,154		86,648
American Science & Engineering, Inc.		3,307		230,134
Coherent, Inc. (a)		10,550		698,094
Control4 Corp. (a)		4,888		95,609
CUI Global, Inc. (a)		8,674		72,862
Daktronics, Inc.		16,332		194,677
II-VI, Inc. (a)		22,354		323,239
iRobot Corp. (a)(b)		12,518		512,612
Newport Corp. (a)		16,873		312,151
Rofin-Sinar Technologies, Inc. (a)		11,923		286,629
				2,812,655

Common Stocks	Shares		Value
Energy Equipment – 0.5%
C&J Energy Services, Inc. (a)		19,491	$	658,406
Capstone Turbine Corp. (a)(b)		140,200		211,702
Dynegy, Inc. (a)		42,473		1,478,060
Enphase Energy, Inc. (a)(b)		7,843		67,058
FuelCell Energy, Inc. (a)(b)		93,910		225,384
Matador Resources Co. (a)		31,013		908,061
PowerSecure International, Inc. (a)		9,696		94,439
Silver Spring Networks, Inc. (a)		15,062		200,776
				3,843,886
Energy Equipment & Services – 0.1%
CHC Group, Ltd. (a)		14,167		119,569
Geospace Technologies Corp. (a)		5,595		308,173
Pioneer Energy Services Corp. (a)		26,551		465,705
				893,447
Engineering & Contracting Services – 0.5%
Argan, Inc.		5,363		199,986
Dycom Industries, Inc. (a)		14,477		453,275
Engility Holdings, Inc. (a)		7,393		282,856
Exponent, Inc.		5,629		417,165
Furmanite Corp. (a)		16,139		187,858
Layne Christensen Co. (a)		8,434		112,172
MasTec, Inc. (a)		26,403		813,741
Mistras Group, Inc. (a)		7,108		174,288
MYR Group, Inc. (a)		9,163		232,099
Power Solutions International, Inc. (a)		1,886		135,735
Tetra Tech, Inc.		27,621		759,578
VSE Corp.		1,799		126,506
				3,895,259
Entertainment – 0.2%
AMC Entertainment Holdings, Inc., Class A		8,892		221,144
Ascent Capital Group, Inc., Class A (a)		5,882		388,271
Carmike Cinemas, Inc. (a)		9,737		342,061
Reading International, Inc., Class A (a)		7,193		61,356
Rentrak Corp. (a)		4,197		220,133
World Wrestling Entertainment, Inc.		12,769		152,334
				1,385,299
Environmental, Maintenance, & Security Service – 0.5%
ABM Industries, Inc.		23,656		638,239
The Brink’s Co.		20,575		580,627
G&K Services, Inc., Class A		8,440		439,471
Healthcare Services Group, Inc.		29,685		873,926
MSA Safety, Inc.		12,504		718,730
SP Plus Corp. (a)		6,513		139,313
UniFirst Corp.		6,256		663,136
				4,053,442
Fertilizers – 0.1%
Intrepid Potash, Inc. (a)		23,779		398,536
Rentech, Inc. (a)		83,520		216,317
				614,853
Financial Data & Systems – 0.8%
Advent Software, Inc.		21,814		710,482
Cardtronics, Inc. (a)		18,948		645,748
Cass Information Systems, Inc.		4,931		243,986
Consumer Portfolio Services, Inc. (a)		8,950		68,199
Euronet Worldwide, Inc. (a)		21,663		1,045,023
EVERTEC, Inc.		27,796		673,775
Fair Isaac Corp.		14,608		931,406
Global Cash Access Holdings, Inc. (a)		28,092		250,019
Green Dot Corp., Class A (a)		13,287		252,187
Heartland Payment Systems, Inc.		15,299		630,472
Higher One Holdings, Inc. (a)		14,986		57,097
Xoom Corp. (a)		13,124		345,948
				5,854,342

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	69

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

Common Stocks	Shares		Value
Food & Staples Retailing – 0.0%
Fairway Group Holdings Corp. (a)(b)		7,928	$	52,721
Natural Grocers by Vitamin Cottage, Inc. (a)		3,959		84,762
				137,483
Foods – 1.4%
Annie’s, Inc. (a)		7,266		245,736
B&G Foods, Inc.		22,698		741,998
Boulder Brands, Inc. (a)		25,859		366,681
The Chefs’ Warehouse, Inc. (a)		7,758		153,376
Chiquita Brands International, Inc. (a)		19,925		216,186
Dean Foods Co.		39,754		699,273
Diamond Foods, Inc. (a)		9,152		258,086
The Fresh Market, Inc. (a)		18,229		610,125
Inventure Foods, Inc. (a)		6,451		72,703
J&J Snack Foods Corp.		6,295		592,485
John B Sanfilippo & Son, Inc.		3,449		91,295
Lancaster Colony Corp.		7,840		746,054
Lifeway Foods, Inc. (a)		2,015		28,170
Medifast, Inc. (a)		5,610		170,600
Nature’s Sunshine Products, Inc.		4,650		78,910
Nutraceutical International Corp. (a)		3,665		87,447
Omega Protein Corp. (a)		8,942		122,327
Post Holdings, Inc. (a)		18,638		948,861
Roundy’s, Inc.		16,769		92,397
Seneca Foods Corp., Class A (a)		3,438		105,203
Senomyx, Inc. (a)		17,961		155,363
Snyders-Lance, Inc.		20,174		533,804
SpartanNash Co.		15,980		335,740
Synutra International, Inc. (a)		7,657		51,378
Tootsie Roll Industries, Inc.		8,033		236,491
TreeHouse Foods, Inc. (a)		15,573		1,246,930
United Natural Foods, Inc. (a)		21,005		1,367,425
				10,355,044
Forest Products – 0.2%
Boise Cascade Co. (a)		16,863		482,956
Deltic Timber Corp.		4,788		289,291
Universal Forest Products, Inc.		8,581		414,205
				1,186,452
Forms & Bulk Printing Services – 0.3%
Deluxe Corp.		21,216		1,242,833
Ennis, Inc.		11,060		168,776
InnerWorkings, Inc. (a)		15,041		127,848
Multi-Color Corp.		5,267		210,733
Quad/Graphics, Inc.		11,660		260,834
Schawk, Inc.		5,117		104,182
				2,115,206
Funeral Parlors & Cemeteries – 0.2%
Carriage Services, Inc.		6,814		116,724
Hillenbrand, Inc.		26,611		868,051
Matthews International Corp., Class A		11,596		482,045
				1,466,820
Gas Pipeline – 0.2%
SemGroup Corp., Class A		18,047		1,423,006
Glass – 0.1%
Apogee Enterprises, Inc.		12,419		432,926
Gold – 0.1%
Allied Nevada Gold Corp. (a)(b)		44,377		166,858
Coeur Mining, Inc. (a)		43,816		402,231
Gold Resource Corp.		15,972		80,818
				649,907
Health Care Equipment & Supplies – 0.0%
Inogen, Inc. (a)		2,160		48,730

Common Stocks	Shares		Value
Health Care Facilities – 0.7%
Amsurg Corp. (a)		13,789	$	628,365
Capital Senior Living Corp. (a)		12,333		294,019
Emeritus Corp. (a)		15,917		503,773
The Ensign Group, Inc.		8,468		263,185
Five Star Quality Care, Inc. (a)		18,402		92,194
Hanger, Inc. (a)		14,953		470,272
HealthSouth Corp.		37,334		1,339,171
Kindred Healthcare, Inc.		23,200		535,920
National Healthcare Corp.		4,356		245,199
Select Medical Holdings Corp.		33,339		520,088
Skilled Healthcare Group, Inc., Class A (a)		9,934		62,485
Surgical Care Affiliates, Inc. (a)		5,314		154,531
US Physical Therapy, Inc.		5,196		177,651
				5,286,853
Health Care Management Services – 0.5%
BioScrip, Inc. (a)		29,145		243,069
Computer Programs & Systems, Inc.		4,716		299,938
Magellan Health Services, Inc. (a)		11,661		725,781
Molina Healthcare, Inc. (a)		12,820		572,157
Triple-S Management Corp. (a)		10,580		189,699
Universal American Corp.		17,436		145,242
WellCare Health Plans, Inc. (a)		18,590		1,387,929
				3,563,815
Health Care Services – 1.7%
Acadia Healthcare Co., Inc. (a)		15,389		700,199
Accelerate Diagnostics, Inc. (a)		9,586		249,236
Addus HomeCare Corp. (a)		2,671		60,044
Air Methods Corp. (a)		16,604		857,597
Alliance HealthCare Services, Inc. (a)		2,126		57,402
Almost Family, Inc. (a)		3,622		79,974
Amedisys, Inc. (a)		11,558		193,481
AMN Healthcare Services, Inc. (a)		19,840		244,032
Cara Therapeutics, Inc. (a)		2,256		38,397
Care.com, Inc. (a)		2,860		36,208
Chemed Corp.		7,441		697,370
Chindex International, Inc. (a)		5,856		138,729
Corvel Corp. (a)		4,681		211,488
Cross Country Healthcare, Inc. (a)		13,310		86,781
ExamWorks Group, Inc. (a)		14,718		467,002
Flexion Therapeutics, Inc. (a)		1,904		25,666
Gentiva Health Services, Inc. (a)		13,359		201,187
Globus Medical, Inc., Class A (a)		27,814		665,311
Healthways, Inc. (a)		13,334		233,878
HMS Holdings Corp. (a)		37,384		763,007
IPC The Hospitalist Co., Inc. (a)		7,296		322,629
LHC Group, Inc. (a)		5,297		113,197
Medidata Solutions, Inc. (a)		22,929		981,590
MiMedx Group, Inc. (a)(b)		39,430		279,559
MWI Veterinary Supply, Inc. (a)		5,445		773,136
Omnicell, Inc. (a)		15,457		443,770
OvaScience, Inc. (a)		6,485		59,467
PharMerica Corp. (a)		12,725		363,808
Phibro Animal Health Corp. (a)		6,203		136,156
Quality Systems, Inc.		21,168		339,746
Ryman Hospitality Properties		18,439		887,838
Team Health Holdings, Inc. (a)		29,862		1,491,308
Tetraphase Pharmaceuticals, Inc. (a)		9,263		124,958
WebMD Health Corp. (a)		16,399		792,072
				13,116,223
Health Care: Miscellaneous – 0.1%
MedAssets, Inc. (a)		26,006		593,977
The Providence Service Corp. (a)		4,878		178,486
				772,463

See Notes to Financial Statements.
70	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

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

Common Stocks	Shares		Value
Home Building – 0.6%
Beazer Homes USA, Inc. (a)		11,435	$	239,906
Hovnanian Enterprises, Inc., Class A (a)		49,994		257,469
Installed Building Products, Inc. (a)		3,622		44,370
KB Home		35,740		667,623
LGI Homes, Inc. (a)		6,063		110,650
M/I Homes, Inc. (a)		10,457		253,791
MDC Holdings, Inc.		16,691		505,570
Meritage Homes Corp. (a)		16,690		704,485
The New Home Co., Inc. (a)		3,500		49,455
The Ryland Group, Inc.		20,006		789,037
Standard Pacific Corp. (a)		61,871		532,091
Tile Shop Holdings, Inc. (a)(b)		12,080		184,703
TRI Pointe Homes, Inc. (a)(b)		7,272		114,316
UCP, Inc., Class A (a)		3,443		47,066
WCI Communities, Inc. (a)		4,900		94,619
William Lyon Homes, Class A (a)		7,532		229,274
				4,824,425
Hotel/Motel – 0.3%
Belmond Ltd., Class A (a)		41,002		596,169
Bloomin’ Brands, Inc. (a)		32,764		734,897
Intrawest Resorts Holdings, Inc. (a)		5,704		65,368
La Quinta Holdings, Inc. (a)		18,810		360,023
The Marcus Corp.		7,613		138,937
Morgans Hotel Group Co. (a)		12,296		97,507
				1,992,901
Household Appliances – 0.0%
National Presto Industries, Inc. (b)		2,027		147,647
Household Equipment & Products – 0.2%
Central Garden and Pet Co., Class A (a)		18,396		169,243
CSS Industries, Inc.		3,962		104,478
Helen of Troy Ltd. (a)		12,119		734,775
Libbey, Inc. (a)		9,100		242,424
Sears Hometown and Outlet Stores, Inc. (a)		4,912		105,461
				1,356,381
Household Furnishings – 0.2%
American Woodmark Corp. (a)		5,286		168,465
Ethan Allen Interiors, Inc.		10,764		266,301
Flexsteel Industries, Inc.		2,020		67,367
Kirkland’s, Inc. (a)		6,313		117,106
La-Z-Boy, Inc.		22,180		513,911
Lifetime Brands, Inc.		4,317		67,863
Norcraft Cos., Inc. (a)		3,247		46,465
Select Comfort Corp. (a)		23,055		476,316
				1,723,794
Insurance: Life – 0.7%
American Equity Investment Life Holding Co.		31,547		776,056
Citizens, Inc. (a)(b)		18,856		139,534
CNO Financial Group, Inc.		92,345		1,643,741
FBL Financial Group, Inc., Class A		4,102		188,692
Fidelity & Guaranty Life		4,899		117,282
Independence Holding Co.		3,266		46,149
Kansas City Life Insurance Co.		1,569		71,358
National Western Life Insurance Co., Class A		935		233,198
The Phoenix Cos., Inc. (a)		2,386		115,459
Primerica, Inc.		23,158		1,108,110
Symetra Financial Corp.		31,912		725,679
Third Point Reinsurance Ltd. (a)		24,114		367,980
				5,533,238
Insurance: Multi-Line – 0.4%
Atlas Financial Holdings, Inc. (a)		4,790		72,616
Crawford & Co., Class B		11,809		119,035
eHealth, Inc. (a)		8,071		306,456
Horace Mann Educators Corp.		17,256		539,595

Common Stocks	Shares		Value
Insurance: Multi-Line (concluded)
Kemper Corp.		19,695	$	725,958
Maiden Holdings Ltd.		21,144		255,631
PICO Holdings, Inc. (a)		9,657		229,450
Platinum Underwriters Holdings Ltd.		11,424		740,846
				2,989,587
Insurance: Property-Casualty – 1.5%
Amerisafe, Inc.		7,934		322,676
Amtrust Financial Services, Inc. (b)		12,733		532,367
Argo Group International Holdings Ltd.		11,055		565,021
Baldwin & Lyons, Inc., Class B		3,868		100,336
Donegal Group, Inc., Class A		3,240		49,572
EMC Insurance Group, Inc.		1,989		61,221
Employers Holdings, Inc.		13,415		284,130
Enstar Group Ltd. (a)		3,642		548,959
Essent Group Ltd. (a)		17,695		355,493
Federated National Holding Co.		4,717		120,284
First American Financial Corp.		45,272		1,258,109
Global Indemnity PLC (a)		3,400		88,366
Greenlight Capital Re Ltd. (a)		12,020		395,939
Hallmark Financial Services, Inc. (a)		5,991		64,403
HCI Group, Inc.		3,864		156,878
Heritage Insurance Holdings, Inc. (a)		2,803		42,634
Hilltop Holdings, Inc. (a)		28,723		610,651
Infinity Property & Casualty Corp.		4,850		326,065
Meadowbrook Insurance Group, Inc.		21,238		152,701
Montpelier Re Holdings Ltd.		16,598		530,306
National General Holdings Corp.		15,411		268,151
National Interstate Corp.		2,996		83,948
The Navigators Group, Inc. (a)		4,439		297,635
NMI Holdings, Inc., Class A (a)		21,495		225,697
OneBeacon Insurance Group Ltd.		9,431		146,558
Radian Group, Inc.		81,029		1,200,039
RLI Corp.		18,224		834,295
Safety Insurance Group, Inc.		5,448		279,918
Selective Insurance Group, Inc.		23,843		589,399
State Auto Financial Corp.		6,426		150,561
Stewart Information Services Corp.		9,122		282,873
United Fire Group, Inc.		8,737		256,169
United Insurance Holdings Corp.		6,917		119,387
Universal Insurance Holdings, Inc.		13,416		174,006
				11,474,747
International Trade & Diversified Logistic – 0.0%
Global Sources Ltd. (a)		7,656		63,392
Internet & Catalog Retail – 0.0%
Vitacost.com, Inc. (a)		9,439		59,088
Internet Software & Services – 0.2%
Amber Road, Inc. (a)		3,764		60,713
Borderfree, Inc. (a)		2,515		41,674
ChannelAdvisor Corp. (a)		8,787		231,625
Cinedigm Corp. (a)		32,392		80,656
Coupons.com, Inc. (a)		5,105		134,312
E2open, Inc. (a)		9,995		206,597
Everyday Health, Inc. (a)		3,231		59,709
Global Eagle Entertainment, Inc. (a)		16,167		200,471
Gogo, Inc. (a)(b)		23,700		463,572
GrubHub, Inc. (a)		3,765		133,319
OPOWER, Inc. (a)		3,303		62,261
TrueCar, Inc. (a)		3,345		49,439
Zendesk, Inc. (a)		4,912		85,371
				1,809,719
Leisure Time – 1.0%
Black Diamond, Inc. (a)		9,581		107,499
Callaway Golf Co.		32,951		274,152
Churchill Downs, Inc.		5,663		510,293

