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)
William F. Quinn, 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) 967-3509
Date of fiscal year end: December 31, 2009
Date of reporting period: June 30, 2009
ITEM 1. REPORTS TO STOCKHOLDERS.
GUIDANCE | VISION | EXPERIENCE
(AMERICAN BEACON FUNDS(SM) LOGO)
Semi-Annual Report
(GRAPHIC)
June 30, 2009
TREASURY INFLATION PROTECTED SECURITIES FUND
About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products
and investment advisory services to numerous institutional and retail clients,
including a variety of mutual funds, corporate cash management, and separate
account management.
Our clients include defined benefit plans, defined contribution plans,
foundations, endowments, corporations, financial planners, and other
institutional investors. With American Beacon Advisors, you can put the
experience of a multi-billion dollar asset management firm to work for your
company.
Contents
Message from American Beacon....................................... 1
Market and Performance Overview.................................... 2
Schedule of Investments............................................ 5
Additional Information............................................. Back Cover
Any opinions herein, including forecasts, reflect our judgment as of the end of
the reporting period and are subject to change. Each advisor's strategies and
the Fund's portfolio composition will change depending on economic and market
conditions. This report is not a complete analysis of market conditions and
therefore, should not be relied upon as investment advice. Although economic and
market information has been compiled from reliable sources, American Beacon
Advisors, Inc. makes no representation as to the completeness or accuracy of the
statements contained herein.
American Beacon Funds June 30, 2009
(PHOTO OF GENE L. NEEDLES, JR.)
Fellow Shareholders,
Enclosed is the Semi-Annual Report for the American Beacon Treasury
Inflation Protected Securities ("TIPS") Fund for the six months ended June 30,
2009.
During the six months covered by this report, the Federal Reserve ("Fed")
maintained the target range for the Fed Funds rate at 0% to 0.25%, and
reiterated its expectation that the key short-term rate will remain at
exceptionally low levels for an extended period.
The American Beacon TIPS Fund reported a positive return of 5.43% for the
six-month period ended June 30, 2009. We believe the Fund's fundamental
investment strategy and lower than average expense ratio will continue to serve
the Fund well over time.
Please review the enclosed market overview, portfolio listings, and
detailed financial data. As always, we welcome the opportunity to serve your
financial needs. To obtain further details about the American Beacon Funds
family or to access your account information, please visit our website at
www.americanbeaconfunds.com. Thank you for your continued confidence in the
American Beacon Funds.
Sincerely,
/s/ Gene L. Needles, Jr.
Gene L. Needles, Jr.
Executive Vice President
American Beacon Funds
Investing in debt securities entails interest rate risk which is the risk that
debt securities will decrease in value with increases in market interest rates.
1
MARKET OVERVIEW
JUNE 30, 2009 (UNAUDITED)
The U.S. economy was still in recession at the beginning of 2009, with
real GDP contraction of 6.4% in the first quarter. In response to the worst
financial and economic crises in decades, Federal Reserve Board ("Fed") and
Administration officials enacted unprecedented policies to stabilize the
financial system and stem the downward path of the economy. While both the
financial markets and the economy appear to have improved by the end of the
second quarter, it was clear that the markets and the economy were far from
healthy. Deflationary concerns remained due to excess capacity and continually
weakening labor markets, even as many feared long-term inflation from the
massive expansion of the Fed's balance sheet and the unprecedented fiscal
deficits.
The unemployment rate jumped from 7.2% in December 2008 to 9.5% in
June, and almost 3.4 million private sector jobs were lost in the first six
months of 2009. Capacity utilization continued its decline, with June's 68.0%
level the lowest ever. Commodity prices, which rose sharply in May and into the
first half of June, were higher than the beginning of the year led by a nearly
60% increase in crude oil futures prices. However, June's 1.4% year-over-year
decline in the Consumer Price Index was the largest drop in this index in almost
60 years. While there has been preliminary discussion regarding the Fed's "exit
strategy" from its policy of monetary accommodation, including its quantitative
easing program, it appears premature to expect such an exit to occur anytime
soon.
The Barclays Capital 1-to-10-year TIPS benchmark returned 6.49% for
the first half of the year. Most of the return occurred in the first quarter
driven by the economic stimulus and quantitative easing policies of the U.S.
Government and the Federal Reserve. The real yield curve steepened during the
first six months of the year as the yield for the 2 year TIPS fell by over 4%,
while the yield for the 10 and 30 year TIPS fell by less than 0.50%. The TIPS
market continues to grow at a good pace and is becoming an integral part of the
Treasury auction schedule. In 2009, TIPS auctions continued in the 5-, 10- and
20-year maturities.
2
PERFORMANCE OVERVIEW
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND(SM)
JUNE 30, 2009 (UNAUDITED)
The Institutional Class of the Fund returned 5.43% for the period from
January 1, 2009 through June 30, 2009, trailing the Barclays Capital 1-10 Year
U.S. TIPS Index (the "Index") return of 6.49% and the Lipper TIPS Index return
of 5.51%.
ANNUALIZED TOTAL RETURNS
PERIODS ENDED 6/30/09
----------------------------------------
SINCE
INCEPTION
6 MONTHS* 1 YEAR 5 YEARS 6/30/04
--------- ------ ------- --------
Institutional Class(1, 4, 5) .................. 5.43% -2.42% 4.20% 4.20%
Investor Class(1, 2, 4, 5) .................... 5.22% -2.62% 4.15% 4.15%
Barclays Capital 1-10 Yr. U.S. TIPS Index(3) .. 6.49% -1.92% 4.69% 4.69%
Barclays Capital U.S. TIPS Index(3) ........... 6.21% -1.12% 4.94% 4.94%
Lipper TIPS Index(3) .......................... 5.51% -3.03% 4.18% 4.18%
* NOT ANNUALIZED
1. Performance shown is historical and may not be indicative of future
returns. Investment returns and principal value will vary, and shares may
be worth more or less at redemption than at original purchase. Performance
shown is as of date indicated, and current performance may be lower or
higher than the performance data quoted. To obtain performance as of the
most recent month end, please visit www.americanbeaconfunds.com or call
1-800-967-9009. Fund performance in the table above does not reflect the
deduction of taxes a shareholder would pay on distributions or the
redemption of shares.
2. Fund performance represents the total returns achieved by the Institutional
Class up to 3/2/09, the inception date of the Investor Class, and the
returns of the Investor Class since its inception. Expenses of the Investor
Class are higher than those of the Institutional Class. As a result, total
returns shown may be higher than they would have been had the Investor
Class been in existence since 6/30/04.
3. The Barclays Capital 1-10 Yr. U.S. TIPS Index is an unmanaged market index
comprising U.S. Treasury inflation-indexed securities with maturities
between one and ten years while the Barclays Capital U.S. TIPS Index
includes all maturities. The Lipper TIPS Index tracks the results of the 30
largest mutual funds in the Lipper TIPS category. Lipper is an independent
mutual fund research and ranking service. One cannot directly invest in an
index.
4. The total annual Fund operating expense ratio set forth in the most recent
Fund prospectus for the Institutional and Investor Class shares was 0.29%
and 0.69%, respectively. The expense ratios above may vary from the expense
ratios presented in other sections of this report that are based on
expenses incurred during the period covered by this report.
5. A portion of the fees charged to the Investor Class of the Fund was waived
from its inception. A portion of the fees charged to the Institutional
Class of the Fund has been waived since 2005. Performance prior to waiving
fees was lower than the actual returns shown.
The Fund produced a strong absolute return for the six-month time
period as TIPS rallied during the first quarter of 2009, amid the Federal
Reserve Board's quantitative easing policies and other fiscal policy measures
reducing fear of deflation among investors. While the Fund underperformed the
Index, it performed in-line with its peer group.
For the six-month period, the Fund maintained a duration-neutral
position relative to the Index. The Fund experienced significant relative
underperformance in January, which can be attributed to a difference between the
valuation policies implemented by the Fund and the Index during a period of
market volatility. For the remainder of the period, the Fund outperformed the
Index, but not enough to offset the January deficit and Fund expenses.
The Fund remains focused on investing in TIPS to provide inflation
protection and income to its shareholders.
TOP TEN HOLDINGS
% OF
NET ASSETS
----------
U.S. Treasury Note, 2.000%, Due 1/15/2014#..... 10.8%
U.S. Treasury Note, 0.875%, Due 4/15/2010#..... 8.4%
U.S. Treasury Note, 1.625%, Due 1/15/2015#..... 8.0%
U.S. Treasury Note, 1.875%, Due 7/15/2013#..... 7.3%
U.S. Treasury Note, 0.625%, Due 4/15/2013#..... 6.8%
U.S. Treasury Note, 1.875%, Due 7/15/2015#..... 6.8%
U.S. Treasury Note, 2.000%, Due 1/15/2016#..... 6.7%
U.S. Treasury Note, 2.500%, Due 7/15/2016#..... 5.4%
U.S. Treasury Note, 2.375%, Due 1/15/2017#..... 5.2%
U.S. Treasury Note, 2.000%, Due 7/15/2014#..... 4.9%
# Inflation Indexed Note
SECTOR ALLOCATION
% OF
FIXED INCOME
------------
U.S. Treasury Obligations...................... 100.0%
3
FUND EXPENSES
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND(SM)
JUNE 30, 2009 (UNAUDITED)
FUND EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs and (2) ongoing costs, including management fees, administrative service
fees, and other Fund expenses. The examples below are intended to help you
understand the ongoing cost (in dollars) of investing in the Fund and to compare
these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning
of the period and held for the entire period from January 1, 2009 through June
30, 2009.
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.
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.
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 Ending Expenses Paid During
Account Value Account Period*
1/1/09 Value 6/30/09 1/1/09-6/30/09
------------- ------------- --------------------
INSTITUTIONAL CLASS
Actual $1,000.00 $1,054.35 $1.17
Hypothetical $1,000.00 $1,023.65 $1.15
(5% return before expenses)
INVESTOR CLASS
Actual $1,000.00 $1,046.49 $2.39
Hypothetical $1,000.00 $1,021.27 $3.56
(5% return before expenses)
* Expenses are equal to the Fund's annualized expense ratios for the
six-month period of 0.23% and 0.71% for the Institutional and Investor
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.
4
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
PAR AMOUNT VALUE
---------- ----------
(DOLLARS IN THOUSANDS)
U.S. TREASURY OBLIGATIONS - 98.27%
U.S. Treasury Note,
0.875%, Due 4/15/2010 #............................ $ 9,972 $ 9,971
2.375%, Due 4/15/2011 #............................ 2,508 2,583
3.375%, Due 1/15/2012 #............................ 1,039 1,104
2.00%, Due 4/15/2012 #............................. 4,203 4,323
3.00%, Due 7/15/2012 #............................. 3,599 3,813
0.625%, Due 4/15/2013 #............................ 8,242 8,144
1.875%, Due 7/15/2013 #............................ 8,463 8,680
2.00%, Due 1/15/2014 #............................. 12,595 12,882
1.25%, Due 4/15/2014 #............................. 2,614 2,625
2.00%, Due 7/15/2014 #............................. 5,718 5,852
1.625%, Due 1/15/2015 #............................ 9,587 9,542
1.875%, Due 7/15/2015 #............................ 7,980 8,068
2.00%, Due 1/15/2016 #............................. 7,891 8,009
2.50%, Due 7/15/2016 #............................. 6,182 6,489
2.375%, Due 1/15/2017 #............................ 5,937 6,195
2.625%, Due 7/15/2017 #............................ 4,948 5,273
1.625%, Due 1/15/2018 #............................ 4,987 4,939
1.375%, Due 7/15/2018 #............................ 4,949 4,797
2.125%, Due 1/15/2019 #............................ 3,193 3,298
2.375%, Due 1/15/2025 #............................ 707 727
----------
TOTAL U.S. TREASURY OBLIGATIONS 117,314
----------
Shares
----------
SHORT-TERM INVESTMENT FUND - .25%
Columbia Government Reserve Fund ..................... 294,232 294
----------
TOTAL INVESTMENTS - 98.52% (Cost $115,974) .............. $ 117,608
OTHER ASSETS, NET OF LIABILITIES - 1.48% ................ 1,766
----------
TOTAL NET ASSETS - 100.00% .............................. $ 119,374
==========
Percentages are stated as a percent of net assets.
# Inflation Indexed Note.
See accompanying notes
5
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2009 (UNAUDITED) (IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investments in unaffiliated securities, at value A ... $ 117,608
Dividends and interest receivable .................... 892
Receivable for fund shares sold ...................... 1,160
Receivable for expense reimbursement ................. 10
Prepaid expenses ..................................... 22
-----------
TOTAL ASSETS ...................................... 119,692
-----------
LIABILITIES:
Payable for fund shares redeemed ..................... 262
Management and investment advisory fees payable
(Note 2) 22
Administrative service and service fees payable ...... 14
Other liabilities .................................... 20
-----------
TOTAL LIABILITIES ................................. 318
-----------
NET ASSETS .............................................. $ 119,374
===========
ANALYSIS OF NET ASSETS:
Paid-in-capital ...................................... 143,833
Undistributed net investment income .................. (1,461)
Accumulated net realized loss ........................ (24,632)
Unrealized appreciation of investments, futures
contracts, and foreign currency ................... 1,634
-----------
NET ASSETS .............................................. $ 119,374
===========
SHARES OUTSTANDING (NO PAR VALUE):
Institutional Class .................................. 12,039,022
===========
Investor Class ....................................... 271,622
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class .................................. $ 9.70
===========
Investor Class ....................................... $ 9.68
===========
A Cost of investments in unaffiliated securities ........ $ 115,974
See accompanying notes
6
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2009 (UNAUDITED) (IN THOUSANDS)
INVESTMENT INCOME:
Dividend income ...................................... $ 1
Interest income ...................................... (1,362)
-------
TOTAL INVESTMENT INCOME (LOSS) ................. (1,361)
-------
EXPENSES:
Management and investment advisory fees (Note 2) ..... 61
Administrative service fees (Note 2):
Institutional Class ............................... 92
Investor Class .................................... 1
Transfer agent fees:
Institutional Class ............................... 5
Investor Class .................................... 1
Custody and fund accounting fees ..................... 13
Professional fees .................................... 16
Registration fees and expenses ....................... 1
Prospectus and shareholder reports ................... 5
Trustee fees ......................................... 4
Other expenses ....................................... 8
-------
TOTAL EXPENSES ................................. 207
-------
Net fees waived and expenses reimbursed by Manager
(Note 2) .......................................... (62)
-------
NET EXPENSES ................................... 145
-------
NET INVESTMENT INCOME (LOSS) ............................ (1,506)
-------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from:
Investments ....................................... (837)
Change in net unrealized appreciation or depreciation
of:
Investments ....................................... 8,823
-------
NET GAIN ON INVESTMENTS ........................ 7,986
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .... $ 6,480
=======
See accompanying notes
7
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
STATEMENT OF CHANGES IN NET ASSETS
(IN THOUSANDS)
Six Months
Ended Year Ended
June 30, December
2009 31, 2008
----------- ---------
(unaudited)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income ...................................................... $ (1,506) $ 17,700
Net realized loss on investments, futures contracts, and foreign currency
transactions ............................................................ (837) (22,281)
Change in net unrealized appreciation or (depreciation) of investments,
futures contracts, and foreign currency translations .................... 8,823 (8,833)
-------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ...... 6,480 (13,414)
-------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class ..................................................... -- (17,654)
-------- ---------
NET DISTRIBUTIONS TO SHAREHOLDERS .................................... -- (17,654)
-------- ---------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares .............................................. 23,608 406,774
Reinvestment of dividends and distributions ................................ -- 17,654
Cost of shares redeemed .................................................... (50,903) (476,868)
-------- ---------
NET (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS ......... (27,295) (52,440)
-------- ---------
NET (DECREASE) IN NET ASSETS .................................................. (20,815) (83,508)
-------- ---------
NET ASSETS:
Beginning of period ........................................................ 140,189 223,697
-------- ---------
END OF PERIOD * ............................................................ $119,374 $ 140,189
======== =========
*Includes undistributed net investment income (loss) of ....................... $ (1,461) $ 45
======== =========
See accompanying notes
8
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
American Beacon Funds (the "Trust") is organized as a Massachusetts
business trust and is registered under the Investment Company Act of 1940 (the
"Act"), as amended, as a diversified, open-end management investment company.
These financial statements and notes to the financial statements relate to the
American Beacon Treasury Inflation Protected Securities Fund (the "Fund"), a
series of the Trust.
American Beacon Advisors, Inc. (the "Manager") is a wholly-owned
subsidiary of Lighthouse Holdings, Inc. and was organized in 1986 to provide
business management, advisory, administrative and asset management consulting
services to the Trust and other investors.
Class Disclosure
The Fund has multiple classes of shares designed to meet the needs of
different groups of investors. The following table sets forth the differences
amongst the classes:
CLASS: OFFERED TO:
- ------ -----------
INSTITUTIONAL CLASS Investors making an initial investment of $2 million
INVESTOR CLASS General public and investors investing through an intermediary
Administrative service fees, service fees and distribution fees vary
amongst the classes as described more fully in footnote 2.
Investment income, net capital gains (losses) and all expenses
incurred by the Fund are allocated based on the relative net assets of each
class, except for service fees and certain other fees and expenses related
solely to one class of shares.
Security Valuation
Investments are valued at the close of the New York Stock Exchange
(the "Exchange"), normally 4 p.m. ET, each day that the Exchange is open for
business.
Debt securities (other than short-term securities) normally are valued
on the basis of prices provided by an independent pricing service and may take
into account appropriate factors such as institution-size trading in similar
groups of securities, yield, quality, coupon rate, maturity, type of issue,
trading characteristics and other market data. The prices of debt securities may
be determined using quotes obtained from brokers.
Investments in mutual funds are valued at the closing net asset value
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 market 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").
The Fund adopted the provisions of Statement of Financial Accounting
Standards No. 157, "Fair Value Measurements" ("FAS 157"), effective for
financial statements issued for fiscal years beginning after November 15, 2007
and interim periods within those fiscal years. This standard clarifies the
definition of fair value for financial reporting, establishes a framework for
measuring fair value, and requires additional disclosures about the use of fair
value measurements. In addition, effective June 30, 2009, the Fund adopted FASB
Staff position ("FSP") No. 157-4, "Determining Fair Value When the Volume and
Level of Activity for the Asset or Liability Have Significantly Decreased and
Identifying Transactions That Are Not Orderly" ("FSP No. 157-4"). FSP No.
9
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
157-4 provides additional guidance for estimating fair value in accordance with
SFAS No. 157 when the volume and level of activity for the asset or liability
have significantly decreased. The three levels of the hierarchy under FAS 157
are described below:
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 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.
A summary of the inputs used to value the Fund's net assets as of June 30, 2009
is as follows (in thousands):
Quoted Prices in
Active Markets Significant Other Significant
for Identical Observable Inputs Unobservable Inputs
Description Assets (Level 1) (Level 2) (Level 3) Total
- ----------- ---------------- ----------------- ------------------- -------
Assets:
U.S. Treasury Obligations ................... $ -- $117,314 $-- $117,314
Short-Term Investments ...................... 294 -- -- 294
---- -------- --- --------
Total Investments ........................... 294 117,314 -- 117,608
Liabilities:
Investments in Other Financial Instruments... -- -- -- --
Total ....................................... $294 $117,314 $-- $117,608
==== ======== === ========
The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities. For example, money market securities are valued using amortized
cost, in accordance with rules under the Investment Company Act of 1940.
Generally, amortized cost approximates the current fair value of a security, but
since the value is not obtained from a quoted price in an active market, such
securities are reflected as Level 2.
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 net asset value. 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 Fund. Interest income is earned from
settlement date, recorded on the accrual basis, and adjusted, if necessary, for
accretion of discounts and amortization of premiums. For financial and tax
reporting purposes, realized gains and losses are determined on the basis of
specific lot identification.
Inflation-indexed bonds are fixed-income securities whose principal
value is periodically adjusted to the rate of inflation. Interest is accrued
based on the principal value, which is adjusted for inflation. Any
10
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
increase in the principal amount of an inflation-indexed bond is recorded as
interest income, even though principal is not received until maturity.
Dividends to Shareholders
Dividends from net investment income of the Fund normally will be
declared and paid at least semi-annually. Distributions, if any, of net realized
capital gains are generally paid at least annually and recorded on the
ex-dividend date.
Currency Translation
All assets and liabilities initially expressed in foreign currency
values are converted into U.S. dollar values at the mean of the bid and ask
prices of such currencies against U.S. dollars as last quoted by a recognized
dealer. Income, expenses and purchases and sales of investments are translated
in U.S. dollars at the rate of exchange prevailing on the respective dates of
such transactions. The effect of changes in foreign currency exchange rates on
investments is separately identified from the fluctuations arising from changes
in market values of securities held and is reported with all other foreign
currency gains and losses in the Fund's Statement of Operations.
Forward Foreign Currency Exchange Contracts
The Fund may enter into forward foreign currency contracts to hedge
the exchange rate risk on investment transactions or to hedge the value of Fund
securities denominated in foreign currencies. Forward foreign currency contracts
are valued at the forward exchange rate prevailing on the day of valuation. The
Fund bears the market risk that arises from changes in foreign exchange rates,
and accordingly, the unrealized gain (loss) on these contracts is reflected in
the accompanying financial statements. The Fund also bears the credit risk if
the counterparty fails to perform under the contract.
Use of Estimates
The preparation of financial statements in conformity with U.S.
generally accepted accounting principles 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.
2. TRANSACTIONS WITH AFFILIATES
Management Agreement
The Trust and the Manager are parties to a Management Agreement that
obligates the Manager to provide or oversee the provision of all investment
advisory and portfolio management services. Investment assets of the Fund may be
managed by multiple investment advisors which have entered into separate
investment advisory agreements with the Manager. As compensation for performing
the duties required under the Management Agreement, the Manager receives from
the Fund an annualized fee equal to 0.05% of the average daily net assets plus
amounts paid by the Manager to the investment advisors hired by the Manager to
11
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
direct investment activities of the Fund. Management fees paid during the six
months ended June 30, 2009 were as follows:
MANAGEMENT FEE RATE MANAGEMENT FEE AMOUNTS PAID TO INVESTMENT ADVISORS NET AMOUNTS RETAINED BY MANAGER
- ------------------- -------------- ----------------------------------- -------------------------------
0.10% - 0.13% $61,484 $30,742 $30,742
Administrative Services Agreement
The Manager and the Trust entered into an Administrative Services
Agreement which obligates the Manager to provide or oversee administrative
services to the Fund. As compensation for performing the duties required under
the Administrative Services Agreement, the Manager receives an annualized fee of
0.15% of the average daily net assets of the Institutional Class and 0.30% of
the average daily net assets of the Investor Class of the Fund.
Services Plan
The Manager and the Trust entered into a Service Plan which obligates
the Manager to oversee additional shareholder servicing of the Investor Class of
the Fund. As compensation for performing the duties required under the Service
Plan, the Manager receives an annualized fee of 0.25% of the average daily net
assets of the Investor Class of the Fund.
Investment in Affiliated Funds
The Fund may invest in the American Beacon Money Market Select Fund
and the American Beacon US Government Money Market Select Fund (collectively the
"Select Funds"). The Fund and the Select Funds have the same investment advisor
and, therefore, are considered to be affiliated. The Manager serves as
investment advisor to the Select Funds and receives from the Select Funds an
annualized fee equal to 0.09% of the Select Funds' average daily net assets.
During the six months ended June 30, 2009, the Fund did not invest in the Select
Funds.
Interfund Lending Program
Pursuant to an exemptive order by the Securities Exchange Commission
(the "SEC"), the Fund, along with other registered investment companies having
management contracts with the Manager, may participate in an interfund lending
program as a borrower. This program provides an alternative credit facility
allowing the Fund to borrow from other participating Funds. For the six months
ended June 30, 2009, the Fund did not utilize the credit facility.
Reimbursement of Expenses
The Manager voluntarily agreed to waive a portion of its
Administrative Service fee for the Institutional Class. For the six months ended
June 30, 2009, the Manager waived expenses of $62,189.
The Fund has adopted an Expense Reimbursement Plan whereby the Manager
may seek repayment of fees waived or expenses reimbursed for a period of up to
three years. However, reimbursement will occur only if the Class's average net
assets have grown or expenses have declined sufficiently to allow reimbursement
without causing its expense ratio to exceed the previously agreed upon
contractual expense limit. The Fund has not recorded a liability for potential
reimbursement, due to the current assessment that a reimbursement is unlikely.
12
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
3. FEDERAL INCOME AND EXCISE TAXES
It is the policy of the Fund to comply with the requirements of
Subchapter M of the Internal Revenue Code and to distribute substantially all
net investment income as well as any net realized capital gains on the sale of
investments. Therefore, no federal income or excise tax provision is required.
The Fund adopted the provisions of FASB Interpretation No. 48,
"Accounting for Uncertainties in Income Taxes" ("FIN 48"), on January 1, 2007.
FIN 48 sets forth a minimum threshold for financial statement recognition of the
benefit of a tax position taken or expected to be taken in a tax return. The
implementation of the FIN 48 did not result in any unrecognized tax benefits in
the accompanying financial statements. Each of the tax years in the three year
period ended December 31, 2008, 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 expenses"
on the Statement of Operations.
Dividends are categorized in accordance with income tax regulations
which may treat certain transactions differently than U.S. generally accepted
accounting principles. Accordingly, the character of distributions and
composition of net assets for tax purposes may differ from those reflected in
the accompanying financial statements.
The Fund may be subject to taxes imposed by countries in which it
invests. Such taxes are generally based on returns on 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 the six months ended
June 30, 2009 and the fiscal year ended December 31, 2008 were as follows (in
thousands):
SIX MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2009 2008
---------------- ------------
(UNAUDITED)
DISTRIBUTIONS PAID FROM:
Ordinary income*........... $-- $17,654
Tax return of capital...... -- --
--- -------
TOTAL TAXABLE DISTRIBUTIONS... $-- $17,654
=== =======
* For tax purposes, short-term capital gains distributions are considered
ordinary income distributions.
As of June 30, 2009, the components of distributable earnings on a tax
basis were as follows (in thousands):
Cost basis of investments for federal income tax purposes .. $117,453
Unrealized appreciation .................................... 952
Unrealized depreciation .................................... (797)
--------
Net unrealized appreciation/(depreciation) ................. 155
Undistributed ordinary income .............................. (1,461)
Undistributed long-term gain/(loss) ........................ (23,153)
--------
Distributable earnings ..................................... $ 24,459
========
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/(depreciation) are attributable
primarily to the tax deferral of losses from wash.
13
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
Due to inherent differences in the recognition of income, expenses and
realized gains/(losses) under U.S. generally accepted accounting principles 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.
At June 30, 2009, the capital loss carry forward positions for federal
income tax purposes were $144, $974, $111, $14,012, and $7,913 expiring in 2013,
2014, 2015, 2016, and 2017, respectively (in thousands).
4. INVESTMENT TRANSACTIONS
Purchases and proceeds from sales of investments for the six months
ended June 30, 2009, excluding short-term investments, were $70,492,074 and
$98,433,374, respectively. Of these amounts, the Fund had purchases and sales of
U.S. Government securities of $70,492,074 and $98,433,374, respectively.
5. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares (dollars and
shares in thousands):
Six Months Ended June 30, 2009
INSTITUTIONAL
CLASS INVESTOR CLASS
----------------- ---------------
SHARES AMOUNT SHARES AMOUNT
------ -------- ------ ------
Shares sold ......................... 2,170 $ 20,897 281 $2,711
Reinvestment of dividends ........... -- -- -- --
Shares redeemed ..................... (5,372) (50,817) (9) (86)
------ -------- --- ------
Net increase (decrease) in shares
outstanding ...................... (3,202) $(29,920) 272 $2,625
====== ======== === ======
Year Ended December 31, 2008
INSTITUTIONAL CLASS
-------------------
SHARES AMOUNT
------- ---------
Shares sold ......................... 38,729 $ 406,774
Reinvestment of dividends ........... 1,773 17,654
Shares redeemed ..................... (47,232) (476,868)
------- ---------
Net (decrease) in shares
outstanding ...................... (6,730) $ (52,440)
======= =========
6. SUBSEQUENT EVENTS
In accordance with the provisions set forth in FASB Statement of
Financial Accounting Standards No. 165 "Subsequent Events", adopted by the Fund
as of June 30, 2009, management has evaluated the possibility of subsequent
events existing in the Fund's financial statements through August 28, 2009.
Management has determined that there are no material events that would require
disclosure in the Fund's financial statements through this date.
14
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
Institutional Class
----------------------------------------------------------------------- Investor
Six Class
Months June -----------
Ended Year Ended December 31, 30 to March 2 to
June 30, -------------------------------------------- December June 30,
2009 2008 2007(B) 2006 2005 31, 2004(A) 2009
----------- -------- -------- ------- ------- ----------- -----------
(unaudited) (unaudited)
Net asset value, beginning of period ......... $ 9.20 $ 10.18 $ 9.53 $ 9.75 $ 10.16 $ 10.00 $ 9.25
-------- -------- -------- ------- ------- ------- ------
Income from investment operations:
Net investment income (loss) .............. (0.13) 0.80 0.45 0.29 0.56(C) 0.18(C) 0.03
Net gains (losses) on securities (both
realized and unrealized) ............... 0.63 (0.98) 0.59 (0.19) (0.37) 0.21 0.40
-------- -------- -------- ------- ------- ------- ------
Total income (loss) from investment
operations ................................ 0.50 (0.18) 1.04 0.10 0.19 0.39 0.43
-------- -------- -------- ------- ------- ------- ------
Less distributions:
Dividends from net investment income ...... -- (0.80) (0.39) (0.29) (0.55) (0.23) --
Distributions from net realized gains on
securities ............................ -- -- -- -- (0.05) 0.00(D) --
Tax return of capital ..................... -- -- 0.00(D,E) (0.03)(E) -- -- --
-------- -------- -------- ------- ------- ------- ------
Total distributions .......................... -- (0.80) (0.39) (0.32) (0.60) (0.23) --
-------- -------- -------- ------- ------- ------- ------
Net asset value, end of period ............... $ 9.70 $ 9.20 $ 10.18 $ 9.53 $ 9.75 $ 10.16 $ 9.68
======== ======== ======== ======= ======= ======= ======
Total return ................................. 5.43%(F) (2.09)% 11.22% 1.05% 1.86% 3.94% 4.65%(F)
======== ======== ======== ======= ======= ======= ======
Ratios and supplemental data:
Net assets, end of period (in thousands) .. $116,744 $140,189 $223,697 $33,792 $30,584 $20,943 $2,630
Ratios to average net assets (annualized):
Expenses, after expense reimbursements
(recoupments) ....................... 0.23% 0.25% 0.43% 0.49% 0.44% 0.46% 0.71%
Expenses, before expense reimbursements
(recoupments) ....................... 0.33% 0.29% 0.43% 0.49% 0.39% 0.62% 1.18%
Net investment income (loss), after
expense reimbursements
(recoupements) ...................... (2.47)% 5.19% 4.74% 2.94% 5.45% 3.34% 3.99%
Net investment income (loss), before
expense reimbursements
(recoupments) ....................... (2.57)% 5.15% 4.74% 2.94% 5.50% 3.18% 3.52%
Portfolio turnover rate ................... 57%(F) 128% 139% 259% 355% 190%(F) 57%(F G)
(A) The American Beacon Treasury Inflation Protected Securities Fund commenced
active operations on June 30, 2004.
(B) Brown Brothers Harriman & Co. was removed as an investment advisor to the
Treasury Inflation Protected Securities Fund on November 30, 2007.
(C) Based on average shares outstanding.
(D) Amount represents less than $0.01 per share.
(E) The tax return of capital is calculated based on outstanding shares at the
time of distribution.
(F) Not annualized.
(G) Portfolio turnover rate is for the period from January 1, 2009 through June
30, 2009.
15
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT
AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUND
(UNAUDITED)
At its May 27, 2009 meeting, the Board of Trustees ("Board" or
"Trustees") considered the renewal of the Management Agreement between the
Manager and the American Beacon Funds (the "Funds") and each Investment Advisory
Agreement between the Manager and a subadvisor ("Investment Advisory
Agreements"). In preparation for the Board's consideration to renew the
Management Agreement and each Investment Advisory Agreement, the Board and its
Investment Committee undertook steps to gather and consider information
furnished by the Manager, the subadvisors and Lipper, Inc. ("Lipper"). The
Board, with the assistance of independent legal counsel, requested and received
certain relevant information from the Manager and each subadvisor.
In addition, the Board's Investment Committee worked with Lipper to
obtain relevant comparative information regarding the performance, fees and
expenses of the Funds. The Investment Committee held a separate meeting on May
13, 2009 to consider the information provided by Lipper. Further, the Board took
into consideration information furnished for the Board's review and
consideration throughout the year at regular Board and Investment Committee
meetings, as well as information specifically prepared in connection with the
renewal process.
In connection with Board's consideration of the Management Agreement
and each Investment Advisory Agreement, the Trustees considered, among other
materials, responses by the Manager and the subadvisors to inquiries requesting:
- a description of any significant changes (actual or anticipated) to
principal activities, personnel, services provided to the Funds, or
any other area, including how these changes might affect the Funds;
- a copy of the firm's most recent audited or unaudited financial
statements, as well as Parts I and II of its Form ADV registration
statement with the SEC;
- a summary of any material past, pending or anticipated litigation or
regulatory proceedings involving the firm or its personnel, including
the results of any recent regulatory examination or independent audit;
- a comparison of the performance of that portion of Fund assets managed
by each firm with performance of other similar accounts managed by the
firm, including a discussion of relative performance versus a peer
group average and any remedial measures if the firm's performance was
materially below that of the peer group;
- a profit/loss analysis of the firm and any actual or anticipated
economies of scale in relation to the services it provides to each
Fund;
- an analysis of compensation, including a comparison with fees charged
to other clients for which similar services are provided, any proposed
changes to the fee schedule and the effect of any fee waivers;
- a description of any payments by the subadvisors to the Manager to
support the Funds' marketing efforts;
- an evaluation of any other benefits to the firm or Funds as a result
of their relationship, if any;
- confirmation that the firm's financial condition would not impair its
ability to provide high-quality advisory services to the Funds;
- a description of any internal actions the firm has taken or
anticipates taking in light of the current and projected decrease in
revenues from prior years as a result of the current economic
environment and,
16
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT
AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUND
(UNAUDITED)
as applicable, information regarding the firm's decline in assets
under management from January 1, 2008 through March 31, 2009;
- a description of the scope of portfolio management services provided
to the Funds, including whether such services differ from the services
provided to other clients, including other registered investment
companies, and any advantages or disadvantages that might accrue to
the Funds due to the firm's involvement in other activities;
- a description of the personnel who are assigned primary responsibility
for managing the Funds, including any changes during the past year,
and a discussion of the adequacy of current and projected staffing
levels to service the Funds;
- a description of the basis upon which portfolio managers are
compensated, including any "incentive" arrangements;
- a discussion regarding the firm's participation in "soft dollar"
arrangements, if any, or other brokerage allocation policies with
respect to Fund transactions, including the firm's methodology for
obtaining the most favorable execution and the use of any affiliated
broker-dealers;
- a description of any actual or potential conflicts of interest
anticipated in managing Fund assets;
- a description of trade allocation procedures among accounts managed by
the firm;
- a discussion of whether the firm receives, with respect to the Funds,
other compensation, including any payment for order flow or ECN
liquidity rebates;
- a certification by the firm regarding the reasonable design of its
compliance program;
- information regarding the firm's code of ethics, insider trading
policy and disaster recovery plan, including a description of any
material changes thereto and a related certification of compliance by
the firm;
- a description of the firm's affiliation with any broker-dealer;
- a discussion of any anticipated change in the firm's controlling
persons; and
- verification of the firm's insurance coverage with regards to the
services provided to the Funds.
In addition to the foregoing, the Manager provided the following
information specific to the renewal of the Management Agreement:
- a comparison of the performance of each Fund to comparable investment
companies and appropriate indices, including comments on the relative
performance of each subadvisor and each Fund versus the respective
peer group average;
- a discussion, if applicable, of any underperformance by a subadvisor
relative to its peer group and what, if any, remedial measures the
Manager has or intends to take;
- a comparison of advisory fees and expense ratios for comparable mutual
funds;
- an analysis of any material complaints received from Fund
shareholders;
17
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT
AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUND
(UNAUDITED)
- a description of the Manager's securities lending practices and the
fees received from such practices;
- a discussion of any rebate arrangements between the Manager and a
service provider to the Funds pursuant to which the Manager receives
direct or indirect benefits from the service provider;
- a description of any revenue sharing activities with respect to the
Funds;
- a description of the portfolio turnover rate and average execution
costs for each Fund and each subadvisor to a Fund; and
- a description of how expenses that are not readily identifiable to a
particular Fund are allocated.
In connection with the Management Agreement and each Investment
Advisory Agreement, the Board also obtained an analysis provided by Lipper that
compared: (i) investment performance of each Fund versus comparable investment
companies and appropriate indices; (ii) total Fund expenses of each Fund versus
comparable mutual funds; and (iii) each Fund's investment advisory fees versus
comparable mutual funds. For each Fund with more than one class of shares, the
class of shares used for comparative purposes was the class with the longest
performance history, which in most cases was the Institutional Class. References
below to each Fund's Lipper peer group are to the group of comparable mutual
funds included in the analysis provided by Lipper.
Provided below is an overview of the primary factors the Trustees
considered at the Investment Committee meeting on May 13, 2009 at which the
Trustees reviewed the investment performance of the Manager and each subadvisor
and the primary factors considered by the Board at its May 27, 2009 meeting at
which the Board considered the renewal of the Agreements. The Board did not
identify any particular information that was most relevant to its consideration
to renew the Management Agreement and each Investment Advisory Agreement, and
each Trustee may have afforded different weight to the various factors. Legal
counsel to the independent Trustees provided the Board with a memorandum
regarding its responsibilities pertaining to the renewal of the Agreements. 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 of each Agreement was in
the best interests of the Funds and their shareholders.
Considerations with Respect to All Funds
In determining whether to renew the Management Agreement and each
Investment Advisory Agreement, the Trustees considered the best interests of
each Fund separately. While the Management Agreement and the Investment Advisory
Agreements for all of the Funds were considered at the May 27, 2009 meeting, the
Board considered each Fund's investment management and subadvisory relationships
separately. In each instance, the Board considered, among other things, the
following factors: (1) the nature 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 and (to the extent provided) the
subadvisors in rendering its services and its resulting profits or losses; (4)
the extent to which economies of scale have been taken into account in setting
each fee schedule; (5) whether fee levels reflect these economies of scale for
the benefit of Fund investors; (6) comparisons of services and fees with
contracts entered into by the Manager or a subadvisor or their affiliates with
other clients (such as pension funds and other institutional funds); and (7) any
other benefits derived or anticipated to be derived by the Manager or a
subadvisor from its relationship with a Fund. The Trustees posed questions to
various management personnel of the Manager regarding certain key aspects of the
materials submitted in support of the renewal.
Nature, Extent and Quality of Services. With respect to the renewal of
the Management Agreement, the Board considered: the background and experience of
key investment personnel and the Manager's ability to
18
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT
AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUND
(UNAUDITED)
retain them; the Manager's disciplined investment approach and goal to provide
consistent above average long-term performance at a low cost; the Manager's
continuing efforts to add new series and share classes to enhance the Funds'
product line; the Manager's record in building improved compliance, control and
credit functions that reduce risks to the Funds; the addition of personnel to
manage the Funds, promote sales and improve services; and the active role played
by the Manager in monitoring and, as appropriate, recommending replacements for
the investment subadvisors and master portfolios.
With respect to the renewal of each Investment Advisory Agreement, the
Trustees considered the background and experience of each subadvisor's
investment personnel responsible for managing the Funds, the size of the
subadvisor and their ability to continue to attract and retain qualified
investment personnel. 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 benchmark index(es) and peer group. The Board
considered the information provided by Lipper regarding its independent peer
selection methodology to select all peer groups and universes. The Board also
considered the performance reports and discussions with management at Board and
Committee meetings throughout the year. The Manager also noted that it generally
was satisfied with the performance of the subadvisors. A discussion regarding
the Board's considerations with respect to the Fund's performance appears below
under "Additional Considerations and Conclusions with Respect to the Treasury
Inflation Protected Securities 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 and a subadvisor by Fund, the Board
considered the revenues earned and the expenses incurred by the Manager. The
profits or losses were noted at both an individual Fund level and at an
aggregate level for all Funds. Although the Board noted that, in certain cases,
the fee rates paid by other clients is lower than the fee rates paid by the
Funds, the difference reflects the greater level of responsibility and
regulatory requirements associated with managing the Funds.
The Board also noted that the Manager proposed to continue the expense
waivers and reimbursements for certain Funds and classes that were in place
during the last fiscal year and to discontinue the expense waivers and
reimbursements for certain classes of the Funds that were closing or maintained
competitive expense ratios without such expense waivers. The Board further
considered that each subadvised Fund pays the Manager the amounts due to its
subadvisors, and the Manager remits these amounts directly to the applicable
subadvisors. The Board 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 relationships on behalf of various Funds. The Board also
noted that certain classes of the Funds maintain higher expense ratios in order
to compensate third-party distributors.
In analyzing the cost of services and profitability for each
subadvisor in connection with its investment advisory services to the Fund, the
Board considered that, in many cases, the Manager has negotiated the lowest
subadvisory fee a subadvisor charges for any comparable client accounts. The
Board gave less weight to profitability considerations or 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 fees.
Based on the foregoing information, the Board concluded that the
profitability levels were reasonable in light of the services performed by the
Manager and the subadvisors. A discussion regarding the Board's considerations
with respect to the Fund's fee rates is set forth below under "Additional
Considerations and Conclusions with Respect to Treasury Inflation Protected
Securities Fund."
19
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT
AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUND
(UNAUDITED)
Economies of Scale. In considering the reasonableness of the
management and investment advisory fees, the Board considered whether economies
of scale will be realized as the Funds grow and whether fee levels reflect these
economies of scale for the benefit of Fund shareholders. In this regard, the
Board considered that the Manager has negotiated breakpoints in many subadvisory
fee rates. The Board also noted that, for purposes of determining the fee rates
chargeable to the Funds, many subadvisors have agreed to take into account other
assets of AMR and its pension plans that are managed by the subadvisors. Thus,
the Funds are able to receive lower effective fee rates. The Board also noted
the Manager's representation that Fund assets have decreased significantly
primarily due to market depreciation in 2008 and the first quarter of 2009, as
well as significant share redemptions from the Money Market Funds and the
inability of certain competitor money market funds' to maintain positive yields,
causing mass redemptions in money market funds throughout the industry. In
addition, the Board noted that the management fee for the Money Market Funds is
amongst the lowest in the industry. Based on the foregoing information, the
Board concluded that the Manager and subadvisor fee schedules for each Fund
provides for a reasonable sharing of benefits from any economies of scale with
the Fund.
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. The Board also considered that
the Manager's relationship with the Funds and the money market portfolios
continues to be a significant factor in attracting separate account assets for
the Manager, noting specifically the Manager's utilization of the Large Cap
Value Fund model for a newly registered actively managed exchange traded fund
managed by the Manager. In addition, the Board noted that the Manager provides
services to each Trust at a relatively low cost. The Board considered that
certain of the subadvisors reimburse the Manager for certain of its costs
relating to distribution activities for the Funds.
Based on the foregoing information, the Board concluded that the
potential benefits accruing to the Manager and the subadvisors by virtue of its
relationship with the Funds appear to be fair and reasonable.
Additional Considerations and Conclusions with Respect to the Treasury Inflation
Protected Securities Fund
The performance comparisons below were made versus the Fund's Lipper
peer universe median. References to the Lipper expense universe below are to the
universe of comparable mutual funds included in the analysis provided to the
Trustees by Lipper, Inc.
In considering the renewal of the Management Agreement for the
Treasury Inflation Protected Securities Fund, the Trustees considered the
following additional factors: (1) the Treasury Inflation Protected Securities
Fund outperformed the peer universe median for the one- and three-year periods
ended March 31, 2009 and (2) the expense ratio of the Institutional Class of
Fund shares ranked better than the median of its Lipper expense universe.
In considering the renewal of the Investment Advisory Agreement with
NISA Investment Advisors LLC ("NISA"), the Trustees considered the following
additional factors: (1) NISA outperformed the peer universe median for the one-
and three-year periods ended March 31, 2009; (2) NISA has indicated that it does
not charge a lower advisory fee to other clients for which it provides
comparable services; (3) NISA has informed the Manager that it does not accrue
any indirect "fall-out" benefits because of its relationship with the Fund; and
(4) the Manager's recommendation to continue to retain NISA.
Based on these and other considerations the Trustees (1) concluded
that the fees paid to the Manager and the subadvisor under the Agreements are
fair and reasonable, (2) determined that the Treasury Inflation Protected
Securities Fund and its shareholders would benefit from the Manager's and
subadvisor's continued
20
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT
AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS OF THE FUND
(UNAUDITED)
management of the Fund and (3) approved the renewal of the Management and
Investment Advisory Agreements with respect to the Treasury Inflation Protected
Securities Fund.
21
(AMERICAN BEACON FUNDS(SM) LOGO)
DELIVERY OF DOCUMENTS
To reduce expenses, your financial institution may mail only one copy of the
Prospectus, Annual Report and Semi-Annual Report to those addresses shared by
two or more accounts. If you wish to receive individual copies of these
documents, please contact your financial institution. Delivery of individual
copies will commence thirty days after receiving your request.
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:
(GRAPHIC) (GRAPHIC)
BY E-MAIL: ON THE INTERNET:
american_beacon.funds@ambeacon.com Visit our website at www.americanbeaconfunds.com
(GRAPHIC) (GRAPHIC)
BY TELEPHONE: BY MAIL:
Call (800) 658-5811 American Beacon Funds
P.O. Box 219643
Kansas City, MO 64121-9643
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES AVAILABILITY OF PROXY VOTING POLICY AND RECORDS
In addition to the Schedule of Investments A description of the policies and procedures the
provided in each semi-annual and annual Fund uses to determine how to vote proxies
report, the Fund files a complete schedule of relating to portfolio securities is available in
its portfolio holdings with the Securities the Fund's Statement of Additional Information,
and Exchange Commission ("SEC") on Form N-Q is available free of charge on the Fund's
as of the first and third fiscal quarters. website (www.americanbeaconfunds.com) and by
The Fund's Forms N-Q are available on the calling 1-800-967-9009 or by accessing the SEC's
SEC's website at www.sec.gov. The Forms N-Q website at www.sec.gov. The Fund's proxy voting
may also be reviewed and copied at the SEC's record for the most recent year ended June 30 is
Public Reference Room, 450 Fifth Street, NW, filed annually with the SEC on Form N-PX. The
Washington, DC 20549. Information regarding Fund's Forms N-PX are available on the SEC's
the operation of the SEC's Public Reference website at www.sec.gov. The Fund's proxy voting
Room may be obtained by calling record may also be obtained by calling
1-800-SEC-0330. A complete schedule of the 1-800-967-9009.
Fund's portfolio holdings is also available
on the Funds' website
(www.americanbeaconfunds.com) approximately
thirty days after the end of each month.
FUND SERVICE PROVIDERS:
CUSTODIAN TRANSFER AGENT INDEPENDENT REGISTERED PUBLIC DISTRIBUTOR
STATE STREET BANK AND TRUST BOSTON FINANCIAL DATA SERVICES ACCOUNTING FIRM FORESIDE FUND SERVICES
Boston, Massachusetts Kansas City, Missouri ERNST & YOUNG LLP Portland, Maine
Dallas, Texas
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.
American Beacon Funds and American Beacon Treasury Inflation Protected
Securities Fund are service marks of American Beacon Advisors, Inc
SAR 6/09
GUIDANCE | VISION | EXPERIENCE
(AMERICAN BEACON FUNDS(SM) LOGO)
Semi-Annual Report
(GRAPHIC)
June 30, 2009
S&P 500 INDEX FUND
SMALL CAP INDEX FUND
INTERNATIONAL EQUITY INDEX FUND
About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and
investment advisory services to numerous institutional and retail clients,
including a variety of mutual funds, corporate cash management, and separate
account management.
Our clients include defined benefit plans, defined contribution plans,
foundations, endowments, corporations, financial planners, and other
institutional investors. With American Beacon Advisors, you can put the
experience of a multi-billion dollar asset management firm to work for your
company.
Contents
Message from American Beacon....................................... 1
Market and Performance Overviews................................... 2
American Beacon Funds
Statements of Assets and Liabilities............................ 10
Statements of Operations........................................ 11
Statements of Changes in Net Assets............................. 12
Notes to Financial Statements................................... 13
Financial Highlights............................................ 18
State Street Equity 500 Index Portfolio
Portfolio of Investments........................................ 22
Statement of Assets and Liabilities............................. 30
Statement of Operations......................................... 31
Statement of Changes in Net Assets.............................. 32
Financial Highlights............................................ 33
Notes to Financial Statements................................... 34
Master Small Cap Index Series
Summary Schedule of Investments................................. 39
Statement of Assets and Liabilities............................. 47
Statement of Operations......................................... 48
Statement of Changes in Net Assets.............................. 49
Financial Highlights............................................ 49
Notes to Financial Statements................................... 50
Master International Index Series
Summary Schedule of Investments................................. 59
Statement of Assets and Liabilities............................. 65
Statement of Operations......................................... 66
Statement of Changes in Net Assets.............................. 67
Financial Highlights............................................ 67
Notes to Financial Statements................................... 68
Additional Information............................................. Back Cover
Any opinions herein, including forecasts, reflect our judgment as of the end of
the reporting period and are subject to change. Each advisor's strategies and
each Fund's portfolio composition will change depending on economic and market
conditions. This report is not a complete analysis of market conditions and
therefore, should not be relied upon as investment advice. Although economic and
market information has been compiled from reliable sources, American Beacon
Advisors, Inc. makes no representation as to the completeness or accuracy of the
statements contained herein.
American Beacon Funds June 30, 2009
(PHOTO OF GENE L. NEEDLES, JR.)
FELLOW SHAREHOLDERS,
Enclosed is the Semi-Annual Report for the American Beacon S&P 500,
Small Cap and International Equity Index Funds for the six months ended June 30,
2009.
The American Beacon S&P 500 Index Fund reported a return of 3.21% for
the six-month period ended June 30, 2009, beating the S&P 500 Index return of
3.16%. The Small Cap Index Fund and International Equity Index Fund also
reported positive returns of 2.62% and 5.90%, respectively, for the same period.
Please review the enclosed market overview, portfolio listings, and
detailed financial data. As always, we welcome the opportunity to serve your
financial needs. To obtain further details about the American Beacon Funds
family or to access your account information, please visit our website at
www.americanbeaconfunds.com. Thank you for your continued confidence in the
American Beacon Funds.
Sincerely,
/s/ Gene L. Needles, Jr.
Gene L. Needles, Jr.
Executive Vice President
American Beacon Funds
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 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.
1
DOMESTIC MARKET OVERVIEW
JUNE 30, 2009 (UNAUDITED)
Economic conditions continued to deteriorate during the first quarter
of 2009. The housing market had yet to find a bottom as inventories of unsold
homes remained high despite plummeting prices and low mortgage rates. Labor
market conditions also worsened during the quarter. Concerns over rising
unemployment and shrinking household wealth caused consumer confidence to drop
to a record low, signaling that consumer spending is likely to contract further.
As the economy slipped further into recession, the U.S. Government ramped up its
actions to stem the crisis. During the first quarter, President Obama signed
into law a $787 billion economic stimulus package that included tax cuts,
spending on infrastructure, and aid to U.S. states. In addition, the President
pledged $75 billion in Troubled Assets Relief Program ("TARP") funds to modify
mortgage loans and ease government-sponsored enterprise ("GSE") refinancing
rules in an effort to curb U.S. foreclosures and prevent further deterioration
in home prices. The Treasury Department also unveiled the details of its much
anticipated toxic asset purchase program during the quarter. Under the
Public-Private Investment Program, private investors will invest alongside the
Government to purchase illiquid mortgage loans and securities from financial
institutions. The goal of the program is to improve price transparency for
distressed assets and free up bank balance sheets to enable additional lending.
In a bold move, the Federal Reserve ("Fed") also announced that it was
going to begin quantitative easing by buying up to $300 billion of long-term
Treasuries. In addition, they upsized purchases of agency mortgage-backed
securities by $750 billion and agency debt by $100 billion, bringing total
purchases of these securities to $1.25 trillion and $200 billion, respectively,
by year end. The markets responded positively to the news as stocks gained and
Treasury yields plunged after the announcement. There is some fear, however,
that the aggressive growth of the Fed's balance sheet will eventually lead to
inflation.
Economic conditions in the second quarter remained challenging, but
tentative signs of improvement emerged. The housing market showed some signs of
stabilizing, job losses slowed, and business and consumer confidence improved.
Despite these economic "green shoots," recovery will be slow to take hold. Home
sales picked up, but the supply of homes on the market remained elevated and
home values continued to fall. While the pace of payroll declines slowed from
its January peak, the U.S. continued to shed jobs and the unemployment rate
continued to climb. In addition, although improvements in business and consumer
confidence were encouraging, growth in spending moderated. Though consumers were
in the process of deleveraging and building savings, neither was conducive to a
robust rebound in consumer spending or business investment.
On the financial front, the Government's efforts to stabilize
financial markets were producing results. Equity markets improved and credit
markets were beginning to thaw. The Treasury-Euro Dollar ("TED") spread, an
indicator of perceived credit risk in the general economy, had come in over 400
basis points (4.00%) since its October 2008 peak. Banks and corporations were
taking advantage of increased access to liquidity by successfully raising
capital without government assistance. In addition, some large banks were
beginning to wean themselves from government aid by announcing plans to repay
TARP funds. For its part, the Fed remained committed to an accommodative policy.
Amid concerns that liquidity injections and unprecedented government borrowing
would cause inflation to accelerate, the Fed left the target range of the Fed
Funds rate unchanged at 0.0-0.25% at the June 24th meeting. The Fed believed
that although commodity prices had risen, economic slack would dampen inflation
pressures. They stated that "economic activity is likely to remain weak for some
time", warranting "exceptionally low levels of the Fed Funds rate for an
extended period."
Overall, the economic outlook improved during the period, but
significant headwinds remained. The country has been experiencing the worst
financial crisis since the Great Depression and the road to recovery could be
long. In a recent address to students and faculty at Morehouse College, Fed
chairman Ben Bernanke stated that "today's economic conditions are difficult,
but the foundations of our economy are strong, and we face no problems that
cannot be overcome with insight, patience, and persistence."
2
PERFORMANCE OVERVIEW
AMERICAN BEACON S&P 500(R) INDEX FUND+
JUNE 30, 2009 (UNAUDITED)
For the six months ended June 30, 2009, the total return of the
Institutional Class of the American Beacon S&P 500 Index Fund was 3.21%,
slightly ahead of the S&P 500 Index (the "Index") return of 3.16% and also ahead
of the Lipper S&P 500 Objective Funds Index return of 3.13%.
ANNUALIZED TOTAL RETURNS
PERIODS ENDED 6/30/09
---------------------------------------
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS
--------- ------ ------- --------
Institutional Class(1, 4) .................. 3.21% -26.18% -2.34% -2.37%
Investor Class(1, 2, 4) .................... 2.94% -26.53% -2.80% -2.79%
Lipper S&P 500 Objective Funds Index (3) ... 3.13% -26.27% -2.43% -2.46%
S&P 500 Index (3) .......................... 3.16% -26.22% -2.24% -2.22%
* Not annualized
(1.) The Investor Class was formerly known as the PlanAhead Class. Performance
shown is historical and may not be indicative of future returns.
Investment returns and principal value will vary, and shares may be worth
more or less at redemption than at original purchase. Performance shown
is as of date indicated, and current performance may be lower or higher
than the performance data quoted. To obtain performance as of the most
recent month end, please visit www.americanbeaconfunds.com or call
1-800-967-9009. Fund performance in the table above does not reflect the
deduction of taxes a shareholder would pay on distributions or the
redemption of shares.
(2.) A portion of the fees charged to the Investor Class of the Fund was
waived through 2002. Performance prior to waiving fees was lower than the
actual returns shown for periods prior to 2002.
(3.) The Lipper S&P 500 Objective Funds Index tracks the results of the 30
largest mutual funds in the Lipper S&P 500 Objective Funds category.
Lipper is an independent mutual fund research and ranking service. The
S&P 500 Index is a market capitalization weighted index of common stocks
publicly traded in the U.S. One cannot invest directly in an index.
(4.) The total annual Fund operating expense ratios set forth in the most
recent prospectus for the Institutional and Investor Class shares were
0.13% and 0.57%, 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.
Only three of ten sectors within the Index gained value during period.
Information Technology stocks were the best performing sector, gaining 25.0%.
Many of the largest firms in the sector posted solid gains during the period.
Apple (up 66.9%), Microsoft (up 23.9%), IBM (up 25.4%), Google (up 37.0%),
Qualcomm (up 27.3%), Intel (up 15.0%), Cisco (up 14.4%) and Oracle (up 21.1%)
contributed three percentage points to the overall Index return. Materials
companies gained 13.9% and Consumer Discretionary firms gained 8.3%. The
Healthcare sector was essentially flat during the period, while the remaining
six sectors posted small losses, with Industrials (down 6.1%) being the most
significant laggard.
Many companies made headlines during the period, but automobile firms
were near the top and bottom of the spectrum. General Motors, once the largest
corporation in the world, succumbed to mounting pressures and filed for
bankruptcy protection. Despite government intervention and intense negotiations,
bankruptcy became the best choice for the firm. Government funds and fruits of
the negotiations had most hoping for a very quick exit from bankruptcy, with the
U.S. Government becoming a large stakeholder in the firm, at least temporarily.
GM stock lost 65.9% of its value during the period, and this was from an already
depressed level in December. At the other end of the spectrum, Ford Motor gained
165.1% as the company avoided bankruptcy. Ford's balance sheet was in better
shape to negotiate the downturn and the company avoided taking any government
aid during the period. While the stock rose from a low opening level, its
ability to survive such a difficult period has positioned it in a positive light
going forward.
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.
+ The 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.
S&P is a trademark of the McGraw-Hill Companies, Inc. and has been licensed for
use, "Standard and Poor's(R)", "S&P", "Standard & Poor's 500", "S&P 500" are all
trademarks of the McGraw-Hill Companies, Inc. and have been licensed for use by
State Street Bank and Trust Company.
3
PERFORMANCE OVERVIEW
AMERICAN BEACON S&P 500(R) INDEX FUND
JUNE 30, 2009 (UNAUDITED)
TOP TEN HOLDINGS
% OF
EQUITIES*
---------
Exxon Mobil Corp............................... 4.2%
Microsoft Corp................................. 2.2%
Johnson & Johnson.............................. 1.9%
Procter & Gamble Co............................ 1.8%
AT&T, Inc...................................... 1.8%
International Business Machines Corp........... 1.7%
Chevron Corp................................... 1.6%
JPMorgan Chase & Co............................ 1.6%
Apple Inc...................................... 1.5%
General Electric Co............................ 1.5%
* Percent of the equities of State Street Equity 500 Index Portfolio
EQUITY SECTOR ALLOCATION
% OF
EQUITIES*
---------
Information Technology......................... 18.4%
Health Care.................................... 14.0%
Financials..................................... 13.6%
Energy......................................... 12.4%
Consumer Staples............................... 12.0%
Industrials.................................... 9.8%
Consumer Discretionary......................... 9.0%
Utilities...................................... 4.1%
Telecommunication Services..................... 3.5%
Materials...................................... 3.2%
* Percent of the equities of State Street Equity 500 Index Portfolio
4
PERFORMANCE OVERVIEW
AMERICAN BEACON SMALL CAP INDEX FUND(SM)
JUNE 30, 2009 (UNAUDITED)
For the six months ended June 30, 2009, the total return of the
Institutional Class of the American Beacon Small Cap Index Fund was 2.62%. The
Fund's performance was in line with the Russell 2000(R) Index (the "Index")
return of 2.63% but lagged the Lipper Small-Cap Core Funds Index return of
8.23%, which consists primarily of actively managed funds.
ANNUALIZED TOTAL RETURNS
PERIODS ENDED 6/30/09
----------------------------------------
SINCE
INCEPTION
6 MONTHS* 1 YEAR 5 YEARS (7/31/00)
--------- ------ ------- ---------
Institutional Class(1, 3) .................. 2.62% -24.82% -1.78% 1.41%
Lipper Small-Cap Core Funds Index(2) ....... 8.23% -25.01% -0.93% 2.76%
Russell 2000 Index(2) ...................... 2.63% -25.02% -1.71% 1.51%
* Not annualized
(1.) Performance shown is historical and may not be indicative of future
returns. Investment returns and principal value will vary, and shares may
be worth more or less at redemption than at original purchase.
Performance shown is as of date indicated, and current performance may be
lower or higher than the performance data quoted. To obtain performance
as of the most recent month end, please visit www.americanbeaconfunds.com
or call 1-800-967-9009. Fund performance in the table above does not
reflect the deduction of taxes a shareholder would pay on distributions
or the redemption of shares.
(2.) The Lipper Small-Cap Core Funds Index tracks the results of the 30
largest mutual funds in the Lipper Small-Cap Core Funds category. Lipper
is an independent mutual fund research and ranking service. The Russell
2000 Index is an unmanaged index comprising approximately 2,000
smaller-capitalization stocks from various industrial sectors. One cannot
invest directly in an index.
(3.) The total annual Fund operating expense ratio set forth in the most
recent prospectus for the Fund was 0.20%. 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.
Seven of the ten sectors within the Russell 2000 Index posted positive
returns for the six-month period. The Information Technology, Consumer
Discretionary, and Telecommunication Services sectors, up 28.4%, 22.3% and
10.4%, respectively, posted the largest gains for the period while the
Financial, Industrials, and Utilities sectors, down 17.8%, 7.2% and 5.8%,
respectively, detracted from performance.
The highest individual stock returns in the Index were generated by
Dollar Thrifty Automotive Group Inc. (up 1,719.8%), Borders Group Inc. (up
820.0%) and Stein Mart Inc. (up 684.1%). By contrast, there were several stocks
within the Index that lost a great deal of their value during the period,
including Visteon Corp. (down 94.3%), Meruelo Maddox Properties, Inc. (down
96.0%), and Apex Silver Mines (down 99.0%).
The Fund will continue to strive to meet its objective of closely
replicating, before expenses, the return of its benchmark, the Russell 2000
Index. It does so by investing in a subset of the securities in the Index such
that the characteristics of the portfolio closely track the characteristics of
the Index.
TOP TEN HOLDINGS
% OF
EQUITIES*
---------
Palm, Inc................................... 0.3%
3Com Corp................................... 0.3%
Piedmont Natural Gas Co..................... 0.2%
Jack Henry & Associates Inc................. 0.2%
Owens & Minor, Inc.......................... 0.2%
VistaPrint Ltd.............................. 0.2%
Polycom, Inc................................ 0.2%
Tetra Tech, Inc............................. 0.2%
Solera Holdings Inc......................... 0.2%
Skyworks Solutions Inc...................... 0.2%
EQUITY SECTOR ALLOCATION
% OF
EQUITIES*
---------
Information Technology...................... 19.7%
Financials.................................. 19.5%
Industrials................................. 16.0%
Health Care................................. 15.1%
Consumer Discretionary...................... 13.0%
Energy...................................... 4.5%
Materials................................... 3.8%
Utilities................................... 3.6%
Consumer Staples............................ 3.5%
Telecommunications.......................... 1.3%
* Percent of equity portion of Master Small Cap Index Series
5
INTERNATIONAL MARKET OVERVIEW
JUNE 30, 2009 (UNAUDITED)
After posting steep declines early in the year, global markets
rebounded sharply in the second quarter of 2009, on increasing evidence of a
recovery in global growth and a notable shift by investors into riskier assets.
From their low point on March 6th, most markets around the world were up around
40% or more by the close of the period.
International markets, as represented by the MSCI EAFE Index, advanced
25.43% in the second quarter alone, leaving the index up 7.95% for the six
months. In developed markets, the majority of countries gained better than 20%
in the second quarter, while some posted returns in excess of 30%, helping push
most countries into positive territory for the year to date. From a global
sector perspective, financial markets are anticipating a cyclical recovery, and
as a result, cyclical sectors led the way for the six months as a whole.
6
PERFORMANCE OVERVIEW
AMERICAN BEACON INTERNATIONAL EQUITY INDEX FUND(SM)
JUNE 30, 2009 (UNAUDITED)
For the six months ended June 30, 2009, the Institutional Class of the
American Beacon International Equity Index Fund posted a total return of 5.90%,
underperforming the MSCI EAFE Index (the "Index") return of 7.95% and the Lipper
International Funds Index return of 10.11%. The investment manager's application
of its fair valuation policy during the period was the primary driver of the
Fund's underperformance.
ANNUALIZED TOTAL RETURNS
PERIODS ENDED 6/30/09
----------------------------------------
SINCE
INCEPTION
6 MONTHS* 1 YEAR 5 YEARS (7/31/00)
--------- ------ ------- ---------
Institutional Class(1, 3) .................. 5.90% -30.98% 2.38% -0.03%
Lipper International Funds Index(2) ........ 10.11% -30.14% 3.35% 0.70%
MSCI EAFE Index(2) ......................... 7.95% -31.35% 2.31% 0.04%
* Not annualized
(1.) Performance shown is historical and may not be indicative of future
returns. Investment returns and principal value will vary, and shares may
be worth more or less at redemption than at original purchase.
Performance shown is as of date indicated, and current performance may be
lower or higher than the performance data quoted. To obtain performance
as of the most recent month end, please visit www.americanbeaconfunds.com
or call 1-800-967-9009. Fund performance in the table above does not
reflect the deduction of taxes a shareholder would pay on distributions
or the redemption of shares.
(2.) The Lipper International Funds Index tracks the results of the 30 largest
mutual funds in the Lipper International Funds category. Lipper is an
independent mutual fund research and ranking service. The MSCI EAFE Index
is a market capitalization weighted index of international stock
performance composed of equities from developed markets excluding the
U.S. and Canada. One cannot invest directly in an index.
(3.) The total annual Fund operating expense ratio set forth in the most
recent prospectus for the Fund was 0.19%. The expense ratio above may
vary from the expense ratio presented in other sections of this report,
which is based on expenses incurred during the period covered by this
report.
In developed markets, the majority of regions gained better than 20%
in the second quarter, while some posted returns in excess of 30%, helping push
most countries into positive territory for the year to date. Standouts included
Hong Kong (up 35.6%), and Singapore (up 32.2%), while Ireland (down 2.8%) and
Mexico (down 21.0%) detracted from performance.
From a sector perspective, financial markets are anticipating a
cyclical recovery and, as a result, cyclical sectors led the way for the six
months as a whole. Materials (up 25.6%), Consumer Discretionary (up 15.9%), and
Financials (up 13.5%) emerged as the best performers. Key laggards were the more
defensive sectors, including Utilities (down 7.9%), Healthcare (down 4.6%) and
Telecommunication Services (down 3.1%).
On an individual stock basis, firms Kazakhmys PLC (up 212.4%), Fortis
Bank N.V. (up 163.9%) and Verdanta Resources PLC (up 141.3%) were the strongest
performers. By contrast, financial companies Bank of Ireland (down 78.9%),
Allied Irish Banks PLC (down 79.7%), and Anglo Irish Bank (down 99.9%) were the
most notable laggards within the Index.
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.
7
PERFORMANCE OVERVIEW
AMERICAN BEACON INTERNATIONAL EQUITY INDEX FUND(SM)
JUNE 30, 2009 (UNAUDITED)
TOP TEN HOLDINGS
% OF
EQUITIES*
---------
BP plc...................................... 1.8%
HSBC Holdings plc........................... 1.7%
Nestle S.A.................................. 1.7%
Total S.A................................... 1.4%
Toyota Motor Corp........................... 1.3%
Vodafone Group plc.......................... 1.2%
Roche Holding Ltd........................... 1.2%
Banco Santander S.A......................... 1.2%
Telefonica S.A.............................. 1.2%
BHP Billiton Ltd............................ 1.1%
EQUITY SECTOR ALLOCATION
% OF
EQUITIES* EAFE
--------- ----
Financials.................................. 24.6% 24.6%
Industrials................................. 11.3% 11.3%
Consumer Staples............................ 10.0% 10.0%
Consumer Discretionary...................... 10.0% 10.0%
Materials................................... 9.4% 9.4%
Energy...................................... 8.7% 8.7%
Health Care................................. 8.4% 8.4%
Utilities................................... 6.4% 6.4%
Telecommunications.......................... 6.0% 6.0%
Information Technology...................... 5.2% 5.2%
* Percent of equity portion of Master International Index Series
COUNTRY ALLOCATION
(PIE CHART)
% OF
EQUITIES* EAFE
--------- ----
Japan....................................... 24.1% 24.1%
United Kingdom.............................. 21.0% 21.0%
France...................................... 10.3% 10.3%
Germany..................................... 7.8% 7.8%
Switzerland................................. 7.5% 7.5%
Australia................................... 7.4% 7.4%
Spain....................................... 4.5% 4.5%
Italy....................................... 3.5% 3.5%
Hong Kong................................... 2.4% 2.4%
Sweden...................................... 2.4% 2.4%
Netherlands................................. 2.3% 2.3%
Singapore................................... 1.4% 1.4%
Finland..................................... 1.3% 1.3%
Denmark..................................... 0.9% 0.9%
Belgium..................................... 0.9% 0.9%
Norway...................................... 0.7% 0.7%
Greece...................................... 0.6% 0.6%
Portugal.................................... 0.3% 0.3%
Austria..................................... 0.3% 0.3%
Ireland..................................... 0.3% 0.3%
New Zealand................................. 0.1% 0.1%
8
FUND EXPENSES
JUNE 30, 2009 (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, 2009
through June 30, 2009.
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 may be subject to a custodial IRA
fee of $12 that is typically deducted each December. If your account was subject
to a custodial IRA fee during the period, your costs would have been $12 higher.
ACTUAL
S&P 500 SMALL INTERNATIONAL S&P 500
INSTITUTIONAL CLASS INDEX CAP INDEX EQUITY INDEX INVESTOR CLASS INDEX
- ------------------- --------- --------- ------------- ------------------------------------- ---------
Beginning Account Value 1/1/09........ $1,000.00 $1,000.00 $1,000.00 Beginning Account Value 1/1/09....... $1,000.00
Ending Account Value 6/30/09.......... $1,032.10 $1,026.25 $1,058.98 Ending Account Value 6/30/09......... $1,029.37
Expenses Paid During Period* 1/1/09 - Expenses Paid During Period* 1/1/09 -
6/30/09............................ $ 0.76 $ 1.06 $ 1.12 6/30/09........................... $ 2.92
Annualized Expense Ratio.............. 0.15% 0.21% 0.22% Annualized Expense Ratio............. 0.58%
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The following table provides information about hypothetical account values
and hypothetical expenses based on a Fund's actual expense ratio and an assumed
5% per year rate of return before expenses (not the Fund's actual return). You
may compare the ongoing costs of investing in a particular Fund with other funds
by contrasting this 5% hypothetical example and the 5% hypothetical examples
that appear in the shareholder reports of the other funds. The hypothetical
account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid for the period. Shareholders of the
Institutional and Investor Classes that invest in a Fund through an IRA may be
subject to a custodial IRA fee of $12 that is typically deducted each December.
If your account was subject to a custodial IRA fee during the period, your costs
would have been $12 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
S&P 500 SMALL INTERNATIONAL S&P 500
INSTITUTIONAL CLASS INDEX CAP INDEX EQUITY INDEX INVESTOR CLASS INDEX
- ------------------- --------- --------- ------------- ------------------------------------- ---------
Beginning Account Value 1/1/09........ $1,000.00 $1,000.00 $1,000.00 Beginning Account Value 1/1/09....... $1,000.00
Ending Account Value 6/30/09.......... $1,024.05 $1,023.75 $1,023.70 Ending Account Value 6/30/09......... $1,021.92
Expenses Paid During Period* 1/1/09 - Expenses Paid During Period* 1/1/09 -
6/30/09............................ $ 0.75 $ 1.05 $ 1.10 6/30/09........................... $ 2.91
Annualized Expense Ratio.............. 0.15% 0.21% 0.22% Annualized Expense Ratio............. 0.58%
- ----------
* Expenses are equal to each Fund's annualized expense ratio for the
six-month period multiplied by the average account value over the period,
multiplied by the number derived by dividing the number of days in the most
recent fiscal half-year (181) by days in the year (365) to reflect the
half-year period.
9
AMERICAN BEACON FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2009 (UNAUDITED) (IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
SMALL CAP INTERNATIONAL
S&P 500 INDEX INDEX EQUITY INDEX
FUND FUND FUND
------------- ----------- -------------
ASSETS:
Investment in Portfolio, at value ......... $ 274,539 $ 33,438 $ 188,012
Receivable for fund shares sold ........... 301 3 202
Prepaid expenses .......................... 28 -- 4
----------- ---------- -----------
TOTAL ASSETS ........................... 274,868 33,441 188,218
----------- ---------- -----------
LIABILITIES:
Payable for fund shares redeemed .......... 5 735 36
Administrative service and service fees
payable (Note 2) ....................... 20 1 7
Other liabilities ......................... 32 28 24
----------- ---------- -----------
TOTAL LIABILITIES ...................... 57 764 67
----------- ---------- -----------
NET ASSETS ................................ $ 274,811 $ 32,677 $ 188,151
=========== ========== ===========
ANALYSIS OF NET ASSETS:
Paid-in-capital ........................... 348,245 47,826 274,179
Undistributed net investment income
(expense) .............................. 2,259 145 3,779
Accumulated net realized gain (loss) ...... (65,133) (3,346) (23,508)
Unrealized net appreciation (depreciation)
of investments and futures contracts ... (10,560) (11,948) (66,299)
----------- ---------- -----------
NET ASSETS ................................... $ 274,811 $ 32,677 $ 188,151
=========== ========== ===========
Shares outstanding (no par value):
Institutional Class ....................... 19,864,596 3,979,644 23,797,778
=========== ========== ===========
Investor Class ............................ 2,071,067 -- --
=========== ========== ===========
Net asset value, offering and redemption price
per share:
Institutional Class ....................... $ 12.54 $ 8.21 $ 7.91
=========== ========== ===========
Investor Class ............................ $ 12.37 $ -- $ --
=========== ========== ===========
See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios
10
AMERICAN BEACON FUNDS
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2009 (IN THOUSANDS) (UNAUDITED)
SMALL CAP INTERNATIONAL
S&P 500 INDEX INDEX EQUITY INDEX
FUND FUND FUND
------------- ----------- -------------
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO:
Dividend income ........................... $ 3,100 $ 150 $ 3,759
Interest income ........................... 12 5 3
Securities lending income ................. -- 21 --
Portfolio expenses ........................ (53) (10) (87)
Other income .............................. 629 -- 1
------- ------- -------
NET INVESTMENT INCOME ALLOCATED FROM
PORTFOLIO ........................... 3,688 166 3,676
------- ------- -------
FUND EXPENSES:
Administrative service fees (Note 2):
Institutional Class .................... 55 7 42
Investor Class ......................... 22 -- --
Sub-administrative service fees:
Institutional Class .................... -- 2 13
Transfer agent fees:
Institutional Class .................... 14 -- 10
Custody and accounting fees ............... 4 3 4
Professional fees ......................... 8 7 8
Registration fees ......................... 14 -- --
Service fees - Investor Class (Note 2) .... 22 -- --
Printing .................................. 10 -- 2
Trustee fees .............................. 3 -- 7
Insurance ................................. 1 -- 4
Other expenses ............................ 5 2 7
------- ------- -------
TOTAL FUND EXPENSES .................... 158 21 97
------- ------- -------
NET INVESTMENT INCOME ........................ 3,530 145 3,579
------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED
FROM MASTER PORTFOLIO
Net realized gain (loss) from:
Investments ............................ (7,881) (1,461) (6,667)
Foreign currency transactions .......... -- -- 190
Futures contracts ...................... 646 120 634
Change in net unrealized appreciation or
depreciation of:
Investments ............................ 14,669 2,169 11,484
Foreign currency transactions .......... -- -- 30
Futures contracts ...................... (309) (371) (206)
------- ------- -------
NET GAIN ON INVESTMENTS ................ 7,125 457 5,465
------- ------- -------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS ................................ $10,655 $ 602 $ 9,044
======= ======= =======
See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios
11
AMERICAN BEACON FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
INTERNATIONAL EQUITY
S&P 500 INDEX FUND SMALL CAP INDEX FUND INDEX FUND
-------------------------- --------------------------- --------------------------
Six Months Year Six Months Year Six Months Year
ended ended ended ended ended ended
June 30, December 31, June 30, December 31, June 30, December 31,
2009 2008 2009 2008 2009 2008
----------- ------------ ------------ ------------ ----------- ------------
(unaudited) (unaudited) (unaudited)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income .................. $ 3,530 $ 6,284 $ 145 $ 619 $ 3,579 $ 9,005
Net realized (loss) on investments,
foreign currency, and futures
contracts ........................... (7,235) (3,348) (1,341) (2,963) (5,843) (14,050)
Change in net unrealized
appreciation or (depreciation) of
investments and futures contracts ... 14,360 (127,828) 1,798 (14,190) 11,308 (125,746)
-------- --------- ------- -------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS ........ 10,655 (124,892) 602 (16,534) 9,044 (130,791)
-------- --------- ------- -------- -------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional Class .............. (1,363) (5,882) -- (601) -- (7,110)
Investor Class ................... (108) (267) -- -- -- --
Net realized gain on investments:
Institutional Class .............. -- -- -- (2,145) -- --
Investor Class ................... -- -- -- -- -- --
Tax return of capital:
Institutional Class .............. -- -- -- (456) -- --
-------- --------- ------- -------- -------- ---------
TOTAL DISTRIBUTIONS TO
SHAREHOLDERS ..................... (1,471) (6,149) -- (3,202) -- (7,110)
-------- --------- ------- -------- -------- ---------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sales of shares .......... 44,559 104,131 6,391 11,693 22,037 227,499
Reinvestment of dividends and
distributions ....................... 1,469 6,122 -- 3,202 -- 7,110
Cost of shares redeemed ................ (17,899) (31,890) (5,868) (15,932) (28,790) (178,141)
-------- --------- ------- -------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL SHARE TRANSACTIONS .. 28,129 78,363 523 (1,037) (6,753) 56,468
-------- --------- ------- -------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS ..... 37,313 (52,678) 1,125 (20,773) 2,291 (81,433)
-------- --------- ------- -------- -------- ---------
NET ASSETS:
Beginning of period .................... 237,498 290,176 31,552 52,325 185,860 267,293
-------- --------- ------- -------- -------- ---------
END OF PERIOD * ........................ $274,811 $ 237,498 $32,677 $ 31,552 $188,151 $ 185,860
======== ========= ======= ======== ======== =========
*Includes undistributed net investment
income (loss) of ....................... $ 2,259 $ 200 $ 145 $ -- $ 3,779 $ 199
======== ========= ======= ======== ======== =========
See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios
12
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
American Beacon Funds (the "Trust") is organized as a Massachusetts
business trust and is registered under the Investment Company Act of 1940 (the
"Act"), as amended, as a no load, 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.
% OF PORTFOLIO
HELD BY FUND AT
AMERICAN BEACON: PORTFOLIOS: JUNE 30, 2009
- ------------------------------- --------------------------------------- ---------------
S&P 500 Index Fund State Street Equity 500 Index Portfolio 16.3%
Small Cap Index Fund Master Small Cap Index Series 8.2%
International Equity Index Fund Master International Index Series 25.8%
The financial statements of the Portfolios are included elsewhere in
this report and should be read in conjunction with the Funds' financial
statements.
The following is a summary of the significant accounting policies
followed by the Funds.
Class Disclosure
The S&P 500 Index Fund has two classes of shares designed to meet the
needs of different groups of investors. The following table sets forth the
differences amongst the classes:
CLASS: OFFERED TO: SERVICE FEES:
- ------ ----------- -------------
INSTITUTIONAL CLASS Investors making an initial investment of $2 million Administrative Service Fee - 0.05%
INVESTOR CLASS General public and investors investing through an intermediary Administrative Service Fee - 0.25%
Service Fee - 0.25%
Investment income, net capital gains (losses) and all expenses
incurred by the S&P 500 Index Fund are allocated based on the relative net
assets of each class, except for service fees and certain other fees and
expenses related solely to one class of shares.
Security Valuation
Valuation of securities by each Portfolio is discussed in the
Portfolios' Notes to Financial Statements, which are included elsewhere in this
report.
The Fund adopted the provisions of Statement of Financial Accounting
Standards No. 157, "Fair Value Measurements" ("FAS 157"), effective for
financial statements issued for fiscal years beginning after November 15, 2007
and interim periods within those fiscal years. This standard clarifies the
definition of fair value for financial reporting, establishes a framework for
measuring fair value, and requires additional disclosures about the use of fair
value measurements. In addition, effective June 30, 2009, the Fund adopted FASB
Staff position ("FSP") No. 157-4, "Determining Fair Value When the Volume and
Level of Activity for the Asset or Liability
13
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
Have Significantly Decreased and Identifying Transactions That Are Not Orderly"
("FSP No. 157-4"). FSP No. 157-4 provides additional guidance for estimating
fair value in accordance with SFAS No. 157 when the volume and level of activity
for the asset or liability have significantly decreased. The three levels of the
hierarchy under FAS 157 are described below:
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 significant unobservable inputs.
Unobservable inputs reflect the Portfolio's own assumptions about the
factors market participants would use in pricing an investment, and would
be based on the best information available.
The summary of inputs used to value the Portfolios' net assets as of
June 30, 2009 is discussed in the Portfolios' Notes to Financial Statements,
which are included elsewhere in this report.
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. Dividends are determined in accordance
with income tax principles that may treat certain transactions differently than
generally accepted accounting principles.
Allocation of Income, Expenses, Gains and Losses
Income, expenses (other than those attributable to a specific class),
gains and losses are allocated daily to each class of shares based upon the
relative proportion of net assets represented by such class. Operating expenses
directly attributable to a specific class are charged against the operations of
that class.
Valuation of Shares
The price per share is calculated on each day on which shares are
offered for sale. Net asset value per share is computed by dividing the value of
each Fund's total assets (which includes the value of the Fund's investments in
its Portfolio) less liabilities, by the number of Fund shares outstanding.
Use of Estimates
The preparation of financial statements in conformity with U.S.
generally accepted accounting principles 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
14
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
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.
2. FEES AND 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.
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 0.25% of the average daily net assets of the
Investor Class of the S&P 500 Index Fund.
Subadministration Agreement
The Trust, the Manager and BlackRock Advisors, LLC ("BlackRock")
entered into a Subadministration 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. FEDERAL INCOME AND EXCISE TAXES
It is the policy of each of the Funds to comply with the requirements
of Subchapter M of the Internal Revenue Code and to distribute substantially all
net investment income as well as any net realized capital gains on the sale of
investments. Therefore, no federal income or excise tax provision is required.
The Funds adopted the provisions of FASB Interpretation No. 48,
"Accounting for Uncertainties in Income Taxes" ("FIN 48"), on January 1, 2007.
FIN 48 sets forth a minimum threshold for financial statement recognition of the
benefit of a tax position taken or expected to be taken in a tax return. The
implementation of FIN 48 did not result in any unrecognized tax benefits in the
accompanying financial statements. Each of the tax years in the three year
period ended December 31, 2008, remains subject to examination by the Internal
Revenue Service. If applicable, the Funds recognize interest accrued related to
unrecognized tax benefits in interest expense and penalties in "Other expenses"
on the Statement of Operations.
Dividends are categorized in accordance with income tax regulations
which may treat certain transactions differently than U.S. generally accepted
accounting principles. Accordingly, the character of distributions and
composition of net assets for tax purposes may differ from those reflected in
the accompanying financial statements.
15
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
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 applicable, as
the income is earned or capital gains are recorded.
The tax character of distributions paid during the six months ended
June 30, 2009 and fiscal year ended December 31, 2008 were as follows (in
thousands):
S&P 500 INDEX SMALL CAP INDEX INTERNATIONAL EQUITY INDEX
-------------------------- -------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
2009 2008 2009 2008 2009 2008
----------- ------------ ----------- ------------ ----------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
DISTRIBUTIONS PAID FROM:
ORDINARY INCOME:*
Institutional Class .......... $1,363 $5,882 $-- $ 646 $-- $7,110
Investor Class ............... 108 267 -- -- -- --
LONG-TERM CAPITAL GAIN:
Institutional Class .......... -- -- -- 2,100 -- --
Investor Class ...............
RETURN OF CAPITAL:
Institutional Class .......... -- -- -- 456 -- --
------ ------ --- ------ --- ------
TOTAL TAXABLE
DISTRIBUTIONS .......... $1,471 $6,149 $-- $3,202 $-- $7,110
====== ====== === ====== === ======
* For tax purposes, short-term capital gains are considered ordinary income
distributions.
At June 30, 2009 capital loss carry forward positions for federal
income tax purposes were as follows (in thousands):
FUND 2010 2011 2012 2013 2014 2016 TOTAL
- ---- ------ ---- ------ ------ ---- ------- -------
S&P 500 Index .......................... $7,852 $635 $1,060 $2,311 $286 $11,180 $23,324
4. CAPITAL SHARE TRANSACTIONS
The tables below summarize the activity in capital shares for each
Class of the Funds (shares and dollars in thousands):
Six Months ended June 30, 2009
INSTITUTIONAL CLASS INVESTOR CLASS
------------------- ----------------
S&P 500 INDEX FUND SHARES AMOUNT SHARES AMOUNT
- ------------------ ------- --------- ------ -------
Shares sold ......................... 2,544 $ 29,499 1,382 $15,060
Reinvestment of dividends ........... 124 1,363 10 106
Shares redeemed ..................... (1,193) (13,481) (392) (4,418)
------- -------- ----- -------
Net increase in shares outstanding .. 1,475 $ 17,381 1,000 $10,748
======= ======== ===== =======
INSTITUTIONAL
CLASS
----------------
SMALL CAP INDEX FUND SHARES AMOUNT
- -------------------- ------ -------
Shares sold ......................... 838 $ 6,391
Reinvestment of dividends ........... -- --
Shares redeemed ..................... (803) (5,868)
---- -------
Net increase in shares outstanding .. 35 $ 523
==== =======
16
AMERICAN BEACON FUNDS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
INSTITUTIONAL
CLASS
-----------------
INTERNATIONAL EQUITY INDEX FUND SHARES AMOUNT
- ------------------------------- ------ --------
Shares sold ........................... 3,191 $ 22,037
Reinvestment of dividends ............. -- --
Shares redeemed ....................... (4,319) (28,790)
------ --------
Net (decrease) in shares outstanding .. (1,128) $ (6,753)
====== ========
Year ended December 31, 2008
INSTITUTIONAL
CLASS INVESTOR CLASS
----------------- ----------------
S&P 500 INDEX FUND SHARES AMOUNT SHARES AMOUNT
- ------------------ ------ -------- ------ -------
Shares sold ......................... 5,952 $ 97,796 427 $ 6,335
Reinvestment of dividends ........... 385 5,882 16 240
Shares redeemed ..................... (1,640) (27,201) (312) (4,689)
------ -------- --- -------
Net increase in shares outstanding .. 4,697 $ 76,477 131 $ 1,886
====== ======== === =======
INSTITUTIONAL
CLASS
-----------------
SMALL CAP INDEX FUND SHARES AMOUNT
- -------------------- ------ --------
Shares sold ........................ 1,023 $ 11,693
Reinvestment of dividends .......... 428 3,202
Shares redeemed .................... (1,378) (15,932)
------ --------
Net increase (decrease) in shares
outstanding ..................... 73 $ (1,037)
====== ========
INSTITUTIONAL CLASS
-------------------
INTERNATIONAL EQUITY INDEX FUND SHARES AMOUNT
- ------------------------------- ------- ---------
Shares sold ......................... 19,770 $ 227,499
Reinvestment of dividends ........... 1,003 7,110
Shares redeemed ..................... (15,836) (178,141)
------- ---------
Net increase in shares outstanding .. 4,937 $ 56,468
======= =========
5. SUBSEQUENT EVENTS
In accordance with the provisions set forth in FASB Statement of
Financial Accounting Standards No. 165 "Subsequent Events", adopted by the Fund
as of June 30, 2009, management has evaluated the possibility of subsequent
events existing in the Fund's financial statements through August 28, 2009.
Management has determined that there are no material events that would require
disclosure in the Fund's financial statements through this date.
17
AMERICAN BEACON S&P 500 INDEX FUND
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
Institutional Class
--------------------------------------------------------------------
Six Months Year Ended December 31,
ended June ------------------------------------------------------
30, 2009 2008 2007 2006 2005 2004
----------- -------- -------- -------- -------- --------
(unaudited)
NET ASSET VALUE, BEGINNING OF PERIOD ......... $ 12.21 $ 19.85 $ 19.19 $ 16.90 $ 16.43 $ 15.10
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income:(A) ................. 0.16 0.36 0.39 0.33 0.29 0.29
Net gain (loss) on investments, foreign
currency and futures transactions
(both realized and unrealized) ......... 0.24 (7.65) 0.65 2.30 0.47 1.32
-------- -------- -------- -------- -------- --------
Total income (loss) from investment
operations ................................ 0.40 (7.29) 1.04 2.63 0.76 1.61
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income ...... (0.07) (0.35) (0.38) (0.34) (0.29) (0.28)
Tax return of capital ..................... -- -- -- -- 0.00(B) --
-------- -------- -------- -------- -------- --------
Total distributions .......................... (0.07) (0.35) (0.38) (0.34) (0.29) (0.28)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD ............... $ 12.54 $ 12.21 $ 19.85 $ 19.19 $ 16.90 $ 16.43
======== ======== ======== ======== ======== ========
TOTAL RETURN ................................. 3.21%(C) -37.08% 5.39% 15.69% 4.74% 10.76%
======== ======== ======== ======== ======== ========
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .. $249,193 $224,583 $271,746 $223,008 $225,857 $244,668
Ratios to average net assets
(annualized):(A)
Net investment income, net of waivers .. 3.01% 2.23% 1.89% 1.85% 1.75% 1.85%
Net investment income, before waivers .. 3.01% 2.23% 1.89% 1.85% 1.75% 1.85%
Expenses, including expenses of the
master portfolio, net of waivers .... 0.15% 0.13% 0.13% 0.14% 0.13% 0.17%
Expenses, including expenses of the
master portfolio, before waivers .... 0.15% 0.13% 0.13% 0.14% 0.13% 0.17%
- ----------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the State Street Equity 500 Index Portfolio.
(B) The tax return of capital is calculated based upon outstanding shares at
the time of distribution. Amounts are less than $0.01 per share.
(C) Not annualized.
18
Investor Class
- ----------------------------------------------------------------
Six Months Year Ended December 31,
ended June -------------------------------------------------
30, 2009 2008 2007 2006 2005 2004
- ----------- ------- ------- ------- ------- -------
(unaudited)
$ 12.06 $ 19.60 $ 18.97 $ 16.69 $ 16.23 $ 14.96
------- ------- ------- ------- ------- -------
0.15 0.38 0.28 0.17 0.21 0.21
0.23 (7.65) 0.65 2.33 0.48 1.31
------- ------- ------- ------- ------- -------
0.38 (7.27) 0.93 2.50 0.69 1.52
------- ------- ------- ------- ------- -------
(0.07) (0.27) (0.30) (0.22) (0.23) (0.25)
-- -- -- -- 0.00(B) --
------- ------- ------- ------- ------- -------
(0.07) (0.27) (0.30) (0.22) (0.23) (0.25)
------- ------- ------- ------- ------- -------
$ 12.37 $ 12.06 $ 19.60 $ 18.97 $ 16.69 $ 16.23
======= ======= ======= ======= ======= =======
2.94%(C) -37.35% 4.88% 15.09% 4.32% 10.21%
======= ======= ======= ======= ======= =======
$25,618 $12,915 $18,430 $16,056 $48,985 $46,344
2.65% 1.72% 1.38% 1.37% 1.28% 1.43%
2.65% 1.72% 1.38% 1.37% 1.28% 1.43%
0.58% 0.62% 0.63% 0.61% 0.61% 0.62%
0.58% 0.62% 0.63% 0.61% 0.61% 0.62%
19
AMERICAN BEACON SMALL CAP INDEX FUND
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
Institutional Class
------------------------------------------------------------------
Six Months Year Ended December 31,
ended June ---------------------------------------------------
30, 2009 2008 2007 2006 2005 2004
----------- ------- ------- -------- ------- -------
(unaudited)
NET ASSET VALUE, BEGINNING OF PERIOD ......... $ 8.00 $ 13.51 $ 14.89 $ 12.78 $ 12.57 $ 11.27
------- ------- ------- -------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(A) .................. 0.02 0.18 0.32 0.17 0.16 0.14
Net gain (loss) on investments, foreign
currency and futures transactions
(both realized and unrealized) ......... 0.19 (4.78) (0.53) 2.11 0.42 1.87
------- ------- ------- -------- ------- -------
Total income (loss) from investment
operations ................................ 0.21 (4.60) (0.21) 2.28 0.58 2.01
------- ------- ------- -------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income ...... -- (0.17) (0.31) (0.17) (0.17) (0.13)
Distributions from net realized gains on
investments ............................ -- (0.61) (0.80) -- (0.15) (0.58)
Tax return of capital ..................... -- (0.13) (0.06) -- (0.05)(B) --
------- ------- ------- -------- ------- -------
Total distributions .......................... -- (0.91) (1.17) (0.17) (0.37) (0.71)
------- ------- ------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD ............... $ 8.21 $ 8.00 $ 13.51 $ 14.89 $ 12.78 $ 12.57
======= ======= ======= ======== ======= =======
TOTAL RETURN ................................. 2.62%(C) -33.58% -1.63% 17.85% 4.51% 17.91%
======= ======= ======= ======== ======= =======
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .. $32,677 $31,552 $52,325 $151,878 $46,113 $39,196
Ratios to average net assets
(annualized):(A)
Net investment income .................. 0.99% 1.54% 1.49% 1.49% 1.12% 0.90%
Expenses, including expenses of the
master portfolio .................... 0.21% 0.20% 0.20% 0.18% 0.18% 0.22%
- ----------
(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) Not annualized.
20
AMERICAN BEACON INTERNATIONAL EQUITY INDEX FUND
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
Institutional Class
-----------------------------------------------------------------------
Six Months Year Ended December 31,
ended June --------------------------------------------------------
30, 2009 2008 2007 2006 2005 2004
----------- -------- -------- -------- ------- -------
(unaudited)
NET ASSET VALUE, BEGINNING OF PERIOD ......... $ 7.46 $ 13.37 $ 12.76 $ 10.33 $ 9.39 $ 8.01
-------- -------- -------- -------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(A) .................. 0.21 0.39 0.52 0.23 0.21 0.17
Net gain (loss) on investments, foreign
currency and futures transactions (both
realized and unrealized) ............... 0.24 (6.00) 0.85 2.50 1.06 1.44
-------- -------- -------- -------- ------- -------
Total income (loss) from investment
operations ................................ 0.45 (5.61) 1.37 2.73 1.27 1.61
-------- -------- -------- -------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income ...... -- (0.30) (0.53) (0.23) (0.24) (0.23)
Distributions from net realized gains on
investments ............................ -- -- (0.22) (0.07) -- --
Tax return of capital ..................... -- -- (0.01)(B) -- (0.09)(B) --
-------- -------- -------- -------- ------- -------
Total distributions .......................... -- (0.30) (0.76) (0.30) (0.33) (0.23)
-------- -------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD ............... $ 7.91 $ 7.46 $ 13.37 $ 12.76 $ 10.33 $ 9.39
======== ======== ======== ======== ======= =======
TOTAL RETURN ................................. 5.90%(C) -41.85% 10.68% 26.52% 13.58% 20.12%
======== ======== ======== ======== ======= =======
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .. $188,151 $185,860 $267,293 $162,113 $90,200 $23,156
Ratios to average net assets
(annualized):(A)
Net investment income .................. 4.27% 3.58% 2.96% 2.44% 2.49% 2.16%
Expenses, including expenses of the
master portfolio .................... 0.22% 0.19% 0.19% 0.22% 0.23% 0.26%
- ----------
(A) The per share amounts and ratios reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the Master International Index Series.
(B) The tax return of capital is calculated based upon outstanding shares at
the time of distribution.
(C) Not annualized.
21
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
MARKET
VALUE
SHARES (000)
---------- ----------
COMMON STOCKS - 97.6%
CONSUMER DISCRETIONARY - 8.9%
Abercrombie & Fitch Co. Class A 19,246 $ 489
Amazon.Com, Inc.(a) 65,792 5,504
Apollo Group, Inc. Class A(a) 21,729 1,545
AutoNation, Inc.(a) 23,063 400
AutoZone, Inc.(a) 7,564 1,143
Bed Bath & Beyond, Inc.(a) 52,445 1,613
Best Buy Co., Inc. 70,719 2,368
Big Lots, Inc.(a) 16,227 341
Black & Decker Corp. 11,937 342
Carnival Corp. 87,950 2,266
CBS Corp. Class B 143,703 994
Centex Corp. 24,082 204
Coach, Inc. 67,028 1,802
Comcast Corp. Class A 587,648 8,515
D.R. Horton, Inc. 52,876 495
Darden Restaurants, Inc. 27,988 923
DeVry, Inc. 12,500 625
DIRECTV Group, Inc.(a) 109,477 2,705
Eastman Kodak Co. 54,482 161
eBay, Inc.(a) 221,403 3,793
Expedia, Inc.(a) 45,615 689
Family Dollar Stores, Inc. 26,858 760
Ford Motor Co.(a) 653,098 3,964
Fortune Brands, Inc. 30,545 1,061
GameStop Corp. Class A(a) 32,400 713
Gannett Co., Inc. 42,074 150
Gap, Inc. 93,698 1,537
Genuine Parts Co. 33,709 1,131
Goodyear Tire & Rubber Co.(a) 42,257 510
H&R Block, Inc. 66,915 1,153
Harley-Davidson, Inc. 48,001 778
Harman International Industries, Inc. 15,952 299
Hasbro, Inc. 24,425 592
Home Depot, Inc. 345,912 8,174
Host Hotels & Resorts, Inc. 123,665 1,038
International Game Technology 62,219 989
Interpublic Group of Cos., Inc.(a) 100,694 509
JC Penney Co., Inc. 44,310 1,272
MARKET
VALUE
SHARES (000)
---------- ----------
Johnson Controls, Inc. 123,186 $ 2,676
KB HOME 14,794 202
Kohl's Corp.(a) 62,833 2,686
Lennar Corp. Class A 27,931 271
Limited Brands 58,067 695
Lowe's Cos., Inc. 299,662 5,816
Macy's, Inc. 85,423 1,005
Marriot International, Inc. Class A 62,049 1,369
Mattel, Inc. 73,376 1,178
McDonald's Corp. 226,725 13,034
McGraw-Hill, Inc. 63,566 1,914
Meredith Corp. 7,889 202
New York Times Co. Class A 22,922 126
Newell Rubbermaid, Inc. 51,593 537
News Corp. Class A 471,209 4,293
NIKE, Inc. Class B 79,452 4,114
Nordstrom, Inc. 32,733 651
O'Reilly Automotive, Inc.(a) 28,700 1,093
Office Depot, Inc.(a) 51,256 234
Omnicom Group, Inc. 62,741 1,981
Polo Ralph Lauren Corp. 10,615 568
Pulte Homes, Inc. 41,426 366
Radioshack Corp. 26,203 366
Scripps Networks Interactive, Inc. Class A 16,835 469
Sears Holdings Corp.(a) 11,874 790
Snap-On, Inc. 11,612 334
Stanley Works 17,483 592
Staples, Inc. 148,033 2,986
Starbucks Corp.(a) 152,361 2,116
Starwood Hotels & Resorts Worldwide, Inc. 38,947 865
Target Corp. 153,916 6,075
Tiffany & Co. 26,380 669
Time Warner Cable, Inc. 70,971 2,248
Time Warner, Inc. 244,591 6,161
TJX Cos., Inc. 84,806 2,668
V.F. Corp. 18,193 1,007
Viacom, Inc. Class B(a) 125,122 2,840
Walt Disney Co. 378,445 8,829
Washington Post Co. Class B 1,260 444
Whirlpool Corp. 13,761 586
See notes to financial statements
22
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
MARKET
VALUE
SHARES (000)
---------- ----------
COMMON STOCKS (CONTINUED)
CONSUMER DISCRETIONARY (CONTINUED)
Wyndham Worldwide Corp. 34,299 $ 416
Wynn Resorts, Ltd.(a) 14,300 505
Yum! Brands, Inc. 92,892 3,097
----------
150,621
----------
CONSUMER STAPLES -11.7%
Altria Group, Inc. 421,999 6,917
Archer-Daniels-Midland Co. 132,324 3,542
Avon Products, Inc. 88,560 2,283
Brown-Forman Corp. Class B 21,055 905
Campbell Soup Co. 43,265 1,273
Clorox Co. 29,243 1,633
Coca-Cola Co. 407,411 19,552
Coca-Cola Enterprises, Inc. 62,501 1,041
Colgate-Palmolive Co. 102,401 7,244
ConAgra Foods, Inc. 89,175 1,700
Constellation Brands, Inc. Class A(a) 37,426 475
Costco Wholesale Corp. 89,489 4,090
CVS Caremark Corp. 296,832 9,460
Dean Foods Co.(a) 37,858 726
Dr Pepper Snapple Group, Inc.(a) 51,300 1,087
Estee Lauder Cos, Inc. Class A 23,252 760
General Mills, Inc. 66,432 3,721
H.J. Heinz Co. 63,269 2,259
Hormel Foods Corp. 13,400 463
Kellogg Co. 50,735 2,363
Kimberly-Clark Corp. 84,900 4,451
Kraft Foods, Inc. Class A 299,909 7,600
Kroger Co. 134,476 2,965
Lorillard, Inc. 33,861 2,295
McCormick & Co., Inc. 27,653 899
Molson Coors Brewing Co., Class B 31,062 1,315
Pepsi Bottling Group, Inc. 26,753 905
PepsiCo, Inc. 318,656 17,513
Philip Morris International, Inc. 400,499 17,470
Procter & Gamble Co. 595,119 30,411
Reynolds American, Inc. 33,187 1,282
Safeway, Inc. 89,664 1,826
Sara Lee Corp. 139,034 1,357
MARKET
VALUE
SHARES (000)
---------- ----------
SuperValu, Inc. 41,948 $ 543
Sysco Corp. 119,109 2,678
The Hershey Company 34,982 1,259
The J.M. Smucker Co. 25,260 1,229
Tyson Foods, Inc., Class A 57,835 729
Wal-Mart Stores, Inc. 456,802 22,127
Walgreen Co. 201,718 5,930
Whole Foods Market, Inc. 30,633 581
----------
196,859
----------
ENERGY -12.2%
Anadarko Petroleum Corp. 101,026 4,586
Apache Corp. 68,525 4,944
Baker Hughes, Inc. 62,278 2,269
BJ Services Co. 60,448 824
Cabot Oil & Gas Corp. 20,300 622
Cameron International Corp.(a) 45,100 1,276
Chesapeake Energy Corp. 116,682 2,314
Chevron Corp.(d) 409,346 27,119
ConocoPhillips 303,730 12,775
Consol Energy, Inc. 35,773 1,215
Denbury Resources, Inc.(a) 47,800 704
Devon Energy Corp. 90,751 4,946
Diamond Offshore Drilling, Inc. 14,500 1,204
El Paso Corp. 146,692 1,354
ENSCO International, Inc. 29,177 1,017
EOG Resources, Inc. 50,617 3,438
EQT Corp. 26,800 936
ExxonMobil Corp.(d) 998,072 69,775
FMC Technologies, Inc.(a) 25,400 954
Halliburton Co. 180,834 3,743
Hess Corp. 57,501 3,091
Marathon Oil Corp. 142,977 4,308
Massey Energy Co. 19,300 377
Murphy Oil Corp. 39,041 2,121
Nabors Industries, Ltd.(a) 58,704 915
National Oilwell Varco, Inc.(a) 86,557 2,827
Noble Energy, Inc. 34,810 2,053
Occidental Petroleum Corp. 165,044 10,862
Peabody Energy Corp. 54,024 1,629
Pioneer Natural Resources Co. 25,300 645
See notes to financial statements
23
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
MARKET
VALUE
SHARES (000)
---------- ----------
COMMON STOCKS (CONTINUED)
ENERGY (CONTINUED)
Questar Corp. 35,968 $ 1,117
Range Resources Corp. 31,400 1,300
Rowan Cos., Inc. 25,320 489
Schlumberger, Ltd. 245,175 13,266
Smith International, Inc. 42,934 1,106
Southwestern Energy Co.(a) 70,800 2,751
Spectra Energy Corp. 129,598 2,193
Sunoco, Inc. 24,884 577
Tesoro Corp. 26,365 336
Valero Energy Corp. 113,109 1,910
Williams Cos., Inc. 117,268 1,831
XTO Energy, Inc. 119,352 4,552
----------
206,271
----------
FINANCIALS -13.6%
AFLAC, Inc. 96,490 3,000
Allstate Corp. 110,906 2,706
American Express Co. 244,064 5,672
American International Group, Inc. 556,666 646
Ameriprise Financial, Inc. 54,007 1,311
AON Corp. 57,247 2,168
Apartment Investment & Management Co. Class A 29,552 262
Assurant, Inc. 25,031 603
AvalonBay Communities, Inc. 15,398 861
Bank of America Corp. 1,651,371 21,798
Bank of New York Mellon Corp. 244,085 7,154
BB&T Corp. 131,270 2,885
Boston Properties, Inc. 28,767 1,372
Capital One Financial Corp. 90,363 1,977
CB Richard Ellis Group, Inc. Class A(a) 47,275 443
Charles Schwab Corp. 193,893 3,401
Chubb Corp. 70,575 2,815
Cincinnati Financial Corp. 31,214 698
CIT Group, Inc. 75,542 162
Citigroup, Inc. 1,128,102 3,350
CME Group, Inc. 13,391 4,166
Comerica, Inc. 31,744 671
MARKET
VALUE
SHARES (000)
---------- ----------
Developers Diversified Realty Corp. 1,467 $ 7
Discover Financial Services 95,905 985
E*Trade Financial Corp.(a) 232,015 297
Equity Residential 55,457 1,233
Federated Investors, Inc. Class B 18,970 457
Fifth Third Bancorp 150,016 1,065
First Horizon National Corp.(a) 41,999 504
Franklin Resources, Inc. 31,380 2,260
Genworth Financial, Inc. Class A 96,251 673
Goldman Sachs Group, Inc. 103,134 15,206
Hartford Financial Services Group, Inc. 67,797 805
HCP, Inc. 56,500 1,197
Health Care REIT, Inc. 21,400 730
Hudson City Bancorp, Inc. 103,492 1,375
Huntington Bancshares, Inc. 118,556 496
IntercontinentalExchange, Inc.(a) 14,980 1,711
Invesco Ltd. 84,800 1,511
J.P. Morgan Chase & Co. 796,615 27,173
Janus Capital Group, Inc. 36,007 410
KeyCorp 144,575 758
Kimco Realty Corp. 64,969 653
Legg Mason, Inc. 31,142 759
Leucadia National Corp.(a) 35,436 747
Lincoln National Corp. 62,492 1,075
Loews Corp. 72,831 1,996
M & T Bank Corp. 15,937 812
Marsh & McLennan Cos., Inc. 108,453 2,183
Marshall & Ilsley Corp. 80,193 385
Mastercard, Inc. Class A 14,500 2,426
MBIA, Inc.(a) 31,984 139
MetLife, Inc. 167,496 5027
Moody's Corp. 38,966 1,027
Morgan Stanley 276,030 7,870
NASDAQ OMX Group, Inc.(a) 28,600 609
Northern Trust Corp. 48,506 2,604
NYSE Euronext 52,300 1,425
Paychex, Inc. 64,838 1,634
People's United Financial Inc. 68,100 1,024
PNC Financial Services Group,Inc. 94,017 3,649
See notes to financial statements
24
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
MARKET
VALUE
SHARES (000)
---------- ----------
COMMON STOCKS (CONTINUED)
FINANCIALS (CONTINUED)
Principal Financial Group, Inc. 64,591 $ 1,217
Progressive Corp.(a) 140,601 2,124
ProLogis 87,391 704
Prudential Financial, Inc. 93,939 3,496
Public Storage, Inc. 25,387 1,662
Regions Financial Corp. 227,189 918
Simon Property Group, Inc. 56,883 2,926
SLM Corp.(a) 91,354 938
State Street Corp.(b) 100,825 4,759
SunTrust Banks, Inc. 97,418 1,603
T. Rowe Price Group, Inc. 53,375 2,224
Torchmark Corp. 18,421 682
Total System Services, Inc. 37,775 506
Travelers Cos, Inc. 120,104 4,929
U.S. Bancorp 386,952 6,934
Unum Group 67,029 1,063
Ventas, Inc. 32,100 959
Vornado Realty Trust 32,433 1,460
Wells Fargo Co. 950,749 23,065
Western Union Co. 146,885 2,409
XL Capital, Ltd. Class A 65,468 750
Zions Bancorp 21,753 251
----------
228,597
----------
HEALTH CARE -13.3%
Abbott Laboratories 316,606 14,893
Aetna, Inc. 93,850 2,351
Allergan, Inc. 62,092 2,954
AmerisourceBergen Corp. 59,786 1,061
Amgen, Inc.(a) 206,736 10,945
Baxter International, Inc. 125,561 6,650
Becton, Dickinson & Co. 49,597 3,537
Biogen Idec, Inc.(a) 61,231 2,765
Boston Scientific Corp.(a) 303,534 3,078
Bristol-Myers Squibb Co. 403,938 8,204
C.R. Bard, Inc. 19,697 1,466
Cardinal Health, Inc. 72,357 2,210
Celgene Corp.(a) 95,018 4,546
Cephalon, Inc.(a) 15,600 884
CIGNA Corp. 53,596 1,291
MARKET
VALUE
SHARES (000)
---------- ----------
Coventry Health Care, Inc.(a) 27,603 $ 516
DaVita, Inc.(a) 20,300 1,004
Dentsply International Inc. 30,300 925
Eli Lilly & Co. 206,475 7,152
Express Scripts, Inc.(a) 54,999 3,781
Forest Laboratories, Inc.(a) 62,402 1,567
Genzyme Corp.(a) 56,192 3,128
Gilead Sciences, Inc.(a) 185,899 8,708
Hospira, Inc.(a) 31,703 1,221
Humana, Inc.(a) 35,107 1,133
Intuitive Surgical, Inc.(a) 8,100 1,326
Johnson & Johnson 564,749 32,078
King Pharmaceuticals, Inc.(a) 48,592 468
Laboratory Corp. of America Holdings(a) 22,222 1,506
Life Technologies Corp.(a) 36,587 1,526
McKesson Corp. 55,655 2,449
Medco Health Solutions, Inc.(a) 101,268 4,619
Medtronic, Inc. 228,178 7,961
Merck & Co., Inc. 429,319 12,004
Millipore Corp.(a) 11,135 782
Mylan Inc.(a) 60,109 784
Patterson Cos., Inc.(a) 18,294 397
Pfizer, Inc. 1,380,671 20,710
Quest Diagnostics, Inc. 31,800 1,794
Schering-Plough Corp. 331,855 8,336
St. Jude Medical, Inc.(a) 71,426 2,936
Stryker Corp. 48,789 1,939
Tenet Healthcare Corp.(a) 97,770 276
UnitedHealth Group, Inc. 248,296 6,202
Varian Medical Systems, Inc.(a) 25,560 898
Watson Pharmaceuticals, Inc.(a) 20,646 696
Wellpoint, Inc.(a) 100,638 5,121
Wyeth 273,387 12,409
Zimmer Holdings, Inc.(a) 46,252 1,970
----------
225,157
----------
INDUSTRIALS - 9.9%
3M Co. 141,572 8,509
Amphenol Corp. Class A 34,300 1,085
Avery Dennison Corp. 21,588 554
Boeing Co. 148,288 6,302
See notes to financial statements
25
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
MARKET
VALUE
SHARES (000)
---------- ----------
COMMON STOCKS (CONTINUED)
INDUSTRIALS (CONTINUED)
Burlington Northern Santa Fe Corp. 57,282 $ 4,213
Caterpillar, Inc. 123,379 4,076
CH Robinson Worldwide, Inc. 33,761 1,761
Cintas Corp. 25,088 573
Cooper Industries, Ltd. Class A 35,334 1,097
CSX Corp. 82,438 2,855
Cummins, Inc. 40,358 1,421
Danaher Corp. 52,786 3,259
Deere & Co. 85,137 3,401
Dover Corp. 36,795 1,218
Eaton Corp. 34,595 1,543
Emerson Electric Co. 154,548 5,007
Equifax, Inc. 27,583 720
Expeditors International Washington, Inc. 43,020 1,434
Fastenal Co. 25,500 846
FedEx Corp. 63,000 3,504
Flir Systems, Inc.(a) 28,900 652
Flowserve Corp. 11,800 824
Fluor Corp. 37,860 1,942
General Dynamics Corp. 79,361 4,396
General Electric Co.(d) 2,167,833 25,407
Goodrich Co. 24,445 1,222
Honeywell International, Inc. 150,481 4,725
Illinois Tool Works, Inc. 78,071 2,915
Iron Mountain, Inc.(a) 37,500 1,078
ITT Industries, Inc. 37,992 1,691
Jacobs Engineering Group, Inc.(a) 25,500 1,073
L-3 Communications Holdings, Inc. 24,803 1,721
Leggett & Platt, Inc. 34,298 522
Lockheed Martin Corp. 67,952 5,480
Manitowoc Co., Inc. 24,000 126
Masco Corp. 77,723 745
Monster Worldwide, Inc.(a) 22,609 267
Norfolk Southern Corp. 75,855 2,857
Northrop Grumman Corp. 67,411 3,079
PACCAR, Inc. 73,874 2,402
Pall Corp. 22,209 590
MARKET
VALUE
SHARES (000)
---------- ----------
Parker-Hannifin Corp. 31,803 $ 1,366
Pitney Bowes, Inc. 40,027 878
Precision Castparts Corp. 28,507 2,082
Quanta Services, Inc.(a) 39,800 921
R.R. Donnelley & Sons Co. 38,309 445
Raytheon Co. 82,282 3,656
Republic Services, Inc. 66,303 1,618
Robert Half International, Inc. 30,640 724
Rockwell Automation, Inc. 27,505 883
Rockwell Collins, Inc. 32,831 1,370
Ryder Systems, Inc. 9,821 274
Southwest Airlines Co. 147,786 995
Stericycle, Inc.(a) 17,100 881
Textron, Inc. 56,939 550
Thermo Fisher Scientific, Inc.(a) 86,424 3,524
Union Pacific Corp. 102,968 5,361
United Parcel Service, Inc. Class B 202,846 10,140
United Technologies Corp. 191,978 9,975
W.W. Grainger, Inc. 13,569 1,111
Waste Management, Inc. 98,639 2,778
----------
166,624
----------
INFORMATION TECHNOLOGY -17.3%
Adobe Systems, Inc.(a) 107,957 3,055
Advanced Micro Devices, Inc.(a) 114,986 445
Affiliated Computer Services, Inc. Class A(a) 18,737 832
Agilent Technologies, Inc.(a) 73,968 1,502
Akamai Technologies, Inc.(a) 34,224 656
Altera Corp. 58,354 950
Analog Devices, Inc. 58,969 1,461
Apple Inc.(a) 182,584 26,006
Applied Materials, Inc. 275,907 3,027
Autodesk, Inc.(a) 46,376 880
Automatic Data Processing, Inc. 103,917 3,683
BMC Software, Inc.(a) 38,821 1,312
Broadcom Corp. Class A(a) 88,159 2,186
CA, Inc. 78,299 1,365
CIENA Corp.(a) 14,529 150
Cisco Systems, Inc.(a) 1,177,719 21,953
Citrix Systems, Inc.(a) 36,867 1,176
See notes to financial statements
26
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
MARKET
VALUE
SHARES (000)
---------- ----------
COMMON STOCKS (CONTINUED)
INFORMATION TECHNOLOGY (CONTINUED)
Cognizant Technology Solutions Corp. Class A(a) 58,584 $ 1,564
Computer Sciences Corp.(a) 30,344 1,344
Compuware Corp.(a) 51,350 352
Convergys Corp.(a) 20,035 186
Corning, Inc. 318,576 5,116
Dell, Inc.(a) 357,950 4,915
Dun & Bradstreet Corp. 11,000 893
Electronic Arts, Inc.(a) 67,600 1,468
EMC Corp.(a) 413,084 5,411
Fidelity National Information Services, Inc. 36,777 734
Fiserv, Inc.(a) 32,352 1,479
Google, Inc. Class A(a) 48,990 20,654
Harris Corp. 26,400 749
Hewlett-Packard Co. 490,616 18,962
IMS Health, Inc. 34,832 442
Intel Corp. 1,138,656 18,845
International Business Machines Corp. 269,842 28,177
Intuit, Inc.(a) 65,563 1,846
Jabil Circuit, Inc. 39,951 296
Juniper Networks, Inc.(a) 106,193 2,506
KLA-Tencor Corp. 34,105 861
Lexmark International Group, Inc. Class A(a) 15,842 251
Linear Technology Corp. 43,763 1,022
LSI Corp.(a) 136,962 625
McAfee, Inc.(a) 31,200 1,316
MEMC Electronic Materials, Inc.(a) 45,478 810
Microchip Technology, Inc. 37,089 836
Micron Technology, Inc.(a) 170,662 864
Microsoft Corp.(d) 1,566,135 37,227
Molex, Inc. 31,305 487
Motorola, Inc. 473,765 3,141
National Semiconductor Corp. 39,396 494
NetApp, Inc.(a) 66,557 1,313
Novell, Inc.(a) 68,720 311
Novellus Systems, Inc.(a) 20,030 335
MARKET
VALUE
SHARES (000)
---------- ----------
NVIDIA Corp.(a) 108,256 $ 1,222
Oracle Corp. 773,362 16,565
PerkinElmer, Inc. 21,118 368
QLogic Corp.(a) 24,322 308
QUALCOMM, Inc. 339,111 15,328
Salesforce.com, Inc.(a) 21,200 809
SanDisk Corp.(a) 46,167 678
Sun Microsystems, Inc.(a) 153,941 1,419
Symantec Corp.(a) 165,863 2,581
Tellabs, Inc.(a) 73,830 423
Teradata Corp.(a) 33,520 785
Teradyne, Inc.(a) 27,649 190
Texas Instruments, Inc. 261,399 5,568
VeriSign, Inc.(a) 37,521 693
Waters Corp.(a) 20,865 1,074
Western Digital Corp.(a) 45,500 1,206
Xerox Corp. 180,034 1,167
Xilinx, Inc. 58,102 1,189
Yahoo!, Inc.(a) 281,919 4,415
----------
292,459
----------
MATERIALS - 3.3%
Air Products & Chemicals, Inc. 43,209 2,791
AK Steel Holding Corp. 20,000 384
Alcoa, Inc. 202,249 2,089
Allegheny Technologies, Inc. 20,328 710
Ball Corp. 19,662 888
Bemis Co., Inc. 21,162 533
CF Industries Holdings, Inc. 9,750 723
Dow Chemical Co. 222,028 3,584
E.I. Du Pont de Nemours & Co. 184,712 4,732
Eastman Chemical Co. 14,204 538
Ecolab, Inc. 32,966 1,285
Freeport-McMoRan Copper & Gold, Inc. Class B 84,352 4,227
International Flavors & Fragrances, Inc. 17,531 574
International Paper Co. 90,511 1,369
MeadWestvaco Corp. 32,320 530
Monsanto Co. 111,755 8,308
Newmont Mining Corp. 100,206 4,095
Nucor Corp. 64,954 2,886
See notes to financial statements
27
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
MARKET
VALUE
SHARES (000)
---------- ----------
COMMON STOCKS (CONTINUED)
MATERIALS (CONTINUED)
Owens-Illinois, Inc.(a) 35,200 $ 986
PactivCorp.(a) 28,515 619
Plum Creek Timber Co., Inc. 33,011 983
PPG Industries, Inc. 34,371 1,509
Praxair, Inc. 63,411 4,507
Sealed Air Corp. 34,592 638
Sherwin-Williams Co. 20,096 1,080
Sigma-Aldrich Corp. 23,934 1,186
Titanium Metals Corp. 16,600 153
United States Steel Corp. 29,478 1,054
Vulcan Materials Co. 25,961 1,119
Weyerhaeuser Co. 41,537 1,264
----------
55,344
----------
TELECOMMUNICATION SERVICES - 3.5%
American Tower Corp. Class A(a) 79,700 2,513
AT&T, Inc. 1,207,550 29,996
CenturyTel, Inc. 19,441 597
Embarq Corp. 30,097 1266
Fairpoint Communications, Inc.(c) 8 0
Frontier Communications Corp. 60,384 431
JDS Uniphase Corp.(a) 42,723 244
MetroPCS Communications, Inc.(a) 51,700 688
Qwest Communications International, Inc. 309,290 1,284
Sprint Nextel Corp.(a) 575,465 2,768
Verizon Communications, Inc. 581,666 17,875
Windstream Corp. 90,013 752
----------
58,414
----------
UTILITIES - 3.9%
AES Corp.(a) 139,895 1,624
Allegheny Energy, Inc. 33,059 848
Ameren Corp. 45,460 1,132
American Electric Power Co., Inc. 96,852 2,798
CenterPoint Energy, Inc. 75,611 838
CMS Energy Corp. 45,756 553
Consolidated Edison, Inc. 55,052 2,060
Constellation Energy Group, Inc. 38,914 1,034
MARKET
VALUE
SHARES (000)
---------- ----------
Dominion Resources, Inc. 121,562 $ 4,063
DTE Energy Co. 33,384 1,068
Duke Energy Corp. 264,020 3,852
Dynegy, Inc. Class A(a) 82,690 188
Edison International 65,719 2,068
Entergy Corp. 40,498 3,139
Exelon Corp. 134,521 6,889
FirstEnergy Corp. 63,507 2,461
FPL Group, Inc. 83,821 4,766
Integrys Energy Group, Inc. 14,716 441
Nicor, Inc. 9,400 325
NiSource, Inc. 58,782 685
Northeast Utilities 37,300 832
Pepco Holdings, Inc. 41,700 560
PG&E Corp. 75,526 2,903
Pinnacle West Capital Corp. 20,160 608
PPL Corp. 75,475 2,488
Progress Energy, Inc. 56,081 2,122
Public Service Enterprise Group, Inc. 102,624 3,349
SCANA Corp. 25,100 815
Sempra Energy 49,786 2,471
Southern Co. 159,443 4,968
TECO Energy, Inc. 42,151 503
Wisconsin Energy Corp. 22,800 928
Xcel Energy, Inc. 91,751 1,689
----------
65,068
----------
TOTAL COMMON STOCKS
(Cost $1,528,520,087) 1,645,414
----------
PAR AMOUNT
(000)
----------
U.S. GOVERNMENT SECURITIES - 0.3%
United States Treasury Bill(d)(e)(f) 0.2% due 09/10/09 $ 4,815 4,813
----------
TOTAL U.S. GOVERNMENT SECURITIES
(Cost $4,813,481) 4,813
----------
See notes to financial statements
28
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
MARKET
SHARES VALUE
(000) (000)
---------- ----------
MONEY MARKET FUNDS - 2.3%
AIM Short Term Investment Prime Portfolio 38,830 $ 38,830
Federated Money Market Obligations Trust 575 575
----------
TOTAL MONEY MARKET FUNDS
(Cost $39,405,105) 39,405
----------
TOTAL INVESTMENTS(g)+ - 100.2%
(Cost $1,572,738,673) 1,689,632
LIABILITIES IN EXCESS OF ASSETS - (0.2%) (2,776)
NET ASSETS - 100% $1,686,856
==========
(a) Non-income producing security.