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	71

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

Common Stocks	Shares		Value
Leisure Time (concluded)
ClubCorp Holdings, Inc.		9,257	$	171,625
Escalade, Inc.		4,011		64,738
International Speedway Corp., Class A		11,783		392,138
Interval Leisure Group, Inc.		16,883		370,413
Johnson Outdoors, Inc.		2,069		53,380
Life Time Fitness, Inc. (a)		17,346		845,444
Marriott Vacations Worldwide Corp. (a)		11,963		701,391
Nautilus, Inc. (a)		13,307		147,575
Orbitz Worldwide, Inc. (a)		21,851		194,474
Pool Corp.		19,082		1,079,278
SFX Entertainment, Inc. (a)		18,652		151,081
Smith & Wesson Holding Corp. (a)(b)		23,324		339,131
Speedway Motorsports, Inc.		4,806		87,709
Sturm Ruger & Co., Inc.		8,225		485,357
Vail Resorts, Inc.		15,303		1,181,085
West Marine, Inc. (a)		7,388		75,801
				7,232,564
Luxury Items – 0.0%
Movado Group, Inc.		7,777		324,068
Machinery: Agricultural – 0.1%
Alamo Group, Inc.		3,014		163,027
Lindsay Corp. (b)		5,467		461,798
Titan International, Inc.		18,801		316,233
Titan Machinery, Inc. (a)		7,305		120,240
				1,061,298
Machinery: Construction & Handling – 0.1%
Astec Industries, Inc.		8,009		351,435
Douglas Dynamics, Inc.		9,398		165,593
NACCO Industries, Inc., Class A		2,039		103,173
				620,201
Machinery: Engines – 0.1%
Briggs & Stratton Corp.		19,852		406,172
Machinery: Industrial – 1.3%
Actuant Corp., Class A		30,149		1,042,251
Altra Industrial Motion Corp.		11,489		418,085
Applied Industrial Technologies, Inc.		17,716		898,733
Chart Industries, Inc. (a)		12,941		1,070,738
Columbus McKinnon Corp.		8,440		228,302
DXP Enterprises, Inc. (a)		5,492		414,866
EnPro Industries, Inc. (a)		9,618		703,653
The ExOne Co. (a)(b)		4,219		167,157
Graham Corp.		4,310		150,031
Hyster-Yale Materials Handling, Inc.		4,351		385,237
Intevac, Inc. (a)		9,738		78,001
John Bean Technologies Corp.		12,371		383,377
Kadant, Inc.		4,744		182,407
Manitex International, Inc. (a)		5,862		95,199
MTS Systems Corp.		6,398		433,528
Omega Flex, Inc.		1,265		24,819
Proto Labs, Inc. (a)		9,587		785,367
Tennant Co.		7,799		595,220
Twin Disc, Inc.		3,512		116,072
Woodward, Inc.		28,088		1,409,456
				9,582,499
Machinery: Specialty – 0.1%
Albany International Corp., Class A		11,873		450,699
Hurco Cos., Inc.		2,771		78,142
Xerium Technologies, Inc. (a)		4,605		64,286
				593,127
Manufactured Housing – 0.0%
Cavco Industries, Inc. (a)		3,767		321,325

Common Stocks	Shares		Value
Medical & Dental Instruments & Supplies – 1.8%
ABIOMED, Inc. (a)		16,941	$	425,897
AngioDynamics, Inc. (a)		10,423		170,208
Anika Therapeutics, Inc. (a)		6,094		282,335
Antares Pharma, Inc. (a)		50,129		133,844
AtriCure, Inc. (a)		11,552		212,326
Atrion Corp.		644		209,944
Cantel Medical Corp.		14,303		523,776
Cardiovascular Systems, Inc. (a)		11,695		364,416
Cerus Corp. (a)		30,890		128,193
CONMED Corp.		11,507		508,034
CryoLife, Inc.		11,810		105,700
Derma Sciences, Inc. (a)		9,527		110,132
Endologix, Inc. (a)		27,163		413,149
Exactech, Inc. (a)		4,094		103,292
HeartWare International, Inc. (a)		7,176		635,076
ICU Medical, Inc. (a)		5,697		346,435
Insulet Corp. (a)		23,461		930,698
Integra LifeSciences Holdings Corp. (a)		10,556		496,765
Invacare Corp.		13,570		249,281
K2M Group Holdings, Inc. (a)		3,703		55,101
Landauer, Inc.		4,033		169,386
LDR Holding Corp. (a)		7,014		175,420
Meridian Bioscience, Inc.		17,644		364,172
Merit Medical Systems, Inc. (a)		18,195		274,744
NanoString Technologies, Inc. (a)		4,272		63,866
Navidea Biopharmaceuticals, Inc. (a)(b)		65,123		96,382
Neogen Corp. (a)		15,545		629,106
NuVasive, Inc. (a)		19,733		701,903
OraSure Technologies, Inc. (a)		23,675		203,842
Orthofix International NV (a)		7,803		282,859
Owens & Minor, Inc.		26,664		906,043
Quidel Corp. (a)		12,102		267,575
Staar Surgical Co. (a)		16,220		272,496
STERIS Corp.		25,033		1,338,765
SurModics, Inc. (a)		5,832		124,921
Tornier NV (a)		15,037		351,565
TransEnterix, Inc. (a)		12,199		61,483
TriVascular Technologies, Inc. (a)		3,156		49,139
Unilife Corp. (a)(b)		43,780		129,589
Utah Medical Products, Inc.		1,569		80,709
Vascular Solutions, Inc. (a)		7,229		160,412
Volcano Corp. (a)		21,727		382,612
				13,491,591
Medical Equipment – 1.1%
Abaxis, Inc.		9,537		422,584
Accuray, Inc. (a)		32,477		285,798
Affymetrix, Inc. (a)		30,781		274,259
Analogic Corp.		5,266		412,012
Cyberonics, Inc. (a)		11,352		709,046
Cynosure, Inc., Class A (a)		9,482		201,492
DexCom, Inc. (a)		31,711		1,257,658
Fluidigm Corp. (a)		11,891		349,595
Greatbatch, Inc. (a)		10,518		516,013
Haemonetics Corp. (a)		22,106		779,900
Luminex Corp. (a)		15,937		273,320
Masimo Corp. (a)		20,536		484,650
Merge Healthcare, Inc. (a)		29,952		67,991
Natus Medical, Inc. (a)		13,612		342,206
NxStage Medical, Inc. (a)		26,043		374,238
Oxford Immunotec Global PLC (a)		5,470		92,060
Spectranetics Corp. (a)		17,631		403,397
Tandem Diabetes Care, Inc. (a)		3,480		56,585
Thoratec Corp. (a)		24,090		839,777
Zeltiq Aesthetics, Inc. (a)		12,269		186,366
				8,328,947

See Notes to Financial Statements.
72	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

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

Common Stocks	Shares		Value
Medical Services – 0.2%
Bio-Reference Laboratories, Inc. (a)		10,460	$	316,101
PAREXEL International Corp. (a)		24,152		1,276,192
				1,592,293
Metal Fabricating – 0.7%
Ampco-Pittsburgh Corp.		3,496		80,198
Dynamic Materials Corp.		5,908		130,744
Global Brass & Copper Holdings, Inc.		8,940		151,086
Haynes International, Inc.		5,251		297,154
LB Foster Co., Class A		4,412		238,778
Mueller Industries, Inc.		24,032		706,781
Mueller Water Products, Inc., Series A		67,665		584,626
NN, Inc.		7,505		191,978
Northwest Pipe Co. (a)		4,010		161,723
RBC Bearings, Inc.		9,848		630,764
Rexnord Corp. (a)		31,871		897,169
RTI International Metals, Inc. (a)		13,036		346,627
Worthington Industries, Inc.		21,827		939,434
				5,357,062
Metals & Minerals: Diversified – 0.8%
Alpha Natural Resources, Inc. (a)(b)		94,015		348,796
Commercial Metals Co.		49,906		863,873
Globe Specialty Metals, Inc.		27,025		561,579
Hecla Mining Co.		145,497		501,965
Materion Corp.		8,742		323,366
Minerals Technologies, Inc.		14,596		957,206
Molycorp, Inc. (a)(b)		77,547		199,296
Oil-Dri Corp. of America		2,042		62,424
Ring Energy, Inc. (a)		7,880		137,506
SunCoke Energy, Inc. (a)		29,598		636,357
United States Lime & Minerals, Inc.		824		53,395
US Silica Holdings, Inc.		22,784		1,263,145
				5,908,908
Office Supplies & Equipment – 0.6%
ACCO Brands Corp. (a)		48,503		310,904
Eastman Kodak Co. (a)		7,665		187,563
Electronics for Imaging, Inc. (a)		19,719		891,299
Herman Miller, Inc.		25,095		758,873
HNI Corp.		19,126		748,018
Kimball International, Inc., Class B		14,477		242,055
Knoll, Inc.		20,531		355,802
Steelcase, Inc., Class A		34,994		529,459
United Stationers, Inc.		16,746		694,457
				4,718,430
Offshore Drilling & Other Services – 0.1%
Hercules Offshore, Inc. (a)		68,291		274,530
North Atlantic Drilling, Ltd.		30,341		322,222
Vantage Drilling Co. (a)		86,909		166,865
				763,617
Oil Well Equipment & Services – 1.4%
Basic Energy Services, Inc. (a)		13,477		393,798
Dawson Geophysical Co.		3,441		98,585
Exterran Holdings, Inc.		24,801		1,115,797
Flotek Industries, Inc. (a)		22,778		732,540
Forum Energy Technologies, Inc. (a)		25,237		919,384
Glori Energy, Inc. (a)		5,086		55,234
Gulf Island Fabrication, Inc.		6,140		132,133
Helix Energy Solutions Group, Inc. (a)		44,735		1,176,978
Hornbeck Offshore Services, Inc. (a)		15,404		722,756
ION Geophysical Corp. (a)		54,962		231,940
Key Energy Services, Inc. (a)		55,763		509,674
Matrix Service Co. (a)		11,259		369,182
McDermott International, Inc. (a)		100,773		815,253
Mitcham Industries, Inc. (a)		5,440		76,051

Common Stocks	Shares		Value
Oil Well Equipment & Services (concluded)
Natural Gas Services Group, Inc. (a)		5,262	$	173,962
Newpark Resources, Inc. (a)		36,002		448,585
Nuverra Environmental Solutions, Inc. (a)(b)		6,439		129,488
Parker Drilling Co. (a)		51,419		335,252
Profire Energy, Inc. (a)		5,400		24,354
RigNet, Inc. (a)		5,009		269,584
SEACOR Holdings, Inc. (a)		8,724		717,549
Tesco Corp.		14,677		313,207
TETRA Technologies, Inc. (a)		33,529		394,972
Willbros Group, Inc. (a)		16,971		209,592
				10,365,850
Oil, Gas & Consumable Fuels – 0.5%
Ardmore Shipping Corp.		7,613		105,288
CARBO Ceramics, Inc.		8,350		1,286,902
DHT Holdings, Inc.		29,355		211,356
Dorian LPG, Ltd. (a)		3,178		73,062
Emerald Oil, Inc. (a)(b)		24,237		185,413
Equal Energy Ltd.		15,291		82,877
EXCO Resources, Inc.		64,677		380,947
Gastar Exploration, Inc. (a)		23,344		203,326
Gulf Coast Ultra Deep Royalty Trust (a)		3		9
Navios Maritime Acq Corp.		34,265		127,123
Pacific Ethanol, Inc. (a)		8,770		134,093
Parsley Energy, Inc., Class A (a)		21,196		510,188
Plug Power, Inc. (a)		70,773		331,218
RSP Permian, Inc. (a)		9,284		301,173
TransAtlantic Petroleum, Ltd. (a)		9,425		107,351
				4,040,326
Oil: Crude Producers – 2.7%
Abraxas Petroleum Corp. (a)		34,933		218,681
American Eagle Energy Corp. (a)		12,925		77,421
Apco Oil and Gas International, Inc. (a)		3,769		54,387
Approach Resources, Inc. (a)		16,760		380,955
Bill Barrett Corp. (a)		21,078		564,469
Bonanza Creek Energy, Inc. (a)		13,912		795,627
BPZ Resources, Inc. (a)		50,069		154,212
Callon Petroleum Co. (a)		17,071		198,877
Carrizo Oil & Gas, Inc. (a)		19,257		1,333,740
Clayton Williams Energy, Inc. (a)		2,490		342,051
Comstock Resources, Inc.		20,283		584,962
Contango Oil & Gas Co. (a)		7,377		312,121
Diamondback Energy, Inc. (a)		16,102		1,429,858
Energy XXI Bermuda Ltd.		39,727		938,749
Evolution Petroleum Corp.		8,336		91,279
Forest Oil Corp. (a)		51,267		116,889
FX Energy, Inc. (a)		23,100		83,391
Goodrich Petroleum Corp. (a)(b)		14,745		406,962
Halcon Resources Corp. (a)(b)		110,334		804,335
Harvest Natural Resources, Inc. (a)		17,731		88,478
Isramco, Inc. (a)(b)		375		47,670
Jones Energy, Inc., Class A (a)		4,776		97,908
Kodiak Oil & Gas Corp. (a)		112,988		1,643,975
Magnum Hunter Resources Corp. (a)		84,104		689,653
Midstates Petroleum Co., Inc. (a)		15,661		113,229
Northern Oil and Gas, Inc. (a)		25,939		422,546
ONE Gas, Inc.		22,003		830,613
Panhandle Oil and Gas, Inc.		2,949		165,232
PDC Energy, Inc. (a)		15,157		957,165
Penn Virginia Corp. (a)		27,782		470,905
PetroQuest Energy, Inc. (a)		24,870		187,022
Quicksilver Resources, Inc. (a)(b)		53,958		144,068
Resolute Energy Corp. (a)		33,014		285,241
Rex Energy Corp. (a)		20,340		360,221
Rosetta Resources, Inc. (a)		26,041		1,428,349
Sanchez Energy Corp. (a)		19,338		726,915

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	73

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

Common Stocks	Shares		Value
Oil: Crude Producers (concluded)
Stone Energy Corp. (a)		23,798	$	1,113,508
Swift Energy Co. (a)		18,666		242,285
Synergy Resources Corp. (a)		28,129		372,709
Triangle Petroleum Corp. (a)		32,070		376,822
Vaalco Energy, Inc. (a)		21,324		154,173
W&T Offshore, Inc.		14,878		243,553
Warren Resources, Inc. (a)		31,258		193,800
				20,245,006
Oil: Refining & Marketing – 0.3%
Adams Resources & Energy, Inc.		902		70,473
Alon USA Energy, Inc.		11,113		138,246
Clean Energy Fuels Corp. (a)(b)		29,854		349,889
Delek US Holdings, Inc.		25,197		711,311
Miller Energy Resources, Inc. (a)(b)		12,729		81,466
Renewable Energy Group, Inc. (a)		14,915		171,075
Trecora Resources (a)		8,394		99,385
Vertex Energy, Inc. (a)		4,861		47,200
Western Refining, Inc.		22,580		847,879
				2,516,924
Paints & Coatings – 0.2%
Chase Corp.		2,831		96,650
Ferro Corp. (a)		30,442		382,352
HB Fuller Co.		21,225		1,020,922
Kronos Worldwide, Inc.		8,818		138,178
				1,638,102
Paper – 0.5%
Clearwater Paper Corp. (a)		8,714		537,828
KapStone Paper and Packaging Corp. (a)		35,917		1,189,930
Neenah Paper, Inc.		7,071		375,824
PH Glatfelter Co.		18,420		488,683
Resolute Forest Products (a)		27,649		463,950
Schweitzer-Mauduit International, Inc.		13,005		567,798
Wausau Paper Corp.		18,284		197,833
				3,821,846
Personal Care – 0.1%
The Female Health Co.		9,355		51,546
Orchids Paper Products Co.		3,407		109,160
PhotoMedex, Inc. (a)(b)		5,565		68,171
USANA Health Sciences, Inc. (a)		2,749		214,807
WD-40 Co.		6,329		476,068
				919,752
Pharmaceuticals – 2.1%
ACADIA Pharmaceuticals, Inc. (a)		33,374		753,919
AcelRx Pharmaceuticals, Inc. (a)(b)		10,583		108,476
Achaogen, Inc. (a)		2,870		40,065
Achillion Pharmaceuticals, Inc. (a)		41,132		311,369
Adamas Pharmaceuticals, Inc. (a)		1,173		21,442
Aerie Pharmaceuticals, Inc. (a)		4,426		109,632
Agios Pharmaceuticals, Inc. (a)		5,757		263,786
Akorn, Inc. (a)		26,367		876,703
Ampio Pharmaceuticals, Inc. (a)		17,373		145,065
Anacor Pharmaceuticals, Inc. (a)		13,936		247,085
Aratana Therapeutics, Inc. (a)		10,259		160,143
Auspex Pharmaceuticals, Inc. (a)		3,397		75,651
Auxilium Pharmaceuticals, Inc. (a)		21,305		427,378
AVANIR Pharmaceuticals, Inc. (a)		67,743		382,070
Biospecifics Technologies Corp. (a)		1,511		40,737
Cambrex Corp. (a)		12,998		269,059
Cempra, Inc. (a)		9,585		102,847
Chimerix, Inc. (a)		11,450		251,213
Corcept Therapeutics, Inc. (a)		22,722		63,622
Depomed, Inc. (a)		24,599		341,926
Dicerna Pharmaceuticals, Inc. (a)		1,444		32,591

Common Stocks	Shares		Value
Pharmaceuticals (concluded)
Egalet Corp. (a)		1,683	$	22,081
Enanta Pharmaceuticals, Inc. (a)		4,347		187,225
Endocyte, Inc. (a)(b)		15,905		104,814
Esperion Therapeutics, Inc. (a)(b)		1,838		29,114
Galectin Therapeutics, Inc. (a)		7,543		104,169
Impax Laboratories, Inc. (a)		29,668		889,743
Infinity Pharmaceuticals, Inc. (a)		20,632		262,852
Intra-Cellular Therapies, Inc. (a)		7,287		122,859
Ironwood Pharmaceuticals, Inc. (a)		50,659		776,602
Isis Pharmaceuticals, Inc. (a)		49,820		1,716,299
Lannett Co., Inc. (a)		10,887		540,213
The Medicines Co. (a)		27,577		801,388
Nanoviricides, Inc. (a)		16,944		71,165
NeoStem, Inc. (a)		10,036		65,435
Ohr Pharmaceutical, Inc. (a)		8,933		84,953
Pacira Pharmaceuticals, Inc. (a)		15,079		1,385,157
Pain Therapeutics, Inc. (a)		15,839		91,074
Pernix Therapeutics Holdings (a)		14,056		126,223
Portola Pharmaceuticals, Inc. (a)		15,540		453,457
Pozen, Inc. (a)		11,613		96,736
Prestige Brands Holdings, Inc. (a)		21,968		744,495
Receptos, Inc. (a)		6,530		278,178
Relypsa, Inc. (a)		7,173		174,447
Revance Therapeutics, Inc. (a)		2,931		99,654
Sagent Pharmaceuticals, Inc. (a)		9,298		240,446
Sciclone Pharmaceuticals, Inc. (a)		22,025		115,851
Spectrum Pharmaceuticals, Inc. (a)		27,829		226,250
Supernus Pharmaceuticals, Inc. (a)		12,362		135,364
T.G. Therapeutics, Inc. (a)		9,851		92,501
TherapeuticsMD, Inc. (a)(b)		42,661		188,562
Theravance Biopharma, Inc. (a)		9,959		317,493
Ultragenyx Pharmaceutical, Inc. (a)		2,816		126,410
Vivus, Inc. (a)(b)		38,325		203,889
XenoPort, Inc. (a)		24,365		117,683
Zogenix, Inc. (a)		51,853		104,225
				16,121,786
Plastics – 0.1%
A. Schulman, Inc.		12,334		477,326
Ply Gem Holdings, Inc. (a)		9,088		91,789
				569,115
Power Transmission Equipment – 0.3%
Advanced Energy Industries, Inc. (a)		17,443		335,778
Generac Holdings, Inc. (a)		29,155		1,421,015
Global Power Equipment Group, Inc.		7,215		116,594
Maxwell Technologies, Inc. (a)		12,691		192,015
Powell Industries, Inc.		3,913		255,832
Vicor Corp. (a)		6,984		58,526
				2,379,760
Precious Metals & Minerals – 0.2%
Horsehead Holding Corp. (a)		21,504		392,663
Stillwater Mining Co. (a)		50,795		891,452
				1,284,115
Printing & Copying Services – 0.1%
Casella Waste Systems, Inc. (a)		16,315		81,738
Cenveo, Inc. (a)		23,762		88,157
VistaPrint NV (a)		14,157		572,792
				742,687
Producer Durables: Miscellaneous – 0.1%
Blount International, Inc. (a)		21,101		297,735
Park-Ohio Holdings Corp.		3,716		215,937
				513,672

See Notes to Financial Statements.
74	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

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

Common Stocks	Shares		Value
Production Technology Equipment – 1.0%
Axcelis Technologies, Inc. (a)		46,799	$	93,598
Brooks Automation, Inc.		28,212		303,843
Cognex Corp. (a)		36,764		1,411,738
Cohu, Inc.		10,585		113,259
Electro Scientific Industries, Inc.		10,008		68,154
Entegris, Inc. (a)		58,962		810,433
FEI Co.		17,894		1,623,523
GSI Group, Inc. (a)		12,779		162,677
MKS Instruments, Inc.		22,654		707,711
Nanometrics, Inc. (a)		10,052		183,449
Photronics, Inc. (a)		25,999		223,591
Rudolph Technologies, Inc. (a)		14,075		139,061
Tessera Technologies, Inc.		22,608		499,185
Ultra Clean Holdings, Inc. (a)		12,655		114,528
Ultratech, Inc. (a)		11,929		264,585
Veeco Instruments, Inc. (a)		16,980		632,675
				7,352,010
Publishing – 0.6%
AH Belo Corp.		7,916		93,805
Daily Journal Corp. (a)		455		94,044
Dex Media, Inc. (a)(b)		6,326		70,472
Eros International PLC (a)		8,264		125,365
Journal Communications, Inc., Class A (a)		19,114		169,541
Lee Enterprises, Inc. (a)		22,243		98,981
Martha Stewart Living Omnimedia, Class A (a)		12,683		59,610
The McClatchy Co., Class A (a)		25,977		144,172
Media General, Inc., Class A (a)(b)		23,014		472,477
Meredith Corp.		15,229		736,475
New Media Investment Group, Inc. (a)		12,802		180,636
The New York Times Co., Class A		58,710		892,979
Scholastic Corp.		11,207		382,047
Time, Inc. (a)		46,710		1,131,316
				4,651,920
Radio & TV Broadcasters – 0.4%
Central European Media Enterprises Ltd. (a)		30,079		84,823
Crown Media Holdings, Inc., Class A (a)		14,850		53,905
Cumulus Media, Inc., Class A (a)		57,343		377,890
Entercom Communications Corp., Class A (a)		10,508		112,751
Entravision Communications Corp., Class A		24,517		152,496
Gray Television, Inc. (a)		21,027		276,085
Nexstar Broadcasting Group, Inc., Class A		12,971		669,433
Radio One, Inc., Class D (a)		9,662		47,634
Saga Communications, Inc., Class A		1,546		66,045
Salem Communications Corp., Class A		4,446		42,059
Sinclair Broadcast Group, Inc., Class A		29,103		1,011,329
				2,894,450
Railroad Equipment – 0.1%
American Railcar Industries, Inc.		4,018		272,300
FreightCar America, Inc.		5,118		128,155
The Greenbrier Cos., Inc. (a)(b)		11,700		673,920
				1,074,375
Real Estate – 0.3%
AV Homes, Inc. (a)		4,786		78,251
Consolidated-Tomoka Land Co.		1,841		84,502
Forestar Group, Inc. (a)		14,952		285,434
HFF, Inc., Class A		13,902		517,015
Kennedy-Wilson Holdings, Inc.		30,495		817,876
The St. Joe Co. (a)		16,367		416,213
Tejon Ranch Co. (a)		5,856		188,504
				2,387,795
Real Estate Investment Trusts (REITs) – 8.2%
Acadia Realty Trust		24,343		683,795
AG Mortgage Investment Trust, Inc.		11,890		225,078

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Agree Realty Corp.		6,363	$	192,353
Alexander & Baldwin, Inc.		20,680		857,186
Alexander’s, Inc.		885		326,981
Altisource Residential Corp.		24,284		632,112
American Assets Trust, Inc.		15,003		518,354
American Capital Mortgage Investment Corp.		21,412		428,668
American Realty Capital Healthcare Trust, Inc.		71,826		782,185
American Residential Properties, Inc. (a)		13,640		255,750
AmREIT, Inc., Class B		8,370		153,171
Anworth Mortgage Asset Corp.		54,525		281,349
Apollo Commercial Real Estate Finance, Inc.		19,636		323,798
Ares Commercial Real Estate Corp.		12,108		150,260
Armada Hoffler Properties, Inc.		8,299		80,334
ARMOUR Residential REIT, Inc.		151,413		655,618
Ashford Hospitality Prime, Inc.		8,691		149,138
Ashford Hospitality Trust, Inc.		29,594		341,515
Associated Estates Realty Corp.		24,415		439,958
Aviv REIT, Inc.		8,244		232,233
Campus Crest Communities, Inc.		27,714		240,003
Capstead Mortgage Corp.		40,529		532,956
CareTrust REIT, Inc. (a)		8,992		178,042
Catchmark Timber Trust, Inc.		4,970		67,940
Cedar Realty Trust, Inc.		33,810		211,312
Chambers Street Properties		100,540		808,342
Chatham Lodging Trust		11,203		245,346
Chesapeake Lodging Trust		21,174		640,090
Colony Financial, Inc.		39,197		910,154
CorEnergy Infrastructure Trust, Inc.		13,163		97,538
Coresite Realty Corp.		9,026		298,490
Cousins Properties, Inc.		84,339		1,050,021
CubeSmart		61,165		1,120,543
CyrusOne, Inc.		8,359		208,139
CYS Investments, Inc.		68,951		621,938
DCT Industrial Trust, Inc.		140,006		1,149,449
DiamondRock Hospitality Co.		83,114		1,065,521
DuPont Fabros Technology, Inc.		27,079		730,050
Dynex Capital, Inc.		23,383		206,940
EastGroup Properties, Inc.		13,258		851,561
Education Realty Trust, Inc.		48,865		524,810
Empire State Realty Trust, Inc., Class A		39,051		644,341
EPR Properties		22,618		1,263,668
Equity One, Inc.		26,096		615,605
Excel Trust, Inc.		20,386		271,745
FelCor Lodging Trust, Inc.		52,708		553,961
First Industrial Realty Trust, Inc.		46,745		880,676
First Potomac Realty Trust		24,856		326,111
Franklin Street Properties Corp.		38,167		480,141
Geo Group, Inc.		30,722		1,097,697
Getty Realty Corp.		10,985		209,594
Gladstone Commercial Corp.		6,303		112,635
Glimcher Realty Trust		61,656		667,734
Government Properties Income Trust		23,117		586,941
Gramercy Property Trust, Inc.		50,014		302,585
Hatteras Financial Corp.		40,913		810,486
Healthcare Realty Trust, Inc.		40,711		1,034,874
Hersha Hospitality Trust (b)		85,328		572,551
Highwoods Properties, Inc.		38,214		1,603,077
Hudson Pacific Properties, Inc.		23,253		589,231
Inland Real Estate Corp.		37,167		395,085
Invesco Mortgage Capital, Inc.		52,185		905,932
Investors Real Estate Trust		45,200		416,292
iStar Financial, Inc. (a)		35,831		536,748
Kite Realty Group Trust		55,901		343,232
KYTHERA Biopharmaceuticals, Inc. (a)		7,353		282,135
LaSalle Hotel Properties		44,149		1,558,018
Lexington Realty Trust		87,325		961,448
LTC Properties, Inc.		14,762		576,308

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	75

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

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (concluded)
Mack-Cali Realty Corp.		37,653	$	808,786
Medical Properties Trust, Inc.		73,228		969,539
Monmouth Real Estate Investment Corp., Class A		23,633		237,275
National Health Investors, Inc.		13,985		874,902
New Residential Investment Corp.		120,278		757,751
New York Mortgage Trust, Inc.		38,453		300,318
New York REIT, Inc.		74,734		826,558
One Liberty Properties, Inc.		5,201		110,989
Owens Realty Mortgage, Inc. REIT		4,360		84,802
Parkway Properties, Inc.		30,182		623,258
Pebblebrook Hotel Trust		27,060		1,000,138
Pennsylvania Real Estate Investment Trust		29,191		549,375
PennyMac Mortgage Investment Trust (c)		31,456		690,145
Physicians Realty Trust		14,656		210,900
Potlatch Corp.		17,301		716,261
PS Business Parks, Inc.		8,242		688,125
QTS Realty Trust, Inc., Class A		5,141		147,187
RAIT Financial Trust		34,828		288,028
Ramco-Gershenson Properties Trust		28,787		478,440
Redwood Trust, Inc.		35,199		685,324
Resource Capital Corp.		54,789		308,462
Retail Opportunity Investments Corp.		31,852		501,032
Rexford Industrial Realty, Inc.		12,052		171,620
RLJ Lodging Trust		55,513		1,603,771
Rouse Properties, Inc.		15,908		272,186
Sabra Health Care REIT, Inc.		20,059		575,894
Saul Centers, Inc.		4,093		198,920
Select Income REIT		15,572		461,554
Silver Bay Realty Trust Corp.		14,202		231,777
Sovran Self Storage, Inc.		13,953		1,077,869
STAG Industrial, Inc.		21,883		525,411
Starwood Waypoint Residential Trust (a)		16,590		434,824
Strategic Hotels & Resorts, Inc. (a)		104,912		1,228,519
Summit Hotel Properties, Inc.		36,200		383,720
Sun Communities, Inc.		17,361		865,272
Sunstone Hotel Investors, Inc.		77,870		1,162,599
Terreno Realty Corp.		14,111		272,766
Trade Street Residential, Inc.		7,554		56,579
UMH Properties, Inc.		7,812		78,354
Universal Health Realty Income Trust		5,108		222,096
Urstadt Biddle Properties, Inc., Class A		10,578		220,869
Walter Investment Management Corp. (a)		16,023		477,165
Washington Real Estate Investment Trust		28,310		735,494
Western Asset Mortgage Capital Corp.		17,863		253,119
Whitestone REIT		9,334		139,170
Winthrop Realty Trust		15,391		236,252
				61,811,267
Recreational Vehicles & Boats – 0.4%
Arctic Cat, Inc.		5,496		216,652
Brunswick Corp.		39,323		1,656,678
Drew Industries, Inc.		10,027		501,450
Malibu Boats, Inc. (a)		3,037		61,044
Marine Products Corp.		4,468		37,085
Winnebago Industries, Inc. (a)		11,589		291,811
				2,764,720
Rental & Leasing Services: Consumer – 0.1%
Rent-A-Center, Inc.		22,418		642,948
Restaurants – 1.6%
Biglari Holdings, Inc. (a)		609		257,589
BJ’s Restaurants, Inc. (a)		10,063		351,299
Bob Evans Farms, Inc.		10,443		522,672
Bravo Brio Restaurant Group, Inc. (a)		8,134		126,972
Buffalo Wild Wings, Inc. (a)		8,002		1,326,012
Carrols Restaurant Group, Inc. (a)		14,620		104,094
The Cheesecake Factory, Inc.		21,150		981,783

Common Stocks	Shares		Value
Restaurants (concluded)
Cracker Barrel Old Country Store, Inc.		8,049	$	801,439
Denny’s Corp. (a)		37,073		241,716
Diamond Resorts International, Inc. (a)		15,017		349,446
DineEquity, Inc.		7,040		559,610
Einstein Noah Restaurant Group, Inc.		4,607		73,988
Ellie Mae, Inc. (a)		11,905		370,603
Famous Dave’s Of America, Inc. (a)		1,968		56,482
Fiesta Restaurant Group, Inc. (a)		11,357		527,078
Ignite Restaurant Group, Inc. (a)		3,176		46,243
Jack in the Box, Inc.		16,935		1,013,390
Jamba, Inc. (a)		7,433		89,939
Krispy Kreme Doughnuts, Inc. (a)		27,674		442,231
Nathan’s Famous, Inc. (a)		1,325		71,802
Noodles & Co. (a)(b)		4,652		159,982
Papa John’s International, Inc.		12,946		548,781
Papa Murphy’s Holdings, Inc. (a)		2,464		23,605
Popeyes Louisiana Kitchen, Inc. (a)		10,014		437,712
Potbelly Corp. (a)		6,252		99,782
Red Robin Gourmet Burgers, Inc. (a)		6,051		430,831
Ruby Tuesday, Inc. (a)		26,097		198,076
Ruth’s Hospitality Group, Inc.		15,275		188,646
Sonic Corp. (a)		23,038		508,679
Texas Roadhouse, Inc.		29,503		767,078
Zoe’s Kitchen, Inc. (a)		2,498		85,881
				11,763,441
Scientific Instruments: Control & Filter – 0.5%
Brady Corp., Class A		20,331		607,287
CIRCOR International, Inc.		7,482		577,087
Energy Recovery, Inc. (a)(b)		16,557		81,460
ESCO Technologies, Inc.		11,247		389,596
The Gorman-Rupp Co.		7,997		282,854
Sun Hydraulics Corp.		9,454		383,832
Thermon Group Holdings, Inc. (a)		13,509		355,557
Watts Water Technologies, Inc., Class A		12,081		745,760
				3,423,433
Scientific Instruments: Electrical – 0.6%
AZZ, Inc.		10,836		499,323
EnerSys, Inc.		19,891		1,368,302
Franklin Electric Co., Inc.		20,193		814,384
GrafTech International Ltd. (a)		49,868		521,619
Houston Wire & Cable Co.		7,506		93,150
Littelfuse, Inc.		9,516		884,512
Preformed Line Products Co.		1,128		60,720
Taser International, Inc. (a)		22,913		304,743
				4,546,753
Scientific Instruments: Gauges & Meters – 0.3%
Badger Meter, Inc.		6,137		323,113
FARO Technologies, Inc. (a)		7,309		359,018
Itron, Inc. (a)		16,652		675,238
Measurement Specialties, Inc. (a)		6,757		581,575
Mesa Laboratories, Inc.		1,156		97,058
Vishay Precision Group, Inc. (a)		5,334		87,798
				2,123,800
Scientific Instruments: Pollution Control – 0.3%
Ceco Environmental Corp.		8,902		138,782
Darling International, Inc. (a)		69,832		1,459,489
Heritage-Crystal Clean, Inc. (a)		3,911		76,773
Team, Inc. (a)		8,678		355,972
US Ecology, Inc.		9,133		447,060
				2,478,076
Securities Brokerage & Services – 0.3%
BGC Partners, Inc., Class A		73,670		548,105
FXCM, Inc.		19,349		289,461