(b) Affiliated issuer. See table that follows for more information.
(c) Amount is less than $1,000.
(d) All or part of this security has been designated as collateral for futures
contracts.
(e) Rate represents annualized yield at date of purchase.
(f) Value determined based on Level 2 inputs established by FAS 157. (Note 2)
(g) Unless otherwise indicated, the values of the Securities of the Portfolio
are determined based on Level 1 inputs established by FAS 157. (Note 2)
+ See Note 2 of the Notes to the Financial Statements.
SCHEDULE OF FUTURES CONTRACTS
UNREALIZED
NUMBER OF APPRECIATION
CONTRACTS (000)
--------- ------------
Schedule of Futures Contract S&P 500 Financial Futures Contracts
(long) Expiration Date 9/2009 926 $(1,165)
-------
Total unrealized depreciation on open futures contracts purchased $(1,165)
=======
AFFILIATE TABLE
Certain investments made by the Portfolio were made in securities affiliated
with State Street and SSgA FM. Investments in State Street Corp., the holding
company of State Street, were made according to its representative portion of
the S&P 500(R) Index. The market value of this investment at June 30, 2009 is
listed in the Portfolio of Investments.
Income
Earned
Number of Shares Shares sold Number of for the Six Realized
shares held purchased for for shares held Value at months ended Gain on
Security at the Six months the Six months at 6/30/09 6/30/09 shares sold
Description 12/31/2008 ended 6/30/09 ended 6/30/09 6/30/09 (000) (000) (000)
----------- ----------- -------------- -------------- ----------- -------- ------------ -----------
State Street Corp. 81,725 19,100 -- 100,825 $4,759 $21 $--
See notes to financial statements
29
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2009 (UNAUDITED) (AMOUNTS IN THOUSANDS)
ASSETS
Investments in unaffiliated issuers at market
(identified cost $1,568,389) .................. $1,684,873
Investments in non-controlled affiliates at market
(identified cost $4,350) (Note 4) ............. 4,759
----------
1,689,632
Investment securities sold .................... 1,330
Dividends and interest ........................ 2,271
----------
TOTAL ASSETS ............................... 1,693,233
----------
LIABILITIES
Investment securities purchased ............... 6,050
Daily variation margin on futures contracts ... 265
Management fees (Note 4) ...................... 62
----------
TOTAL LIABILITIES .......................... 6,377
----------
NET ASSETS ....................................... $1,686,856
==========
See notes to financial statements
30
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
JUNE 30, 2009 (UNAUDITED) (AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividend income - unaffiliated issuers .... $ 19,392
Dividend income - non-controlled affiliated
issuer ................................. 21
Interest .................................. 74
--------
TOTAL INVESTMENT INCOME ................ 19,487
EXPENSES
Management fees (Note 4) .................. 332
--------
TOTAL EXPENSES ......................... 332
--------
NET INVESTMENT INCOME ........................ 19,155
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments - unaffiliated issuers ........ $(49,381)
Futures contracts ......................... 3,942
--------
(45,439)
Net change in net unrealized depreciation on:
Investments ............................... 81,989
Futures contracts ......................... (2,116)
--------
79,873
--------
Net realized and unrealized loss ............. 34,434
--------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS ................................ $ 53,589
========
See notes to financial statements
31
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2009 DECEMBER 31,
(UNAUDITED) 2008
---------------- ------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ............................ $ 19,155 $ 45,563
Net realized gain on investments and futures
contracts ..................................... (45,439) (19,853)
Net change in net unrealized appreciation
(depreciation) ................................ 79,873 (897,802)
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS ............................ 53,589 (872,092)
---------- ----------
CAPITAL TRANSACTIONS
Proceeds from contributions ...................... 162,539 288,497
Fair value of withdrawals ........................ (51,480) (316,574)
---------- ----------
NET DECREASE IN NET ASSETS FROM CAPITAL
TRANSACTIONS ............................... 111,059 (28,077)
---------- ----------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ......... 164,648 (900,169)
NET ASSETS
Beginning of period ................................. 1,522,208 2,422,377
---------- ----------
END OF PERIOD ....................................... $1,686,856 $1,522,208
========== ==========
See notes to financial statements
32
STATE STREET EQUITY 500 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
SIX
MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
6/30/2009 12/31/2008 12/31/2007 12/31/2006 12/31/2005 12/31/2004
----------- ---------- ---------- ----------- ------------ ----------
(UNAUDITED)
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of period (in
thousands) ............... $1,686,856 $1,522,208 $2,422,377 $2,766,696 $2,453,109 $2,767,467
Ratios to average net assets:
Operating expenses .......... 0.045%+ 0.045% 0.045% 0.045% 0.045% 0.045%
Net investment income ....... 2.59%+ 2.30% 1.96% 1.94% 1.84% 1.97%
Portfolio turnover rate* ....... 5%++ 14% 12% 10% 8% 9%
Total return (a) ............... 3.20%++ (37.02)% 5.49% 15.75% 4.87% 10.86%
- ----------
* The portfolio turnover rate excludes in-kind security transactions.
+ Annualized
++ Not Annualized
(a) Results represent past performance and are not indicative of future
results.
See notes to financial statements
33
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (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
eleven investment portfolios: the State Street Equity 500 Index Portfolio, the
State Street Equity 400 Index Portfolio, the State Street Equity 2000 Index
Portfolio, the State Street Aggregate Bond Index Portfolio, the State Street
Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the
State Street Short-Term Tax Exempt Bond Portfolio, the State Street Limited
Duration Bond Portfolio, the State Street Treasury Money Market Portfolio, the
State Street Treasury Plus Money Market Portfolio and the State Street U.S.
Government Money Market Portfolio. Information presented in these financial
statements pertains only to the State Street Equity 500 Index Portfolio (the
"Portfolio"). At June 30, 2009, only the Portfolio, the State Street Money
Market Portfolio, the State Street Tax Free Money Market Portfolio, the State
Street Short-Term Tax Exempt Bond Portfolio, the State Street Treasury Money
Market Portfolio, the State Street Treasury Plus Money Market Portfolio and the
State Street U.S. Government Money Market Portfolio were in operation. The
Portfolio is authorized to issue an unlimited number of non-transferable
beneficial interests.
The Portfolio's investment objective is to replicate, as closely as
possible, before expenses, the performance of the Standard & Poor's 500
Composite Stock Price Index (the "S&P 500(R) Index"). The Portfolio uses a
passive management strategy designed to track the performance of the S&P 500(R)
Index. The S&P 500(R) 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 Financial Accounting Standards Board
("FASB")Statement of Financial Accounting Standards No. 157, Fair Value
Measurements ("FAS 157"), effective for financial statements issued for fiscal
years beginning after November 15, 2007 and interim periods within those fiscal
years. In accordance with FAS 157, 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 Fund's
investments. FAS 157 established a three tier hierarchy of inputs to establish a
classification of fair value measurements and disclosure. The three tier
hierarchy of inputs is summarized below:
- Level 1 - quoted prices in active markets for identical securities
34
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
- 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, 2009, in
valuing the Fund's assets carried at fair value:
Quoted
Prices in
Active Significant
Markets for Other Significant
Identical Observable Unobservable
Assets Inputs Inputs
Description (Level 1) (Level 2) (Level 3) Total
- ----------- ----------- ----------- ------------ ----------
ASSETS:
Common Stocks.............................................. $1,645,414 $ -- $-- $1,645,414
U.S. Government Securities................................. -- 4,813 -- 4,813
Money Market Funds......................................... 39,405 -- -- 39,405
---------- ------ --- ----------
Total Investments.......................................... 1,684,819 4,813 -- 1,689,632
LIABILITIES:
Investments in Other Financial Instruments
Futures contracts....................................... (1,165) -- -- (1,165)
---------- ------ --- ----------
Total Investments in Other Financial Instruments........... (1,165) -- -- (1,165)
---------- ------ --- ----------
Total...................................................... $1,683,654 $4,813 $-- $1,688,467
========== ====== === ==========
In April 2009, the FASB issued FASB Staff Position No. 157-4,
"Determining Fair Value When the Volume and Level of Activity for the Asset and
Liability Have Significantly Decreased and Identifying Transactions That Are Not
Orderly" ("FSB 157-4"). FSB 157-4 provides additional guidance for estimating
fair value in accordance with FAS 157 when the volume and level of activity for
the asset or liability have significantly decreased as well as guidance on
identifying circumstances that indicate a transaction is not orderly. The type
of inputs used to value each security is identified in the Portfolio of
Investments, which also includes a breakdown of the Portfolio's investments by
category.
Securities transactions, investment income and expenses:
Securities transactions are recorded on a trade date basis for
financial statement purposes. 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.
All of the net investment income and realized and unrealized gains and
losses from the security transactions of the Portfolio are allocated pro rata
among the partners in the Portfolio based on each partner's daily ownership
percentage.
Federal income taxes:
The Portfolio is not required to pay federal income taxes on its net
investment income and net capital gains because it is treated as a partnership
for federal income tax purposes. All interest, dividends, gains and losses of
the Portfolio are deemed to have been "passed through" to the Portfolio's
partners in
35
STATE STREET EQUITY 500 INDEX PORTFOLIO
GENERAL INFORMATION
JUNE 30, 2007 (UNAUDITED)
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, 2008, 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, 2009, tax years 2005 through 2008 remain
subject to examination by the portfolio's major tax jurisdictions, which include
the United States of America and the Commonwealth of Massachusetts.
Futures:
The Portfolio may enter into financial futures contracts as part of
its strategy to track the performance of the S&P 500(R) 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. The Portfolio recognizes a realized gain or loss
when the contract is closed. The Portfolio voluntarily segregates securities in
an amount equal to the outstanding value of the open futures contracts in
accordance with Securities and Exchange Commission requirements.
The primary risks associated with the use of futures contracts are an
imperfect correlation between the change in market value of the securities held
by the Portfolio and the prices of futures contracts and the possibility of an
illiquid market.
The Portfolio adopted the provisions of FASB Statement of Financial
Accounting Standards No. 161 "Disclosures about Derivative Instruments and
Hedging Activities" ("FAS 161"). FAS 161 has established improved financial
reporting about derivative instruments and hedging activities as it relates to
disclosure associated with these types of investments. The following table,
grouped into appropriate risk categories, discloses the amounts related to the
Funds use of derivative instruments and hedging activities at June 30, 2009:
Liability Derivatives * (amounts in thousands)
Foreign
Exchange Commodity
Interest Rate Contracts Credit Equity Contracts Other
Contracts Risk Risk Contracts Risk Contracts Risk Risk Contracts Risk Total
-------------- --------- -------------- -------------- --------- -------------- -----
Futures Contracts $-- $-- $-- $265 $-- $-- $265
Transactions in derivative instruments during the six months ended
June 30, 2009, were as follows:
Realized Gain (Loss) ** (amounts in thousands)
Foreign
Exchange Commodity
Interest Rate Contracts Credit Equity Contracts Other
Contracts Risk Risk Contracts Risk Contracts Risk Risk Contracts Risk Total
-------------- --------- -------------- -------------- --------- -------------- -------
Futures Contracts $-- $-- $-- $3,942 $-- $-- $ 3,942
Change in Appreciation (Depreciation) *** (amounts in thousands)
Foreign
Exchange Commodity
Interest Rate Contracts Credit Equity Contracts Other
Contracts Risk Risk Contracts Risk Contracts Risk Risk Contracts Risk Total
-------------- --------- -------------- -------------- --------- -------------- -------
Futures Contracts $-- $-- $-- $(2,116) $-- $-- $(2,116)
* Statements of Assets and Liabilities location: Daily variation margin on
futures contracts
** Statements of Operations location: Net realized gain (loss) on: Futures
contracts
*** Statements of Operations location: Net change in unrealized appreciation
(depreciation) on: Futures contracts
36
STATE STREET EQUITY 500 INDEX PORTFOLIO
GENERAL INFORMATION
JUNE 30, 2007 (UNAUDITED)
Use of Estimates:
The Portfolio's financial statements are prepared in accordance with
U.S. generally accepted accounting principles that require the use of management
estimates. Actual results could differ from those estimates.
3. SECURITIES TRANSACTIONS
For the six months June 30, 2009, purchases and sales of investment
securities, excluding short-term investments, futures contracts, and
contributions in-kind and fair value of withdrawals, aggregated to $202,423,545
and $66,166,854, respectively.
At June 30, 2009, the book cost of investments was $1,572,738,673
which approximates cost computed on a federal tax basis. The aggregate gross
unrealized appreciation and gross unrealized depreciation was $393,534,625 and
$276,641,660, respectively, resulting in net appreciation of $116,892,965 for
all securities as computed on a federal income tax basis.
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 Corp. 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 Corp., the
holding company of State Street, were made according to its representative
portion of the S&P 500(R) Index. The market value of this investment at June 30,
2009 is listed in the Portfolio of Investments.
5. TRUSTEES' FEES
Pursuant to certain agreements with State Street and its affiliates,
each Independent Trustee receives for his or her services a $30,000 retainer in
addition to $2,500 for each in-person meeting and $500 for each telephonic
meeting from State Street or 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.
37
STATE STREET EQUITY 500 INDEX PORTFOLIO
GENERAL INFORMATION
JUNE 30, 2007 (UNAUDITED)
7. SUBSEQUENT EVENTS
In accordance with the provisions set forth in FASB Statement of
Financial Accounting Standards No. 165 "Subsequent Events", adopted by the
Portfolio as of June 30, 2009, management has evaluated the possibility of
subsequent events existing in the Portfolio's financial statements through
August 20, 2009. Management has determined that there are no material events
that would require disclosure in the Portfolio's financial statements through
this date.
GENERAL INFORMATION (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
The Trust has adopted proxy voting procedures relating to portfolio
securities held by the Portfolio. A description of the policies and procedures
are available (i) without charge, upon request, by calling (877) 521-4083 or
(ii) on the website of the Securities and Exchange Commission (the "SEC") at
www.sec.gov. Information on how the Portfolio voted proxies relating to
portfolio securities during the most recent 12-month period ended June 30 is
available by August 31 (i) without charge, upon request, by (i) calling (877)
521-4083 or (ii) on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files a complete schedule of portfolio holdings with the SEC
for the first and third quarters of its fiscal year (as of March and September
of each year) on Form N-Q. The Trust's Forms N-Q are available on the SEC's
website at www.sec.gov. The Trust's Forms N-Q may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. and information on the operation
of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most
recent Form N-Q is available without charge, upon request, by calling (877)
521-4083.
38
MASTER SMALL CAP INDEX SERIES
SUMMARY SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
This summary schedule of investments is presented to help investors
focus on the Series' principal holdings. It includes the Series' 50 largest
holdings, each investment of any issuer that exceeds 1% of the Series' net
assets and affiliated issues. "Other Securities" represent all issues not
required to be disclosed under the rules adopted by the Securities and Exchange
Commission. A complete schedule of investments is available without charge, upon
request, by calling (800) 441-7762 or on the Securities and Exchange
Commission's website at http://www.sec.gov.
INDUSTRY COMMON STOCKS SHARES VALUE PERCENT
- -------- ------------- ----------- ------------ -------
ADVERTISING AGENCIES Other Securities $ 1,890,400 0.5%
AEROSPACE Other Securities 5,812,955 1.4
AGRICULTURE, FISHING & RANCHING Other Securities 1,896,547 0.5
AIR TRANSPORT Other Securities 3,474,937 0.9
ALTERNATIVE ENERGY Other Securities 993,164 0.3
ALUMINUM Other Securities 452,081 0.1
ASSET MANAGEMENT & CUSTODIAN Other Securities 3,511,162 0.9
AUTO PARTS Other Securities 1,540,133 0.4
AUTO SERVICES Other Securities 452,535 0.1
BANKS: DIVERSIFIED First Merit Corp. 44,412 754,116 0.2
Prosperity Bancshares, Inc. 24,500 730,835 0.2
Westamerica Bancorp. (b) 15,583 773,073 0.2
Other Securities 22,439,710 5.5
------------ -----
24,697,734 6.1
------------ -----
BANKS: SAVINGS, THRIFT &
MORTGAGE LENDING Other Securities 4,663,390 1.1
BEVERAGE: BREWERS & DISTILLERS Other Securities 139,073 0.0
BEVERAGE: SOFT DRINKS Other Securities 592,708 0.1
BIOTECHNOLOGY Onyx Pharmaceuticals, Inc. (a) 30,520 862,495 0.2
Other Securities 16,226,094 4.0
------------ -----
17,088,589 4.2
------------ -----
BUILDING MATERIALS Other Securities 3,476,596 0.9
BUILDING: CLIMATE CONTROL Other Securities 585,750 0.2
BUILDING: ROOFING, WALLBOARD &
PLUMBING Other Securities 356,439 0.1
CABLE TELEVISION SERVICES Other Securities 238,134 0.1
CASINOS & GAMBLING Bally Technologies, Inc. (a) 29,000 867,680 0.2
Other Securities 1,091,671 0.3
------------ -----
1,959,351 0.5
------------ -----
CEMENT Other Securities 35,244 0.0
CHEMICALS: DIVERSIFIED Other Securities 6,144,966 1.5
COAL Other Securities 622,400 0.2
COMMERCIAL FINANCE & Other Securities 376,502 0.1
MORTGAGE COMPANIES
COMMERCIAL SERVICES Tetra Tech, Inc. (a) 32,031 917,688 0.2
Watson Wyatt Worldwide, Inc. 22,715 852,494 0.2
Other Securities 11,614,618 2.9
------------ -----
13,384,800 3.3
------------ -----
COMMERCIAL SERVICES: RENTAL &
LEASING Other Securities 1,461,849 0.4
COMMERCIAL VEHICLES & PARTS Other Securities 660,983 0.2
COMMUNICATIONS TECHNOLOGY 3Com Corp. (a) 209,800 988,158 0.3
Polycom, Inc. (a) 44,800 908,096 0.2
Other Securities 11,781,934 2.9
------------ -----
13,678,188 3.4
------------ -----
See notes to financial statements
39
MASTER SMALL CAP INDEX SERIES
SUMMARY SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
INDUSTRY COMMON STOCKS SHARES VALUE PERCENT
- -------- ------------- ----------- ------------ -------
COMPUTER SERVICES SOFTWARE &
SYSTEMS Digital River, Inc. (a) 20,300 $ 737,296 0.2%
Informatica Corp. (a) 46,600 801,054 0.2
Parametric Technology Corp. (a) 61,660 720,805 0.2
Solera Holdings, Inc. (a) 37,000 939,800 0.2
Other Securities 24,511,652 6.0
------------ -----
27,710,607 6.8
------------ -----
COMPUTER TECHNOLOGY Data Domain, Inc. (a) 25,200 840,420 0.2
Palm, Inc. (a)(b) 73,388 1,216,039 0.3
Other Securities 2,888,327 0.7
------------ -----
4,944,786 1.2
------------ -----
CONSTRUCTION Other Securities 2,330,268 0.6
CONSUMER ELECTRONICS Other Securities 826,561 0.2
CONSUMER LENDING Other Securities 2,218,567 0.5
CONSUMER SERVICES:
MISCELLANEOUS Other Securities 2,498,317 0.6
CONTAINERS & PACKAGING Rock-Tenn Co. Class A 20,480 781,517 0.2
Other Securities 1,085,740 0.3
------------ -----
1,867,257 0.5
------------ -----
COSMETICS Other Securities 539,670 0.1
DIVERSIFIED FINANCIAL SERVICES Other Securities 2,002,020 0.5
DIVERSIFIED MANUFACTURING
OPERATIONS Other Securities 925,566 0.2
DIVERSIFIED MATERIALS &
PROCESSING Clarcor, Inc. 27,210 794,260 0.2
Other Securities 3,271,981 0.8
------------ -----
4,066,241 1.0
------------ -----
DIVERSIFIED MEDIA Other Securities 141,963 0.0
DIVERSIFIED RETAIL Tractor Supply Co. (a) 19,100 789,212 0.2
Other Securities 15,144,479 3.7
------------ -----
15,933,691 3.9
------------ -----
DRUG & GROCERY STORE CHAINS Other Securities 2,734,704 0.7
EDUCATION SERVICES Other Securities 2,917,424 0.7
ELECTRONIC COMPONENTS Other Securities 2,355,064 0.6
ELECTRONIC ENTERTAINMENT Other Securities 956,215 0.2
ELECTRONICS Other Securities 1,842,725 0.5
ENERGY EQUIPMENT Other Securities 987,015 0.2
ENGINEERING & CONTRACTING
SERVICES Other Securities 1,139,215 0.3
ENTERTAINMENT Other Securities 1,187,092 0.3
FINANCIAL DATA & SYSTEMS Jack Henry & Associates, Inc. 45,400 942,050 0.2
Other Securities 3,785,865 1.0
------------ -----
4,727,915 1.2
------------ -----
FOODS Other Securities 4,780,959 1.2
FOREST PRODUCTS Other Securities 547,759 0.1
FORMS & BULK PRINTING SERVICES Other Securities 980,731 0.2
FUNERAL PARLORS & CEMETERIES Other Securities 718,130 0.2
GAS PIPELINES Other Securities 89,856 0.0
GLASS Other Securities 186,960 0.0
GOLD Other Securities 767,423 0.2
HEALTH CARE FACILITIES Other Securities 2,511,454 0.6
See notes to financial statements
40
MASTER SMALL CAP INDEX SERIES
SUMMARY SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
INDUSTRY COMMON STOCKS SHARES VALUE PERCENT
- -------- ------------- ----------- ------------ -------
HEALTH CARE MANAGEMENT SERVICES AMERIGROUP Corp. (a) 28,100 $ 754,485 0.2%
Other Securities 3,320,243 0.8
------------ -----
4,074,728 1.0
------------ -----
HEALTH CARE SERVICES Quality Systems, Inc. (b) 12,800 729,088 0.2
Other Securities 6,739,925 1.6
------------ -----
7,469,013 1.8
------------ -----
HEALTH CARE: MISCELLANEOUS Other Securities 479,870 0.1
HOME BUILDING Other Securities 1,025,472 0.2
HOTEL/MOTEL Other Securities 772,785 0.2
HOUSEHOLD APPLIANCES Other Securities 194,055 0.0
HOUSEHOLD EQUIPMENT & PRODUCTS Tupperware Corp. 33,274 865,789 0.2
Other Securities 457,301 0.1
------------ -----
1,323,090 0.3
------------ -----
HOUSEHOLD FURNISHINGS Other Securities 1,241,763 0.3
INSURANCE: LIFE Other Securities 1,458,471 0.4
INSURANCE: MULTI-LINE Platinum Underwriters Holdings Ltd. 27,300 780,507 0.2
Other Securities 2,263,787 0.6
------------ -----
3,044,294 0.8
------------ -----
INSURANCE: PROPERTY-CASUALTY IPC Holdings, Ltd. 29,800 814,732 0.2
ProAssurance Corp. (a)(c) 17,623 814,359 0.2
Other Securities 7,368,549 1.8
------------ -----
8,997,640 2.2
------------ -----
LEISURE TIME Other Securities 2,484,006 0.6
LUXURY ITEMS Other Securities 796,874 0.2
MACHINERY & ENGINEERING Other Securities 454,873 0.1
MACHINERY: AGRICULTURAL Other Securities 252,220 0.1
MACHINERY: CONSTRUCTION &
HANDLING Other Securities 368,443 0.1
MACHINERY: ENGINES Other Securities 456,504 0.1
MACHINERY: INDUSTRIAL Other Securities 3,850,930 0.9
MACHINERY: SPECIALTY Other Securities 411,035 0.1
MANUFACTURED HOUSING Other Securities 164,444 0.0
MEDICAL & DENTAL NuVasive, Inc. (a) 19,400 865,240 0.2
INSTRUMENTS & SUPPLIES Owens & Minor, Inc. 22,198 972,716 0.2
Steris Corp. 31,100 811,088 0.2
Other Securities 9,608,755 2.4
------------ -----
12,257,799 3.0
------------ -----
MEDICAL EQUIPMENT Haemonetics Corp. (a) 13,672 779,304 0.2
Thoratec Corp. (a) 30,047 804,659 0.2
Other Securities 6,095,703 1.5
------------ -----
7,679,666 1.9
------------ -----
MEDICAL SERVICES Other Securities 1,332,981 0.3
METAL FABRICATING Other Securities 2,931,767 0.7
METALS & MINERALS: DIVERSIFIED Other Securities 1,357,497 0.3
OFFICE SUPPLIES & EQUIPMENT Other Securities 1,771,072 0.4
OFFSHORE DRILLING & OTHER
SERVICES Other Securities 216,220 0.1
OIL WELL EQUIPMENT & SERVICES Other Securities 5,352,821 1.3
OIL: CRUDE PRODUCERS Other Securities 7,214,972 1.8
OIL: INTEGRATED Other Securities 302,883 0.1
See notes to financial statements
41
MASTER SMALL CAP INDEX SERIES
SUMMARY SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
INDUSTRY COMMON STOCKS SHARES VALUE PERCENT
- -------- ------------- ----------- ------------ -------
PAINTS & COATINGS Other Securities $ 636,955 0.2%
PAPER Other Securities 1,349,902 0.3
PERSONAL CARE Other Securities 1,459,131 0.4
PHARMACEUTICALS Auxilium Pharmaceuticals, Inc. (a)(b) 23,100 724,878 0.2
Isis Pharmaceuticals, Inc. (a)(b) 49,689 819,869 0.2
Other Securities 5,784,658 1.4
------------ -----
7,329,405 1.8
------------ -----
PHOTOGRAPHY Other Securities 473,747 0.1
PLASTICS Other Securities 150,293 0.0
POWER TRANSMISSION EQUIPMENT Regal-Beloit Corp. 19,451 772,594 0.2
Other Securities 555,471 0.1
------------ -----
1,328,065 0.3
------------ -----
PRECIOUS METALS & MINERALS Other Securities 259,465 0.1
PRINTING & COPYING SERVICES VistaPrint Ltd. (a) 22,400 955,360 0.3
Other Securities 109,134 0.0
------------ -----
1,064,494 0.3
------------ -----
PRODUCER DURABLES: MISCELLANEOUS Other Securities 267,780 0.1
PRODUCTION TECHNOLOGY EQUIPMENT Other Securities 3,910,594 1.0
PUBLISHING Other Securities 625,261 0.2
RADIO & TV BROADCASTERS Other Securities 171,684 0.0
RAILROAD EQUIPMENT Other Securities 244,022 0.1
RAILROADS Other Securities 468,564 0.1
REAL ESTATE Other Securities 699,404 0.2
REAL ESTATE INVESTMENT TRUSTS Anthracite Capital, Inc. (d) 33,000 20,460 0.0
(REITS) Highwoods Properties, Inc. 38,400 859,008 0.2
MFA Financial, Inc. 120,700 835,244 0.2
National Retail Properties, Inc. 42,475 736,941 0.2
Other Securities 18,811,742 4.6
------------ -----
21,263,395 5.2
------------ -----
RECREATIONAL VEHICLES & BOATS Other Securities 974,358 0.2
RENTAL & LEASING SERVICES:
CONSUMER Other Securities 1,286,699 0.3
RESTAURANTS Other Securities 6,198,540 1.5
SCIENTIFIC INSTRUMENTS: CONTROL
& FILTER Other Securities 2,832,727 0.7
SCIENTIFIC INSTRUMENTS:
ELECTRICAL GrafTech International Ltd. (a) 63,944 723,207 0.2
Other Securities 3,639,685 0.9
------------ -----
4,362,892 1.1
------------ -----
SCIENTIFIC INSTRUMENTS: GAUGES
& METERS Other Securities 582,269 0.1
SCIENTIFIC INSTRUMENTS:
POLLUTION CONTROL Other Securities 1,982,610 0.5
SECURITIES BROKERAGE & SERVICES Knight Capital Group, Inc. Class A (a) 49,700 847,385 0.2
Other Securities 2,676,178 0.7
------------ -----
3,523,563 0.9
------------ -----
SEMICONDUCTORS & COMPONENTS Skyworks Solutions, Inc. (a) 89,133 871,721 0.2
Other Securities 9,695,005 2.4
------------ -----
10,566,726 2.6
------------ -----
SHIPPING Other Securities 2,774,534 0.7
STEEL Other Securities 265,238 0.1
SUGAR Other Securities 70,238 0.0
SYNTHETIC FIBERS & CHEMICALS Other Securities 143,856 0.0
See notes to financial statements
42
MASTER SMALL CAP INDEX SERIES
SUMMARY SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
INDUSTRY COMMON STOCKS SHARES VALUE PERCENT
- -------- ------------- ----------- ------------ -------
TECHNOLOGY: MISCELLANEOUS Other Securities $ 1,293,285 0.3%
TELECOMMUNICATIONS EQUIPMENT Arris Group, Inc. (a) 66,300 806,208 0.2
Other Securities 1,378,186 0.3
------------ -----
2,184,394 0.5
------------ -----
TEXTILE PRODUCTS Other Securities 205,434 0.1
TEXTILES APPAREL & SHOES Carter's, Inc. (a) 30,100 740,761 0.2
J. Crew Group, Inc. (a)(b) 27,070 731,431 0.2
The Warnaco Group, Inc. (a) 24,400 790,560 0.2
Other Securities 5,247,236 1.3
------------ -----
7,509,988 1.9
------------ -----
TOBACCO Other Securities 942,862 0.2
TOYS Other Securities 356,317 0.1
TRANSPORTATION MISCELLANEOUS Other Securities 687,365 0.2
TRUCKERS Other Securities 3,117,416 0.8
UTILITIES: ELECTRICAL Cleco Corp. 32,267 723,426 0.2
Portland General Electric Co. 40,700 792,836 0.2
Other Securities 6,052,978 1.5
------------ -----
7,569,240 1.9
------------ -----
UTILITIES: GAS DISTRIBUTORS New Jersey Resources Corp. 22,561 835,659 0.2
Nicor, Inc. 24,100 834,342 0.2
Piedmont Natural Gas Co. (b) 39,100 942,701 0.2
WGL Holdings, Inc. 26,700 854,934 0.2
Other Securities 2,273,511 0.6
------------ -----
5,741,147 1.4
------------ -----
UTILITIES: TELECOMMUNICATIONS Other Securities 5,080,880 1.2
UTILITIES: WATER Other Securities 1,491,982 0.4
WHOLESALE & INTERNATIONAL
TRADE Other Securities 1,018,433 0.2
------------ -----
TOTAL COMMON STOCKS 399,826,107 98.5
============ =====
INVESTMENT COMPANIES
ASSET MANAGEMENT & CUSTODIAN BlackRock Kelso Capital Corp. (d) 6,700 41,741 0.0
Other Securities 594,167 0.1
------------ -----
TOTAL INVESTMENT COMPANIES 635,908 0.1
============ =====
WARRANTS (e)
ALTERNATIVE ENERGY GreenHunter Energy, Inc. (expires 8/27/11) (f) 180 -- 0.0
COMMUNICATIONS TECHNOLOGY Other Securities -- 0.0
------------ -----
TOTAL WARRANTS -- 0.0
============ =====
See notes to financial statements
43
MASTER SMALL CAP INDEX SERIES
SUMMARY SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
INDUSTRY OTHER INTERESTS (g) SHARES VALUE PERCENT
- -------- ------------------- ----------- ------------ -------
OIL: CRUDE PRODUCERS Other Securities -- 0.0%
TOTAL OTHER INTERESTS -- 0.0
------------ -----
TOTAL LONG-TERM INVESTMENTS
(COST -- $457,409,135) $400,462,015 98.6
============ =====
SHORT-TERM SECURITIES
BlackRock Liquidity Funds, TempFund, 0.45%
(d)(h) 12,940,007 12,940,007 3.2
BENEFICIAL
INTEREST
(000)
------------
BlackRock Liquidity Series, LLC Money Market
Series, 0.55% (d)(h)(i) $ 29,126 29,126,454 7.2
------------ -----
TOTAL SHORT-TERM SECURITIES
(COST -- $42,066,461) 42,066,461 10.4
============ =====
TOTAL INVESTMENTS (COST -- $499,475,596*)
LIABILITIES IN 442,528,476 109.0
EXCESS OF OTHER ASSETS (36,541,058) (9.0)
------------ -----
NET ASSETS $405,987,418 100.0
============ =====
* The cost and unrealized appreciation (depreciation) of investments as of
June 30, 2009, as computed for federal income tax purposes, were as
follows:
Aggregate cost ................. $ 520,628,821
=============
Gross unrealized appreciation .. $ 35,770,593
Gross unrealized depreciation .. (113,870,938)
-------------
Net unrealized depreciation .... $ (78,100,345)
=============
(a) Non-income producing security.
(b) Security, or a portion of security, is on loan.
(c) All or a portion of the security has been pledged as collateral in
connection with open financial futures contracts.
(d) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
PURCHASE SALE REALIZED
AFFILIATE COST COST LOSS INCOME
- --------- ----------- ----------- -------- --------
Anthracite Capital, Inc. $ 11,193 $ -- $ -- $ --
BlackRock Kelso Capital Corp. 11,712 3,084 (1,902) 1,856
BlackRock Liquidity Funds,TempFund 12,940,007* -- -- 19,336
BlackRock Liquidity Series, LLC Cash Sweep Series -- 33,514,609** -- 37,506
BlackRock Liquidity Series, LLC Money Market Series $ 4,482,252* $ -- $ -- $251,505
* Represents net purchase cost.
** Represents net sale cost.
(e) 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.
(f) Restricted security as to resale, representing 0.0% of net assets were as
follows:
ACQUISITION
ISSUE DATE COST VALUE
- ----- ----------- ---- -----
GreenHunter Energy, Inc. 6/27/08 $-- $--
(g) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(h) Represents the current yield as of report date.
(i) Security was purchased with the cash proceeds from securities loans
See notes to financial statements
44
MASTER SMALL CAP INDEX SERIES
SUMMARY SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
- - Financial futures contracts purchased as of June 30, 2009 were as follows:
EXPIRATION FACE UNREALIZED
CONTRACTS ISSUE DATE VALUE DEPRECIATION
- --------- --------------------- ---------------- ---------- ------------
179 Russell 2000 ICE MINI September 2009 $9,132,385 $(53,505)
- - For Series compliance purposes, the Series' industry classifications refer
to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Series management. This definition may not apply for purposes of
this report, which may combine industry sub-classifications for reporting
ease.
- - Financial Accounting Standards Board Statement of Financial Accounting
Standards No. 157, "Fair Value Measurements" clarifies the definition of
fair value, establishes a framework for measuring fair values and requires
additional disclosures about the use of fair value measurements. Various
inputs are used in determining the fair value of investments, which are as
follows:
- - Level 1 -- price quotations in active markets/exchanges for identical
securities
- - 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)
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For
information about the Series' policy regarding valuation of investments and
other significant accounting policies, please refer to Note 1 of the Notes to
Financial Statements.
The following table summarizes the inputs used as of June 30, 2009 in
determining the fair valuation of the Series' investments:
INVESTMENTS IN
SECURITIES
VALUATION INPUTS ASSETS
--------------
Level 1 -- Long-Term Investments(1) ......................... $413,278,100
Level 2
Long-Term Investments
Semiconductors & Components ............................. 123,791
Short-Term Securities .................................... 29,126,454
------------
Total Level 2 ............................................... 29,250,245
------------
Level 3
Long-Term Investments
Asset Management & Custodian ............................ 121
------------
TOTAL ....................................................... $442,528,476
(1) See above Schedule of Investments for values in each industry excluding
industries in Level 2 and Level 3 within the table.
OTHER
FINANCIAL
INSTRUMENTS(2)
VALUATION INPUTS LIABILITIES
- ---------------- --------------
Level 1 ..................................................... $(53,505)
Level 2 ..................................................... --
Level 3 ..................................................... --
--------
TOTAL ....................................................... $(53,505)
(2) Other financial instruments are financial futures contracts which are shown
at the unrealized appreciation/depreciation on the instrument.
See notes to financial statements
45
MASTER SMALL CAP INDEX SERIES
SUMMARY SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
The following is a reconciliation of investments for unobservable inputs (Level
3) used in determining fair value:
INVESTMENTS IN
SECURITIES
ASSETS
ASSET MANAGEMENT
& CUSTODIAN
----------------
Balance, as of December 31, 2008 ............................ --
Accrued discounts/premiums .................................. --
Realized gain (loss) ........................................ --
Change in unrealized appreciation/depreciation .............. --
Net purchases (sales) ....................................... --
Net transfer in ............................................. $121
----
BALANCE, AS OF JUNE 30, 2009 ................................ $121
----
See notes to financial statements
46
MASTER SMALL CAP INDEX SERIES
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2009 (UNAUDITED)
ASSETS
Investments at value -- unaffiliated (including securities
loaned of $26,101,570) (cost -- $457,111,513) ............ $400,399,814
Investments at value -- affiliated (cost -- $42,364,083)..... 42,128,662
Investments sold receivable ................................. 46,679,430
Dividends receivable ........................................ 429,124
Securities lending income receivable - affiliated ........... 70,818
Prepaid expenses ............................................ 13,361
Other assets ................................................ 68
------------
Total assets................................................. 489,721,277
------------
LIABILITIES
Collateral at value - securities loaned .................... 29,126,454
Investments purchased payable ............................... 50,918,602
Withdrawals payable to investors ............................ 3,664,827
Margin variation payable .................................... 16,872
Investment advisory fees payable ............................ 2,302
Other affiliates payable .................................... 1,623
Other accrued expenses payable .............................. 2,933
Other liabilities payable ................................... 246
------------
Total liabilities ........................................... 83,733,859
------------
NET ASSETS
Net assets .................................................. $405,987,418
------------
NET ASSETS CONSIST OF
Investors' capital .......................................... $462,988,043
Net unrealized appreciation/depreciation .................... (57,000,625)
------------
Net assets .................................................. $405,987,418
See notes to financial statements
47
MASTER SMALL CAP INDEX SERIES
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2009 (UNAUDITED)
INVESTMENT INCOME
$ 1,798,556
Dividends ................................................
Foreign tax withheld ..................................... (358)
Income - affiliated ...................................... 58,698
Securities lending -- affiliated ......................... 251,505
--------------
Total income ................................................ 2,108,401
--------------
EXPENSES
Accounting services ...................................... 45,959
Professional ............................................. 43,079
Investment advisory ...................................... 17,572
Custodian ................................................ 11,319
Officers and Directors ................................... 9,687
Printing ................................................. 500
Other .................................................... 5,629
--------------
Total expenses .............................................. 133,745
Less fees waived by advisor .............................. (11,282)
--------------
Total expenses after fees waived and paid indirectly ........ 122,463
--------------
Net investment income ....................................... 1,985,938
--------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments - unaffiliated ............................... (17,487,606)
Investments - affiliated ................................. (1,902)
Financial futures contracts .............................. 1,608,381
--------------
(15,881,127)
--------------
Net change in unrealized appreciation/depreciation on:
Investments - unaffiliated ............................... 35,769,135
Investments - affiliated ................................. (55,638)
Financial futures contracts .............................. (2,428,447)
--------------
33,285,050
--------------
Total realized and unrealized loss .......................... 17,403,923
--------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ........ $ 19,389,861
==============
See notes to financial statements
48
MASTER SMALL CAP INDEX SERIES
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED
2009 DECEMBER 31,
(UNAUDITED) 2008
------------ -------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS
Net investment income ............................... $ 1,985,938 $ 7,541,773
Net realized gain (loss) ............................ (15,881,127) (28,428,998)
Net change in unrealized appreciation/depreciation .. 33,285,050 (153,156,287)
------------ -------------
Net increase (decrease) in net assets resulting from
operations ....................................... 19,389,861 (174,043,512)
------------ -------------
CAPITAL TRANSACTIONS
Proceeds from contributions ......................... 110,351,983 277,100,847
Fair value of withdrawals ........................... (68,474,546) (388,731,499)
------------ -------------
Net increase (decrease) in net assets derived from
capital transactions ............................. 41,877,437 (111,630,652)
------------ -------------
NET ASSETS
Total increase (decrease) in net assets ............. 61,267,298 (285,674,164)
Beginning of period ................................. 344,720,120 630,394,284
------------ -------------
End of period ....................................... $405,987,418 $ 344,720,120
------------ -------------
FINANCIAL HIGHLIGHTS
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30,2009 -----------------------------------------------------
(UNAUDITED) 2008 2007 2006 2005 2004
------------ -------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN
Total investment return ...................... 2.75%(1) (33.57)% (1.46)% 18.13% 4.63% 18.15%
-------- -------- -------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS
Total expenses ............................... 0.08%(2) 0.08% 0.06% 0.07% 0.08% 0.08%
-------- -------- -------- -------- -------- --------
Total expenses after fees waived and fees paid
indirectly ................................ 0.07%(2) 0.07% 0.06% 0.07% 0.07% 0.08%
-------- -------- -------- -------- -------- --------
Net investment income ........................ 1.13%(2) 1.60% 1.69% 1.55% 1.17% 1.11%
-------- -------- -------- -------- -------- --------
SUPPLEMENTAL DATA
Net assets, end of period (000) .............. $405,987 $344,720 $630,394 $561,373 $370,145 $365,661
-------- -------- -------- -------- -------- --------
Portfolio turnover ........................... 16% 42% 26% 40% 37% 38%
-------- -------- -------- -------- -------- --------
(1) Aggregate total investment return.
(2) Annualized.
See notes to financial statements
49
MASTER SMALL CAP INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES:
Master Small Cap Index Series (the "Series"), a non-diversified
management investment company, is part of Quantitative Master Series LLC (the
"Master LLC"). The Master LLC is registered under the Investment Company Act of
1940, as amended (the "1940 Act"), and is organized as a Delaware limited
liability company. The Master LLC's Limited Liability Company Agreement permits
the Master LLC's Board of Directors (to issue non-transferable interests in the
Master LLC, subject to certain limitations. The Series' financial statements are
prepared in conformity with accounting principles generally accepted in the
United States of America, which may require the use of management accruals and
estimates. Actual results may differ from these estimates.
The following is a summary of significant accounting policies followed
by the Series:
Valuation of Investments:
Equity investments traded on a recognized securities exchange or the
NASDAQ Global Market System are valued at the last reported sale price that day
or the NASDAQ official closing price, if applicable. For equity investments
traded on more than one exchange, the last reported sale price on the exchange
where the stock is primarily traded is used. Equity investments traded on a
recognized exchange for which there were no sales on that day are valued at the
last available bid price. If no bid price is available the prior day's price
will be used, unless it is determined that such prior day's price no longer
reflects the fair value of the security. Investments in open-end investment
companies are valued at net asset value each business day. Financial futures
contracts traded on exchanges are valued at their last sale price. Investments
in open-end investment companies are valued at net asset value each business
day. Short-term securities with maturities less than 60 days may be valued at
amortized cost, which approximates fair value. The Series values its investments
in Cash Sweep Series and Money Market Series, each a series of BlackRock
Liquidity Series, LLC at fair value, which is ordinarily based upon its pro rata
ownership in the net assets of the underlying fund.
In the event that application of these methods of valuation results in
a price for an investment which is deemed not to be representative of the market
value of such investment, the investment will be valued by a method approved by
the Board as reflecting fair value ("Fair Value Assets"). When determining the
price for Fair Value Assets, the investment advisor and/or sub-advisor seeks to
determine the price that the Series might reasonably expect to receive from the
current sale of that asset in an arm's-length transaction. Fair value
determinations shall be based upon all available factors that the investment
advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets
is subsequently reported to the Board or a committee thereof.
Segregation and Collateralization:
In cases in which the 1940 Act and the interpretive positions of the
Securities and Exchange Commission ("SEC") require that the Series segregate
assets in connection with certain investments (e.g., financial futures
contracts), the Series will, consistent with certain interpretive letters issued
by the SEC, designate on its books and records cash or other liquid securities
having a market value at least equal to the amount that would otherwise be
required to be physically segregated. Furthermore, based on requirements and
agreements with certain exchanges and third party broker-dealers, the Series may
also be required to deliver or deposit securities as collateral for certain
investments (e.g., financial futures contracts). As part of these agreements,
when the value of these investments achieves a previously agreed upon value
(minimum transfer amount), the Series may be required to deliver and/or receive
additional collateral.
Investment Transactions and Investment Income:
Investment transactions are recorded on the dates the transactions are
entered into (the trade dates). Realized gains and losses on security
transactions are determined on the identified cost basis. Dividend income is
recorded on the ex-dividend dates. Upon notification from issuers, some of the
dividend income received from a real estate investment trust may be redesignated
as a reduction of cost of the related investment and/or realized gain. Interest
income is recognized on the accrual basis.
50
MASTER SMALL CAP INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
Securities lending:
The Series may lend securities to financial institutions that provide
cash as collateral, which will be maintained at all times in an amount equal to
at least 100% of the current market value of the loaned securities. The market
value of the loaned securities is determined at the close of business of the
Series and any additional required collateral is delivered to the Series on the
next business day. The Series typically receives the income on the loaned
securities but does not receive the income on the collateral. The Series may
invest the cash collateral and retain the amount earned on such investment, net
of any amount rebated to the borrower. Loans of securities are terminable at any
time and the borrower, after notice, is required to return borrowed securities
within the standard time period for settlement of securities transactions. The
Series may pay reasonable lending agent, administrative and custodial fees in
connection with its loans. In the event that the borrower defaults on its
obligation to return borrowed securities because of insolvency or for any other
reason, the Series could experience delays and costs in gaining access to the
collateral. The Series also could suffer a loss if the value of an investment
purchased with cash collateral falls below the market value of loaned
securities.
Income Taxes:
The Series is classified as a "pass-through entity" for federal income
tax purposes. As such, each investor in the Series is treated as owner of its
proportionate shares of the 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 Master LLC's assets will be
managed so an investor in the Master LLC can satisfy the requirements of
Subchapter M of the Internal Revenue Code. Under the applicable foreign tax
laws, a withholding tax may be imposed on interest dividends, and capital gains
at various rates.
The Series files 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 four years
ended December 31, 2008. The statutes of limitations on the Series' state and
local tax returns may remain open for an additional year depending upon the
jurisdiction.
Recent Accounting Pronouncement:
In June 2009, Statement of Financial Accounting Standards No. 166,
"Accounting for Transfers of Financial Assets -- an amendment of FASB Statement
No. 140" ("FAS 166"), was issued. FAS 166 is intended to improve the relevance,
representational faithfulness and comparability of the information that a
reporting entity provides in its financial statements about a transfer of
financial assets; the effects of a transfer on its financial position, financial
performance, and cash flows; and a transferor's continuing involvement, if any,
in transferred financial assets. FAS 166 is effective for financial statements
issued for fiscal years and interim periods beginning after November 15, 2009.
Earlier application is prohibited. The recognition and measurement provisions of
FAS 166 must be applied to transfers occurring on or after the effective date.
Additionally, the disclosure provisions of FAS 166 should be applied to
transfers that occurred both before and after the effective date of FAS 166. The
impact of FAS 166 on the Series' financial statement disclosures, if any, is
currently being assessed.
Other:
Expenses directly related to the 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.
51
MASTER SMALL CAP INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
2. DERIVATIVE FINANCIAL INSTRUMENTS:
The Series may engage in various portfolio investment strategies both
to increase the return of the Series and to economically hedge, or protect, its
exposure to interest rate movements and movements in the securities markets.
Losses may arise if the value of the contract decreases due to an unfavorable
change in the price of the underlying security, or if the counterparty does not
perform under the contract. The Series may mitigate these losses through master
netting agreements included within an International Swap and Derivatives
Association, Inc. ("ISDA") Master Agreement between the Series and its
counterparty. The ISDA allows the Series to offset with its counterparty the
Series derivative financial instruments' payables and/or receivables with
collateral held. See Note 1 "Segregation and Collateralization" for information
with respect to collateral practices.
The Series is subject to equity risk in the normal course of pursuing
its investment objectives by investing in various derivative financial
instruments, as described below.
Financial Futures Contracts:
The Series may purchase 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).
Financial futures contracts are contracts for delayed delivery of securities at
a specific future date and at a specific price or yield. Pursuant to the
contract, the Series agrees to receive from or pay to the broker an amount of
cash equal to the daily fluctuation in value of the contract. Such receipts or
payments are known as margin variation and are recognized by the Series as
unrealized gains or losses. When the contract is closed, the Series records a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. The use of
financial futures transactions involves the risk of an imperfect correlation in
the movements in the price of futures contracts, interest rates and the
underlying assets. Financial futures transactions involve minimal counterparty
risk since financial futures contracts are guaranteed against default by the
exchange on which they trade.
VALUES OF DERIVATIVE INSTRUMENTS AS OF JUNE 30, 2009*
LIABILITY DERIVATIVES
-------------------------
Balance
Sheet
Location Value
------------- ---------
Equity Contracts** ............. Net
unrealized
Appreciation/
depreciation $53,505
* For open derivative instruments as of June 30, 2009, see the Schedule of
Investments, which is also indicative of activity for the period ended June
30, 2009.
** Includes cumulative appreciation/depreciation of financial futures
contracts as reported in the Schedule of Investments
THE EFFECT OF DERIVATIVE INSTRUMENTS ON THE STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2009
NET REALIZED GAIN FROM DERIVATIVES RECOGNIZED IN INCOME
Financial
Futures
Contracts
----------
Equity contracts............. $1,608,381
NET CHANGE IN UNREALIZED DEPRECIATION ON DERIVATIVES RECOGNIZED IN INCOME
Financial
Futures
Contracts
-----------
Equity Contracts............. @(2,428,447)
52
MASTER SMALL CAP INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
3. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES:
The PNC Financial Services Group, Inc. ("PNC") and Bank of America
Corporation ("BAC") are the largest stockholders of BlackRock, Inc.
("BlackRock"). Due to the ownership structure, PNC is an affiliate for 1940 Act
purposes, but BAC is not.
The Master LLC, on behalf of the Series, entered into an Investment
Advisory Agreement with BlackRock Advisors, LLC (the "Manager"), the Series'
investment advisor, an indirect, wholly owned subsidiary of BlackRock, to
provide investment advisory and administration services.
The Manager is responsible for the management of the Series'
investments and provides the necessary personnel, facilities, equipment and
certain other services necessary to the operations of the Series. For such
services, the Series pays the Manager a monthly fee at an annual rate of 0.01%
of the average daily net assets of the Series. However, the Manager has entered
into a contract with the Master LLC, on behalf of the Series that provides that
the advisory fee for the Series, when combined with the administration fees of a
certain feeder fund, will not exceed a specified amount. No fees are currently
being waived for the Series. This arrangement has a one-year term and is
renewable.
The Manager has entered into a contractual arrangement with the Master
LLC with respect to the Series under which the Manager will waive its fees or
reimburse expenses so that the total operating expenses incurred by the Series
will not exceed 0.08% of the Series' average daily net assets. This arrangement
has a one-year term and is renewable. For the six months ended June 30, 2009,
the Manager waived $8,779, which is included in fees waived by advisor in the
Statement of Operations.
The Manager has agreed to waive its advisory fee by the amount of
investment advisory fees the Series pays to the Manager indirectly through is
investment in affiliated money market funds. For the six months ended June 30,
2009, the Manager waived $2,503, which is included in fees waived by advisor in
the Statement of Operations. The Manager has entered into a sub-advisory
agreement with BlackRock Investment Management, LLC ("BIM"), an affiliate of the
Manager, under which the Manager pays BIM for services it provides, a monthly
fee that is a percentage of the investment advisory fee paid by the Fund to the
Manager.
For the six months ended June 30, 2009, the Series reimbursed the
Manager $3,105 for certain accounting services, which is included in accounting
services in the Statement of Operations.
The Master LLC, on behalf of the Series, has received an exemptive
order from the SEC permitting it, among other things, to pay an affiliated
securities lending agent fee based on a share of the revenue derived from the
securities lending activities. The Master LLC has retained BIM as the securities
lending agent for a fee based on a share of the income from investment of cash
collateral. BIM may, on behalf of the Master LLC and the Series, invest cash
collateral received by the Series for such loans, among other things, in a
private investment company managed by the Manager or in registered money market
funds advised by the Manager or its affiliates. The share of income earned by
the Series on such investments is shown as securities lending -- affiliated in
the Statement of Operations. For the six months ended June 30, 2009, BIM
received $61,598 in securities lending agent fees.
Certain officers and/or directors of the Master LLC are officers
and/or directors of BlackRock, or its affiliates. The Series reimburses the
Manager for its allocated share of compensation paid to the Master LLC's Chief
Compliance Officer.
4. INVESTMENTS:
Purchases and sales of investments, excluding short-term securities,
for the six months ended June 30, 2009 were $125,679,260 and $53,523,249,
respectively.
53
MASTER SMALL CAP INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
5. SHORT-TERM BORROWINGS:
The Master LLC, on behalf of the Series, along with certain other
funds managed by the Manager and its affiliates, is a party to a $500 million
credit agreement with a group of lenders, which expires in November 2009. The
Series may borrow under the credit agreement to fund shareholder redemptions and
for other lawful purposes other than for leverage. The Series may borrow up to
the maximum amount allowable under the Series' current Prospectus and Statement
of Additional Information, subject to various other legal, regulatory or
contractual limits. The Series paid its pro rata share of a 0.02% upfront fee on
the aggregate commitment amount based on its net assets. The Series pays a
commitment fee of 0.08% per annum based on the Series' pro rata share of the
unused portion of the credit agreement, which is included in miscellaneous in
the Statement of Operations. Amounts borrowed under the credit agreement bear
interest at a rate equal to the higher of the (a) federal funds effective rate
and (b) reserve adjusted one month LIBOR, plus, in each case, the higher of (i)
1.50% and (ii) 50% of the CDX Index (as defined in the credit agreement) in
effect from time to time. The Series did not borrow under the credit agreement
during the six months ended June 30, 2009.
6. CONCENTRATIONS, MARKET AND CREDIT RISK:
In the normal course of business, the Series invests in securities and
enters into transactions where risks exist due to fluctuations in the market
(market risk) or failure of the issuer of a security to meet all its obligations
(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
credit risk, the Series may be exposed to counterparty risk, or the risk that an
entity with which the Series have unsettled or open transactions may default.
Financial assets, which potentially expose the Series to credit and counterparty
risks, consist principally of investments and cash due from counterparties. The
extent of the Series' exposure to credit and counterparty risks with respect to
these financial assets is approximated by their value recorded in the Series'
Statement of Assets and Liabilities.
The Series invests a significant portion of its assets in the
financial services sector. Please see the Summary Schedule of Investments for
these securities. Changes in economic conditions affecting the financial
services sector would have a greater impact on the Series, and could affect the
value, income and/or liquidity of positions in such securities.
7. SUBSEQUENT EVENTS:
Management has evaluated the impact of all subsequent events on the
Series through August 21, 2009, the date the financial statements were issued,
and has determined that there were no subsequent events requiring adjustment or
disclosure in the financial statements.
54
MASTER SMALL CAP INDEX SERIES
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENT
JUNE 30, 2009 (UNAUDITED)
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 on April 16,2009 and May 21 - 22, 2009 to consider the approval of the
Master LLC's investment advisory agreement (the "Advisory Agreement") with
BlackRock Advisors, LLC (the "Manager"), the Master LLC's investment advisor, on
behalf of Master Small Cap Index Series (the "Portfolio"), a series of the
Master LLC. The Board also considered the approval of the sub-advisory agreement
(the "Sub-Advisory Agreement") between the Manager and BlackRock Investment
Management, LLC (the "Sub-Advisor") with respect to the Portfolio. The Manager
and the Sub-Advisor are referred to herein as "BlackRock." The Advisory
Agreement and the Sub-Advisory Agreement are referred to herein as the
"Agreements."
ACTIVITIES AND COMPOSITION OF THE BOARD
The Board of the Master LLC consists of thirteen individuals, eleven
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 composed of
Independent Board Members (except for the Performance Oversight and Contract
Committee and the Executive Committee, which each have one interested Board
Member) and is chaired by Independent Board Members.
THE AGREEMENTS
Pursuant to the 1940 Act, the Board is required to consider the
continuation of the Agreements on an annual basis. In connection with this
process, the Board assessed, among other things, the nature, scope and quality
of the services provided to the Portfolio by the personnel of BlackRock and its
affiliates, including investment management, administrative services,
shareholder services, oversight of fund accounting and custody, marketing
services and assistance in meeting legal and regulatory requirements.
Throughout the year, the Board, acting directly and through its
committees, considers at each of its meetings factors that are relevant to its
annual consideration of the renewal of the Agreements, including the services
and support provided by BlackRock to the Portfolio and its shareholders. Among
the matters the Board considered were: (a) investment performance of an
affiliated feeder fund that invests all of its investable assets in the
Portfolio (the "representative feeder fund") for one-, three-and five-year
periods against its applicable benchmark, as well as senior management and
portfolio managers' analysis of the reasons for any underperformance; (b) fees,
including advisory, administration, if applicable, and other amounts paid to
BlackRock and its affiliates by the Portfolio for services, such as marketing
and distribution and fund accounting; (c) Portfolio operating expenses; (d) the
resources devoted to and compliance reports relating to the Portfolio's
investment objective, policies and restrictions; (e) the Master LLC's compliance
with its Code of Ethics and 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; (h) BlackRock's implementation of the proxy voting policies approved
by the Board; (i) the use of brokerage commissions and execution quality; (j)
BlackRock's implementation of the Master LLC's valuation and liquidity
procedures; and (k) periodic updates on BlackRock's business.
BOARD CONSIDERATIONS IN APPROVING THE AGREEMENTS
The Approval Process: Prior to the April 16, 2009 meeting, the Board
requested and received materials specifically relating to the Agreements. The
Board is engaged in an ongoing process with BlackRock to continuously 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
representative feeder fund fees and expenses, and the investment performance of
the representative feeder fund as compared with a peer group of funds as
determined by Lipper (collectively, "Peers"); (b) information on the
profitability of the Agreements to BlackRock and a discussion of fall-out
benefits to BlackRock
55
MASTER SMALL CAP INDEX SERIES
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENT
JUNE 30, 2009 (UNAUDITED)
and its affiliates and significant shareholders; (c) a general analysis provided
by BlackRock concerning investment advisory fees charged to other clients, such
as institutional and closed-end funds, under similar investment mandates, as
well as the performance of such other clients; (d) the impact of economies of
scale; (e) a summary of aggregate amounts paid by the Portfolio to BlackRock;
and (f) an internal comparison of management fees classified by Lipper, if
applicable.
At an in-person meeting held on April 16, 2009, the Board reviewed
materials relating to its consideration of the Agreements. As a result of the
discussions that occurred during the April 16, 2009 meeting, the Board presented
BlackRock with questions and requests for additional information and BlackRock
responded to these requests with additional written information in advance of
the May 21 - 22, 2009 Board meeting.
At an in-person meeting held on May 21 - 22, 2009, the Board Members
of the Master LLC present at the meeting, including the Independent Board
Members present at the meeting, unanimously approved the continuation of the
Advisory Agreement between the Manager and the Master LLC with respect to the
Portfolio and the Sub-Advisory Agreement between the Manager and the Sub-Advisor
with respect to the Portfolio, each for a one-year term ending June 30, 2010.
The Board considered all factors it believed relevant with respect to the
Portfolio, including, among other factors: (a) the nature, extent and quality of
the services provided by BlackRock; (b) the investment performance of the
Portfolio and BlackRock portfolio management; (c) the advisory fee and the cost
of the services and profits to be realized by BlackRock and certain affiliates
from the relationship with the Portfolio; (d) economies of scale; and (e) other
factors.
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 distribution of Portfolio shares, services related to the valuation and
pricing of portfolio holdings of the Portfolio, direct and indirect benefits to
BlackRock and its affiliates from their relationship with the 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 controlling, and each Board
Member may have attributed different weights to the various items considered.
A. Nature, Extent and Quality of the Services: The Board, including
the Independent Board Members, reviewed the nature, extent and quality of
services provided by BlackRock, including the investment advisory services and
the resulting performance of the Portfolio. Throughout the year, the Board
received information regarding the investment performance of the representative
feeder fund. The Board met with BlackRock's senior management personnel
responsible for investment operations, including the senior investment officers.
The Board also reviewed the materials provided by the Portfolio's portfolio
management team discussing performance of the representative feeder fund and the
Portfolio's investment objective, strategies and outlook.
The Board considered, among other factors, the number, education and
experience of BlackRock's investment personnel generally and the Portfolio's
portfolio management team, investments by portfolio managers in the funds they
manage, BlackRock's portfolio trading capabilities, BlackRock's use of
technology, BlackRock's commitment to compliance and BlackRock's approach to
training and retaining portfolio managers and other research, advisory and
management personnel. The Board also reviewed a general description of
BlackRock's compensation structure with respect to the Portfolio's portfolio
management team and BlackRock's ability to attract and retain high-quality
talent.
In addition to advisory services, the Board considered the quality of
the administrative and non-investment advisory services provided to the
Portfolio. BlackRock and its affiliates provide the Portfolio with certain
administrative, transfer agency, shareholder and other services (in addition to
any such services provided to the Portfolio by third parties) and officers and
other personnel as are necessary for the operations of the Portfolio. In
addition to investment advisory services, BlackRock and its affiliates provide
the Portfolio with other services, including: (i) preparing disclosure
documents, such as the prospectus, the statement of additional information and
periodic shareholder reports; (ii) assisting with daily accounting and pricing;
(iii) overseeing and coordinating the activities of other service providers;
(iv) organizing Board meetings and preparing the materials for such Board
meetings; (v) providing legal and compliance support; and (vi) performing other
administrative functions necessary
56
MASTER SMALL CAP INDEX SERIES
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENT
JUNE 30, 2009 (UNAUDITED)
for the operation of the Portfolio, such as tax reporting and fulfilling
regulatory filing requirements. The Board reviewed the structure and duties of
BlackRock's fund administration, accounting, 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 Portfolio and BlackRock: The
Board, including the Independent Board Members, also reviewed and considered the
performance history of the Portfolio. In preparation for the April 16, 2009
meeting, the Board was provided with reports, independently prepared by Lipper,
which included a comprehensive analysis of the representative feeder fund's
performance. The Board also reviewed a narrative and statistical analysis of the
Lipper data that was prepared by BlackRock, which analyzed various factors that
affect Lipper's rankings. In connection with its review, the Board received and
reviewed information regarding the investment performance of the representative
feeder fund as compared to a representative group of similar funds as determined
by Lipper and to all funds in the representative feeder fund's applicable Lipper
category. The Board was provided with a description of the methodology used by
Lipper to select peer funds. The Board regularly reviews the performance of the
representative feeder fund throughout the year. The Board attaches more
importance to performance over relatively long periods of time, typically three
to five years.
The Board noted that, in general, the representative feeder fund
performed better than its Peers in that the representative feeder fund's
performance was at or above the median of its Lipper Performance Universe in two
of the one-, three- and five-year periods reported.
C. Consideration of the Advisory Fees and the Cost of the Services and
Profits to be Realized by BlackRock and its Affiliates from their Relationship
with the Portfolio: The Board, including the Independent Board Members, reviewed
the information provided by Lipper regarding the Portfolio's contractual
advisory fee rates and the representative feeder fund's total expenses. The
Board considered the services provided and the fees charged by BlackRock to
other types of clients with similar investment mandates, including separately
managed institutional accounts.
The Board received and reviewed statements relating to BlackRock's
financial condition and profitability with respect to the services it provided
the Portfolio. 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 Portfolio. The Board reviewed BlackRock's profitability with
respect to the Portfolio and each fund the Board currently oversees for the year
ended December 31, 2008 compared to aggregate profitability data provided for
the year ended December 31, 2007. The Board reviewed BlackRock's profitability
with respect to 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, expense allocations and business mix, and therefore
comparability of profitability is somewhat limited.
The Board noted that, in general, individual fund or product line
profitability of other advisors is not publicly available. Nevertheless, to the
extent such information is available, the Board considered BlackRock's operating
margin in general compared to the operating margin for leading investment
management firms whose operations include advising open-end funds, among other
product types. The comparison indicated that operating margins for BlackRock
with respect to its registered funds are consistent with margins earned by
similarly situated publicly traded competitors. In addition, the Board
considered, among other things, certain third party data comparing BlackRock's
operating margin with that of other publicly-traded asset management firms,
which concluded that larger asset bases do not, in themselves, translate to
higher profit margins.
In addition, the Board considered the cost of the services provided to
the Portfolio by BlackRock, and BlackRock's and its affiliates' profits relating
to the management and distribution of the 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
Portfolio. The Board also considered whether BlackRock has the financial
resources necessary to attract and retain high quality investment management
personnel to perform its
57
MASTER SMALL CAP INDEX SERIES
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENT
JUNE 30, 2009 (UNAUDITED)
obligations under the Agreements and to continue to provide the high quality of
services that is expected by the Board.
The Board noted that the contractual advisory fees, which do not take
into account any expense reimbursement or fee waivers, were lower than or equal
to the median contractual advisory fees paid by comparable funds. The Board
noted that BlackRock has contractually agreed to waive fees or reimburse
expenses in order to limit the Portfolio's total net expenses. The Board further
noted that BlackRock has contractually agreed to waive or reimburse advisory
fees for the Portfolio. No fees were required to be waived pursuant to this
agreement.
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 Portfolio increase and whether there should be changes in the
advisory fee rate or structure in order to enable the Portfolio to participate
in these economies of scale, for example through the use of breakpoints in the
advisory fee based upon the assets of the Portfolio. The Board also considered
BlackRock's overall operations and its efforts to expand the scale of, and
improve the quality of, its operations.
E. Other Factors: The Board also took into account other ancillary or
"fallout" benefits that BlackRock or its affiliates and significant shareholders
may derive from its relationship with the Portfolio, both tangible and
intangible, such as BlackRock's ability to leverage its investment professionals
who manage other portfolios, an increase in BlackRock's profile in the
investment advisory community, and the engagement of BlackRock's affiliates as
service providers to the Portfolio, including for administrative and
distribution services. The Board also noted that BlackRock may use third party
research obtained by soft dollars generated by certain mutual fund transactions
to assist itself in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also
received information regarding BlackRock's brokerage and soft dollar practices.
The Board received reports from BlackRock which included information on
brokerage commissions and trade execution practices throughout the year.
CONCLUSION
The Board Members of the Master LLC present at the meeting, including
the Independent Board Members present at the meeting, unanimously approved the
continuation of the Advisory Agreement between the Manager and the Master LLC
with respect to the Portfolio for a one-year term ending June 30, 2010 and the
Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to
the Portfolio for a one-year term ending June 30, 2010. Based upon their
evaluation of all these factors in their totality, the Board Members of the
Master LLC present at the meeting, including the Independent Board Members
present at the meeting, were satisfied that the terms of the Agreements were
fair and reasonable and in the best interest of the Portfolio and its
shareholders. In arriving at a decision to approve the Agreements, the Board did
not identify any single factor or group of factors as all-important or
controlling, but considered all factors together, and different Board Members
may have attributed different weights to the various factors considered. The
Independent Board Members were also assisted by the advice of independent legal
counsel in making this determination. The contractual fee arrangements for the
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. Certain aspects of the arrangements
may be the subject of more attention in some years than in others, and the Board
Members' conclusions may be based in part on their consideration of these
arrangements in prior years.
58
MASTER INTERNATIONAL INDEX SERIES
SUMMARY SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
This summary schedule of investments is presented to help investors
focus on the Series' principal holdings. It includes the Series' 50 largest
holdings, each investment of any issuer that exceeds 1% of the Series' net
assets and affiliated issues. "Other Securities" represent all issues not
required to be disclosed under the rules adopted by the Securities and Exchange
Commission. A complete schedule of investments is available without charge, upon
request, by calling (800) 441-7762 or on the Securities and Exchange
Commission's website at http://www.sec.gov.
COUNTRY COMMON STOCKS SHARES VALUE PERCENT
- -------------- ------------------------------------- --------- ------------ -------
AUSTRALIA BHP Billiton Ltd. 291,694 $ 7,991,219 1.1%
Commonwealth Bank of Australia Ltd. 127,873 4,008,295 0.6
National Australia Bank Ltd. 166,752 3,004,240 0.4
Westpac Banking Corp. 252,957 4,115,532 0.6
Other Securities 33,145,943 4.5
------------ ----
52,265,229 7.2
------------ ----
AUSTRIA Other Securities 2,323,739 0.3
BELGIUM Other Securities 6,826,588 0.9
BERMUDA Other Securities 533,697 0.1
CAYMAN ISLANDS Other Securities 140,825 0.0
DENMARK Other Securities 6,814,183 0.9
FINLAND Nokia Oyo 325,001 4,760,345 0.7
Other Securities 4,447,680 0.6
------------ ----
9,208,025 1.3
------------ ----
FRANCE BNP Paribas SA 71,588 4,668,443 0.6
France Telecom SA 156,670 3,564,819 0.5
GDF Suez 103,010 3,855,905 0.5
Sarnoff-Aventis 90,246 5,332,626 0.7
Total SA 182,981 9,917,706 1.4
Other Securities 44,259,751 6.1
------------ ----
71,599,250 9.8
------------ ----
GERMANY Allianz AG Registered Shares 38,833 3,582,060 0.5
BASF SE 79,140 3,153,080 0.4
Bayer AG 65,514 3,520,739 0.5
Deutsche Bank AG Registered Shares 47,867 2,909,881 0.4
Deutsche Telekom AG 242,627 2,868,474 0.4
E.ON AG 163,131 5,790,821 0.8
SAP AG 73,503 2,963,526 0.4
Siemens AG 70,526 4,877,058 0.7
Other Securities 24,739,218 3.4
------------ ----
54,404,857 7.5
------------ ----
GREECE Other Securities 4,220,394 0.6
HONG KONG Other Securities 17,224,276 2.4
IRELAND Other Securities 2,039,099 0.3
ITALY Enid Spa 221,901 5,262,859 0.7
Unaccredited Spa 1,234,659 3,122,825 0.4
Other Securities 16,536,464 2.3
------------ ----
24,922,148 3.4
------------ ----
JAPAN Canon, Inc. 92,500 3,021,420 0.4
Honda Motor Co., Ltd. 143,300 3,942,305 0.6
Mitsubishi UFJ Financial Group, Inc. 803,274 4,960,053 0.7
Sumitomo Mitsui Financial Group, Inc. 78,310 3,168,838 0.4
Toyota Motor Corp. 239,300 9,049,697 1.2
Other Securities 148,863,968 20.4
------------ ----
173,006,281 23.7
------------ ----
KAZAKHSTAN Other Securities 262,643 0.0
LUXEMBOURG Other Securities 3,488,123 0.5
See notes to financial statements
59
MASTER INTERNATIONAL INDEX SERIES
SUMMARY SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
COUNTRY COMMON STOCKS SHARES VALUE PERCENT
- -------------- ------------------------------------- --------- ------------ -------
NETHERLANDS Unilever NV 139,902 $ 3,383,693 0.5%
Other Securities 13,289,331 1.8
------------ ----
16,673,024 2.3
------------ ----
NEW ZEALAND Other Securities 696,028 0.1
NORWAY Other Securities 4,569,962 0.6
PORTUGAL Other Securities 2,284,901 0.3
SINGAPORE Other Securities 9,820,549 1.3
SPAIN Bunco Bilbao Viscera Argent aria SA 304,686 3,836,467 0.5
Bunco Santander SA 698,017 8,437,768 1.2
Telephonic SA 363,182 8,247,745 1.1
Other Securities 11,786,716 1.6
------------ ----
32,308,696 4.4
------------ ----
SWEDEN Other Securities 17,130,706 2.3
SWITZERLAND ABB Ltd. 196,263 3,099,126 0.4
Credit Suisse Group AG 100,261 4,593,557 0.6
Nestle SA Registered Shares 323,069 12,198,584 1.7
Novartis AG Registered Shares 188,616 7,678,037 1.0
Roche Holding AG 62,431 8,506,362 1.2
UBS AG 286,878 3,522,407 0.5
Other Securities 15,475,478 2.1
------------ ----
55,073,551 7.5
------------ ----
UNITED KINGDOM Anglo American Plc (a) 113,879 3,329,716 0.5
AstraZeneca Plc 125,205 5,520,593 0.8
BG Group Plc 290,448 4,891,049 0.7
BHP Billiton Plc 190,913 4,302,913 0.6
BP Plc 1,620,524 12,805,066 1.8
Barclays Plc 817,657 3,799,689 0.5
British American Tobacco Plc 172,688 4,766,905 0.6
Diageo Plc 216,226 3,105,677 0.4
GlaxoSmithKline Plc 448,632 7,924,320 1.1
HSBC Holdings Plc 1,487,969 12,396,518 1.7
Royal Dutch Shell Plc 305,285 7,657,855 1.0
Royal Dutch Shell Plc Class B 233,157 5,869,819 0.8
Standard Chartered Plc 164,102 3,085,610 0.4
Tesco Plc 680,320 3,972,964 0.5
Vodafone Group Plc 4,538,978 8,828,032 1.2
Other Securities 56,738,072 7.8
------------ ----
148,994,798 20.4
------------ ----
TOTAL COMMON STOCKS 716,831,572 98.1
INVESTMENT COMPANIES
UNITED STATES Other Securities 1,642,059 0.2
TOTAL INVESTMENT COMPANIES 1,642,059 0.2
PREFERRED STOCKS
GERMANY Other Securities 1,335,068 0.2
TOTAL PREFERRED STOCKS 1,335,068 0.2
See notes to financial statements
60
MASTER INTERNATIONAL INDEX SERIES
SUMMARY SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
COUNTRY WARRANTS (b) SHARES VALUE PERCENT
- -------------- ------------------------------------------------ --------- ------------ -------
ITALY Other Securities -- 0.0%
SINGAPORE Other Securities -- 0.0
TOTAL WARRANTS -- 0.0
RIGHTS
BELGIUM Other Securities -- 0.0
JAPAN Other Securities -- 0.0
NORWAY Other Securities $ 27,263 0.0
SINGAPORE Other Securities 16,326 0.0
SPAIN Other Securities 9,280 0.0
UNITED KINGDOM Other Securities 467,192 0.1
TOTAL RIGHTS 520,061 0.1
TOTAL LONG-TERM INVESTMENTS (COST -- $850,722,029) 720,328,760 98.6
SHORT-TERM SECURITIES
Blackrock Liquidity Funds, TempCash, 0.49%(c)(d) 2,133,954 2,133,954 0.3
TOTAL SHORT-TERM SECURITIES (COST -- $2,133,954) 2,133,954 0.3
TOTAL INVESTMENTS (COST -- $852,855,983*) 722,462,714 98.9
OTHER ASSETS LESS LIABILITIES 8,073,429 1.1
------------ -----
NET ASSETS $730,536,143 100.0%
============ =====
* The cost and unrealized appreciation (depreciation) of investments, as of
June 30, 2009, as computed for federal income tax purposes, were as
follows:
Aggregate Cost................................................. $ 871,955,481
-------------
Gross unrealized appreciation.................................. $ 47,116,946
Gross unrealized depreciation.................................. (196,609,713)
-------------
Net unrealized depreciation.................................... $(149,492,767)
-------------
(a) Non-income producing security.
(b) 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.
(c) Represents the current yield as of the report date.
(d) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2 (a)(3) of the Investment Company Act of 1940, were as
follows:
AFFILIATED NET ACTIVITY (000) INTEREST INCOME
- ---------- ------------------ ---------------
BlackRock Liquidity Funds, TempCash 2,133,954 $6,108
BlackRock Liquidity Series, LLC Cash Sweep Series $(11,259,665) $4,364
- - Financial futures contracts purchased as of June 30, 2009, were as follows:
UNREALIZED
NUMBER OF APPRECIATION
CONTRACTS ISSUE EXCHANGE EXPIRATION DATE FACE VALUE (DEPRECIATION)
- --------- ---------------------- --------- --------------- ---------- --------------
23 OMX Stock Index Future Stockholm July 2009 $ 232,893 $ 4,124
70 DJ Euro Stoxx 50 Eurex September 2009 2,365,159 (10,320)
27 FTSE 100 Index Future LIFFE September 2009 1,906,163 (32,514)
7 SPI 200 Index Future Sydney September 2009 554,914 (4,813)
17 TOPIX Index Future Tokyo September 2009 1,650,177 (18,735)
--------
TOTAL $(62,258)
========
See notes to financial statements
61
MASTER INTERNATIONAL INDEX SERIES
SUMMARY SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
- Forward foreign currency contracts as of June 30, 2009 were as
follows:
UNREALIZED
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
- ------------------- ----------------- ------------------ ---------- --------------
AUD 456,000 USD 368,676 UBS AG 7/1/09 (1,230)
SGD 10,000 USD 6,885 UBS AG 7/1/09 19
USD 598,174 AUD 741,000 UBS AG 7/1/09 1,075
USD 1,403,579 EUR 1,000,000 UBS AG 7/1/09 720
USD 801,795 GBP 487,000 UBS AG 7/1/09 584
USD 2,074,443 JPY 200,000,000 UBS AG 7/1/09 (1,645)
USD 204,873 SEK 1,581,000 UBS AG 7/1/09 (62)
USD 193,544 HKD 1,500,000 UBS AG 7/2/09 (3)
Brown Brothers
AUD 91,000 USD 69,433 Harriman & Co. 8/13/09 3,646
Brown Brothers
CHF 170,000 USD 152,536 Harriman & Co. 8/13/09 4,009
Brown Brothers
EUR 128,000 USD 173,194 Harriman & Co. 8/13/09 6,370
Brown Brothers
GBP 232,000 USD 355,423 Harriman & Co. 8/13/09 26,248
Brown Brothers
HKD 691,000 USD 89,214 Harriman & Co. 8/13/09 (19)
Brown Brothers
JPY 55,539,000 USD 577,611 Harriman & Co. 8/13/09 (794)
Brown Brothers
SEK 449,000 USD 57,710 Harriman & Co. 8/13/09 484
Brown Brothers
USD 284,585 EUR 209,000 Harriman & Co. 8/13/09 (8,609)
Brown Brothers
USD 89,156 HKD 691,000 Harriman & Co. 8/13/09 (40)
Brown Brothers
USD 181,876 JPY 17,883,000 Harriman & Co. 8/13/09 (3,853)
Brown Brothers
USD 36,379 NOK 234,000 Harriman & Co. 8/13/09 30
DKK 233,000 USD 42,393 HSBC Bank, USA, NA 8/13/09 1,467
NOK 234,000 USD 36,617 HSBC Bank, USA, NA 8/13/09 (269)
AUD 1,461,000 USD 1,113,543 UBS AG 8/13/09 59,731
DKK 330,000 USD 59,821 UBS AG 8/13/09 2,298
EUR 2,824,000 USD 3,940,669 UBS AG 8/13/09 20,960
GBP 2,041,600 USD 3,114,166 UBS AG 8/13/09 244,535
JPY 263,123,000 USD 2,679,986 UBS AG 8/13/09 52,758
NOK 1,500,000 USD 237,363 UBS AG 8/13/09 (4,361)
NZD 146,000 USD 87,541 UBS AG 8/13/09 6,407
USD 1,196,646 AUD 1,552,000 UBS AG 8/13/09 (49,706)
USD 154,445 CHF 170,000 UBS AG 8/13/09 (2,100)
USD 103,299 DKK 563,000 UBS AG 8/13/09 (2,681)
USD 1,874,399 EUR 1,341,000 UBS AG 8/13/09 (6,813)
USD 3,321,349 GBP 2,078,000 UBS AG 8/13/09 (97,235)
USD 1,849,699 JPY 178,125,000 UBS AG 8/13/09 (272)
USD 237,556 NOK 1,500,000 UBS AG 8/13/09 4,554
USD 93,193 NZD 146,000 UBS AG 8/13/09 (755)
--------
TOTAL $207,107
--------
- Currency Abbreviations:
AUD Australian Dollar
CHF Swiss Franc
DKK Danish Krone
EUR Euro
GBP British Pound
HKD Hong Kong Dollar
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
SGD Singapore Dollar
USD US Dollar
- - Financial Accounting Standards Board Statement of Financial Accounting
Standards No. 157, "Fair Value Measurements, "clarifies the definition of
fair value, establishes a framework for measuring fair values and requires
additional disclosures about the use of fair value measurements. Various
inputs are used in determining the fair value of investments, which are as
follows:
- Level 1 -- price quotations in active markets/exchanges for identical
securities
- Level 2 -- other observable inputs (including, but not limited to:
quoted prices for similar assets or liabilities in markets that are
active,
See notes to financial statements
62
MASTER INTERNATIONAL INDEX SERIES
SUMMARY SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
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)
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For
information about the Series' policy regarding valuation of investments and
other significant accounting policies, please refer to Note 1 of the Notes to
Financial Statements.
The following table summarizes the inputs used as of June 30, 2009 in
determining the fair valuation of the Series' investments:
INVESTMENTS IN
SECURITIES
VALUATION INPUTS --------------
- ---------------- Assets
Level 1
Long-Term Investments
Common Stocks:
Belgium............................................... $ 102
France................................................ 345,689
Italy................................................. 118,702
Japan................................................. 201,099
Norway................................................ 138,277
Switzerland........................................... 2,683,691
Investment Companies:
United States......................................... 1,642,059
Rights:
Norway................................................ 27,263
Singapore............................................. 4,005
Spain................................................. 9,280
United Kingdom........................................ 467,192
Short-Term Securities....................................... 2,133,954
-------------
Total Level 1 .............................................. $ 8,793,397
-------------
Level 2
Long-Term Investments
Common Stocks:
Australia............................................. $ 52,265,229
Austria............................................... 2,323,739
Belgium............................................... 6,826,486
Bermuda............................................... 533,697
Cayman Islands........................................ 140,825
Denmark............................................... 6,814,183
Finland............................................... 9,208,025
France................................................ 71,253,561
Germany............................................... 54,404,857
Greece................................................ $ 4,220,394
Hong Kong............................................. 17,224,276
Ireland............................................... 2,039,099
Italy................................................. 24,803,446
Japan................................................. 172,805,182
Kazakhstan............................................ 262,643
Luxembourg............................................ 3,488,123
Netherlands........................................... 16,673,024
New Zealand........................................... 696,028
Norway................................................ 4,431,685
Portugal.............................................. 2,284,901
Singapore............................................. 9,820,549
Spain................................................. 32,308,696
Sweden................................................ 17,130,706
Switzerland........................................... 54,051,467
United Kingdom........................................ 146,311,107
Preferred Stocks:
Germany............................................... 1,335,068
Warrants:
Italy................................................. --
Rights:
Belgium............................................... --
Singapor.............................................. 12,321
------------
Total Level 2............................................... $713,669,317
------------
Level 3..................................................... --
------------
TOTAL....................................................... $722,462,714
============
See notes to financial statements
63
MASTER INTERNATIONAL INDEX SERIES
SUMMARY SCHEDULE OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
Other Financial
Instruments(1)
----------------------
Assets Liabilities
-------- -----------
Level 1 $ 4,124 $ (66,382)
Level 2 435,895 (180,447)
Level 3 -- --
-------- ---------
TOTAL $440,019 $(246,829)
(1) Other financial instruments are financial futures contracts and foreign
currency exchange contracts, which are shown at the unrealized
appreciation/depreciation on the instrument.
The following table is a reconciliation of investments for unobservable inputs
(Level 3) used in determining fair value:
Common Stocks
Australia
-------------
Balance, as of December 31, 2008 $ 26,500
Accrued discounts/premiums --
Realized gain (loss) --
Change in unrealized appreciation/depreciation(2) 661,574
Net purchases (sales) --
Net transfers out (688,074)
---------
BALANCE, AS OF JUNE 30, 2009 --
=========
(2) Included in the related net change in unrealized appreciation/depreciation
on the Statement of Operations related to securities classified as Level 3
at period end.
See notes to financial statements
64
MASTER INTERNATIONAL INDEX SERIES
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2009 (UNAUDITED)
ASSETS
Investments at value -- unaffiliated (cost --$850,722,029)...... $ 720,328,760
Investments at value -- affiliated (cost --$2,133,954).......... 2,133,954
Unrealized appreciation on foreign currency exchange contracts.. 435,895
Cash............................................................ 33,786
Foreign currency at value (cost --$8,370,791)................... 8,454,099
Collateral for financial futures contracts...................... 2,246,000
Dividends receivable............................................ 4,552,130
Investments sold receivable..................................... 277,834
Margin variation receivable..................................... 116,325
Interest receivable............................................. 1,421
Prepaid expenses................................................ 24,472
Other assets.................................................... 207
-------------
Total assets.................................................... 783,604,883
-------------
LIABILITIES
Unrealized depreciation on foreign currency exchange contracts.. 180,447
Withdrawals payable to Investors................................ 6,870,131
Investments purchased payable................................... 865,338
Investment advisory fees payable................................ 6,023
Other affiliates payable........................................ 3,018
Other accrued expenses payable.................................. 143,783
-------------
Total liabilities............................................... 8,068,740
-------------
NET ASSETS...................................................... $ 730,536,143
=============
NET ASSETS CONSIST OF
Investors' capital.............................................. $ 860,520,785
Net unrealized appreciation/depreciation........................ (129,984,642)
-------------
Net Assets...................................................... $ 730,536,143
=============
See notes to financial statements
65
MASTER INTERNATIONAL INDEX SERIES
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2009 (UNAUDITED)
INVESTMENT INCOME
Dividends........................................................ $ 16,345,858
Foreign tax withheld............................................. (1,805,951)
Income - affiliated.............................................. 10,472
------------
Total income..................................................... 14,550,379
------------
EXPENSES
Custodian........................................................ 109,768
Accounting services.............................................. 84,790
Professional..................................................... 46,928
Investment advisory.............................................. 32,197
Officer and Directors............................................ 12,402
Printing......................................................... 930
Miscellaneous.................................................... 61,556
------------
Total expenses................................................... 346,571
Less fees waived by advisor................................... (14,790)
------------
Total expenses after fees waived................................. 333,781
------------
Net investment income............................................ 14,216,598
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments................................................... (25,644,845)
Financial futures contracts................................... 2,604,173
Foreign currency.............................................. 788,030
------------
(22,252,642)
------------
Net change in unrealized appreciation/depreciation on:
Investments................................................... 50,092,180
Financial futures contracts................................... (466,655)
Foreign currency.............................................. (15,771)
------------
49,609,754
------------
Total realized and unrealized gain............................... 27,357,112
------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............. $ 41,573,710
============
See notes to financial statements
66
MASTER INTERNATIONAL INDEX SERIES
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 2009 DECEMBER 31,
INCREASE (DECREASE) IN NET ASSETS: (UNAUDITED) 2008
- ---------------------------------- ------------- --------------
OPERATIONS
Net investment income ..................................................... $ 14,216,598 $ 33,039,462
Net realized loss ......................................................... (22,252,642) (52,309,895)
Net change in unrealized appreciation/depreciation ........................ 49,609,754 (468,096,168)
------------- --------------
Net increase (decrease) in net assets resulting from operations ........... 41,573,710 (487,366,601)
------------- --------------
CAPITAL TRANSACTIONS
Proceeds from contributions ............................................... 118,416,235 589,551,495
Fair value of withdrawals ................................................. (135,573,200) (539,237,057)
------------- --------------
Net increase (decrease) in net assets derived from capital transactions ... (17,156,965) 50,314,438
------------- --------------
NET ASSETS
Total increase (decrease) in net assets ................................... 24,416,745 (437,052,163)
Beginning of period ....................................................... 706,119,398 1,143,171,561
------------- --------------
End of period ............................................................. $ 730,536,143 $ 706,119,398
------------- --------------
FINANCIAL HIGHLIGHTS
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED DECEMBER 31,
2009 -------------------------------------------------------
(UNAUDITED) 2008 2007 2006 2005 2004
----------- -------- ---------- -------- -------- --------
TOTAL INVESTMENT RETURN
Total investment return ........... 6.10%(1) (41.94)% 10.80% 26.61% 13.64% 20.32%
-------- -------- ---------- -------- -------- --------
RATIOS TO AVERAGE NET ASSETS
Total expenses .................... 0.11%(2) 0.11% 0.10% 0.11% 0.10% 0.10%
-------- -------- ---------- -------- -------- --------
Total expenses after fees waived .. 0.10%(2) 0.10% 0.09% 0.10% 0.10% 0.09%
-------- -------- ---------- -------- -------- --------
Net investment income ............. 4.42%(2) 3.54% 2.86% 2.70% 2.53% 2.55%
-------- -------- ---------- -------- -------- --------
SUPPLEMENTAL DATA
Net assets, end of period (000) ... $730,536 $706,119 $1,143,172 $829,986 $523,155 $322,067
-------- -------- ---------- -------- -------- --------
Portfolio turnover ................ 8% 30% 30% 23% 11% 14%
-------- -------- ---------- -------- -------- --------
(1) Aggregate total investment return.
(2) Annualized.
See notes to financial statements
67
MASTER INTERNATIONAL INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Master International Index Series (the "Series"), is part of
Quantitative Master Series LLC (the "Master LLC") and is registered under the
Investment Company Act of 1940, as amended (the "1940 Act"), as a
non-diversified, open-end management investment company and is organized as a
Delaware limited liability company. The Limited Liability Company Agreement
permits the Board of Directors (the "Board") to issue nontransferable interests
in the Master LLC subject to certain limitations. The Series' financial
statements are prepared in conformity with accounting principles generally
accepted in the United States of America, which may require the use of
management accruals and estimates. Actual results may differ from these
estimates.
The following is a summary of significant accounting policies followed by the
Series:
Valuation of investments
Equity investments traded on a recognized securities exchange or the
NASDAQ Global Market System are valued at the last reported sale price that day
or the NASDAQ official closing price, if applicable. For equity investments
traded on more than one exchange, the last reported sale price on the exchange
where the stock is primarily traded is used. Equity investments traded on a
recognized exchange for which there were no sales on that day are valued at the
last available bid price. If no bid price is available, the prior day's price
will be used; unless it is determined that such prior day's price no longer
reflects the fair value of the security. Financial futures contracts traded on
exchanges are valued at their last sale price. Investments in open-end
investment companies are valued at net asset value each business day. Short-term
securities with maturities less than 60 days may be valued at amortized cost,
which approximates fair value. The Series values its investment in BlackRock
Liquidity Series, LLC Cash Sweep Series at fair values, which is ordinarily
based upon its pro-rata ownership in the net assets of the underlying fund.
In the event that application of these methods of valuation results in
a price for an investment which is deemed not to be representative of the market
value of such investment, the investment will be valued by a method approved by
the Board of Directors (the "Board") as reflecting fair value ("Fair Value
Assets"). When determining the price for Fair Value Assets, the investment
advisor and/or sub-advisor seeks to determine the price that the Series might
reasonably expect to receive from the current sale of that asset in an
arm's-length transaction. Fair value determinations shall be based upon all
available factors that the investment advisor and/or sub-advisor deems relevant.
The pricing of all Fair Value Assets is subsequently reported to the Board or a
committee thereof.
Generally, trading in foreign securities is substantially completed
each day at various times prior to the close of business on the New York Stock
Exchange ("NYSE"). The values of such securities used in computing the net
assets of the Series are determined as of such times. Foreign currency exchange
rates will be determined as of the close of business on the NYSE. Occasionally,
events affecting the values of such securities and such exchange rates may occur
between the times at which they are determined and the close of business on the
NYSE that may not be reflected in the computation of the Series' net assets. If
events (for example, a company announcement, market volatility or a natural
disaster) occur during such periods that are expected to materially affect the
value of such securities, those securities will be valued at their fair value as
determined in good faith by the Board or by the investment advisor using a
pricing service and/or procedures approved by the Board.
Foreign currency transactions
Foreign currency amounts are translated into United States dollars on
the following basis: (i) market value of investment securities, assets and
liabilities at the current rate of exchange; and (ii) purchases and sales of
investment securities, income and expenses at the rates of exchange prevailing
on the respective dates of such transactions.
The Series reports foreign currency related transactions as components
of realized gains for financial reporting purposes, whereas such components are
treated as ordinary income for federal income tax purposes.
68
MASTER INTERNATIONAL INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
Foreign currency transactions
The Series may invest in preferred stocks. 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.
Segregation and Collateralization
In cases in which the 1940 Act and the interpretive positions of the
Securities and Exchange Commission ("SEC") require that the Series segregates
assets in connection with certain investments (e.g., financial futures contracts
and foreign currency exchange contracts), the Series will, consistent with
certain interpretive letters issued by the SEC, designate on its books and
records cash or other liquid securities having a market value at least equal to
the amount that would otherwise be required to be physically segregated.
Furthermore, based on requirements and agreements with certain exchanges and
third party broker-dealers, the Series may also be required to deliver or
deposit securities as collateral for certain investments (e.g., financial
futures contracts).As part of these agreements, when the value of these
investments achieves a previously agreed upon value (minimum transfer amount),
the Series may be required to deliver and/or receive additional collateral.
Investment transactions and investment income
Investment transactions are recorded on the dates the transactions are
entered into (the trade dates). Realized gains and losses on security
transactions are determined on the identified cost basis. Dividend income is
recorded on the ex-dividend dates. Dividends from foreign securities where the
ex-dividend date may have passed are subsequently recorded when the Series has
determined the ex-dividend dates. Upon notification from issuers, some of the
dividend income received from a real estate investment trust may be redesignated
as a reduction of cost of the related investment and/or realized gain. Interest
income is recognized on the accrual basis.
Income taxes
The Series is classified as a partnership for federal income tax
purposes. As such, each investor in the Series is treated as owner of its
proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Series. Therefore, no federal income tax
provision is required. Under the applicable foreign tax law, a withholding tax
may be imposed on interest, dividends and capital gains at various rates. 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.
Recent accounting pronouncement
In June 2009, Statement of Financial Accounting Standards No. 166,
"Accounting for Transfers of Financial Assets -- an amendment of FASB Statement
No. 140" ("FAS 166"), was issued. FAS 166 is intended to improve the relevance,
representational faithfulness and comparability of the information that a
reporting entity provides in its financial statements about a transfer of
financial assets; the effects of a transfer on its financial position, financial
performance, and cash flows; and a transferor's continuing involvement, if any,
in transferred financial assets. FAS 166 is effective for financial statements
issued for fiscal years and interim periods beginning after November 15, 2009.
Earlier application is prohibited. The recognition and measurement provisions of
FAS 166 must be applied to transfers occurring on or after the effective date.
Additionally, the disclosure provisions of FAS 166 should be applied to
transfers that occurred both before and after the effective date of FAS 166. The
impact of FAS
69
MASTER INTERNATIONAL INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
166 on the Series' financial statement disclosures, if any, is currently being
assessed.
Other
Expenses directly related to the Series are charged to the Series.
Other operating expenses shared by several funds are pro-rated among those funds
on the basis of relative net assets or other appropriate methods.
2. DERIVATIVE FINANCIAL INSTRUMENTS:
The Series may engage in various portfolio investment strategies both
to increase the return of the Series and to economically hedge, or protect, its
exposure to interest rate movements and movements in the securities markets.
Losses may arise if the value of the contract decreases due to an unfavorable
change in the price of the underlying security, or if the counterparty does not
perform under the contract. The Series may mitigate these losses through master
netting agreements included within an International Swap and Derivatives
Association, Inc. ("ISDA") Master Agreement between the Series and its
counterparty. The ISDA allows the Series to offset with its counterparty the
Series' derivative financial instruments' payables and/or receivables with
collateral held. See Note 1 "Segregation and Collateralization" for additional
information with respect to collateral practices.
The Series is subject to equity risk and foreign currency exchange
rate risk in the normal course of pursuing its investment objectives by
investing in various derivative financial instruments, as described below.
Financial Futures contracts
The Series may purchase 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 contracts for delayed delivery of securities at a specific future
date and at a specific price or yield. Pursuant to the contract, the Series
agrees to receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known as
margin variation and are recognized by the Series as unrealized gains or losses.
When the contract is closed, the Series records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed. The use of financial futures transactions
involves the risk of an imperfect correlation in the movements in the price of
futures contracts, interest rates and the underlying assets. Financial futures
transactions involve minimal counterparty risk since financial futures contracts
are guaranteed against default by the exchange on which they trade.
Forward Currency Exchange Contracts
The Series may enter into foreign currency exchange contracts as an
economic hedge against either specific transactions or portfolio positions
(foreign currency exchange rate risk). A foreign currency exchange contract is
an agreement between two parties to buy and sell a currency at a set exchange
rate on a future date. Foreign currency exchange contracts, when used by the
Series, help to manage the overall exposure to the foreign currency backing some
of the investments held by the Series. The contract is marked-to-market daily
and the change in market value is recorded by the Series as an unrealized gain
or loss. When the contract is closed, the Series records a realized gain or loss
equal to the difference between the value at the time it was opened and the
value at the time it was closed. The use of foreign currency exchange contracts
involves the risk that counterparties may not meet the terms of the agreement
and market risk of unanticipated movements in the value of a foreign currency
relative to the US dollar. In the event of default by the counterparty to the
transaction, the Series' maximum amount of loss, as either the buyer or seller,
is the unrealized loss of the contract.
70
MASTER INTERNATIONAL INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS UNDER FINANCIAL ACCOUNTING
STANDARDS BOARD STATEMENT OF FINANCIAL ACCOUNTING STANDARDS NO. 133, "ACCOUNTING
FOR DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES":
Values of Derivative Instruments as of June 30, 2009*
-----------------------------------------------------
Asset Derivatives Liability Derivatives
------------------------- -------------------------
BALANCE SHEET BALANCE SHEET
LOCATION VALUE LOCATION VALUE
-------------- -------- -------------- --------
Equity contracts** Net unrealized Net unrealized
appreciation/ appreciation/
depreciation $ 4,124 depreciation $ 66,382
Foreign currency exchange contracts Unrealized Unrealized
appreciation depreciation
on foreign on foreign
currency currency
exchange exchange
contracts 435,895 contracts 180,447
-------- --------
TOTAL $440,019 $246,829
======== ========
* For open derivative instruments as of June 30, 2009, see the Schedule of
Investments, which is also indicative of activity for the six months ended
June 30, 2009.
** Includes cumulative appreciation/depreciation of financial futures
contracts as reported in the Schedule of Investments. Only current day's
margin variation is reported within the Statement of Assets and
Liabilities.
THE EFFECT OF DERIVATIVE INSTRUMENTS ON THE STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2009
NET REALIZED GAIN FROM DERIVATIVES
RECOGNIZED IN INCOME
-----------------------------------
FOREIGN
FINANCIAL CURRENCY
FUTURES EXCHANGE
CONTRACTS CONTRACTS TOTAL
---------- --------- ----------
Foreign currency exchange contracts -- $428,072 $ 428,072
Equity contracts $2,604,173 -- 2,604,173
---------- -------- ----------
TOTAL $2,604,173 $428,072 $3,032,245
========== ======== ==========
NET CHANGE IN UNREALIZED
DEPRECIATION ON DERIVATIVES
RECOGNIZED IN INCOME
-----------------------------------
FOREIGN
FINANCIAL CURRENCY
FUTURES EXCHANGE
CONTRACTS CONTRACTS TOTAL
---------- --------- ----------
Foreign currency exchange contracts -- $(41,068) $ (41,068)
Equity contracts $(466,655) -- $(466,655)
--------- -------- ---------
TOTAL $(466,655) $(41,068) $(507,723)
========= ======== =========
3. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES:
The PNC Financial Services Group, Inc. ("PNC") and Bank of America
Corporation ("BAC") are the largest stockholders of BlackRock, Inc.