See Notes to Financial Statements.
76	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

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

Common Stocks	Shares		Value
Securities Brokerage & Services (concluded)
Gain Capital Holdings, Inc.		9,767	$	76,866
GFI Group, Inc.		32,277		107,160
INTL. FCStone, Inc. (a)		6,377		127,030
Investment Technology Group, Inc. (a)		15,304		258,331
Ladenburg Thalmann Financial Services, Inc. (a)		41,865		131,875
MarketAxess Holdings, Inc.		15,959		862,744
SWS Group, Inc. (a)		12,308		89,602
				2,491,174
Semiconductors & Components – 2.8%
Aeroflex Holding Corp. (a)		8,439		88,610
Alpha & Omega Semiconductor Ltd. (a)		8,990		83,337
Amkor Technology, Inc. (a)		36,147		404,123
Applied Micro Circuits Corp. (a)		33,029		357,043
Audience, Inc. (a)		5,958		71,258
Cavium, Inc. (a)		22,374		1,111,093
Ceva, Inc. (a)		8,920		131,748
Cirrus Logic, Inc. (a)		26,313		598,358
Cypress Semiconductor Corp. (a)		66,862		729,464
Diodes, Inc. (a)		15,431		446,882
DSP Group, Inc. (a)		9,405		79,848
Entropic Communications, Inc. (a)		37,569		125,105
Exar Corp. (a)		16,717		188,902
Fairchild Semiconductor International, Inc. (a)		52,967		826,285
FormFactor, Inc. (a)		23,531		195,778
GT Advanced Technologies, Inc. (a)		57,777		1,074,652
Hittite Microwave Corp.		13,267		1,034,163
Inphi Corp. (a)		13,268		194,774
Integrated Device Technology, Inc. (a)		56,557		874,371
Integrated Silicon Solution, Inc. (a)		12,790		188,908
International Rectifier Corp. (a)		30,164		841,576
Intersil Corp., Class A		54,427		813,684
IXYS Corp.		10,355		127,574
Kopin Corp. (a)		27,880		90,889
Lattice Semiconductor Corp. (a)		49,882		411,527
M/A-COM Technology Solutions Holdings, Inc. (a)		5,052		113,569
MaxLinear, Inc., Class A (a)		11,658		117,396
Micrel, Inc.		18,884		213,012
Microsemi Corp. (a)		40,209		1,075,993
Monolithic Power Systems, Inc.		16,326		691,406
OmniVision Technologies, Inc. (a)		23,786		522,816
Pericom Semiconductor Corp. (a)		9,295		84,027
PLX Technology, Inc. (a)		17,073		110,462
PMC – Sierra, Inc. (a)		73,466		559,076
Power Integrations, Inc.		12,884		741,345
QuickLogic Corp. (a)		23,584		121,929
Rambus, Inc. (a)		48,161		688,702
RF Micro Devices, Inc. (a)		121,241		1,162,701
Rubicon Technology, Inc. (a)		11,240		98,350
Semtech Corp. (a)		28,511		745,563
Silicon Image, Inc. (a)		33,314		167,903
Silicon Laboratories, Inc. (a)		18,399		906,151
Spansion, Inc., Class A (a)		25,558		538,507
TriQuint Semiconductor, Inc. (a)		72,557		1,147,126
Vitesse Semiconductor Corp. (a)		20,251		69,866
				20,965,852
Semiconductors & Semiconductor Equipment – 0.1%
Ambarella, Inc. (a)(b)		12,217		380,926
Cascade Microtech, Inc. (a)		5,399		73,750
Xcerra Corp. (a)		20,494		186,496
				641,172
Shipping – 0.6%
Baltic Trading Ltd.		21,033		125,777
Frontline Ltd. (a)		28,697		83,795
GasLog Ltd.		17,850		569,237

Common Stocks	Shares		Value
Shipping (concluded)
Gulfmark Offshore, Inc., Class A		11,407	$	515,368
International Shipholding Corp.		2,309		52,922
Knightsbridge Tankers Ltd.		14,218		201,753
Matson, Inc.		18,246		489,723
Navios Maritime Holdings, Inc.		33,636		340,396
Nordic American Tankers Ltd.		37,799		360,225
Safe Bulkers, Inc.		16,597		161,987
Scorpio Tankers, Inc.		84,718		861,582
Ship Finance International Ltd.		24,991		464,583
Teekay Tankers Ltd., Class A (b)		26,215		112,462
Ultrapetrol Bahamas Ltd. (a)		9,205		27,339
UTI Worldwide, Inc.		38,884		402,061
				4,769,210
Software – 0.6%
Castlight Health, Inc. (a)		5,608		85,242
Compuware Corp.		93,128		930,349
Comverse, Inc. (a)		9,565		255,194
Five9, Inc. (a)		5,079		36,569
FleetMatics Group PLC (a)		15,819		511,586
Fusion-io, Inc. (a)		45,920		518,896
Gigamon, Inc. (a)		10,309		197,314
Kofax Ltd. (a)		32,216		277,057
Model N, Inc. (a)		8,217		90,798
Park City Group, Inc. (a)		3,999		43,549
Paycom Software, Inc. (a)		2,740		39,977
Qualys, Inc. (a)		8,469		217,399
Rally Software Development Corp. (a)		10,720		116,741
The Rubicon Project, Inc. (a)		3,369		43,258
Trulia, Inc. (a)		15,654		741,686
Vringo, Inc. (a)(b)		30,292		103,599
				4,209,214
Specialty Retail – 3.2%
1-800-Flowers.com, Inc., Class A (a)		10,569		61,300
America’s Car-Mart, Inc. (a)		3,316		131,148
American Eagle Outfitters, Inc.		82,577		926,514
ANN, Inc. (a)		19,842		816,300
Asbury Automotive Group, Inc. (a)		12,972		891,695
Aéropostale, Inc. (a)		33,480		116,845
Barnes & Noble, Inc. (a)		17,394		396,409
bebe Stores, Inc.		13,554		41,340
Big 5 Sporting Goods Corp.		7,863		96,479
Blue Nile, Inc. (a)		5,190		145,320
Brown Shoe Co., Inc.		18,493		529,085
The Buckle, Inc. (b)		11,954		530,279
Build-A-Bear Workshop, Inc. (a)		5,229		69,859
Burlington Stores, Inc. (a)		12,139		386,749
The Cato Corp., Class A		11,597		358,347
The Children’s Place Retail Stores, Inc.		9,326		462,849
Christopher & Banks Corp. (a)		15,490		135,692
Citi Trends, Inc. (a)		6,542		140,391
Conn’s, Inc. (a)		11,755		580,579
The Container Store Group, Inc. (a)(b)		7,304		202,905
Destination Maternity Corp.		5,756		131,064
Destination XL Group, Inc. (a)		14,578		80,325
Express, Inc. (a)		35,815		609,929
The Finish Line, Inc., Class A		20,377		606,012
Five Below, Inc. (a)		23,035		919,327
Francesca’s Holdings Corp. (a)		18,042		265,939
FTD Cos., Inc. (a)		8,024		255,083
Genesco, Inc. (a)		10,140		832,798
Group 1 Automotive, Inc.		10,250		864,178
Guess?, Inc.		26,075		704,025
Haverty Furniture Cos., Inc.		8,566		215,264
hhgregg, Inc. (a)(b)		5,361		54,521
Hibbett Sports, Inc. (a)(b)		10,997		595,708

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	77

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

Common Stocks	Shares		Value
Specialty Retail (concluded)
Lands’ End, Inc. (a)		6,955	$	233,549
Lithia Motors, Inc., Class A		9,663		908,998
Lumber Liquidators Holdings, Inc. (a)		11,645		884,438
MarineMax, Inc. (a)		10,489		175,586
Mattress Firm Holding Corp. (a)		6,349		303,165
The Men’s Wearhouse, Inc.		20,299		1,132,684
Monro Muffler Brake, Inc.		13,360		710,618
New York & Co., Inc. (a)		12,562		46,354
Office Depot, Inc. (a)		226,710		1,289,980
Pacific Sunwear of California, Inc. (a)		20,883		49,702
The Pep Boys-Manny Moe & Jack (a)		22,629		259,328
Pier 1 Imports, Inc.		40,228		619,914
Regis Corp.		18,524		260,818
Restoration Hardware Holdings, Inc. (a)		13,208		1,229,004
RetailMeNot, Inc. (a)		13,073		347,873
Shoe Carnival, Inc.		6,401		132,181
Shutterfly, Inc. (a)		16,333		703,299
Sonic Automotive, Inc., Class A		16,868		450,038
Sportsman’s Warehouse Holdings, Inc. (a)		4,085		32,680
Stage Stores, Inc.		13,429		250,988
Stamps.com, Inc. (a)		6,029		203,117
Stein Mart, Inc.		11,741		163,083
Systemax, Inc. (a)		4,676		67,194
Tilly’s, Inc., Class A (a)		4,722		37,965
Vitamin Shoppe, Inc. (a)		13,078		562,616
Zumiez, Inc. (a)		8,809		243,040
				24,452,470
Steel – 0.2%
AK Steel Holding Corp. (a)		58,040		461,998
Carbonite, Inc. (a)		7,551		90,386
Handy & Harman Ltd. (a)		2,073		55,494
Olympic Steel, Inc.		3,840		95,040
Schnitzer Steel Industries, Inc., Class A		11,079		288,830
Shiloh Industries, Inc. (a)		3,516		64,905
Universal Stainless & Alloy Products, Inc. (a)		2,989		97,083
				1,153,736
Technology: Miscellaneous – 0.3%
Benchmark Electronics, Inc. (a)		22,797		580,868
CTS Corp.		14,284		267,111
Fabrinet (a)		14,889		306,713
Pendrell Corp. (a)		70,012		123,221
Plexus Corp. (a)		14,352		621,298
				1,899,211
Telecommunications Equipment – 0.2%
Applied Optoelectronics, Inc. (a)		6,336		146,995
CalAmp Corp. (a)		15,231		329,904
Clearfield, Inc. (a)		4,869		81,751
Inteliquent, Inc.		13,743		190,615
Oclaro, Inc. (a)		39,884		87,745
Tessco Technologies, Inc.		2,384		75,644
Ubiquiti Networks, Inc. (a)(b)		12,606		569,665
Vocera Communications, Inc. (a)		9,741		128,581
				1,610,900
Textile Products – 0.1%
Culp, Inc.		3,592		62,537
The Dixie Group, Inc. (a)		6,294		66,654
Interface, Inc.		28,182		530,949
Unifi, Inc. (a)		6,165		169,722
				829,862
Textiles Apparel & Shoes – 0.9%
Columbia Sportswear Co.		5,781		477,800
Crocs, Inc. (a)		37,060		557,012
G-III Apparel Group Ltd. (a)		7,548		616,370

Common Stocks	Shares		Value
Textiles Apparel & Shoes (concluded)
Iconix Brand Group, Inc. (a)		19,378	$	832,091
Oxford Industries, Inc.		6,135		409,020
Perry Ellis International, Inc. (a)		5,104		89,014
Quiksilver, Inc. (a)		57,848		207,096
RG Barry Corp.		3,983		75,478
Sequential Brands Group, Inc. (a)		7,200		99,432
Skechers U.S.A., Inc., Class A (a)		16,538		755,786
Steven Madden Ltd. (a)		24,683		846,627
Tumi Holdings, Inc. (a)		21,555		433,902
Vera Bradley, Inc. (a)		9,257		202,450
Vince Holding Corp. (a)		4,724		172,993
Weyco Group, Inc.		2,708		74,226
Wolverine World Wide, Inc.		42,962		1,119,590
				6,968,887
Tobacco – 0.2%
22nd Century Group Inc. (a)		17,650		54,186
Alliance One International, Inc. (a)		38,341		95,852
Universal Corp.		9,874		546,526
Vector Group Ltd.		27,847		575,876
				1,272,440
Toys – 0.0%
JAKKS Pacific, Inc. (b)		7,831		60,612
LeapFrog Enterprises, Inc. (a)		27,957		205,484
				266,096
Transportation Miscellaneous – 0.4%
Echo Global Logistics, Inc. (a)		10,069		193,023
General Finance Corp. (a)		4,419		41,980
Hub Group, Inc., Class A (a)		15,552		783,821
Scorpio Bulkers, Inc. (a)		57,143		508,573
Textainer Group Holdings Ltd.		9,130		352,600
Wesco Aircraft Holdings, Inc. (a)		22,277		444,649
XPO Logistics, Inc. (a)		22,253		636,881
				2,961,527
Truckers – 0.7%
ArcBest Corp.		10,989		478,131
Celadon Group, Inc.		8,839		188,448
Forward Air Corp.		13,199		631,572
Heartland Express, Inc.		23,029		491,439
Knight Transportation, Inc.		25,332		602,142
Marten Transport Ltd.		10,062		224,886
PAM Transportation Services, Inc. (a)		1,289		36,041
Patriot Transportation Holding, Inc. (a)		2,793		97,671
Quality Distribution, Inc. (a)		11,529		171,321
Roadrunner Transportation Systems, Inc. (a)		11,822		332,198
Saia, Inc. (a)		10,443		458,761
Swift Transportation Co. (a)		36,109		911,030
Universal Truckload Services, Inc.		2,765		70,120
USA Truck, Inc. (a)		2,609		48,501
Werner Enterprises, Inc.		18,934		501,940
YRC Worldwide, Inc. (a)(b)		13,268		372,964
				5,617,165
Utilities: Electrical – 1.9%
ALLETE, Inc.		17,925		920,449
Atlantic Power Corp. (b)		51,213		209,973
Avista Corp.		25,483		854,190
Black Hills Corp.		18,875		1,158,736
Cleco Corp.		25,570		1,507,352
El Paso Electric Co.		17,059		685,942
The Empire District Electric Co.		18,254		468,763
IDACORP, Inc.		21,304		1,232,010
MGE Energy, Inc.		14,669		579,572
NorthWestern Corp.		16,550		863,745
NRG Yield, Inc., Class A		8,535		444,247

See Notes to Financial Statements.
78	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

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

Common Stocks	Shares		Value
Utilities: Electrical (concluded)
Otter Tail Corp.		15,413	$	466,860
Pattern Energy Group, Inc.		16,766		555,122
Pike Corp. (a)		11,341		101,615
PNM Resources, Inc.		33,731		989,330
Portland General Electric Co.		33,143		1,149,068
UIL Holdings Corp.		23,983		928,382
Unitil Corp.		5,845		197,736
UNS Energy Corp.		17,646		1,065,995
				14,379,087
Utilities: Gas Distributors – 0.9%
Chesapeake Utilities Corp.		4,084		291,312
The Laclede Group, Inc.		13,827		671,301
New Jersey Resources Corp.		17,844		1,019,963
Northwest Natural Gas Co.		11,451		539,915
Piedmont Natural Gas Co., Inc.		33,002		1,234,605
South Jersey Industries, Inc.		13,954		842,961
Southwest Gas Corp.		19,693		1,039,593
WGL Holdings, Inc.		21,954		946,217
				6,585,867
Utilities: Miscellaneous – 0.0%
Ormat Technologies, Inc.		7,524		216,917
Utilities: Telecommunications – 0.9%
8x8, Inc. (a)		37,648		304,196
Atlantic Tele-Network, Inc.		3,951		229,158
Boingo Wireless, Inc. (a)		9,879		67,473
Cbeyond, Inc. (a)		12,001		119,410
Cincinnati Bell, Inc. (a)		89,435		351,479
Cogent Communications Group, Inc.		19,685		680,117
Consolidated Communications Holdings, Inc.		16,951		376,990
Fairpoint Communications, Inc. (a)		8,780		122,657
General Communication, Inc., Class A (a)		15,162		167,995
Globalstar, Inc. (a)		116,071		493,302
GTT Communications, Inc. (a)		5,946		60,709
Hawaiian Telcom Holdco, Inc. (a)(b)		4,544		130,004
IDT Corp., Class B		7,016		122,219
inContact, Inc. (a)		25,755		236,688
Iridium Communications, Inc. (a)(b)		34,293		290,119
j2 Global, Inc.		20,114		1,022,998
Lumos Networks Corp.		8,053		116,527
magicJack VocalTec Ltd. (a)(b)		7,625		115,290
NeuStar, Inc., Class A (a)		9,676		251,769
NTELOS Holdings Corp.		7,244		90,260
ORBCOMM, Inc. (a)		18,710		123,299
Premiere Global Services, Inc. (a)		20,517		273,902
Shenandoah Telecommunications Co.		10,217		311,210
USA Mobility, Inc.		9,116		140,386
Vonage Holdings Corp. (a)		73,968		277,380
West Corp.		16,281		436,331
				6,911,868

Common Stocks	Shares		Value
Utilities: Water – 0.2%
American States Water Co.		16,449	$	546,600
Artesian Resources Corp., Class A		3,179		71,464
California Water Service Group		20,267		490,462
Connecticut Water Service, Inc.		4,567		154,684
Middlesex Water Co.		6,713		142,181
SJW Corp.		6,667		181,343
York Water Co.		5,465		113,781
				1,700,515
Total Common Stocks – 98.7%				744,123,402
Other Interests (e) – 0.0%	Beneficial Interest (000)
Gerber Scientific, Inc.	$	13		—
Rights – 0.0%	Shares
Utilities: Telecommunications – 0.0%
Leap Wireless, CVR (a)		28,200		71,064
Warrants (f) – 0.0%
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 – $467,695,654) – 98.7%				744,194,466
Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (c)(g)		8,533,148		8,533,148
	Beneficial Interest (000)
BlackRock Liquidity Series, LLC, Money Market Series, 0.18% (c)(g)(h)	$	16,991		16,991,002
Total Short-Term Securities (Cost – $25,524,150) – 3.4%				25,524,150
Total Investments (Cost – $493,219,804*) – 102.1%				769,718,616
Liabilities in Excess of Other Assets – (2.1)%				(15,881,573	)
Net Assets – 100.0%			$	753,837,043

Notes to Schedule of Investments

* As of June 30, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	511,269,396
Gross unrealized appreciation	$	287,415,981
Gross unrealized depreciation		(28,966,761	)
Net unrealized appreciation	$	258,449,220

(a) Non-income producing security.