("BlackRock"). Due to the ownership structure, PNC is an affiliate for 1940 Act
purposes, but BAC is not.
The Master LLC, on behalf of the Series, has entered into an
Investment Advisory Agreement with BlackRock Advisors, LLC (the "Manager"), the
Series' investment advisor, an indirect, wholly owned subsidiary of BlackRock,
to provide investment advisory and administration services.
The Manager is responsible for the management of the Series'
investments 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 has entered into a contractual arrangement with the Master
LLC with respect to the Series under which the Manager will waive its fees or
reimburse expenses so that the total operating expenses incurred by the Series
will not exceed 0.12% of the Series' average daily net assets. This arrangement
has a one-year term and is renewable. This amount is shown as fees waived by
advisor in the Statement of Operations.
The Manager has entered into a sub-advisory agreement with BlackRock
Investment Management, LLC
71
MASTER INTERNATIONAL INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
("BIM"), an affiliate of the Manager, under which the Manager pays BIM for
services it provides, a monthly fee that is a percentage of the investment
advisory fee paid by the Series to the Manager.
For the six months ended June 30, 2009, the Series reimbursed the
Manager $6,813 for certain accounting services, which is included in accounting
services in the Statement of Operations.
Certain officers and/or directors of the Master LLC are officers
and/or directors of BlackRock or its affiliates. The Series reimburses the
Manager for compensation paid to the Master LLC's Chief Compliance Officer.
4. INVESTMENTS:
Purchases and sales of investments, excluding short-term securities,
for the six months ended June 30, 2009 were $62,863,141 and $52,079,100,
respectively.
5. SHORT-TERM BORROWINGS:
The Series, along with certain other funds managed by the Manager and
its affiliates, is a party to a $500 million credit agreement with a group of
lenders, which expires on November 2009. The Series may borrow under the credit
agreement to fund shareholder redemptions and for other lawful purposes other
than for leverage. The Series may borrow up to a maximum amount allowable under
the Series' current Prospectus and Statement of Additional Information, subject
to various other legal, regulatory or contractual limits. The Series paid its
pro rata share of a 0.02% up front fee on the aggregate commitment amount based
on its net assets. The Series pays a commitment fee of 0.08% per annum based on
the Series' pro rata share of the unused portion of the credit agreement, which
is included in miscellaneous in the Statement of Operations. Amounts borrowed
under the credit agreement bear interest at a rate equal to, the higher of the
(a) Federal Funds effective rate and (b) reserve adjusted 1 month LIBOR, plus,
in each case, the higher of (i) 1.5% and (ii) 50% of the CDX Index (as defined
in the credit agreement) in effect from time to time. The Series did not borrow
under the credit agreement during the six months ended June 30, 2009.
6. GEOGRAPHIC, MARKET AND CREDIT RISK:
In the normal course of business, the Series invests in securities and
enters into transactions where risks exist due to fluctuations in the market
(market risk) or failure of the issuer of a security to meet all its obligations
(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
credit risk, the Series may be exposed to counterparty risk, or the risk that an
entity with which the Series has unsettled or open transactions may default.
Financial assets, which potentially expose the Series to credit and counterparty
risks, consist principally of investments and cash due from counterparties. The
extent of the Series' exposure to credit and counterparty risks with respect to
these financial assets is approximated by their value recorded in the Series'
Statement of Assets and Liabilities.
The Series invests from time to time 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. Please see the Schedule of
Investments for concentrations in specific countries.
As of June 30, 2009, the Series had the following industry
classifications
72
MASTER INTERNATIONAL INDEX SERIES
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
PERCENT OF
LONG-TERM
INDUSTRY INVESTMENT
- -------- ----------
Commercial Banks................ 13%
Oil, Gas and Consumable Fuels... 8
Pharmaceuticals................. 7
Metals and Mining............... 5
Other*.......................... 67
* All other industries held were each less than 5% of long-term investments.
7. SUBSEQUENT EVENTS:
Management has evaluated the impact of all subsequent events on the
Series through August 21, 2009, the date the financial statements were issued,
and has determined that there were no subsequent events requiring adjustment or
disclosure in the financial statements.
73
MASTER INTERNATIONAL INDEX SERIES
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENT
JUNE 30, 2009 (UNAUDITED)
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 on April 16,2009 and May 21 - 22, 2009 to consider the approval of the
Master LLC's investment advisory agreement (the "Advisory Agreement") with
BlackRock Advisors, LLC (the "Manager"), the Master LLC's investment advisor, on
behalf of Master Small Cap Index Series (the "Portfolio"), a series of the
Master LLC. The Board also considered the approval of the sub-advisory agreement
(the "Sub-Advisory Agreement") between the Manager and BlackRock Investment
Management, LLC (the "Sub-Advisor") with respect to the Portfolio. The Manager
and the Sub-Advisor are referred to herein as "BlackRock." The Advisory
Agreement and the Sub-Advisory Agreement are referred to herein as the
"Agreements."
ACTIVITIES AND COMPOSITION OF THE BOARD
The Board of the Master LLC consists of thirteen individuals, eleven
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 composed of
Independent Board Members (except for the Performance Oversight and Contract
Committee and the Executive Committee, which each have one interested Board
Member) and is chaired by Independent Board Members.
THE AGREEMENTS
Pursuant to the 1940 Act, the Board is required to consider the
continuation of the Agreements on an annual basis. In connection with this
process, the Board assessed, among other things, the nature, scope and quality
of the services provided to the Portfolio by the personnel of BlackRock and its
affiliates, including investment management, administrative services,
shareholder services, oversight of fund accounting and custody, marketing
services and assistance in meeting legal and regulatory requirements.
Throughout the year, the Board, acting directly and through its
committees, considers at each of its meetings factors that are relevant to its
annual consideration of the renewal of the Agreements, including the services
and support provided by BlackRock to the Portfolio and its shareholders. Among
the matters the Board considered were: (a) investment performance of an
affiliated feeder fund that invests all of its investable assets in the
Portfolio (the "representative feeder fund") for one-, three-and five-year
periods against its applicable benchmark, as well as senior management and
portfolio managers' analysis of the reasons for any underperformance; (b) fees,
including advisory, administration, if applicable, and other amounts paid to
BlackRock and its affiliates by the Portfolio for services, such as marketing
and distribution and fund accounting; (c) Portfolio operating expenses; (d) the
resources devoted to and compliance reports relating to the Portfolio's
investment objective, policies and restrictions; (e) the Master LLC's compliance
with its Code of Ethics and 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; (h) BlackRock's implementation of the proxy voting policies approved
by the Board; (i) the use of brokerage commissions and execution quality; (j)
BlackRock's implementation of the Master LLC's valuation and liquidity
procedures; and (k) periodic updates on BlackRock's business.
BOARD CONSIDERATIONS IN APPROVING THE AGREEMENTS
The Approval Process: Prior to the April 16, 2009 meeting, the Board
requested and received materials specifically relating to the Agreements. The
Board is engaged in an ongoing process with BlackRock to continuously 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
representative feeder fund fees and expenses, and the investment performance of
the
74
MASTER INTERNATIONAL INDEX SERIES
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENT
JUNE 30, 2009 (UNAUDITED)
representative feeder fund as compared with a peer group of funds as determined
by Lipper (collectively, "Peers"); (b) information on the profitability of the
Agreements to BlackRock and a discussion of fall-out benefits to BlackRock and
its affiliates and significant shareholders; (c) a general analysis provided by
BlackRock concerning investment advisory fees charged to other clients, such as
institutional and closed-end funds, under similar investment mandates, as well
as the performance of such other clients; (d) the impact of economies of scale;
(e) a summary of aggregate amounts paid by the Portfolio to BlackRock; and (f)
an internal comparison of management fees classified by Lipper, if applicable.
At an in-person meeting held on April 16, 2009, the Board reviewed
materials relating to its consideration of the Agreements. As a result of the
discussions that occurred during the April 16, 2009 meeting, the Board presented
BlackRock with questions and requests for additional information and BlackRock
responded to these requests with additional written information in advance of
the May 21 - 22, 2009 Board meeting.
At an in-person meeting held on May 21 - 22, 2009, the Board Members
of the Master LLC present at the meeting, including the Independent Board
Members present at the meeting, unanimously approved the continuation of the
Advisory Agreement between the Manager and the Master LLC with respect to the
Portfolio and the Sub-Advisory Agreement between the Manager and the Sub-Advisor
with respect to the Portfolio, each for a one-year term ending June 30, 2010.
The Board considered all factors it believed relevant with respect to the
Portfolio, including, among other factors: (a) the nature, extent and quality of
the services provided by BlackRock; (b) the investment performance of the
Portfolio and BlackRock portfolio management; (c) the advisory fee and the cost
of the services and profits to be realized by BlackRock and certain affiliates
from the relationship with the Portfolio; (d) economies of scale; and (e) other
factors.
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 distribution of Portfolio shares, services related to the valuation and
pricing of portfolio holdings of the Portfolio, direct and indirect benefits to
BlackRock and its affiliates from their relationship with the 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 controlling, and each Board
Member may have attributed different weights to the various items considered.
A. Nature, Extent and Quality of the Services: The Board, including
the Independent Board Members, reviewed the nature, extent and quality of
services provided by BlackRock, including the investment advisory services and
the resulting performance of the Portfolio. Throughout the year, the Board
received information regarding the investment performance of the representative
feeder fund. The Board met with BlackRock's senior management personnel
responsible for investment operations, including the senior investment officers.
The Board also reviewed the materials provided by the Portfolio's portfolio
management team discussing performance of the representative feeder fund and the
Portfolio's investment objective, strategies and outlook.
The Board considered, among other factors, the number, education and
experience of BlackRock's investment personnel generally and the Portfolio's
portfolio management team, investments by portfolio managers in the funds they
manage, BlackRock's portfolio trading capabilities, BlackRock's use of
technology, BlackRock's commitment to compliance and BlackRock's approach to
training and retaining portfolio managers and other research, advisory and
management personnel. The Board also reviewed a general description of
BlackRock's compensation structure with respect to the Portfolio's portfolio
management team and BlackRock's ability to attract and retain high-quality
talent.
In addition to advisory services, the Board considered the quality of
the administrative and non-investment advisory services provided to the
Portfolio. BlackRock and its affiliates provide the Portfolio with certain
administrative, transfer agency, shareholder and other services (in addition to
any such services provided to the Portfolio by third parties) and officers and
other personnel as are necessary for the operations of the Portfolio. In
addition to investment advisory services, BlackRock and its affiliates provide
the Portfolio with other services, including: (i) preparing disclosure
documents, such as the prospectus, the statement of additional information and
75
MASTER INTERNATIONAL INDEX SERIES
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENT
JUNE 30, 2009 (UNAUDITED)
periodic shareholder reports; (ii) assisting with daily accounting and pricing;
(iii) overseeing and coordinating the activities of other service providers;
(iv) organizing Board meetings and preparing the materials for such Board
meetings; (v) providing legal and compliance support; and (vi) performing other
administrative functions necessary for the operation of the Portfolio, such as
tax reporting and fulfilling regulatory filing requirements. The Board reviewed
the structure and duties of BlackRock's fund administration, accounting, 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 Portfolio and BlackRock: The
Board, including the Independent Board Members, also reviewed and considered the
performance history of the Portfolio. In preparation for the April 16, 2009
meeting, the Board was provided with reports, independently prepared by Lipper,
which included a comprehensive analysis of the representative feeder fund's
performance. The Board also reviewed a narrative and statistical analysis of the
Lipper data that was prepared by BlackRock, which analyzed various factors that
affect Lipper's rankings. In connection with its review, the Board received and
reviewed information regarding the investment performance of the representative
feeder fund as compared to a representative group of similar funds as determined
by Lipper and to all funds in the representative feeder fund's applicable Lipper
category. The Board was provided with a description of the methodology used by
Lipper to select peer funds. The Board regularly reviews the performance of the
representative feeder fund throughout the year. The Board attaches more
importance to performance over relatively long periods of time, typically three
to five years.
The Board noted that, in general, the representative feeder fund
performed better than its Peers in that the representative feeder fund's
performance was at or above the median of its Lipper Performance Universe in two
of the one-, three- and five-year periods reported.
C. Consideration of the Advisory Fees and the Cost of the Services and
Profits to be Realized by BlackRock and its Affiliates from their Relationship
with the Portfolio: The Board, including the Independent Board Members, reviewed
the information provided by Lipper regarding the Portfolio's contractual
advisory fee rates and the representative feeder fund's total expenses. The
Board considered the services provided and the fees charged by BlackRock to
other types of clients with similar investment mandates, including separately
managed institutional accounts.
The Board received and reviewed statements relating to BlackRock's
financial condition and profitability with respect to the services it provided
the Portfolio. 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 Portfolio. The Board reviewed BlackRock's profitability with
respect to the Portfolio and each fund the Board currently oversees for the year
ended December 31, 2008 compared to aggregate profitability data provided for
the year ended December 31, 2007. The Board reviewed BlackRock's profitability
with respect to 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, expense allocations and business mix, and therefore
comparability of profitability is somewhat limited.
The Board noted that, in general, individual fund or product line
profitability of other advisors is not publicly available. Nevertheless, to the
extent such information is available, the Board considered BlackRock's operating
margin in general compared to the operating margin for leading investment
management firms whose operations include advising open-end funds, among other
product types. The comparison indicated that operating margins for BlackRock
with respect to its registered funds are consistent with margins earned by
similarly situated publicly traded competitors. In addition, the Board
considered, among other things, certain third party data comparing BlackRock's
operating margin with that of other publicly-traded asset management firms,
which concluded that larger asset bases do not, in themselves, translate to
higher profit margins.
In addition, the Board considered the cost of the services provided to
the Portfolio by BlackRock, and BlackRock's and its affiliates' profits relating
to the management and distribution of the Portfolio and the other
76
MASTER INTERNATIONAL INDEX SERIES
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENT
JUNE 30, 2009 (UNAUDITED)
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 Portfolio. The Board also considered whether BlackRock has the financial
resources necessary to attract and retain high quality investment management
personnel to perform its obligations under the Agreements and to continue to
provide the high quality of services that is expected by the Board.
The Board noted that the contractual advisory fees, which do not take
into account any expense reimbursement or fee waivers, were lower than or equal
to the median contractual advisory fees paid by comparable funds. The Board
noted that BlackRock has contractually agreed to waive fees or reimburse
expenses in order to limit the Portfolio's total net expenses. The Board further
noted that BlackRock has contractually agreed to waive or reimburse advisory
fees for the Portfolio. No fees were required to be waived pursuant to this
agreement.
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 Portfolio increase and whether there should be changes in the
advisory fee rate or structure in order to enable the Portfolio to participate
in these economies of scale, for example through the use of breakpoints in the
advisory fee based upon the assets of the Portfolio. The Board also considered
BlackRock's overall operations and its efforts to expand the scale of, and
improve the quality of, its operations.
E. Other Factors: The Board also took into account other ancillary or
"fallout" benefits that BlackRock or its affiliates and significant shareholders
may derive from its relationship with the Portfolio, both tangible and
intangible, such as BlackRock's ability to leverage its investment professionals
who manage other portfolios, an increase in BlackRock's profile in the
investment advisory community, and the engagement of BlackRock's affiliates as
service providers to the Portfolio, including for administrative and
distribution services. The Board also noted that BlackRock may use third party
research obtained by soft dollars generated by certain mutual fund transactions
to assist itself in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also
received information regarding BlackRock's brokerage and soft dollar practices.
The Board received reports from BlackRock which included information on
brokerage commissions and trade execution practices throughout the year.
CONCLUSION
The Board Members of the Master LLC present at the meeting, including
the Independent Board Members present at the meeting, unanimously approved the
continuation of the Advisory Agreement between the Manager and the Master LLC
with respect to the Portfolio for a one-year term ending June 30, 2010 and the
Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to
the Portfolio for a one-year term ending June 30, 2010. Based upon their
evaluation of all these factors in their totality, the Board Members of the
Master LLC present at the meeting, including the Independent Board Members
present at the meeting, were satisfied that the terms of the Agreements were
fair and reasonable and in the best interest of the Portfolio and its
shareholders. In arriving at a decision to approve the Agreements, the Board did
not identify any single factor or group of factors as all-important or
controlling, but considered all factors together, and different Board Members
may have attributed different weights to the various factors considered. The
Independent Board Members were also assisted by the advice of independent legal
counsel in making this determination. The contractual fee arrangements for the
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. Certain aspects of the arrangements
may be the subject of more attention in some years than in others, and the Board
Members' conclusions may be based in part on their consideration of these
arrangements in prior years.
77
AMERICAN BEACON FUNDS
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT
OF THE FUNDS (UNAUDITED)
At its May 27, 2009 meeting, the Board of Trustees ("Board")
considered the renewal of the Management Agreement between the Manager and the
American Beacon Funds (collectively, the "Funds"). In preparation for the
Board's consideration to renew these Agreements, the Board and its Investment
Committee undertook steps to gather and consider information furnished by the
Manager and Lipper, Inc. ("Lipper"). The Board, with the assistance of
independent legal counsel, requested and received certain relevant information
from the Manager
In addition, the Board's Investment Committee worked with Lipper to
obtain relevant comparative information regarding the performance, fees and
expenses of the Funds. The Investment Committee held a separate meeting on May
13, 2009 to consider the information provided by Lipper. Further, the Board took
into consideration information furnished for the Board's review and
consideration throughout the year at regular Board and Investment Committee
meetings, as well as information specifically prepared in connection with the
renewal process.
In connection with the Board's consideration of the Management
Agreement, the Trustees considered, among other materials, responses by the
Manager to inquiries requesting:
- a description of any significant changes (actual or anticipated) to
principal activities, personnel, services provided to the Funds, or
any other area, including how these changes might affect the Funds;
- a copy of the firm's most recent audited or unaudited financial
statements, as well as Parts I and II of its Form ADV registration
statement with the SEC;
- a summary of any material past, pending or anticipated litigation or
regulatory proceedings involving the firm or its personnel, including
the results of any recent regulatory examination or independent audit;
- a comparison of the performance of that portion of Fund assets managed
by each firm with performance of other similar accounts managed by the
firm, including a discussion of relative performance versus a peer
group average and any remedial measures if the firm's performance was
materially below that of the peer group;
- a profit/loss analysis of the firm and any actual or anticipated
economies of scale in relation to the services it provides to each
Fund;
- an analysis of compensation, including a comparison with fees charged
to other clients for which similar services are provided, any proposed
changes to the fee schedule and the effect of any fee waivers;
- a description of any payments by the firm to support the Funds'
marketing efforts;
- an evaluation of any other benefits to the firm or Funds as a result
of their relationship, if any;
- confirmation that the firm's financial condition would not impair its
ability to provide high-quality advisory services to the Funds;
- a description of any internal actions the firm has taken or
anticipates taking in light of the current and projected decrease in
revenues from prior years as a result of the current economic
environment and, as applicable, information regarding the firm's
decline in assets under management from January 1, 2008 through March
31, 2009;
- a description of the scope of portfolio management services provided
to the Funds, including whether such services differ from the services
provided to other clients, including other registered investment
78
AMERICAN BEACON FUNDS
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT
OF THE FUNDS (UNAUDITED)
companies, and any advantages or disadvantages that might accrue to
the Funds due to the firm's involvement in other activities;
- a description of the personnel who are assigned primary responsibility
for managing the Funds, including any changes during the past year,
and a discussion of the adequacy of current and projected staffing
levels to service the Funds;
- a description of the basis upon which portfolio managers are
compensated, including any "incentive" arrangements;
- a discussion regarding the firm's participation in "soft dollar"
arrangements, if any, or other brokerage allocation policies with
respect to Fund transactions, including the firm's methodology for
obtaining the most favorable execution and the use of any affiliated
broker-dealers;
- a description of any actual or potential conflicts of interest
anticipated in managing Fund assets;
- a description of trade allocation procedures among accounts managed by
the firm;
- a discussion of whether the firm receives, with respect to the Funds,
other compensation, including any payment for order flow or ECN
liquidity rebates;
- a certification by the firm regarding the reasonable design of its
compliance program;
- information regarding the firm's code of ethics, insider trading
policy and disaster recovery plan, including a description of any
material changes thereto and a related certification of compliance by
the firm;
- a description of the firm's affiliation with any broker-dealer;
- a discussion of any anticipated change in the firm's controlling
persons; and
- verification of the firm's insurance coverage with regards to the
services provided to the Funds.
In addition to the foregoing, the Manager provided the following
information specific to the renewal of the Management Agreement:
- a comparison of the performance of each Fund to comparable investment
companies and appropriate indices, including comments on the relative
performance of each Fund versus the respective peer group average;
- a discussion, if applicable, of any underperformance by a fund
relative to its peer group and what, if any, remedial measures the
Manager has or intends to take;
- a comparison of advisory fees and expense ratios for comparable mutual
funds;
- an analysis of any material complaints received from Fund
shareholders;
- a description of the Manager's securities lending practices and the
fees received from such practices;
- a discussion of any rebate arrangements between the Manager and a
service provider to the Funds pursuant to which the Manager receives
direct or indirect benefits from the service provider;
- a description of any revenue sharing activities with respect to the
Funds;
79
AMERICAN BEACON FUNDS
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT
OF THE FUNDS (UNAUDITED)
- a description of the portfolio turnover rate and average execution
costs for each Fund; and
- a description of how expenses that are not readily identifiable to a
particular Fund are allocated.
In connection with the Management Agreement, the Board also obtained
an analysis provided by Lipper that compared: (i) investment performance of each
Fund versus comparable investment companies and appropriate indices; (ii) total
Fund expenses of each Fund versus comparable mutual funds; and (iii) each Fund's
investment advisory fees versus comparable mutual funds. For each Fund with more
than one class of shares, the class of shares used for comparative purposes was
the class with the longest performance history, which in most cases was the
Institutional Class. References below to each Fund's Lipper peer group are to
the group of comparable mutual funds included in the analysis provided by
Lipper.
Provided below is an overview of the primary factors the Trustees
considered at the Investment Committee meeting on May 13, 2009 at which the
Trustees reviewed the investment performance of the Manager and the primary
factors considered by the Board at its May 27, 2009 meeting at which the Board
considered the renewal of the Management Agreement. The Board did not identify
any particular information that was most relevant to its consideration to renew
the Management Agreement, and each Trustee may have afforded different weight to
the various factors. Legal counsel to the independent Trustees provided the
Board with a memorandum regarding its responsibilities pertaining to the renewal
of the Management Agreement. The memorandum explained the regulatory
requirements surrounding the Trustees' process for evaluating investment
advisors and the terms of the contracts. Based on its evaluation, the Board
unanimously concluded that the terms of the Management Agreement were reasonable
and fair and that the renewal of the Management Agreement was in the best
interests of the Funds and their shareholders.
CONSIDERATIONS WITH RESPECT TO ALL FUNDS
In determining whether to renew the Management Agreement, the Trustees
considered the best interests of each Fund separately. While the Management
Agreement for all of the Funds were considered at the May 27, 2009 meeting, the
Board considered each Fund's investment management relationships separately. In
each instance, the Board considered, among other things, the following factors:
(1) the nature and quality of the services provided; (2) the investment
performance of a Fund; (3) the costs incurred by the Managers in rendering their
services and its resulting profits or losses; (4) the extent to which economies
of scale have been taken into account in setting each fee schedule; (5) whether
fee levels reflect these economies of scale for the benefit of Fund investors;
(6) comparisons of services and fees with contracts entered into by the Manager
or its affiliates with other clients (such as pension funds and other
institutional funds); and (7) any other benefits derived or anticipated to be
derived by the Manager from its relationship with a Fund. The Trustees posed
questions to various management personnel of the Manager regarding certain key
aspects of the materials submitted in support of the renewal.
Nature, Extent and Quality of Services. With respect to the renewal of
the Management Agreement, the Board considered: the background and experience of
key investment personnel and the Manager's ability to retain them; the Manager's
disciplined investment approach and goal to provide consistent above average
long-term performance at a low cost; the Manager's continuing efforts to add new
series and share classes to enhance the Funds' product line; the Manager's
record in building improved compliance, control and credit functions that reduce
risks to the Funds; the addition of personnel to manage the Funds, promote sales
and improve services; and the active role played by the Manager in monitoring
and, as appropriate, recommending replacements for the master portfolios.
Investment Performance. The Board evaluated the comparative
information provided by Lipper and the Manager regarding each Fund's investment
performance relative to its benchmark index(es) and peer group. The Board
considered the information provided by Lipper regarding its independent peer
selection methodology to select all peer groups and universes. The Board also
considered the performance reports and discussions with management at Board and
Committee meetings throughout the year. A discussion regarding
80
AMERICAN BEACON FUNDS
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT
OF THE FUNDS (UNAUDITED)
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 individual Fund level and at an aggregate level for all Funds.
The Board also considered that the Management Agreement for the Funds stipulates
that, to the extent that a Fund invests all of its investable assets in another
registered investment company (i.e., is a "Feeder Fund"), the Fund will not pay
the Manager a management fee. The index series of the Funds operate under a
master-feeder structure, but each of these series invests in a master portfolio
that is not managed by the Manager. As such, the Board considered that the
Manager does not receive a management fee with respect to the International
Equity Index, S&P 500 Index, or Small Cap Index Funds. Although the Board noted
that, in certain cases, the fee rates paid by other clients is lower than the
fee rates paid by the Funds, the difference reflects the greater level of
responsibility and regulatory requirements associated with managing the Funds.
The Board also noted that the Manager proposed to continue the expense
waivers and reimbursements for certain Funds and classes that were in place
during the last fiscal year. The Board 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 relationships on behalf of various Funds. The
Board also noted that certain classes of the Funds maintain higher expense
ratios in order to compensate third-party distributors.
Based on the foregoing information, the Board concluded that the
profitability levels 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 fees, the Board considered whether economies of scale will be
realized as the Funds grow and whether fee levels reflect these economies of
scale for the benefit of Fund shareholders. The Board also noted the Manager's
representation that Fund assets have decreased significantly primarily due to
market depreciation in 2008 and the first quarter of 2009, as well as
significant share redemptions from the Money Market Funds and the inability of
certain competitor money market funds' to maintain positive yields, causing mass
redemptions in money market funds throughout the industry.
Based on the foregoing information, the Board concluded that the
Manager fee schedules for each Fund provides for a reasonable sharing of
benefits from any economies of scale with the Fund.
Benefits Derived from the Relationship with the Funds. The Board
considered the "fall-out" or ancillary benefits that accrue to the Manager as a
result of the advisory relationships with the Funds, including greater exposure
in the marketplace with respect to the Manager's investment process and
expanding the level of assets under management by the Manager. The Board also
considered that the Manager's relationship with the Funds and the money market
portfolios continues to be a significant factor in attracting separate account
assets for the Manager, noting specifically the Manager's utilization of the
Large Cap Value Fund model for a newly registered actively managed exchange
traded fund managed by the Manager. In addition, the Board noted that the
Manager provides services to each Trust at a relatively low cost.
Based on the foregoing information, the Board concluded that the
potential benefits accruing to the Manager by virtue of its relationship with
the Funds appear to be fair and reasonable.
81
AMERICAN BEACON FUNDS
DISCLOSURE REGARDING THE BOARD OF TRUSTEES' APPROVAL OF THE MANAGEMENT AGREEMENT
OF THE FUNDS (UNAUDITED)
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO EACH FUND
The performance comparisons below were made versus each Fund's Lipper
peer universe median. References to the Lipper expense group below are to the
group of comparable mutual funds included in the analysis provided to the
Trustees by Lipper, Inc.
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE S&P 500 INDEX FUND
In considering the renewal of the Management Agreement for the S&P 500
Index Fund, the Trustees considered the following additional factors: (1) the
Fund's master portfolio outperformed the peer universe median for the one-,
three-, five- and ten-year periods ended March 31, 2009 and (2) the Fund's
expense ratio ranked better than the median of its Lipper expense universe.
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 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 S&P 500
Index Fund.
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE SMALL CAP INDEX
FUND
In considering the renewal of the Management Agreement for the Small
Cap Index Fund, the Trustees considered the following additional factors: (1)
the Fund's master portfolio outperformed the peer universe median for the one-,
three- and five-year periods ended March 31, 2009 and (2) the Fund's expense
ratio was ranked better than the median of its Lipper expense universe.
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 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 Small Cap
Index Fund.
ADDITIONAL CONSIDERATIONS AND CONCLUSIONS WITH RESPECT TO THE INTERNATIONAL
EQUITY INDEX FUND
In considering the renewal of the Management Agreement for the
International Equity Index Fund, the Trustees considered the following
additional factors: (1) the performance of the Fund's master portfolio
outperformed the peer universe median for the one-, three- and five-year periods
ended March 31, 2009; and (2) the Fund's expense ratio ranked better than the
median of its Lipper expense universe.
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 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
International Equity Index Fund.
82
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83
(AMERICAN BEACON FUNDS(SM) LOGO)
DELIVERY OF DOCUMENTS
To reduce expenses, your financial institution may mail only one copy of the
Prospectus, Annual Report and Semi-Annual Report to those addresses shared by
two or more accounts. If you wish to receive individual copies of these
documents, please contact your financial institution. Delivery of individual
copies will commence thirty days after receiving your request.
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:
(GRAPHIC) (GRAPHIC)
BY E-MAIL: ON THE INTERNET:
american_beacon.funds@ambeacon.com Visit our website at www.americanbeaconfunds.com
(GRAPHIC) (GRAPHIC)
BY TELEPHONE: BY MAIL:
Institutional Class American Beacon Funds
Call (800) 658-5811 P.O. Box 219643
Investor Class(R) Kansas City, MO 64121
(800) 388-3344
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES In AVAILABILITY OF PROXY VOTING POLICY AND RECORDS A
addition to the Schedule of Investments provided in description of the policies and procedures that the
each semi-annual and annual report, each Fund files a Funds use to determine how to vote proxies relating to
complete schedule of its portfolio holdings with the portfolio securities is available in each Fund's
Securities and Exchange Commission ("SEC") on Form Statement of Additional Information, which may be
N-Q as of the first and third fiscal quarters. The obtained free of charge by calling 1-800-967-9009 or
Fund's Forms N-Q are available on the SEC's website by accessing the SEC's website at www.sec.gov. Each
at www.sec.gov. The Forms N-Q may also be reviewed Fund's proxy voting record for the most recent year
and copied at the SEC's Public Reference Room, 450 ended June 30 is filed annually with the SEC on Form
Fifth Street, NW, Washington, DC 20549. Information N-PX. The Fund's Forms N-PX are available on the SEC's
regarding the operation of the SEC's Public Reference website at www.sec.gov. The Fund's proxy voting record
Room may be obtained by calling 1-800-SEC-0330. A may also be obtained by calling 1-800-967-9009.
complete schedule of the Fund's portfolio holdings is
also available on the Funds' website
(www.americanbeaconfunds.com) approximately thirty
days after the end of each fiscal quarter.
FUND SERVICE PROVIDERS:
CUSTODIAN TRANSFER AGENT INDEPENDENT REGISTERED DISTRIBUTOR
STATE STREET BANK AND TRUST BOSTON FINANCIAL DATA SERVICES PUBLIC ACCOUNTING FIRM FORESIDE FUND SERVICES
Boston, Massachusetts Kansas City, Missouri ERNST & YOUNG LLP Portland, Maine
Dallas, Texas
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.
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 6/09
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. The shareholder report for the S&P
500 Index Fund, the Small Cap Index Fund and the International Equity Index
Fund presented in Item 1 includes a summary schedule of investments for the
Master International Index Series and the Master Small Cap Index Series, both
of which are series of the Master Quantitative Series LLC. A complete
schedule of investments for each of these two series follows.
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
ADVERTISING AGENCIES - 0.5% AMREP Corp. (a) 700 $ 7,721
Arbitron, Inc. 14,258 226,559
Constant Contact, Inc. (a) 13,200 261,888
DG FastChannel, Inc. (a) 9,600 175,680
Harte-Hanks, Inc. 19,600 181,300
Marchex, Inc. Class B 10,500 35,385
National CineMedia, Inc. 22,470 309,187
Travelzoo, Inc. (a) 3,600 39,420
Valassis Communications, Inc. (a) 26,200 160,082
ValueClick, Inc. (a) 46,880 493,178
--------------
1,890,400
--------------
AEROSPACE - 1.4% AAR Corp. (a) 20,668 331,721
AeroVironment, Inc. (a) 7,000 216,020
Argon ST, Inc. (a) 7,200 148,104
Astronics Corp. (a) 4,600 47,794
Axsys Technologies, Inc. (a) 5,100 273,564
Ceradyne, Inc. (a) 13,750 242,825
Cubic Corp. 8,252 295,339
Curtiss-Wright Corp. 24,068 715,542
Ducommun, Inc. 5,600 105,224
Esterline Technologies Corp. (a) 15,741 426,109
GenCorp, Inc. (a) 29,171 55,717
Heico Corp. 12,426 450,567
Herley Industries, Inc. (a) 7,100 77,887
Kaman Corp. Class A 13,694 228,690
LMI Aerospace, Inc. (a) 4,400 44,528
Ladish Co., Inc. (a) 8,500 110,245
Moog, Inc. Class A (a) 23,113 596,547
Orbital Sciences Corp. (a) 30,635 464,733
Teledyne Technologies, Inc. (a) 19,134 626,639
Triumph Group, Inc. 8,879 355,160
--------------
5,812,955
--------------
AGRICULTURE, FISHING & AgFeed Industries, Inc. (a)(b) 15,800 93,694
RANCHING - 0.5% Alico, Inc. 1,800 54,036
The Andersons, Inc. 9,700 290,418
Cadiz, Inc. (a) 6,100 58,743
Cal-Maine Foods, Inc. (b) 7,400 184,704
Calavo Growers, Inc. 5,500 109,065
China Green Agriculture, Inc. (a) 3,900 31,551
Fresh Del Monte Produce, Inc. (a) 21,700 352,842
HQ Sustainable Maritime Industries, Inc. (a) 4,400 40,260
Sanderson Farms, Inc. 10,850 488,250
Seaboard Corp. 172 192,984
--------------
1,896,547
--------------
1
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
AIR TRANSPORT - 0.9% Air Transport Services Group, Inc. (a) 27,800 $ 64,496
AirTran Holdings, Inc. (a) 64,120 396,903
Alaska Air Group, Inc. (a)(c) 19,898 363,337
Allegiant Travel Co. (a)(b) 8,200 325,048
Atlas Air Worldwide Holdings, Inc. (a) 9,400 217,986
Bristow Group, Inc. (a) 15,485 458,821
Hawaiian Holdings, Inc. (a) 27,500 165,550
JetBlue Airways Corp. (a)(b) 122,100 521,367
PHI, Inc. (a) 7,200 123,408
Republic Airways Holdings, Inc. (a) 18,400 120,152
SkyWest, Inc. 30,500 311,100
UAL Corp. (a)(b) 76,400 243,716
US Airways Group, Inc. (a) 67,100 163,053
--------------
3,474,937
--------------
ALTERNATIVE ENERGY - 0.3% Clean Energy Fuels Corp. (a)(b) 16,700 143,787
Comverge, Inc. (a) 9,600 116,160
EnerNOC, Inc. (a) 6,200 134,354
Evergreen Energy, Inc. (a)(b) 65,200 63,896
Green Plains Renewable Energy (a) 6,100 39,955
Syntroleum Corp. (a) 36,900 81,549
TGC Industries Inc. (a) 8,300 40,421
US Geothermal, Inc. (a) 33,200 47,144
USEC, Inc. (a) 61,259 325,898
--------------
993,164
--------------
ALUMINUM - 0.1% Century Aluminum Co. (a) 25,300 157,619
Kaiser Aluminum Corp. 8,200 294,462
--------------
452,081
--------------
ASSET MANAGEMENT & Allied Capital Corp. 94,700 329,556
CUSTODIAN - 0.9% American Capital Ltd. 117,200 376,212
Ampal-American Israel Corp. Class A (a) 9,400 22,936
Apollo Investment Corp. (b) 77,046 462,276
Ares Capital Corp. 51,972 418,894
Calamos Asset Management, Inc. Class A 10,900 153,799
Capital Southwest Corp. 1,600 115,760
Cohen & Steers, Inc. 9,200 137,540
Diamond Hill Investments Group 1,200 48,216
Epoch Holding Corp. 5,300 45,792
Fifth Street Finance Corp. 11,200 112,448
GAMCO Investors, Inc. Class A 3,996 193,806
Harris & Harris Group, Inc. (a) 13,800 80,454
JMP Group, Inc. 8,700 66,903
Kohlberg Capital Corp. 9,200 58,144
MCG Capital Corp. (a) 39,300 95,499
MVC Capital, Inc. 11,600 98,136
NGP Capital Resources Co. 11,523 67,640
2
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
National Financial Partners Corp. 21,200 $ 155,184
Oppenheimer Holdings, Inc. 5,400 114,318
Pzena Investment Management, Inc. Class A 4,100 31,078
Resource America, Inc. Class A 5,449 29,316
TICC Capital Corp. 15,900 70,119
Teton Advisors, Inc. (a) 53 121
U.S. Global Investors, Inc. 6,900 63,894
Virtus Investment Partners, Inc. (a) 3,135 46,053
Westwood Holdings Group, Inc. 2,800 117,068
--------------
3,511,162
--------------
AUTO PARTS - 0.4% ATC Technology Corp. (a) 11,143 161,573
American Axle & Manufacturing Holdings, Inc. 23,700 81,528
Amerigon, Inc. (a) 11,400 69,540
ArvinMeritor, Inc. 39,300 172,527
China Automotive Systems. Inc. (a) 3,400 18,700
Dana Holding Corp. (a) 48,700 62,336
Dorman Products, Inc. (a) 5,600 77,448
Exide Technologies (a) 25,000 93,250
Fuel Systems Solutions, Inc. (a)(b) 6,700 135,273
Lear Corp. (a) 29,380 14,690
Standard Motor Products, Inc. 9,300 76,911
Stoneridge, Inc. (a) 8,100 38,880
Superior Industries International, Inc. 12,399 174,826
Tenneco, Inc. (a) 25,300 268,180
U.S. Auto Parts Network, Inc. (a) 4,100 15,457
Wonder Auto Technology, Inc. (a) 7,800 79,014
--------------
1,540,133
--------------
AUTO SERVICES - 0.1% Cooper Tire & Rubber Co. 31,500 312,480
Titan International, Inc. 18,749 140,055
--------------
452,535
--------------
BANKS: DIVERSIFIED - 6.1% 1st Source Corp. 7,884 136,157
Alliance Financial Corp. 2,500 70,900
American National Bankshares, Inc. 3,000 57,840
Ameris Bancorp 7,300 46,136
Ames National Corp. 3,300 80,553
Arrow Financial Corp. 4,800 129,600
Auburn National Bancorporation 1,100 31,350
BancFirst Corp. 3,190 110,310
Banco Latinoamericano de Comercio Exterior SA 14,600 181,478
Bancorp Rhode Island, Inc. 1,900 37,449
The Bancorp, Inc. (a) 6,900 41,400
Bank of Kentucky Financial Corp. 1,500 42,000
Bank of Marin Bancorp 3,100 83,545
Bank of the Ozarks, Inc. (b) 6,600 142,758
Banner Corp. 8,413 32,138
3
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Bar Harbor Bankshares 1,900 $ 58,615
Boston Private Financial Holdings, Inc. 37,533 168,148
Bridge Bancorp, Inc. 3,600 97,992
Bryn Mawr Bank Corp. 3,300 62,271
CNB Financial Corp. 4,300 60,931
CVB Financial Corp. (b) 35,665 212,920
California First National Bancorp 600 6,840
Camden National Corp. 4,100 139,523
Cape Bancorp, Inc. (a) 5,800 50,054
Capital City Bank Group, Inc. (b) 6,221 104,824
Cardinal Financial Corp. 15,000 117,450
Cathay General Bancorp (b) 26,444 251,482
Center Bancorp, Inc. 5,400 44,010
Centerstate Banks, Inc. 4,400 32,648
Central Pacific Financial Corp. 15,148 56,805
Century Bancorp, Inc. Class A 2,400 44,256
Chemical Financial Corp. 10,848 215,984
Chicopee Bancorp, Inc. (a) 3,100 40,207
Citizens & Northern Corp. 4,800 98,736
Citizens Banking Corp. (a) 66,287 47,064
Citizens Holding Co. 2,400 74,880
City Holding Co. 8,493 257,847
CoBiz Financial, Inc. 10,126 64,908
The Colonial BancGroup, Inc. (b) 108,400 67,208
Columbia Banking System, Inc. 9,741 99,650
Community Bank System, Inc. 17,500 254,800
Community Trust Bancorp, Inc. 8,123 217,290
Danvers Bancorp, Inc. 9,300 125,085
Eagle Bancorp, Inc. 6,200 54,374
East-West Bancorp, Inc. 34,200 221,958
Enterprise Bancorp, Inc. 3,400 40,120
Enterprise Financial Services Corp. 5,800 52,722
F.N.B. Corp. 49,297 305,148
Farmers Capital Bank Corp. 3,400 85,578
Financial Institutions, Inc. 5,800 79,228
First BanCorp, Puerto Rico (b) 44,300 174,985
First Bancorp, Inc. 4,600 89,562
First Bancorp, North Carolina 7,536 118,164
First Busey Corp. (b) 13,314 97,858
First Commonwealth Financial Corp. 45,040 285,554
First Community Bancshares, Inc. 5,094 65,407
First Financial Bancorp 19,987 150,302
First Financial Bankshares, Inc. 11,353 571,737
First Financial Corp. 6,644 209,818
First Merchants Corp. 11,246 90,305
First Midwest Bancorp, Inc. 26,000 190,060
First South Bancorp, Inc. 4,400 51,040
4
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
The First of Long Island Corp. 3,300 $ 76,362
FirstMerit Corp. 44,412 754,116
German American Bancorp, Inc. 6,600 95,106
Glacier Bancorp, Inc. (b) 32,964 486,878
Guaranty Bancorp (a) 28,100 53,671
Hampton Roads Bankshares, Inc. 9,300 76,725
Hancock Holding Co. 12,454 404,630
Harleysville National Corp. 23,036 108,269
Heartland Financial USA, Inc. (b) 6,900 98,532
Home Bancshares, Inc. 7,360 140,134
IBERIABANK Corp. 8,550 336,956
Independent Bank Corp./MA 10,845 213,647
International Bancshares Corp. (b) 28,510 293,938
Investors Bancorp, Inc. (a) 24,100 220,756
Lakeland Bancorp, Inc. 10,605 95,339
Lakeland Financial Corp. 6,400 121,600
MB Financial, Inc. 18,883 192,418
MainSource Financial Group, Inc. 10,719 79,535
Merchants Bancshares, Inc. 3,000 66,570
Meridian Interstate Bancorp, Inc. (a) 4,800 35,760
Metro Bancorp, Inc. (a) 2,600 50,076
MidSouth Bancorp, Inc. 2,900 48,720
NASB Financial, Inc. 1,800 51,480
NBT Bancorp, Inc. 18,213 395,404
Nara Bancorp, Inc. 12,300 63,714
National Bankshares, Inc. 4,100 98,400
National Penn Bancshares, Inc. 43,965 202,679
Northeast Community Bancorp 2,700 21,897
Northrim Bancorp Inc. 3,900 54,288
Norwood Financial Corp. 900 28,224
Ohio Valley Banc Corp. 2,000 58,680
Old National Bancorp 35,495 348,561
Old Point Financial Corp. 900 16,650
Old Second Bancorp, Inc. (b) 7,322 43,200
Oriental Financial Group 12,918 125,305
Orrstown Financial Service, Inc. 3,000 111,720
PacWest Bancorp 12,511 164,645
Pacific Capital Bancorp 24,962 53,419
Pacific Continental Corp. 6,300 76,419
Park National Corp. (b) 5,915 334,079
Peapack-Gladstone Financial Corp. 4,400 84,876
Penns Woods Bancorp, Inc. 1,900 55,366
Peoples Bancorp, Inc. 5,510 93,946
Peoples Financial Corp. 2,600 49,400
Pinnacle Financial Partners, Inc. (a) 12,900 171,828
Porter Bancorp, Inc. 2,000 30,300
5
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
PremierWest Bancorp 10,765 $ 36,493
PrivateBancorp, Inc. 18,996 422,471
Prosperity Bancshares, Inc. 24,500 730,835
Provident Financial Services, Inc. 31,958 290,818
Renasant Corp. 11,298 169,696
Republic Bancorp, Inc. Class A 4,854 109,652
Republic First Bancorp, Inc. (a) 4,800 37,440
Rockville Financial, Inc. 4,400 48,180
Roma Financial Corp. 4,200 53,508
S&T Bancorp, Inc. (b) 12,563 152,766
SCBT Financial Corp. 6,063 143,632
SVB Financial Group (a) 17,500 476,350
SY Bancorp, Inc. 5,730 138,494
Sandy Spring Bancorp, Inc. 8,714 128,096
Santander BanCorp (a) 1,903 13,245
Shore Bancshares, Inc. 4,300 77,142
Sierra Bancorp 3,900 49,257
Signature Bank (a) 18,800 509,856
Simmons First National Corp. Class A 7,400 197,728
Smithtown Bancorp, Inc. 7,500 95,925
The South Financial Group, Inc. 45,600 54,264
Southside Bancshares, Inc. 6,666 152,451
Southwest Bancorp, Inc. 7,700 75,152
State Bancorp, Inc. 7,700 58,212
StellarOne Corp. 12,100 156,695
Sterling Bancorp 9,716 81,129
Sterling Bancshares, Inc. 44,014 278,609
Sterling Financial Corp. 28,043 81,605
Suffolk Bancorp 5,100 130,764
Sun Bancorp, Inc. (a) 7,314 37,887
Susquehanna Bancshares, Inc. 46,156 225,703
Texas Capital Bancshares, Inc. (a) 19,561 302,609
Tompkins Trustco, Inc. 4,640 222,488
Tower Bancorp, Inc. 1,700 59,755
Towne Bank (b) 11,200 156,800
Trico Bancshares 7,278 112,809
TrustCo Bank Corp. NY 40,761 240,898
Trustmark Corp. (b) 31,227 603,306
UCBH Holdings, Inc. (b) 61,900 77,994
UMB Financial Corp. 17,152 651,948
Umpqua Holdings Corp. (b) 32,180 249,717
Union Bankshares Corp. 6,850 102,545
United Bankshares, Inc. (b) 20,800 406,432
United Community Banks, Inc. (b) 22,869 136,985
United Security Bancshares 3,600 78,840
Univest Corp. of Pennsylvania 6,650 134,729
6
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Washington Banking Co. 6,100 $ 57,462
Washington Trust Bancorp, Inc. 7,500 133,725
Webster Financial Corp. 27,700 222,985
WesBanco, Inc. 11,763 171,034
West Bancorp., Inc. 8,900 44,500
Westamerica Bancorp. (b) 15,583 773,073
Western Alliance Bancorp (a) 25,500 174,420
Wilber Corp. 2,700 29,970
Wilshire Bancorp, Inc. 10,300 59,225
Wintrust Financial Corp. 12,800 205,824
Yardkin Valley Financial Corp. 8,600 59,426
--------------
24,697,734
--------------
BANKS: SAVINGS, THRIFT & Abington Bancorp, Inc. 11,680 92,973
MORTGAGE LENDING- 1.1% Astoria Financial Corp. 46,700 400,686
Bank Mutual Corp. 25,338 220,947
BankFinancial Corp. 10,600 93,916
Beneficial Mutual Bancorp, Inc. (a) 17,200 165,120
Berkshire Hills Bancorp, Inc. 7,200 149,616
Brookline Bancorp, Inc. 32,687 304,643
Brooklyn Federal Bancorp, Inc. 2,400 27,000
Clifton Savings Bancorp, Inc. 4,600 49,496
Dime Community Bancshares, Inc. 14,949 136,185
Doral Financial Corp. (a) 2,900 7,250
ESB Financial Corp. 4,600 60,352
ESSA Bancorp, Inc. 8,300 113,461
First Defiance Financial Corp. 4,900 63,700
First Financial Holdings, Inc. 6,326 59,464
First Financial Northwest, Inc. 10,600 82,892
First Financial Service Corp. 2,600 45,266
Flagstar Bancorp, Inc. (a) 35,850 24,378
Flushing Financial Corp. 11,475 107,291
Fox Chase Bancorp, Inc. (a) 2,900 27,811
Great Southern Bancorp, Inc. 5,200 106,860
Heritage Financial Corp. 3,600 41,616
Heritage Financial Group 2,000 17,140
Home Bancorp, Inc. (a) 4,400 52,536
Home Federal Bancorp, Inc. 8,500 86,615
K Fed Bancorp 1,700 15,606
Kearny Financial Corp. 8,900 101,816
Kentucky First Federal Banco 2,500 30,375
Legacy Bancorp, Inc./MA 3,600 39,960
NewAlliance Bancshares, Inc. 56,800 653,200
Northfield Bancorp, Inc. 9,600 111,552
Northwest Bancorp, Inc. 8,967 169,118
OceanFirst Financial Corp. 4,900 58,653
Ocwen Financial Corp. (a) 19,565 253,758
7
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Oritani Financial Corp. 4,700 $ 64,437
Provident New York Bancorp 17,189 139,575
Prudential Bancorp, Inc. of Pennsylvania 2,900 34,249
United Financial Bancorp, Inc. 9,100 125,762
ViewPoint Financial Group 5,116 77,917
WSFS Financial Corp. 3,291 89,877
Waterstone Financial, Inc. (a) 3,000 8,910
Westfield Financial, Inc. 16,712 151,411
--------------
4,663,390
--------------
BEVERAGE: BREWERS &
DISTILLERS - 0.0% Boston Beer Co., Inc. Class A (a) 4,700 139,073
--------------
BEVERAGE: SOFT DRINKS - 0.1% Coca-Cola Bottling Co. Consolidated 2,287 126,082
Diedrich Coffee Inc. (a) 1,400 33,292
Farmer Bros. Co. 3,120 71,386
Heckmann Corp. (a) 44,400 166,500
National Beverage Corp. (a) 4,628 49,288
Peet's Coffee & Tea, Inc. (a) 5,800 146,160
--------------
592,708
--------------
BIOTECHNOLOGY - 4.2% AMAG Pharmaceuticals, Inc. (a)(c) 9,060 495,310
ARYx Therapeutics, Inc. (a) 10,200 42,126
AVI BioPharma, Inc. (a) 45,200 71,416
Accelrys, Inc. (a) 14,400 85,104
Acorda Therapeutics, Inc. (a) 20,300 572,257
Affymax, Inc. (a) 6,800 125,324
Albany Molecular Research, Inc. (a) 12,487 104,765
Allos Therapeutics, Inc. (a) 32,800 271,912
Alnylam Pharmaceuticals, Inc. (a)(b) 19,300 429,811
Amicus Therapeutics, Inc. (a) 8,900 101,905
Arena Pharmaceuticals, Inc. (a)(b) 42,800 213,572
Ariad Pharmaceuticals, Inc. (a) 46,419 73,806
Arqule, Inc. (a) 21,400 131,396
Array Biopharma, Inc. (a) 25,300 79,442
BioDelivery Sciences International Inc. (a) 6,000 40,020
BioMimetic Therapeutics, Inc. (a) 6,622 61,187
Biodel, Inc. (a) 8,600 44,376
Cardium Therapeutics, Inc. (a) 20,200 37,370
Celera Corp. (a) 43,200 329,616
Cell Therapeutics, Inc. (a) 244,200 420,024
Celldex Therapeutics, Inc. (a)(b) 4,800 37,536
Cepheid, Inc. (a) 31,000 292,020
Chelsea Therapeutics International, Inc. (a) 13,900 58,519
Clinical Data, Inc. (a) 6,098 67,200
Cornerstone Therapeutics, Inc. (a) 3,100 34,038
Cougar Biotechnology, Inc. (a) 8,000 343,680
8
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Cubist Pharmaceuticals, Inc. (a) 30,867 $ 565,792
Curis, Inc. (a) 31,000 49,290
Cypress Bioscience, Inc. (a) 20,400 192,168
Cytokinetics, Inc. (a) 20,000 56,600
Cytori Therapeutics, Inc. (a)(b) 14,500 52,345
Discovery Laboratories, Inc. (a) 69,600 71,688
Dyax Corp. (a) 31,400 67,196
Emergent Biosolutions, Inc. (a) 9,200 131,836
Enzo Biochem, Inc. (a) 16,995 75,288
Enzon Pharmaceuticals, Inc. (a)(b) 24,200 190,454
Exelixis, Inc. (a) 58,218 283,522
Facet Biotech Corp. (a) 12,680 117,797
GTx, Inc. (a)(b) 9,800 90,454
Genomic Health, Inc. (a) 7,300 126,509
Geron Corp. (a)(b) 47,629 365,314
Halozyme Therapeutics, Inc. (a) 33,400 232,798
Harvard Bioscience, Inc. (a) 15,000 59,250
Hemispherx Biopharma, Inc. (a) 61,700 156,718
Human Genome Sciences, Inc. (a) 72,900 208,494
Idenix Pharmaceuticals, Inc. (a) 13,300 48,944
Idera Pharmaceuticals, Inc. (a) 11,500 67,390
ImmunoGen, Inc. (a) 27,300 235,053
Immunomedics, Inc. (a) 32,100 81,534
Incyte Corp. (a) 39,824 131,021
Insmed, Inc. (a) 65,200 65,200
InterMune, Inc. (a)(b) 20,114 305,733
Kensey Nash Corp. (a) 4,400 115,324
Lexicon Genetics, Inc. (a) 42,700 52,948
Life Sciences Research, Inc. (a) 4,900 35,133
Ligand Pharmaceuticals, Inc. Class B (a) 62,700 179,322
MannKind Corp. (a)(b) 27,750 230,603
Martek Biosciences Corp. 17,700 374,355
Maxygen, Inc. (a) 13,201 88,711
Medarex, Inc. (a) 69,600 581,160
Medivation, Inc. (a) 15,600 349,596
Metabolix, Inc. (a) 10,100 83,022
Micromet, Inc. (a) 21,800 108,564
Molecular Insight Pharmaceuticals, Inc. (a) 9,100 47,047
Momenta Pharmaceuticals, Inc. (a) 19,500 234,585
Myriad Pharmaceuticals, Inc. (a) 12,675 58,939
NPS Pharmaceuticals, Inc. (a) 25,400 118,364
Nabi Biopharmaceuticals (a) 27,454 66,439
Nanosphere, Inc. (a) 5,500 27,005
Nektar Therapeutics (a) 49,500 320,760
Neurocrine Biosciences, Inc. (a) 20,900 67,507
Neurogesx, Inc. (a) 6,500 36,660
9
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Novavax, Inc. (a) 30,900 $ 101,352
OncoGenex Pharmaceutical, Inc. (a) 2,000 43,760
Onyx Pharmaceuticals, Inc. (a) 30,520 862,495
Opko Health, Inc. (a) 22,900 40,533
Orexigen Therapeutics, Inc. (a) 10,600 54,378
Osiris Therapeutics, Inc. (a)(b) 8,700 116,841
OxiGene, Inc. (a) 17,500 38,150
PDL BioPharma, Inc. 63,900 504,810
Pharmasset, Inc. (a) 10,700 120,375
Poniard Pharmaceuticals, Inc. (a) 13,700 81,789
Progenics Pharmaceuticals, Inc. (a) 14,300 73,645
Protalix BioTherapeutics, Inc. (a) 20,060 90,671
RTI Biologics, Inc. (a) 28,300 121,407
Regeneron Pharmaceuticals, Inc. (a) 33,519 600,660
Repligen Corp. (a) 16,400 90,200
Repros Therapeutics, Inc. (a) 4,500 32,355
Rigel Pharmaceuticals, Inc. (a) 19,670 238,400
Sangamo Biosciences, Inc. (a) 22,000 108,680
Savient Pharmaceuticals, Inc. (a) 32,528 450,838
Seattle Genetics, Inc. (a) 37,800 367,416
Sequenom, Inc. (a)(b) 31,800 124,338
StemCells, Inc. (a) 52,600 89,420
Sucampo Pharmaceuticals, Inc. Class A (a) 5,000 30,850
Synta Pharmaceuticals Corp. (a) 8,700 20,097
Theravance, Inc. (a) 28,500 417,240
Vanda Pharmaceuticals, Inc. (a) 13,900 163,603
ViroPharma, Inc. (a) 41,400 245,502
ZymoGenetics, Inc. (a) 19,700 90,620
--------------
17,088,589
--------------
BUILDING MATERIALS - 0.9% Acuity Brands, Inc. 22,160 621,588
Ameron International Corp. 4,900 328,496
BlueLinx Holdings, Inc. (a) 5,600 16,800
Builders FirstSource, Inc. (a)(b) 8,600 35,776
Gibraltar Industries, Inc. 14,434 99,162
Griffon Corp. (a) 22,355 185,994
Headwaters, Inc. (a) 22,646 76,091
LSI Industries, Inc. 10,012 54,565
Louisiana-Pacific Corp. (a) 55,500 189,810
NCI Building Systems, Inc. (a)(b) 10,568 27,900
Orion Energy Systems, Inc. (a) 8,900 33,375
Quanex Building Products Corp. 20,110 225,634
Simpson Manufacturing Co., Inc. (b) 20,832 450,388
Texas Industries, Inc. (b) 12,805 401,565
Trex Co., Inc. (a) 8,209 109,754
Watsco, Inc. 12,665 619,698
--------------
3,476,596
--------------
10
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
BUILDING: CLIMATE CONTROL - Aaon, Inc. 6,650 $ 132,468
0.2% Comfort Systems USA, Inc. 21,000 215,250
Interline Brands, Inc. (a) 17,400 238,032
--------------
585,750
--------------
BUILDING: ROOFING, WALLBOARD
& PLUMBING - 0.1% Beacon Roofing Supply, Inc. (a) 24,650 356,439
--------------
CABLE TELEVISION SERVICES - Knology, Inc. (a) 15,100 130,313
0.1% Mediacom Communications Corp. Class A (a) 21,100 107,821
--------------
238,134
--------------
CASINOS & GAMBLING - 0.5% Ameristar Casinos, Inc. 13,700 260,711
Bally Technologies, Inc. (a) 29,000 867,680
Dover Downs Gaming & Entertainment, Inc. 7,605 35,363
Isle of Capri Casinos, Inc. (a) 8,575 114,219
Lakes Entertainment, Inc. (a) 11,200 32,592
Monarch Casino & Resort, Inc. (a) 4,800 35,040
Multimedia Games, Inc. (a) 15,600 77,376
Pinnacle Entertainment, Inc. (a) 32,094 298,153
Shuffle Master, Inc. (a) 28,700 189,707
Youbet.com, Inc. (a) 14,700 48,510
--------------
1,959,351
--------------
CEMENT - 0.0% U.S. Concrete, Inc. (a) 17,800 35,244
--------------
CHEMICALS: DIVERSIFIED - 1.5% Aceto Corp. 13,200 88,044
American Vanguard Corp. 9,933 112,242
Arch Chemicals, Inc. 13,756 338,260
Balchem Corp. 9,800 240,296
Calgon Carbon Corp. (a) 29,701 412,547
Hawkins, Inc. 4,500 101,610
ICO, Inc. (a) 14,700 39,984
Innophos Holdings, Inc. 9,290 156,908
Innospec, Inc. 12,600 135,450
LSB Industries, Inc. (a) 9,200 148,764
Landec Corp. (a) 15,100 102,529
NewMarket Corp. 5,300 356,849
OM Group, Inc. (a) 16,300 473,026
Olin Corp. 41,314 491,223
Omnova Solutions, Inc. (a) 25,500 83,130
PolyOne Corp. (a) 49,367 133,785
Polypore International, Inc. (a) 12,700 141,224
Quaker Chemical Corp. 5,900 78,411
Rockwood Holdings, Inc. (a) 26,800 392,352
Schulman A, Inc. 11,906 179,900
Sensient Technologies Corp. 26,057 588,106
ShengdaTech, Inc. (a) 15,000 56,550
Solutia, Inc. (a) 49,385 284,458
11
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Stepan Co. 4,155 $ 183,485
W.R. Grace & Co. (a) 38,600 477,482
Westlake Chemical Corp. 10,300 210,017
Zep, Inc. 11,480 138,334
--------------
6,144,966
--------------
COAL - 0.2% International Coal Group, Inc. (a)(b) 46,300 132,418
James River Coal Co. (a) 14,800 223,924
Patriot Coal Corp. (a) 35,100 223,938
Westmoreland Coal Co. (a) 5,200 42,120
--------------
622,400
--------------
COMMERCIAL FINANCE & Financial Federal Corp. 14,200 291,810
MORTGAGE COMPANIES - 0.1% Medallion Financial Corp. 7,900 60,435
NewStar Financial, Inc. (a) 12,700 24,257
--------------
376,502
--------------
COMMERCIAL SERVICES - 3.3% ABM Industries, Inc. (c) 24,370 440,366
AMN Healthcare Services, Inc. (a) 17,805 113,595
APAC Customer Services, Inc. (a) 14,800 75,924
Administaff, Inc. 11,261 262,043
The Advisory Board Co. (a) 8,400 215,880
Barrett Business Services, Inc. 3,700 38,850
CBIZ, Inc. (a) 23,453 166,985
CDI Corp. 6,601 73,601
COMSYS IT Partners, Inc. (a) 7,700 45,045
CRA International, Inc. (a) 5,800 161,008
CoStar Group, Inc. (a) 10,650 424,616
Compass Diversified Holdings 12,500 101,125
Cornell Cos., Inc. (a) 5,800 94,018
Corporate Executive Board Co. 18,700 388,212
Cross Country Healthcare, Inc. (a) 16,500 113,355
Diamond Management & Technology Consultants, Inc. 11,600 48,720
Dice Holdings, Inc. (a) 7,800 36,270
DynCorp. International, Inc. (a) 13,000 218,270
ExlService Holdings, Inc. (a) 8,000 89,680
Exponent, Inc. (a) 7,304 179,021
First Advantage Corp. Class A (a) 5,400 82,134
Forrester Research, Inc. (a) 8,381 205,754
G&K Services, Inc. Class A 9,877 208,899
GP Strategies Corp. (a) 7,600 44,764
The Geo Group, Inc. (a) 27,300 507,234
Global Sources Ltd. (a) 8,597 61,984
Health Grades, Inc. (a) 11,600 45,356
Healthcare Services Group, Inc. 23,137 413,690
Heidrick & Struggles International, Inc. 9,058 165,309
Huron Consulting Group, Inc. (a) 11,500 531,645
ICF International, Inc. (a) 5,000 137,950
12
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
ICT Group, Inc. (a) 4,700 $ 41,031
Innodata Corp. (a) 13,000 56,940
inVentiv Health, Inc. (a) 17,900 242,187
Kelly Services, Inc. Class A 13,968 152,950
Kforce, Inc. (a) 15,800 130,666
Korn/Ferry International (a) 24,268 258,212
Liquidity Services, Inc. (a) 7,800 76,908
LoopNet, Inc. (a) 9,900 76,725
MAXIMUS, Inc. 9,404 387,915
MPS Group, Inc. (a) 49,405 377,454
Mac-Gray Corp. (a) 6,600 87,384
Navigant Consulting, Inc. (a) 26,423 341,385
On Assignment, Inc. (a) 19,000 74,290
PHH Corp. (a)(b) 29,064 528,384
Primoris Services Corp. 3,800 28,196
Resources Connection, Inc. (a) 24,032 412,629
Rollins, Inc. 23,453 405,971
SYKES Enterprises, Inc. (a) 18,561 335,768
Schawk, Inc. 8,000 60,080
Spherion Corp. (a) 27,729 114,243
Standard Parking Corp. (a) 4,000 65,160
Startek, Inc. (a) 7,200 57,744
TeleTech Holdings, Inc. (a) 16,789 254,353
Tetra Tech, Inc. (a) 32,031 917,688
TrueBlue, Inc. (a) 23,422 196,745
Unifirst Corp. 7,500 278,775
Viad Corp. 11,000 189,420
Volt Information Sciences, Inc. (a) 6,438 40,366
Watson Wyatt Worldwide, Inc. 22,715 852,494
World Fuel Services Corp. 15,800 651,434
--------------
13,384,800
--------------
COMMERCIAL SERVICES: Aircastle Ltd. 25,100 184,485
RENTAL & LEASING - 0.4% CAI International, Inc. (a) 4,800 24,480
Electro Rent Corp. 9,553 90,658
H&E Equipment Services, Inc. (a) 14,100 131,835
McGrath RentCorp 12,710 242,253
Mobile Mini, Inc. (a) 19,442 285,214
RSC Holdings, Inc. (a) 25,200 169,344
TAL International Group, Inc. 7,700 83,930
United Rentals, Inc. (a) 32,200 208,978
Willis Lease Finance Corp. (a) 3,100 40,672
--------------
1,461,849
--------------
13
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
COMMERCIAL VEHICLES & PARTS - Force Protection, Inc. (a) 37,400 $ 330,616
0.2% Miller Industries, Inc. (a) 5,800 51,040
Modine Manufacturing Co. 17,594 84,451
Spartan Motors, Inc. 17,200 194,876
--------------
660,983
--------------
COMMUNICATIONS TECHNOLOGY - 3Com Corp. (a) 209,800 988,158
3.4% AboveNet, Inc. (a) 3,300 267,234
Acme Packet, Inc. (a) 21,500 217,580
Adtran, Inc. 29,500 633,365
Airvana, Inc. (a) 11,200 71,344
Anaren, Inc. (a) 7,722 136,524
Anixter International, Inc. (a) 15,772 592,869
Aruba Networks, Inc. (a) 32,300 282,302
Avocent Corp. (a) 23,650 330,154
Bel Fuse, Inc. 5,459 87,562
BigBand Networks, Inc. (a) 17,500 90,475
Black Box Corp. 9,388 314,216
Comtech Telecommunications Corp. (a) 14,925 475,809
Digi International, Inc. (a) 13,200 128,700
DigitalGlobe, Inc. (a) 8,300 159,360
EMS Technologies, Inc. (a) 8,200 171,380
Echelon Corp. (a) 18,213 154,446
Emulex Corp. (a) 44,400 434,232
Extreme Networks, Inc. (a) 47,500 95,000
GSI Technology, Inc. (a) 8,700 33,582
GeoEye, Inc. (a) 9,900 233,244
Globecomm Systems, Inc. (a) 11,100 79,809
Harmonic, Inc. (a) 51,196 301,544
Harris Stratex Networks, Inc. Class A (a) 31,750 205,740
Hughes Communications, Inc. (a) 4,700 107,301
Infinera Corp. (a) 44,100 402,633
InterDigital, Inc. (a)(b) 23,700 579,228
Ixia (a) 15,429 103,991
KVH Industries, Inc. (a) 6,900 47,127
Loral Space & Communications Ltd. (a) 5,800 149,350
NETGEAR, Inc. (a) 18,500 266,585
Network Equipment Technologies, Inc. (a) 17,200 73,272
Novatel Wireless, Inc. (a) 16,700 150,634
Oplink Communications, Inc. (a) 10,902 124,283
PC-Tel, Inc. (a) 10,300 55,105
Plantronics, Inc. 25,899 489,750
Polycom, Inc. (a) 44,800 908,096
Power-One, Inc. (a) 41,200 61,388
Riverbed Technology, Inc. (a) 29,400 681,786
SeaChange International, Inc. (a) 16,200 130,086
Shoretel, Inc. (a) 22,009 176,072
14
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Sonus Networks, Inc. (a) 110,300 $ 177,583
Starent Networks Corp. (a)(b) 20,800 507,728
Switch and Data Facilities Co., Inc. (a) 10,800 126,684
Sycamore Networks, Inc. (a) 105,600 330,528
Syniverse Holdings, Inc. (a) 36,300 581,889
Tekelec (a) 35,400 595,782
Viasat, Inc. (a) 14,301 366,678
--------------
13,678,188
--------------
COMPUTER SERVICES SOFTWARE & 3PAR, Inc. (a) 14,300 177,320
SYSTEMS - 6.8% ACI Worldwide, Inc. (a)(c) 18,685 260,842
AMICAS, Inc. (a) 17,200 47,816
ActivIdentity Corp. (a) 27,600 69,828
Actuate Corp. (a) 23,900 114,242
Acxiom Corp. 36,000 317,880
American Reprographics Co. (a) 19,400 161,408
American Software Class A 12,100 69,696
ArcSight, Inc. (a) 10,200 181,254
Ariba, Inc. (a) 47,480 467,203
Art Technology Group, Inc. (a) 67,700 257,260
AsiaInfo Holdings, Inc. (a) 15,300 263,313
Avid Technology, Inc. (a) 15,800 211,878
Blackbaud, Inc. 23,426 364,274
Blackboard, Inc. (a) 16,800 484,848
Blue Coat Systems, Inc. (a) 20,900 345,686
Bottomline Technologies, Inc. (a) 14,200 127,942
CACI International, Inc. Class A (a) 15,900 679,089
CSG Systems International, Inc. (a) 18,800 248,912
Callidus Software, Inc. (a) 15,500 44,175
China Information Security Technology, Inc. (a) 14,400 41,184
China Transinfo Technology (a) 4,600 21,528
Chordiant Software, Inc. (a) 16,140 58,588
Ciber, Inc. (a) 38,802 120,286
ComScore, Inc. (a) 12,000 159,840
CommVault Systems, Inc. (a) 22,400 371,392
Compellent Technologies, Inc. (a) 9,400 143,350
Computer Task Group, Inc. (a) 9,200 56,120
Concur Technologies, Inc. (a) 21,000 652,680
DealerTrack Holdings, Inc. (a) 20,900 355,300
Delrek, Inc. (a) 5,329 23,128
DemandTec, Inc. (a) 10,700 94,160
Digital River, Inc. (a) 20,300 737,296
DivX, Inc. (a) 18,600 102,114
Double-Take Software, Inc. (a) 9,200 79,580
EPIQ Systems, Inc. (a) 16,717 256,606
EarthLink, Inc. (a) 57,400 425,334
15
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Ebix, Inc. (a) 3,600 $ 112,752
eLoyalty Corp. (a) 4,300 33,884
Entrust, Inc. (a) 29,000 52,490
Epicor Software Corp. (a) 24,000 127,200
ePlus, Inc. (a) 1,700 24,769
FalconStor Software, Inc. (a) 18,909 89,818
GSE Systems, Inc. (a) 9,100 61,425
GSI Commerce, Inc. (a) 13,300 189,525
Gartner, Inc. Class A (a) 31,679 483,422
The Hackett Group, Inc. (a) 20,600 47,998
i2 Technologies, Inc. (a) 8,300 104,165
iGate Corp. 11,600 76,792
Imergent, Inc. 3,500 24,500
infoGROUP, Inc. 17,361 99,131
Informatica Corp. (a) 46,600 801,054
Infospace, Inc. (a) 18,700 123,981
Integral Systems, Inc. (a) 8,882 73,898
Interactive Intelligence, Inc. (a) 6,700 82,142
Internap Network Services Corp. (a) 27,090 94,544
Internet Brands, Inc. Class A (a) 15,500 108,500
Internet Capital Group, Inc. (a) 19,600 131,908
JDA Software Group, Inc. (a) 14,108 211,056
Kenexa Corp. (a) 12,000 138,840
Keynote Systems, Inc. (a) 6,600 50,424
Lawson Software, Inc. (a) 72,700 405,666
Limelight Networks, Inc. (a) 15,200 66,880
Lionbridge Technologies, Inc. (a) 34,300 63,112
LivePerson, Inc. (a) 20,800 83,200
MSC.Software Corp. (a) 24,300 161,838
Manhattan Associates, Inc. (a) 12,739 232,105
Mantech International Corp. Class A (a) 11,600 499,264
Mentor Graphics Corp. (a) 51,500 281,705
Mercury Computer Systems, Inc. (a) 12,156 112,443
MicroStrategy, Inc. Class A (a) 4,800 241,056
Moduslink Global Solutions, Inc. (a) 24,480 167,933
Monotype Imaging Holdings, Inc. (a) 12,600 85,806
NCI, Inc. Class A (a) 3,400 103,428
NIC, Inc. 27,900 188,883
Ness Technologies, Inc. (a) 20,700 80,937
NetScout Systems, Inc. (a) 12,500 117,250
NetSuite, Inc. (a) 8,500 100,385
Omniture, Inc. (a) 36,102 453,441
OpenTV Corp. (a) 45,300 59,796
OpenTable, Inc. (a) 1,500 45,255
Openwave Systems, Inc. (a) 47,200 105,728
Opnet Technologies, Inc. 6,622 60,658
PAR Technology Corp. (a) 4,200 26,838
16
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
PROS Holdings, Inc. (a) 9,700 $ 78,764
Parametric Technology Corp. (a) 61,660 720,805
Pegasystems, Inc. 7,900 208,402
Perficient, Inc. (a) 15,300 106,947
Perot Systems Corp. Class A (a) 47,100 674,943
Pervasive Software Inc. (a) 7,500 45,675
Phoenix Technologies Ltd. (a) 15,600 42,276
Progress Software Corp. (a) 21,708 459,558
QAD, Inc. 6,200 20,150
Quest Software, Inc. (a) 34,800 485,112
Rackspace Hosting, Inc. (a) 35,200 487,872
Radiant Systems, Inc. (a) 14,700 122,010
RealNetworks, Inc. (a) 45,000 134,550
RightNow Technologies, Inc. (a) 11,100 130,980
SAVVIS, Inc. (a) 19,680 225,533
SPSS, Inc. (a) 9,789 326,659
SRA International, Inc. Class A (a) 22,300 391,588
SYNNEX Corp. (a) 10,100 252,399
Saba Software, Inc. (a) 12,000 46,200
Sapient Corp. (a) 45,992 289,290
Smith Micro Software, Inc. (a) 14,500 142,390
SolarWinds, Inc. (a) 6,200 102,238
Solera Holdings, Inc. (a) 37,000 939,800
SonicWALL, Inc. (a) 28,741 157,501
Sourcefire, Inc. (a) 12,285 152,211
Stanley, Inc. (a) 6,400 210,432
SuccessFactors, Inc. (a) 19,400 178,092
SumTotal Systems, Inc. (a) 15,800 75,998
Support.com Inc. (a) 24,800 54,064
Synchronoss Technologies, Inc. (a) 10,700 131,289
Syntel, Inc. 6,783 213,258
TIBCO Software, Inc. (a) 95,400 684,018
TNS, Inc. (a) 13,400 251,250
Taleo Corp. Class A (a) 17,100 312,417
TechTarget, Inc. (a) 6,200 24,800
TeleCommunication Systems, Inc. Class A (a) 20,000 142,200
Terremark Worldwide, Inc. (a) 26,460 152,939
Tier Technologies, Inc. Class B (a) 8,800 67,584
Tyler Technologies, Inc. (a) 16,100 251,482
Ultimate Software Group, Inc. (a) 13,000 315,120
Unica Corp. (a) 6,600 36,168
Unisys Corp. (a) 200,100 302,151
United Online, Inc. 44,028 286,622
VASCO Data Security International, Inc. (a) 14,300 104,533
VeriFone Holdings, Inc. (a) 39,400 295,894
Vignette Corp. (a) 12,980 170,687
17
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Virtusa Corp. (a) 6,500 $ 52,195
Web.Com Group, Inc. (a) 15,000 84,450
Websense, Inc. (a) 23,702 422,844
Wind River Systems, Inc. (a) 36,500 418,290
Zix Corp. (a) 31,200 46,800
--------------
27,710,607
--------------
COMPUTER TECHNOLOGY - 1.2% Adaptec, Inc. (a) 65,100 172,515
Cray, Inc. (a) 17,700 139,476
Data Domain, Inc. (a) 25,200 840,420
Dynamics Research Corp. (a) 4,200 42,042
Imation Corp. 15,900 120,999
Immersion Corp. (a) 15,000 74,100
Intermec, Inc. (a) 33,209 428,396
Isilon Systems, Inc. (a) 13,100 55,544
Netezza Corp. (a) 26,000 216,320
Palm, Inc. (a)(b) 73,388 1,216,039
Quantum Corp. (a) 103,800 86,154
Radisys Corp. (a) 12,442 112,102
Rimage Corp. (a) 5,000 83,050
STEC, Inc. (a)(b) 12,900 299,151
Safeguard Scientifics, Inc. (a) 54,800 72,336
Silicon Graphics International Corp. (a) 15,800 71,732
Stratasys, Inc. (a) 10,900 119,791
Super Micro Computer, Inc. (a) 11,400 87,324
Synaptics, Inc. (a)(b) 18,300 707,295
--------------
4,944,786
--------------
CONSTRUCTION - 0.6% EMCOR Group, Inc. (a) 35,272 709,673
Granite Construction, Inc. 18,237 606,927
Great Lakes Dredge & Dock Corp. 19,800 94,644
Insituform Technologies, Inc. Class A (a) 20,738 351,924
Orion Marine Group, Inc. (a) 11,500 218,500
Sterling Construction Co., Inc. (a) 7,600 115,976
Tutor Perini Corp. (a) 13,400 232,624
--------------
2,330,268
--------------
CONSUMER ELECTRONICS - 0.2% Audiovox Corp. Class A (a) 9,185 53,824
Ipass, Inc. (a) 24,400 39,040
TiVo, Inc. (a) 55,794 584,721
Universal Electronics, Inc. (a) 7,386 148,976
--------------
826,561
--------------
CONSUMER LENDING - 0.5% Advance America, Cash Advance Centers, Inc. 22,600 100,118
Asset Acceptance Capital Corp. (a) 7,900 60,751
Cash America International, Inc. 16,119 377,023
Credit Acceptance Corp. (a) 3,162 69,090
Dollar Financial Corp. (a) 12,700 175,133
Encore Capital Group, Inc. (a) 7,200 95,400
18
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
First Cash Financial Services, Inc. (a) 12,700 $ 222,504
The First Marblehead Corp. (a) 33,000 66,660
MGIC Investment Corp. 68,500 301,400
MoneyGram International, Inc. (a) 41,400 73,692
Nelnet, Inc. Class A (a) 9,900 134,541
Portfolio Recovery Associates, Inc. (a)(b) 8,400 325,332
QC Holdings, Inc. 2,900 14,906
Tree.com, Inc. (a) 3,000 28,800
World Acceptance Corp. (a) 8,700 173,217
--------------
2,218,567
--------------
CONSUMER SERVICES: Coinstar, Inc. (a) 15,992 426,986
MISCELLANEOUS - 0.6% Core-Mark Holdings Co., Inc. (a) 5,000 130,300
Jackson Hewitt Tax Service, Inc. 15,200 95,152
The Knot, Inc. (a) 15,800 124,504
Mercadolibre, Inc. (a) 13,800 370,944
Move, Inc. (a) 85,400 184,464
Nutri/System, Inc. 16,400 237,800
Pre-Paid Legal Services, Inc. (a) 4,160 181,334
Sotheby's Holdings, Inc. Class A (b) 35,836 505,646
Steiner Leisure Ltd. (a) 7,900 241,187
--------------
2,498,317
--------------
CONTAINERS & PACKAGING - 0.5% AEP Industries, Inc. (a) 2,700 71,253
Bway Holding Co. (a) 4,000 70,120
Graphic Packaging Holding Co. (a) 56,300 103,029
Myers Industries, Inc. 16,852 140,209
Rock-Tenn Co. Class A 20,480 781,517
Silgan Holdings, Inc. 14,300 701,129
--------------
1,867,257
--------------
COSMETICS - 0.1% Bare Escentuals, Inc. (a) 36,100 320,207
Elizabeth Arden, Inc. (a) 12,893 112,556
Inter Parfums, Inc. 7,450 54,683
Revlon, Inc., Class A (a) 9,600 52,224
--------------
539,670
--------------
DIVERSIFIED FINANCIAL American Physicians Service Group, Inc. 3,200 72,608
SERVICES - 0.5% Broadpoint Gleacher Securities, Inc. (a) 20,400 113,832
Cheviot Financial Corp. 1,100 8,800
CompuCredit Corp. (a)(b) 8,689 19,985
Duff & Phelps Corp. 9,000 160,020
Evercore Partners, Inc. Class A 5,200 102,128
FBR Capital Markets Corp. (a) 7,700 36,190
FCStone Group, Inc. (a) 14,200 56,090
First California Financial Group (a) 2,400 14,808
Main Street Capital Corp. 3,500 47,915
Piper Jaffray Cos. (a) 10,500 458,535
19
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Rewards Network, Inc. (a) 11,800 $ 44,604
Sanders Morris Harris Group, Inc. 9,600 52,800
Stifel Financial Corp. (a) 14,549 699,661
Thomas Weisel Partners Group, Inc. (a) 10,600 63,812
Triangle Capital Corp. 4,600 50,232
--------------
2,002,020
--------------
DIVERSIFIED MANUFACTURING A.M. Castle & Co. 8,700 105,096
OPERATIONS - 0.2% Barnes Group, Inc. 25,014 297,416
Federal Signal Corp. 26,059 199,351
Raven Industries, Inc. 8,600 220,160
Standex International Corp. 6,631 76,920
Trimas Corp. (a) 7,900 26,623
--------------
925,566
--------------
DIVERSIFIED MATERIALS & Belden, Inc. 24,861 415,179
PROCESSING - 1.0% Brady Corp. 26,094 655,481
Cabot Microelectronics Corp. (a) 12,500 353,625
Clarcor, Inc. 27,210 794,260
Encore Wire Corp. 9,750 208,163
Fushi Copperweld, Inc. (a) 8,000 66,160
GenTek, Inc. (a) 4,500 100,485
Hexcel Corp. (a) 51,262 488,527
Insteel Industries, Inc. 9,300 76,632
Koppers Holdings, Inc. 10,900 287,433
NL Industries, Inc. 3,634 26,819
Rogers Corp. (a) 8,555 173,068
Symyx Technologies, Inc. (a) 18,179 106,347
Tredegar Corp. 15,545 207,059
Uranium Energy Corp. (a) 26,800 77,720
Zapata Corp. (a) 4,300 29,283
--------------
4,066,241
--------------
DIVERSIFIED MEDIA - 0.0% Belo Corp. Class A 47,200 84,488
EW Scripps Co. 13,200 27,588
Playboy Enterprises, Inc. Class B (a) 11,907 29,887
--------------
141,963
--------------
DIVERSIFIED RETAIL - 3.9% 1-800-FLOWERS.COM, Inc. Class A (a) 14,024 26,926
99 Cents Only Stores (a) 25,100 340,858
America's Car Mart, Inc. (a) 5,300 108,650
AnnTaylor Stores Corp. (a) 32,200 256,956
Asbury Automotive Group, Inc. 16,900 173,056
bebe Stores, Inc. 11,700 80,496
Big 5 Sporting Goods Corp. 11,600 128,296
Blue Nile, Inc. (a) 7,000 300,930
Books-A-Million, Inc. 3,100 22,041
Borders Group, Inc. (a) 24,100 88,688
Brown Shoe Co., Inc. 22,427 162,371
The Buckle, Inc. (b) 13,509 429,181
20
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Build-A-Bear Workshop, Inc. (a) 8,900 $ 39,783
Cabela's, Inc. Class A (a) 21,000 258,300
The Cato Corp. Class A 14,795 258,025
Central Garden & Pet Co. Class A (a) 33,234 327,355
Charlotte Russe Holding, Inc. (a) 11,200 144,256
Charming Shoppes, Inc. (a) 61,740 229,673
The Children's Place Retail Stores, Inc. (a) 12,585 332,622
Christopher & Banks Corp. 19,228 129,020
Citi Trends, Inc. (a) 7,900 204,452
Coldwater Creek, Inc. (a) 30,400 184,224
Collective Brands, Inc. (a) 34,300 499,751
Conn's, Inc. (a)(b) 5,200 65,000
DSW, Inc. Class A (a) 7,100 69,935
Destination Maternity Corp. (a) 2,900 48,372
Dillard's, Inc. Class A (b) 26,700 245,640
Dress Barn, Inc. (a) 23,990 343,057
drugstore.com, Inc. (a) 45,800 83,356
Ezcorp, Inc. (a) 24,200 260,876
The Finish Line, Inc. Class A 22,580 167,544
Fred's, Inc. 21,435 270,081
Gaiam, Inc. (a) 9,567 52,331
Gander Mountain Co. (a) 2,100 12,600
Genesco, Inc. (a) 10,238 192,167
Group 1 Automotive, Inc. 12,632 328,685
Gymboree Corp. (a) 15,558 551,998
HSN, Inc. (a) 20,900 220,913
Haverty Furniture Cos., Inc. 9,436 86,339
hhgregg, Inc. (a) 5,900 89,444
Hibbett Sports, Inc. (a) 15,275 274,950
Hot Topic, Inc. (a) 23,481 171,646
Insight Enterprises, Inc. (a) 24,798 239,549
Jo-Ann Stores, Inc. (a) 14,505 299,818
Jos. A. Bank Clothiers, Inc. (a) 9,733 335,399
Lawson Products, Inc. 2,188 31,091
Lithia Motors, Inc. Class A 9,800 90,552
Lumber Liquidators, Inc. (a) 8,200 129,232
Men's Wearhouse, Inc. 28,200 540,876
Midas, Inc. (a) 7,542 79,040
Monro Muffler, Inc. 8,950 230,105
New York & Co. (a) 12,300 38,007
Nu Skin Enterprises, Inc. Class A 26,426 404,318
OfficeMax, Inc. 40,100 251,828
Overstock.com, Inc. (a) 8,400 100,464
PC Connection, Inc. (a) 4,700 24,675
PC Mall, Inc. (a) 6,100 41,236
Pacific Sunwear of California, Inc. (a) 35,400 119,298
21
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
The Pep Boys - Manny, Moe & Jack 25,566 $ 259,239
PetMed Express, Inc. (a) 12,500 187,875
Pier 1 Imports, Inc. (a) 43,599 86,762
PriceSmart, Inc. 9,000 150,750
Regis Corp. 23,200 403,912
Retail Ventures, Inc. (a) 13,300 28,994
Rex Stores Corp. (a) 3,900 39,234
Rush Enterprises, Inc. Class A (a) 17,600 205,040
Saks, Inc. (a) 65,100 288,393
Sally Beauty Co., Inc. (a) 50,100 318,636
School Specialty, Inc. (a) 10,054 203,191
Shoe Carnival, Inc. (a) 4,700 56,071
Shutterfly, Inc. (a) 11,500 160,425
Sonic Automotive, Inc. 14,000 142,240
Sport Supply Group, Inc. 4,400 37,796
Stage Stores, Inc. 20,250 224,775
Stamps.com, Inc. (a) 7,303 61,929
Stein Mart, Inc. (a) 13,424 118,937
Syms Corp. (a) 3,300 24,783
Systemax, Inc. (a) 5,100 60,741
The Talbots, Inc. 13,000 70,200
Ticketmaster Entertainment (a) 19,600 125,832
Titan Machinery, Inc. (a) 7,000 88,830
Tractor Supply Co. (a) 19,100 789,212
Tuesday Morning Corp. (a) 15,990 53,886
Tween Brands, Inc. (a) 13,466 89,953
Ulta Salon Cosmetics & Fragrance, Inc. (a) 14,800 164,576
The Wet Seal, Inc. Class A (a) 50,500 155,035
Zale Corp. (a)(b) 10,700 36,808
Zumiez, Inc. (a) 10,400 83,304
--------------
15,933,691
--------------
DRUG & GROCERY STORE Arden Group, Inc. Class A 532 66,553
CHAINS - 0.7% Casey's General Stores, Inc. 27,507 706,655
The Great Atlantic & Pacific Tea Co., Inc. (a) 18,027 76,615
Ingles Markets, Inc. Class A 6,764 103,083
Nash Finch Co. 6,877 186,092
The Pantry, Inc. (a) 12,000 199,200
Ruddick Corp. 22,869 535,821
Spartan Stores, Inc. 11,900 147,679
Susser Holdings Corp. (a) 4,100 45,879
Village Super Market, Inc. Class A 3,300 98,175
Weis Markets, Inc. 5,900 197,768
Winn-Dixie Stores, Inc. (a) 29,600 371,184
--------------
2,734,704
--------------
22
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
EDUCATION SERVICES - 0.7% Ambassadors Group, Inc. 10,000 $ 137,700
American Public Education, Inc. (a) 9,600 380,256
Bridgepoint Education, Inc. (a) 7,800 132,600
Capella Education Co. (a) 7,700 461,615
Chinacast Education Corp. (a) 16,600 118,192
Corinthian Colleges, Inc. (a)(b) 42,300 716,139
Franklin Covey Co. (a) 7,900 49,217
Grand Canyon Education, Inc. (a) 8,200 137,596
K12, Inc. (a)(b) 12,400 267,220
Learning Tree International, Inc. (a) 4,500 46,350
Lincoln Educational Services Corp. (a) 5,000 104,650
Nobel Learning Communities, Inc. (a) 2,900 33,263
The Princeton Review, Inc. (a) 7,700 41,657
Renaissance Learning, Inc. 2,549 23,476
Rosetta Stone, Inc. (a) 3,600 98,784
Universal Technical Institute, Inc. (a) 11,300 168,709
--------------
2,917,424
--------------
ELECTRONIC COMPONENTS - 0.6% 3D Systems Corp. (a) 9,400 67,774
Acacia Research - Acacia Technologies (a) 16,500 129,855
Checkpoint Systems, Inc. (a) 20,823 326,713
Cogent, Inc. (a) 22,500 241,425
Methode Electronics, Inc. 20,180 141,664
Microvision, Inc. (a)(b) 37,100 113,897
Multi-Fineline Electronix, Inc. (a) 5,100 109,140
NVE Corp. (a) 2,500 121,500
Park Electrochemical Corp. 10,949 235,732
ScanSource, Inc. (a) 14,200 348,184
Smart Modular Technologies WWH, Inc. (a) 19,600 44,492
TTM Technologies, Inc. (a) 23,100 183,876
Technitrol, Inc. 21,961 142,088
Universal Display Corp. (a)(b) 15,207 148,724
--------------
2,355,064
--------------
ELECTRONIC ENTERTAINMENT - DTS, Inc. (a) 9,300 251,751
0.2% Memsic, Inc. (a) 10,200 43,248
THQ, Inc. (a) 36,137 258,741
Take-Two Interactive Software, Inc. 42,500 402,475
--------------
956,215
--------------
ELECTRONICS - 0.5% Agilysys, Inc. 6,763 31,650
American Science & Engineering, Inc. 4,900 338,688
CPI International, Inc. (a) 3,900 33,891
Coherent, Inc. (a) 11,200 231,616
Daktronics, Inc. (b) 17,898 137,815
II-VI, Inc. (a) 13,220 293,087
IPG Photonics Corp. (a) 12,000 131,640
iRobot Corp. (a) 10,100 131,098
23
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Newport Corp. (a) 19,335 $ 111,950
Rofin-Sinar Technologies, Inc. (a) 15,500 310,155
SRS Labs Inc. (a) 5,500 36,575
Spectrum Control, Inc. (a) 6,200 54,560
--------------
1,842,725
--------------
ENERGY EQUIPMENT - 0.2% Ascent Solar Technologies, Inc. (a)(b) 7,800 60,996
Energy Conversion Devices, Inc. (a)(b) 24,864 351,826
Evergreen Solar, Inc. (a)(b) 103,200 223,944
FuelCell Energy, Inc. (a)(b) 36,026 150,589
GT Solar International, Inc. (a) 15,900 84,588
PowerSecure International, Inc. (a) 9,200 39,192
Raser Technologies, Inc. (a)(b) 27,100 75,880
--------------
987,015
--------------
ENGINEERING & CONTRACTING Argan, Inc. (a) 4,500 63,585
SERVICES - 0.3% Dycom Industries, Inc. (a) 21,102 233,599
ENGlobal Corp. (a) 8,700 42,804
Furmamite Corp. (a) 19,200 85,632
Hill International, Inc. (a) 13,300 57,190
Integrated Electrical Services, Inc. (a) 3,700 28,897
Layne Christensen Co. (a) 10,400 212,680
MYR Group, Inc. (a) 9,000 181,980
Michael Baker Corp. (a) 4,200 177,912
VSE Corp. 2,100 54,936
--------------
1,139,215
--------------
ENTERTAINMENT - 0.3% Ascent Media Corp. Class A (a) 7,400 196,692
CKX, Inc. (a) 32,000 226,880
Carmike Cinemas, Inc. 5,400 45,252
Cinemark Holdings, Inc. 17,900 202,628
Live Nation, Inc. (a) 43,900 213,354
LodgeNet Interactive Corp. (a) 9,900 33,660
Reading International, Inc. Class A (a) 10,800 49,140
Rentrak Corp. (a) 4,800 78,864
World Wrestling Entertainment, Inc. 11,196 140,622
--------------
1,187,092
--------------
FINANCIAL DATA & SYSTEMS - Advent Software, Inc. (a) 8,600 281,994
1.2% Bankrate, Inc. (a)(b) 6,700 169,108
Cardtronics, Inc. (a) 6,900 26,289
Cass Information Systems, Inc. 4,615 151,095
CyberSource Corp. (a) 37,364 571,669
Euronet Worldwide, Inc. (a) 25,850 501,232
Fair Isaac Corp. 26,100 403,506
Global Cash Access, Inc. (a) 21,100 167,956
Heartland Payment Systems, Inc. 20,800 199,056
Information Services Group, Inc. (a) 11,600 34,916
Jack Henry & Associates, Inc. 45,400 942,050
24
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Net 1 UEPS Technologies, Inc. (a) 19,900 $ 270,441
Online Resources Corp. (a) 13,600 84,864
RiskMetrics Group, Inc. (a) 11,300 199,558
S1 Corp. (a) 28,222 194,732
Value Line, Inc. 300 9,861
Wright Express Corp. (a) 20,400 519,588
--------------
4,727,915
--------------
FOODS - 1.2% American Dairy, Inc. (a) 4,400 174,504
American Italian Pasta Co. Class A (a) 11,100 323,454
B&G Foods, Inc. Class A 10,800 90,828
China Biotics, Inc. (a) 3,500 37,730
Chiquita Brands International, Inc. (a) 24,500 251,370
Diamond Foods, Inc. 9,100 253,890
Hain Celestial Group, Inc. (a) 21,757 339,627
J&J Snack Foods Corp. 7,400 265,660
Lancaster Colony Corp. 10,599 467,098
Lance, Inc. 15,300 353,889
Lifeway Foods, Inc. (a) 2,100 27,090
Medifast, Inc. (a) 6,500 74,490
Nutraceutical International Corp. (a) 5,400 56,106
Omega Protein Corp. (a) 10,000 40,600
Overhill Farms, Inc. (a) 9,600 50,592
Schiff Nutrition International, Inc. (a) 5,700 29,013
Seneca Foods Corp. (a) 3,300 110,286
Smart Balance, Inc. (a) 33,500 228,135
Synutra International, Inc. (a)(b) 10,300 113,300
Tootsie Roll Industries, Inc. (b) 12,957 293,994
TreeHouse Foods, Inc. (a) 16,700 480,459
United Natural Foods, Inc. (a) 23,280 611,100
Zhongpin, Inc. (a) 10,400 107,744
--------------
4,780,959
--------------
FOREST PRODUCTS - 0.1% Deltic Timber Corp. 5,709 202,498
Universal Forest Products, Inc. 10,434 345,261
--------------
547,759
--------------
FORMS & BULK PRINTING Bowne & Co., Inc. 15,480 100,775
SERVICES - 0.2% Consolidated Graphics, Inc. (a) 5,200 90,584
Deluxe Corp. 27,300 349,713
Ennis, Inc. 13,500 168,210
Innerworkings, Inc. (a) 12,100 57,475
M&F Worldwide Corp. (a) 6,100 122,000
Multi-Color Corp. 5,150 63,139
The Standard Register Co. 8,845 28,835
--------------
980,731
--------------
FUNERAL PARLORS & CEMETERIES - Matthews International Corp. Class A 16,273 506,416
0.2% Stewart Enterprises, Inc. Class A 43,924 211,714
--------------
718,130
--------------
25
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
GAS PIPELINES - 0.0% Crosstex Energy, Inc. 21,600 $ 89,856
--------------
GLASS - 0.0% Apogee Enterprises, Inc. 15,200 186,960
--------------
GOLD - 0.2% Allied Nevada Gold Corp. (a) 23,500 189,410
Coeur d'Alene Mines Corp. (a) 37,270 458,421
US Gold Corp. (a) 45,300 119,592
--------------
767,423
--------------
HEALTH CARE FACILITIES - 0.6% Amsurg Corp. (a) 16,500 353,760
Assisted Living Concepts, Inc. (a) 5,340 77,697
Capital Senior Living Corp. (a) 11,200 50,960
Emeritus Corp. (a) 10,500 138,705
The Ensign Group, Inc. 5,531 78,706
Hanger Orthopedic Group, Inc. (a) 12,900 175,311
Kindred Healthcare, Inc. (a) 21,390 264,594
LCA-Vision, Inc. (a) 10,400 43,888
MedCath Corp. (a) 7,900 92,904
National Healthcare Corp. 4,000 151,760
Psychiatric Solutions, Inc. (a) 30,000 682,200
Skilled Healthcare Group, Inc. Class A (a) 9,600 72,000
Sun Healthcare Group, Inc. (a) 23,300 196,652
Sunrise Senior Living, Inc. (a) 23,874 39,392
US Physical Therapy, Inc. (a) 6,300 92,925
--------------
2,511,454
--------------
HEALTH CARE MANAGEMENT AMERIGROUP Corp. (a) 28,100 754,485
SERVICES - 1.0% American Caresource Holdings, Inc. (a) 5,400 20,196
American Dental Partners, Inc. (a) 6,500 58,955
Bioscript, Inc. (a) 23,700 140,304
Catalyst Health Solutions, Inc. (a) 19,400 483,836
Centene Corp. (a) 23,000 459,540
Computer Programs & Systems, Inc. 5,100 195,381
Contiucare Corp. (a) 14,000 32,620
HealthSpring, Inc. (a) 26,200 284,532
Magellan Health Services, Inc. (a) 18,900 620,298
MedQuist Inc. 4,100 24,928
Metropolitan Health Networks, Inc. (a) 24,800 49,848
Molina Healthcare, Inc. (a) 7,200 172,224
National Research Corp. 700 17,080
Transcend Services, Inc. (a) 3,100 49,135
Triple-S Management Corp. (a) 11,400 177,726
Universal American Financial Corp. (a) 13,700 119,464
WellCare Health Plans, Inc. (a) 22,400 414,176
--------------
4,074,728
--------------
HEALTH CARE SERVICES - 1.8% Air Methods Corp. (a) 5,800 158,688
Alliance Healthcare Services, Inc. (a) 13,400 98,222
Allied Healthcare International, Inc. (a) 27,200 59,024
Almost Family, Inc. (a) 3,800 99,218
Amedisys, Inc. (a)(b) 14,466 477,667
26
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
athenahealth, Inc. (a)(b) 18,100 $ 669,881
CardioNet, Inc. (a) 12,500 204,000
Chemed Corp. 12,072 476,603
Corvel Corp. (a) 3,985 90,738
Eclipsys Corp. (a) 30,031 533,951
Emergency Medical Services Corp. (a) 5,300 195,146
Gentiva Health Services, Inc. (a) 15,212 250,390
HMS Holdings Corp. (a) 13,700 557,864
HealthSouth Corp. (a) 47,200 681,568
Healthways, Inc. (a) 18,400 247,480
IPC The Hospitalist Co., Inc. (a) 8,500 226,865
LHC Group, Inc. (a) 8,100 179,901
Novamed Eyecare, Inc. (a) 9,500 37,525
Odyssey HealthCare, Inc. (a) 17,600 180,928
Omnicell, Inc. (a) 16,900 181,675
PharMerica Corp. (a) 16,269 319,360
Phase Forward, Inc. (a) 23,500 355,085
Quality Systems, Inc. (b) 12,800 729,088
RehabCare Group, Inc. (a) 9,795 234,394
Res-Care, Inc. (a) 13,500 193,050
Virtual Radiologic Corp. (a) 3,400 30,702
--------------
7,469,013
--------------
HEALTH CARE: MISCELLANEOUS - MedAssets, Inc. (a) 20,900 406,505
0.1% The Providence Service Corp. (a) 6,700 73,365
--------------
479,870
--------------
HOME BUILDING - 0.2% Beazer Homes USA, Inc. (a)(b) 19,400 35,502
Brookfield Homes Corp. (b) 5,151 20,604
Hovnanian Enterprises, Inc. Class A (a)(b) 27,200 64,192
M/I Homes, Inc. (a) 8,900 87,131
Meritage Homes Corp. (a) 16,800 316,848
Ryland Group, Inc. 23,400 392,184
Standard-Pacific Corp. (a) 53,700 109,011
--------------
1,025,472