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

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	79

Schedule of Investments (continued) Master Small Cap Index Series

(c) Investments in issuers considered to be an affiliate of the Series during the six months ended June 30, 2014, 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, 2013		Shares/Beneficial Interest Purchased		Shares/Beneficial Interest Sold			Shares/Beneficial Interest Held at June 30, 2014		Value at June 30, 2014		Income		Realized Loss
BlackRock Kelso Capital Corp.1		37,065		2,009		(39,074	)		—		—	$	17,111	$	(620	)
BlackRock Liquidity Funds, TempFund, Institutional Class		48,629,247		—		(40,096,099	)2		8,533,148	$	8,533,148	$	3,223		—
BlackRock Liquidity Series, LLC, Money Market Series	$	45,115,062		—	$	(28,124,060	)2	$	16,991,002	$	16,991,002	$	640,564		—
PennyMac Financial Services, Inc.		5,912		—		—			5,912	$	89,803		—		—
PennyMac Mortgage Investment Trust		28,588		2,868		—			31,456	$	690,145	$	38,554		—

¹  No longer held by the Series as of report date.

²  Represents net shares/beneficial interest sold.

(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, 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 June 30, 2014 were as follows:

Contracts Purchased	Issue		Exchange		Expiration		Notional Value		Unrealized Appreciation
93		Russell 2000 Mini Index		ICE Futures U.S. Indices		September 2014	$	11,069,790	$	209,641

• For Series compliance purposes, the Series’ sector classifications refer to any one or more of the industry 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 industry sub-classifications for reporting ease.

• Fair Value Measurements – Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 – unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Series has the ability to access

• Level 2 – other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

• Level 3 – unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Series’ own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Series’ policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Series’ policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements.

The following tables summarize the Series’ investments and derivative financial instruments categorized in the disclosure hierarchy as of June 30, 2014:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments3
Common Stocks	$	744,123,402		—		—	$	744,123,402
Rights		—		—	$	71,064		71,064
Short-Term Securities		8,533,148	$	16,991,002		—		25,524,150
Total	$	752,656,550	$	16,991,002	$	71,064	$	769,718,616

³  See above Schedule of Investments for values in each industry.

See Notes to Financial Statements.
80	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

Schedule of Investments (concluded) Master Small Cap Index Series

	Level 1		Level 2		Level 3		Total
Derivative Financial Instruments 1
Assets:
Equity contracts	$	209,641		—		—	$	209,641

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

The Series may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of June 30, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	295,759		—			—	$	295,759
Foreign currency at value		1,336		—			—		1,336
Liabilities:
Collateral on securities loaned at value		—	$	(16,991,002	)		—		(16,991,002	)
Total	$	297,095	$	(16,991,002	)		—	$	(16,693,907	)

There were no transfers between levels during the six months ended June 30, 2014.

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	81

Statements of Assets and Liabilities

June 30, 2014 (Unaudited)	Master International Index Series		Master Small Cap Index Series
Assets
Investments at value – unaffiliated1,2	$	1,081,885,587	$	743,414,518
Investments at value – affiliated3		2,668,935		26,304,098
Cash		10,799		295,759
Cash pledged for financial futures contracts		1,376,000		—
Foreign currency at value4		22,024,440		1,336
Contributions receivable from investors		5,695,311		—
Dividends receivable		5,464,181		809,165
Investments sold receivable		86,558		94,891,376
Variation margin receivable on financial futures contracts		49,128		73,996
Securities lending income receivable – affiliated		3,347		118,703
Investment advisor receivable		—		1,944
Prepaid expenses		3,299		2,332
Total assets		1,119,267,585		865,913,227
Liabilities
Collateral on securities loaned at value		912,766		16,991,002
Variation margin payable on financial futures contracts		111,003		—
Investment advisory fees payable		8,938		—
Investments purchased payable		6,678		75,206,049
Directors’ fees payable		6,432		4,034
Other affiliates payable		2,039		1,487
Withdrawals payable to investors		—		19,739,478
Other accrued expenses payable		108,871		134,134
Total liabilities		1,156,727		112,076,184
Net Assets	$	1,118,110,858	$	753,837,043
Net Assets Consist of
Investors’ capital	$	791,750,930	$	477,128,582
Net unrealized appreciation/depreciation		326,359,928		276,708,461
Net Assets	$	1,118,110,858	$	753,837,043
1 Investments at cost – unaffiliated	$	755,875,418	$	466,947,088
2 Securities loaned at value	$	870,113	$	14,822,003
3 Investments at cost – affiliated	$	2,668,935	$	26,272,716
4 Foreign currency at cost	$	21,844,762	$	1,336

See Notes to Financial Statements.
82	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

Statements of Operations

Six Months Ended June 30, 2014 (Unaudited)	Master International Index Series			Master Small Cap Index Series
Investment Income
Dividends – unaffiliated	$	29,830,139		$	4,704,491
Securities lending – affiliated – net		26,054			640,564
Dividends – affiliated		411			58,888
Foreign taxes withheld		(2,504,866	)		(5,337	)
Total income		27,351,738			5,398,606
Expenses
Accounting services		111,071			93,794
Custodian		64,604			118,205
Investment advisory		51,720			42,159
Professional		34,755			35,028
Directors		14,664			13,131
Printing		9,323			4,525
Miscellaneous		46,739			21,255
Total expenses		332,876			328,097
Less fees waived and/or reimbursed by Manager		(799	)		(20,543	)
Total expenses after fees waived and/or reimbursed		332,077			307,554
Net investment income		27,019,661			5,091,052
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments – unaffiliated		(1,473,327	)		34,127,331
Investments – affiliated		—			(620	)
Financial futures contracts		1,125,257			1,816,385
Foreign currency transactions		65,577			40
		(282,493	)		35,943,136
Net change in unrealized appreciation/depreciation on:
Investments		23,901,626			(17,381,276	)
Financial futures contracts		(865,353	)		(1,301,836	)
Foreign currency translations		183,301			—
		23,219,574			(18,683,112	)
Total realized and unrealized gain		22,937,081			17,260,024
Net Increase in Net Assets Resulting from Operations	$	49,956,742		$	22,351,076

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	83

Statements of Changes in Net Assets

	Master International Index Series
Increase (Decrease) in Net Assets:	Six Months Ended June  30, 2014 (Unaudited)			Year Ended December 31, 2013
Operations
Net investment income	$	27,019,661		$	26,032,478
Net realized loss		(282,493	)		(8,862,796	)
Net change in unrealized appreciation/depreciation		23,219,574			155,441,911
Net increase in net assets resulting from operations		49,956,742			172,611,593
Capital Transactions
Proceeds from contributions		165,486,526			274,848,943
Value of withdrawals		(110,146,419	)		(192,790,156	)
Net increase in net assets derived from capital transactions		55,340,107			82,058,787
Net Assets
Total increase in net assets		105,296,849			254,670,380
Beginning of period		1,012,814,009			758,143,629
End of period	$	1,118,110,858		$	1,012,814,009
	Master Small Cap Index Series
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2014 (Unaudited)			Year Ended December 31, 2013
Operations
Net investment income	$	5,091,052		$	10,262,296
Net realized gain		35,943,136			37,795,072
Net change in unrealized appreciation/depreciation		(18,683,112	)		181,146,437
Net increase in net assets resulting from operations		22,351,076			229,203,805
Capital Transactions
Proceeds from contributions		103,208,731			223,976,607
Value of withdrawals		(231,121,044	)		(175,553,424	)
Net increase (decrease) in net assets derived from capital transactions		(127,912,313	)		48,423,183
Net Assets
Total increase (decrease) in net assets		(105,561,237	)		277,626,988
Beginning of period		859,398,280			581,771,292
End of period	$	753,837,043		$	859,398,280

See Notes to Financial Statements.
84	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014

Financial Highlights Master International Index Series

	Six Months Ended June 30, 2014			Year Ended December 31,
	(Unaudited)			2013			2012			2011			2010			2009
Total Investment Return
Total Investment Return		4.74	%1		21.94	%		19.01	%		(12.34	)%		7.66	%		28.99	%
Ratio to Average Net Assets
Total expenses		0.06	%2		0.07	%		0.06	%		0.08	%		0.11	%		0.09	%
Total expenses after fees waived and paid indirectly		0.06	%2		0.07	%		0.06	%		0.08	%		0.10	%		0.09	%
Net investment income		5.22	%2		2.97	%		3.36	%		3.38	%		2.73	%		2.98	%
Supplemental Data
Net assets, end of period (000)	$	1,118,111		$	1,012,814		$	758,144		$	855,781		$	922,700		$	749,280
Portfolio turnover		1	%		8	%		21	%		6	%		8	%		30	%

Master Small Cap Index Series

	Six Months Ended June 30, 2014			Year Ended December 31,
	(Unaudited)			2013			2012			2011			2010			2009
Total Investment Return
Total investment return		3.16	%1		39.11	%		16.52	%		(4.30	)%		27.19	%		27.37	%
Ratios to Average Net Assets
Total expenses		0.08	%2,3		0.07	%		0.14	%		0.09	%		0.12	%		0.09	%
Total expenses after fees waived and/or reimbursed		0.07	%2,3		0.06	%		0.08	%		0.07	%		0.08	%		0.07	%
Net investment income		1.21	%2		1.46	%		2.13	%		1.46	%		1.27	%		1.27	%
Supplemental Data
Net assets, end of period (000)	$	753,837		$	859,398		$	581,771		$	529,054		$	338,172		$	229,637
Portfolio turnover		17	%		22	%		68	%		31	%		42	%		43	%

¹  Aggregate total investment return.

²  Annualized.

³  Ratio does not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.09%.

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	JUNE 30, 2014	85

Notes to Financial Statements (Unaudited) Quantitative Master Series LLC

1. Organization:

Master International Index Series ( “Master International Index”) and Master Small Cap Index Series (“Master Small Cap Index”) (collectively, the “Series”, or individually, a “Series”) are a series of Quantitative Master Series LLC (the “Master LLC”), which is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Master LLC 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.

The Series, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity Complex.

2. Significant Accounting Policies:

The Series’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. 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. Each Series is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Series:

Valuation: U.S. 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 Stock Market (“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.

Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. 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.

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

In the event that the 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 each 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, deems relevant consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and 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, regular reviews 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.

86 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2014

Notes to Financial Statements (continued) Quantitative Master Series LLC

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 (e.g., a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and valued at their fair value, as determined in good faith by the Global Valuation Committee, or its delegate, using a pricing service and/or policies approved by the Board. Each business day, the Series use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.

Foreign Currency: The Series’ books and records are maintained in U.S. 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 U.S. dollar rises in value against a foreign currency, the Series’ investments denominated in that currency will lose value because that currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value.

The Series do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Series report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally 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 forward 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 date). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. 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.

Recent Accounting Standard: In June 2014, the Financial Accounting Standards Board issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. The guidance is effective for financial statements with fiscal years beginning on or after December 15, 2014 and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Series’ financial statement disclosures.

Other: Expenses directly related to a Series are charged to that 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:

Preferred Stock: The Series may invest in preferred stock. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Securities Lending: The Series may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. government. The initial

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2014 87

Notes to Financial Statements (continued) Quantitative Master Series LLC

collateral received by the Series is required to have at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Series and any additional required collateral is delivered to the Series on the next business day. During the term of the loan, the Series earns dividend or interest income on the securities loaned but does not receive interest income on any securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return the 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. As of June 30, 2014, any securities on loan were collateralized by cash. The cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedules of Investments.

Securities lending transactions are entered into by the Series under Master Securities Lending Agreements (each, an “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. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left 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 an 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 an MSLA as of June 30, 2014:

Master International Index

Counterparty	Securities Loaned at Value		Cash  Collateral Received1			Net Amount
Credit Suisse Securities (USA) LLC	$	87,172	$	(87,172	)		—
JP Morgan Clearing Corp.		55,252		(55,252	)		—
Morgan Stanley & Co. LLC		727,689		(727,689	)		—
Total	$	870,113	$	(870,113	)		—

¹  Collateral with a value of $912,766 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.	$	140,967	$	(140,967	)		—
BNP Paribas Prime Brokerage, Inc.		225,846		(225,846	)		—
Citigroup Global Markets, Inc.		510,783		(510,783	)		—
Credit Suisse Securities (USA) LLC		572,959		(572,959	)		—
Deutsche Bank Securities, Inc.		339,830		(339,830	)		—
Goldman Sachs & Co.		3,932,756		(3,932,756	)		—
JP Morgan Clearing Corp.		3,112,196		(3,112,196	)		—
Merrill Lynch, Pierce, Fenner & Smith, Inc.		1,240,026		(1,240,026	)		—
Morgan Stanley & Co. LLC		4,056,511		(4,056,511	)		—
National Financial Services LLC		152,172		(152,172	)		—
SG Americas Securities LLC		437,457		(437,457	)		—
UBS Securities LLC		100,500		(100,500	)		—
Total	$	14,822,003	$	(14,822,003	)		—

²  Collateral with a value of $16,991,002 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 include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Series benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities lent if the collateral received does not cover the value on the securities loaned in the event of a borrower default. The Series 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.

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.

88 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2014

Notes to Financial Statements (continued) Quantitative Master Series LLC

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.

Forward Foreign Currency Exchange Contracts: The Series enter into forward 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 forward 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. Forward 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 forward 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.

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

Fair Values of Derivative Financial Instruments as of June 30, 2014
		Value
		Derivative Assets		Derivative Liabilities
	Statements of Assets and Liabilities Location	Master Small Cap  Index		Master International Index
Equity contracts	Net unrealized appreciation/depreciation1	$	209,641	$	(106,638	)

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

The Effect of Derivative Financial Instruments in the Statements of Operations Six Months Ended June 30, 2014
	Net Realized Gain (Loss) From				Net Change in Unrealized Appreciation/Depreciation on
	Master International Index		Master Small Cap Index		Master International Index			Master Small Cap Index
Equity contracts:
Financial futures contracts	$	1,125,257	$	1,816,385	$	(865,353	)	$	(1,301,836	)

For the six months ended June 30 2014, 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		353		171
Average notional value of contracts purchased	$	24,504,259	$	20,049,095

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.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2014 89

Notes to Financial Statements (continued) Quantitative Master Series LLC

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

In order to better define its contractual rights and to secure rights that will help the Series mitigate its counterparty risk, the Series may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between each 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, each 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. Bankruptcy or insolvency laws of a particular jurisdiction restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Series’ net assets decline by a stated percentage or the Series fails to meet the terms of its ISDA Master Agreements. The result 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 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 (typically either $250,000 or $500,000) before a transfer is required, which is determined at the close of business of the Series. Any additional required collateral is delivered to/pledged by the Series on the next business day. Typically, the Series and counterparties are not 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 bears the risk of loss from counterparty non-performance. Likewise, to the extent a Series has delivered collateral as a counterparty and stands ready to perform under the terms of its agreement with such counterparty, a Series bears the risk of loss from a counterparty on the amount of the value of the collateral in the event the counterparty fails to return such collateral.

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

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, Inc. (“BlackRock”).

The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with the Manager, the Series’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of the Series’ portfolios and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Series. For such services, the Series pays the Manager a monthly fee at an annual rate of 0.01% of the Series’ average daily net assets.

The Manager contractually agreed to waive and/or reimburse fees or expenses 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, 2015 unless approved by the Board, including a majority of the Independent Directors. For the six months ended June 30, 2014, Master Small Cap Index waived $12,895, which is included in fees waived by Manager in the Statements of Operations.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Series 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 six months ended June 30, 2014, the amounts waived for Master International Index and Master Small Cap Index were $799 and $7,648, respectively.

90 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2014

Notes to Financial Statements (continued) Quantitative Master Series LLC

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. Effective July 1, 2014, the sub-advisory agreement between the Manager and BIM, with respect to the Master Portfolio, expired.

For the six months ended June 30, 2014, Master International Index and Master Small Cap Index reimbursed the Manager $4,980 and $4,075, respectively, for certain accounting services, which is included in accounting services in the Statements of Operations.

The U.S. Securities and Exchange Commission has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Series, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Series are responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment advisor to the private investment company will not charge any advisory fees with respect to shares purchased by the Series.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. Each Series retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent. Pursuant to a securities lending agreement effective February 1, 2014, BIM may lend securities only when the difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”).