--------------
HOTEL/MOTEL - 0.2% Gaylord Entertainment Co. (a)(b) 17,955 228,208
Marcus Corp. 10,679 112,343
Morgans Hotel Group Co. (a) 12,300 47,109
Orient Express Hotels Ltd. Class A 40,500 343,845
Red Lion Hotels Corp. (a) 8,600 41,280
--------------
772,785
--------------
HOUSEHOLD APPLIANCE - 0.0% National Presto Industries, Inc. 2,550 194,055
--------------
27
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
HOUSEHOLD EQUIPMENT &
PRODUCTS - 0.3% American Greetings Corp. Class A 22,400 $ 261,632
Blyth, Inc. 3,225 105,748
CSS Industries, Inc. 3,991 81,337
Nivs Intellimedia Technology (a) 2,900 8,584
Tupperware Corp. 33,274 865,789
--------------
1,323,090
--------------
HOUSEHOLD FURNISHINGS - 0.3% American Woodmark Corp. 5,600 134,120
Ethan Allen Interiors, Inc. (b) 13,100 135,716
Furniture Brands International, Inc. 22,200 67,266
Hooker Furniture Corp. 5,400 61,992
Kirkland's, Inc. (a) 7,300 87,673
La-Z-Boy, Inc. 27,500 129,800
Sealy Corp. (a) 23,500 46,060
Stanley Furniture Co., Inc. 5,100 55,029
Tempur-Pedic International, Inc. (b) 40,100 524,107
--------------
1,241,763
--------------
INSURANCE: LIFE - 0.4% American Equity Investment Life Holding Co. 28,700 160,146
Citizens, Inc. (a)(b) 16,600 100,928
Conseco, Inc. (a) 101,800 241,266
Delphi Financial Group, Inc. Class A 23,005 446,987
FBL Financial Group, Inc. Class A 6,925 57,201
Independence Holding Co. 1,640 10,430
Kansas City Life Insurance Co. 2,242 60,332
Life Partners Holdings, Inc. (b) 3,900 55,302
National Western Life Insurance Co. Class A 1,188 138,699
The Phoenix Cos., Inc. (a) 61,800 103,206
Presidential Life Corp. 11,093 83,974
--------------
1,458,471
--------------
INSURANCE: MULTI-LINE - 0.8% AMBAC Financial Group, Inc. (b) 153,700 141,404
Assured Guaranty Ltd. 32,100 397,398
Crawford & Co. Class B (a) 12,609 60,523
Eastern Insurance Holdings, Inc. 4,800 45,168
eHealth, Inc. (a) 13,200 233,112
Flagstone Reinsurance Holdings Ltd. 21,900 225,570
Horace Mann Educators Corp. 21,268 212,042
Maiden Holdings Ltd. 26,600 174,496
Max Capital Group Ltd. 24,300 448,578
Pico Holdings, Inc. (a) 10,297 295,524
Platinum Underwriters Holdings Ltd. 27,300 780,507
Primus Guaranty Ltd. (a) 12,700 29,972
--------------
3,044,294
--------------
INSURANCE: PROPERTY- AmTrust Financial Services, Inc. 11,800 134,520
CASUALTY - 2.2% American Physicians Capital, Inc. 3,956 154,916
American Safety Insurance Holdings Ltd. (a) 4,600 62,606
Amerisafe, Inc. (a) 10,100 157,156
Argo Group International Holdings Ltd. (a) 16,479 465,037
28
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Baldwin & Lyons, Inc. Class B 4,332 $ 85,340
CNA Surety Corp. (a) 8,786 118,523
Donegal Group, Inc. Class A 5,744 87,366
EMC Insurance Group, Inc. 2,600 54,106
Employers Holdings, Inc. 25,380 343,899
Enstar Group Ltd. (a) 3,500 205,975
FPIC Insurance Group, Inc. (a) 4,300 131,666
First Acceptance Corp. (a) 8,277 17,630
First Mercury Financial Corp. 7,600 104,652
Greenlight Capital Re Ltd. (a) 15,100 261,381
Hallmark Financial Services, Inc. (a) 4,500 32,175
Harleysville Group, Inc. 7,462 210,578
Hilltop Holdings, Inc. (a) 20,372 241,816
IPC Holdings, Ltd. 29,800 814,732
Infinity Property & Casualty Corp. 7,500 273,450
Meadowbrook Insurance Group, Inc. 32,052 209,300
Mercer Insurance Group, Inc. 2,700 42,930
Montpelier Re Holdings Ltd. 46,900 623,301
NYMAGIC, Inc. 2,400 33,312
National Interstate Corp. 3,300 50,094
Navigators Group, Inc. (a) 6,900 306,567
PMA Capital Corp. Class A (a) 16,806 76,467
The PMI Group, Inc. 37,900 75,042
ProAssurance Corp. (a)(c) 17,623 814,359
RLI Corp. 10,264 459,827
Radian Group, Inc. 43,800 119,136
Safety Insurance Group, Inc. 6,700 204,752
SeaBright Insurance Holdings, Inc. (a) 11,100 112,443
Selective Insurance Group, Inc. 28,208 360,216
State Auto Financial Corp. 7,412 129,710
Stewart Information Services Corp. 9,222 131,414
Tower Group, Inc. 21,486 532,423
United America Indemnity, Ltd. (a) 18,641 89,290
United Fire & Casualty Co. 11,900 204,085
Universal Insurance Holdings, Inc. 6,300 31,626
Zenith National Insurance Corp. 19,955 433,822
--------------
8,997,640
--------------
LEISURE TIME - 0.6% Bluegreen Corp. (a) 7,400 18,648
Callaway Golf Co. 34,700 175,929
Churchill Downs, Inc. 5,032 169,377
Great Wolf Resorts, Inc. (a) 14,300 29,172
Interval Leisure Group, Inc. (a) 20,700 192,924
Life Time Fitness, Inc. (a) 21,800 436,218
Orbitz Worldwide, Inc. (a) 18,000 34,200
Pool Corp. (b) 26,400 437,184
Smith & Wesson Holding Corp. (a) 27,800 157,904
29
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Speedway Motorsports, Inc. 6,955 $ 95,701
Steinway Musical Instruments, Inc. (a) 3,600 38,520
Sturm Ruger & Co., Inc. 9,900 123,156
Town Sports International Holdings, Inc. (a) 10,400 39,000
Universal Travel Group (a) 6,000 67,140
Vail Resorts, Inc. (a)(b) 15,656 419,894
West Marine, Inc. (a) 8,900 49,039
--------------
2,484,006
--------------
LUXURY ITEMS - 0.2% Fossil, Inc. (a) 24,900 599,592
Fuqi International, Inc. (a)(b) 5,200 107,692
Movado Group, Inc. 8,500 89,590
--------------
796,874
--------------
MACHINERY & ENGINEERING - 0.1% Applied Industrial Technologies, Inc. (c) 23,090 454,873
--------------
MACHINERY: AGRICULTURAL - 0.1% Alamo Group, Inc. 3,300 33,330
Lindsay Manufacturing Co. (b) 6,613 218,890
--------------
252,220
--------------
MACHINERY: CONSTRUCTION & Astec Industries, Inc. (a) 9,617 285,528
HANDLING - 0.1% NACCO Industries, Inc. Class A 2,887 82,915
--------------
368,443
--------------
MACHINERY: ENGINES - 0.1% Briggs & Stratton Corp. (b) 26,600 354,844
Harbin Electric, Inc. (a) 6,500 101,660
--------------
456,504
--------------
MACHINERY: INDUSTRIAL - 0.9% Actuant Corp. Class A (c) 30,300 369,660
Altra Holdings, Inc. (a) 14,200 106,358
Chart Industries, Inc. (a) 15,200 276,336
Colfax Corp. (a) 12,700 98,044
Columbus McKinnon Corp. (a) 10,036 126,955
DXP Enterprises, Inc. (a) 4,100 47,027
EnPro Industries, Inc. (a) 10,700 192,707
Flow International Corp. (a) 20,100 47,235
Graham Corp. 5,400 71,820
John Bean Technologies Corp. 15,200 190,304
Kadant, Inc. (a) 6,770 76,433
MTS Systems Corp. 9,200 189,980
Middleby Corp. (a) 8,617 378,459
Nordson Corp. 18,210 703,999
Sauer-Danfoss, Inc. 5,973 36,614
Tecumseh Products Co. Class A (a) 9,428 91,546
Tennant Co. 9,974 183,422
Twin Disc, Inc. 4,300 29,283
Woodward Governor Co. 32,058 634,748
--------------
3,850,930
--------------
30
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
MACHINERY: SPECIALTY - 0.1% Albany International Corp. Class A 15,574 $ 177,232
Cascade Corp. 4,900 77,077
Hurco Companies, Inc. (a) 3,400 53,142
K-Tron International, Inc. (a) 1,300 103,584
--------------
411,035
--------------
MANUFACTURED HOUSING - 0.0% Cavco Industries, Inc. (a) 3,400 86,122
Skyline Corp. 3,601 78,322
--------------
164,444
--------------
MEDICAL & DENTAL INSTRUMENTS ATS Medical, Inc. (a) 27,600 90,804
& SUPPLIES - 3.0% Abiomed, Inc. (a) 16,500 145,530
Align Technology, Inc. (a) 31,600 334,960
Alphatec Holdings, Inc. (a) 14,100 46,812
American Medical Systems Holdings, Inc. (a) 39,500 624,100
AngioDynamics, Inc. (a) 13,100 173,837
Atrion Corp. 700 93,863
Bovie Medical Corp. (a) 9,900 86,229
CONMED Corp. (a) 15,528 240,995
Cantel Medical Corp. (a) 6,600 107,118
Cardiovascular Systems, Inc. (a) 5,800 44,718
Conceptus, Inc. (a)(b) 16,300 275,470
CryoLife, Inc. (a) 14,700 81,438
Cutera, Inc. (a) 6,600 56,892
Delcath Systems Inc. (a) 13,800 49,404
ev3, Inc. (a) 37,932 406,631
Endologix, Inc. (a) 25,700 85,838
Exactech, Inc. (a) 4,000 58,000
Hansen Medical, Inc. (a) 11,700 57,798
Heartware International, Inc. (a) 2,400 66,984
Home Diagnostics, Inc. (a) 5,500 33,770
I-Flow Corp. (a) 11,600 80,504
ICU Medical, Inc. (a) 6,750 277,763
Immucor, Inc. (a) 38,143 524,848
Insulet Corp. (a) 14,900 114,730
Integra LifeSciences Holdings Corp. (a) 10,100 267,751
Invacare Corp. 14,922 263,373
Landauer, Inc. 4,978 305,351
MAKO Surgical Corp. (a) 7,800 70,356
Matrixx Initiatives, Inc. (a) 4,300 24,037
Medical Action Industries, Inc. (a) 7,450 85,303
Meridian Bioscience, Inc. 22,100 499,018
Merit Medical Systems, Inc. (a) 14,910 243,033
Micrus Endovascular Corp. (a) 8,400 75,936
Neogen Corp. (a) 7,500 217,350
NuVasive, Inc. (a) 19,400 865,240
OraSure Technologies, Inc. (a) 24,659 60,908
31
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Orthofix International NV (a) 9,100 $ 227,591
Orthovita, Inc. (a) 33,700 173,555
Owens & Minor, Inc. 22,198 972,716
PSS World Medical, Inc. (a) 31,973 591,820
Quidel Corp. (a) 14,700 214,032
Rochester Medical Corp. (a) 5,000 67,000
Rockwell Medical Technologies, Inc. (a) 7,000 52,850
Steris Corp. 31,100 811,088
SurModics, Inc. (a) 8,283 187,444
Symmetry Medical, Inc. (a) 19,100 178,012
Synovis Life Technologies, Inc. (a) 6,100 126,697
Trans1, Inc. (a) 6,700 41,741
Utah Medical Products, Inc. 1,600 42,736
Vascular Solutions, Inc. (a) 9,200 71,944
Volcano Corp. (a) 25,700 359,286
West Pharmaceutical Services, Inc. 17,376 605,554
Wright Medical Group, Inc. (a) 20,800 338,208
Young Innovations, Inc. 2,700 58,833
--------------
12,257,799
--------------
MEDICAL EQUIPMENT - 1.9% Abaxis, Inc. (a) 11,700 240,318
Accuray, Inc. (a)(b) 22,100 147,407
Affymetrix, Inc. (a) 37,800 224,154
Analogic Corp. 6,972 257,615
Aspect Medical Systems, Inc. (a) 10,500 62,055
Bruker BioSciences Corp. (a) 26,487 245,270
Cardiac Science Corp. (a) 10,300 41,406
Clarient, Inc. (a) 17,700 65,844
Cyberonics, Inc. (a) 14,569 242,282
Cynosure, Inc. Class A (a) 5,200 39,780
DexCom, Inc. (a) 25,600 158,464
Dionex Corp. (a) 9,631 587,780
Electro-Optical Sciences, Inc. (a) 10,300 80,237
Enteromedics, Inc. (a) 9,900 32,967
Greatbatch, Inc. (a) 12,400 280,364
Haemonetics Corp. (a) 13,672 779,304
IRIS International, Inc. (a) 9,600 113,280
Luminex Corp. (a) 22,651 419,950
Masimo Corp. (a) 27,400 660,614
Merge Healthcare, Inc. (a) 12,900 55,470
Natus Medical, Inc. (a) 14,600 168,484
NxStage Medical, Inc. (a) 12,200 71,980
OSI Systems, Inc. (a) 8,300 173,055
Palomar Medical Technologies, Inc. (a) 9,700 142,202
Sirona Dental Systems, Inc. (a) 9,100 181,909
Somanetics Corp. (a) 6,400 105,664
SonoSite, Inc. (a) 9,115 182,847
32
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Spectranetic Corp. (a) 17,200 $ 84,796
Stereotaxis, Inc. (a)(b) 14,000 54,320
Thoratec Corp. (a) 30,047 804,659
Tomotherapy, Inc. (a) 21,900 60,225
Varian, Inc. (a) 15,435 608,602
Vital Images, Inc. (a) 7,700 87,395
Zoll Medical Corp. (a) 11,322 218,967
--------------
7,679,666
--------------
MEDICAL SERVICES - 0.3% America Service Group, Inc. (a) 4,800 77,136
Bio-Reference Labs, Inc. (a) 6,300 199,143
eResearch Technology, Inc. (a) 22,750 141,278
Genoptix, Inc. (a) 9,300 297,507
Kendle International, Inc. (a) 7,600 93,024
Nighthawk Radiology Holdings, Inc. (a) 11,300 41,810
Parexel International Corp. (a) 31,294 450,008
RadNet, Inc. (a) 14,700 33,075
--------------
1,332,981
--------------
METAL FABRICATING - 0.7% Ampco-Pittsburgh Corp. 4,500 105,525
Dynamic Materials Corp. 6,800 131,104
The Eastern Co. 3,600 59,400
Hawk Corp. Class A (a) 2,600 36,010
Haynes International, Inc. (a) 6,400 151,680
Kaydon Corp. 17,826 580,415
L.B. Foster Co. Class A (a) 5,400 162,378
Mueller Industries, Inc. 20,282 421,866
Mueller Water Products, Inc. Series A 61,860 231,356
Northwest Pipe Co. (a) 4,900 170,324
Omega Flex, Inc. 1,300 19,708
RBC Bearings, Inc. (a) 11,600 237,220
RTI International Metals, Inc. (a) 12,413 219,338
Worthington Industries, Inc. 31,700 405,443
--------------
2,931,767
--------------
METALS & MINERALS AMCOL International Corp. 12,273 264,851
DIVERSIFIED - 0.3% Brush Engineered Materials, Inc. (a) 10,811 181,084
General Moly, Inc. (a) 33,400 74,148
Hecla Mining Co. (a)(b) 113,600 304,448
Minerals Technologies, Inc. 10,053 362,109
Oil-Dri Corp. of America 2,500 37,125
Paramount Gold and Silver Corp. (a) 30,900 46,968
United States Lime & Minerals Inc. (a) 800 33,936
Uranerz Energy Corp. (a) 28,100 52,828
--------------
1,357,497
--------------
33
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
OFFICE SUPPLIES & ACCO Brands Corp. (a) 28,800 $ 81,216
EQUIPMENT - 0.4% Electronics for Imaging, Inc. (a) 27,139 289,302
HNI Corp. 24,000 433,440
Herman Miller, Inc. 29,400 450,996
Kimball International, Inc. Class B 16,974 105,918
Knoll, Inc. 25,400 192,532
Steelcase, Inc. Class A 37,400 217,668
--------------
1,771,072
--------------
OFFSHORE DRILLING & OTHER Hercules Offshore, Inc. (a) 46,000 182,620
SERVICES - 0.1% Vantage Drilling Co. (a) 19,200 33,600
--------------
216,220
--------------
OIL WELL EQUIPMENT Allis-Chalmers Energy, Inc. (a)(b) 14,900 34,419
& SERVICES - 1.3% Basic Energy Services, Inc. (a) 11,300 77,179
Bolt Technology Corp. (a) 4,700 52,828
Boots & Coots, Inc. (a) 46,300 64,357
Bronco Drilling Co., Inc. (a) 12,700 54,356
CARBO Ceramics, Inc. (b) 10,202 348,908
Cal Dive International, Inc. (a) 23,974 206,896
Complete Production Services, Inc. (a) 32,000 203,520
Dawson Geophysical Co. (a) 4,200 125,370
Dril-Quip, Inc. (a) 15,376 585,826
Geokinetics, Inc. (a) 2,600 35,490
Global Industries Ltd. (a) 54,400 307,904
Gulf Island Fabrication, Inc. 6,517 103,164
Hornbeck Offshore Services, Inc. (a) 12,240 261,814
ION Geophysical Corp. (a) 47,446 121,936
Key Energy Services, Inc. (a) 65,300 376,128
Lufkin Industries, Inc. 7,900 332,195
Matrix Service Co. (a) 14,000 160,720
NATCO Group, Inc. Class A (a) 10,700 352,244
Natural Gas Services Group (a) 6,500 86,450
Newpark Resources, Inc. (a) 47,420 135,147
OYO Geospace Corp. (a) 2,200 56,452
Parker Drilling Co. (a) 63,481 275,508
Pioneer Drilling Co. (a) 21,600 103,464
RPC, Inc. 15,200 126,920
Sulphco, Inc. (a)(b) 21,500 19,780
Superior Well Services, Inc. (a) 8,100 48,195
T-3 Energy Services, Inc. (a) 6,600 78,606
Tetra Technologies, Inc. (a) 39,700 316,012
Union Drilling, Inc. (a) 5,600 37,072
Willbros Group, Inc. (a) 21,100 263,961
--------------
5,352,821
--------------
34
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
OIL: CRUDE PRODUCERS - 1.8% APCO Argentina, Inc. 4,600 $ 88,458
ATP Oil & Gas Corp. (a)(b) 15,200 105,792
Approach Resources, Inc. (a) 7,400 51,060
Arena Resources, Inc. (a) 20,600 656,110
Atlas America, Inc. 18,187 325,001
BPZ Resources, Inc. (a)(b) 42,400 207,336
Berry Petroleum Co. Class A 22,902 425,748
Bill Barrett Corp. (a) 20,900 573,914
Brigham Exploration Co. (a) 43,700 152,513
CREDO Petroleum Corp. (a) 3,300 35,244
Carrizo Oil & Gas, Inc. (a) 15,300 262,395
Cheniere Energy, Inc. (a) 28,000 82,320
Clayton Williams Energy, Inc. (a) 3,100 58,497
Contango Oil & Gas Co. (a) 6,300 267,687
Cubic Energy, Inc. (a) 11,400 12,312
Delta Petroleum Corp. (a) 98,000 189,140
Endeavour International Corp. (a) 60,900 82,824
FX Energy, Inc. (a) 22,400 84,896
GMX Resources Inc. (a) 13,600 144,704
GeoResources, Inc. (a) 3,900 39,780
Goodrich Petroleum Corp. (a) 12,900 317,211
Gran Tierra Energy, Inc. (a) 107,000 369,150
Gulfport Energy Corp. (a) 14,000 95,900
Harvest Natural Resources, Inc. (a) 17,600 77,616
Isramco Inc. (a) 500 53,265
McMoRan Exploration Co. (a) 33,300 198,468
Northern Oil And Gas, Inc. (a) 16,000 101,920
Oilsands Quest, Inc. (a) 91,500 87,840
Panhandle Oil & Gas, Inc. 3,800 74,594
Parallel Petroleum Corp. (a) 22,200 43,068
Penn Virginia Corp. 24,016 393,142
Petroleum Development Corp. (a) 8,000 125,520
Petroquest Energy, Inc. (a)(b) 23,100 85,239
PrimeEnergy Corp. (a) 300 10,743
Rex Energy Corp. (a) 14,600 83,220
Rosetta Resources, Inc. (a) 28,000 245,000
Stone Energy Corp. (a) 17,998 133,545
Swift Energy Co. (a) 16,617 276,673
Toreador Resources Corp. 11,700 78,390
Vaalco Energy, Inc. (a) 31,200 131,976
Venoco, Inc. (a) 9,600 73,632
W&T Offshore, Inc. 17,700 172,398
Warren Resources, Inc. (a) 32,300 79,135
Zion Oil & Gas, Inc. (a) 5,800 61,596
--------------
7,214,972
--------------
35
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
OIL: INTEGRATED - 0.1% Alon USA Energy, Inc. 3,800 $ 39,330
CVR Energy, Inc. (a) 12,100 88,693
Delek US Holdings, Inc. 6,800 57,664
Western Refining, Inc. (a) 16,600 117,196
--------------
302,883
--------------
PAINTS & COATINGS - 0.2% Chase Corp. 3,900 46,410
Ferro Corp. 23,976 65,934
H.B. Fuller Co. 25,980 487,645
North American Galvanizing & Coatings (a) 6,100 36,966
--------------
636,955
--------------
PAPER - 0.3% Boise, Inc. (a) 15,000 25,800
Buckeye Technologies, Inc. (a) 20,698 92,934
Clearwater Paper Corp. (a) 5,599 141,599
Domtar Corp. (a) 22,600 374,708
Kapstone Paper and Packaging Corp. (a) 10,100 47,369
Neenah Paper, Inc. 8,100 71,361
P.H. Glatfelter Co. 24,301 216,279
Schweitzer-Mauduit International, Inc. 8,220 223,666
Wausau Paper Corp. 23,242 156,186
--------------
1,349,902
--------------
PERSONAL CARE - 0.4% Chattem, Inc. (a)(b) 10,400 708,240
Female Health Co. (a) 7,500 36,000
Helen of Troy Ltd. (a) 16,000 268,640
Mannatech, Inc. 8,400 27,720
Orchids Paper Products Co. (a) 2,900 59,595
USANA Health Sciences, Inc. (a) 3,500 104,055
WD-40 Co. 8,789 254,881
--------------
1,459,131
--------------
PHARMACEUTICALS - 1.8% Acura Pharmaceuticals, Inc. (a) 4,400 26,312
Adolor Corp. (a) 24,800 43,648
Akorn, Inc. (a) 27,900 33,480
Alkermes, Inc. (a) 50,500 546,410
Allion Healthcare, Inc. (a) 9,900 58,905
American Oriental Bioengineering, Inc. (a) 33,000 174,570
Ardea Biosciences, Inc. (a) 7,000 110,180
Auxilium Pharmaceuticals, Inc. (a)(b) 23,100 724,878
Avanir Pharmaceuticals, Inc. (a) 35,800 79,476
BMP Sunstone Corp. (a) 18,800 89,112
BioCryst Pharmaceuticals, Inc. (a) 13,000 52,390
Biospecifics Technologies (a) 1,700 40,511
Cadence Pharmaceuticals, Inc. (a) 12,700 126,873
Cambrex Corp. (a) 15,585 64,210
Caraco Pharmaceutical Laboratories Ltd. (a) 5,500 16,885
China Sky One Medical, Inc. (a) 6,100 82,228
Depomed, Inc. (a) 27,400 89,050
36
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Durect Corp. (a) 43,000 $ 102,340
Hi-Tech Pharmacal Co., Inc. (a) 3,800 33,820
Impax Laboratories, Inc. (a) 33,300 245,088
Infinity Pharmaceuticals, Inc. (a) 10,800 63,072
Inspire Pharmaceuticals, Inc. (a) 22,600 125,656
Isis Pharmaceuticals, Inc. (a)(b) 49,689 819,869
Ista Pharmaceuticals, Inc. (a) 19,400 81,480
Javelin Pharmaceuticals, Inc. (a) 26,900 33,087
K-V Pharmaceutical Co. Class A (a) 18,500 59,385
Lannett Co., Inc. (a) 4,700 32,195
MAP Pharmaceuticals, Inc. (a) 3,700 45,214
Medicines Co. (a) 28,227 236,825
Medicis Pharmaceutical Corp. Class A 31,200 509,184
MiddleBrook Pharmaceuticals, Inc. (a) 19,500 26,325
Noven Pharmaceuticals, Inc. (a) 13,331 190,633
Obagi Medical Products, Inc. (a) 9,200 67,068
Optimer Pharmaceuticals, Inc. (a)(b) 15,300 229,041
Pain Therapeutics, Inc. (a) 18,600 99,882
Par Pharmaceutical Cos., Inc. (a) 18,600 281,790
Pozen, Inc. (a) 13,800 105,984
Prestige Brands Holdings, Inc. (a) 17,700 108,855
Questcor Pharmaceuticals, Inc. (a) 30,700 153,500
SIGA Technologies, Inc. (a) 14,700 124,068
Salix Pharmaceuticals Ltd. (a) 25,800 254,646
Santarus, Inc. (a) 26,300 74,166
Sciclone Pharmaceuticals, Inc. (a) 22,200 56,832
Spectrum Pharmaceuticals, Inc. (a) 18,600 142,290
SuperGen, Inc. (a) 29,500 59,295
Vical, Inc. (a) 16,100 43,631
Vivus, Inc. (a) 37,300 226,784
Xenoport, Inc. (a) 14,600 338,282
--------------
7,329,405
--------------
PHOTOGRAPHY - 0.1% CPI Corp. 2,500 42,475
Eastman Kodak Co. 145,700 431,272
--------------
473,747
--------------
PLASTICS - 0.0% Spartech Corp. 16,354 150,293
--------------
POWER TRANSMISSION EQUIPMENT - Advanced Energy Industries, Inc. (a) 17,612 158,331
0.3% Maxwell Technologies, Inc. (a) 12,000 165,960
Powell Industries, Inc. (a) 4,231 156,843
Regal-Beloit Corp. 19,451 772,594
Vicor Corp. 10,296 74,337
--------------
1,328,065
--------------
PRECIOUS METALS & MINERALS - Horsehead Holding Corp. (a) 18,300 136,335
0.1% Stillwater Mining Co. (a) 21,564 123,130
--------------
259,465
--------------
37
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
PRINTING & COPYING SERVICES - Cenveo, Inc. (a) 25,800 $ 109,134
0.3% VistaPrint Ltd. (a) 22,400 955,360
--------------
1,064,494
--------------
PRODUCER DURABLES Blount International, Inc. (a) 20,500 176,505
MISCELLANEOUS - 0.1% China Fire & Security Group, Inc. (a) 7,500 91,275
--------------
267,780
--------------
PRODUCTION TECHNOLOGY ATMI, Inc. (a)(c) 16,857 261,789
EQUIPMENT - 1.0% Brooks Automation, Inc. (a) 34,378 154,013
Cognex Corp. 21,256 300,347
Cohu, Inc. 12,518 112,412
Cymer, Inc. (a) 15,900 472,707
Electro Scientific Industries, Inc. (a) 14,561 162,792
Entegris, Inc. (a) 60,292 163,994
FEI Co. (a) 20,355 466,130
Intevac, Inc. (a) 11,700 101,907
Kulicke & Soffa Industries, Inc. (a) 32,756 112,353
MKS Instruments, Inc. (a) 26,300 346,897
Photronics, Inc. (a) 22,479 91,040
Rudolph Technologies, Inc. (a) 16,173 89,275
Semitool, Inc. (a) 11,941 55,167
Tessera Technologies, Inc. (a) 26,300 665,127
Ultratech, Inc. (a) 12,590 154,983
Veeco Instruments, Inc. (a) 17,227 199,661
--------------
3,910,594
--------------
PUBLISHING - 0.2% Courier Corp. 5,350 81,641
Dolan Media Co. (a) 15,700 200,803
Journal Communications, Inc. Class A 20,900 21,945
Martha Stewart Living Omnimedia, Inc. Class A (a) 14,182 43,397
Primedia, Inc. 13,400 26,934
Scholastic Corp. 12,660 250,541
--------------
625,261
--------------
RADIO & TV BROADCASTERS - 0.0% Crown Media Holdings, Inc. Class A (a) 5,798 9,683
Fisher Communications, Inc. 3,100 39,649
Lin TV Corp. Class A (a) 14,400 24,192
Outdoor Channel Holdings, Inc. (a) 8,100 47,790
Sinclair Broadcast Group, Inc. Class A 25,964 50,370
--------------
171,684
--------------
RAILROAD EQUIPMENT - 0.1% American Railcar Industries, Inc. 4,900 40,474
Freightcar America, Inc. 6,400 107,584
Greenbrier Cos., Inc. 9,100 65,429
Portec Rail Products, Inc. 3,100 30,535
--------------
244,022
--------------
RAILROADS - 0.1% Genesee & Wyoming, Inc. Class A (a) 17,675 468,564
--------------
38
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
REAL ESTATE - 0.2% American Realty Investors, Inc. (a) 1,000 $ 10,200
Avatar Holdings, Inc. (a) 3,200 58,144
China Housing & Land Development (a) 15,200 87,552
Consolidated-Tomoka Land Co. 2,900 101,732
Forestar Group, Inc. (a)(b) 18,928 224,865
Griffin Land & Nurseries, Inc. 1,600 50,048
Tejon Ranch Co. (a) 5,815 154,039
United Capital Corp. (a) 700 12,824
--------------
699,404
--------------
REAL ESTATE INVESTMENT TRUSTS Acadia Realty Trust (c) 21,113 275,525
(REITS) - 5.2% Agree Realty Corp. 4,100 75,153
Alexander's, Inc. 1,067 287,663
American Campus Communities, Inc. 27,703 614,453
American Capital Agency Corp. 5,400 124,038
Anthracite Capital, Inc. (d) 33,000 20,460
Anworth Mortgage Asset Corp. 54,400 392,224
Ashford Hospitality Trust, Inc. 38,280 107,567
Associated Estates Realty Corp. 7,800 46,488
BioMed Realty Trust, Inc. (c) 52,220 534,211
CBL & Associates Properties, Inc. 37,300 201,047
CapLease, Inc. 23,700 65,412
Capstead Mortgage Corp. 34,800 442,308
Care Investment Trust, Inc. 6,200 32,240
Cedar Shopping Centers, Inc. 20,800 94,016
Cogdell Spencer, Inc. 14,700 63,063
Colonial Properties Trust 26,100 193,140
Cousins Properties, Inc. (b) 19,881 168,989
DCT Industrial Trust, Inc. 94,210 384,377
Developers Diversified Realty Corp. 72,700 354,776
DiamondRock Hospitality Co. 56,780 355,443
Dupont Fabros Technology, Inc. 14,800 139,416
Dynex Capital Corp. 5,500 45,100
EastGroup Properties, Inc. 13,327 440,058
Education Realty Trust, Inc. 15,300 65,637
Entertainment Properties Trust 18,980 390,988
Equity Lifestyle Properties, Inc. 11,194 416,193
Equity One, Inc. (b) 16,700 221,442
Extra Space Storage, Inc. 46,050 384,518
FelCor Lodging Trust, Inc. 34,570 85,042
First Industrial Realty Trust, Inc. 23,600 102,660
First Potomac Realty Trust 14,700 143,325
Franklin Street Properties Corp. 31,600 418,700
Getty Realty Corp. 9,200 173,604
Gladstone Commercial Corp. 5,100 66,096
Glimcher Realty Trust 20,256 58,742
Gramercy Capital Corp. (a) 22,802 36,711
39
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Hatteras Financial Corp. 19,200 $ 548,928
Healthcare Realty Trust, Inc. 31,500 530,145
Hersha Hospitality Trust 22,800 56,544
Highwoods Properties, Inc. 38,400 859,008
Home Properties, Inc. 17,520 597,432
Inland Real Estate Corp. 36,200 253,400
Investors Real Estate Trust 32,900 292,481
iStar Financial, Inc. 55,500 157,620
Kilroy Realty Corp. 19,800 406,692
Kite Realty Group Trust 20,740 60,561
LTC Properties, Inc. 12,400 253,580
LaSalle Hotel Properties 27,620 340,831
Lexington Corporate Properties Trust 45,138 153,469
MFA Financial, Inc. 120,700 835,244
Medical Properties Trust, Inc. 42,900 260,403
Mid-America Apartment Communities, Inc. 15,129 555,386
Mission West Properties, Inc. 8,100 55,323
Monmouth Real Estate Investment Corp. Class A 10,400 60,944
National Health Investors, Inc. 13,729 366,702
National Retail Properties, Inc. 42,475 736,941
NorthStar Realty Finance Corp. (b) 31,764 89,891
Omega Healthcare Investors, Inc. 44,100 684,432
PS Business Parks, Inc. 8,108 392,752
Parkway Properties, Inc. 11,604 150,852
Pennsylvania Real Estate Investment Trust (b) 19,132 95,660
Post Properties, Inc. 23,686 318,340
Potlatch Corp. 21,647 525,806
RAIT Investment Trust 34,710 47,553
Ramco-Gershenson Properties Trust 8,500 85,085
Redwood Trust, Inc. 41,195 608,038
Resource Capital Corp. 11,100 35,520
Saul Centers, Inc. 3,122 92,318
Sovran Self Storage, Inc. 12,080 297,168
Strategic Hotel Capital, Inc. 38,350 42,569
Sun Communities, Inc. 8,843 121,857
Sunstone Hotel Investors, Inc. 40,021 214,112
Tanger Factory Outlet Centers, Inc. 19,522 633,098
Transcontinental Realty Investors, Inc. (a) 1,400 16,898
U-Store-It Trust 26,670 130,683
UMH Properties, Inc. 4,200 33,474
Universal Health Realty Income Trust 6,227 196,275
Urstadt Biddle Properties, Inc. Class A 10,900 153,472
Walter Investment Management Corp. (a) 10,000 132,800
Washington Real Estate Investment Trust 31,665 708,346
Winthrop Realty Trust 6,040 53,937
--------------
21,263,395
--------------
40
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
RECREATIONAL VEHICLES & BOATS Brunswick Corp. 47,200 $ 203,904
- - 0.2% Drew Industries, Inc. (a) 9,900 120,483
Marine Products Corp. 4,931 18,491
Polaris Industries, Inc. (b) 16,100 517,132
Winnebago Industries, Inc. 15,390 114,348
--------------
974,358
--------------
RENTAL & LEASING SERVICES: Amerco, Inc. (a) 4,800 178,320
CONSUMER - 0.3% Avis Budget Group, Inc. (a) 55,900 315,835
Dollar Thrifty Automotive Group, Inc. (a) 11,695 163,145
Rent-A-Center, Inc. (a) 35,300 629,399
--------------
1,286,699
--------------
RESTAURANTS - 1.5% AFC Enterprises, Inc. (a) 13,300 89,775
BJ's Restaurants, Inc. (a) 10,200 172,074
Benihana, Inc. Class A (a) 7,900 49,928
Bob Evans Farms, Inc. 16,380 470,761
Buffalo Wild Wings, Inc. (a)(b) 9,650 313,818
CEC Entertainment, Inc. (a) 12,150 358,182
CKE Restaurants, Inc. 27,400 232,352
California Pizza Kitchen, Inc. (a) 10,950 145,526
Caribou Coffee Co., Inc. (a) 2,900 18,618
Carrols Restaurant Group, Inc. (a) 5,400 35,964
The Cheesecake Factory, Inc. (a) 32,100 555,330
Cracker Barrel Old Country Store, Inc. 12,100 337,590
Denny's Corp. (a) 51,400 110,510
DineEquity, Inc. 9,448 294,683
Domino's Pizza, Inc. (a) 20,550 153,920
Einstein Noah Restaurant Group, Inc. (a) 2,100 18,165
Frisch's Restaurants, Inc. 1,300 38,402
Jack in the Box, Inc. (a) 30,536 685,533
Krispy Kreme Doughnuts, Inc. (a) 31,300 93,900
Landry's Restaurants, Inc. (a) 3,296 28,346
Luby's, Inc. (a) 10,200 41,412
McCormick & Schmick's Seafood Restaurants,
Inc. (a) 7,300 55,553
O'Charleys, Inc. 10,084 93,277
P.F. Chang's China Bistro, Inc. (a) 12,708 407,418
Papa John's International, Inc. (a) 11,696 289,944
Red Robin Gourmet Burgers, Inc. (a) 8,300 155,625
Ruby Tuesday, Inc. (a) 28,200 187,812
Ruth's Hospitality Group, Inc. (a) 10,600 38,902
Sonic Corp. (a) 32,520 326,176
The Steak'n Shake Co. (a)(b) 12,328 107,747
Texas Roadhouse, Inc. Class A (a) 26,700 291,297
--------------
6,198,540
--------------
41
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
SCIENTIFIC INSTRUMENTS: CIRCOR International, Inc. 9,100 $ 214,851
CONTROL & FILTER - 0.7% China Security & Surveillance Technology,
Inc. (a)(b) 17,200 129,688
ESCO Technologies, Inc. (a) 14,032 628,634
Energy Recovery, Inc. (a) 19,000 134,520
Flanders Corp. (a) 8,200 50,102
The Gorman-Rupp Co. 7,697 155,248
ICx Technologies, Inc. (a) 6,100 36,600
L-1 Identity Solutions, Inc. (a) 39,428 305,173
Mine Safety Appliances Co. 13,926 335,617
PMFG, Inc. (a) 7,000 61,670
RAE Systems, Inc. (a) 26,700 36,846
Robbins & Myers, Inc. 14,724 283,437
Sun Hydraulics, Inc. 6,150 99,446
Watts Water Technologies, Inc. Class A 15,536 334,645
X-Rite, Inc. (a) 17,500 26,250
--------------
2,832,727
--------------
SCIENTIFIC INSTRUMENTS: A.O. Smith Corp. 12,081 393,478
ELECTRICAL - 1.1% AZZ, Inc. (a) 6,500 223,665
Advanced Battery Technologies, Inc. (a)(b) 25,100 100,902
American Superconductor Corp. (a)(b) 23,100 606,375
Baldor Electric Co. 25,201 599,532
Broadwind Energy, Inc. (a) 16,300 184,516
China BAK Battery, Inc. (a) 20,100 59,295
DDi Corp. (a) 9,200 41,676
Ener1, Inc. (a)(b) 24,800 135,408
EnerSys (a) 21,400 389,266
Franklin Electric Co., Inc. 12,360 320,371
GrafTech International Ltd. (a) 63,944 723,207
Littelfuse, Inc. (a) 11,660 232,734
Preformed Line Products Co. 1,100 48,466
SatCon Technology Corp. (a) 31,100 55,980
Taser International, Inc. (a) 33,100 150,936
Ultralife Batteries, Inc. (a) 6,700 48,039
Valence Technology, Inc. (a) 27,400 49,046
--------------
4,362,892
--------------
SCIENTIFIC INSTRUMENTS: GAUGES Badger Meter, Inc. 7,900 323,900
& METERS - 0.1% Faro Technologies, Inc. (a) 8,800 136,664
Measurement Specialties, Inc. (a) 7,700 54,285
Smartheat, Inc. (a) 4,400 30,140
Zygo Corp. (a) 8,000 37,280
--------------
582,269
--------------
SCIENTIFIC INSTRUMENTS: American Ecology Corp. 10,100 180,992
POLLUTION CONTROL - 0.5% Clean Harbors, Inc. (a) 10,800 583,092
Darling International, Inc. (a) 44,900 296,340
EnergySolutions, Inc. 41,100 378,120
Fuel Tech, Inc. (a)(b) 9,900 96,030
42
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Heritage Crystal Clean, Inc. (a) 2,000 $ 24,300
Met-Pro Corp. 7,800 84,396
Metalico, Inc. (a) 14,400 67,104
Perma-Fix Environmental Services (a) 29,900 72,358
Team, Inc. (a) 10,100 158,267
Waste Services, Inc. (a) 8,033 41,611
--------------
1,982,610
--------------
SECURITIES BROKERAGE & BGC Partners, Inc. 26,523 100,522
SERVICES - 0.9% E*Trade Financial Corp. (a) 263,200 336,896
GFI Group, Inc. 34,700 233,878
Gladstone Investment Corp. 11,700 56,511
International Assets Holding Corp., Inc. (a) 2,500 37,175
KBW, Inc. (a)(b) 18,500 532,060
Knight Capital Group, Inc. Class A (a) 49,700 847,385
LaBranche & Co., Inc. (a) 31,200 134,160
MF Global Ltd. (a) 51,600 305,988
MarketAxess Holdings, Inc. (a) 17,000 162,010
optionsXpress Holdings, Inc. 22,600 350,978
Penson Worldwide, Inc. (a) 11,100 99,345
SWS Group, Inc. 12,906 180,297
TradeStation Group, Inc. (a) 17,300 146,358
--------------
3,523,563
--------------
SEMICONDUCTORS & COMPONENTS - Actel Corp. (a) 14,016 150,391
2.6% Advanced Analogic Technologies, Inc. (a) 23,000 105,570
Amkor Technology, Inc. (a) 58,400 276,232
Anadigics, Inc. (a) 33,800 141,622
Applied Micro Circuits Corp. (a) 36,200 294,306
Atheros Communications, Inc. (a)(b) 32,400 623,376
CSR Plc (a) 21,415 123,791
Cavium Networks, Inc. (a) 19,100 321,071
Ceva, Inc. (a) 10,600 92,008
Cirrus Logic, Inc. (a) 34,900 157,050
DSP Group, Inc. (a) 12,283 83,033
Diodes, Inc. (a) 16,812 262,940
Emcore Corp. (a) 40,300 50,778
Entropic Communications, Inc. (a) 30,900 69,525
Exar Corp. (a) 19,627 141,118
Formfactor, Inc. (a) 26,900 463,756
Hittite Microwave Corp. (a) 11,300 392,675
IXYS Corp. 12,137 122,826
Intellon Corp. (a) 12,700 53,975
Kopin Corp. (a) 36,100 132,487
Lattice Semiconductor Corp. (a) 60,800 114,304
MIPS Technologies, Inc. (a) 23,600 70,800
Micrel, Inc. 24,200 177,144
43
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Microsemi Corp. (a) 43,390 $ 598,782
Microtune, Inc. (a) 26,800 62,712
Monolithic Power Systems, Inc. (a) 17,900 401,139
Netlogic Microsystems, Inc. (a) 9,900 360,954
Omnivision Technologies, Inc. (a) 26,800 278,452
PLX Technology, Inc. (a) 17,800 67,106
ParkerVision, Inc. (a) 15,500 47,430
Pericom Semiconductor Corp. (a) 14,393 121,189
Power Integrations, Inc. 12,300 292,617
RF Micro Devices, Inc. (a) 143,884 541,004
Rubicon Technology, Inc. (a) 6,700 95,676
Semtech Corp. (a) 32,500 517,075
Sigma Designs, Inc. (a) 14,200 227,768
Silicon Image, Inc. (a) 39,976 91,945
Silicon Storage Technology, Inc. (a) 42,458 79,396
Skyworks Solutions, Inc. (a) 89,133 871,721
Standard Microsystems Corp. (a) 11,810 241,515
Supertex, Inc. (a) 5,867 147,320
Techwell, Inc. (a) 7,800 66,300
TriQuint Semiconductor, Inc. (a) 78,836 418,619
Trident Microsystems, Inc. (a) 33,700 58,638
Virage Logic Corp. (a) 10,300 46,350
Volterra Semiconductor Corp. (a) 12,100 158,994
White Electronic Designs Corp. (a) 11,300 52,319
Zoran Corp. (a) 27,608 300,927
--------------
10,566,726
--------------
SHIPPING - 0.7% American Commercial Lines, Inc. (a) 4,850 75,078
DHT Maritime, Inc. 24,000 125,040
Eagle Bulk Shipping, Inc. (b) 25,200 118,188
Genco Shipping & Trading Ltd. (b) 13,800 299,736
General Maritime Corp. 26,040 257,535
Golar LNG Ltd. 18,300 156,465
Gulfmark Offshore, Inc. (a) 12,500 345,000
Horizon Lines, Inc. Class A (b) 16,100 62,146
International Shipholding Corp. 2,900 78,184
Knightsbridge Tankers Ltd. 9,000 122,760
Nordic American Tanker Shipping Ltd. 22,400 712,768
Ship Finance International Ltd. 23,900 263,617
TBS International Ltd. (a) 8,000 62,480
Teekay Tankers Ltd. Class A 4,800 44,592
Ultrapetrol Bahamas Ltd. (a) 11,500 50,945
--------------
2,774,534
--------------
44
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
STEEL - 0.1% China Precision Steel, Inc. (a)(b) 19,200 $ 47,616
General Steel Holdings, Inc. (a) 7,100 28,187
Olympic Steel, Inc. 4,800 117,456
Sutor Technology Group Ltd. (a) 4,100 13,407
Universal Stainless & Alloy Products, Inc. (a) 3,600 58,572
--------------
265,238
--------------
SUGAR - 0.0% Imperial Sugar Co. New Shares 5,800 70,238
--------------
SYNTHETIC FIBERS & CHEMICALS
- - 0.0% Zoltek Cos., Inc. (a)(b) 14,800 143,856
TECHNOLOGY: MISCELLANEOUS - Benchmark Electronics, Inc. (a) 35,329 508,738
0.3% CTS Corp. 17,968 117,690
LaBarge, Inc. (a) 6,400 59,328
Plexus Corp. (a) 21,098 431,665
Vocus, Inc. (a) 8,900 175,864
--------------
1,293,285
--------------
TELECOMMUNICATIONS EQUIPMENT - ADC Telecommunications, Inc. (a) 51,100 406,756
0.5% Applied Signal Technology, Inc. 6,900 176,019
Arris Group, Inc. (a) 66,300 806,208
Cogo Group, Inc. (a) 12,500 74,625
Communications System, Inc. 2,800 27,440
Mastec, Inc. (a) 27,500 322,300
OpNext, Inc. (a) 14,400 30,816
Powerwave Technologies, Inc. (a) 66,177 106,545
Symmetricom, Inc. (a) 24,200 139,634
UTStarcom, Inc. (a) 57,700 94,051
--------------
2,184,394
--------------
TEXTILE PRODUCTS - 0.1% Interface, Inc. Class A 27,821 172,490
Unifi, Inc. (a) 23,200 32,944
--------------
205,434
--------------
TEXTILES APPAREL & SHOES - American Apparel, Inc. (a) 18,200 66,248
1.9% Carter's, Inc. (a) 30,100 740,761
Cherokee, Inc. 4,000 79,280
Columbia Sportswear Co. 6,100 188,612
Crocs, Inc. (a) 44,800 152,320
Deckers Outdoor Corp. (a) 7,000 491,890
FGX International Holdings Ltd. (a) 7,300 83,074
G-III Apparel Group, Ltd. (a) 7,000 80,430
Iconix Brand Group, Inc. (a) 32,000 492,160
J. Crew Group, Inc. (a)(b) 27,070 731,431
Jones Apparel Group, Inc. 45,300 486,069
K-Swiss, Inc. Class A 13,996 118,966
Kenneth Cole Productions, Inc. Class A 4,892 34,391
Liz Claiborne, Inc. 52,800 152,064
lululemon athletica, inc. (a) 21,500 280,145
Maidenform Brands, Inc. (a) 9,500 108,965
Oxford Industries, Inc. 7,742 90,194
45
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Perry Ellis International, Inc. (a) 6,650 $ 48,412
Quiksilver, Inc. (a) 68,500 126,725
Skechers U.S.A., Inc. Class A (a) 17,755 173,466
Steven Madden Ltd. (a) 8,068 205,331
Timberland Co. Class A (a) 22,700 301,229
True Religion Apparel, Inc. (a) 13,900 309,970
Under Armour, Inc. Class A (a)(b) 17,700 396,126
Volcom, Inc. (a) 9,600 120,000
The Warnaco Group, Inc. (a) 24,400 790,560
Weyco Group, Inc. 3,500 80,815
Wolverine World Wide, Inc. 26,308 580,354
--------------
7,509,988
--------------
TOBACCO - 0.2% Alliance One International, Inc. (a) 47,555 180,709
Star Scientific, Inc. (a)(b) 38,500 34,265
Universal Corp. 13,356 442,217
Vector Group Ltd. 19,991 285,671
--------------
942,862
--------------
TOYS - 0.1% Jakks Pacific, Inc. (a) 14,930 191,552
Leapfrog Enterprises, Inc. (a) 18,146 41,554
RC2 Corp. (a) 9,313 123,211
--------------
356,317
--------------
TRANSPORTATION MISCELLANEOUS - Dynamex, Inc. (a) 4,700 72,333
0.2% HUB Group, Inc. Class A (a) 20,200 416,928
Odyssey Marine Exploration, Inc. (a) 27,500 44,000
Pacer International, Inc. 18,700 41,701
Textainer Group Holdings Ltd. 4,566 52,463
Todd Shipyards Corp. 3,600 59,940
--------------
687,365
--------------
TRUCKERS - 0.8% Arkansas Best Corp. 13,341 351,535
Celadon Group, Inc. (a) 11,800 99,002
Forward Air Corp. 15,432 329,010
Heartland Express, Inc. 28,373 417,651
Knight Transportation, Inc. (b) 30,362 502,491
Marten Transport Ltd. (a) 8,250 171,270
Old Dominion Freight Line, Inc. (a) 14,825 497,675
Patriot Transportation Holding, Inc. (a) 600 43,758
Saia, Inc. (a) 7,181 129,330
USA Truck, Inc. (a) 4,800 64,944
Universal Truckload Services, Inc. 2,921 45,714
Werner Enterprises, Inc. 22,800 413,136
YRC Worldwide, Inc. (a)(b) 30,000 51,900
--------------
3,117,416
--------------
46
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
UTILITIES: ELECTRICAL - 1.9% Allete, Inc. (c) 14,366 $ 413,022
Avista Corp. 28,975 516,045
Black Hills Corp. 20,700 475,893
CH Energy Group, Inc. 8,589 401,106
Central Vermont Public Service Corp. 6,100 110,410
Cleco Corp. 32,267 723,426
El Paso Electric Co. (a) 24,008 335,152
The Empire District Electric Co. 18,268 301,787
IDACORP, Inc. 25,000 653,500
MGE Energy, Inc. 12,245 410,820
NorthWestern Corp. 19,200 436,992
Otter Tail Corp. 19,386 423,390
PNM Resources, Inc. 46,300 495,873
Pike Electric Corp. (a) 8,900 107,245
Portland General Electric Co. 40,700 792,836
UIL Holdings Corp. 15,267 342,744
Unisource Energy Corp. 18,883 501,155
Unitil Corp. 6,200 127,844
--------------
7,569,240
--------------
UTILITIES: GAS DISTRIBUTORS - Chesapeake Utilities Corp. 3,600 117,108
1.4% Florida Public Utilities Co. 3,000 42,090
The Laclede Group, Inc. 11,848 392,524
New Jersey Resources Corp. 22,561 835,659
Nicor, Inc. 24,100 834,342
Northwest Natural Gas Co. 14,199 629,300
Piedmont Natural Gas Co. (b) 39,100 942,701
South Jersey Industries, Inc. 16,232 566,334
Southwest Gas Corp. 23,690 526,155
WGL Holdings, Inc. 26,700 854,934
--------------
5,741,147
--------------
UTILITIES: TELECOMMUNICATIONS Alaska Communications Systems Group, Inc. 23,600 172,752
- - 1.2% Atlantic Tele-Network, Inc. 4,800 188,592
Cbeyond Communications, Inc. (a) 12,500 179,375
Centennial Communications Corp. (a) 46,226 386,449
Cincinnati Bell, Inc. (a) 116,000 329,440
Cogent Communications Group, Inc. (a) 23,700 193,155
Consolidated Communications Holdings, Inc. 12,435 145,614
D&E Communications, Inc. 7,800 79,794
FairPoint Communications, Inc. 47,893 28,736
Fibernet Telecom Group, Inc. (a) 2,800 34,776
General Communication, Inc. Class A (a) 23,739 164,511
Global Crossing Ltd. (a) 15,500 142,290
HickoryTech Corp. 6,400 49,152
Ibasis, Inc. (a) 13,700 17,947
Incontact, Inc. (a) 12,900 35,346
47
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY COMMON STOCKS SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
Iowa Telecommunications Services, Inc. 17,500 $ 218,925
iPCS, Inc. (a) 9,100 136,136
j2 Global Communications, Inc. (a) 23,900 539,184
NTELOS Holdings Corp. 16,100 296,562
Neutral Tandem, Inc. (a) 17,400 513,648
PAETEC Holding Corp. (a) 65,220 176,094
Premiere Global Services, Inc. (a) 32,500 352,300
RCN Corp. (a) 19,500 116,415
Shenandoah Telecom Co. 12,600 255,654
SureWest Communications (a) 8,400 87,948
USA Mobility, Inc. 12,420 158,479
Virgin Mobile USA, Inc. (a) 20,300 81,606
--------------
5,080,880
--------------
UTILITIES: WATER - 0.4% American States Water Co. 9,585 332,024
Artesian Resources Corp. Class A 4,000 63,720
California Water Service Group 10,496 386,673
Connecticut Water Service, Inc. 4,500 97,605
Consolidated Water Co., Inc. 7,700 122,045
Middlesex Water Co. 7,200 104,040
Pennichuck Corp. 2,200 50,160
SJW Corp. 6,948 157,720
Southwest Water Co. 13,083 72,218
York Water Co. 6,900 105,777
--------------
1,491,982
--------------
WHOLESALE & INTERNATIONAL Brightpoint, Inc. (a) 26,730 167,597
TRADE - 0.2% Chindex International, Inc. (a) 7,100 87,827
Houston Wire & Cable Co. 9,400 111,954
MWI Veterinary Supply, Inc. (a) 6,000 209,160
United Stationers, Inc. (a) 12,669 441,895
--------------
1,018,433
--------------
TOTAL COMMON STOCKS - 98.5% 399,826,107
--------------
INVESTMENT COMPANIES
BlackRock Kelso Capital Corp. (d) 6,700 41,741
Gladstone Capital Corp. 11,100 83,583
Hercules Technology Growth Capital, Inc. 18,262 152,670
Kayne Anderson Energy Development Co. 5,400 71,604
Pennantpark Investment Corp. 11,300 80,230
Prospect Capital Corp. 22,400 206,080
--------------
TOTAL INVESTMENT COMPANIES - 0.1% 635,908
--------------
WARRANTS (e)
ALTERNATIVE ENERGY - 0.0% GreenHunter Energy, Inc. (expires 8/27/11) (b)(f) 180 --
--------------
COMMUNICATIONS TECHNOLOGY - Lantronix, Inc. (expires 2/09/11) 138 --
0.0%
--------------
TOTAL WARRANTS - 0.0% --
--------------
48
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
INDUSTRY OTHER INTERESTS (g) SHARES VALUE
- -------- ------------------------------------------------- -------------- --------------
OIL: CRUDE PRODUCERS - 0.0% PetroCorp, Inc. (Escrow Shares) 500 $ --
--------------
TOTAL OTHER INTERESTS - 0.0% --
--------------
TOTAL LONG-TERM INVESTMENTS
(COST - $457,409,135) - 98.6% 400,462,015
--------------
SHORT-TERM SECURITIES
BlackRock Liquidity Funds, TempFund, 0.45% (d)(h) 12,940,007 12,940,007
--------------
BENEFICIAL
INTEREST
(000)
--------------
BlackRock Liquidity Series, LLC Money Market $ 29,126 29,126,454
--------------
Series, 0.55% (d)(h)(i)
TOTAL SHORT-TERM SECURITIES
(COST - $42,066,461) - 10.4% 42,066,461
--------------
TOTAL INVESTMENTS
(COST - $499,475,596*) - 109.0% 442,528,476
LIABILITIES IN EXCESS OF OTHER ASSETS - (9.0)% (36,541,058)
--------------
NET ASSETS - 100.0% $ 405,987,418
==============
* The cost and unrealized appreciation (depreciation) of investments as June
30, 2009, as computed for federal income tax purposes, were as follows:
Aggregate cost $ 520,628,821
=============
Gross unrealized appreciation $ 35,770,593
Gross unrealized depreciation (113,870,938)
-------------
Net unrealized depreciation $ (78,100,345)
=============
(a) Non-income producing security.
(b) Security, or a portion of security, is on loan.
(c) All or a portion of the security has been pledged as collateral in
connection with open financial futures contracts.
(d) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
AFFILIATE PURCHASE COST SALE COST REALIZED LOSS INCOME
- --------- ------------- ----------- ------------- --------
Anthracite Capital, Inc. $ 11,193 -- -- --
BlackRock Kelso Capital Corp $ 11,712 $ 3,084 $(1,902) $ 1,856
BlackRock Liquidity Funds, TempFund $12,940,007* -- -- $ 19,336
BlackRock Liquidity Series, LLC Cash
Sweep Series -- $33,514,609** -- $ 37,506
BlackRock Liquidity Series, LLC Money
Market Series $ 4,482,252* -- -- $251,505
* Represents net purchase cost.
** Represents net sale cost.
(e) 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.
(f) Restricted security as to resale, representing 0.0% of net assets were as
follows:
ISSUE ACQUISITION DATE COST VALUE
- ----- ---------------- ---- -----
GreenHunter Energy, Inc. 6/27/08 $-- $--
49
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(g) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(h) Represents the current yield as of report date.
(i) Security was purchased with the cash proceeds from securities loans.
- - Financial futures contracts purchased as of June 30, 2009 were as follows:
CONTRACTS ISSUE EXPIRATION DATE FACE VALUE UNREALIZED DEPRECIATION
- --------- --------------------- --------------- ---------- -----------------------
179 Russell 2000 ICE MINI September 2009 $9,132,385 $(53,505)
- - For Series compliance purposes, the Series' industry classifications refer
to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Series management. This definition may not apply for purposes of
this report, which may combine industry sub-classifications for reporting
ease.
- - Financial Accounting Standards Board Statement of Financial Accounting
Standards No. 157, "Fair Value Measurements", clarifies the definition of
fair value, establishes a framework for measuring fair values and requires
additional disclosures about the use of fair value measurements. Various
inputs are used in determining the fair value of investments, which are as
follows:
- Level 1 - price quotations in active markets/exchanges for
identical securities
- 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)
The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities.
For information about the Series' policy regarding valuation of investments
and other significant accounting policies, please refer to Note 1 of the
Notes to Financial Statements.
The following table summarizes the inputs used as of June 30, 2009 in
determining the fair valuation of the Series' investments:
INVESTMENTS IN
VALUATION SECURITIES
INPUTS ASSETS
- --------- --------------
Level 1 - Long-Term Investments(1) $413,278,110
------------
Level 2
Long-Term Investments
Semiconductors & Components 123,791
Short-Term Securities 29,126,454
------------
Level 2 - Total 29,250,245
------------
Level 3
Long-Term Investments
Asset Management & Custodian
121
------------
TOTAL $442,528,476
============
(1) See above Schedule of Investments for values in each industry excluding
industries in Level 2 and Level 3 within the table.
50
MASTER SMALL CAP INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
OTHER FINANCIAL
VALUATION INSTRUMENTS(2)
INPUT LIABILITIES
- --------- ---------------
Level 1 $(53,505)
Level 2 --
Level 3 --
--------
$(53,505)
========
(2) Other financial instruments are financial futures contracts which are shown
at the unrealized appreciation/depreciation on the instrument.