Pursuant to such agreement, each Series retains 80% of securities lending income. In addition, commencing the business day following the date that the aggregate securities lending income earned across the Equity-Liquidity Complex in a calendar year exceeds the aggregate securities lending income earned across the Equity-Liquidity Complex through the lending of specials only securities in the calendar year 2013, each Series, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income. Prior to February 1, 2014, each Series retained 65% of securities lending income and paid a fee to BIM equal to 35% of such income. The share of securities lending income earned by each Series is shown as securities lending — affiliated – net in the Statements of Operations. For the six months ended June 30, 2014, each Series paid BIM the following amounts for securities lending agent services:

Master International Index		Master Small Cap Index
$	7,919	$	187,880

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 due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2014, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

	Master Small Cap Index
Purchases	$	10,074,002
Sales	$	30,861,395

6. Purchases and Sales:

Purchases and sales of investments, excluding short-term securities, for the six months ended June 30, 2014, were as follows:

	Master International Index		Master Small Cap Index
Purchases	$	87,702,584	$	141,414,944
Sales	$	15,249,321	$	237,470,902

7. Income Tax Information:

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 U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Series’ U.S. 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.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2014 91

Notes to Financial Statements (concluded) Quantitative Master Series LLC

8. 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, $1.1 billion credit agreement with a group of lenders, under which the Series may borrow to fund shareholder redemptions. The agreement expires in April 2015. Excluding commitments designated for a certain individual fund, other Participating Funds, including the Series, can borrow up to an aggregate commitment amount of $650 million, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.06% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed. Participating Funds paid administration and arrangement fees which, along with commitment fees, were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. The Series did not borrow under the credit agreement during the six months ended June 30, 2014.

9. Concentration, Market and Credit Risk:

In the normal course of business, the Series invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Series may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Series; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Series may be exposed to counterparty credit risk, or the risk that an entity with which the Series have unsettled or open transactions may fail to or be unable to perform on its commitments. The Series manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counter-parties. The extent of the Series’ exposure to market, issuer and counterparty 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 their investment performance. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be less liquid, more volatile, and less subject to governmental supervision not typically associated with investing in U.S. securities. Please see the Schedules 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 European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Master International Index’s investments.

As of June 30, 2014, Master Small Cap Index invests 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 June 30, 2014, the Series had the following industry classifications:

Master International Index

Industry	Percent of Long-Term Investments
Commercial Banks		13	%
Pharmaceuticals		9	%
Oil, Gas & Consumable Fuels		7	%
Insurance		5	%
Other1		66	%

Master Small Cap Index

Industry	Percent of Long-Term Investments
Real Estate Investment Trusts		8	%
Banks: Diversified		7	%
Computer Services Software & Systems		6	%
Other1		79	%

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

10. 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.

92 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2014

Disclosure of Investment Advisory Agreements Master International Index Series

The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of Quantitative Master Series LLC (the “Master LLC”) met in person on April 24, 2014 (the “April Meeting”) and May 28-30, 2014 (the “May Meeting”) to consider the approval of the Master LLC’s investment advisory agreement (the “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager” or “BlackRock”), the Master LLC’s investment advisor, on behalf of Master International Index Series (the “Master Portfolio”), a series of the Master LLC. At the May Meeting, it was noted that the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and BlackRock Investment Management, LLC with respect to the Master Portfolio would expire effective July 1, 2014. It was also noted that the non-renewal of the Sub-Advisory Agreement would not result in any change in the nature or quality of services provided to the Master Portfolio, or in the portfolio management team that serves the Master Portfolio.

Activities and Composition of the Board

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

The Advisory Agreement

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

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

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

The Board has engaged in an ongoing strategic review with BlackRock of BlackRock’s product pipeline, opportunities to consolidate funds and BlackRock’s commitment to investment performance. BlackRock also furnished information to the Board in response to specific questions. These questions covered issues such as: BlackRock’s profitability, implementation of alternative investment strategies, investment performance, portfolio manager compensation and accountability, portfolio managers’ investments in the funds they manage, supplemental service agreements with third party distribution partners, subadvisory and advisory relationships with other clients (including mutual funds sponsored by third parties) and management fee levels and breakpoints. The Board further considered the importance of: (i) BlackRock’s management organization; (ii) marketing support for the funds; (iii) services provided to the funds by BlackRock affiliates; and (iv) BlackRock’s oversight of relationships with third party service providers.

Board Considerations in Approving the Advisory Agreement

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

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2014 93

Disclosure of Investment Advisory Agreements (continued) Master International Index Series

Peers”) and the investment performance of the representative feeder fund as compared with a peer group of funds as determined by Lipper¹, as well as the gross investment performance of the representative feeder fund as compared with its benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Advisory Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by the Master Portfolio to BlackRock; and (g) if applicable, a comparison of management fees to similar BlackRock open-end funds, as classified by Lipper.

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

At the May Meeting, the Board, including all the Independent Board Members, approved the continuation of the Advisory Agreement between the Manager and the Master LLC with respect to the Master Portfolio for a one-year term ending June 30, 2015. In approving the continuation of the Advisory Agreement, the Board considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Master Portfolio and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio; (d) the representative feeder fund’s costs to investors compared to the costs of Expense Peers and the representative feeder fund’s performance compared to the relevant performance comparison as previously discussed; (e) economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Master Portfolio; and (g) other factors deemed relevant by the Board Members.

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

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature,

¹  Funds are ranked by Lipper in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Master Portfolio. Throughout the year, the Board compared the representative feeder fund’s performance to the performance of a comparable group of mutual funds and/or the performance of a relevant benchmark, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Master Portfolio’s portfolio management team discussing the performance of the Master Portfolio and the representative feeder fund and the Master Portfolio’s investment objective, strategies and outlook.

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

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

B. The Investment Performance of the Master Portfolio and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Master Portfolio. The Board noted that the representative feeder fund’s investment results correspond directly to the investment results of the Master Portfolio. In preparation for the April Meeting, the Board worked with its independent legal counsel, BlackRock and Lipper to develop a template for, and was provided with,

94 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2014

Disclosure of Investment Advisory Agreements (continued) Master International Index Series

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

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

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio: The Board, including the Independent Board Members, reviewed the Master Portfolio’s contractual management fee rate compared with the other funds in the representative feeder fund’s Lipper category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the representative feeder fund’s total expense ratio, as well as the Master Portfolio’s actual management fee rate, to those of other funds in the representative feeder fund’s Lipper category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts.

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolio. The Board reviewed BlackRock’s profitability with respect to the Master Portfolio and other funds the Board currently oversees for the year ended December 31, 2013 compared to available aggregate profitability data provided for the two prior years. The Board reviewed BlackRock’s profitability with respect to certain other fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis,

noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

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

In addition, the Board considered the cost of the services provided to the Master Portfolio by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Master Portfolio and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs to the management of the Master Portfolio. The Board also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Advisory Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Master Portfolio in contrast to what is required of BlackRock with respect to other products with similar investment objectives across the open-end fund, ETF, closed-end fund and institutional account product channels, as applicable.

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

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

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

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2014 95

Disclosure of Investment Advisory Agreements (concluded) Master International Index Series

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

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

Conclusion

The Board, including all the Independent Board Members, approved the continuation of the Advisory Agreement between the Manager and the Master LLC with respect to the Master Portfolio for a one-year term ending June 30, 2015. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Advisory Agreement were fair and reasonable and in the best interest of the Master Portfolio and its interest holders. In arriving at its decision to approve the Advisory Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolio reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

96 QUANTITATIVE MASTER SERIES LLC JUNE 30,��2014

Disclosure of Investment Advisory Agreements Master Small Cap Index Series

The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of Quantitative Master Series LLC (the “Master LLC”) met in person on April 24, 2014 (the “April Meeting”) and May 28-30, 2014 (the “May Meeting”) to consider the approval of the Master LLC’s investment advisory agreement (the “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager” or “BlackRock”), the Master LLC’s investment advisor, on behalf of Master Small Cap Index Series (the “Master Portfolio”), a series of the Master LLC. At the May Meeting, it was noted that the sub-advisory agreement (“the Sub-Advisory Agreement”) between the Manager and BlackRock Investment Management, LLC with respect to the Master Portfolio would expire effective July 1, 2014. It was also noted that the non-renewal of the Sub-Advisory Agreement would not result in any change in the nature or quality of services provided to the Master Portfolio, or in the portfolio management team that serves the Master Portfolio.

Activities and Composition of the Board

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

The Advisory Agreement

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

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

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

The Board has engaged in an ongoing strategic review with BlackRock of BlackRock’s product pipeline, opportunities to consolidate funds and BlackRock’s commitment to investment performance. BlackRock also furnished information to the Board in response to specific questions. These questions covered issues such as: BlackRock’s profitability, implementation of alternative investment strategies, investment performance, portfolio manager compensation and accountability, portfolio managers’ investments in the funds they manage, supplemental service agreements with third party distribution partners, subadvisory and advisory relationships with other clients (including mutual funds sponsored by third parties) and management fee levels and breakpoints. The Board further considered the importance of: (i) BlackRock’s management organization; (ii) marketing support for the funds; (iii) services provided to the funds by BlackRock affiliates; and (iv) BlackRock’s oversight of relationships with third party service providers.

Board Considerations in Approving the Advisory Agreement

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

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Disclosure of Investment Advisory Agreements (continued) Master Small Cap Index Series

Peers”) and the investment performance of the representative feeder fund as compared with a peer group of funds as determined by Lipper¹, as well as the gross investment performance of the representative feeder fund as compared with its benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Advisory Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by the Master Portfolio to BlackRock; and (g) if applicable, a comparison of management fees to similar BlackRock open-end funds, as classified by Lipper.

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

At the May Meeting, the Board, including all the Independent Board Members, approved the continuation of the Advisory Agreement between the Manager and the Master LLC with respect to the Master Portfolio for a one-year term ending June 30, 2015. In approving the continuation of the Advisory Agreement, the Board considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Master Portfolio and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio; (d) the representative feeder fund’s costs to investors compared to the costs of Expense Peers and the representative feeder fund’s performance compared to the relevant performance comparison as previously discussed; (e) economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Master Portfolio; and (g) other factors deemed relevant by the Board Members.

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

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature,

¹  Funds are ranked by Lipper in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Master Portfolio. Throughout the year, the Board compared the representative feeder fund’s performance to the performance of a comparable group of mutual funds and/or the performance of a relevant benchmark, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Master Portfolio’s portfolio management team discussing the performance of the Master Portfolio and the representative feeder fund and the Master Portfolio’s investment objective, strategies and outlook.

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

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

B. The Investment Performance of the Master Portfolio and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Master Portfolio. The Board noted that the representative feeder fund’s investment results correspond directly to the investment results of the Master Portfolio. In preparation for the April Meeting, the Board worked with its independent legal counsel, BlackRock and Lipper to develop a template for, and was provided with,

98 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2014

Disclosure of Investment Advisory Agreements (continued) Master Small Cap Index Series

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

The Board noted that for the one-, three- and five-year periods reported, the representative feeder fund’s gross performance (before expenses and fees), as agreed upon by the Board, was out of tolerance, within tolerance and out of tolerance of its benchmark, respectively. BlackRock believes that gross performance relative to the benchmark is an appropriate performance metric for the representative feeder fund. The Board and BlackRock reviewed and discussed the reasons for the representative feeder fund’s out of tolerance performance during the one- and five-year periods. The Board was informed that, among other things, the two factors which caused the representative feeder fund to exceed the benchmark, by an out of tolerance amount, in the one- and five-year periods were the result of securities lending and other income items not contained in the benchmark.

The Board and BlackRock also discussed BlackRock’s strategy for improving the performance of the Master Portfolio/representative feeder fund and BlackRock’s commitment to providing the resources necessary to assist the Master Portfolio’s portfolio managers in seeking to improve the performance of the Master Portfolio/representative feeder fund.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio: The Board, including the Independent Board Members, reviewed the Master Portfolio’s contractual management fee rate compared with the other funds in the representative feeder fund’s Lipper category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the representative feeder fund’s total expense ratio, as well as the Master Portfolio’s actual management fee rate, to those of other funds in the representative feeder fund’s Lipper category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts.

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolio. The Board reviewed BlackRock’s profitability with respect to the Master Portfolio and other funds the Board currently oversees for the year ended December 31, 2013 compared to available aggregate profitability data provided for the two prior years. The Board reviewed BlackRock’s profitability with respect to certain other fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

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

In addition, the Board considered the cost of the services provided to the Master Portfolio by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Master Portfolio and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs to the management of the Master Portfolio. The Board also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Advisory Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Master Portfolio in contrast to what is required of BlackRock with respect to other products with similar investment objectives across the open-end fund, ETF, closed-end fund and institutional account product channels, as applicable.

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

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolio increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Master Portfolio benefits from such economies and

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Disclosure of Investment Advisory Agreements (concluded) Master Small Cap Index Series

whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Master Portfolio to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the asset level of the Master Portfolio. In their consideration, the Board Members took into account the existence of any expense caps and further considered the continuation and/or implementation, as applicable, of such caps.

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

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

Conclusion

The Board, including all the Independent Board Members, approved the continuation of the Advisory Agreement between the Manager and the Master LLC with respect to the Master Portfolio for a one-year term ending June 30, 2015. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Advisory Agreement were fair and reasonable and in the best interest of the Master Portfolio and its interest holders. In arriving at its decision to approve the Advisory Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolio reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

100 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2014

Officers and Directors

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

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

Paul L. Audet, Director

David O. Beim, Director

Frank J. Fabozzi, Director

Henry Gabbay, Director

Dr. Matina S. Horner, Director

Herbert I. London, Director

Ian A. MacKinnon, Director

Cynthia A. Montgomery, Director

Joseph P. Platt, Director

Robert C. Robb, Jr., Director

Toby Rosenblatt, Director

Kenneth L. Urish, Director

Frederick W. Winter, Director

John M. Perlowski, President and Chief Executive Officer

Brendan Kyne, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Charles Park, Chief Compliance Officer and Anti-Money Laundering Officer

Benjamin Archibald, Secretary

Effective May 30, 2014, Brian Kindelan resigned as Chief Compliance Officer and Anti-Money Laundering Officer of the Funds and Charles Park became Chief Compliance Officer and Anti-Money Laundering Officer of the Funds. Mr. Park joined BlackRock in 2009 and is the current Chief Compliance Officer of the BlackRock iShares exchange traded funds.

Investment Advisor	Custodians	Transfer Agent	Legal Counsel	Address of  the Funds
BlackRock Advisors, LLC Wilmington, DE 19809	JP Morgan Chase, N.A.1 Brooklyn, NY 11245 State Street Bank and Trust Company2 Boston, MA 02110	BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Sidley Austin LLP New York, NY 10019	100 Bellevue Parkway Wilmington, DE 19809
Sub-Advisor	Accounting Agent	Distributor	Independent Registered Public Accounting Firm
BlackRock Investment Management, LLC Princeton, NJ 08540	State Street Bank and Trust Company Boston, MA 02110	BlackRock Investments, LLC New York, NY 10022	Deloitte & Touche LLP Boston, MA 02116

¹  For International Index Fund.

²  For Small Cap Index Fund.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2014 101

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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 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, D.C. 20549-1520. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (202) 551-8090.	Availability of Proxy Voting Policy and Records A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available in each Fund’s Statement of Additional Information, which may be obtained free of charge on www.americanbeaconfunds.com and by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. Each Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009.

Fund Service Providers:

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

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

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

SAR 6/14

About American Beacon Advisors

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

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

Contents
President’s Message	1
Performance Overview	2
Schedule of Investments	5
Financial Statements	6
Notes to the Financial Statements	9
Financial Highlights	18
Additional Information	Back Cover

Investing in fixed-income securities entails interest rate risk, which is the risk that fixed-income securities will decrease in value with increases in market interest rates. Credit risk is the risk that the issuer of a bond will fail to make timely payment of interest or principal; and the decline in an issuer’s credit rating can cause the price of its bonds to go down. In a period of sustained deflation, the inflation-indexed securities may not pay any income and may suffer a loss. A security backed by the U.S. Treasury is guaranteed only as to the timely payment of interest and principal when held to maturity. The market prices for such securities are not guaranteed and will fluctuate. They are also subject to credit risk and interest rate risk. Please see the prospectus for a complete discussion of the Fund’s risks. There can be no assurances that the investment objectives of this Fund will be met.

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

American Beacon Funds June 30, 2014

Dear Shareholders,

For what appears to be a simple concept, inflation can be difficult to define. For instance, the U.S. Federal Reserve Bank has long set its target for inflation at 2%. Since the Federal Reserve’s monetary policies affect so much of our economy, it’s reasonable for investors to watch the measure of inflation known as “Personal Consumption Expenditures,” or PCE, which is the Federal Reserve’s preferred metric.

Treasury inflation-protected securities (“TIPS”), on the other hand, use the Labor Department’s preferred measure of inflation, the Consumer Price Index, to adjust their rates. CPI, also known as headline inflation, is simply a weighted average of prices of a basket of basic consumer goods and services. PCE, on the other hand, tries to adjust for the American consumer’s changing spending habits, rather than the price of a fixed basket of goods.

Between the two indexes, the CPI tends to show more inflation than the PCE. Between January 1995 and May 2013, the average rate of inflation was 2.4% when measured by CPI but just 2.0% when measured by PCE. Over the 12 months that ended in May of this year, the PCE index has risen by just 1.6%, while the more commonly used CPI has risen by 2.1%.

The Federal Reserve switched from CPI as its primary inflation measure prior to PCE in 2000. Some feel that it weighs how people spend their money more accurately, since consumers substitute some goods and services as their prices change. But CPI remains the more widely used measure. It’s also the measure that investors in the American Beacon Treasury Inflation Protected Securities Fund should keep an eye on.

For the six months ended June 30, 2014, the American Beacon Treasury Inflation Protected Securities Fund (Investor Class) returned 3.61%.

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

Best Regards,

Gene L. Needles, Jr.

President

American Beacon Funds

1

American Beacon Treasury Inflation Protected Securities Fund^SM

Performance Overview

June 30, 2014 (Unaudited)

The Investor Class of the American Beacon Treasury Inflation Protected Securities Fund (the “Fund”) returned 3.61% for the six months ended June 30, 2014, trailing the Barclays Capital 1-10 Year U.S. TIPS Index (the “Index”) return of 4.00%.

Total Returns for the Period ended 6/30/14

	6 Months*			1 Year			5 Years			10 Years
Institutional Class(1,7,8)		3.87	%		3.37	%		4.37	%		4.28	%
Y Class (1,2,7,8)		3.66	%		2.97	%		4.06	%		4.13	%
Investor Class(1,3,7,8)		3.61	%		2.91	%		3.96	%		4.06	%
A Class without sales load (1,4,7,8)		3.52	%		2.62	%		3.68	%		3.92	%
A Class with sales load (1,4,7,8)		-1.40	%		-2.22	%		2.68	%		3.41	%
C Class without sales load (1,5,7,8)		3.10	%		1.78	%		3.08	%		3.61	%
C Class with sales load (1,5,7,8)		2.10	%		0.78	%		3.08	%		3.61	%
Barclays Capital 1-10 Yr. U.S. TIPS Index(6)		4.00	%		3.59	%		4.46	%		4.80	%
Barclays Capital U.S. TIPS Index(6)		5.83	%		4.44	%		5.55	%		5.25	%

* Not annualized

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

2. Fund performance for the five-year and ten-year 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 ten-year 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 ten-year 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 ten-year 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. A portion of the fees charged to the Y, A, and C Classes has been waived since 2011. Performance prior to waiving fees was lower than the actual returns shown.

8. The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 0.40%, 0.63%, 0.79%, 1.06%, 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 positive absolute returns for the six-month time period, with March as the only month with a negative return during the period. Financial conditions reached near peak levels since the start of the financial crisis, as equity markets reached all-time highs, credit spreads tightened, and absolute yield levels declined during the period.

        From a yield curve positioning standpoint, the Fund’s relative underperformance stemmed from poor issue selection within the 3-4 year maturity range. The Fund benefited from overweighting the 8-9 year maturity range (up 6.8%) and from security selection within the 6-7 year maturity range.

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

2

American Beacon Treasury Inflation Protected Securities Fund^SM

Performance Overview

June 30, 2014 (Unaudited)

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 4/15/2017	12.5
U.S. Treasury Inflation Index Security, 0.125%, Due 1/15/2022	11.5
U.S. Treasury Inflation Index Security, 0.125%, Due 4/15/2016	10.3
U.S. Treasury Inflation Index Security, 0.125%, Due 7/15/2022	9.5
U.S. Treasury Inflation Index Security, 1.25%, Due 7/15/2020	8.4
U.S. Treasury Inflation Index Security, 0.125%, Due 1/15/2023	6.6
U.S. Treasury Inflation Index Security, 0.125%, Due 4/15/2018	5.5
U.S. Treasury Inflation Index Security, 2.125%, Due 1/15/2019	4.7
U.S. Treasury Inflation Index Security, 0.375%, Due 7/15/2023	4.5
U.S. Treasury Inflation Index Security, 0.625%, Due 7/15/2021	3.1
Total Fund Holdings	23

Portfolio Statistics
Effective Maturity (years)	5.2
Effective Duration (years)	5.1
3-Year Standard Deviation	3.8
Security Type (% of Total Investments)
Treasury Inflation Protected Securities	99.6
Short-Term Investments	0.4

3

American Beacon Treasury Inflation Protected Securities Fund^SM

Fund Expenses

June 30, 2014 (Unaudited)

Fund Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees if applicable, and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2014 through June 30, 2014.

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 cost would have been $15 higher.

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

	Beginning Account Value 1/1/14		Ending Account Value 6/30/14		Expenses Paid During Period* 1/1/14 - 6/30/14
Institutional Class
Actual	$	1,000.00	$	1,038.69	$	1.52
Hypothetical **	$	1,000.00	$	1,023.31	$	1.51
Y Class
Actual	$	1,000.00	$	1,036.64	$	3.08
Hypothetical **	$	1,000.00	$	1,021.77	$	3.06
Investor Class
Actual	$	1,000.00	$	1,036.13	$	3.48
Hypothetical **	$	1,000.00	$	1,021.37	$	3.46
A Class
Actual	$	1,000.00	$	1,035.19	$	5.05
Hypothetical **	$	1,000.00	$	1,019.84	$	5.01
C Class
Actual	$	1,000.00	$	1,031.00	$	9.01
Hypothetical **	$	1,000.00	$	1,015.92	$	8.95

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.30%, 0.61%, 0.69%, 1.00%, and 1.79% for the Institutional, Y, Investor, A, and C Class, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

4

American Beacon Treasury Inflation Protected Securities Fund ^SM

Schedule of Investments

June 30, 2014 (Unaudited)

	Par Amount		Fair Value
	(000’s)		(000’s)
U.S. TREASURY OBLIGATIONS - 99.25%
0.50%, Due 4/15/2015A	$	2,773	$	2,813
1.875%, Due 7/15/2015A		6,531		6,783
2.00%, Due 1/15/2016A		5,786		6,101
0.125%, Due 4/15/2016A		23,879		24,505
2.50%, Due 7/15/2016A		4,368		4,740
0.125%, Due 4/15/2017A		28,753		29,742
1.625%, Due 1/15/2018A		2,648		2,888
0.125%, Due 4/15/2018A		12,629		13,045
1.375%, Due 7/15/2018A		4,161		4,546
2.125%, Due 1/15/2019A		10,069		11,340
0.125%, Due 4/15/2019A		7,066		7,276
1.875%, Due 7/15/2019A		5,229		5,886
1.375%, Due 1/15/2020A		5,141		5,639
1.25%, Due 7/15/2020A		18,299		20,053
1.125%, Due 1/15/2021A		3,999		4,331
0.625%, Due 7/15/2021A		6,941		7,312
0.125%, Due 1/15/2022A		27,293		27,474
0.125%, Due 7/15/2022A		22,477		22,629
0.125%, Due 1/15/2023A		15,738		15,684
0.375%, Due 7/15/2023A		10,568		10,773
0.625%, Due 1/15/2024A		391		405
2.375%, Due 1/15/2025A		1,427		1,729
2.375%, Due 1/15/2027A		1,070		1,313
Total U.S. Treasury Obligations (Cost $236,045)				237,007
	Shares
SHORT-TERM INVESTMENTS - 0.37% (Cost $891)
JPMorgan U.S. Government Money Market Fund, Capital Class		891,212		891
TOTAL INVESTMENTS - 99.62% (Cost $236,936)				237,898
OTHER ASSETS, NET OF LIABILITIES - 0.38%				896
TOTAL NET ASSETS - 100.00%			$	238,794

Percentages are stated as a percent of net assets.

^A  Inflation-Indexed Note.

See accompanying notes

5

American Beacon Treasury Inflation Protected Securities Fund^SM

Statement of Assets and Liabilities

June 30, 2014 (Unaudited) (in thousands, except share and per share amounts)

Assets:
Investments in unaffiliated securities, at fair valueA	$	237,898
Receivable for fund shares sold		416
Dividends and interest receivable		636
Receivable for expense reimbursement (Note 2)		19
Prepaid expenses		63
Total assets		239,032
Liabilities:
Payable for fund shares redeemed		125
Management and investment advisory fees payable		20
Administrative service and service fees payable		30
Transfer agent fees payable		10
Custody and fund accounting fees payable		5
Professional fees payable		22
Prospectus and shareholder reports fees payable		17
Trustee fees payable		5
Other liabilities		4
Total liabilities		238
Net assets	$	238,794
Analysis of Net Assets:
Paid-in-capital		241,171
Undistributed net investment income		2,369
Accumulated net realized (loss)		(5,708	)
Unrealized appreciation of investments		962
Net assets	$	238,794
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		21,833,412
Y Class		55,521
Investor Class		266,025
A Class		67,364
C Class		22,828
Net assets (not in thousands):
Institutional Class	$	234,426,665
Y Class	$	596,823
Investor Class	$	2,821,968
A Class	$	713,350
C Class	$	235,289
Net asset value, offering and redemption price per share:
Institutional Class	$	10.74
Y Class	$	10.75
Investor Class	$	10.61
A Class	$	10.59
A Class (offering price)	$	11.12
C Class	$	10.31
A Cost of investments in unaffiliated securities	$	236,936

See accompanying notes

6

American Beacon Treasury Inflation Protected Securities Fund ^SM

Statement of Operations

For the Six Months ended June 30, 2014 (Unaudited) (in thousands)

Investment Income:
Interest income	$	2,706
Total investment income		2,706
Expenses:
Management and investment advisory fees (Note 2)		125
Administrative service fees (Note 2):
Institutional Class		161
Y Class		1
Investor Class		5
A Class		2
C Class		1
Transfer agent fees:
Institutional Class		29
Investor Class		1
Custody and fund accounting fees		20
Professional fees		25
Registration fees and expenses		29
Service fees (Note 2):
Investor Class		4
A Class		1
Distribution fees (Note 2):
A Class		1
C Class		1
Prospectus and shareholder report expenses		20
Trustee fees		6
Other expenses		15
Total expenses		447
Net fees waived and expenses reimbursed (Note 2)		(110	)
Net expenses		337
Net investment income		2,369
Realized and unrealized gain (loss) from investments:
Net realized (loss) from:
Investments		(264	)
Change in net unrealized appreciation of:
Investments		6,213
Net gain from investments		5,949
Net increase in net assets resulting from operations	$	8,318

See accompanying notes

7

American Beacon Treasury Inflation Protected Securities Fund^SM

Statement of Changes in Net Assets (in thousands)

	Six Months Ended June 30, 2014			Year Ended December 31, 2013
	(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	2,369		$	(528	)
Net realized (loss) from investments		(264	)		(5,176	)
Change in net unrealized appreciation or (depreciation) from investments		6,213			(7,869	)
Net increase (decrease) in net assets resulting from operations		8,318			(13,573	)
Distributions to Shareholders:
Net investment income:
Institutional Class		—			—
Y Class		—			—
Investor Class		—			—
A Class		—			—
C Class		—			—
Net distributions to shareholders		—			—
Capital Share Transactions:
Proceeds from sales of shares		47,485			119,052
Reinvestment of dividends and distributions		—			—
Cost of shares redeemed		(24,601	)		(121,698	)
Net increase (decrease) in net assets from capital share transactions		22,884			(2,646	)
Net increase (decrease) in net assets		31,202			(16,219	)
Net Assets:
Beginning of period		207,592			223,811
End of Period *	$	238,794		$	207,592
*Includes undistributed net investment income (loss) of	$	2,369		$	(1	)

See accompanying notes

8

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

1. Organization and Significant Accounting Policies

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

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

Class Disclosure

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

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

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 and the Trust. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Fund an annualized fee equal to 0.05% of the average daily net assets. The Fund pays the unaffiliated investment advisors hired to direct investment activities of the Fund. Management fees paid during the six months ended June 30, 2014 were as follows (in thousands):

Management Fee Rate	Management Fee	Amounts Paid to Investment Sub-Advisors	Net Amount Retained by Manager
0.11%	$125	$70	$55

Administrative Services Agreement

The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative services to the Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of 0.15% of the

9

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

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

Distribution Plans

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

A separate Distribution Plan (the “Distribution Plan”) has been adopted pursuant to Rule 12b-1 under the Act for the A and C Classes of the Fund. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C 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 expenses incurred in a particular month by the Manager for distribution assistance.

Services Plan

The Manager and the Trust entered into a Service Plan which obligates the Manager to oversee additional shareholder servicing of the Y, Investor, A, and C Classes of the Fund. As compensation for performing the duties required under the Service Plan, the Manager receives an annualized fee of 0.10% of the average daily net assets of the Y Class, 0.15% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Fund. Service fees for the Y and C Classes for the six months ended June 30, 2014 were less than $500.

Interfund Lending Program

Pursuant to an exemptive order by the Securities and Exchange Commission (“SEC”), the Fund, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from other participating Funds. For the six months ended June 30, 2014, 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 $19,363 was receivable from the Manager at June 30, 2014. For the six months ended June 30, 2014, the Manager reimbursed expenses as follows:

	Expense Cap and Limits		Expiration of Reimbursements
Class	1/1/14 to 6/30/14	Reimbursed Expenses
Institutional	0.10%*	$107,110	2017
Y	0.61%	79	2017
Investor	0.69%	2,611	2017
A	1.00%	177	2017
C	1.78%	14	2017

* The Manager has contractually agreed to reduce the Administrative Service Fees for the Institutional Class in an amount equal to 0.10% of the average daily net assets of the class through April 1, 2015.

The Fund has adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of fees waived or expenses reimbursed for a period of up to three years. However, reimbursement will occur only

10

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

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, $246,503 and $207,574 which will expire in 2014, 2015, and 2016 respectively. The Fund has not recorded a liability for these potential reimbursements, due to the current assessment that reimbursements are unlikely.

Sales Commissions

The Fund’s distributor, Foreside Fund Services, LLC (“Foreside”) may receive a portion of A Class sales charges from broker dealers and it may be used to offset distribution related expenses. For the six months ended June 30, 2014, Foreside collected $696 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 six months ended June 30, 2014, 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 six months ended June 30, 2014, 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 open-end mutual funds are valued at the closing net asset value (“NAV”) per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method, which approximates fair value.

Securities for which market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Board of Trustees (the “Board”).

Valuation Inputs

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

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

11

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

Level 2 –	Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. Level 2 securities are fixed-income securities that are valued using observable inputs as stated above.
Level 3 –	Prices determined using 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. During the six months ended June 30, 2014, there were no transfers between levels. As of June 30, 2014, the investments were classified as described below (in thousands):

	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	237,007	$	—	$	237,007
Short-Term Investments – Money Market Funds		891		—		—		891
Total Investments in Securities	$	891	$	237,007	$	—	$	237,898

Security Transactions and Investment Income

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

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

Dividends to Shareholders

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

12

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

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

4. Securities and Other Investments

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 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 Fund trades 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

13

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

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 Fund’s income. Similar to credit risk, the Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has 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 Fund’s investments may be illiquid and the Fund 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 Fund employs 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 June 30, 2014.

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 were as follows (in thousands):

	Six Months Ended June 30, 2014		Year Ended December 31, 2013
	(unaudited)
Distributions paid from:
Ordinary income:*
Institutional Class	$	—	$	—
Y Class		—		—
Investor Class		—		—
A Class		—		—
C Class		—		—
Total distributions paid	$	—	$	—

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

As of June 30, 2014, the components of distributable earnings or (deficits) on a tax basis were as follows (in thousands):

14

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

Cost basis of investments for federal income tax purposes	$	239,375
Unrealized appreciation		771
Unrealized depreciation		(2,248	)
Net unrealized appreciation or (depreciation)		(1,477	)
Undistributed ordinary income		2,369
Undistributed long-term gain or (loss)		(3,269	)
Other temporary differences		—
Distributable earnings or (deficits)	$	(2,377	)

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 rounding differences as of June 30, 2014 (in thousands):

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

Under the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”), net capital losses recognized by the Fund 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 Fund 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.

As of June 30, 2014, the Fund has $2,725 of short-term and $544 of long-term post enactment capital loss carryforwards (in thousands).