The following is a reconciliation of investments for unobservable inputs
(Level 3) used in determining fair value:
INVESTMENTS IN
SECURITIES
ASSET MANAGEMENT
& CUSTODIAN
----------------
Balance, as of December 31, 2008 --
Accrued discounts/premiums --
Realized gain (loss) --
Change in unrealized appreciation/depreciation --
Net purchases (sales) --
Net transfer in $121
----
Balance, as of June 30, 2009 $121
====
51
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
AUSTRALIA - 7.2% AGL Energy Ltd. 38,940 $ 421,389
AMP Ltd. 173,614 680,215
AXA Asia Pacific Holdings Ltd. 77,231 241,243
Alumina Ltd. 217,261 249,726
Amcor Ltd. 71,378 287,014
Aristocrat Leisure Ltd. 22,855 69,637
Arrow Energy Ltd. (a) 53,661 152,410
Australia & New Zealand Banking Group Ltd. 202,842 2,688,161
Australian Stock Exchange Ltd. 14,934 443,713
BHP Billiton Ltd. 291,694 7,991,219
Bendigo and Adelaide Bank Ltd. 20,287 113,353
Billabong International Ltd. 17,551 123,354
BlueScope Steel Ltd. 158,176 320,734
Boral Ltd. 50,019 163,190
Brambles Ltd. 120,625 577,514
CFS Retail Property Trust 148,618 196,888
CSL Ltd. 52,469 1,356,649
CSR Ltd. 111,831 152,142
Caltex Australia Ltd. 12,081 134,165
Coca-Cola Amatil Ltd. 47,908 332,021
Cochlear Ltd. 4,927 228,702
Commonwealth Bank of Australia Ltd. 127,873 4,008,295
Computershare Ltd. 36,358 263,522
Crown Ltd. 40,471 235,863
DB RREEF Trust 387,384 233,072
Energy Resources of Australia Ltd. 6,563 123,149
Fairfax Media Ltd. 176,367 172,828
Fortescue Metals Group Ltd. (a) 109,670 332,401
Foster's Group Ltd. 166,479 689,792
General Property Trust 783,183 306,476
Goodman Fielder Ltd. 77,271 81,061
Harvey Norman Holdings Ltd. 44,194 117,153
Incitec Pivot Ltd. 143,533 273,158
Insurance Australia Group Ltd. 170,317 480,905
James Hardie Industries NV 35,273 119,020
Leighton Holdings Ltd. 12,576 237,203
Lend Lease Corp., Ltd. 30,026 168,972
Lion Nathan Ltd. 25,803 240,335
Macquarie Airports Group 59,427 110,478
Macquarie Group Ltd. 27,114 848,848
Macquarie Infrastructure Group 207,733 238,803
Metcash Ltd. 65,775 228,308
Mirvac Group 209,500 181,539
National Australia Bank Ltd. 166,752 3,004,240
Newcrest Mining Ltd. 41,901 1,024,114
Nufarm Ltd. 15,187 112,029
OZ Mineral Ltd. 274,214 201,030
1
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
OneSteel Ltd. 109,321 $ 225,964
Orica Ltd. 31,344 545,526
Origin Energy Ltd. 76,011 894,984
Paladin Resources Ltd. (a) 52,047 204,627
Perpetual Trustees Australia Ltd. 1,777 40,749
QBE Insurance Group Ltd. 86,323 1,381,347
Qantas Airways Ltd. 92,627 149,991
Rio Tinto Ltd. 37,896 1,582,966
SP AusNet 91,032 56,444
Santos Ltd. 71,378 836,308
Sims Metal Management Ltd. 13,208 275,028
Sonic Healthcare Ltd. 31,035 307,840
Stockland 197,278 508,885
Suncorp-Metway Ltd. 113,704 611,331
Tabcorp Holdings Ltd. 51,256 294,985
Tatts Group Ltd. 105,192 215,524
Telstra Corp. Ltd. 372,667 1,016,941
Toll Holdings Ltd. 56,456 283,316
Transurban Group 95,317 320,263
Wesfarmers Ltd. Ordinary Shares 87,794 1,598,517
Wesfarmers Ltd. Partially Protected Shares 12,455 235,386
Westfield Group 175,284 1,604,254
Westpac Banking Corp. 252,957 4,115,532
Woodside Petroleum Ltd. 42,593 1,471,421
Woolworths Ltd. 106,581 2,261,219
WorleyParsons Ltd. 14,159 269,848
------------
52,265,229
------------
AUSTRIA - 0.3% Erste Bank der Oesterreichischen
Sparkassen AG 16,773 455,359
OMV AG 14,239 535,313
Raiffeisen International Bank Holding AG 4,730 165,121
Telekom Austria AG 30,350 475,149
Verbund - Oesterreichische
Elektrizitaetswirtschafts AG 5,911 301,549
Vienna Insurance Group 2,534 110,464
Voestalpine AG 10,194 280,784
------------
2,323,739
------------
BELGIUM - 0.9% Anheuser-Busch InBev NV 63,548 2,304,224
Anheuser-Busch InBev NV VVPR Strip (a) 24,368 103
Belgacom SA 14,890 476,163
Colruyt SA 1,471 336,054
Delhaize Group 8,833 621,882
Dexia NV 46,690 356,430
Fortis 182,916 626,315
Groupe Bruxelles Lambert SA 7,108 521,057
KBC Bancassurance Holding 14,083 258,977
Mobistar SA 2,738 169,058
2
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Nationale A Portefeuille 3,872 $ 187,398
Solvay SA 5,095 431,020
UCB SA 8,700 279,387
Umicore SA 11,341 258,520
------------
6,826,588
------------
BERMUDA - 0.1% Mongolia Energy Co. Ltd. (a) 244,297 89,400
SeaDrill Ltd. 24,107 347,179
Yue Yuen Industrial Holdings Ltd. 41,285 97,118
------------
533,697
------------
CAYMAN ISLANDS - 0.0% Foxconn International Holdings Ltd. (a) 148,529 96,567
Lifestyle International Holdings Ltd. 32,013 44,258
------------
140,825
------------
DENMARK - 0.9% A.P. Moller - Maersk A/S Class A 50 293,033
A.P. Moller - Maersk A/S Class B 97 581,181
Carlsberg A/S 9,549 612,573
Coloplast A/S Class B 1,714 117,846
DSV A/S 16,832 208,774
Danske Bank A/S 40,951 706,471
H. Lundbeck A/S 6,200 117,959
Novo-Nordisk A/S Class B 39,602 2,156,932
Novozymes A/S Class B 4,067 330,866
Topdanmark A/S (a) 1,551 181,157
TrygVesta A/S 2,219 130,891
Vestas Wind Systems A/S (a) 18,221 1,307,624
William Demant Holding (a) 1,330 68,876
------------
6,814,183
------------
FINLAND - 1.3% Elisa Corp. 13,141 216,557
Fortum Oyj 39,245 894,523
Kesko Oyj Class B 6,235 165,141
Kone Oyj Class B 13,564 416,518
Metso Oyj 11,856 221,944
Neste Oil Oyj 11,359 158,070
Nokia Oyj 325,001 4,760,345
Nokian Renkaat Oyj 9,415 177,169
OKO Bank 11,124 89,126
Orion Oyj 5,513 86,466
Outokumpu Oyj 10,368 179,165
Rautaruukki Oyj 7,096 142,327
Sampo Oyj 37,840 715,478
Sanoma Oyj 4,060 62,958
Stora Enso Oyj Class R 53,245 281,643
UPM-Kymmene Oyj 46,654 407,144
Wartsila Oyj 7,230 233,451
------------
9,208,025
------------
FRANCE - 9.8% AXA SA 134,009 2,536,387
Accor SA 13,636 543,291
Aeroports de Paris 2,398 176,301
3
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Air France-KLM 11,955 $ 153,328
Air Liquide 21,218 1,946,881
Alcatel SA 204,260 512,232
Alstom 17,164 1,019,143
Atos Origin SA 4,992 169,985
BNP Paribas SA 71,588 4,668,443
BioMerieux 1,193 104,921
Bouygues 20,806 786,843
Bureau Veritas SA 4,034 198,696
CNP Assurances 3,247 310,674
Cap Gemini SA 12,989 480,718
Carrefour SA 54,348 2,330,712
Casino Guichard Perrachon SA 4,366 295,691
Christian Dior SA 5,068 379,639
Cie de Saint-Gobain SA 31,600 1,063,269
Cie Generale d'Optique
Essilor International SA 17,775 850,019
Compagnie Generale de Geophysique SA (a) 13,120 237,508
Compagnie Generale
des Etablissements Michelin 12,919 739,894
Credit Agricole SA 75,180 942,627
Dassault Systemes SA 5,720 253,313
EDP Renovaveis SA (a) 17,823 182,845
Eiffage 3,338 195,072
Electricite de France SA 21,210 1,035,647
Eramet 461 121,093
Eurazeo 2,508 104,449
European Aeronautic Defense and Space Co. 36,223 588,281
Eutelsat Communications 8,923 230,956
Fonciere Des Regions 2,361 178,015
France Telecom SA 156,670 3,564,819
GDF Suez 103,010 3,855,905
Gecina SA 1,392 86,363
Groupe Danone 47,034 2,332,178
Hermes International 4,700 654,377
ICADE 1,353 111,326
Iliad SA 1,114 108,335
Imerys SA 2,523 106,036
Ipsen 2,182 95,600
JCDecaux SA 5,607 89,106
Klepierre 7,347 190,395
L'Oreal SA 20,428 1,533,405
LVMH Moet Hennessy Louis Vuitton SA 20,972 1,608,423
Lafarge SA 5,280 345,689
Lafarge SA (a) 12,444 846,664
Lagardere S.C.A. 10,889 363,031
Legrand Promesses 9,435 206,464
4
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
M6-Metropole Television SA 5,485 $ 104,025
Natixis 90,048 175,263
Neopost SA 2,741 246,818
PagesJaunes Groupe SA 11,204 109,229
Pernod-Ricard SA 17,219 1,088,647
Peugeot SA 13,684 361,248
Pinault-Printemps-Redoute 6,697 549,002
Publicis Groupe 11,154 341,477
Renault SA 15,860 585,972
SCOR SE 15,455 317,546
STMicroelectronics NV 60,216 453,936
Safran SA 16,573 219,508
Sanofi-Aventis 90,246 5,332,626
Schneider Electric SA 19,988 1,529,846
Societe BIC SA 1,668 96,044
Societe Des Autoroutes Paris-Rhin-Rhone 1,437 98,088
Societe Generale SA 39,494 2,167,858
Societe Television Francaise 1 10,396 117,182
Sodexho Alliance SA 8,328 428,792
Suez Environnement SA 23,764 416,448
Technip SA 9,226 454,937
Thales SA 7,881 353,811
Total SA 182,981 9,917,706
Unibail - Rodamco 7,215 1,078,746
Vallourec SA 4,781 584,374
Veolia Environnement SA 33,851 1,000,863
Vinci SA 36,028 1,625,738
Vivendi SA 100,339 2,408,531
------------
71,599,250
------------
GERMANY - 7.5% Adidas-Salomon AG 17,081 650,915
Allianz AG Registered Shares 38,833 3,582,060
BASF SE 79,140 3,153,080
Bayer AG 65,514 3,520,739
Bayerische Motoren Werke AG 29,401 1,110,626
Bayerische Motoren
Werke AG (Preference Shares) 5,309 128,209
Beiersdorf AG 7,770 366,017
Celesio AG 7,514 172,608
Commerzbank AG 63,031 392,917
DaimlerChrysler AG 77,338 2,808,590
Deutsche Bank AG Registered Shares 47,867 2,909,881
Deutsche Boerse AG 16,721 1,301,312
Deutsche Lufthansa AG 20,149 253,045
Deutsche Post AG 75,126 980,920
Deutsche Postbank AG 7,342 187,124
Deutsche Telekom AG 242,627 2,868,474
E.ON AG 163,131 5,790,821
5
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Fraport AG 2,921 $ 125,247
Fresenius AG 2,764 129,337
Fresenius AG (Preference Shares) 7,111 384,728
Fresenius Medical Care AG 16,982 763,111
GEA Group AG 12,993 197,303
Hamburger Hafen und Logistik AG 2,544 98,291
Hannover Rueckversicherung AG
Registered Shares 5,336 197,259
Henkel KGaA 11,896 320,908
Hochtief AG 3,709 187,297
K+S AG 13,183 743,605
Linde AG 13,469 1,106,522
MAN SE 9,287 571,425
Merck KGaA 5,748 584,893
Metro AG 9,987 477,161
Muenchener Rueckversicherungs
AG Registered Shares 17,729 2,395,288
Porsche Automobil
Holding SE (Preference Shares) 7,884 530,680
Puma AG Rudolf Dassler Sport 573 125,494
Qiagen NV (a) 16,105 299,084
RWE AG 35,907 2,831,614
SAP AG 73,503 2,963,526
Salzgitter AG 3,477 306,466
Siemens AG 70,526 4,877,058
Solarworld AG 7,403 175,202
Suedzucker AG 5,494 111,352
TUI AG 15,953 117,785
ThyssenKrupp AG 31,093 774,606
United Internet AG 11,411 134,051
Volkswagen AG 7,493 2,538,516
Wacker Chemie AG 1,383 159,710
------------
54,404,857
------------
GREECE - 0.6% Alpha Bank AE 33,709 369,050
Bank of Cyprus Public Co. Ltd. 52,818 298,393
Coca-Cola Hellenic Bottling Co. SA 14,308 294,901
EFG Eurobank Ergasias SA (a) 27,217 286,283
Hellenic Petroleum SA 7,916 76,539
Hellenic Telecommunications
Organization SA 23,844 364,628
Marfin Investment Group SA 53,258 228,551
National Bank of Greece SA 43,816 1,215,515
OPAP SA 19,803 528,050
Piraeus Bank SA (a) 27,767 276,455
Public Power Corp. 9,270 191,276
Titan Cement Co. SA 3,439 90,753
------------
4,220,394
------------
6
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
HONG KONG - 2.4% ASM Pacific Technology Ltd. 12,504 $ 63,942
BOC Hong Kong Holdings Ltd. 327,900 570,516
Bank of East Asia Ltd. 136,332 413,167
CLP Holdings Ltd. 181,187 1,200,577
Cathay Pacific Airways Ltd. 106,263 145,778
Cheung Kong Holdings Ltd. 122,835 1,404,510
Cheung Kong Infrastructure Holdings Ltd. 31,500 110,350
Chinese Estates Holdings Ltd. 78,000 142,496
Esprit Holdings Ltd. 99,600 553,360
Hang Lung Group Ltd. 82,000 383,709
Hang Lung Properties Ltd. 173,000 569,694
Hang Seng Bank Ltd. 67,753 948,282
Henderson Land Development Co., Ltd. 93,491 533,481
The Hong Kong & China Gas Ltd. 330,290 693,339
Hong Kong Aircraft Engineering Company Ltd. 3,200 37,183
Hong Kong Exchanges and Clearing Ltd. 90,427 1,397,684
HongKong Electric Holdings Ltd. 123,000 683,280
Hopewell Holdings Ltd. 56,349 175,950
Hutchison Whampoa Ltd. 189,176 1,230,617
Hysan Development Co. Ltd. 56,791 145,420
Kerry Properties Ltd. 64,000 278,785
Li & Fung Ltd. 203,990 544,659
The Link REIT 192,914 410,002
MTR Corp. 115,000 343,548
NWS Holdings Ltd. 79,000 142,249
New World Development Ltd. 222,484 400,477
Orient Overseas International Ltd. 19,557 82,988
PCCW Ltd. 411,000 107,022
Shangri-La Asia Ltd. 92,990 137,343
Sino Land Co. 160,421 264,094
Sun Hung Kai Properties Ltd. 124,324 1,543,831
Swire Pacific Ltd. Class A 68,077 683,352
Television Broadcasts Ltd. 17,000 68,084
Wharf Holdings Ltd. 112,870 475,890
Wheelock and Co., Ltd. 91,000 233,869
Wing Hang Bank Ltd. 12,000 104,748
------------
17,224,276
------------
IRELAND - 0.3% Anglo Irish Bank Corp. Plc 62,641 1
CRH Plc 60,348 1,387,054
Elan Corp. Plc (a) 37,704 241,471
Kerry Group Plc 10,783 243,814
Ryanair Holdings Plc (a) 35,968 166,759
------------
2,039,099
------------
ITALY - 3.4% A2A SpA 110,110 201,233
ACEA SpA 7,973 97,360
Alleanza Assicurazioni SpA 37,149 255,305
Assicurazioni Generali SpA 87,925 1,831,222
7
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Autogrill SpA 8,807 $ 74,421
Autostrade SpA 22,588 457,513
Banca Carige SpA 61,682 169,453
Banca Monte dei Paschi di Siena SpA 175,591 283,811
Banca Popolare di Milano Scrl 35,450 211,533
Banco Popolare SpA 56,155 419,935
Enel SpA 565,654 2,761,487
Eni SpA 221,901 5,262,859
Exor SpA 8,247 118,702
Fiat SpA 68,016 685,837
Finmeccanica SpA 35,475 500,270
Fondiaria-SAI SpA 6,498 104,890
Intesa Sanpaolo SpA 655,122 2,117,045
Intesa Sanpaolo SpA
(Non-Convertible Savings Shares) 68,618 169,645
Italcementi SpA 6,190 70,875
Lottomatica SpA 6,170 119,138
Luxottica Group SpA 12,204 253,883
Mediaset SpA 67,339 378,060
Mediobanca SpA 43,163 514,348
Mediolanum SpA 27,409 146,429
Parmalat SpA 150,377 363,206
Pirelli & C. SpA 204,382 71,661
Prysmian SpA 8,838 133,213
Saipem SpA 23,572 575,903
Saras SpA 19,965 57,001
Snam Rete Gas SpA 133,450 586,217
Telecom Italia SpA 847,886 1,175,582
Telecom Italia SpA
(Non-Convertible Savings Shares) 531,106 523,201
Terna SpA 105,250 351,021
UniCredit SpA 1,234,659 3,122,825
Unione di Banche Italiane ScpA 53,164 692,795
Unipol SpA 54,783 64,269
------------
24,922,148
------------
JAPAN - 23.7% The 77 Bank Ltd. 22,000 128,090
ABC-Mart, Inc. 2,200 56,477
Acom Co., Ltd. 4,160 103,675
Advantest Corp. 14,800 269,512
Aeon Co., Ltd. 54,800 540,710
Aeon Credit Service Co., Ltd. 8,900 116,440
Aeon Mall Co. Ltd. 4,900 92,990
Aioi Insurance Co., Ltd. 45,000 205,104
Aisin Seiki Co., Ltd. 16,500 356,456
Ajinomoto Co., Inc. 59,000 466,727
Alfresa Holdings Corp. 1,900 87,778
All Nippon Airways Co., Ltd. 43,000 150,247
8
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Amada Co., Ltd. 31,000 $ 192,113
Aozora Bank Ltd. 70,000 108,068
Asahi Breweries Ltd. 34,200 490,077
Asahi Glass Co., Ltd. 90,100 721,701
Asahi Kasei Corp. 113,000 573,334
Asics Corp. 14,000 127,696
Astellas Pharma, Inc. 40,100 1,416,018
The Bank of Kyoto Ltd. 26,000 240,988
The Bank of Yokohama Ltd. 106,000 567,374
Benesse Corp. 6,500 260,638
Bridgestone Corp. 54,200 849,014
Brother Industries Ltd. 23,000 203,433
Canon, Inc. 92,500 3,021,420
Canon Marketing Japan Inc. 4,700 65,706
Casio Computer Co., Ltd. 20,400 182,719
Central Japan Railway Co. 136 836,058
The Chiba Bank Ltd. 66,000 430,739
Chubu Electric Power Co., Inc. 57,400 1,325,583
Chugai Pharmaceutical Co., Ltd. 19,900 378,674
The Chugoku Bank Ltd. 16,000 221,832
Chugoku Electric Power Co. 22,500 469,779
Chuo Mitsui Trust Holdings, Inc. 84,000 320,065
Citizens Holding Co., Ltd. 32,400 165,917
Coca-Cola West Holdings Co., Ltd. 3,300 63,115
Cosmo Oil Co., Ltd. 42,000 142,196
Credit Saison Co., Ltd. 15,200 192,808
DIC Corp. 30,000 46,864
Dai Nippon Printing Co., Ltd. 51,000 698,285
Daicel Chemical Industries Ltd. 25,000 151,507
Daido Steel Co., Ltd. 24,000 98,123
Daihatsu Motor Co., Ltd. 20,000 185,904
Daiichi Sankyo Co., Ltd. 59,800 1,067,397
Daikin Industries Ltd. 21,400 688,727
Dainippon Pharma Co., Ltd. 17,000 148,328
Daito Trust Construction Co., Ltd. 7,200 339,497
Daiwa House Industry Co., Ltd. 45,000 483,887
Daiwa Securities Group, Inc. 115,000 683,353
Dena Co. Ltd. 24 80,132
Denki Kagaku Kogyo Kabushiki Kaisha 44,000 122,203
Denso Corp. 42,400 1,086,825
Dentsu, Inc. 16,413 344,419
Diamond Lease Co., Ltd. 4,070 132,679
Dowa Mining Co., Ltd. 24,000 99,618
East Japan Railway Co. 29,421 1,771,317
Eisai Co., Ltd. 22,400 795,317
Electric Power Development Co. 11,600 329,138
Elpida Memory, Inc. (a) 10,600 114,158
9
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
FamilyMart Co., Ltd. 5,700 $ 179,106
Fanuc Ltd. 16,700 1,338,277
Fast Retailing Co., Ltd. 4,200 547,363
Fuji Electric Holdings Co., Ltd. 31,800 52,509
Fuji Heavy Industries Ltd. 55,000 222,207
Fuji Media Holdings, Inc. 54 81,265
Fuji Photo Film Co., Ltd. 43,400 1,381,196
Fujitsu Ltd. 162,000 880,022
Fukuoka Financial Group, Inc. 67,000 299,639
Furukawa Electric Co., Ltd. 57,000 256,424
GS Yuasa Corp. 29,000 254,474
The Gunma Bank Ltd. 27,000 150,103
The Hachijuni Bank Ltd. 31,000 175,154
Hakuhodo DY Holdings, Inc. 1,140 61,453
Hankyu Hanshin Holdings, Inc. 96,000 449,428
Hikari Tsushin, Inc. 800 18,035
Hino Motors Ltd. 22,000 68,494
Hirose Electric Co., Ltd. 2,800 298,724
The Hiroshima Bank Ltd. 34,000 141,716
Hisamitsu Pharmaceutical Co., Ltd. 6,300 195,732
Hitachi Chemical Co., Ltd. 8,700 140,075
Hitachi Construction Machinery Co., Ltd. 11,300 183,639
Hitachi High-Technologies Corp. 4,300 73,059
Hitachi Ltd. 293,000 911,821
Hitachi Metals Ltd. 13,000 110,655
Hokkaido Electric Power Co., Inc. 15,900 297,707
Hokuhoku Financial Group, Inc. 88,100 220,831
Hokuriku Electric Power 16,000 365,937
Honda Motor Co., Ltd. 143,300 3,942,305
Hoya Corp. 35,800 717,142
IHI Corp. 98,000 169,286
ITOCHU Corp. 131,000 909,037
ITOCHU Techno-Science Corp. 1,300 38,634
Ibiden Co., Ltd. 11,700 328,066
Idemitsu Kosan Co., Ltd. 2,000 171,346
Inpex Corp. 69 550,150
Isetan Mitsukoshi Holdings Ltd. 30,105 306,302
Isuzu Motors Ltd. 110,000 176,474
Ito En, Ltd. 5,800 82,483
The Iyo Bank Ltd. 23,000 234,439
J. Front Retailing Co. Ltd. 34,600 165,096
JFE Holdings, Inc. 43,600 1,464,843
JGC Corp. 18,000 289,726
JS Group Corp. 22,300 344,159
JSR Corp. 15,900 272,345
JTEKT Corp. 15,600 157,659
Jafco Co., Ltd. 1,900 63,800
10
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Japan Airlines Corp. (a) 87,000 $ 167,877
Japan Petroleum Explora 3,000 166,049
Japan Prime Realty Investment Corp. 62 133,748
Japan Real Estate Investment Corp. 40 331,797
Japan Retail Fund Investment Corp. 37 170,692
The Japan Steel Works, Ltd. 30,000 369,720
Japan Tobacco, Inc. 400 1,250,333
The Joyo Bank Ltd. 52,000 265,319
Jupiter Telecommunications Co., Ltd. 159 120,606
KDDI Corp. 253 1,342,429
Kajima Corp. 67,800 211,061
Kamigumi Co., Ltd. 23,000 194,385
Kaneka Corp. 26,000 184,746
The Kansai Electric Power Co., Inc. 66,100 1,458,065
Kansai Paint Co., Ltd. 14,000 100,309
Kao Corp. 48,000 1,044,498
Kawasaki Heavy Industries Ltd. 142,000 391,152
Kawasaki Kisen Kaisha Ltd. 53,000 217,409
Keihin Electric Express Railway Co., Ltd. 32,000 248,137
Keio Electric Railway Co., Ltd. 42,000 243,963
Keisei Electric Railway Co., Ltd. 31,000 184,821
Keyence Corp. 3,520 717,126
Kikkoman Corp. 16,000 160,230
Kinden Corp. 7,000 61,511
Kintetsu Corp. 137,000 603,886
Kirin Holdings Co., Ltd. 75,000 1,046,367
Kobe Steel Ltd. 208,000 387,382
Komatsu Ltd. 82,500 1,273,763
Konami Corp. 9,800 187,657
Konica Minolta Holdings, Inc. 42,500 444,059
Kubota Corp. 95,000 782,322
Kuraray Co., Ltd. 30,000 332,573
Kurita Water Industries Ltd. 10,600 342,334
Kyocera Corp. 14,100 1,058,545
Kyowa Hakko Kirin Co. Ltd. 22,000 248,204
Kyushu Electric Power Co., Inc. 32,800 705,907
Lawson, Inc. 6,500 286,104
Leopalace21 Corp. 11,400 101,870
Mabuchi Motor Co., Ltd. 2,000 96,489
Makita Corp. 10,500 254,085
Marubeni Corp. 146,000 645,727
Marui Group Co. Ltd. 25,100 175,700
Maruichi Steel Tube Ltd. 4,400 82,981
Matsui Securities Co., Ltd. 7,900 71,638
Mazda Motor Corp. 81,000 207,157
McDonald's Holdings Co. Japan Ltd. 7,027 130,485
Mediceo Paltac Holdings Co., Ltd. 9,400 107,324
11
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Meiji Holdings Co. Ltd. 4,993 $ 201,099
Minebea Co., Ltd. 29,000 123,417
Mitsubishi Chemical Holdings Corp. 103,000 435,664
Mitsubishi Corp. 117,500 2,168,253
Mitsubishi Electric Corp. 167,000 1,055,462
Mitsubishi Estate Co., Ltd. 102,000 1,693,371
Mitsubishi Gas Chemical Co., Inc. 31,000 169,023
Mitsubishi Heavy Industries Ltd. 269,200 1,114,034
Mitsubishi Logistics Corp. 9,000 99,430
Mitsubishi Materials Corp. 99,000 308,224
Mitsubishi Motors Corp. (a) 292,000 547,251
Mitsubishi Rayon Co., Ltd. 57,000 165,636
Mitsubishi Tanabe Pharma Corp. 20,000 229,773
Mitsubishi UFJ Financial Group, Inc. 803,274 4,960,053
Mitsui & Co., Ltd. 151,000 1,789,301
Mitsui Chemicals, Inc. 55,000 175,325
Mitsui Engineering & Shipbuilding Co., Ltd. 58,000 136,238
Mitsui Fudosan Co., Ltd. 73,000 1,266,124
Mitsui Mining & Smelting Co., Ltd. 63,000 162,654
Mitsui OSK Lines Ltd. 100,000 646,234
Mitsui Sumitomo
Insurance Group Holdings, Inc. 36,557 956,360
Mitsumi Electric Co., Ltd. 7,400 158,076
Mizuho Financial Group, Inc. 822,637 1,911,263
Murata Manufacturing Co., Ltd. 18,600 793,837
NEC Corp. 167,000 653,234
NGK Insulators Ltd. 23,000 468,781
NGK Spark Plug Co., Ltd. 15,000 143,195
NHK Spring Co., Ltd. 9,000 60,318
NOK Corp. 10,600 123,163
NSK Ltd. 35,000 177,176
NTN Corp. 26,000 104,139
NTT Data Corp. 113 364,754
NTT DoCoMo, Inc. 1,349 1,973,098
NTT Urban Development Co. 70 67,479
Namco Bandai Holdings, Inc. 16,700 183,161
Nidec Corp. 9,500 578,259
Nikon Corp. 29,000 501,716
Nintendo Co., Ltd. 8,600 2,380,092
Nippon Building Fund, Inc. 45 384,659
Nippon Electric Glass Co. 30,500 340,974
Nippon Express Co., Ltd. 74,000 335,940
Nippon Meat Packers, Inc. 18,000 226,628
Nippon Mining Holdings, Inc. 78,500 405,648
Nippon Oil Corp. 113,000 665,402
Nippon Paper Group, Inc. 8,500 219,889
Nippon Sanso Corp. 20,000 191,174
12
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Nippon Sheet Glass Co., Ltd. 58,000 $ 169,005
Nippon Steel Corp. 454,000 1,738,099
Nippon Telegraph & Telephone Corp. 44,300 1,804,136
Nippon Yusen Kabushiki Kaisha 100,000 430,619
Nipponkoa Insurance Co., Ltd. 53,000 308,345
The Nishi-Nippon City Bank Ltd. 48,000 121,264
Nissan Chemical Industries Ltd. 16,000 179,859
Nissan Motor Co., Ltd. 216,000 1,310,881
Nissay Dowa General Insurance Co., Ltd. 8,000 38,646
Nisshin Seifun Group, Inc. 12,500 148,515
Nisshin Steel Co., Ltd. 61,000 136,165
Nisshinbo Industries, Inc. 12,000 135,373
Nissin Foods Holdings Co., Ltd. 7,500 226,787
Nitori Co., Ltd. 3,450 244,313
Nitto Denko Corp. 14,110 430,193
Nomura Holdings, Inc. 216,100 1,824,067
Nomura Real Estate Holdings, Inc. 8,500 146,304
Nomura Real Estate Office Fund, Inc. 20 127,150
Nomura Research Institute Ltd. 8,700 192,855
OJI Paper Co., Ltd. 73,000 313,643
ORIX Corp. 7,610 452,948
Obayashi Corp. 58,000 283,917
Obic Co., Ltd. 430 69,681
Odakyu Electric Railway Co., Ltd. 53,000 453,104
Olympus Corp. 20,000 470,987
Omron Corp. 14,500 210,079
Ono Pharmaceutical Co., Ltd. 7,600 341,868
Onward Holdings Co., Ltd. 7,000 44,982
Oracle Corp. Japan 2,400 88,015
Oriental Land Co., Ltd. 4,100 274,899
Osaka Gas Co., Ltd. 169,000 538,688
Osaka Titanium Technologies Co. 1,500 54,961
Otsuka Shokai Co., Ltd. 700 37,383
Panasonic Corp. 167,000 2,249,921
Panasonic Electric Works Ltd. 32,873 310,702
Promise Co., Ltd. 5,900 75,279
Rakuten, Inc. 641 386,253
Resona Holdings, Inc. 44,700 626,575
Ricoh Co., Ltd. 58,000 747,167
Rinnai Corp. 3,800 167,949
Rohm Co., Ltd. 8,700 634,560
SBI Holdings, Inc. 1,486 301,781
SMC Corp. 4,900 526,134
Sankyo Co., Ltd. (Gunma) 4,600 245,380
Santen Pharmaceutical Co., Ltd. 6,700 203,066
Sanyo Electric Co., Ltd. (a) 154,000 398,849
Sapporo Hokuyo Holdings, Inc. 17,000 48,761
13
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Sapporo Holdings Ltd. 23,000 $ 131,553
Secom Co., Ltd. 18,200 738,660
Sega Sammy Holdings, Inc. 17,632 223,475
Seiko Epson Corp. 10,300 168,093
Sekisui Chemical Co., Ltd. 39,000 244,465
Sekisui House Ltd. 45,000 455,758
Seven & I Holdings Co., Ltd. 68,400 1,604,158
Seven Bank Ltd. 49 128,496
Sharp Corp. 87,000 902,559
Shikoku Electric Power Co., Inc. 16,200 483,159
Shimadzu Corp. 26,000 207,749
Shimamura Co., Ltd. 1,900 151,284
Shimano, Inc. 5,600 215,156
Shimizu Corp. 53,000 230,042
Shin-Etsu Chemical Co., Ltd. 36,500 1,692,830
Shinko Electric Industries 3,400 42,012
Shinko Securities Co., Ltd. 40,300 126,118
Shinsei Bank Ltd. 100,000 159,655
Shionogi & Co., Ltd. 27,000 521,667
Shiseido Co., Ltd. 31,000 507,149
The Shizuoka Bank Ltd. 52,000 514,631
Showa Denko KK 103,000 183,705
Showa Shell Sekiyu KK 19,900 210,567
Softbank Corp. 65,600 1,277,949
Sojitz Corp. 110,100 241,449
Sompo Japan Insurance, Inc. 77,800 518,431
Sony Corp. 87,200 2,274,962
Sony Financial Holdings, Inc. 77 212,302
Square Enix Holdings Co., Ltd. 5,500 129,171
Stanley Electric Co., Ltd. 12,300 249,416
Sumco Corp. 11,300 160,540
Sumitomo Chemical Co., Ltd. 140,000 629,601
Sumitomo Corp. 97,700 993,091
Sumitomo Electric Industries Ltd. 67,000 751,192
Sumitomo Heavy Industries Ltd. 55,000 244,672
Sumitomo Metal Industries Ltd. 301,000 800,141
Sumitomo Metal Mining Co., Ltd. 47,000 660,250
Sumitomo Mitsui Financial Group, Inc. 78,310 3,168,838
Sumitomo Realty & Development Co., Ltd. 33,000 602,537
Sumitomo Rubber Industries, Ltd. 17,100 137,473
The Sumitomo Trust & Banking Co., Ltd. 125,000 670,736
Suruga Bank Ltd. 19,000 181,782
Suzuken Co., Ltd. 5,000 144,851
Suzuki Motor Corp. 31,800 713,046
T&D Holdings, Inc. 19,850 567,133
TDK Corp. 10,900 511,692
THK Co., Ltd. 9,200 137,149
14
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Taiheiyo Cement Corp. 78,000 $ 133,666
Taisei Corp. 93,000 224,180
Taisho Pharmaceutical Co., Ltd. 11,000 208,190
Takashimaya Co., Ltd. 24,000 188,911
Takeda Pharmaceutical Co., Ltd. 66,600 2,589,403
Teijin Ltd. 85,000 273,212
Terumo Corp. 15,000 661,307
Tobu Railway Co., Ltd. 66,000 387,405
Toho Co., Ltd. 7,400 120,371
Toho Gas Co., Ltd. 45,000 182,755
Tohoku Electric Power Co., Inc. 36,900 770,811
Tokio Marine Holdings, Inc. 62,700 1,721,529
Tokuyama Corp. 20,000 146,806
Tokyo Broadcasting System HD 3,500 54,998
The Tokyo Electric Power Co., Inc. 105,700 2,717,685
Tokyo Electron Ltd. 15,000 723,898
Tokyo Gas Co., Ltd. 201,000 718,059
Tokyo Steel Manufacturing Co., Ltd. 9,700 118,070
Tokyo Tatemono Co., Ltd. 25,000 139,222
Tokyu Corp. 98,000 494,372
Tokyu Land Corp. 39,000 177,184
TonenGeneral Sekiyu KK 25,000 254,450
Toppan Printing Co., Ltd. 49,000 493,677
Toray Industries, Inc. 117,700 599,110
Toshiba Corp. 340,000 1,231,801
Tosoh Corp. 49,000 138,603
Toto Ltd. 22,000 153,531
Toyo Seikan Kaisha Ltd. 21,800 456,799
Toyoda Gosei Co., Ltd. 5,300 143,107
Toyota Boshoku Corp. 3,800 56,646
Toyota Industries Corp. 15,400 382,773
Toyota Motor Corp. 239,300 9,049,697
Toyota Tsusho Corp. 16,700 247,338
Trend Micro, Inc. 9,500 303,350
Tsumura & Co. 5,500 171,630
UNY Co., Ltd. 16,000 136,707
USS Co., Ltd. 1,440 74,172
Ube Industries Ltd. 90,000 251,158
Uni-Charm Corp. 3,600 275,022
Ushio, Inc. 7,800 124,428
West Japan Railway Co. 148 489,440
Yahoo! Japan Corp. 1,276 405,825
Yakult Honsha Co., Ltd. 6,800 129,901
Yamada Denki Co., Ltd. 7,440 432,847
Yamaguchi Financial Group, Inc. 21,000 276,962
Yamaha Corp. 12,000 149,566
15
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Yamaha Motor Co., Ltd. 17,300 $ 192,181
Yamato Kogyo Co. Ltd. 3,500 103,039
Yamato Transport Co., Ltd. 35,000 465,355
Yamazaki Baking Co., Ltd. 8,000 90,371
Yaskawa Electric Corp. 21,000 139,454
The Yasuda Trust & Banking Co., Ltd. 145,000 187,460
Yokogawa Electric Corp. 12,700 85,585
------------
173,006,281
------------
KAZAKHSTAN - 0.0% Eurasian Natural Resources Corp. 24,271 262,643
------------
LUXEMBOURG - 0.5% ArcelorMittal 73,925 2,446,413
SES Global 24,950 477,095
Tenaris SA 41,388 564,615
------------
3,488,123
------------
NETHERLANDS - 2.3% ASML Holding NV 38,259 829,266
Aegon NV 122,107 755,972
Akzo Nobel NV 21,126 933,836
Corio NV 3,871 188,788
Fugro NV 5,841 243,249
Heineken Holding NV 10,233 326,956
Heineken NV 22,042 821,474
ING Groep NV CVA 167,621 1,698,181
Koninklijke Ahold NV 105,789 1,219,590
Koninklijke Boskalis Westminster NV 4,333 98,634
Koninklijke DSM NV 12,880 405,034
Koninklijke KPN NV 151,428 2,089,369
Koninklijke Philips Electronics NV 83,376 1,539,379
Randstad Holdings NV 8,903 247,418
Reed Elsevier NV 55,275 611,194
SBM Offshore NV 12,965 222,636
TNT NV 32,661 638,391
Unilever NV 139,902 3,383,693
Wolters Kluwer NV 23,939 419,964
------------
16,673,024
------------
NEW ZEALAND - 0.1% Auckland International Airport Ltd. 55,023 57,108
Contact Energy Ltd. 21,295 80,253
Fletcher Building Ltd. 50,667 214,936
Sky City Ltd. 35,133 60,689
Telecom Corp. of New Zealand Ltd. 161,245 283,042
------------
696,028
------------
NORWAY - 0.6% DnB NOR ASA 64,699 494,363
Norsk Hydro ASA 60,604 312,268
Orkla ASA 73,076 531,373
Renewable Energy Corp. ASA (a) 22,105 172,602
StatoilHydro ASA 101,632 2,007,554
Telenor ASA 55,995 432,106
Telenor ASA (a)(b) 5,999 138,277
16
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Yara International ASA 17,100 $ 481,419
------------
4,569,962
------------
PORTUGAL - 0.3% Banco Comercial
Portugues SA Registered Shares 209,889 213,707
Banco Espirito Santo SA Registered Shares 41,729 225,027
Brisa-Auto Estradas
de Portugal SA Private Shares 20,401 146,652
Cimpor Cimentos de Portugal SA 26,806 195,824
Energias de Portugal SA 162,301 637,563
Galp Energia SGPS SA 15,896 224,071
Jeronimo Martins SGPS SA 17,014 116,052
Portugal Telecom SGPS SA Registered Shares 53,624 526,005
------------
2,284,901
------------
SINGAPORE - 1.3% Ascendas Real Estate Investment Trust 124,962 136,238
CapitaLand Ltd. 239,749 609,573
CapitaMall Trust 157,700 151,672
City Developments Ltd. 46,535 274,231
ComfortDelgro Corp. Ltd. 125,816 110,836
Cosco Corp. Ltd. 97,002 83,076
DBS Group Holdings Ltd. 153,407 1,243,693
Fraser and Neave Ltd. 71,096 190,494
Genting Singapore Plc (a) 355,903 166,606
Golden Agri-Resources Ltd. 524,876 136,805
Jardine Cycle & Carriage Ltd. 10,721 141,508
Keppel Corp. Ltd. 119,616 566,994
Neptune Orient Lines Ltd. 44,200 44,871
Noble Group Ltd. 143,720 179,129
Olam International Ltd. 115,900 193,273
Oversea-Chinese Banking Corp. 222,914 1,023,443
Sembcorp Industries Ltd. 81,590 169,191
Sembcorp Marine Ltd. 87,197 160,721
Singapore Airlines Ltd. 44,009 402,911
Singapore Exchange Ltd. 81,000 394,443
Singapore Press Holdings Ltd. 130,316 283,578
Singapore Technologies Engineering Ltd. 114,213 192,448
Singapore Telecommunications Ltd. 713,132 1,471,294
StarHub Ltd. 66,769 98,442
UOL Group Ltd. 24,457 55,494
United Overseas Bank Ltd. 107,572 1,085,486
Wilmar International Ltd. 73,670 254,099
------------
9,820,549
------------
SPAIN - 4.4% ACS Actividades de
Construccion y Servicios, SA 13,493 684,943
Abertis Infraestructuras SA 24,700 466,451
Acciona SA 2,511 310,070
Acerinox SA 12,303 228,563
Banco Bilbao Vizcaya Argentaria SA 304,686 3,836,467
17
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Banco de Sabadell SA 80,602 $ 504,129
Banco de Valencia SA 14,285 138,892
Banco Popular Espanol SA 67,888 594,013
Banco Santander SA 698,017 8,437,768
Bankinter SA 27,057 320,991
Cintra Concesiones
de Infraestructuras de Transporte SA 21,741 135,448
Corp. Mapfre SA 63,096 206,144
Criteria Caixacorp. SA 73,842 342,242
Enagas 15,736 310,544
Fomento de Construcciones y Contratas SA 3,759 154,670
Gamesa Corp. Tecnologica SA 16,408 312,822
Gas Natural SDG SA 19,674 359,285
Gestevision Telecinco SA 10,684 100,056
Grifols SA 11,234 199,279
Grupo Ferrovial SA 5,552 178,955
Iberdrola Renovables 74,326 340,751
Iberdrola SA 315,395 2,571,923
Iberia Lineas Aereas de Espana 40,744 86,669
Inditex SA 19,050 916,823
Indra Sistemas SA 9,965 216,279
Red Electrica de Espana 9,397 425,965
Repsol YPF SA 62,614 1,401,612
Sacyr Vallehermoso SA 6,339 88,178
Telefonica SA 363,182 8,247,745
Zardoya Otis SA 9,124 191,019
------------
32,308,696
------------
SWEDEN - 2.3% Alfa Laval AB 30,393 291,273
Assa Abloy AB Series B 29,377 410,773
Atlas Copco AB Class A 60,148 605,643
Atlas Copco AB Class B 31,386 285,135
Electrolux AB 23,658 330,967
Getinge AB Class B 16,341 214,527
Hennes & Mauritz AB B Shares 43,990 2,196,610
Holmen AB Class B 3,145 68,865
Husqvarna AB 29,187 159,325
Investor AB 38,800 599,947
Lundin Petroleum AB (a) 17,302 134,525
Millicom International Cellular SA (a)(b) 6,200 349,742
Nordea Bank AB 278,634 2,214,409
SKB AB 34,287 423,780
SSAB AB A Shares 15,321 178,943
SSAB AB B Shares 6,267 67,665
Sandvik AB 87,411 651,498
Scania AB 24,889 247,638
Securitas AB 29,048 247,370
Skandinaviska Enskilda Banken AB Class A 131,049 579,610
18
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Skanska AB Class B 34,605 $ 388,258
Svenska Cellulosa AB 49,112 517,072
Svenska Handelsbanken Class A 42,512 806,165
Swedbank AB A Shares 34,000 198,767
Swedish Match AB 22,750 370,617
Tele2 AB 26,466 268,037
Telefonaktiebolaget LM Ericsson 257,889 2,540,576
TeliaSonera AB 191,201 1,006,330
Volvo AB A Shares 31,413 194,123
Volvo AB B Shares 94,052 582,516
------------
17,130,706
------------
SWITZERLAND - 7.5% ABB Ltd. 196,263 3,099,126
Actelion Ltd. (a) 8,704 456,213
Adecco SA Registered Shares 10,847 453,374
Aryzta AG (a) 7,200 232,229
BKW FMB Energie AG 995 73,263
Baloise Holding AG 4,412 328,091
Compagnie Financiere Richemont SA 45,289 944,199
Credit Suisse Group AG 100,261 4,593,557
Geberit AG 3,498 430,987
Givaudan SA 674 413,734
Holcim Ltd. (a) 18,133 1,032,387
Julius Baer Holding AG Class B 18,593 723,123
Kuehne & Nagel International AG 4,766 374,372
Lindt & Spruengli AG 75 140,187
Lindt & Spruengli AG 'R' Shares 9 199,206
Logitech International SA (a) 15,223 211,602
Lonza Group AG Registered Shares 4,470 444,665
Nestle SA Registered Shares 323,069 12,198,584
Nobel Biocare Holding AG 10,422 228,073
Novartis AG Registered Shares 188,616 7,678,037
Pargesa Holding SA 2,669 166,683
Roche Holding AG 62,431 8,506,362
SGS SA 415 515,465
Schindler Holding AG 3,746 233,032
Schindler Holding AG Registered Shares 2,287 141,607
Sonova Holding AG 4,167 339,307
Straumann Holding AG Registered Shares 806 147,075
The Swatch Group Ltd. Bearer Shares 2,721 437,926
The Swatch Group Ltd. Registered Shares 4,656 152,915
Swiss Life Holding 2,993 259,045
Swiss Reinsurance Co. Registered Shares 30,900 1,022,085
Swisscom AG 2,087 642,214
Syngenta AG 8,442 1,964,166
Synthes, Inc. 5,231 505,811
UBS AG 286,878 3,522,407
19
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Zurich Financial Services AG 12,800 $ 2,262,442
------------
55,073,551
------------
UNITED KINGDOM - 20.4% 3i Group Plc 85,891 343,616
Admiral Group Plc 13,207 189,387
Amec Plc 28,892 311,331
Anglo American Plc (a) 113,879 3,329,716
Antofagasta Plc 33,636 326,569
Associated British Foods Plc 30,278 381,451
AstraZeneca Plc 125,205 5,520,593
Autonomy Corp. Plc (a) 18,514 438,683
Aviva Plc 230,090 1,295,493
BAE Systems Plc 305,449 1,706,855
BG Group Plc 290,448 4,891,049
BHP Billiton Plc 190,913 4,302,913
BP Plc 1,620,524 12,805,066
BT Group Plc 670,729 1,123,803
Balfour Beatty Plc 42,120 214,635
Barclays Plc 817,657 3,799,689
Berkeley Group Holdings Plc (a) 4,666 61,855
British Airways Plc 49,181 101,340
British American Tobacco Plc 172,688 4,766,905
British Land Co. Plc 73,957 465,696
British Sky Broadcasting Plc 98,375 738,473
Bunzl Plc 30,014 248,895
Burberry Group Plc 38,331 267,136
Cable & Wireless Plc 220,100 483,101
Cadbury Plc 118,114 1,009,601
Cairn Energy Plc (a) 11,971 462,864
Capita Group Plc 52,466 618,614
Carnival Plc 13,985 372,471
The Carphone Warehouse Plc 32,874 85,653
Centrica Plc 442,173 1,625,884
Cobham Plc 99,291 282,800
Compass Group Plc 159,986 903,073
Diageo Plc 216,226 3,105,677
Drax Group Plc 29,555 213,938
Experian Group Ltd. 88,889 666,605
FirstGroup Plc 43,014 253,999
Fresnillo Plc 16,417 140,966
Friends Group Provident Plc 186,698 201,894
GlaxoSmithKline Plc 448,632 7,924,320
Group 4 Securicor Plc 107,676 370,866
HSBC Holdings Plc 1,487,969 12,396,518
Hammerson Plc 59,263 300,508
Home Retail Group 74,881 321,435
ICAP Plc 44,449 331,056
Imperial Tobacco Group Plc 87,941 2,288,886
20
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Intercontinental Hotels Group Plc 21,866 $ 225,090
International Power Plc 131,704 517,309
Invensys Plc 69,692 257,329
Investec Plc 30,571 164,690
J Sainsbury Plc 97,323 502,599
Johnson Matthey Plc 18,844 357,837
Kazakhmys Plc 18,613 194,109
Kingfisher Plc 204,702 600,567
Ladbrokes Plc 53,298 161,516
Land Securities Group Plc 65,501 509,371
Legal & General Group Plc 504,688 472,059
Liberty International Plc 39,129 256,512
Lloyds TSB Group Plc 1,439,101 1,658,981
London Stock Exchange Group Plc 12,046 139,500
Lonmin Plc 13,315 258,079
Man Group Plc 148,011 678,466
Marks & Spencer Group Plc 136,726 689,457
National Grid Plc 210,159 1,896,412
Next Plc 17,113 414,619
Old Mutual Plc 457,899 611,510
Pearson Plc 70,225 707,185
Prudential Plc 216,153 1,477,505
Rangold Resources Ltd. 6,662 429,332
Reckitt Benckiser Plc 51,970 2,373,360
Reed Elsevier Plc 95,363 712,424
Rexam Plc 54,834 257,730
Rio Tinto Plc Registered Shares 77,493 2,683,691
Rolls-Royce Group Plc 160,446 959,302
Royal & Sun Alliance Insurance Group 288,945 573,745
Royal Bank of Scotland Group Plc 1,501,988 954,655
Royal Dutch Shell Plc 305,285 7,657,855
Royal Dutch Shell Plc Class B 233,157 5,869,819
SABMiller Plc 77,853 1,589,595
Sage Group Plc 112,528 330,625
Schroders Plc 11,024 149,165
Scottish & Southern Energy Plc 79,703 1,499,550
Segro Plc 459,901 183,909
Serco Group Plc 45,013 313,241
Severn Trent Plc 20,494 369,569
Shire Ltd. 48,594 670,685
Smith & Nephew Plc 76,559 568,385
Smiths Group Plc 33,796 391,046
Standard Chartered Plc 164,102 3,085,610
Standard Life Plc 171,156 525,702
TUI Travel Plc 48,876 186,836
Tesco Plc 680,320 3,972,964
Thomas Cook Group Plc 31,456 106,587
21
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
(PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COUNTRY COMMON STOCKS SHARES VALUE
- ------- ------------------------------------------- --------- ------------
Thomson Reuters Plc 14,933 $ 427,103
Tomkins Plc 78,603 191,736
Tullow Oil Plc 69,258 1,072,665
Unilever Plc 111,046 2,609,811
United Utilities Group Plc 59,147 485,010
Vedanta Resources Plc 12,258 260,964
Vodafone Group Plc 4,538,978 8,828,032
WPP Plc 108,907 724,232
Whitbread Plc 17,348 233,996
William Morrison Supermarkets Plc 186,350 727,845
Wolseley Plc 25,561 489,321
Xstrata Plc 164,343 1,786,121
------------
148,994,798
------------
TOTAL COMMON STOCKS - 98.1% 716,831,572
------------
INVESTMENT COMPANIES
UNITED STATES - 0.2% iShares MSCI EAFE Index Fund (c) 35,845 1,642,059
------------
TOTAL INVESTMENT COMPANIES - 0.2% 1,642,059
------------
PREFERRED STOCKS
GERMANY - 0.2% Henkel KGaA, 1.75% 15,700 490,298
RWE AG, 3.50% 2,932 195,796
Volkswagen AG, 4.35% 9,274 648,974
------------
TOTAL PREFERRED STOCKS - 0.2% 1,335,068
------------
WARRANTS (d)
ITALY - 0.0% Unione di Banche Italiane ScpA (expires
6/30/11) 53,164 --
------------
SINGAPORE - 0.0% Golden Agri-Resources Ltd. (expires
5/27/12) 35,691 --
------------
TOTAL WARRANTS - 0.0% --
COUNTRY RIGHTS
BELGIUM - 0.0% Fortis (expires 7/01/14) 184,182 --
------------
JAPAN - 0.0% Dowa Mining Co., Ltd. (expires 1/29/10) 7,000 --
------------
NORWAY - 0.0% Renewable Energy Corp. ASA (expires 7/13/09) 7,622 27,263
------------
SINGAPORE - 0.0% Golden Agri-Resources Ltd. (expires 7/16/09) 89,228 12,321
Neptune Orient Lines Ltd. (expires 7/08/09) 33,150 4,005
------------
16,326
------------
SPAIN - 0.0% Zardoya Otis SA 9,124 9,280
------------
UNITED KINGDOM - 0.1% Rio Tinto Plc (expires 7/01/09) 40,684 467,192
------------
TOTAL RIGHTS - 0.1% 520,061
------------
TOTAL LONG-TERM INVESTMENTS
(COST - $850,722,029) - 98.6%
720,328,760
------------
SHORT-TERM SECURITIES
BlackRock Liquidity Funds,
TempCash, 0.489% (e)(f)
2,133,954 2,133,954
------------
TOTAL SHORT-TERM SECURITIES
(COST - $2,133,954) - 0.3% 2,133,954
------------
22
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
TOTAL INVESTMENTS
(COST - $852,855,983*) - 98.9% $722,462,714
OTHER ASSETS LESS LIABILITIES - 1.1% 8,073,429
------------
NET ASSETS - 100.0% $730,536,143
============
* The cost and unrealized appreciation (depreciation) of investments as of
June 30, 2009, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 871,955,481
=============
Gross unrealized appreciation $ 47,116,946
Gross unrealized depreciation (196,609,713)
-------------
Net unrealized depreciation $(149,492,767)
=============
(a) Non-income producing security.
(b) Depositary receipts.
(c) All or a portion of security has been pledged as collateral in connection
with open financial futures contracts.
(d) 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.
(e) Represents the current yield as of report date.
(f) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
AFFILIATE NET ACTIVITY INCOME
- --------- -------------- ------
BlackRock Liquidity Funds, TempCash 2,133,954 $6,108
BlackRock Liquidity Series, LLC Cash Sweeps Series USD(11,259,665) $4,364
- - For Series compliance purposes, the Series' industry classifications refer
to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Series management. This definition may not apply for purposes of
this report, which may combine industry sub-classifications for reporting
ease.
- - Financial futures contracts purchased as of June 30, 2009 were as follows:
UNREALIZED
EXPIRATION FACE APPRECIATION
CONTRACTS ISSUE EXCHANGE DATE VALUE (DEPRECIATION)
- --------- ---------------------- --------- -------------- ---------- --------------
23 OMX Stock Index Future Stockholm July 2009 $ 232,893 $ 4,124
70 DJ Euro Stoxx 50 Eurex September 2009 $2,365,159 (10,320)
27 FTSE 100 Index Future LIFFE September 2009 $1,906,163 (32,514)
7 SPI 200 Index Future Sydney September 2009 $ 554,914 (4,813)
17 TOPIX Index Future Tokyo September 2009 $1,650,177 (18,735)
--------
TOTAL $(62,258)
========
23
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
- - Foreign currency exchange contracts as of June 30, 2009 were as follows:
UNREALIZED
CURRENCY CURRENCY SETTLEMENT APPRECIATION
PURCHASED SOLD COUNTERPARTY DATE (DEPRECIATION)
----------------- ----------------- -------------- ---------- --------------
AUD 456,000 USD 368,676 UBS AG 7/01/09 $ (1,230)
SGD 10,000 USD 6,885 UBS AG 7/01/09 19
USD 598,174 AUD 741,000 UBS AG 7/01/09 1,075
USD 1,403,579 EUR 1,000,000 UBS AG 7/01/09 720
USD 801,795 GBP 487,000 UBS AG 7/01/09 584
USD 2,074,443 JPY 200,000,000 UBS AG 7/01/09 (1,645)
USD 204,873 SEK 1,581,000 UBS AG 7/01/09 (62)
USD 193,544 HKD 1,500,000 UBS AG 7/02/09 (3)
AUD 91,000 USD 69,433 Brown Brothers 8/13/09 3,646
Harriman & Co.
CHF 170,000 USD 152,536 Brown Brothers 8/13/09 4,009
Harriman & Co.
EUR 128,000 USD 173,194 Brown Brothers 8/13/09 6,370
Harriman & Co.
GBP 232,000 USD 355,423 Brown Brothers 8/13/09 26,248
Harriman & Co.
HKD 691,000 USD 89,214 Brown Brothers 8/13/09 (19)
Harriman & Co.
JPY 55,539,000 USD 577,611 Brown Brothers 8/13/09 (794)
Harriman & Co.
SEK 449,000 USD 57,710 Brown Brothers 8/13/09 484
Harriman & Co.
USD 284,585 EUR 209,000 Brown Brothers 8/13/09 (8,609)
Harriman & Co.
USD 89,156 HKD 691,000 Brown Brothers 8/13/09 (40)
Harriman & Co.
USD 181,876 JPY 17,883,000 Brown Brothers 8/13/09 (3,853)
Harriman & Co.
USD 36,379 NOK 234,000 Brown Brothers 8/13/09 30
Harriman & Co.
DKK 233,000 USD 42,393 HSBC Bank USA, 8/13/09 1,467
NA
NOK 234,000 USD 36,617 HSBC Bank USA, 8/13/09 (269)
NA
AUD 1,461,000 USD 1,113,543 UBS AG 8/13/09 59,731
DKK 330,000 USD 59,821 UBS AG 8/13/09 2,298
EUR 2,824,000 USD 3,940,669 UBS AG 8/13/09 20,960
GBP 2,041,600 USD 3,114,166 UBS AG 8/13/09 244,535
JPY 263,123,000 USD 2,679,986 UBS AG 8/13/09 52,758
NOK 1,500,000 USD 237,363 UBS AG 8/13/09 (4,361)
NZD 146,000 USD 87,541 UBS AG 8/13/09 6,407
USD 1,196,646 AUD 1,552,000 UBS AG 8/13/09 (49,706)
USD 154,445 CHF 170,000 UBS AG 8/13/09 (2,100)
USD 103,299 DKK 563,000 UBS AG 8/13/09 (2,681)
24
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
- - Foreign currency exchange contracts as of June 30, 2009 were as follows:
UNREALIZED
CURRENCY CURRENCY SETTLEMENT APPRECIATION
PURCHASED SOLD COUNTERPARTY DATE (DEPRECIATION)
----------------- ----------------- -------------- ---------- --------------
USD 1,874,399 EUR 1,341,000 UBS AG 8/13/09 $ (6,813)
USD 3,321,349 GBP 2,078,000 UBS AG 8/13/09 (97,235)
USD 1,849,699 JPY 178,125,000 UBS AG 8/13/09 (272)
USD 237,556 NOK 1,500,000 UBS AG 8/13/09 4,554
USD 93,193 NZD 146,000 UBS AG 8/13/09 (755)
--------
TOTAL $255,448
========
- - CURRENCY ABBREVIATIONS:
AUD Australian Dollar
CHF Swiss Franc
DKK Danish Krone
EUR Euro
GBP British Pound
HKD Hong Kong Dollar
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
SGD Singapore Dollar
USD US Dollar
- - Financial Accounting Standards Board Statement of Financial Accounting
Standards No. 157, "Fair Value Measurements", clarifies the definition of
fair value, establishes a framework for measuring fair values and requires
additional disclosures about the use of fair value measurements. Various
inputs are used in determining the fair value of investments, which are as
follows:
- Level 1 - price quotations in active markets/exchanges for identical
securities
- 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)
The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in
those securities. For information about the Series' policy regarding
valuation of investments and other significant accounting policies,
please refer to Note 1 of the Notes to Financial Statements.
25
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
The following table summarizes the inputs used as of June 30, 2009 in
determining the fair valuation of the Series' investments:
INVESTMENTS IN
VALUATION SECURITIES
INPUTS ASSETS
- ------------------------ --------------
Level 1
Long-Term Investments
Common Stock:
Belgium $ 102
France 345,689
Italy 118,702
Japan 201,099
Norway 138,277
Switzerland 1,022,084
United Kingdom 2,683,691
Investment Companies:
United States 1,642,059
Rights:
Norway 27,263
Singapore 4,005
Spain 9,280
United Kingdom 467,192
Short-Term Securities 2,133,954
------------
Total Level 1 8,793,397
------------
Level 2
Long-Term Investments
Common Stock:
Australia 52,265,229
Austria 2,323,739
Belgium 6,826,486
Bermuda 533,697
Cayman Islands 140,825
Denmark 6,814,183
Finland 9,208,025
France 71,253,561
Germany 54,404,857
Greece 4,220,394
Hong Kong 17,224,276
Ireland 2,039,099
Italy 24,803,446
Japan 172,805,182
Kazakhstan 262,643
Luxembourg 3,488,123
Netherlands 16,673,024
New Zealand 696,028
26
MASTER INTERNATIONAL INDEX SERIES OF QUANTITATIVE MASTER SERIES LLC
SCHEDULE OF INVESTMENTS JUNE 30, 2009 (UNAUDITED)
INVESTMENTS IN
VALUATION SECURITIES
INPUTS ASSETS
- ------------------------ --------------
Norway 4,431,685
Portugal 2,284,901
Singapore 9,820,549
Spain 32,308,696
Sweden 17,130,706
Switzerland 54,051,467
United Kingdom 146,311,107
Preferred Stocks:
Germany 1,335,068
Warrants:
Italy --
Rights:
Belgium --
Singapore 12,321
-----------
Total Level 2 $713,669,317
------------
Total Level 3 --
------------
TOTAL $722,462,714
============
OTHER FINANCIAL
INSTRUMENTS(1)
----------------------
ASSETS LIABILITIES
-------- -----------
Level 1 $ 4,124 $ (66,382)
Level 2 435,895 (180,447)
Level 3 -- --
-------- ---------
440,019 $(246,829)
======== =========
(1) Other financial instruments are financial futures contracts and foreign
currency exchange contracts, which are shown at the unrealized
appreciation/depreciation on the instrument.
The following is a reconciliation of investments for unobservable inputs
Level 3 were used in
COMMON STOCKS
AUSTRALIA
-------------
Balance, as of December 31, 2008 $ 26,500
Accrued discounts/premiums --
Realized gain (loss) --
Change in unrealized appreciation/depreciation(2) 661,574
Net purchases (sales) --
Net transfers out of Level 3 (688,074)
---------
BALANCE, AS OF JUNE 30, 2009 $ --
=========
(2) Included in the related net change in unrealized appreciation/depreciation
on the Statement of Operations related to securities classified as Level 3
at period end.
27
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/ William F. Quinn
--------------------
William F. Quinn
President
Date: September 3, 2009
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/ William F. Quinn
--------------------
William F. Quinn
President
Date: September 3, 2009
By /s/ Rebecca L. Harris
---------------------
Rebecca L. Harris
Treasurer
Date: September 3, 2009