7. Investment Transactions

Purchases and proceeds from sales of investments for the six months ended June 30, 2014, excluding short-term investments, were $168,947 and $145,901, respectively (in thousands). 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 Six Months Ended June 30, 2014

	Institutional Class						Y Class						Investor Class
	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		4,489		$	47,242			5		$	51			10		$	100
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(2,128	)		(22,335	)		(10	)		(103	)		(173	)		(1,796	)
Net increase (decrease) in shares outstanding		2,361		$	24,907			(5	)	$	(52	)		(163	)	$	(1,696	)

15

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2014 (Unaudited)

	A Class						C Class
	Shares			Amount			Shares			Amount
Shares sold		9		$	91			—		$	—
Reinvestment of dividends		—			—			—			—
Shares redeemed		(19	)		(196	)		(17	)		(171	)
Net (decrease) in shares outstanding		(10	)	$	(105	)		(17	)	$	(171	)

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
	Shares			Amount			Shares			Amount
Shares sold		53		$	563			12		$	132
Reinvestment of dividends		—			—			—			—
Shares redeemed		(43	)		(458	)		(1	)		(12	)
Net increase in shares outstanding		10		$	105			11		$	120

16

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17

American Beacon Treasury Inflation Protected Securities Fund ^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class																		Y Class
	Six																		Six
	Months																		Months			Year
	Ended																		Ended			Ended
	June 30,			Year Ended December 31,															June 30,			Dec. 31,
	2014			2013			2012			2011			2010			2009A			2014			2013
	(unaudited)																		(unaudited)
Net asset value, beginning of period	$	10.34		$	10.97		$	11.16		$	10.51		$	10.16		$	9.20		$	10.37		$	11.03
Income from investment operations:
Net investment income (loss)		0.12			(0.02	)		0.04			0.28			0.16			0.06			0.09			(0.07	)
Net gains (losses) from investments (both realized and unrealized)		0.28			(0.61	)		0.49			0.67			0.35			0.95			0.29			(0.59	)
Total income (loss) from investment operations		0.40			(0.63	)		0.53			0.95			0.51			1.01			0.38			(0.66	)
Less distributions:
Dividends from net investment income		—			—			(0.07	)		(0.29	)		(0.16	)		(0.05	)		—			—
Distributions from net realized gains		—			—			(0.49	)		—			—			—			—			—
Tax return of capital		—			—			(0.16	)B		(0.01	)B		—			—			—			—
Total distributions		—			—			(0.72	)		(0.30	)		(0.16	)		(0.05	)		—			—
Net asset value, end of period	$	10.74		$	10.34		$	10.97		$	11.16		$	10.51		$	10.16		$	10.75		$	10.37
Total return C		3.87	%D		(5.74	)%		4.80	%		9.14	%		5.03	%		11.00	%		3.66	%D		(5.98	)%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	234,427		$	201,381		$	202,274		$	206,864		$	157,195		$	155,833		$	597		$	627
Ratios to average net assets (annualized):
Expenses, before reimbursements		0.40	%E		0.39	%		0.37	%		0.36	%		0.35	%		0.36	%		0.64	%E		0.63	%
Expenses, net of reimbursements		0.30	%E		0.30	%		0.27	%		0.26	%		0.25	%		0.26	%		0.61	%E		0.61	%
Net investment income (loss), before reimbursements		2.08	%E		(0.31	)%		0.64	%		2.24	%		1.40	%		0.59	%		1.70	%E		(0.59	)%
Net investment income (loss), net of reimbursements		2.18	%E		(0.21	)%		0.74	%		2.34	%		1.50	%		0.69	%		1.72	%E		(0.57	)%
Portfolio turnover rate		66	%D		252	%		286	%		381	%		214	%		180	%		66	%D		252	%

^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 less than $0.01 per share.

18

American Beacon Treasury Inflation Protected Securities Fund ^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class									Investor Class																		A Class
									Six Months Ended June 30,																		Six Months Ended June 30,
						March 1 to Dec. 31,																		March 2 to Dec. 31,															May 17 to Dec. 31,
Year Ended December 31,												Year Ended December 31,																		Year Ended December 31,
2012			2011			2010			2014			2013			2012			2011			2010			2009A			2014			2013			2012			2011			2010
									(unaudited)																		(unaudited)
	$11.24		$	10.60		$	10.25		$	10.24		$	10.90		$	11.12		$	10.48		$	10.13		$	9.25		$	10.23		$	10.93		$	11.15		$	10.54		$	10.35
	0.09			0.26			0.05			0.00			(0.13	)		0.06			0.24			0.06			0.14			0.04			(0.07	)		0.00	H		0.10			0.04
	0.41			0.65			0.35			0.37			(0.53	)		0.42			0.66			0.41			0.79			0.32			(0.63	)		0.45			0.76			0.19
	0.50			0.91			0.40			0.37			(0.66	)		0.48			0.90			0.47			0.93			0.36			(0.70	)		0.45			0.86			0.23
	(0.06	)		(0.26	)		(0.05	)		—			—			(0.05	)		(0.25	)		(0.12	)		(0.05	)		—			—			(0.02	)		(0.24	)		(0.04	)
	(0.49	)		—			—			—			—			(0.49	)		—			—			—			—			—			(0.49	)		—			—
	(0.16	)B		(0.01	)B		—			—			—			(0.16	)B		(0.01	)B		—			—			—			—			(0.16	)B		(0.01	)B		—
	(0.71	)		(0.27	)		(0.05	)		—			—			(0.70	)		(0.26	)		(0.12	)		(0.05	)		—			—			(0.67	)		(0.25	)		(0.04	)
	$11.03		$	11.24		$	10.60		$	10.61		$	10.24		$	10.90		$	11.12		$	10.48		$	10.13		$	10.59		$	10.23		$	10.93		$	11.15		$	10.54
	4.42	%		8.66	%		3.89	%D		3.61	%D		(6.06	)%		4.32	%		8.67	%		4.62	%		10.05	%D		3.52	%D		(6.40	)%		4.07	%		8.17	%		2.23	%D
	$1,051		$	501		$	365		$	2,822		$	4,395		$	19,438		$	19,920		$	15,262		$	5,868		$	713		$	793		$	741		$	855		$	155
	0.62	%		1.04	%		0.60	%E		0.85	%E		0.79	%		0.77	%		0.77	%		0.75	%		0.81	%E		1.05	%E		1.06	%		1.07	%		1.32	%		0.99	%E
	0.61	%		0.63	%		0.60	%E		0.69	%E		0.69	%		0.69	%		0.68	%		0.64	%		0.65	%E		1.00	%E		1.00	%		1.01	%		1.03	%		0.99	%E
	0.81	%		1.80	%		0.85	%E		1.01	%E		(0.66	)%		0.44	%		2.24	%		1.06	%		3.04	%E		1.31	%E		(0.93	)%		0.07	%		0.88	%		0.55	%E
	0.82	%		2.21	%		0.85	%E		1.17	%E		(0.56	)%		0.53	%		2.32	%		1.17	%		3.20	%E		1.36	%E		(0.86	)%		0.13	%		1.17	%		0.55	%E
	286	%		381	%		214	%F		66	%D		252	%		286	%		381	%		214	%		180	%G		66	%D		252	%		286	%		381	%		214	%F

19

American Beacon Treasury Inflation Protected Securities Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	C Class
	Six
	Months												Sept. 1
	Ended												to
	June 30,			Year Ended December 31,									Dec. 31,
	2014			2013			2012			2011			2010
	(unaudited)
Net asset value, beginning of period	$	10.00		$	10.77		$	11.06		$	10.46		$	10.38
Income from investment operations:
Net investment income (loss)		(0.15	)		(0.15	)		(0.05	)		0.13			0.00	H
Net gains (losses) from investments (both realized and unrealized)		0.46			(0.62	)		0.41			0.65			0.08
Total income (loss) from investment operations		0.31			(0.77	)		0.36			0.78			0.08
Less distributions:
Dividends from net investment income		—			—			—			(0.17	)		—
Distributions from net realized gains		—			—			(0.49	)		—			—
Tax return of capital		—			—			(0.16	)B		(0.01	)B		—
Total distributions		—			—			(0.65	)		(0.18	)		—
Net asset value, end of period	$	10.31		$	10.00		$	10.77		$	11.06		$	10.46
Total returnC		3.10	%D		(7.15	)%		3.26	%		7.47	%		0.77	%D
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	235		$	396		$	307		$	266		$	153
Ratios to average net assets (annualized):
Expenses, before reimbursements		1.80	%E		1.79	%		1.79	%		2.62	%		1.77	%E
Expenses, net of reimbursements		1.79	%E		1.78	%		1.77	%		1.79	%		1.77	%E
Net investment income (loss), before reimbursements		0.44	%E		(1.71	%		(0.61	)%		0.25	%		(0.05	)%E
Net investment income (loss), net of reimbursements		0.45	%E		(1.69	%		(0.59	)%		1.08	%		(0.05	)%E
Portfolio turnover rate		66	%D		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 less than $0.01 per share.

20

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

At in-person meetings held on May 15, 2014 and June 5, 2014 (collectively, the “Meetings”), the Board of Trustees (“Board”) considered and then, at its June 5 meeting, approved: (1) the renewal of the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Beacon Trust”) and American Beacon Select Funds (“Select Trust”) on behalf of each of their series that had been operational for at least one year (collectively, the “Funds”); and (2) the renewal of the investment advisory agreements (each an “Investment Advisory Agreement”) among the Manager, each subadvisor and, as applicable, the Beacon Trust, other than the Investment Advisory Agreements with subadvisors with respect to which the Board approved a new Investment Advisory Agreement within the past year (each a “subadvisor”). The Management Agreement and the Investment Advisory Agreements are collectively referred to herein as the “Agreements.” In preparation for the Board to consider the renewal of these Agreements, the Board undertook steps to gather and consider information furnished by the Manager, the subadvisors, Lipper, Inc. (“Lipper”), Morningstar, Inc. (“Morningstar”), Bobroff Consulting, Inc. and Callan Associates, Inc. (“Callan”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and each subadvisor.

In advance of the Meetings, the Board’s Investment Committee coordinated the production of information from Lipper and Morningstar regarding the performance, fees and expenses of the Funds as well as information from the Manager and the subadvisors. At the Meetings, the Board considered the information provided. Further, the Board took into consideration information furnished for the Board’s review and consideration throughout the year at regular meetings of the Board and its committees, as well as information specifically prepared in connection with the renewal process.

In connection with the Board’s consideration of the Management Agreement and each Investment Advisory Agreement, the Trustees received and evaluated such information as they deemed necessary. The information requested on behalf of the Board included, among other information, the following materials. References herein to the “firm” refer to the Manager and/or each applicable subadvisor.

• comparisons of the performance of an appropriate share class of each Fund to comparable investment companies and appropriate benchmark indices, including peer group averages and performance analyses provided by Lipper and Morningstar, and to the performance of any similar accounts managed by the firm;

• for Funds having multiple firms managing assets, information regarding the performance of the individual firms with respect to their allocated portions of a Fund’s portfolio, and the performance of certain relevant benchmarks and other similar accounts managed by the firm;

• comparisons of each Fund’s management and subadvisory fee rates and expense ratio with those of comparable mutual funds, including peer group averages and fee and expense analyses provided by Lipper and Morningstar, and the advisory fee rates charged to other clients for which similar services are provided;

• a description of any applicable fee waivers and/or expense reimbursements in place for each Fund during the past year, and any proposed changes to the expense caps;

• the Manager’s profitability with respect to the services that it provided to each Fund;

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

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

• information regarding the securities lending, cash management, administrative and accounting-related services that the Manager provides to certain Funds and the fees that the Manager receives for such services, including Callan’s review of the Funds’ securities lending program; and

• information regarding a firm’s financial condition, the personnel who are or will be assigned primary responsibility for managing the Funds, staffing levels, portfolio managers’ compensation, disaster recovery plans, insurance coverage, material pending litigation, code of ethics, compliance matters, trading activities, and actual or potential conflicts of interest that the firm experiences, or anticipates that it will experience, in providing services to the Funds.

The Board considered that the Manager provides management and administrative services to the Funds pursuant to separate agreements. The Board noted, in this regard that many mutual funds have a single contract governing both types of services, and observed that the actual management fee rates provided by Lipper for peer group funds reflect the combined advisory and administrative expenses, reduced by any waivers and/or reimbursements.

Certain firms may not have been able to, or opted not to, provide information in response to certain information requests, in which case the Board conducted its evaluation of those firms based on information that was provided. For each Fund with more than one class of shares, the class of shares used for comparative performance purposes was the share class with the lowest expenses available for purchase by the general public, which, in most cases, was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.

Provided below is an overview of certain factors the Board considered in connection with its renewal and approval of the Management Agreement and Investment Advisory Agreements. The Board did not identify any particular information that was most relevant to its consideration to renew or approve each Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal and approval of each Agreement. The memorandum explained the regulatory requirements surrounding the Trustees’ process for evaluating investment advisors and the terms of the contracts. Based on its evaluation, the Board unanimously concluded that the terms of

21

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

each Agreement were reasonable and fair and that the renewal and approval of each Agreement was in the best interests of the Funds and their shareholders.

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

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

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

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

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

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

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

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

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

22

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

subadvisory fee rates. In addition, the Board noted that subadvisors may not account for their profits on an account-by-account basis and those that do likely employ different methodologies in connection with these calculations.

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

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

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

Benefits Derived from the Relationship with the Funds. The Board considered the “fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisors as a result of the advisory relationships with the Funds, including greater exposure in the marketplace with respect to the Manager’s or subadvisor’s investment process and expanding the level of assets under management by the Manager and the subadvisors. In addition, the Board noted that certain subadvisors benefit from soft dollar arrangements for third party and proprietary research.

In addition, the Manager noted that the Funds also derive benefits from their association with the Manager. Specifically, the Board noted the Manager’s representation that it provides services to most Funds at a lower than industry average cost. The Board considered that certain subadvisors reimburse the Manager for certain costs relating to distribution activities for the Funds, as well as representations by all such subadvisors that they would not reduce their fee rates in lieu of providing such reimbursements. Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisors by virtue of their relationships with the Funds appear to be fair and reasonable

Additional Considerations and Conclusions with Respect to Each Fund

The performance comparisons below were made versus each Fund’s Lipper performance universe and Lipper performance group, with the 1st Quintile representing the top twenty percent of the universe or group based on performance and the 5th Quintile representing the bottom twenty percent of the universe or group based on performance. References below to each Fund’s Lipper performance group and Lipper performance universe are to the respective group or universe of comparable mutual funds included in the analysis provided by Lipper. A Lipper performance group consists of the Fund and a representative sample of funds with similar investment classifications and objectives as the Fund, as selected by Lipper. A Lipper performance universe is an expansion of the performance group, providing a broader view of performance across the Fund’s investment classification/objective and allowing for a more extensive comparison. In reviewing the performance, the Trustees viewed longer-term performance over a full market cycle, typically five years or longer, as the most important consideration, because relative performance over shorter periods may be significantly impacted by market or economic events that do not reflect manager skill.

                The expense comparisons below were made versus each Fund’s Lipper expense universe and Lipper expense group, with the 1st Quintile representing the top twenty percent of the universe or group based on lowest total expense and the 5th Quintile representing the bottom twenty percent of the universe or group based on highest total expense. References below to each Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Lipper. A Lipper expense group consists of the Fund and a representative sample of funds with similar operating structures, as selected by Lipper. A Lipper expense universe includes all funds in the investment classification/objective with a similar load type to the share class of the Fund included in the Lipper comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. For all Funds in the Beacon Trust, the Trustees also considered a Fund’s Morningstar fee level category. In reviewing expenses, the Trustees considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the use of soft dollars was requested from the Manager and all subadvisors and was considered by the Trustees.

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

In considering the renewal of the Management Agreement for the American Beacon Treasury Inflation Protected Securities Fund, the Trustees considered the following additional factors:

Lipper Total Expense Analysis and Morningstar Fee Level Ranking

Compared to Lipper Expense Universe	1st Quintile
Compared to Lipper Expense Group	1st Quintile
Morningstar Fee Level Ranking – Institutional Class	Low Expense Ratio

23

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreements and Investment Advisory Agreements of the Funds (Unaudited)

Lipper Fund Performance Analysis (five-year period ended March 31, 2014)

Compared to Lipper Performance Universe	4th Quintile
Compared to Lipper Performance Group	5th Quintile

(1) The Fund was designed by the Manager for a particular client to provide inflation protection while limiting exposure to other risk factors and is currently structured such that it only invests in Treasury Inflation Protection Securities (“TIPS”) and is benchmarked against the Barclays Capital 1-10 Year U.S. TIPS index to reduce sensitivity to changes in real interest rates; (2) the Manager’s representation, and data provided to the Trustees, that the peer universe funds generally have longer duration portfolios and invest in TIPS, nominal Treasuries and foreign inflation-linked bonds which results in a higher standard deviation for the peer universe and thus the Fund’s performance relative to its benchmark index may be a more appropriate comparison; and (3) the Fund underperformed its benchmark index after expenses annualized for the five-year period ended March 31, 2014.

In considering the renewal of the Investment Advisory Agreement with NISA Investment Advisors LLC (“NISA”) and Standish Mellon Asset Management LLC (“Standish”), the Trustees considered the following additional factors:

Subadvisor Performance (compared to Lipper Performance Universe for period indicated, ending March 31, 2014)

NISA	5 years	4th Quintile
Standish*	3 years	4th Quintile
* Standish does not yet have a 5-year performance record.

(1) The Manager’s explanation that NISA’s and Standish’s underperformance was due in part to their focus on shorter duration TIPS; (2) NISA outperformed its applicable benchmark index for the five-year period ended March 31, 2014; (3) Standish outperformed its applicable benchmark index for the three-year period ended March 31, 2014; (4) information provided by each subadvisor regarding fee rates charged for managing accounts in the same strategy as the subadvisor manages its allocation of the Fund; and (5) the Manager’s recommendation to continue to retain each subadvisor.

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

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

Fund Service Providers:

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

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

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

SAR 6/14

ITEM 2. CODE OF ETHICS.

The Trust did not amend the code of ethics that applies to its principal executive and financial officers (the “Code”) nor did it grant any waivers to the provisions of the Code during the period covered by the shareholder report presented in Item 1.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

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

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

Not Applicable.

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

Not applicable.

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

Not Applicable.

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

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

ITEM 11. CONTROLS AND PROCEDURES.

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

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

ITEM 12. EXHIBITS.

(a)(1) Not Applicable.

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

(a)(3) Not Applicable.

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

SIGNATURES

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

(Registrant): American Beacon Funds
By	/s/ Gene L. Needles, Jr.
	Gene L. Needles, Jr.
	President
Date:	September 5, 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:	September 5, 2014
By	/s/ Melinda G. Heika
	Melinda G. Heika
	Treasurer
Date:	September 5, 2014